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)
100 Bright Meadow Blvd., Enfield, CT 06082
(Address of principal executive offices)	(Zip code)
Eric Wietsma
100 Bright Meadow Blvd, Enfield, CT 06082
(Name and address of agent for service)
Registrant’s telephone number, including area code:      (860) 562-1000
Date of fiscal year end:    9/30/16
Date of reporting period:    3/31/16

Item 1. Reports to Stockholders.

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Portfolio Summaries (Unaudited)	3
Portfolio of Investments (Unaudited)
MassMutual Select Total Return Bond Fund	23
MassMutual Select Strategic Bond Fund	31
MassMutual Select Diversified Value Fund	55
MassMutual Select Fundamental Value Fund	60
MassMutual Select Large Cap Value Fund	63
MM S&P 500® Index Fund	66
MassMutual Select Focused Value Fund	74
MassMutual Select Fundamental Growth Fund	75
MassMutual Select Blue Chip Growth Fund	78
MassMutual Select Growth Opportunities Fund	82
MassMutual Select Mid-Cap Value Fund	84
MassMutual Select Small Cap Value Equity Fund	88
MassMutual Select Small Company Value Fund	91
MM S&P® Mid Cap Index Fund	98
MM Russell 2000® Small Cap Index Fund	104
MassMutual Select Mid Cap Growth Equity II Fund	127
MassMutual Select Small Cap Growth Equity Fund	131
MassMutual Select Diversified International Fund	136
MM MSCI EAFE® International Index Fund	138
MassMutual Select Overseas Fund	149
Statements of Assets and Liabilities (Unaudited)	154
Statements of Operations (Unaudited)	166
Statements of Changes in Net Assets	178
Financial Highlights	192
Notes to Financial Statements (Unaudited)	212
Other Information (Unaudited)
Proxy Voting	275
Quarterly Reporting	275
Trustees’ Approval of Investment Advisory Contracts	275
Fund Expenses	276

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 (Unaudited)

To Our Shareholders

Eric Wietsma

“In MassMutual’s view, retirement investors may be well served by maintaining an investment strategy that is suited to how comfortable they are with the markets’ ups and downs, how long they have to save and invest, and what their specific financial goals are.”

March 31, 2016

Welcome to the MassMutual Select Funds Semiannual Report, covering the six months ended March 31, 2016. U.S. stocks, for the most part, outperformed their foreign counterparts, reflecting the ongoing strength of the U.S. economy during the period. Investors continued to closely monitor economic data releases in their vigil over the potential timing for the U.S. Federal Reserve’s (the “Fed”) long-awaited launch of interest rate increases – a source of investor speculation for most of 2015. During the reporting period, low oil prices and China’s continued economic difficulties continued to capture investors’ attention. Against this backdrop, the price of West Texas Intermediate crude oil started the period at nearly $45 per barrel and declined to nearly $37 at the end of March. This masked the extreme volatility of the commodity, however – whose price reached as high as $47.88 on November 3, 2015, and as low as $26.19 on February 11, 2016. Gasoline prices followed a similar pattern, starting out the six-month period at an average of $2.29 – before settling at $2.06 on March 31, 36 cents lower than the same time in 2015. The price of gold also fluctuated over the course of the six months, starting the period at $1,119 per ounce, before finishing the first quarter at $1,237.

Key events that characterized the period

Thanks to a robust October rally, U.S. stocks performed relatively well in the final quarter of 2015 against the backdrop of a somewhat disappointing first three quarters, when several factors had kept share prices from making much upward headway. These included weak commodity prices – especially crude oil, uncertainty about the timing of the Fed’s first interest rate hike since 2006, investor concerns about the strength and durability of the U.S. economic recovery, and worries over China and emerging markets worldwide.

After an extremely volatile third quarter of 2015, share prices recovered strongly in October, with two of the most widely followed U.S. equity benchmarks, the Dow Jones Industrial Average^SM (the “Dow”) and the S&P 500^® Index, turning in their best monthly gains since October 2011. Investor fears about China and crude oil eased, and a weak September payroll number fueled hopes that the Fed might delay raising short-term interest rates; however, the October and November employment reports were considerably stronger. This renewed talk of a rate increase – which, in fact, finally occurred at the mid-December meeting, when the Fed hiked the target range for the federal funds rate – the Fed’s overnight bank lending rate – to 0.25%-0.50% from 0%-0.25%. Elsewhere, crude oil broke to another new low for the year in December and ended 2015 with an annual decline of 31% after falling almost 50% in 2014. These factors led to choppy market action over the final two months of the year.

The U.S. economy continued to improve, although results were mixed. For example, in mid-October, several housing reports yielded generally positive results, whereas later that month, the housing outlook was muddled by new home sales figures that were the lowest since November 2014. On the other hand, there was mostly good news on the employment front, as jobless claims experienced a favorable downward trend during the fourth quarter – and first-time jobless claims dropped to a 42-year low in mid-December. This was despite the October Job Openings and Labor Turnover Survey, which in December showed a decline in job openings from 5.526 million to 5.383 million. Employment news remained largely positive, however, as even the manufacturing sector, which struggled from falling exports due to a strong dollar, posted encouraging results in the fourth quarter of 2015.

(Continued)

1

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

After experiencing a steep plunge and vigorous recovery as recently as August and October, respectively, U.S. stocks repeated that scenario in the first quarter of 2016. In both cases, concerns about China’s slowing economy and falling crude oil prices helped to drive weakness in share prices. Adding to these concerns at the start of 2016 was fear of slowing global and domestic economic growth, the latter underscored by initial estimates that U.S. gross domestic product (“GDP”) expanded by a disappointing 0.7% rate in the fourth quarter of 2015, although that number was subsequently revised upward.

Share prices continued to struggle early in February, as global equity markets moved roughly in tandem with the price of oil, which declined early on, but rallied later in the month on hopes that producers would curtail supply. Concerns about the European banking system also worried investors early in February. In the U.S., a weak January employment report stoked fears that a recession could be on the horizon. However, later in the quarter, upward revisions in estimated fourth-quarter U.S. economic growth, first to 1.0% and ultimately to 1.4%, helped the equity markets rebound. The employment picture also brightened, as February’s nonfarm payrolls came in significantly stronger than the previous two months’. At the same time, the payroll numbers for both January and December were revised upward.

The rally in equities continued in March, with the Fed doing its part by reassuring investors that the central bank would be cautious about implementing further hikes in short-term interest rates. Stocks ended March near their highs for the quarter and only a scant few percent off their all-time highs.

The major stock indexes in the U.S. advanced for the six months ended March 31, 2016 – largely, but not entirely – outperforming foreign developed and emerging markets. The blue-chip Dow climbed 10.07% to lead the major market indexes for the period. Next were the large-cap stock S&P 500 Index, which rose 8.49%; and the technology-heavy NASDAQ Composite^® Index, which advanced 6.07%. The Russell 2000^® Index, a benchmark of small-cap stocks, gained a much more modest 2.02% over the six months. In international markets, the MSCI EAFE Index, an indicator of foreign developed-market stocks, posted a mere 1.56% advance, while the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, had a more impressive 6.41% return. Fixed-income investments advanced somewhat during the period, with the Barclays U.S. Aggregate Bond Index returning 2.44%.*

Review and maintain your strategy

MassMutual knows that nothing matters more than the safety and well-being of your loved ones. Because we know that you want to protect those who matter most to you, we’d like to remind you as a retirement investor that it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. Please keep in mind that the financial markets go both up and down – and that it is nearly impossible to predict their future direction. That’s why our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. If you work with a financial professional and haven’t met with him or her recently, this might be a good time to review your retirement investment strategy. MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. And as always, we thank you for your confidence in MassMutual.

Sincerely,

Eric Wietsma

President

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

The information provided is the opinion of MassMutual Retirement Services Investments Services as of 4/1/16 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 (Unaudited)

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

The Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in a diversified portfolio of investment grade fixed income securities. The Fund’s subadviser is Metropolitan West Asset Management, LLC (MetWest).

MassMutual Select Total Return Bond Fund Portfolio Characteristics (% of Net Assets) on 3/31/16
U.S. Government Agency Obligations and Instrumentalities	28.3	%
Corporate Debt	26.3	%
Non-U.S. Government Agency Obligations	18.1	%
U.S. Treasury Obligations	13.6	%
Municipal Obligations	1.5	%
Total Long-Term Investments	87.8	%
Short-Term Investments and Other Assets and Liabilities	12.2	%
Net Assets	100.0	%

3

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in U.S. dollar-denominated fixed income securities and other debt instruments of domestic and foreign entities, including corporate bonds, securities issued or guaranteed as to principal or interest by the U.S. Government or its agencies or instrumentalities, mortgage-backed 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 Portfolio Characteristics (% of Net Assets) on 3/31/16
Corporate Debt	30.1	%
U.S. Government Agency Obligations and Instrumentalities	18.8	%
Non-U.S. Government Agency Obligations	17.5	%
U.S. Treasury Obligations	16.2	%
Sovereign Debt Obligations	4.9	%
Bank Loans	2.8	%
Municipal Obligations	0.1	%
Purchased Options	0.1	%
Preferred Stock	0.1	%
Total Long-Term Investments	90.6	%
Short-Term Investments and Other Assets and Liabilities	9.4	%
Net Assets	100.0	%

4

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in stocks, securities convertible into stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund’s subadvisers are Loomis, Sayles & Company, L.P. (Loomis Sayles) which was responsible for approximately 40% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 60% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 3/31/16
Apple, Inc.	3.8	%
JP Morgan Chase & Co.	3.0	%
Wells Fargo & Co.	2.8	%
Exxon Mobil Corp.	2.7	%
Verizon Communications, Inc.	2.3	%
Johnson & Johnson	2.3	%
Pfizer, Inc.	2.1	%
Merck & Co., Inc.	2.0	%
Chevron Corp.	2.0	%
Bank of America Corp.	1.8	%
	24.8	%

MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 3/31/16
Financial	24.8	%
Consumer, Non-cyclical	17.0	%
Industrial	11.4	%
Technology	11.3	%
Communications	9.7	%
Energy	8.8	%
Consumer, Cyclical	8.0	%
Utilities	3.7	%
Basic Materials	2.8	%
Mutual Funds	0.9	%
Total Long-Term Investments	98.4	%
Short-Term Investments and Other Assets and Liabilities	1.6	%
Net Assets	100.0	%

5

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in equity securities, with a focus on companies with large market capitalizations (which the subadviser believes are 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 3/31/16
Wells Fargo & Co.	3.7	%
JP Morgan Chase & Co.	3.6	%
Cisco Systems, Inc.	3.5	%
Microsoft Corp.	2.9	%
Merck & Co., Inc.	2.5	%
Chevron Corp.	2.3	%
General Electric Co.	2.2	%
Intel Corp.	2.1	%
The PNC Financial Services Group, Inc.	2.1	%
Citigroup, Inc.	2.0	%
	26.9	%

MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 3/31/16
Financial	24.3	%
Consumer, Non-cyclical	16.9	%
Industrial	11.7	%
Communications	11.1	%
Energy	10.0	%
Consumer, Cyclical	9.2	%
Technology	8.0	%
Basic Materials	3.7	%
Utilities	3.7	%
Total Long-Term Investments	98.6	%
Short-Term Investments and Other Assets and Liabilities	1.4	%
Net Assets	100.0	%

6

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks both capital growth and income by investing primarily in large-capitalization companies that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the stocks of large-cap companies. The subadvisers currently define “large-cap” companies as those whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 1000^® Index. The Fund’s subadvisers are Huber Capital Management, LLC (Huber Capital Management), which was responsible for approximately 54% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which managed approximately 46% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Large Cap Value Fund Largest Holdings (% of Net Assets) on 3/31/16
Philip Morris International, Inc.	3.9	%
Merck & Co., Inc.	3.8	%
Microsoft Corp.	3.7	%
Pfizer, Inc.	3.6	%
Bank of America Corp.	3.5	%
KBR, Inc.	3.3	%
JP Morgan Chase & Co.	3.3	%
CNO Financial Group, Inc.	2.8	%
CA, Inc.	2.7	%
Wal-Mart Stores, Inc.	2.4	%
	33.0	%

MassMutual Select Large Cap Value Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	21.9	%
Financial	21.6	%
Industrial	15.6	%
Technology	10.2	%
Consumer, Cyclical	8.5	%
Energy	7.7	%
Communications	5.9	%
Utilities	4.4	%
Basic Materials	2.8	%
Mutual Funds	0.9	%
Total Long-Term Investments	99.5	%
Short-Term Investments and Other Assets and Liabilities	0.5	%
Net Assets	100.0	%

7

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

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

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

MM S&P 500 Index Fund Largest Holdings (% of Net Assets) on 3/31/16
Apple, Inc.	3.3	%
Microsoft Corp.	2.4	%
Exxon Mobil Corp.	1.9	%
Johnson & Johnson	1.6	%
General Electric Co.	1.6	%
Berkshire Hathaway, Inc. Class B	1.5	%
Facebook, Inc. Class A	1.4	%
AT&T, Inc.	1.3	%
Amazon.com, Inc.	1.3	%
Wells Fargo & Co.	1.2	%
	17.5	%

MM S&P 500 Index Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	24.1	%
Financial	15.5	%
Communications	13.5	%
Technology	12.8	%
Consumer, Cyclical	10.4	%
Industrial	9.5	%
Energy	6.7	%
Utilities	3.4	%
Basic Materials	2.5	%
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 (Unaudited) (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 3/31/16
Wells Fargo & Co.	7.1	%
American International Group, Inc.	7.1	%
General Motors Co.	7.0	%
Microsoft Corp.	6.9	%
Cummins, Inc.	6.4	%
JP Morgan Chase & Co.	5.7	%
Applied Materials, Inc.	5.6	%
Caterpillar, Inc.	5.2	%
BlackRock, Inc.	5.1	%
Tribune Media Co. Class A	4.7	%
	60.8	%

MassMutual Select Focused Value Fund Sector Table (% of Net Assets) on 3/31/16
Financial	37.9	%
Technology	16.3	%
Consumer, Cyclical	13.9	%
Industrial	11.6	%
Communications	8.5	%
Consumer, Non-cyclical	3.1	%
Energy	1.8	%
Total Long-Term Investments	93.1	%
Short-Term Investments and Other Assets and Liabilities	6.9	%
Net Assets	100.0	%

9

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

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

MassMutual Select Fundamental Growth Fund Largest Holdings (% of Net Assets) on 3/31/16
Apple, Inc.	5.5	%
Alphabet, Inc. Class C	5.3	%
Microsoft Corp.	3.2	%
Facebook, Inc. Class A	3.1	%
Verizon Communications, Inc.	3.0	%
PepsiCo, Inc.	2.7	%
The Home Depot, Inc.	2.6	%
Oracle Corp.	2.4	%
Comcast Corp. Class A	2.2	%
Amazon.com, Inc.	2.1	%
	32.1	%

MassMutual Select Fundamental Growth Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	30.1	%
Communications	21.5	%
Technology	19.8	%
Consumer, Cyclical	15.9	%
Financial	5.1	%
Industrial	3.0	%
Mutual Funds	1.8	%
Energy	1.2	%
Utilities	1.0	%
Basic Materials	0.5	%
Total Long-Term Investments	99.9	%
Short-Term Investments and Other Assets and Liabilities	0.1	%
Net Assets	100.0	%

10

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

The Fund seeks growth of capital over the long term by investing, under normal circumstances, at least 80% of net assets (plus the amount of any borrowings for investment purposes) in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadvisers currently define blue chip growth companies to mean firms that, in their view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 69% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which managed approximately 31% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 3/31/16
Amazon.com, Inc.	6.5	%
Facebook, Inc. Class A	5.0	%
Alphabet, Inc. Class C	4.0	%
Visa, Inc. Class A	3.5	%
Microsoft Corp.	3.0	%
Alphabet, Inc. Class A	2.7	%
The Priceline Group, Inc.	2.5	%
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands)	2.3	%
Danaher Corp.	2.1	%
MasterCard, Inc. Class A	1.8	%
	33.4	%

MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	30.0	%
Communications	28.2	%
Consumer, Cyclical	13.1	%
Technology	12.3	%
Industrial	7.7	%
Financial	6.5	%
Energy	0.8	%
Basic Materials	0.7	%
Total Long-Term Investments	99.3	%
Short-Term Investments and Other Assets and Liabilities	0.7	%
Net Assets	100.0	%

11

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 that the Fund’s subadvisers believe offer the potential for long-term growth. Under normal market conditions, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadvisers are Sands Capital Management, LLC (Sands Capital), which managed approximately 50% of the Fund’s portfolio; and Jackson Square Partners, LLC (Jackson Square), which was responsible for approximately 50% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Growth Opportunities Fund Largest Holdings (% of Net Assets) on 3/31/16
Visa, Inc. Class A	7.5	%
Facebook, Inc. Class A	6.2	%
Alphabet, Inc. Class A	4.5	%
Salesforce.com, Inc.	3.6	%
Biogen, Inc.	2.9	%
QUALCOMM, Inc.	2.8	%
Alphabet, Inc. Class C	2.7	%
Allergan PLC	2.5	%
Celgene Corp.	2.5	%
Microsoft Corp.	2.4	%
	37.6	%

MassMutual Select Growth Opportunities Fund Sector Table (% of Net Assets) on 3/31/16
Communications	35.9	%
Consumer, Non-cyclical	28.4	%
Technology	16.9	%
Financial	7.9	%
Consumer, Cyclical	6.4	%
Mutual Funds	2.0	%
Basic Materials	1.2	%
Energy	1.0	%
Industrial	0.8	%
Total Long-Term Investments	100.5	%
Short-Term Investments and Other Assets and Liabilities	(0.5	)%
Net Assets	100.0	%

12

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in the stocks of mid-cap companies. The Fund’s subadvisers are Systematic Financial Management, L.P. (Systematic), which was responsible for approximately 48% of the Fund’s portfolio; and American Century Investment Management, Inc. (American Century), which managed approximately 52% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Mid-Cap Value Fund Largest Holdings (% of Net Assets) on 3/31/16
PG&E Corp.	2.0	%
Applied Materials, Inc.	1.7	%
Level 3 Communications, Inc.	1.6	%
Northern Trust Corp.	1.6	%
E*TRADE Financial Corp.	1.6	%
Boston Scientific Corp.	1.6	%
Sysco Corp.	1.5	%
iShares Russell Mid-Cap Value ETF	1.4	%
Nucor Corp.	1.3	%
Alexandria Real Estate Equities, Inc.	1.2	%
	15.5	%

MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 3/31/16
Financial	26.4	%
Consumer, Non-cyclical	16.3	%
Industrial	12.4	%
Utilities	10.4	%
Energy	9.7	%
Consumer, Cyclical	8.1	%
Technology	7.5	%
Communications	3.6	%
Basic Materials	3.2	%
Mutual Funds	1.3	%
Total Long-Term Investments	98.9	%
Short-Term Investments and Other Assets and Liabilities	1.1	%
Net Assets	100.0	%

13

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company LLP (Wellington Management), which managed approximately 57% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 43% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 3/31/16
Primoris Services Corp.	2.1	%
Fairchild Semiconductor International, Inc.	2.0	%
RSP Permian, Inc.	2.0	%
II-VI, Inc.	1.7	%
Whirlpool Corp.	1.6	%
Vishay Intertechnology, Inc.	1.6	%
Tempur Sealy International, Inc.	1.6	%
Simpson Manufacturing Co., Inc.	1.5	%
Terex Corp.	1.4	%
Barnes Group, Inc.	1.4	%
	16.9	%

MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 3/31/16
Industrial	30.6	%
Financial	16.3	%
Consumer, Cyclical	14.8	%
Consumer, Non-cyclical	11.2	%
Technology	9.8	%
Energy	5.2	%
Utilities	3.4	%
Basic Materials	3.1	%
Diversified	2.1	%
Total Long-Term Investments	96.5	%
Short-Term Investments and Other Assets and Liabilities	3.5	%
Net Assets	100.0	%

14

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Federated Clover Investment Advisors (Federated Clover), which managed approximately 41% of the Fund’s portfolio; T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 30% of the Fund’s portfolio; and Invesco Advisers, Inc. (Invesco), which oversaw approximately 29% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 3/31/16
Portland General Electric Co.	1.1	%
EPR Properties	1.0	%
Synovus Financial Corp.	1.0	%
Popular, Inc.	0.9	%
Radian Group, Inc.	0.9	%
WSFS Financial Corp.	0.8	%
F.N.B. Corp.	0.8	%
Healthcare Realty Trust, Inc.	0.8	%
Aqua America, Inc.	0.7	%
Umpqua Holdings Corp.	0.7	%
	8.7	%

MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 3/31/16
Financial	38.6	%
Consumer, Non-cyclical	14.2	%
Industrial	12.8	%
Consumer, Cyclical	8.7	%
Utilities	7.2	%
Communications	5.6	%
Technology	4.8	%
Mutual Funds	3.9	%
Energy	3.5	%
Basic Materials	2.3	%
Diversified	0.3	%
Total Long-Term Investments	101.9	%
Short-Term Investments and Other Assets and Liabilities	(1.9	)%
Net Assets	100.0	%

15

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

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

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

MM S&P Mid Cap Index Fund Largest Holdings (% of Net Assets) on 3/31/16
Jarden Corp.	0.8	%
Alaska Air Group, Inc.	0.7	%
LKQ Corp.	0.6	%
Acuity Brands, Inc.	0.6	%
Mettler-Toledo International, Inc.	0.6	%
Foot Locker, Inc.	0.6	%
Fortune Brands Home & Security, Inc.	0.6	%
Global Payments, Inc.	0.6	%
Alliant Energy Corp.	0.6	%
Everest Re Group Ltd.	0.6	%
	6.3	%

MM S&P Mid Cap Index Fund Sector Table (% of Net Assets) on 3/31/16
Financial	23.2	%
Industrial	17.8	%
Consumer, Cyclical	14.8	%
Consumer, Non-cyclical	14.3	%
Technology	10.4	%
Utilities	5.6	%
Basic Materials	4.8	%
Mutual Funds	3.7	%
Energy	3.6	%
Communications	2.7	%
Total Long-Term Investments	100.9	%
Short-Term Investments and Other Assets and Liabilities	(0.9	)%
Net Assets	100.0	%

16

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

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

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

MM Russell 2000 Small Cap Index Fund Largest Holdings (% of Net Assets) on 3/31/16
STERIS PLC	0.4	%
CubeSmart	0.4	%
West Pharmaceutical Services, Inc.	0.3	%
TreeHouse Foods, Inc.	0.3	%
Vail Resorts, Inc.	0.3	%
Piedmont Natural Gas Co., Inc.	0.3	%
MarketAxess Holdings, Inc.	0.3	%
Sovran Self Storage, Inc.	0.3	%
Highwoods Properties, Inc.	0.3	%
Casey’s General Stores, Inc.	0.3	%
	3.2	%

MM Russell 2000 Small Cap Index Fund Sector Table (% of Net Assets) on 3/31/16
Financial	25.7	%
Consumer, Non-cyclical	20.5	%
Consumer, Cyclical	13.3	%
Industrial	12.8	%
Mutual Funds	11.0	%
Technology	10.6	%
Communications	5.9	%
Utilities	4.1	%
Basic Materials	2.7	%
Energy	2.3	%
Diversified	0.3	%
Total Long-Term Investments	109.2	%
Short-Term Investments and Other Assets and Liabilities	(9.2	)%
Net Assets	100.0	%

17

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the Fund’s subadvisers expect to grow at a faster rate than the average company. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which oversaw approximately 81% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 19% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Mid Cap Growth Equity II Fund Largest Holdings (% of Net Assets) on 3/31/16
Fiserv, Inc.	2.0	%
Equifax, Inc.	1.6	%
Willis Towers Watson PLC	1.5	%
Dollar General Corp.	1.5	%
Roper Technologies, Inc.	1.5	%
VeriSign, Inc.	1.5	%
Teleflex, Inc.	1.4	%
Norwegian Cruise Line Holdings Ltd.	1.4	%
Vantiv, Inc. Class A	1.3	%
AutoZone, Inc.	1.3	%
	15.0	%

MassMutual Select Mid Cap Growth Equity II Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	26.0	%
Industrial	18.8	%
Consumer, Cyclical	17.4	%
Technology	12.7	%
Financial	8.8	%
Mutual Funds	6.1	%
Communications	5.8	%
Basic Materials	3.3	%
Energy	1.5	%
Total Long-Term Investments	100.4	%
Short-Term Investments and Other Assets and Liabilities	(0.4	)%
Net Assets	100.0	%

18

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in the equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company LLP (Wellington Management), which managed approximately 63% of the Fund’s portfolio and OFI Global Institutional, Inc. (OFI Global), which oversaw approximately 37% of the Fund’s portfolio, as of March 31, 2016.

MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 3/31/16
CoStar Group, Inc.	1.6	%
MarketAxess Holdings, Inc.	1.3	%
The Ultimate Software Group, Inc.	1.3	%
Masonite International Corp.	1.2	%
HubSpot, Inc.	1.2	%
Guidewire Software, Inc.	1.2	%
Acadia Healthcare Co., Inc.	1.1	%
Insulet Corp.	1.0	%
Tyler Technologies, Inc.	1.0	%
Monolithic Power Systems, Inc.	1.0	%
	11.9	%

MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	24.5	%
Technology	17.6	%
Consumer, Cyclical	16.4	%
Financial	14.0	%
Industrial	13.9	%
Mutual Funds	12.6	%
Energy	4.4	%
Communications	3.6	%
Basic Materials	1.9	%
Diversified	0.3	%
Utilities	0.2	%
Total Long-Term Investments	109.4	%
Short-Term Investments and Other Assets and Liabilities	(9.4	)%
Net Assets	100.0	%

19

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 MSCI 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 may invest a substantial part of its asset in just one region or country. 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 3/31/16
Royal Dutch Shell PLC Class A	3.5	%
Total SA	3.1	%
Vodafone Group PLC	3.0	%
Nippon Telegraph & Telephone Corp.	3.0	%
GlaxoSmithKline PLC	2.6	%
Mitsubishi UFJ Financial Group, Inc.	2.4	%
Daimler AG	2.2	%
AXA SA	2.1	%
Enel SpA	1.8	%
Australia & New Zealand Banking Group Ltd.	1.8	%
	25.5	%

MassMutual Select Diversified International Fund Sector Table (% of Net Assets) on 3/31/16
Financial	29.4	%
Consumer, Cyclical	17.7	%
Consumer, Non-cyclical	11.0	%
Communications	10.1	%
Industrial	9.9	%
Energy	7.6	%
Utilities	5.3	%
Mutual Funds	3.0	%
Technology	3.0	%
Basic Materials	2.5	%
Total Long-Term Investments	99.5	%
Short-Term Investments and Other Assets and Liabilities	0.5	%
Net Assets	100.0	%

20

MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued)

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

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

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

MM MSCI EAFE International Index Fund Largest Holdings (% of Net Assets) on 3/31/16
Nestle SA	1.9	%
Roche Holding AG	1.4	%
Novartis AG	1.3	%
Toyota Motor Corp.	1.2	%
HSBC Holdings PLC	1.0	%
British American Tobacco PLC	0.9	%
Novo Nordisk A/S Class B	0.9	%
Anheuser-Busch InBev SA/NV	0.8	%
Total SA	0.8	%
GlaxoSmithKline PLC	0.8	%
	11.0	%

MM MSCI EAFE International Index Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	24.5	%
Financial	23.0	%
Industrial	12.4	%
Consumer, Cyclical	12.2	%
Communications	7.8	%
Basic Materials	5.1	%
Mutual Funds	4.8	%
Energy	4.5	%
Utilities	3.7	%
Technology	2.8	%
Diversified	0.9	%
Total Long-Term Investments	101.7	%
Short-Term Investments and Other Assets and Liabilities	(1.7	)%
Net Assets	100.0	%

21

MassMutual Select Funds – Portfolio Summaries (Unaudited) (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 (plus the amount of any borrowings for investment purposes) in stocks of foreign companies, including companies located in Europe, Latin America, and Asia. The Fund may invest up to 25% of its total assets in equity securities of issuers in emerging markets. The Fund’s subadvisers are Massachusetts Financial Services Company (MFS), which was responsible for approximately 51% of the Fund’s portfolio; Harris Associates L.P. (Harris), which oversaw approximately 26% of the Fund’s portfolio; and J.P. Morgan Investment Management Inc. (J.P. Morgan), which managed approximately 22% of the Fund’s portfolio as of March 31, 2016.

MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 3/31/16
Bayer AG	2.2	%
Nestle SA	2.0	%
WPP PLC	1.8	%
Roche Holding AG	1.8	%
Danone SA	1.6	%
Compass Group PLC	1.5	%
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)	1.5	%
Honda Motor Co. Ltd.	1.3	%
BNP Paribas	1.3	%
Hoya Corp.	1.3	%
	16.3	%

MassMutual Select Overseas Fund Sector Table (% of Net Assets) on 3/31/16
Consumer, Non-cyclical	21.8	%
Financial	21.0	%
Consumer, Cyclical	15.9	%
Industrial	14.5	%
Communications	6.8	%
Technology	5.9	%
Basic Materials	5.3	%
Mutual Funds	3.7	%
Energy	2.8	%
Utilities	1.8	%
Diversified	1.6	%
Total Long-Term Investments	101.1	%
Short-Term Investments and Other Assets and Liabilities	(1.1	)%
Net Assets	100.0	%

22

MassMutual Select Total Return Bond Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 87.8%
CORPORATE DEBT — 26.3%
Airlines — 0.9%
America West Airlines, Inc. 8.057% 1/02/22	$	875,176	$	962,694
Continental Airlines, Inc. 5.983% 10/19/23		3,754,316		4,148,519
Continental Airlines, Inc. 6.545% 8/02/20		666,076		703,975
Continental Airlines, Inc. 8.048% 5/01/22		2,341,172		2,566,393
US Airways, Inc. 7.125% 4/22/25		1,357,917		1,569,243
				9,950,824
Auto Manufacturers — 0.4%
Ford Motor Credit Co. LLC 3.336% 3/18/21		1,350,000		1,389,209
General Motors Co. 3.500% 10/02/18		1,110,000		1,136,237
General Motors Financial Co., Inc. 3.450% 4/10/22		1,400,000		1,374,618
				3,900,064
Banks — 6.1%
Bank of America Corp. 2.000% 1/11/18		8,100,000		8,133,356
Bank of America Corp. 5.650% 5/01/18		7,100,000		7,621,644
Barclays PLC 4.375% 1/12/26		1,850,000		1,815,442
Capital One NA 2.350% 8/17/18		4,600,000		4,623,681
CIT Group, Inc. 5.250% 3/15/18		1,406,000		1,454,507
Citigroup, Inc. 3 mo. USD LIBOR + .550%, FRN 1.179% 8/25/36		2,000,000		1,293,626
Citigroup, Inc. 5.850% 8/02/16		1,050,000		1,066,492
Credit Suisse AG 3 mo. USD LIBOR + .490%, FRN 1.125% 5/26/17		2,115,000		2,109,120
Credit Suisse Group Funding Guernsey Ltd. (a) 3.125% 12/10/20		1,300,000		1,292,828
Discover Bank 2.000% 2/21/18		1,565,000		1,556,873
Discover Bank 4.200% 8/08/23		2,120,000		2,215,981
The Goldman Sachs Group, Inc. 4.750% 10/21/45		2,000,000		2,090,438
JP Morgan Chase & Co. 6.300% 4/23/19		6,900,000		7,803,548

	Principal Amount		Value
JP Morgan Chase Bank NA 6.000% 10/01/17	$	11,700,000	$	12,421,422
Royal Bank of Scotland Group PLC 6.400% 10/21/19		3,250,000		3,646,360
Santander UK Group Holdings PLC 2.875% 10/16/20		2,000,000		1,989,850
Wells Fargo & Co. 2.500% 3/04/21		2,645,000		2,678,407
				63,813,575
Beverages — 0.5%
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		3,250,000		3,632,077
DS Services of America, Inc. (a) 10.000% 9/01/21		1,400,000		1,585,500
				5,217,577
Biotechnology — 0.2%
Celgene Corp. 3.875% 8/15/25		2,000,000		2,101,872
Computers — 0.3%
Apple, Inc. 4.650% 2/23/46		3,185,000		3,476,918
Diversified Financial — 4.8%
Ally Financial, Inc. 5.500% 2/15/17		2,100,000		2,138,472
Federal Home Loan Banks STEP 1.250% 6/28/30		6,970,000		7,014,945
Federal Home Loan Mortgage Corp. 1.250% 10/02/19		20,300,000		20,441,513
Ford Motor Credit Co. LLC 6.625% 8/15/17		1,500,000		1,591,149
GE Capital International Funding Co. (a) 4.418% 11/15/35		2,548,000		2,768,129
General Electric Capital Corp. 3.100% 1/09/23		1,146,000		1,213,520
General Electric Capital Corp. 6.875% 1/10/39		716,000		1,036,766
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.600%, FRN 2.236% 11/29/23		1,200,000		1,196,412
International Lease Finance Corp. (a) 7.125% 9/01/18		3,911,000		4,262,990
Macquarie Bank Ltd. (a) 6.625% 4/07/21		2,100,000		2,389,502
Morgan Stanley 3.875% 1/27/26		5,000,000		5,216,045
Morgan Stanley 5.500% 7/24/20		1,350,000		1,517,815
				50,787,258

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

23

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

	Principal Amount		Value
Diversified Financial Services — 0.1%
Protective Life Global Funding (a) 2.700% 11/25/20	$	1,495,000	$	1,518,775
Electric — 2.4%
Aep Texas Central Co. (a) 3.850% 10/01/25		2,000,000		2,097,908
Berkshire Hathaway Energy Co. 4.500% 2/01/45		1,000,000		1,064,606
Entergy Corp. 4.700% 1/15/17		1,300,000		1,323,656
Entergy Louisiana LLC 3.780% 4/01/25		1,250,000		1,318,135
FirstEnergy Transmission LLC (a) 5.450% 7/15/44		2,000,000		2,084,558
Indianapolis Power & Light Co. (a) 4.700% 9/01/45		2,000,000		2,127,310
IPALCO Enterprises, Inc. 5.000% 5/01/18		4,588,000		4,817,400
MidAmerican Energy Co. 4.400% 10/15/44		1,905,000		2,079,595
NextEra Energy Capital Holdings, Inc. 2.056% 9/01/17		4,000,000		4,021,604
Oncor Electric Delivery Co. LLC 4.100% 6/01/22		2,000,000		2,161,002
Public Service Electric & Gas Co. 4.150% 11/01/45		2,000,000		2,109,662
				25,205,436
Foods — 0.2%
Kraft Heinz Foods Co. (a) 5.200% 7/15/45		1,750,000		1,958,056
Gas — 0.4%
Florida Gas Transmission Co. LLC (a) 7.900% 5/15/19		800,000		895,437
KeySpan Gas East Corp. (a) 5.819% 4/01/41		2,837,000		3,422,869
				4,318,306
Health Care – Services — 0.6%
Community Health Systems, Inc. 5.125% 8/15/18		700,000		705,250
DaVita HealthCare Partners, Inc. 5.000% 5/01/25		1,400,000		1,386,000
HCA, Inc. 6.500% 2/15/20		2,515,000		2,760,212
Tenet Healthcare Corp. 3 mo. USD LIBOR + 3.500%, FRN (a) 4.134% 6/15/20		1,365,000		1,354,763
				6,206,225
Insurance — 2.4%
Berkshire Hathaway, Inc. 3.125% 3/15/26		3,900,000		3,998,849

	Principal Amount		Value
Farmers Exchange Capital II 3 mo. USD LIBOR + 3.744%, VRN (a) 6.151% 11/01/53	$	1,750,000	$	1,785,506
Farmers Exchange Capital III 3 mo. USD LIBOR + 3.454%, VRN (a) 5.454% 10/15/54		4,540,000		4,313,000
TheGuardian Life Insurance Co. of America (a) 4.875% 6/19/64		3,000,000		2,872,686
Jackson National Life Global Funding (a) 2.600% 12/09/20		2,085,000		2,111,788
Reliance Standard Life Global Funding II (a) 2.150% 10/15/18		2,795,000		2,799,528
Teachers Insurance & Annuity Association of America 3 mo. USD LIBOR + 2.661%, VRN (a) 4.375% 9/15/54		4,000,000		4,028,048
ZFS Finance USA Trust II 3 mo. USD LIBOR + 2.000%, VRN (a) 6.450% 12/15/65		3,000,000		2,994,000
				24,903,405
Media — 0.6%
CCO Safari II LLC (a) 4.908% 7/23/25		3,945,000		4,161,249
CCOH Safari LLC (a) 5.750% 2/15/26		10,000		10,350
DISH DBS Corp. 6.750% 6/01/21		695,000		717,587
Neptune Finco Corp. (a) 6.625% 10/15/25		1,405,000		1,519,016
				6,408,202
Oil & Gas — 0.7%
Anadarko Petroleum Corp. 4.500% 7/15/44		1,000,000		784,438
BP Capital Markets PLC 3.535% 11/04/24		2,000,000		2,043,310
Canadian Natural Resources Ltd. 3.900% 2/01/25		1,600,000		1,438,063
Chesapeake Energy Corp. 6.625% 8/15/20		500,000		195,000
Noble Energy, Inc. 3.900% 11/15/24		1,100,000		1,035,409
Shell International Finance BV 4.375% 5/11/45		1,415,000		1,419,065
				6,915,285
Packaging & Containers — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 3 mo. USD LIBOR + 3.000%, FRN (a) 3.634% 12/15/19		650,000		640,250

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

24

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

	Principal Amount		Value
Pharmaceuticals — 0.8%
AbbVie, Inc. 4.700% 5/14/45	$	1,985,000	$	2,110,793
Actavis Funding SCS 3.800% 3/15/25		2,630,000		2,737,154
Actavis Funding SCS 4.750% 3/15/45		600,000		631,023
AstraZeneca PLC 3.375% 11/16/25		1,200,000		1,243,001
Valeant Pharmaceuticals International, Inc. (a) 5.500% 3/01/23		400,000		314,500
Valeant Pharmaceuticals International, Inc. (a) 5.875% 5/15/23		821,000		643,459
Valeant Pharmaceuticals International, Inc. (a) 6.125% 4/15/25		450,000		346,500
				8,026,430
Pipelines — 1.3%
Boardwalk Pipelines LP 3.375% 2/01/23		5,000,000		4,219,185
Energy Transfer Partners LP 3.600% 2/01/23		4,790,000		4,155,378
Energy Transfer Partners LP 5.950% 10/01/43		750,000		645,988
EnLink Midstream Partners LP 5.050% 4/01/45		2,650,000		1,782,830
Rockies Express Pipeline LLC (a) 6.850% 7/15/18		1,760,000		1,755,600
Spectra Energy Partners LP 4.500% 3/15/45		1,610,000		1,428,514
				13,987,495
Real Estate — 0.5%
American Campus Communities, Inc. 3.350% 10/01/20		3,000,000		3,064,032
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) 1.750% 9/15/17		2,235,000		2,226,500
				5,290,532
Real Estate Investment Trusts (REITS) — 1.6%
Alexandria Real Estate Equities, Inc. 4.600% 4/01/22		2,000,000		2,155,528
Boston Properties LP 3.700% 11/15/18		3,495,000		3,655,337
HCP, Inc. 4.000% 12/01/22		3,500,000		3,517,510
HCP, Inc. 5.625% 5/01/17		1,500,000		1,555,664
National Retail Properties, Inc. 6.875% 10/15/17		2,725,000		2,923,881

	Principal Amount		Value
Vereit Operating Partnership LP 2.000% 2/06/17	$	2,105,000	$	2,083,950
Welltower, Inc. 3.750% 3/15/23		1,300,000		1,298,614
				17,190,484
Software — 0.3%
Microsoft Corp. 3.750% 2/12/45		600,000		594,327
Microsoft Corp. 4.450% 11/03/45		2,000,000		2,218,332
				2,812,659
Telecommunications — 1.1%
Altice US Finance I Corp. (a) 5.375% 7/15/23		400,000		410,750
AT&T, Inc. 4.750% 5/15/46		2,900,000		2,828,825
AT&T, Inc. 4.800% 6/15/44		1,500,000		1,460,279
Sprint Communications, Inc. (a) 9.000% 11/15/18		500,000		523,750
T-Mobile USA, Inc. 6.500% 1/15/26		1,300,000		1,350,375
Verizon Communications, Inc. 2.500% 9/15/16		617,000		621,752
Verizon Communications, Inc. 4.862% 8/21/46		3,665,000		3,864,819
				11,060,550
TOTAL CORPORATE DEBT (Cost $274,732,104)				275,690,178
MUNICIPAL OBLIGATIONS — 1.5%
City of New York NY 6.271% 12/01/37		1,750,000		2,350,617
New York City Municipal Water Finance Authority BAB 6.124% 6/15/42		10,000,000		11,277,700
New York State Dormitory Authority 5.051% 9/15/27		600,000		707,580
State of California 7.950% 3/01/36		700,000		846,979
				15,182,876
TOTAL MUNICIPAL OBLIGATIONS (Cost $13,812,701)				15,182,876

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

25

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

	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 18.1%
Automobile ABS — 0.3%
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A 0.870% 11/15/18	$	3,495,000	$	3,489,336
Commercial MBS — 1.8%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2 (a) 3.901% 8/10/35		1,285,000		1,388,273
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA, VRN (a) 5.664% 2/24/51		5,631,190		5,693,680
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A (a) 3.251% 5/10/35		1,310,000		1,332,925
COMM Mortgage Trust, Series 2015-3BP, Class A (a) 3.178% 2/10/35		1,345,000		1,368,054
COMM Mortgage Trust, Series 2016-787S, Class A, VRN (a) 3.545% 2/10/36		1,280,000		1,345,041
COMM Mortgage Trust, Series 2014-277P, Class A, VRN (a) 3.611% 8/10/49		1,340,000		1,430,123
COMM Mortgage Trust, Series 2013-300P, Class A1 (a) 4.353% 8/10/30		1,240,000		1,381,903
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2 5.300% 11/15/38		1,654,928		1,656,360
Liberty Street Trust, Series 2016-225L, Class A (a) 3.597% 2/10/36		1,280,000		1,320,808
RBSCF Trust, Series 2013-GSP, Class A, VRN (a) 3.834% 1/13/32		1,320,000		1,392,452
				18,309,619
Home Equity ABS — 2.0%
Accredited Mortgage Loan Trust, Series 2006-1, Class A3, 1 mo. USD LIBOR + .180%, FRN 0.616% 4/25/36		1,735,666		1,722,375
Bear Stearns Asset-Backed Securities Trust, Series 2007-HE4, Class 1A2, 1 mo. USD LIBOR + .190%, FRN 0.623% 5/25/37		1,532,644		1,478,126

	Principal Amount		Value
Carrington Mortgage Loan Trust, Series 2006-RFC1, Class A3, 1 mo. USD LIBOR + .150%, FRN 0.583% 5/25/36	$	1,638,605	$	1,563,956
Countrywide Asset-Backed Certificates, Series 2006-22, Class 2A3, 1 mo. USD LIBOR + .160%, FRN 0.593% 1/25/34		841,415		782,771
Countrywide Asset-Backed Certificates, Series 2005-14, Class 3A3, 1 mo. USD LIBOR + .350%, FRN 0.783% 4/25/36		2,010,064		1,995,934
Countrywide Asset-Backed Certificates, Series 2004-5, Class M1, 1 mo. USD LIBOR + .855%, FRN 1.288% 8/25/34		1,772,149		1,652,141
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .360%, FRN 0.793% 10/25/35		1,933,354		1,754,361
Home Equity Asset Trust, Series 2003-4, Class M1, 1 mo. USD LIBOR + 1.200%, FRN 1.633% 10/25/33		5,103,689		4,642,248
Lehman XS Trust, Series 2005-4, Class 1A3, 1 mo. USD LIBOR + .800%, FRN 1.233% 10/25/35		1,138,473		989,439
Residential Asset Securities Corp., Series 2005-KS11, Class M1, 1 mo. USD LIBOR + .400%, FRN 0.833% 12/25/35		4,600,000		4,380,306
Soundview Home Loan Trust, Series 2007-NS1, Class A2, 1 mo. USD LIBOR + .150%, FRN 0.583% 1/25/37		232,145		231,252
				21,192,909
Other ABS — 3.1%
Ameriquest Mortgage Securities, Inc., Series 2005-R7, Class A2D, 1 mo. USD LIBOR + .370%, FRN 0.806% 9/25/35		958,696		958,526
Dryden Senior Loan Fund, Series 2015-37A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.122% 4/15/27		3,650,000		3,623,647
Flatiron CLO Ltd., Series 2014-1A, Class A1, 3 mo. USD LIBOR + 1.380%, FRN (a) 2.000% 7/17/26		3,800,000		3,714,755

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

26

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

	Principal Amount		Value
Limerock CLO III LLC, Series 2014-3A, Class A1, 3 mo. USD LIBOR + 1.530%, FRN (a) 2.154% 10/20/26	$	3,000,000	$	2,964,117
Magnetite CLO Ltd., Series 2015-12A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.122% 4/15/27		3,630,000		3,606,743
Morgan Stanley Capital I, Inc. Trust, Series 2006-NC2, Class A2D, 1 mo. USD LIBOR + .290%, FRN 0.723% 2/25/36		7,533,297		6,627,736
Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A3, 1 mo. USD LIBOR + .160%, FRN 0.593% 7/25/36		1,584,288		1,582,127
Structured Asset Investment Loan Trust, Series 2005-8, Class A4, 1 mo. USD LIBOR + .360%, FRN 0.793% 10/25/35		5,112,024		5,073,187
Wells Fargo Home Equity Trust, Series 2006-1, Class A4, 1 mo. USD LIBOR + .230%, FRN 0.663% 5/25/36		4,224,105		4,208,072
				32,358,910
Student Loans ABS — 7.1%
Access Group, Inc., Series 2015-1, Class A, 1 mo. LIBOR + .700%, FRN (a) 1.135% 7/25/56		4,860,337		4,655,011
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2, 1 mo. LIBOR + .800%, FRN (a) 1.235% 4/26/32		4,100,000		3,903,916
Goal Capital Funding Trust, Series 2005-2, Class A3, 3 mo. LIBOR + .170%, FRN 0.799% 5/28/30		5,289,981		5,164,074
Navient Student Loan Trust, Series 2014-8, Class A3, 1 mo. LIBOR + .600%, FRN 1.035% 5/27/31		7,680,000		7,269,597
Nelnet Student Loan Trust, Series 2015-2A, Class A2, 1 mo. LIBOR + .600%, FRN (a) 1.035% 9/25/42		6,305,000		5,946,910
SLC Student Loan Trust, Series 2006-1, Class A6, 3 mo. LIBOR + .160%, FRN 0.794% 12/15/38		7,380,000		6,153,896

	Principal Amount		Value
SLC Student Loan Trust, Series 2006-2, Class A6, 3 mo. LIBOR + .160%, FRN 0.794% 9/15/39	$	7,720,000	$	6,509,971
SLM Student Loan Trust, Series 2012-7, Class A2, 1 mo. LIBOR + .280%, FRN 0.713% 9/25/19		4,134,737		4,089,151
SLM Student Loan Trust, Series 2005-9, Class B, 3 mo. LIBOR + .300%, FRN 0.919% 1/25/41		3,505,957		2,745,969
SLM Student Loan Trust, Series 2007-6, Class A4, 3 mo. LIBOR + .380%, FRN 0.999% 10/25/24		7,770,000		7,431,192
SLM Student Loan Trust, Series 2012-2, Class A, 1 mo. LIBOR + .700%, FRN 1.133% 1/25/29		4,649,872		4,475,358
SLM Student Loan Trust, Series 2008-9, Class A, 3 mo. LIBOR + 1.500%, FRN 2.119% 4/25/23		2,482,082		2,459,768
SLM Student Loan Trust, Series 2008-5, Class A4, 3 mo. LIBOR + 1.700%, FRN 2.319% 7/25/23		4,355,000		4,357,565
SLM Student Loan Trust, Series 2008-5, Class B, 3 mo. LIBOR + 1.850%, FRN 2.469% 7/25/29		3,735,000		3,341,179
SLM Student Loan Trust, Series 2008-9, Class B, 3 mo. LIBOR + 2.250%, FRN 2.869% 10/25/29		3,630,000		3,397,344
Wachovia Student Loan Trust, Series 2006-1, Class A6, 3 mo. LIBOR + .170%, FRN (a) 0.789% 4/25/40		3,300,000		2,868,208
				74,769,109
WL Collateral CMO — 3.8%
Bear Stearns ALT-A Trust, Series 2005-4, Class 25A1, VRN 2.546% 5/25/35		4,593,647		4,036,869
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2, VRN 2.902% 3/25/36		26,549		24,700
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1, FRN 2.465% 11/25/35		6,811,446		5,794,740

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

27

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

	Principal Amount		Value
Indymac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2, 1 mo. LIBOR + .180%, FRN 0.613% 2/25/37	$	4,417,020	$	4,143,768
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2, FRN 2.861% 8/25/35		2,105,534		2,007,650
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1, VRN 2.508% 4/25/34		2,699,631		2,435,873
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A, 12 mo. MTA + .750%, FRN (a) 1.072% 6/26/47		6,332,552		6,103,849
RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + .185%, FRN 0.618% 8/25/36		1,701,885		1,402,694
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A, 1 mo. USD LIBOR + .310%, FRN 0.743% 1/25/45		2,764,587		2,506,099
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7, Class 4CB 7.000% 8/25/35		5,584,532		3,591,861
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR3, Class A4, FRN 5.866% 4/25/37		5,414,482		4,893,179
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1, VRN  2.996% 2/25/34		1,233,124		1,212,479
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 5.000% 3/25/36		2,151,988		2,106,206
				40,259,967
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $194,516,662)				190,379,850

	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 28.3%
Collateralized Mortgage Obligations — 1.0%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates Series KS02, Class A 0.809% 8/25/23 1 mo. LIBOR + .380%, FRN	$	4,014,942	$	3,960,442
Series K040, Class A2 3.241% 9/25/24		3,345,000		3,601,841
Series K151, Class A3 3.511% 4/25/30		2,870,000		3,073,779
				10,636,062
Pass-Through Securities — 27.3%
Federal Home Loan Mortgage Corp. Pool #G18568 2.500% 9/01/30		8,926,221		9,172,041
Pool #G18565 3.000% 8/01/30		1,540,786		1,612,469
Pool #G08653 3.000% 7/01/45		10,165,963		10,418,920
Pool #G08686 3.000% 1/01/46		6,041,086		6,191,405
Pool #G08697 3.000% 3/01/46		1,055,000		1,081,251
Pool #G07848 3.500% 4/01/44		12,531,361		13,246,041
Pool #G07924 3.500% 1/01/45		12,607,380		13,290,937
Pool #G60138 3.500% 8/01/45		7,885,091		8,340,949
Pool #G08671 3.500% 10/01/45		5,549,138		5,816,624
Pool #G60238 3.500% 10/01/45		13,001,268		13,714,307
Pool #G08681 3.500% 12/01/45		7,824,881		8,202,065
Pool #G08687 3.500% 1/01/46		3,340,087		3,501,351
Pool #G08693 3.500% 2/01/46		8,967,287		9,400,239
Pool #G08698 3.500% 3/01/46		10,625,000		11,137,989
Pool #G08677 4.000% 11/01/45		6,443,421		6,885,400
Pool #G08682 4.000% 12/01/45		4,787,424		5,124,041
Pool #G08688 4.000% 1/01/46		6,255,544		6,695,387
Pool #G08694 4.000% 2/01/46		5,339,884		5,715,345

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

28

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

	Principal Amount		Value
Federal National Mortgage Association Pool #AM0359 2.310% 8/01/22	$	2,200,000	$	2,238,277
Pool #AN1032 2.860% 3/01/26		2,015,000		2,075,945
Pool #AL6829 2.965% 5/01/27		4,771,122		4,952,061
Pool #MA1607 3.000% 10/01/33		6,411,975		6,681,729
Pool #AN0564 3.200% 3/01/31		1,335,000		1,366,142
Pool #466386 3.430% 10/01/20		2,969,780		3,181,707
Pool #AN0877 3.500% 2/01/31		993,637		1,053,280
Pool #AB4262 3.500% 1/01/32		5,653,631		5,992,407
Pool #MA1148 3.500% 8/01/42		11,673,985		12,293,253
Pool #MA1404 3.500% 4/01/43		51,099		53,865
Pool #466216 3.540% 10/01/20		2,500,000		2,695,594
Pool #AM4407 3.650% 9/01/23		1,956,323		2,140,513
Pool #468518 3.930% 7/01/21		1,781,440		1,954,480
Pool #FN0003 4.283% 1/01/21		2,764,813		3,058,016
Pool #468066 4.295% 6/01/21		4,200,496		4,664,404
Pool #467731 4.620% 4/01/21		2,088,925		2,342,481
Federal National Mortgage Association TBA Pool #299 2.500% 4/01/28 (b)		7,750,000		7,955,859
Pool #5650 3.000% 6/01/28 (b)		6,645,000		6,941,949
Pool #6237 3.000% 1/01/43 (b)		5,325,000		5,462,701
Pool #1058 3.500% 9/01/43 (b)		9,860,000		10,339,135
Pool #11192 4.000% 10/01/42 (b)		10,020,000		10,708,093
Pool #20567 4.500% 5/01/40 (b)		7,195,000		7,830,183
Government National Mortgage Association II Pool #MA3033 3.000% 8/20/45		8,896,508		9,231,518
Pool #MA2961 3.500% 7/20/45		6,042,117		6,395,675

	Principal Amount		Value
Pool #MA3173 3.500% 10/20/45	$	6,630,591	$	7,018,584
Pool #MA3377 4.000% 1/20/46		7,442,620		7,976,977
Government National Mortgage Association II TBA, Pool #304 3.500% 2/01/44 (b)		9,945,000		10,513,730
				286,665,319
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $294,683,090)				297,301,381
U.S. TREASURY OBLIGATIONS — 13.6%
U.S. Treasury Bonds & Notes — 13.6%
U.S. Treasury Bond 2.500% 2/15/46		28,010,000		27,315,767
U.S. Treasury Inflation Index 0.250% 1/15/25		21,299,472		21,478,899
U.S. Treasury Inflation Index 0.750% 2/15/45		16,011,127		15,490,557
U.S. Treasury Inflation Index 1.375% 2/15/44		7,984,608		8,938,912
U.S. Treasury Inflation Index 2.500% 7/15/16		2,375,467		2,418,491
U.S. Treasury Note 1.250% 3/31/21		8,260,000		8,270,970
U.S. Treasury Note 1.375% 1/31/21		45,235,000		45,559,244
U.S. Treasury Note 1.625% 2/15/26		13,995,000		13,793,822
				143,266,662
TOTAL U.S. TREASURY OBLIGATIONS (Cost $141,776,212)				143,266,662
TOTAL BONDS & NOTES (Cost $919,520,769)				921,820,947
TOTAL LONG-TERM INVESTMENTS (Cost $919,520,769)				921,820,947
SHORT-TERM INVESTMENTS — 17.2%
Repurchase Agreement — 1.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (c)		20,182,175		20,182,175
Sovereign Debt Obligation — 0.5%
Japan Treasury Discount Bill JPY (d) 0.010% 6/27/16		600,000,000		5,332,480

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

29

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

	Principal Amount		Value
Time Deposit — 0.6%
Euro Time Deposit 0.010% 4/01/16	$	6,082,806	$	6,082,806
U.S. Treasury Bills — 14.2%
U.S. Treasury Bill (e) 0.000% 4/07/16		550,000		549,989
U.S. Treasury Bill 0.000% 8/18/16		148,645,000		148,452,505
				149,002,494
TOTAL SHORT-TERM INVESTMENTS (Cost $180,567,645)				180,599,955
TOTAL INVESTMENTS — 105.0% (Cost $1,100,088,414) (f)				1,102,420,902
Other Assets/(Liabilities) — (5.0)%				(52,392,853	)
NET ASSETS — 100.0%			$	1,050,028,049

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS Asset-Backed Security

BAB Build America Bonds

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

JPY Japanese Yen

MBS Mortgage-Backed Security

MTA Monthly Treasury Average Index

STEP Step Up Bond

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 March 31, 2016, these securities amounted to a value of $115,255,520 or 10.98% of net assets.

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

(c) Maturity value of $20,182,180. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $20,589,646.

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

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

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

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

30

MassMutual Select Strategic Bond Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 0.1%
PREFERRED STOCK — 0.1%
Financial — 0.1%
Diversified Financial — 0.1%
Citigroup Capital XIII, 3 mo. USD LIBOR + 6.370%, VRN 6.988%		6,050	$	159,055
TOTAL PREFERRED STOCK (Cost $162,660)				159,055
TOTAL EQUITIES (Cost $162,660)				159,055
	Principal Amount
BONDS & NOTES — 90.4%
BANK LOANS — 2.8%
Airlines — 0.2%
American Airlines, Inc., New Term Loan 3.250% 6/26/20	$	491,250		488,445
Building Materials — 0.0%
ABC Supply Co., Inc., Term Loan 3.500% 4/16/20		138,135		137,927
Coal — 0.0%
Murray Energy Corp., Term Loan B2 7.500% 4/16/20		198,464		100,423
Commercial Services — 0.0%
Brickman Group Ltd. LLC, 1st Lien Term Loan 4.000% 12/18/20		128,687		126,499
Diversified Financial Services — 0.1%
Ziggo Financing Partnership, USD Term Loan B1 3.500% 1/15/22		107,238		106,121
Ziggo Financing Partnership, USD Term Loan B2A 3.508% 1/15/22		69,106		68,386
Ziggo Financing Partnership, USD Term Loan B3 3.601% 1/15/22		113,655		112,471
				286,978
Electric — 0.4%
Energy Future Intermediate Holding Co. LLC, DIP Term Loan 4.250% 6/19/16		1,060,000		1,058,346

	Principal Amount		Value
Foods — 0.1%
Maple Holdings Acquisition Corp., USD Term Loan B 5.250% 3/03/23	$	198,800	$	198,468
Health Care – Services — 0.2%
MPH Acquisition Holdings LLC, Term Loan 3.750% 3/31/21		334,424		330,913
Select Medical Corp., Series F Term Loan B 6.000% 3/03/21		280,000		280,000
				610,913
Lodging — 0.0%
Station Casinos LLC, Term Loan B 4.250% 3/02/20		18,329		18,268
Machinery – Diversified — 0.0%
Gardner Denver, Inc., USD Term Loan 4.250% 7/30/20		136,500		124,215
Media — 0.3%
Univision Communications, Inc., Term Loan C3 4.000% 3/01/20		346,294		342,471
Univision Communications, Inc., Term Loan C4 4.000% 3/01/20		425,482		420,827
				763,298
Mining — 0.0%
FMG Resources (August 2006) Property Ltd., New Term Loans B 4.250% 6/30/19		145,636		122,658
Packaging & Containers — 0.0%
Berry Plastics Holding Corp., Term Loan F 4.000% 10/01/22		37,043		37,024
Pharmaceuticals — 0.2%
DPx Holdings B.V., 2014 USD Incremental Term Loan 4.250% 3/11/21		356,373		342,934
Valeant Pharmaceuticals International, Term Loan B F1 4.000% 4/01/22		267,300		252,042
				594,976
Retail — 0.5%
1011778 B.C. Unlimited Liability Co., Term Loan B 3.750% 12/10/21		382,880		382,348
Academy, Ltd., 2015 Term Loan B 5.000% 7/01/22		309,443		293,921
Michaels Stores, Inc., Term Loan B 3.750% 1/28/20		126,425		126,050

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

31

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

	Principal Amount		Value
The Neiman Marcus Group, Inc., 2020 Term Loan 4.250% 10/25/20	$	327,494	$	299,411
PetSmart, Inc., Term Loan B 4.250% 3/11/22		387,075		385,236
				1,486,966
Software — 0.2%
First Data Corp., Extended 2021 Term Loan 4.432% 3/24/21		100,000		99,672
Kronos, Inc., Initial Incremental Term Loan 4.500% 10/30/19		479,631		477,535
				577,207
Specialty Stores — 0.1%
Party City Holdings, Inc. ., 2015 Term Loan B 4.250% 8/19/22		389,815		386,241
Telecommunications — 0.4%
T-Mobile USA, Inc., Term Loan B 3.500% 11/09/22		99,750		100,093
Telesat Canada, USD Term Loan B2 3.500% 3/28/19		729,323		724,765
Virgin Media Investment Holdings Ltd., USD Term Loan F 3.500% 6/30/23		389,328		385,778
				1,210,636
Transportation — 0.1%
Air Medical Group Holdings, Inc. ., Term Loan B 4.250% 4/28/22		158,800		154,681
TOTAL BANK LOANS (Cost $8,638,800)				8,484,169
CORPORATE DEBT — 30.1%
Advertising — 0.0%
WPP Finance 2010 5.125% 9/07/42		60,000		58,619
Aerospace & Defense — 0.4%
The Boeing Co. 4.875% 2/15/20		10,000		11,251
The Boeing Co. 6.000% 3/15/19		130,000		147,606
Harris Corp. 5.054% 4/27/45		80,000		85,238
Lockheed Martin Corp. 3.550% 1/15/26		520,000		550,816
Lockheed Martin Corp. 4.500% 5/15/36		70,000		75,297
Raytheon Co. 3.125% 10/15/20		120,000		128,122

	Principal Amount		Value
United Technologies Corp. 4.500% 6/01/42	$	180,000	$	195,029
				1,193,359
Agriculture — 0.8%
Altria Group, Inc. 2.850% 8/09/22		210,000		216,920
Altria Group, Inc. 4.750% 5/05/21		290,000		328,908
Altria Group, Inc. 5.375% 1/31/44		110,000		134,399
Altria Group, Inc. 9.250% 8/06/19		180,000		222,413
Altria Group, Inc. 9.950% 11/10/38		30,000		52,757
Altria Group, Inc. 10.200% 2/06/39		130,000		238,141
Philip Morris International, Inc. 2.500% 8/22/22		80,000		82,385
Philip Morris International, Inc. 2.900% 11/15/21		240,000		253,686
Philip Morris International, Inc. 4.500% 3/20/42		80,000		86,001
Reynolds American, Inc. 3.250% 6/12/20		65,000		67,974
Reynolds American, Inc. 5.850% 8/15/45		620,000		757,120
Reynolds American, Inc. 8.125% 6/23/19		10,000		11,949
				2,452,653
Airlines — 0.1%
Delta Air Lines, Inc., Series 2007-1 Class A 6.821% 2/10/24		194,055		223,163
United Air Lines, Inc. 9.750% 7/15/18		67,869		71,275
				294,438
Auto Manufacturers — 0.7%
Daimler Finance NA LLC (a) 2.625% 9/15/16		260,000		261,622
Fiat Chrysler Automobiles NV 4.500% 4/15/20		200,000		203,000
Ford Motor Co. 4.750% 1/15/43		660,000		662,161
Ford Motor Credit Co. LLC 3.200% 1/15/21		360,000		367,958
General Motors Co. 6.250% 10/02/43		300,000		320,413
General Motors Financial Co., Inc. 2.750% 5/15/16		50,000		50,090
General Motors Financial Co., Inc. 3.250% 5/15/18		20,000		20,333

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

32

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

	Principal Amount		Value
General Motors Financial Co., Inc. 3.450% 4/10/22	$	30,000	$	29,456
General Motors Financial Co., Inc. 4.250% 5/15/23		10,000		10,056
General Motors Financial Co., Inc. 4.375% 9/25/21		80,000		82,682
				2,007,771
Automotive & Parts — 0.1%
American Axle & Manufacturing Inc, Series A 6.625% 10/15/22		200,000		207,500
The Goodyear Tire & Rubber Co. 5.125% 11/15/23		100,000		102,250
				309,750
Banks — 6.9%
Bank of America Corp. 3.300% 1/11/23		90,000		90,756
Bank of America Corp. 3.875% 8/01/25		250,000		259,111
Bank of America Corp. 4.000% 4/01/24		270,000		283,219
Bank of America Corp. 4.000% 1/22/25		270,000		270,410
Bank of America Corp. 4.125% 1/22/24		290,000		307,193
Bank of America Corp. 4.200% 8/26/24		380,000		386,950
Bank of America Corp. 4.875% 4/01/44		220,000		239,727
Bank of America Corp. 5.000% 5/13/21		220,000		244,176
Bank of America Corp. 5.000% 1/21/44		460,000		507,680
Bank of America Corp. 5.625% 7/01/20		210,000		235,980
Bank of America Corp. 5.650% 5/01/18		90,000		96,612
Bank of America Corp. 5.750% 12/01/17		30,000		31,879
Bank of America Corp. 3 mo. USD LIBOR + 3.705%, VRN 6.250% 9/29/49		290,000		284,200
Bank of America Corp. 7.625% 6/01/19		40,000		46,551
Barclays Bank PLC (a) 6.050% 12/04/17		130,000		137,050
BNP Paribas SA 2.375% 9/14/17		130,000		131,603
BNP Paribas SA (a) 4.375% 9/28/25		200,000		199,811
CIT Group Inc. 5.000% 8/15/22		180,000		182,137

	Principal Amount		Value
CIT Group, Inc. 5.000% 8/01/23	$	150,000	$	150,750
Citigroup, Inc. 3.750% 6/16/24		300,000		310,736
Citigroup, Inc. 3.875% 10/25/23		60,000		62,832
Citigroup, Inc. 4.300% 11/20/26		1,070,000		1,064,843
Citigroup, Inc. 4.400% 6/10/25		340,000		346,702
Citigroup, Inc. 4.450% 9/29/27		540,000		543,372
Citigroup, Inc. 4.650% 7/30/45		720,000		754,008
Citigroup, Inc. 3 mo. USD LIBOR + 3.905%, VRN 5.950% 12/31/49		500,000		481,250
Citigroup, Inc. 3 mo. USD LIBOR + 3.423%, VRN 6.300% 12/29/49		150,000		144,072
Citigroup, Inc. 6.625% 6/15/32		20,000		23,358
Commonwealth Bank of Australia (a) 5.000% 10/15/19		70,000		76,862
Cooperatieve Rabobank UA 4.375% 8/04/25		280,000		288,288
Cooperatieve Rabobank UA 4.625% 12/01/23		250,000		263,900
Cooperatieve Rabobank UA 5.250% 8/04/45		895,000		967,909
Cooperatieve Rabobank UA 3 mo. USD LIBOR + 10.868%, VRN (a) 11.000% 12/29/49		210,000		251,979
Credit Agricole SA 3 mo. USD LIBOR + 6.982%, VRN (a) 8.375% 10/29/49		480,000		529,296
Credit Suisse Group Funding Guernsey Ltd. 4.875% 5/15/45		260,000		247,698
The Goldman Sachs Group, Inc. 2.375% 1/22/18		70,000		70,900
The Goldman Sachs Group, Inc. 3.850% 7/08/24		90,000		92,994
The Goldman Sachs Group, Inc. 4.250% 10/21/25		190,000		193,190
The Goldman Sachs Group, Inc. 4.750% 10/21/45		180,000		188,139
The Goldman Sachs Group, Inc. 5.150% 5/22/45		430,000		436,830
HSBC Holdings PLC 3.400% 3/08/21		490,000		500,042
HSBC Holdings PLC 4.250% 8/18/25		330,000		325,997

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

33

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

	Principal Amount		Value
HSBC Holdings PLC 6.500% 9/15/37	$	300,000	$	352,351
ING Bank NV (a) 5.800% 9/25/23		210,000		228,834
Intesa Sanpaolo SpA (a) 5.017% 6/26/24		450,000		421,399
JP Morgan Chase & Co. 3.375% 5/01/23		130,000		130,538
JP Morgan Chase & Co. 3.625% 5/13/24		80,000		83,416
JP Morgan Chase & Co. 3.875% 9/10/24		380,000		389,709
JP Morgan Chase & Co. 4.950% 6/01/45		290,000		306,086
M&T Bank Corp. 6.875% 12/29/49		440,000		441,650
Nordea Bank AB (a) 4.875% 5/13/21		390,000		422,444
Royal Bank of Scotland Group PLC 6.000% 12/19/23		240,000		243,072
Royal Bank of Scotland Group PLC 6.100% 6/10/23		210,000		215,092
Royal Bank of Scotland Group PLC 6.125% 12/15/22		110,000		116,684
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 2.500%, VRN 7.648% 8/29/49		30,000		35,100
Royal Bank of Scotland NV 4.650% 6/04/18		70,000		71,995
Standard Chartered PLC (a) 5.700% 3/26/44		470,000		423,156
State Street Corp. STEP 4.956% 3/15/18		280,000		294,293
UBS Group Funding Jersey Ltd. (a) 4.125% 9/24/25		530,000		530,756
Wachovia Capital Trust III 3 mo. USD LIBOR + .930%, VRN 5.570% 3/29/49		710,000		701,125
Wells Fargo & Co. 3.450% 2/13/23		120,000		123,062
Wells Fargo & Co. 4.300% 7/22/27		610,000		647,237
Wells Fargo & Co. 4.480% 1/16/24		991,000		1,076,608
Wells Fargo & Co. 4.600% 4/01/21		40,000		44,381
Wells Fargo & Co. 4.650% 11/04/44		60,000		61,677
Wells Fargo & Co. 4.900% 11/17/45		290,000		311,269
Wells Fargo & Co. 5.375% 11/02/43		110,000		124,334

	Principal Amount		Value
Wells Fargo & Co. 3 mo. USD LIBOR + 3.990%, VRN 5.875% 12/29/49	$	460,000	$	491,188
Wells Fargo Bank NA 6.000% 11/15/17		250,000		268,178
				20,806,626
Beverages — 1.7%
Anheuser-Busch InBev Finance, Inc. 2.650% 2/01/21		190,000		195,242	��
Anheuser-Busch InBev Finance, Inc. 3.300% 2/01/23		320,000		332,679
Anheuser-Busch InBev Finance, Inc. 3.650% 2/01/26		1,440,000		1,514,323
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		1,310,000		1,464,006
Anheuser-Busch InBev Worldwide, Inc. 2.500% 7/15/22		240,000		242,003
Anheuser-Busch InBev Worldwide, Inc. 5.000% 4/15/20		100,000		112,124
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		260,000		293,179
Diageo Capital PLC 4.828% 7/15/20		200,000		225,128
Diageo Investment Corp. 2.875% 5/11/22		150,000		156,786
Molson Coors Brewing Co. 3.500% 5/01/22		30,000		30,930
PepsiCo, Inc. 4.000% 3/05/42		50,000		51,721
Pernod Ricard SA (a) 2.950% 1/15/17		180,000		181,781
Pernod Ricard SA (a) 4.450% 1/15/22		250,000		269,866
				5,069,768
Biotechnology — 0.6%
Amgen, Inc. 3.625% 5/22/24		70,000		73,642
Amgen, Inc. 5.375% 5/15/43		220,000		250,538
Celgene Corp. 3.550% 8/15/22		120,000		125,817
Celgene Corp. 3.625% 5/15/24		40,000		41,344
Celgene Corp. 3.875% 8/15/25		220,000		231,206
Celgene Corp. 5.000% 8/15/45		210,000		227,080
Celgene Corp. 5.250% 8/15/43		70,000		78,217
Gilead Sciences, Inc. 3.700% 4/01/24		210,000		225,317

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

34

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

	Principal Amount		Value
Gilead Sciences, Inc. 4.500% 2/01/45	$	120,000	$	127,105
Gilead Sciences, Inc. 4.750% 3/01/46		330,000		361,215
				1,741,481
Chemicals — 0.3%
Axiall Corp. 4.875% 5/15/23		90,000		87,918
Eagle Spinco, Inc. 4.625% 2/15/21		300,000		290,280
Ecolab, Inc. 4.350% 12/08/21		50,000		55,201
OCP SA (a) 4.500% 10/22/25		330,000		316,223
Potash Corp. of Saskatchewan, Inc. 4.875% 3/30/20		50,000		53,865
				803,487
Coal — 0.0%
Murray Energy Corp. (a) 11.250% 4/15/21		190,000		25,175
Commercial Services — 0.1%
Catholic Health Initiatives 4.350% 11/01/42		20,000		19,746
United Business Media Ltd. (a) 5.750% 11/03/20		110,000		119,148
United Rentals North America, Inc. 5.500% 7/15/25		140,000		139,271
				278,165
Diversified Financial — 3.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.750% 5/15/19		150,000		149,250
Ally Financial, Inc. 3.500% 1/27/19		80,000		78,800
Ally Financial, Inc. 7.500% 9/15/20		296,000		327,820
American Express Co. 3 mo. USD LIBOR + 2.228%, VRN 6.800% 9/01/66		180,000		180,450
Boeing Capital Corp. 4.700% 10/27/19		150,000		166,606
Citigroup, Inc. 3 mo. USD LIBOR + 3.466%, VRN 5.350% 12/31/49		100,000		92,250
Citigroup, Inc. 5.500% 9/13/25		170,000		186,033
Citigroup, Inc. 3 mo. USD LIBOR + 4.230%, VRN 5.900% 12/29/49		40,000		39,300

	Principal Amount		Value
Citigroup, Inc. 3 mo. USD LIBOR + 4.068%, VRN 5.950% 12/31/49	$	100,000	$	96,344
Citigroup, Inc. 8.125% 7/15/39		10,000		14,793
Countrywide Financial Corp. 6.250% 5/15/16		360,000		362,044
Federal National Mortgage Association 0.010% 10/09/19		1,460,000		1,387,118
Ford Motor Credit Co. LLC 8.125% 1/15/20		420,000		498,768
GE Capital International Funding Co. (a) 2.342% 11/15/20		215,000		220,255
GE Capital International Funding Co. (a) 4.418% 11/15/35		580,000		630,108
General Electric Co. 4.375% 9/16/20		10,000		11,154
General Electric Co. 4.650% 10/17/21		170,000		193,942
General Electric Co. 5.300% 2/11/21		75,000		87,101
General Electric Co. 5.875% 1/14/38		86,000		112,050
General Electric Co. 6.875% 1/10/39		116,000		167,968
The Goldman Sachs Group, Inc. 4.000% 3/03/24		100,000		104,852
The Goldman Sachs Group, Inc. 5.250% 7/27/21		100,000		112,563
The Goldman Sachs Group, Inc. 6.000% 6/15/20		290,000		330,626
The Goldman Sachs Group, Inc. 6.250% 2/01/41		770,000		957,369
The Goldman Sachs Group, Inc. 6.750% 10/01/37		60,000		71,666
HSBC Finance Corp. 6.676% 1/15/21		460,000		527,626
Hyundai Capital America (a) 2.125% 10/02/17		70,000		70,185
International Lease Finance Corp. (a) 6.750% 9/01/16		680,000		690,200
John Deere Capital Corp. 1.700% 1/15/20		40,000		39,903
John Deere Capital Corp. 2.250% 4/17/19		100,000		102,088
JP Morgan Chase & Co. 4.350% 8/15/21		40,000		43,708
KKR Group Finance Co. II LLC (a) 5.500% 2/01/43		20,000		20,438
Merrill Lynch & Co., Inc. 6.875% 4/25/18		110,000		120,782
Morgan Stanley 4.750% 3/22/17		40,000		41,313

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

35

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

	Principal Amount		Value
Morgan Stanley 5.500% 7/24/20	$	200,000	$	224,861
Quicken Loans, Inc. (a) 5.750% 5/01/25		90,000		87,300
Synchrony Financial 2.700% 2/03/20		200,000		198,181
Toyota Motor Credit Corp. 1.250% 10/05/17		290,000		290,502
Visa, Inc. 3.150% 12/14/25		560,000		584,570
Visa, Inc. 4.300% 12/14/45		260,000		284,442
				9,905,329
Electric — 1.1%
AES Corp. 4.875% 5/15/23		230,000		221,375
AES Corp. 5.500% 3/15/24		30,000		29,325
AES Corp. 5.500% 4/15/25		90,000		86,850
AES Corp. 7.375% 7/01/21		20,000		22,400
Calpine Corp. (a) 5.875% 1/15/24		120,000		126,000
Duke Energy Corp. 3.750% 4/15/24		100,000		104,549
Exelon Corp. 5.625% 6/15/35		290,000		327,111
FirstEnergy Corp. 2.750% 3/15/18		70,000		70,667
FirstEnergy Corp. 4.250% 3/15/23		310,000		322,701
FirstEnergy Corp. Series C 7.375% 11/15/31		630,000		765,177
Majapahit Holding BV (b) 7.750% 1/20/20		370,000		422,725
Midamerican Energy Holdings Co., Series A 6.500% 9/15/37		40,000		52,160
Pacific Gas & Electric Co. 5.800% 3/01/37		110,000		136,699
Pacific Gas & Electric Co. 6.050% 3/01/34		420,000		535,558
Pacific Gas & Electric Co. 8.250% 10/15/18		50,000		57,975
				3,281,272
Electronics — 0.0%
Thermo Fisher Scientific, Inc. 3.600% 8/15/21		90,000		93,125
Engineering & Construction — 0.0%
ABB Finance USA, Inc. 4.375% 5/08/42		20,000		21,093

	Principal Amount		Value
Environmental Controls — 0.1%
Waste Management, Inc. 3.500% 5/15/24	$	90,000	$	94,131
Waste Management, Inc. 4.600% 3/01/21		30,000		32,186
Waste Management, Inc. 7.375% 5/15/29		50,000		68,240
				194,557
Foods — 0.5%
Kraft Heinz Foods Co. 3.500% 6/06/22		170,000		178,695
Kraft Heinz Foods Co. 5.375% 2/10/20		136,000		151,809
Kraft Heinz Foods Co. (a) 3.950% 7/15/25		120,000		127,685
Kraft Heinz Foods Co. (a) 4.875% 2/15/25		252,000		277,618
Kraft Heinz Foods Co. (a) 5.000% 7/15/35		120,000		132,344
Kraft Heinz Foods Co. (a) 5.200% 7/15/45		70,000		78,322
The Kroger Co. 6.400% 8/15/17		30,000		32,062
The Kroger Co. 6.900% 4/15/38		40,000		52,709
Mondelez International, Inc. 4.000% 2/01/24		260,000		279,149
Tyson Foods, Inc. 5.150% 8/15/44		40,000		44,724
WM Wrigley Jr. Co. (a) 2.400% 10/21/18		40,000		40,399
WM Wrigley Jr. Co. (a) 2.900% 10/21/19		130,000		133,523
WM Wrigley Jr. Co. (a) 3.375% 10/21/20		10,000		10,413
				1,539,452
Forest Products & Paper — 0.0%
Celulosa Arauco y Constitucion SA 4.750% 1/11/22		130,000		137,653
Health Care – Products — 0.3%
Becton Dickinson & Co. 3.734% 12/15/24		140,000		149,045
Becton Dickinson & Co. 4.685% 12/15/44		50,000		54,008
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (a) 5.500% 4/15/25		10,000		8,825
Medtronic, Inc. 3.125% 3/15/22		180,000		189,992
Medtronic, Inc. 3.500% 3/15/25		260,000		277,509

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

36

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

	Principal Amount		Value
Medtronic, Inc. 4.625% 3/15/45	$	200,000	$	223,844
Zimmer Biomet Holdings, Inc. 4.450% 8/15/45		90,000		88,579
				991,802
Health Care – Services — 0.6%
Anthem, Inc. 5.875% 6/15/17		20,000		21,034
Anthem, Inc. 7.000% 2/15/19		50,000		56,559
Centene Escrow Corp. (a) 5.625% 2/15/21		90,000		93,825
Centene Escrow Corp. (a) 6.125% 2/15/24		50,000		52,625
DaVita HealthCare Partners, Inc. 5.125% 7/15/24		90,000		90,900
Fresenius Medical Care US Co. (a) 5.750% 2/15/21		70,000		75,775
Fresenius Medical Care US Finance II, Inc. (a) 4.125% 10/15/20		50,000		51,000
Fresenius Medical Care US Finance II, Inc. (a) 5.875% 1/31/22		50,000		54,925
HCA, Inc. 4.250% 10/15/19		60,000		61,838
HCA, Inc. 5.375% 2/01/25		50,000		50,547
HCA, Inc. 5.875% 3/15/22		190,000		205,675
HCA, Inc. 5.875% 2/15/26		80,000		82,400
HCA, Inc. 7.500% 2/15/22		120,000		135,900
Humana, Inc. 3.150% 12/01/22		40,000		40,520
Humana, Inc. 4.625% 12/01/42		70,000		68,034
Kindred Healthcare, Inc. 8.750% 1/15/23		140,000		134,050
Tenet Healthcare Corp. 6.750% 6/15/23		80,000		76,600
Tenet Healthcare Corp. 8.125% 4/01/22		140,000		144,025
UnitedHealth Group, Inc. 3.750% 7/15/25		50,000		53,874
UnitedHealth Group, Inc. 4.750% 7/15/45		80,000		91,735
UnitedHealth Group, Inc. 5.800% 3/15/36		70,000		89,004
WellPoint, Inc. 3.125% 5/15/22		50,000		50,265

	Principal Amount		Value
WellPoint, Inc. 3.700% 8/15/21	$	70,000	$	73,549
				1,854,659
Holding Company – Diversified — 0.0%
Argos Merger Sub, Inc. (a) 7.125% 3/15/23		50,000		53,150
Home Builders — 0.1%
NVR, Inc. 3.950% 9/15/22		100,000		104,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) 5.250% 4/15/21		120,000		117,600
				221,600
Household Products — 0.1%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC 5.750% 10/15/20		10,000		10,262
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC STEP 6.875% 2/15/21		150,000		155,250
Spectrum Brands, Inc. 5.750% 7/15/25		60,000		63,750
				229,262
Housewares — 0.1%
Newell Rubbermaid, Inc. 3.150% 4/01/21		80,000		82,177
Newell Rubbermaid, Inc. 3.850% 4/01/23		170,000		176,309
Newell Rubbermaid, Inc. 4.200% 4/01/26		140,000		146,446
				404,932
Insurance — 0.7%
American International Group, Inc. 3.750% 7/10/25		210,000		209,750
American International Group, Inc. 6.250% 3/15/37		234,000		241,020
Chubb INA Holdings, Inc. 2.300% 11/03/20		70,000		71,166
Chubb INA Holdings, Inc. 3.350% 5/03/26		90,000		93,959
Chubb INA Holdings, Inc. 4.350% 11/03/45		230,000		250,656
MetLife Capital Trust IV (a) 7.875% 12/15/37		200,000		230,000
MetLife, Inc. 6.400% 12/15/36		200,000		206,600
Teachers Insurance & Annuity Association of America (a) 4.900% 9/15/44		200,000		214,310

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

37

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

	Principal Amount		Value
Teachers Insurance & Annuity Association of America (a) 6.850% 12/16/39	$	260,000	$	334,678
Voya Financial, Inc. STEP 2.900% 2/15/18		40,000		40,616
Voya Financial, Inc. 5.700% 7/15/43		200,000		226,713
				2,119,468
Internet — 0.1%
Amazon.com, Inc. 4.950% 12/05/44		180,000		207,394
Netflix, Inc. 5.500% 2/15/22		10,000		10,470
Netflix, Inc. 5.875% 2/15/25		50,000		52,625
				270,489
Iron & Steel — 0.4%
ArcelorMittal 6.125% 6/01/25		110,000		101,750
ArcelorMittal STEP 6.500% 3/01/21		60,000		59,100
ArcelorMittal STEP 7.250% 2/25/22		50,000		49,475
ArcelorMittal STEP 8.000% 10/15/39		80,000		69,600
Glencore Funding LLC (a) 2.875% 4/16/20		540,000		480,600
Steel Dynamics, Inc. 6.375% 8/15/22		60,000		61,800
Vale Overseas Ltd. 6.875% 11/21/36		361,000		285,082
				1,107,407
Leisure Time — 0.0%
NCL Corp. Ltd. (a) 4.625% 11/15/20		140,000		140,700
Lodging — 0.1%
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 5.625% 10/15/21		250,000		259,050
Manufacturing — 0.2%
Eaton Corp. 1.500% 11/02/17		70,000		70,071
Eaton Corp. 2.750% 11/02/22		570,000		570,284
General Electric Co. 4.500% 3/11/44		60,000		66,975
				707,330
Media — 1.7%
21st Century Fox America, Inc. 6.200% 12/15/34		20,000		24,057

	Principal Amount		Value
21st Century Fox America, Inc. 6.650% 11/15/37	$	30,000	$	37,354
CCO Holdings LLC/CCO Holdings Capital Corp. (a) 5.875% 4/01/24		30,000		31,425
CCO Holdings LLC/CCO Holdings Capital Corp. 7.000% 1/15/19		94,000		95,880
CCO Safari II LLC (a) 4.464% 7/23/22		160,000		167,243
CCO Safari II LLC (a) 6.484% 10/23/45		740,000		823,417
Comcast Corp. 3.375% 2/15/25		140,000		148,773
Comcast Corp. 3.375% 8/15/25		190,000		202,102
Comcast Corp. 4.200% 8/15/34		160,000		169,129
Comcast Corp. 4.250% 1/15/33		20,000		21,300
Comcast Corp. 6.400% 3/01/40		80,000		108,437
Comcast Corp. 6.950% 8/15/37		160,000		224,682
CSC Holdings LLC 6.750% 11/15/21		190,000		195,130
DISH DBS Corp. 5.875% 7/15/22		80,000		75,800
DISH DBS Corp. 5.875% 11/15/24		480,000		440,400
NBCUniversal Media LLC 4.375% 4/01/21		170,000		190,095
Numericable-SFR SA (a) 6.000% 5/15/22		400,000		390,000
Time Warner Cable, Inc. 4.125% 2/15/21		140,000		147,922
Time Warner Cable, Inc. 5.500% 9/01/41		20,000		19,834
Time Warner Cable, Inc. 5.875% 11/15/40		50,000		51,746
Time Warner Cable, Inc. 6.550% 5/01/37		70,000		76,709
Time Warner Cable, Inc. 6.750% 6/15/39		120,000		135,065
Time Warner Cable, Inc. 7.300% 7/01/38		80,000		93,840
Time Warner Cable, Inc. 8.250% 4/01/19		230,000		267,760
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		25,407
Time Warner, Inc. 4.750% 3/29/21		200,000		220,559

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

38

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

	Principal Amount		Value
Time Warner, Inc. 6.250% 3/29/41	$	20,000	$	23,118
Time Warner, Inc. 7.700% 5/01/32		300,000		385,155
Univision Communications, Inc. (a) 6.750% 9/15/22		261,000		276,660
Viacom, Inc. 3.875% 4/01/24		30,000		29,880
Viacom, Inc. 4.250% 9/01/23		50,000		51,181
				5,150,060
Mining — 0.8%
Barrick Gold Corp. 4.100% 5/01/23		54,000		52,590
Barrick Gold Corp. 6.950% 4/01/19		61,000		66,623
Barrick NA Finance LLC 4.400% 5/30/21		180,000		184,015
BHP Billiton Finance USA Ltd. 3.250% 11/21/21		40,000		41,142
BHP Billiton Finance USA Ltd. 5.000% 9/30/43		130,000		132,250
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		410,000		461,270
BHP Billiton Finance USA Ltd. USD 5 year swap rate + 5.093%, VRN (a) 6.750% 10/20/25		290,000		290,000
FMG Resources August 2006 Pty Ltd. (a) 9.750% 3/01/22		190,000		189,525
Freeport-McMoRan, Inc. 4.000% 11/14/21		250,000		176,875
Glencore Finance Canada STEP (a) 2.700% 10/25/17		320,000		313,600
Glencore Finance Canada (a) 5.800% 11/15/16		60,000		60,744
Rio Tinto Finance USA Ltd. 3.500% 11/02/20		220,000		227,706
Rio Tinto Finance USA Ltd. 3.750% 9/20/21		20,000		20,758
Southern Copper Corp. 5.250% 11/08/42		400,000		328,540
				2,545,638
Oil & Gas — 2.8%
Anadarko Petroleum Corp. 4.850% 3/15/21		320,000		323,394
Anadarko Petroleum Corp. 6.450% 9/15/36		10,000		9,986
Antero Resources Corp. 5.375% 11/01/21		10,000		9,250
Apache Corp. 5.100% 9/01/40		330,000		299,424

	Principal Amount		Value
Apache Corp. 6.000% 1/15/37	$	30,000	$	29,853
Atwood Oceanics, Inc. 6.500% 2/01/20		70,000		33,250
BP Capital Markets PLC 3.506% 3/17/25		80,000		81,212
BP Capital Markets PLC 3.561% 11/01/21		20,000		21,058
California Resources Corp. 5.500% 9/15/21		70,000		15,400
California Resources Corp. 6.000% 11/15/24		210,000		47,250
Chesapeake Energy Corp. 6.875% 11/15/20		210,000		82,425
CNOOC Finance 2015 USA LLC 3.500% 5/05/25		550,000		540,905
Concho Resources, Inc. 5.500% 4/01/23		20,000		19,600
Concho Resources, Inc. 6.500% 1/15/22		98,000		97,755
Conoco, Inc. 6.950% 4/15/29		125,000		140,606
Continental Resources, Inc. 4.500% 4/15/23		30,000		25,088
Continental Resources, Inc. 5.000% 9/15/22		20,000		17,238
Devon Energy Corp. 3.250% 5/15/22		100,000		84,199
Devon Energy Corp. 5.000% 6/15/45		330,000		246,301
Devon Energy Corp. 5.600% 7/15/41		170,000		133,144
Devon Energy Corp. 5.850% 12/15/25		170,000		164,090
Devon Financing Corp. LLC 7.875% 9/30/31		60,000		58,835
Ecopetrol SA 5.375% 6/26/26		300,000		273,000
Ecopetrol SA 5.875% 5/28/45		190,000		149,568
Ensco PLC 4.700% 3/15/21		100,000		69,787
Exxon Mobil Corp. 3.043% 3/01/26		240,000		245,631
Exxon Mobil Corp. 4.114% 3/01/46		70,000		74,221
Hess Corp. 8.125% 2/15/19		130,000		142,830
Kerr-McGee Corp. 6.950% 7/01/24		230,000		243,446
Kerr-McGee Corp. 7.875% 9/15/31		130,000		142,017

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

39

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

	Principal Amount		Value
MEG Energy Corp. (a) 6.500% 3/15/21	$	20,000	$	12,075
Noble Energy, Inc. 5.250% 11/15/43		30,000		25,836
Noble Energy, Inc. 8.250% 3/01/19		300,000		330,154
Oasis Petroleum, Inc. 6.875% 3/15/22		140,000		103,600
Oasis Petroleum, Inc. 7.250% 2/01/19		30,000		22,875
Occidental Petroleum Corp. 3.125% 2/15/22		120,000		123,960
Occidental Petroleum Corp. (c) 3.400% 4/15/26		170,000		171,623
Occidental Petroleum Corp. 4.625% 6/15/45		80,000		83,313
Petrobras Global Finance BV 5.375% 1/27/21		660,000		545,576
Petrobras Global Finance BV 6.250% 3/17/24		240,000		191,928
Petrobras International Finance Co. 5.750% 1/20/20		142,000		123,362
Petroleos Mexicanos 6.375% 1/23/45		220,000		203,940
Petroleos Mexicanos (a) 6.875% 8/04/26		160,000		173,200
Petroleos Mexicanos Co. 6.625% 6/15/35		623,000		598,080
Pride International, Inc. 6.875% 8/15/20		40,000		29,200
QEP Resources, Inc. 5.250% 5/01/23		40,000		34,800
QEP Resources, Inc. 6.875% 3/01/21		190,000		174,325
Range Resources Corp. (a) 4.875% 5/15/25		40,000		35,000
Range Resources Corp. 5.000% 3/15/23		240,000		203,400
Shell International Finance BV 4.125% 5/11/35		110,000		112,710
Shell International Finance BV 4.375% 3/25/20		210,000		229,250
Shell International Finance BV 4.375% 5/11/45		190,000		190,546
Sinopec Group Overseas Development 2014 Ltd. (a) 4.375% 4/10/24		330,000		352,155
SM Energy Co. 5.000% 1/15/24		90,000		62,297
SM Energy Co. 6.125% 11/15/22		130,000		94,770
SM Energy Co. 6.500% 1/01/23		50,000		35,250

	Principal Amount		Value
Transocean, Inc. STEP 5.800% 12/15/16	$	70,000	$	69,790
Whiting Petroleum Corp. 5.750% 3/15/21		80,000		53,200
Whiting Petroleum Corp. 6.250% 4/01/23		280,000		188,300
				8,395,278
Oil & Gas Services — 0.3%
Baker Hughes, Inc. 3.200% 8/15/21		190,000		193,232
Halliburton Co. 2.700% 11/15/20		80,000		81,218
Halliburton Co. 3.800% 11/15/25		240,000		240,371
Plains Exploration & Production Co. 6.500% 11/15/20		26,000		20,800
Plains Exploration & Production Co. 6.875% 2/15/23		36,000		27,540
Schlumberger Holdings Corp. (a) 3.000% 12/21/20		190,000		192,629
Schlumberger Holdings Corp. (a) 4.000% 12/21/25		150,000		154,864
Schlumberger Norge AS (a) 4.200% 1/15/21		10,000		10,742
SESI LLC 7.125% 12/15/21		50,000		37,750
				959,146
Packaging & Containers — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 3 mo. USD LIBOR + 3.000%, FRN (a) 3.634% 12/15/19		200,000		197,000
Rock Tenn Co. 3.500% 3/01/20		80,000		81,114
Rock Tenn Co. 4.000% 3/01/23		30,000		30,731
				308,845
Pharmaceuticals — 0.6%
AbbVie, Inc. 1.750% 11/06/17		130,000		130,602
AbbVie, Inc. 2.900% 11/06/22		80,000		81,413
AbbVie, Inc. 3.600% 5/14/25		130,000		136,463
Actavis Funding SCS 3.450% 3/15/22		30,000		31,145
Actavis Funding SCS 3.800% 3/15/25		180,000		187,334
Actavis Funding SCS 4.550% 3/15/35		30,000		30,909

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

40

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

		Principal Amount		Value
Actavis Funding SCS 4.750% 3/15/45		$	210,000	$	220,858
Baxalta, Inc. (a) 5.250% 6/23/45			30,000		31,884
GlaxoSmithKline Capital PLC 2.850% 5/08/22			180,000		188,545
Merck & Co., Inc. 2.750% 2/10/25			150,000		153,552
Pfizer, Inc. 6.200% 3/15/19			240,000		273,165
Valeant Pharmaceuticals Co. (a) 5.375% 3/15/20			300,000		244,500
Valeant Pharmaceuticals Co. (a) 7.500% 7/15/21			10,000		8,331
					1,718,701
Pipelines — 0.6%
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 3/15/24			70,000		61,084
El Paso Natural Gas Co. 8.375% 6/15/32			289,000		306,893
Enterprise Products Operating LLC 5.700% 2/15/42			40,000		40,472
Kinder Morgan Energy Partners LP 3.500% 9/01/23			120,000		108,718
Kinder Morgan, Inc. 5.300% 12/01/34			90,000		77,463
MPLX LP (a) 4.875% 12/01/24			150,000		138,486
MPLX LP (a) 4.875% 6/01/25			140,000		127,656
MPLX LP (a) 5.500% 2/15/23	��		80,000		77,444
Regency Energy Partners LP/Regency Energy Finance Corp. 4.500% 11/01/23			30,000		26,470
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/01/22			100,000		97,149
Regency Energy Partners LP/Regency Energy Finance Corp. 6.500% 7/15/21			28,000		27,580
Sabine Pass Liquefaction LLC STEP 5.625% 2/01/21			100,000		96,125
Southern Natural Gas Co. LLC 8.000% 3/01/32			5,000		5,285
Transcontinental Gas Pipe Line Co. LLC (a) 7.850% 2/01/26			280,000		320,241
The Williams Cos., Inc. 7.750% 6/15/31			78,000		64,545

	Principal Amount		Value
The Williams Cos., Inc. Series A 7.500% 1/15/31	$	240,000	$	195,000
Williams Partners LP/ACMP Finance Corp. 4.875% 5/15/23		140,000		121,558
				1,892,169
Real Estate — 0.2%
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) 3.750% 9/17/24		220,000		223,917
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) 4.750% 9/17/44		250,000		253,688
				477,605
Retail — 0.7%
1011778 B.C. Unlimited Liability Co./New Red Finance, Inc. (a) 6.000% 4/01/22		110,000		114,400
CVS Health Corp. 2.750% 12/01/22		120,000		123,252
CVS Health Corp. 3.875% 7/20/25		140,000		151,078
CVS Health Corp. 5.125% 7/20/45		840,000		972,823
CVS Health Corp. 5.750% 5/15/41		50,000		61,104
CVS Pass-Through Trust (a) 5.298% 1/11/27		10,270		11,232
CVS Pass-Through Trust 5.880% 1/10/28		110,547		121,984
CVS Pass-Through Trust 6.036% 12/10/28		94,597		105,949
CVS Pass-Through Trust 6.943% 1/10/30		78,816		91,042
Family Tree Escrow LLC (a) 5.750% 3/01/23		130,000		137,800
McDonald’s Corp. 3.700% 1/30/26		200,000		211,828
QVC, Inc. 5.950% 3/15/43		10,000		8,721
Wal-Mart Stores, Inc. 6.200% 4/15/38		50,000		67,666
				2,178,879
Savings & Loans — 0.1%
The Goldman Sachs Capital II 3 mo. USD LIBOR + .768%, VRN 5.793% 12/31/49		208,000		148,824
ILFC E-Capital Trust II VRN (a) 4.490% 12/21/65		10,000		8,100
				156,924

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

41

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

	Principal Amount		Value
Semiconductors — 0.1%
Intel Corp. 3.700% 7/29/25	$	70,000	$	76,673
Intel Corp. 4.900% 7/29/45		50,000		56,078
Micron Technology, Inc. 5.500% 2/01/25		40,000		32,425
Micron Technology, Inc. (a) 5.625% 1/15/26		60,000		47,400
National Semiconductor Corp. 6.600% 6/15/17		30,000		31,979
				244,555
Software — 0.3%
Activision Blizzard, Inc. (a) 5.625% 9/15/21		80,000		84,100
Activision Blizzard, Inc. (a) 6.125% 9/15/23		40,000		42,900
First Data Corp. (a) 5.000% 1/15/24		150,000		150,187
First Data Corp. (a) 7.000% 12/01/23		420,000		424,200
Oracle Corp. 1.200% 10/15/17		260,000		261,518
				962,905
Telecommunications — 2.4%
Altice Financing SA (a) 6.625% 2/15/23		200,000		200,500
America Movil SAB de CV 5.000% 3/30/20		100,000		110,647
America Movil SAB de CV 5.625% 11/15/17		160,000		170,289
AT&T, Inc. 3.000% 2/15/22		60,000		61,221
AT&T, Inc. 3.400% 5/15/25		840,000		841,968
AT&T, Inc. 4.350% 6/15/45		110,000		100,771
AT&T, Inc. 5.500% 2/01/18		30,000		32,141
AT&T, Inc. 5.550% 8/15/41		140,000		150,275
AT&T, Inc. 5.800% 2/15/19		200,000		222,702
Bharti Airtel Ltd. (a) 4.375% 6/10/25		440,000		446,930
CenturyLink, Inc. 5.625% 4/01/25		60,000		53,700
CenturyLink, Inc. 5.800% 3/15/22		60,000		57,726
Intelsat Jackson Holdings SA 5.500% 8/01/23		80,000		48,200

	Principal Amount		Value
Intelsat Jackson Holdings SA 7.500% 4/01/21	$	245,000	$	155,575
Qwest Corp. 6.875% 9/15/33		85,000		82,878
Rogers Communications, Inc. 6.800% 8/15/18		120,000		133,608
Sprint Communications, Inc. 11.500% 11/15/21		190,000		169,100
Sprint Corp. 7.250% 9/15/21		110,000		84,013
Sprint Corp. 7.625% 2/15/25		490,000		363,825
Sprint Corp. 7.875% 9/15/23		30,000		22,944
Telefonica Emisiones SAU 5.877% 7/15/19		80,000		89,477
Telefonica Emisiones SAU 6.221% 7/03/17		60,000		63,344
Verizon Communications, Inc. 4.500% 9/15/20		20,000		22,080
Verizon Communications, Inc. 5.150% 9/15/23		110,000		126,963
Verizon Communications, Inc. 6.000% 4/01/41		130,000		155,409
Verizon Communications, Inc. 6.400% 9/15/33		311,000		382,530
Verizon Communications, Inc. 6.550% 9/15/43		2,052,000		2,702,950
West Corp. (a) 5.375% 7/15/22		190,000		174,287
				7,226,053
Transportation — 0.0%
Florida East Coast Holdings Corp. (a) 6.750% 5/01/19		130,000		130,000
TOTAL CORPORATE DEBT (Cost $89,287,894)				90,920,380
MUNICIPAL OBLIGATIONS — 0.1%
Northeast Ohio Regional Sewer District 5.000% 11/15/43		50,000		57,744
State of California 5.000% 4/01/42		70,000		80,602
State of California 5.000% 11/01/43		50,000		58,800
Tennessee Valley Authority 5.250% 9/15/39		130,000		165,896
				363,042
TOTAL MUNICIPAL OBLIGATIONS (Cost $301,803)				363,042

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

42

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

	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 17.5%
Automobile ABS — 0.4%
Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A (a) 2.970% 2/20/20	$	150,000	$	152,366
Hertz 2015 (a) 3.520% 3/25/21		500,000		498,216
Hertz 2015 (a) 4.350% 3/25/21		250,000		246,808
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 (a) 1.830% 8/25/19		120,000		117,981
Hertz Vehicle Financing LLC (a) 2.730% 3/25/21		250,000		249,922
				1,265,293
Commercial MBS — 6.1%
Banc of America Commercial Mortgage Trust, Series 2007-2, Class AJ, VRN 5.618% 4/10/49		150,000		149,426
BBCCRE Trust, Series 2015-GTP, Class E, VRN (a) 4.563% 8/10/33		1,020,000		854,496
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW14, Class AJ 5.273% 12/11/38		250,000		239,480
CD Mortgage Trust, Series 2006-CD2, Class AM, VRN 5.395% 1/15/46		10,225		10,225
CD Mortgage Trust, Series 2007-CD4, Class AJ, VRN 5.398% 12/11/49		9,295		7,586
CD Mortgage Trust, Series 2006-CD2, Class AJ, VRN 5.434% 1/15/46		270,000		248,483
CGBAM Commercial Mortgage Trust, Series 2014-HD, Class E, 1 mo. LIBOR + 3.000%, FRN (a) 3.436% 2/15/31		250,000		234,504
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D (a) 3.110% 4/10/48		400,000		267,385
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class AS 3.571% 2/10/48		390,000		402,959
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class E, VRN (a) 4.400% 3/10/47		270,000		179,699
COMM 2006-C8 Mortgage Trust, Series 2006-C8, Class AJ 5.377% 12/10/46		350,000		343,870

	Principal Amount		Value
COMM 2012-CCRE1 Mortgage Trust, Series 2012-CR1, Class XA, VRN 2.075% 5/15/45	$	2,241,795	$	186,821
COMM 2013-CCRE9 Mortgage Trust, Series 2013-CR9, Class E, VRN (a) 4.254% 7/10/45		280,000		207,042
COMM 2013-LC13 Mortgage Trust, Series 2013-LC13, Class E, VRN (a) 3.719% 8/10/46		440,000		309,321
COMM 2014-SAVA Mortgage Trust, Series 2014-SAVA, Class D, 1 mo. LIBOR + 3.100%, FRN (a) 3.537% 6/15/34		250,000		232,925
COMM 2015-LC19 Mortgage Trust, Series 2015-LC19, Class C, VRN 4.263% 2/10/48		120,000		114,480
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AJ 5.373% 12/15/39		250,000		214,519
Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AJ, VRN 5.587% 1/15/49		80,000		76,138
Credit Suisse Commercial Mortgage Trust, Series 2007-C5, Class AM, VRN 5.869% 9/15/40		80,000		73,430
Credit Suisse Mortgage Trust, Series 2015-GLPA, Class A (a) 3.881% 11/15/37		280,000		296,654
Credit Suisse Mortgage Trust, Series 2014-USA, Class A2 (a) 3.953% 9/15/37		290,000		302,582
Credit Suisse Mortgage Trust, Series 2014-TIKI, Class F, 1 mo. LIBOR + 3.823%, FRN (a) 4.259% 9/15/38		500,000		483,380
Credit Suisse Mortgage Trust, Series 2014-USA, Class E (a) 4.373% 9/15/37		240,000		194,448
Credit Suisse Mortgage Trust, Series 2014-USA, Class F (a) 4.373% 9/15/37		230,000		174,371
Credit Suisse Mortgage Trust, Series 2015, Class TF, 1 mo. LIBOR + 4.143%, FRN (a) 4.578% 3/15/17		270,000		251,100
Credit Suisse Mortgage Trust, Series 2015, Class F, 1 mo. LIBOR + 4.500%, FRN (a) 4.936% 3/15/17		260,000		244,620
Credit Suisse Mortgage Trust, Series 2015-SAMZ, Class MZ, 1 mo. LIBOR + 5.736%, FRN (a) 6.163% 8/15/22		1,000,000		920,495

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

43

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

	Principal Amount		Value
EQTY Mortgage Trust, Series 2014-INNS, Class D, 1 mo. LIBOR + 2.350%, FRN (a) 2.788% 5/08/31	$	190,000	$	179,795
FREMF Mortgage Trust, Series 2012-K20, Class X2A (a) 0.200% 5/25/45		3,488,091		34,183
FREMF Mortgage Trust, Series 2015-K48, Class C, VRN (a) 1.000% 8/25/48		315,000		243,020
GE Business Loan Trust, Series 2004-2A, Class B, 1 mo. LIBOR + .480%, FRN (a) 0.916% 12/15/32		195,333		186,794
GE Business Loan Trust, Series 2005-2A, Class B, 1 mo. LIBOR + .500%, FRN (a) 0.936% 11/15/33		124,895		112,380
GE Business Loan Trust, Series 2006-2A, Class D, 1 mo. LIBOR + .750%, FRN (a) 1.186% 11/15/34		257,577		221,244
GE Commercial Mortgage Corp., Series 2007-C1, Class AJ, VRN 5.677% 12/10/49		60,000		43,200
GS Mortgage Securities Corp II, Series 2011-GC5, Class XA, VRN (a) 1.616% 8/10/44		735,697		30,215
GS Mortgage Securities Corp. II, Series 2015-GC30, Class D 3.384% 5/10/50		310,000		210,357
GS Mortgage Securities Trust, Series 2015-GC30, Class AS 3.777% 5/10/50		280,000		292,837
GS Mortgage Securities Trust, Series 2006-GG8, Class AJ 5.622% 11/10/39		200,000		188,391
GS Mortgage Securities Trust, Series 2016-ICE2, Class E (a) 8.938% 2/15/33		310,000		310,095
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AJ, VRN 5.502% 6/12/47		370,000		337,481
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB16, Class AM 5.593% 5/12/45		130,000		131,026
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJ, VRN 4.678% 1/15/49		520,000		277,346

	Principal Amount		Value
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AM 5.372% 5/15/47	$	440,000	$	444,135
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AJ 5.411% 5/15/47		540,000		436,012
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJFX (a) 5.438% 1/15/49		600,000		336,816
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class XA, VRN 1.256% 4/15/47		2,600,298		113,561
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3 3.801% 8/15/48		170,000		183,338
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class AS 3.997% 8/15/47		250,000		265,948
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class B, VRN 4.619% 8/15/48		260,000		258,330
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B, VRN 4.887% 1/15/47		30,000		32,726
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A2, VRN (a) 2.729% 4/20/48		701,000		682,579
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A3, VRN (a) 3.127% 4/20/48		707,000		682,961
Merrill Lynch Mortgage Trust, Series 2006-C2, Class AJ, VRN 5.802% 8/12/43		75,000		73,935
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ, VRN 6.173% 9/12/49		260,000		223,240
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class E (a) 3.012% 3/15/48		390,000		226,390
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E, VRN (a) 4.656% 11/15/45		150,000		146,133
Morgan Stanley Capital I, Series 2006-IQ12, Class AJ 5.399% 12/15/43		190,000		157,700
Morgan Stanley Capital I, Series 2007-IQ13, Class AJ 5.438% 3/15/44		670,000		541,155

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

44

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

	Principal Amount		Value
Motel 6 Trust, Series 2015-MTL6, Class F (a) 5.000% 2/05/30	$	630,000	$	580,614
PFP III Ltd., Series 2014-1, Class D, 1 mo. LIBOR + 4.100%, FRN (a) 4.536% 6/14/31		130,000		129,913
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class AJ, VRN 5.825% 7/15/45		160,000		157,937
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A, VRN (a) 4.104% 9/14/22		1,012,251		1,014,583
Wells Fargo Commercial Mortgage Trust, Series 2015-LC20, Class A5 3.184% 4/15/50		430,000		441,280
Wells Fargo Commercial Mortgage Trust, Series 2015-NXSI, Class AS 3.406% 5/15/48		330,000		334,923
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class B, VRN 3.658% 5/15/48		290,000		278,316
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, VRN 4.298% 7/15/46		140,000		147,383
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS 3.931% 11/15/47		190,000		200,087
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, VRN 4.204% 11/15/47		190,000		195,641
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C 4.290% 11/15/47		190,000		179,290
				18,483,729
Home Equity ABS — 0.8%
Ace Securities Corp., Series 2005-HE3, Class M4 1.378% 5/25/35		1,020,000		628,187
GSAA Home Equity Trust, Series 2006-19, Class A3A, 1 mo. USD LIBOR + .240%, FRN 0.673% 12/25/36		994,332		559,298
GSAA Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .270%, FRN 0.703% 3/25/36		767,503		494,543

	Principal Amount		Value
Residential Asset Securities Corp., Series 2005-KS12, Class M3, 1 mo. USD LIBOR + .480%, FRN 0.913% 1/25/36	$	1,050,000	$	713,526
				2,395,554
Manufactured Housing ABS — 0.2%
Greenpoint Manufactured Housing, Series 1999-2, Class A2, FRN 3.055% 3/18/29		200,000		173,104
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2, FRN 3.581% 6/19/29		75,000		64,210
Greenpoint Manufactured Housing, Series 1999-4, Class A2, FRN 3.925% 2/20/30		75,000		64,993
Greenpoint Manufactured Housing, Series 2001-2, Class IA2, Auction Rate Security, FRN 3.929% 2/20/32		150,000		134,277
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2, Auction Rate Security, FRN 3.931% 3/13/32		200,000		176,007
				612,591
Other ABS — 2.2%
Ameriquest Mortgage Securities, Inc., Series 2004-R7, Class M3, 1 mo. USD LIBOR + 1.020%, FRN 1.456% 8/25/34		645,369		536,399
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class M2, 1 mo. USD LIBOR + .280%, FRN 0.713% 8/25/36		1,504,506		894,456
Community Funding CLO Ltd., Series 2015-1A, Class A, STEP (a) 5.750% 11/01/27		690,000		689,379
Consumer Credit Origination Loan Trust, Series 2015-1, Class A (a) 2.820% 3/15/21		92,874		93,446
HSI Asset Securitization Corp., Series 2005-II, Class 2A4, 1 mo. USD LIBOR + .390%, FRN 0.823% 11/25/35		2,400,000		1,691,003
Park Place Securities, Inc., Series 2005-WHQ1, Class M6, 1 mo. USD LIBOR + 1.170%, FRN 1.603% 3/25/35		1,020,000		709,930
Saxon Asset Securities Trust, Series 2006-1, Class M1 0.898% 3/25/36		1,130,000		711,935
Sofi Consumer Loan Program 3.280% 9/15/23		957,897		953,108

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

45

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

	Principal Amount		Value
United States Small Business Administration, Series 2015-20D, Class 1 2.510% 4/01/35	$	146,948	$	149,654
United States Small Business Administration 2.820% 9/01/35		175,306		180,104
				6,609,414
Other Mortgage Securities — 0.6%
Credit Suisse Mortgage Capital Certificates, Series 2015-4R, Class 3A3, 1 mo. LIBOR + .310%, FRN (a) 0.736% 10/27/36		880,000		369,860
Morgan Stanley Resecuritization Trust, Series 2015-R6, Class 1B, 1 mo. USD LIBOR + .260%, FRN (a) 0.696% 7/26/45		1,487,298		582,866
Nomura Resecuritization Trust, Series 2015-6R, Class 3A2, 1 mo. USD LIBOR + .190%, FRN (a) 0.626% 5/26/46		1,090,000		946,231
				1,898,957
Student Loans ABS — 2.5%
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (a) 3.170% 7/25/31		1,081,889		1,074,835
Education Funding Capital Trust I, Series 2004-1, Class B1, 28 day ARS, FRN 1.920% 6/15/43		400,000		351,880
National Collegiate Student Loan, Series 2006-3, Class A4, 1 mo. LIBOR + .270%, FRN 0.703% 3/26/29		550,000		483,491
National Collegiate Student Loan, Series 2007-4, Class A3L, 1 mo. LIBOR + .850%, FRN 1.283% 3/25/38		1,969,652		1,117,723
National Collegiate Student Loan Trust, Series 2006-1, Class A5, 1 mo. LIBOR + .350%, FRN 0.783% 3/25/33		1,580,000		1,154,812
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. LIBOR + 2.500%, FRN (a) 2.936% 1/15/43		235,000		237,130
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 (a) 3.500% 10/28/29		144,075		141,559

	Principal Amount		Value
SLM Student Loan Trust, Series 2007-2, Class A3, 3 mo. LIBOR + .040%, FRN 0.659% 1/25/19	$	800,695	$	793,208
SLM Student Loan Trust, Series 2005-4, Class A3, 3 mo. LIBOR + .120%, FRN 0.739% 1/25/27		700,402		658,591
SLM Student Loan Trust, Series 2008-5, Class A4, 3 mo. LIBOR + 1.700%, FRN 2.319% 7/25/23		680,000		680,401
SMB Private Education Loan Trust, Series 2015-B, Class A3, 1 mo. LIBOR + 1.750%, FRN (a) 2.186% 5/17/32		830,000		788,435
				7,482,065
WL Collateral CMO — 4.6%
Alternative Loan Trust, Series 2005-36, Class 3A1, VRN 2.607% 8/25/35		665,444		559,337
Alternative Loan Trust, Series 2004-28CB, Class 2A7 5.750% 1/25/35		370,967		376,782
Banc of America Alternative Loan Trust, Series 2006-3, Class 4CB1 6.500% 4/25/36		1,616		1,423
BCAP LLC Trust, Series 2010-RR6, Class 1212 (a) 5.500% 2/26/35		226,331		221,904
Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1, FRN 2.649% 8/25/34		211,113		207,453
Bear Stearns Asset -Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650%, FRN 7.217% 11/25/35		1,445,887		477,222
Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. USD LIBOR + .350%, FRN 0.783% 5/25/37		2,914,971		1,171,106
Connecticut Avenue Securities, Series 2014-C03, Class 1M2, 1 mo. USD LIBOR + 3.000%, FRN 3.433% 7/25/24		1,350,000		1,231,319
Credit Suisse Mortgage Trust, Series 2015-3R, Class 4A2, 1 mo. USD LIBOR + .250%, FRN (a) (d) 0.677% 12/29/35		766,000		511,343
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, FRN 2.827% 10/25/35		195,686		161,827

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

46

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

	Principal Amount		Value
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A, FRN 2.853% 2/25/36	$	118,061	$	96,259
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1 mo. USD LIBOR + .780%, FRN 1.213% 12/25/34		24,379		19,087
JP Morgan Resecuritization Trust, Series 2015-1, Class 1A1, 1 mo. USD LIBOR + .160%, FRN (a) 0.596% 12/27/36		520,815		506,589
Lehman Mortgage Trust, Series 2007-4, Class 2A2, 1 mo. USD LIBOR + 6.670%, FRN 6.237% 5/25/37		1,799,027		563,813
Lehman Mortgage Trust, Series 2007-2, Class 2A12, 1 mo. USD LIBOR + 6.690%, FRN 6.257% 2/25/37		668,225		219,528
Lehman Mortgage Trust, Series 2006-8, Class 4A2, 1 mo. USD LIBOR + 7.750%, FRN 7.317% 12/25/36		405,353		135,860
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4, FRN 2.314% 9/25/33		600,747		572,881
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3, VRN 2.936% 3/25/36		165,534		132,313
Morgan Stanley Resecuritization Trust, Series 2015-R5, Class 2A1, 1 mo. USD LIBOR + .225%, FRN (a) 0.661% 10/26/46		558,577		543,346
Morgan Stanley Resecuritization Trust, Series 2015-R5, Class 2B, 1 mo. USD LIBOR + .225%, FRN (a) 0.661% 10/26/46		690,000		404,823
Morgan Stanley Resecuritization Trust, Series 2015-R6, Class 2B, 1 mo. USD LIBOR + .260%, FRN (a) 0.690% 7/26/45		3,000,000		1,183,599
Morgan Stanley Resecuritization Trust, Series 2015-R3, Class 7A2, 12 mo. MTA + .770%, FRN (a) 0.698% 4/26/47		300,000		259,332
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (a) 5.500% 5/25/35		133,312		134,666
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (a) 6.000% 5/25/35		42,733		43,248

	Principal Amount		Value
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (a) 6.000% 5/25/35	$	1,046,129	$	1,004,528
RALI Series Trust, Series 2006-QS7, Class A5, 1 mo. USD LIBOR + 5.600%, FRN 5.167% 6/25/36		871,138		169,824
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1, VRN 2.720% 8/25/36		581,517		446,303
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150%, FRN 2.501% 3/25/46		564,441		458,399
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1, 1 mo. USD LIBOR + ..260%, FRN 0.693% 11/25/45		185,339		169,345
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1C3, 1 mo. USD LIBOR + ..480%, FRN 0.913% 11/25/45		1,481,943		815,078
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A, 12 mo. MTA + .880%, FRN 1.231% 10/25/46		1,508		1,163
WaMu Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 12 mo. MTA + .960%, FRN 1.311% 8/25/46		532,433		352,124
WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 2A3, FRN 2.149% 11/25/36		936,589		781,469
			��	13,933,293
WL Collateral PAC — 0.1%
Countrywide Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. USD LIBOR + 28.600%, FRN 26.868% 7/25/36		116,141		192,365
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $54,482,634)				52,873,261

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

47

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

	Principal Amount		Value
SOVEREIGN DEBT OBLIGATIONS — 4.9%
Brazil Government International Bond 5.000% 1/27/45	$	200,000	$	160,000
Brazil Government International Bond 5.625% 1/07/41		550,000		474,375
Brazil Notas do Tesouro Nacional, Series B BRL (e) 6.000% 8/15/50		547,000		409,102
Brazil Notas do Tesouro Nacional, Series F BRL (e) 10.000% 1/01/17		3,222,000		874,068
Colombia Government International Bond 5.625% 2/26/44		300,000		298,500
Indonesia Government International Bond (a) 3.750% 4/25/22		430,000		433,468
Mexican Bonos MXN (e) 6.500% 6/09/22		33,508,000		2,032,594
Mexican Bonos MXN (e) 7.750% 11/13/42		26,885,600		1,752,244
Mexico Government International Bond 3.600% 1/30/25		350,000		357,000
Mexico Government International Bond 4.750% 3/08/44		164,000		163,590
Mexico Government International Bond 5.550% 1/21/45		700,000		775,250
Peruvian Government International Bond 5.625% 11/18/50		250,000		281,250
Peruvian Government International Bond 6.550% 3/14/37		50,000		62,250
Poland Government Bond PLN (e) 2.000% 4/25/21		460,000		122,315
Poland Government Bond PLN (e) 2.500% 7/25/26		9,080,000		2,360,812
Poland Government Bond PLN (e) 3.250% 7/25/25		6,810,000		1,903,560
Poland Government Bond 4.000% 1/22/24		490,000		523,173
Portugal Government International Bond (a) 5.125% 10/15/24		330,000		332,033
Resolution Strip Principal Bond 0.010% 10/15/19		1,280,000		1,223,042
Russian Foreign Bond, STEP (b) 7.500% 3/31/30		276,850		337,916

	Principal Amount		Value
Russian Foreign Bond, STEP (a) 7.500% 3/31/30	$	95,200	$	116,199
				14,992,741
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $16,490,761)				14,992,741
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 18.8%
Collateralized Mortgage Obligations — 2.1%
Fannie Mae-Aces Series 2014-M4, Class X2 0.280% 3/25/24 VRN		5,855,633		94,562
Series 2014-M5, Class SA 1.535% 1/25/17 1 mo. LIBOR + 4.929%, FRN		478,553		1,794
Series 2015-M4, Class ABV2 2.369% 7/25/22		169,832		173,253
Series 2015-M13, Class A2 2.710% 6/25/25 VRN		90,000		91,418
Federal Home Loan Mortgage Corp. Series 4092, Class AI 3.000% 9/15/31		1,228,204		117,501
Series 4206, Class CZ 3.000% 5/15/43		108,860		105,688
Series 4226, Class GZ 3.000% 7/15/43		108,318		103,498
Series 4097, Class ST 5.614% 8/15/42 1 mo. LIBOR + 6.050%, FRN		69,295		13,905
Series 4136, Class SQ 5.714% 11/15/42 1 mo. LIBOR + 6.150%, FRN		72,172		15,535
Series 3621, Class SB 5.794% 1/15/40 1 mo. LIBOR + 6.230%, FRN		86,953		15,049
Series 4203, Class PS 5.814% 9/15/42 1 mo. LIBOR + 6.250%, FRN		418,755		84,770
Series R007, Class ZA 6.000% 5/15/36		254,007		284,889
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K715, Class X1 1.155% 1/25/21 VRN		2,098,642		97,903
Series K007, Class X1 1.162% 4/25/20 VRN		406,373		13,834
Series K015, Class X1 1.627% 7/25/21 VRN		377,503		27,166

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

48

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

	Principal Amount		Value
Federal Home Loan Mortgage Corp. REMICS, Series 3422, Class AI, STEP 0.250% 1/15/38	$	43,451	$	420
Federal National Mortgage Association
Series 2005-88, Class IP 1.611% 10/25/35		84,638		5,473
Series 2006-88, Class IP 1.757% 4/25/36		63,656		5,270
Series 2006-118, Class IP2 1.918% 12/25/36		103,276		6,514
Series 2006-59, Class IP 2.423% 7/25/36		83,552		7,070
Series 2006-118, Class IP1 2.433% 12/25/36		106,595		8,644
Series 409, Class C2 3.000% 4/25/27		295,391		28,229
Series 2013-1, Class YI 3.000% 2/25/33		2,327,250		338,274
Series 409, Class C13 3.500% 11/25/41		284,691		47,051
Series 409, Class C18 4.000% 4/25/42		316,827		54,628
Series 409, Class C22 4.500% 11/25/39		205,038		32,238
Series 2011-59, Class NZ 5.500% 7/25/41		648,889		753,482
Series 2013-9, Class CB 5.500% 4/25/42		943,195		1,054,338
Series 2012-93, Class SG 5.667% 9/25/42 1 mo. LIBOR + 6.100%, FRN		267,014		52,095
Series 2012-128, Class SQ 5.717% 11/25/42 1 mo. LIBOR + 6.150%, FRN		75,629		17,590
Series 2012-128, Class SL 5.717% 11/25/42 1 mo. LIBOR + 6.150%, FRN		76,089		18,167
Series 2012-124, Class SE 5.717% 11/25/42 1 mo. LIBOR + 6.150%, FRN		547,829		116,524
Series 2012-134, Class SK 5.717% 12/25/42 1 mo. LIBOR + 6.150%, FRN		359,636		75,925
Series 2012-133, Class CS 5.717% 12/25/42 1 mo. LIBOR + 6.150%, FRN		140,488		29,508
Series 2012-46, Class BA 6.000% 5/25/42		265,933		304,103
Series 2011-87, Class SG 6.117% 4/25/40 1 mo. LIBOR + 6.550%, FRN		503,053		87,183

	Principal Amount		Value
Series 2011-96, Class SA 6.117% 10/25/41 1 mo. LIBOR + 6.550%, FRN	$	532,822	$	103,266
Series 2012-74, Class SA 6.217% 3/25/42 1 mo. LIBOR + 6.650%, FRN		147,029		27,400
Series 2012-28, Class B 6.500% 6/25/39		97,681		107,061
Series 2013-9, Class BC 6.500% 7/25/42		290,979		339,288
Series 2012-51, Class B 7.000% 5/25/42		238,462		277,624
Government National Mortgage Association Series 2010-H28, Class FE 0.825% 12/20/60 1 mo. LIBOR + .400%, FRN		258,111		255,413
Series 2014-186, Class IO 0.867% 8/16/54 VRN		3,382,899		222,955
Series 2011-H08, Class FG 0.905% 3/20/61 1 mo. LIBOR + .480%, FRN		226,648		224,888
Series 2013-178, Class IO 0.918% 6/16/55 VRN		506,176		27,384
Series 2011-H09, Class AF 0.925% 3/20/61 1 mo. LIBOR + .500%, FRN		149,282		147,776
Series 2013-150, Class IA 0.997% 9/16/46 VRN		2,984,547		175,633
Series 2014-22, Class IA 1.895% 11/20/42 VRN		96,446		4,214
Series 2012-66, Class CI 2.287% 9/20/43 VRN		48,973		1,961
Series 2012-66, Class CI 3.500% 2/20/38		299,037		27,414
Series 2014-176, Class IA 4.000% 11/20/44		240,755		31,263
Series 2015-167, Class OI 4.000% 4/16/45		193,393		38,547
Series 2014-117, Class SJ 5.168% 8/20/44 1 mo. LIBOR + 5.600%, FRN		160,672		24,603
Series 2010-31, Class GS 6.068% 3/20/39 1 mo. LIBOR + 6.500%, FRN		44,526		3,905
Series 2010-85, Class HS 6.218% 1/20/40 1 mo. LIBOR + 6.650%, FRN		125,143		16,137
				6,340,223

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

49

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

	Principal Amount		Value
Pass-Through Securities — 16.7%
Federal Home Loan Mortgage Corp. Pool #1N1640 2.237% 1/01/37 6 mo. LIBOR + 1.459%, FRN	$	112,343	$	116,385
Pool #1N1637 2.315% 1/01/37 6 mo. USD LIBOR + 1.753%, FRN		231,652		242,107
Pool #1J1368 2.969% 10/01/36 12 mo. USD LIBOR + 2.123%, FRN		110,744		117,696
Pool #U90245 3.500% 10/01/42		165,439		173,996
Pool #U99045 3.500% 3/01/43		757,895		797,093
Pool #U99114 3.500% 2/01/44		90,407		95,083
Pool #U99124 3.500% 3/01/45		815,780		857,971
Pool #G14492 4.000% 10/01/25		629,818		670,682
Pool #U90316 4.000% 10/01/42		79,707		85,698
Pool #U91254 4.000% 4/01/43		171,826		184,847
Pool #U99054 4.000% 6/01/43		1,960,810		2,109,403
Pool #Q19135 4.000% 6/01/43		79,129		85,743
Pool #Q19236 4.000% 6/01/43		85,059		91,718
Pool #Q19985 4.000% 7/01/43		2,574,385		2,789,587
Pool #Q19615 4.000% 7/01/43		79,323		85,954
Pool #U95137 4.000% 8/01/43		89,865		96,675
Pool #U99076 4.500% 12/01/43		625,332		688,867
Pool #U92272 4.500% 12/01/43		87,325		96,197
Pool #U99084 4.500% 2/01/44		533,493		587,696
Pool #U99091 4.500% 3/01/44		184,598		203,353
Pool #G06496 5.000% 6/01/41		159,330		175,618
Pool #G06875 5.500% 12/01/38		21,277		23,997
Pool #G07509 6.500% 9/01/39		42,158		49,228
Pool #G06669 6.500% 9/01/39		40,641		47,546

	Principal Amount		Value
Pool #G07335 7.000% 3/01/39	$	99,791	$	114,946
Federal Home Loan Mortgage Corp. TBA Pool #1330 3.500% 7/01/43 (c)		1,700,000		1,776,566
Federal National Mortgage Association Pool #950385 1.691% 8/01/37 6 mo. USD LIBOR + ..958%, FRN		27,528		27,910
Pool #AP9633 2.500% 10/01/42		156,539		156,496
Pool #AM8674 2.810% 4/01/25		130,000		133,873
Pool #AQ7306 3.000% 1/01/43		80,362		82,487
Pool #AR1202 3.000% 1/01/43		83,466		85,673
Pool #MA1177 3.500% 9/01/42		79,881		84,118
Pool #MA1213 3.500% 10/01/42		483,048		508,672
Pool #MA1372 3.500% 3/01/43		244,008		256,952
Pool #MA1403 3.500% 4/01/43		650,177		684,667
Pool #BA0147 3.500% 10/01/45		688,813		723,147
Pool #AS5892 3.500% 10/01/45		1,553,984		1,631,441
Pool #AS6311 3.500% 12/01/45		1,580,297		1,659,065
Pool #AS6340 3.500% 12/01/45		297,251		313,065
Pool #AS6541 3.500% 1/01/46		295,735		312,254
Pool #AS6562 3.500% 1/01/46		297,497		313,278
Pool #AK8441 4.000% 4/01/42		74,926		80,700
Pool #AO2711 4.000% 5/01/42		72,353		77,929
Pool #AO6086 4.000% 6/01/42		83,193		89,605
Pool #AP0692 4.000% 7/01/42		69,422		74,761
Pool #AP5333 4.000% 7/01/42		325,403		350,432
Pool #AP2530 4.000% 8/01/42		60,954		65,643
Pool #AP2958 4.000% 8/01/42		61,321		66,038

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

50

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

	Principal Amount		Value
Pool #AP4903 4.000% 9/01/42	$	83,917	$	90,411
Pool #AP7399 4.000% 9/01/42		148,855		160,304
Pool #MA1217 4.000% 10/01/42		397,404		427,536
Pool #AP9229 4.000% 10/01/42		71,425		76,919
Pool #AP9766 4.000% 10/01/42		320,247		344,528
Pool #MA1253 4.000% 11/01/42		242,174		260,536
Pool #AQ3599 4.000% 11/01/42		73,352		78,983
Pool #AQ4555 4.000% 12/01/42		137,429		147,526
Pool #AQ7003 4.000% 12/01/42		128,176		138,015
Pool #AQ7082 4.000% 1/01/43		158,487		170,850
Pool #AL3508 4.000% 4/01/43		76,209		82,582
Pool #AQ4078 4.000% 6/01/43		80,243		86,954
Pool #AQ4080 4.000% 6/01/43		78,867		85,069
Pool #AT8394 4.000% 6/01/43		81,424		88,233
Pool #AB9683 4.000% 6/01/43		147,551		158,415
Pool #AT9637 4.000% 7/01/43		243,508		262,656
Pool #AT9657 4.000% 7/01/43		142,551		153,047
Pool #AT9653 4.000% 7/01/43		162,918		176,543
Pool #AS0070 4.000% 8/01/43		86,978		93,627
Pool #MA1547 4.000% 8/01/43		87,292		93,965
Pool #AS4347 4.000% 1/01/45		182,427		196,943
Pool #MA0706 4.500% 4/01/31		62,323		67,971
Pool #MA0734 4.500% 5/01/31		196,601		214,418
Pool #MA0776 4.500% 6/01/31		65,611		71,557
Pool #MA0913 4.500% 11/01/31		45,874		50,031
Pool #MA0939 4.500% 12/01/31		53,979		58,871

	Principal Amount		Value
Pool #993117 4.500% 1/01/39	$	11,503	$	12,535
Pool #AA0856 4.500% 1/01/39		24,966		27,205
Pool #AA2450 4.500% 2/01/39		5,350		5,829
Pool #AA3495 4.500% 2/01/39		33,233		36,213
Pool #935520 4.500% 8/01/39		76,040		82,907
Pool #AD5481 4.500% 5/01/40		1,173,532		1,280,617
Pool #AD6914 4.500% 6/01/40		131,846		143,877
Pool #AD8685 4.500% 8/01/40		294,143		320,984
Pool #MA1591 4.500% 9/01/43		170,591		188,024
Pool #MA1629 4.500% 10/01/43		174,909		192,837
Pool #AL4341 4.500% 10/01/43		22,915		24,955
Pool #AU6423 4.500% 10/01/43		675,575		735,743
Pool #MA1664 4.500% 11/01/43		87,035		95,956
Pool #MA1711 4.500% 12/01/43		171,991		189,620
Pool #AL4741 4.500% 1/01/44		84,739		93,399
Pool #AW0318 4.500% 2/01/44		334,922		364,646
Pool #AL5562 4.500% 4/01/44		60,880		66,302
Pool #AL5540 4.500% 7/01/44		172,458		190,162
Pool #890604 4.500% 10/01/44		936,544		1,032,247
Pool #AS4271 4.500% 1/01/45		89,056		99,326
Pool #915154 5.000% 4/01/37		110,366		122,489
Pool #974965 5.000% 4/01/38		389,005		430,033
Pool #983077 5.000% 5/01/38		107,557		119,203
Pool #310088 5.000% 6/01/38		101,544		112,539
Pool #AE2266 5.000% 3/01/40		160,672		178,019
Pool #937948 5.500% 6/01/37		28,724		32,395

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

51

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

	Principal Amount		Value
Pool #995072 5.500% 8/01/38	$	54,796	$	61,876
Pool #481473 6.000% 2/01/29		103		117
Pool #867557 6.000% 2/01/36		2,794		3,185
Pool #AE0469 6.000% 12/01/39		374,737		430,446
Pool #AL4324 6.500% 5/01/40		266,748		311,248
Pool #AE0758 7.000% 2/01/39		155,903		183,795
Federal National Mortgage Association TBA Pool #299 2.500% 4/01/28 (c)		700,000		718,594
Pool #5650 3.000% 6/01/28 (c)		500,000		522,344
Pool #4555 3.500% 2/01/27 (c)		600,000		633,750
Pool #11192 4.000% 10/01/42 (c)		6,900,000		7,373,836
Pool #29986 5.000% 4/01/37 (c)		2,300,000		2,541,949
Government National Mortgage Association Pool #487588 6.000% 4/15/29		3,874		4,445
Pool #596620 6.000% 10/15/32		596		678
Pool #595077 6.000% 10/15/32		635		736
Pool #598000 6.000% 12/15/32		62		71
Pool #604706 6.000% 10/15/33		84,832		98,227
Pool #636251 6.000% 3/15/35		8,179		9,508
Pool #782034 6.000% 1/15/36		100,131		116,974
Pool #658029 6.000% 7/15/36		43,878		50,665
Government National Mortgage Association II Pool #784054 4.000% 9/20/45		2,345,630		2,532,731
Pool #783298 4.500% 4/20/41		498,879		538,907
Pool #783368 4.500% 7/20/41		65,095		70,318
Pool #4747 5.000% 7/20/40		292,795		326,879

	Principal Amount		Value
Government National Mortgage Association II TBA Pool #304 3.500% 2/01/44 (c)	$	2,600,000	$	2,748,688
Government National Mortgage Association TBA Pool #2280 3.500% 3/01/42 (c)		900,000		950,309
				50,387,686
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $56,565,081)				56,727,909
U.S. TREASURY OBLIGATIONS — 16.2%
U.S. Treasury Bonds & Notes — 16.2%
U.S. Treasury Bond 2.500% 2/15/46		1,020,000		994,719
U.S. Treasury Bond 3.000% 5/15/45		5,980,000		6,451,042
U.S. Treasury Bond 3.000% 11/15/45		940,000		1,015,200
U.S. Treasury Bond 3.375% 5/15/44		4,100,000		4,753,517
U.S. Treasury Inflation Index 0.375% 7/15/23		468,271		482,325
U.S. Treasury Inflation Index 0.375% 7/15/25		1,698,283		1,735,367
U.S. Treasury Inflation Index 0.625% 1/15/24		365,512		380,579
U.S. Treasury Inflation Index 0.625% 1/15/26		717,854		750,467
U.S. Treasury Inflation Index 0.625% 2/15/43		1,257,100		1,180,005
U.S. Treasury Inflation Index 0.750% 2/15/42		104,843		101,750
U.S. Treasury Inflation Index 0.750% 2/15/45		734,409		710,531
U.S. Treasury Inflation Index 1.000% 2/15/46		1,769,699		1,845,695
U.S. Treasury Inflation Index 1.375% 2/15/44		1,158,810		1,297,309
U.S. Treasury Inflation Index 2.125% 2/15/40		372,664		475,986
U.S. Treasury Note 0.500% 6/30/16		2,000,000		2,001,094
U.S. Treasury Note 0.500% 7/31/16		180,000		180,079
U.S. Treasury Note 0.625% 11/30/17		210,000		209,651
U.S. Treasury Note 0.750% 2/28/18		4,500,000		4,501,098

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

52

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

	Principal Amount		Value
U.S. Treasury Note 1.000% 12/31/17	$	3,000,000	$	3,014,107
U.S. Treasury Note 1.125% 2/28/21		50,000		49,800
U.S. Treasury Note 1.375% 2/29/20		30,000		30,331
U.S. Treasury Note 1.375% 9/30/20		30,000		30,251
U.S. Treasury Note 1.375% 10/31/20		20,000		20,161
U.S. Treasury Note 1.500% 12/31/18		250,000		254,509
U.S. Treasury Note 1.625% 7/31/19		270,000		275,906
U.S. Treasury Note 1.625% 12/31/19		640,000		653,550
U.S. Treasury Note 1.625% 2/15/26		490,000		482,956
U.S. Treasury Note 1.750% 9/30/19		30,000		30,778
U.S. Treasury Note 1.750% 12/31/20		12,860,000		13,175,597
U.S. Treasury Note 2.000% 11/30/22		1,710,000		1,761,834
U.S. Treasury Note 2.625% 11/15/20		10,000		10,635
				48,856,829
TOTAL U.S. TREASURY OBLIGATIONS (Cost $47,502,024)				48,856,829
TOTAL BONDS & NOTES (Cost $273,268,997)				273,218,331
	Units
PURCHASED OPTIONS — 0.1%
Financial — 0.1% Diversified Financial — 0.1%
Eurodollar Future Put, Expires 4/15/16, Strike 99.00		482		3,012
Eurodollar Future Put, Expires 6/13/16, Strike 99.25		319		1,994
Eurodollar Future Put, Expires 6/13/16, Strike 99.375		319		15,950
USD Call EUR Put, Expires 6/29/16, Strike 1.13 (OTC - Barclays Bank PLC)		5,834,000		100,660
USD Call JPY Put, Expires 5/24/16, Strike 115.50 (OTC - Bank of America N.A.)		2,890,000		13,349

	Units			Value
USD Put GBP Call, Expires 4/28/16, Strike 1.4174		2,880,000		$	82,261
					217,226
TOTAL PURCHASED OPTIONS (Cost $377,699)					217,226
TOTAL LONG-TERM INVESTMENTS (Cost $273,809,356)					273,594,612
	Principal Amount
SHORT-TERM INVESTMENTS — 14.7%
Discount Notes — 1.6%
Federal Home Loan Bank Discount Note 0.010% 9/27/16	$	5,000,000			4,989,560
Repurchase Agreement — 13.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (f)		39,484,579			39,484,579
Time Deposit — 0.0%
Euro Time Deposit 0.010% 4/01/16		35,150			35,150
TOTAL SHORT-TERM INVESTMENTS (Cost $44,507,299)					44,509,289
TOTAL INVESTMENTS — 105.3% (Cost $318,316,655) (g)					318,103,901
Other Assets/(Liabilities) — (5.3)%					(16,059,631	)
NET ASSETS — 100.0%				$	302,044,270
FORWARD SALE COMMITMENTS — (1.3)%
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES SOLD SHORT — (1.3)%
Pass-Through Securities — (1.3)%
Federal National Mortgage Association TBA, Pool #3649 3.500% 9/01/43 (c)		(3,800,000	)		(3,977,976	)
TOTAL FORWARD SALE COMMITMENTS (Cost $(3,978,953))				$	(3,977,976	)

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

53

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS Asset-Backed Security

ARS Auction Rate Security

BRL Brazilian Real

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

MBS Mortgage-Backed Security

MTA Monthly Treasury Average Index

MXN Mexican Peso

PAC Planned Amortization Class

PLN Polish Zloty

OTC Over-The Counter

STEP Step Up Bond

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 March 31, 2016, these securities amounted to a value of $38,171,516 or 12.64% 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 March 31, 2016, these securities amounted to a value of $760,641 or 0.25% of net assets.

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

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2016, these securities amounted to a value of $511,343 or 0.17% of net assets.

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

(f) Maturity value of $39,484,590. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity dates ranging from 6/30/19 – 12/31/19, and an aggregate market value, including accrued interest, of $40,276,823.

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

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

54

MassMutual Select Diversified Value Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.5%
COMMON STOCK — 97.5%
Basic Materials — 2.8%
Chemicals — 1.8%
Ashland, Inc.		1,700	$	186,931
Celanese Corp. Series A		3,900		255,450
The Dow Chemical Co.		30,200		1,535,972
E.I. du Pont de Nemours & Co.		29,412		1,862,368
Eastman Chemical Co.		3,800		274,474
LyondellBasell Industries NV Class A		14,800		1,266,584
PPG Industries, Inc.		6,800		758,132
RPM International, Inc.		3,300		156,189
				6,296,100
Forest Products & Paper — 0.1%
International Paper Co.		8,700		357,048
Iron & Steel — 0.2%
Nucor Corp.		8,400		397,320
Reliance Steel & Aluminum Co.		1,900		131,461
				528,781
Mining — 0.7%
Vulcan Materials Co.		22,068		2,329,719
				9,511,648
Communications — 9.7%
Advertising — 0.5%
The Interpublic Group of Companies, Inc.		4,700		107,865
Omnicom Group, Inc.		20,765		1,728,271
				1,836,136
Internet — 0.9%
CDW Corp.		2,000		83,000
Liberty Interactive Corp. QVC Group Class A (a)		54,568		1,377,842
Symantec Corp.		87,319		1,604,923
				3,065,765
Media — 3.4%
AMC Networks, Inc. Class A (a)		1,300		84,422
CBS Corp. Class B		11,300		622,517
Comcast Corp. Class A		39,018		2,383,220
Discovery Communications, Inc. Series A (a)		3,900		111,657
Liberty Global PLC Series A (a)		37,135		1,429,698
News Corp. Class A		9,700		123,869
Scripps Networks Interactive Class A		2,400		157,200
TEGNA, Inc.		6,000		140,760
Time Warner, Inc.		38,200		2,771,410
Twenty-First Century Fox Class A		30,500		850,340
Viacom, Inc. Class B		24,448		1,009,213

	Number of Shares		Value
The Walt Disney Co.		19,400	$	1,926,614
				11,610,920
Telecommunications — 4.9%
CenturyLink, Inc.		6,400		204,544
Cisco Systems, Inc.		214,017		6,093,064
Corning, Inc.		38,500		804,265
Juniper Networks, Inc.		9,800		249,998
Verizon Communications, Inc.		147,042		7,952,031
Vodafone Group PLC Sponsored ADR (United Kingdom)		49,310		1,580,386
				16,884,288
				33,397,109
Consumer, Cyclical — 8.0%
Airlines — 0.8%
Alaska Air Group, Inc.		3,600		295,272
American Airlines Group, Inc.		16,400		672,564
Delta Air Lines, Inc.		20,700		1,007,676
Southwest Airlines Co.		17,000		761,600
				2,737,112
Apparel — 0.5%
Hanesbrands, Inc.		4,600		130,364
Ralph Lauren Corp.		16,594		1,597,338
				1,727,702
Auto Manufacturers — 0.9%
Ford Motor Co.		46,200		623,700
General Motors Co.		63,557		1,997,597
Paccar, Inc.		9,000		492,210
				3,113,507
Automotive & Parts — 0.5%
Delphi Automotive PLC		7,400		555,148
The Goodyear Tire & Rubber Co.		6,800		224,264
Johnson Controls, Inc.		18,300		713,151
Lear Corp.		2,200		244,574
				1,737,137
Distribution & Wholesale — 0.1%
W.W. Grainger, Inc.		1,600		373,488
Home Builders — 0.2%
Lennar Corp. Class A		3,500		169,260
PulteGroup, Inc.		9,100		170,261
Toll Brothers, Inc. (a)		4,600		135,746
				475,267
Home Furnishing — 0.1%
Whirlpool Corp.		1,500		270,510
Housewares — 0.3%
Newell Rubbermaid, Inc.		25,647		1,135,906

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

55

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

	Number of Shares		Value
Leisure Time — 0.8%
Brunswick Corp.		1,100	$	52,778
Carnival Corp.		15,500		817,935
Harley-Davidson, Inc.		34,214		1,756,205
Royal Caribbean Cruises Ltd.		2,000		164,300
				2,791,218
Lodging — 0.1%
Hyatt Hotels Corp. Class A (a)		1,000		49,490
Wyndham Worldwide Corp.		3,000		229,290
				278,780
Retail — 3.7%
AutoNation, Inc. (a)		2,900		135,372
Best Buy Co., Inc.		8,700		282,228
CVS Health Corp.		20,598		2,136,631
Dick’s Sporting Goods, Inc.		1,100		51,425
Dollar General Corp.		11,909		1,019,410
Foot Locker, Inc.		3,600		232,200
Lowe’s Cos., Inc.		20,402		1,545,451
PVH Corp.		2,100		208,026
Signet Jewelers Ltd.		900		111,627
Target Corp.		16,200		1,332,936
Tiffany & Co.		1,200		88,056
Wal-Mart Stores, Inc.		81,400		5,575,086
				12,718,448
				27,359,075
Consumer, Non-cyclical — 17.0%
Agriculture — 0.8%
Archer-Daniels-Midland Co.		17,700		642,687
Philip Morris International, Inc.		21,518		2,111,131
				2,753,818
Beverages — 0.6%
PepsiCo, Inc.		19,910		2,040,377
Biotechnology — 1.9%
Amgen, Inc.		19,900		2,983,607
Gilead Sciences, Inc.		37,800		3,472,308
				6,455,915
Commercial Services — 0.2%
Manpower, Inc.		1,900		154,698
Robert Half International, Inc.		3,300		153,714
Western Union Co.		13,300		256,557
				564,969
Cosmetics & Personal Care — 0.0%
Edgewell Personal Care Co.		1,600		128,848
Foods — 0.9%
Ingredion, Inc.		1,800		192,222
The Kroger Co.		11,400		436,050
Mondelez International, Inc. Class A		57,303		2,298,996
Pilgrim’s Pride Corp. (a)		6,700		170,180
				3,097,448

	Number of Shares		Value
Health Care – Products — 3.3%
Baxter International, Inc.		9,000	$	369,720
Johnson & Johnson		72,800		7,876,960
Medtronic PLC		33,419		2,506,425
St. Jude Medical, Inc.		7,600		418,000
				11,171,105
Health Care – Services — 2.6%
Aetna, Inc.		7,000		786,450
Anthem, Inc.		7,900		1,098,021
Cigna Corp.		3,000		411,720
DaVita HealthCare Partners, Inc. (a)		2,000		146,760
HCA Holdings, Inc. (a)		10,700		835,135
Humana, Inc.		11,662		2,133,563
MEDNAX, Inc. (a)		1,100		71,082
Quest Diagnostics, Inc.		3,700		264,365
UnitedHealth Group, Inc.		22,158		2,856,166
Universal Health Services, Inc. Class B		2,400		299,328
				8,902,590
Pharmaceuticals — 6.7%
AbbVie, Inc.		33,018		1,885,988
Allergan PLC (a)		6,764		1,812,955
Eli Lilly & Co.		32,109		2,312,169
Express Scripts Holding Co. (a)		6,400		439,616
Herbalife Ltd. (a)		2,000		123,120
Merck & Co., Inc.		130,206		6,889,200
Pfizer, Inc.		246,785		7,314,707
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		42,859		2,293,385
				23,071,140
				58,186,210
Energy — 8.8%
Oil & Gas — 7.7%
Chevron Corp.		71,860		6,855,445
Exxon Mobil Corp.		109,400		9,144,746
Helmerich & Payne, Inc.		2,800		164,416
Hess Corp.		48,240		2,539,836
Marathon Petroleum Corp.		14,000		520,520
Occidental Petroleum Corp.		20,100		1,375,443
Phillips 66		16,100		1,394,099
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom)		36,128		1,750,401
Tesoro Corp.		3,100		266,631
Valero Energy Corp.		36,686		2,353,040
				26,364,577
Oil & Gas Services — 1.1%
Baker Hughes, Inc.		7,900		346,257
Halliburton Co.		59,010		2,107,837
HollyFrontier Corp.		4,800		169,536

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

56

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

	Number of Shares		Value
National Oilwell Varco, Inc.		34,429	$	1,070,742
				3,694,372
				30,058,949
Financial — 24.8%
Banks — 8.6%
Bank of America Corp.		467,611		6,322,101
The Bank of New York Mellon Corp.		30,400		1,119,632
BOK Financial Corp.		1,800		98,316
Capital One Financial Corp.		14,000		970,340
Citizens Financial Group, Inc.		13,900		291,205
Comerica, Inc.		4,700		177,989
Commerce Bancshares, Inc.		2,772		124,601
Cullen/Frost Bankers, Inc.		1,600		88,176
East West Bancorp, Inc.		3,700		120,176
Fifth Third Bancorp		148,278		2,474,760
Huntington Bancshares, Inc.		21,800		207,972
KeyCorp		24,000		264,960
Northern Trust Corp.		5,800		377,986
The PNC Financial Services Group, Inc.		35,311		2,986,251
Regions Financial Corp.		36,800		288,880
State Street Corp.		30,147		1,764,202
SunTrust Banks, Inc.		13,900		501,512
Synovus Financial Corp.		3,400		98,294
U.S. Bancorp		46,000		1,867,140
Wells Fargo & Co.		195,983		9,477,738
				29,622,231
Diversified Financial — 9.5%
Ally Financial, Inc. (a)		12,500		234,000
American Express Co.		48,781		2,995,153
Ameriprise Financial, Inc.		22,672		2,131,395
BlackRock, Inc.		4,200		1,430,394
Citigroup, Inc.		134,026		5,595,585
Credit Acceptance Corp. (a)		200		36,310
Discover Financial Services		55,559		2,829,064
E*TRADE Financial Corp. (a)		6,100		149,389
Eaton Vance Corp.		2,900		97,208
FNF Group		61,840		2,096,376
Franklin Resources, Inc.		7,000		273,350
The Goldman Sachs Group, Inc.		11,800		1,852,364
Invesco Ltd.		11,600		356,932
JP Morgan Chase & Co.		172,407		10,209,943
Legg Mason, Inc.		23,124		801,940
The Nasdaq, Inc.		4,200		278,796
Synchrony Financial (a)		21,925		628,371
T. Rowe Price Group, Inc.		6,600		484,836
				32,481,406
Insurance — 6.1%
Aflac, Inc.		11,200		707,168
Alleghany Corp. (a)		500		248,100

	Number of Shares		Value
The Allstate Corp.		12,200	$	821,914
American Financial Group, Inc.		5,500		387,035
American International Group, Inc.		79,841		4,315,406
Arch Capital Group Ltd. (a)		3,200		227,520
Assurant, Inc.		2,000		154,300
Axis Capital Holdings Ltd.		2,500		138,650
Cincinnati Financial Corp.		4,200		274,512
Everest Re Group Ltd.		1,400		276,402
The Hartford Financial Services Group, Inc.		10,700		493,056
Loews Corp.		9,300		355,818
Markel Corp. (a)		400		356,628
MetLife, Inc.		72,179		3,171,545
Old Republic International Corp.		3,100		56,668
Principal Financial Group, Inc.		7,800		307,710
The Progressive Corp.		15,300		537,642
Prudential Financial, Inc.		12,200		881,084
Reinsurance Group of America, Inc.		2,200		211,750
Torchmark Corp.		9,300		503,688
The Travelers Cos., Inc.		38,089		4,445,367
Unum Group		54,259		1,677,689
Validus Holdings Ltd.		800		37,752
W.R. Berkley Corp.		3,200		179,840
				20,767,244
Real Estate Investment Trusts (REITS) — 0.5%
Weyerhaeuser Co.		61,209		1,896,255
Savings & Loans — 0.1%
Investors Bancorp, Inc.		8,900		103,596
People’s United Financial, Inc.		6,900		109,917
				213,513
				84,980,649
Industrial — 11.4%
Aerospace & Defense — 3.8%
BE Aerospace, Inc.		1,200		55,344
The Boeing Co.		17,600		2,234,144
General Dynamics Corp.		10,000		1,313,700
L-3 Communications Holdings, Inc.		2,400		284,400
Lockheed Martin Corp.		8,500		1,882,750
Northrop Grumman Corp.		10,982		2,173,338
Rockwell Collins, Inc.		3,400		313,514
Spirit AeroSystems Holdings, Inc. Class A (a)		3,600		163,296
United Technologies Corp.		47,492		4,753,949
				13,174,435
Airlines — 0.1%
United Continental Holdings, Inc. (a)		4,200		251,412
Building Materials — 0.0%
Owens Corning, Inc.		3,000		141,840

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

57

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

	Number of Shares		Value
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		17,100	$	929,898
Hubbell, Inc.		1,400		148,302
				1,078,200
Electronics — 0.2%
Arrow Electronics, Inc. (a)		2,600		167,466
Avnet, Inc.		5,400		239,220
Gentex Corp.		7,700		120,813
Jabil Circuit, Inc.		5,000		96,350
				623,849
Engineering & Construction — 0.1%
Fluor Corp.		3,700		198,690
Jacobs Engineering Group, Inc. (a)		3,200		139,360
				338,050
Hand & Machine Tools — 0.2%
Lincoln Electric Holdings, Inc.		1,800		105,426
Stanley Black & Decker, Inc.		3,900		410,319
				515,745
Machinery – Construction & Mining — 0.9%
Caterpillar, Inc.		15,300		1,171,062
Ingersoll-Rand PLC		31,226		1,936,324
				3,107,386
Machinery – Diversified — 0.4%
AGCO Corp.		2,200		109,340
Cummins, Inc.		2,000		219,880
Deere & Co.		8,600		662,114
Flowserve Corp.		1,500		66,615
Rockwell Automation, Inc.		3,400		386,750
				1,444,699
Manufacturing — 3.3%
Dover Corp.		4,000		257,320
Eaton Corp. PLC		41,910		2,621,890
Honeywell International, Inc.		39,896		4,470,347
Illinois Tool Works, Inc.		9,500		973,180
Parker Hannifin Corp.		3,600		399,888
Pentair PLC		39,701		2,154,176
Textron, Inc.		7,200		262,512
				11,139,313
Packaging & Containers — 0.8%
Bemis Co., Inc.		2,600		134,628
Crown Holdings, Inc. (a)		3,600		178,524
Graphic Packaging Holding Co.		8,600		110,510
Packaging Corporation of America		2,400		144,960
Sealed Air Corp.		44,217		2,122,858
Sonoco Products Co.		2,600		126,282
				2,817,762
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		1,200		164,328

	Number of Shares		Value
Transportation — 1.2%
CSX Corp.		27,100	$	697,825
Norfolk Southern Corp.		30,333		2,525,222
Union Pacific Corp.		10,000		795,500
				4,018,547
Trucking & Leasing — 0.1%
AMERCO		500		178,655
				38,994,221
Technology — 11.3%
Computers — 5.8%
Apple, Inc.		117,974		12,857,987
Brocade Communications Systems, Inc.		10,400		110,032
Computer Sciences Corp.		3,600		123,804
EMC Corp.		102,231		2,724,456
International Business Machines Corp.		25,500		3,861,975
NetApp, Inc.		3,400		92,786
Syntel, Inc. (a)		2,100		104,853
				19,875,893
Office Equipment/Supplies — 0.1%
Pitney Bowes, Inc.		5,000		107,700
Xerox Corp.		26,600		296,856
				404,556
Semiconductors — 2.7%
Analog Devices, Inc.		7,900		467,601
Applied Materials, Inc.		29,000		614,220
Intel Corp.		124,100		4,014,635
Lam Research Corp.		3,400		280,840
QUALCOMM, Inc.		51,100		2,613,254
Texas Instruments, Inc.		22,700		1,303,434
				9,293,984
Software — 2.7%
CA, Inc.		11,500		354,085
The Dun & Bradstreet Corp.		1,200		123,696
Microsoft Corp.		74,461		4,112,481
Oracle Corp.		111,500		4,561,465
				9,151,727
				38,726,160
Utilities — 3.7%
Electric — 3.7%
The AES Corp.		19,700		232,460
Ameren Corp.		6,400		320,640
American Electric Power Co., Inc.		12,800		849,920
Calpine Corp. (a)		82,137		1,246,018
CenterPoint Energy, Inc.		11,200		234,304
Consolidated Edison, Inc.		7,700		589,974
DTE Energy Co.		2,900		262,914
Duke Energy Corp.		18,100		1,460,308

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

58

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

	Number of Shares		Value
Edison International		8,500	$	611,065
Entergy Corp.		4,700		372,616
Eversource Energy		8,300		484,222
Great Plains Energy, Inc.		4,000		129,000
NextEra Energy, Inc.		18,100		2,141,954
OGE Energy Corp.		5,300		151,739
PG&E Corp.		31,032		1,853,231
Pinnacle West Capital Corp.		2,900		217,703
Public Service Enterprise Group, Inc.		13,300		626,962
The Southern Co.		10,800		558,684
Xcel Energy, Inc.		13,300		556,206
				12,899,920
TOTAL COMMON STOCK (Cost $298,998,643)				334,113,941
TOTAL EQUITIES (Cost $298,998,643)				334,113,941
MUTUAL FUNDS — 0.9%
Diversified Financial — 0.9%
iShares Russell 1000 Value Index Fund		31,400		3,102,634
TOTAL MUTUAL FUNDS (Cost $2,937,323)				3,102,634
TOTAL LONG-TERM INVESTMENTS (Cost $301,935,966)				337,216,575
	Principal Amount
SHORT-TERM INVESTMENTS — 2.2%
Repurchase Agreement — 2.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (b)	$	7,388,556		7,388,556
Time Deposit — 0.0%
Euro Time Deposit 0.010% 4/01/16		9,874		9,874
TOTAL SHORT-TERM INVESTMENTS (Cost $7,398,430)				7,398,430
TOTAL INVESTMENTS — 100.6% (Cost $309,334,396) (c)				344,615,005
Other Assets/(Liabilities) — (0.6)%				(2,107,330	)
NET ASSETS — 100.0%			$	342,507,675

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $7,388,558. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 1.625%, maturity dates ranging from 5/15/18 – 12/31/19, and an aggregate market value, including accrued interest, of $7,539,257.

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

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

59

MassMutual Select Fundamental Value Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.6%
COMMON STOCK — 98.6%
Basic Materials — 3.7%
Chemicals — 1.9%
Agrium, Inc.		93,990	$	8,298,377
The Dow Chemical Co.		323,730		16,464,908
				24,763,285
Forest Products & Paper — 0.6%
International Paper Co.		179,100		7,350,264
Iron & Steel — 1.2%
Nucor Corp.		135,430		6,405,839
Steel Dynamics, Inc.		400,180		9,008,052
				15,413,891
				47,527,440
Communications — 11.1%
Advertising — 1.3%
Nielsen Holdings PLC		319,650		16,832,769
Internet — 1.2%
Liberty Interactive Corp. QVC Group Class A (a)		170,800		4,312,700
Symantec Corp.		573,920		10,548,650
				14,861,350
Media — 3.4%
CBS Corp. Class B		298,240		16,430,041
Comcast Corp. Class A		235,570		14,388,616
Thomson Reuters Corp.		309,700		12,536,656
				43,355,313
Telecommunications — 5.2%
Cisco Systems, Inc.		1,543,340		43,938,890
Verizon Communications, Inc.		421,840		22,813,107
				66,751,997
				141,801,429
Consumer, Cyclical — 9.2%
Home Builders — 0.9%
PulteGroup, Inc.		637,120		11,920,515
Leisure Time — 1.3%
Norwegian Cruise Line Holdings Ltd. (a)		297,060		16,424,448
Lodging — 1.1%
Hilton Worldwide Holdings, Inc.		586,160		13,200,323
Retail — 5.9%
CVS Health Corp.		160,390		16,637,255
The Home Depot, Inc.		91,600		12,222,188
Lowe’s Cos., Inc.		171,760		13,010,820
Nordstrom, Inc.		157,240		8,995,700
PVH Corp.		118,690		11,757,431

	Number of Shares		Value
Signet Jewelers Ltd.		103,620	$	12,851,989
				75,475,383
				117,020,669
Consumer, Non-cyclical — 16.9%
Agriculture — 1.1%
British American Tobacco PLC		240,210		14,067,295
Beverages — 0.6%
Diageo PLC Sponsored ADR (United Kingdom)		64,630		6,971,638
Biotechnology — 1.7%
Amgen, Inc.		85,070		12,754,545
Gilead Sciences, Inc.		102,660		9,430,347
				22,184,892
Foods — 1.9%
Ingredion, Inc.		108,740		11,612,345
The Kraft Heinz Co.		154,936		12,171,772
				23,784,117
Health Care – Products — 2.2%
Baxter International, Inc.		166,340		6,833,247
Medtronic PLC		280,487		21,036,525
				27,869,772
Health Care – Services — 1.5%
UnitedHealth Group, Inc.		151,340		19,507,726
Pharmaceuticals — 7.9%
Allergan PLC (a)		45,150		12,101,554
AstraZeneca PLC Sponsored ADR (United Kingdom)		423,750		11,932,800
Bristol-Myers Squibb Co.		295,650		18,886,122
Merck & Co., Inc.		611,160		32,336,476
Pfizer, Inc.		330,405		9,793,204
Roche Holding AG		62,092		15,236,351
				100,286,507
				214,671,947
Energy — 10.0%
Oil & Gas — 8.8%
Anadarko Petroleum Corp.		133,540		6,218,958
Canadian Natural Resources Ltd.		48,200		1,301,400
Chevron Corp.		307,280		29,314,512
EOG Resources, Inc.		222,780		16,169,372
Exxon Mobil Corp.		241,710		20,204,539
Marathon Oil Corp.		1,051,321		11,711,716
Occidental Petroleum Corp.		133,130		9,110,086
Pioneer Natural Resources Co.		97,850		13,771,409
Southwestern Energy Co. (a)		611,950		4,938,437
				112,740,429

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

60

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

	Number of Shares		Value
Oil & Gas Services — 1.2%
Halliburton Co.		412,280	$	14,726,641
				127,467,070
Financial — 24.3%
Banks — 6.9%
M&T Bank Corp.		128,120		14,221,320
The PNC Financial Services Group, Inc.		312,170		26,400,217
Wells Fargo & Co.		978,510		47,320,744
				87,942,281
Diversified Financial — 11.1%
Ameriprise Financial, Inc.		123,320		11,593,313
BlackRock, Inc.		60,710		20,676,005
Citigroup, Inc.		600,590		25,074,632
The Goldman Sachs Group, Inc.		79,850		12,534,853
Intercontinental Exchange, Inc.		49,180		11,564,185
Invesco Ltd.		462,610		14,234,510
JP Morgan Chase & Co.		770,026		45,600,940
				141,278,438
Insurance — 6.3%
American International Group, Inc.		237,210		12,821,200
Chubb Ltd.		183,720		21,890,238
Marsh & McLennan Cos., Inc.		252,920		15,375,007
MetLife, Inc.		334,510		14,698,369
Principal Financial Group, Inc.		204,668		8,074,153
Unum Group		215,440		6,661,405
				79,520,372
				308,741,091
Industrial — 11.7%
Aerospace & Defense — 2.0%
Triumph Group, Inc.		200,080		6,298,518
United Technologies Corp.		189,980		19,016,998
				25,315,516
Building Materials — 1.6%
Fortune Brands Home & Security, Inc.		378,740		21,224,590
Machinery – Construction & Mining — 1.3%
Ingersoll-Rand PLC		264,590		16,407,226
Manufacturing — 5.7%
3M Co.		91,730		15,284,970
Eaton Corp. PLC		372,530		23,305,477
General Electric Co.		891,780		28,349,686
Illinois Tool Works, Inc.		51,160		5,240,830
				72,180,963
Transportation — 1.1%
Union Pacific Corp.		174,150		13,853,633
				148,981,928

	Number of Shares		Value
Technology — 8.0%
Semiconductors — 5.1%
Analog Devices, Inc.		117,590	$	6,960,152
Intel Corp.		830,900		26,879,615
Maxim Integrated Products, Inc.		526,770		19,374,601
QUALCOMM, Inc.		236,360		12,087,450
				65,301,818
Software — 2.9%
Microsoft Corp.		670,390		37,025,640
				102,327,458
Utilities — 3.7%
Electric — 3.7%
Dominion Resources, Inc.		99,430		7,469,182
Edison International		184,760		13,282,396
Eversource Energy		308,550		18,000,807
NextEra Energy, Inc.		72,510		8,580,833
				47,333,218
TOTAL COMMON STOCK (Cost $1,013,165,935)				1,255,872,250
TOTAL EQUITIES (Cost $1,013,165,935)				1,255,872,250
TOTAL LONG-TERM INVESTMENTS (Cost $1,013,165,935)				1,255,872,250
	Principal Amount
SHORT-TERM INVESTMENTS — 0.8%
Repurchase Agreement — 0.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (b)	$	9,965,563		9,965,563
Time Deposit — 0.0%
Euro Time Deposit 0.010% 4/01/16		77,789		77,789
TOTAL SHORT-TERM INVESTMENTS (Cost $10,043,352)				10,043,352
TOTAL INVESTMENTS — 99.4% (Cost $1,023,209,287) (c)				1,265,915,602
Other Assets/(Liabilities) — 0.6%				7,148,348
NET ASSETS — 100.0%			$	1,273,063,950

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

61

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $9,965,566. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 12/31/19, and an aggregate market value, including accrued interest, of $10,168,946.

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

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

United States	81.0	%
Ireland	5.7	%
United Kingdom	3.9	%
Bermuda	3.4	%
Switzerland	2.9	%
Canada	1.7	%
Total Long-Term Investments	98.6	%
Short-Term Investments and Other Assets and Liabilities	1.4	%
Net Assets	100.0	%

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

62

MassMutual Select Large Cap Value Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.6%
COMMON STOCK — 98.6%
Basic Materials — 2.8%
Chemicals — 0.7%
BASF SE Sponsored ADR (Germany)		18,922	$	1,428,611
Iron & Steel — 1.1%
Carpenter Technology Corp.		67,600		2,313,948
Mining — 1.0%
Alcoa, Inc.		144,200		1,381,436
Rio Tinto PLC Sponsored ADR (United Kingdom)		25,998		734,963
				2,116,399
				5,858,958
Communications — 5.9%
Advertising — 0.7%
Aimia, Inc.		245,000		1,580,250
Telecommunications — 5.2%
ARRIS International PLC (a)		43,700		1,001,604
AT&T, Inc.		88,308		3,459,024
Cisco Systems, Inc.		67,998		1,935,903
Verizon Communications, Inc.		75,569		4,086,772
Vodafone Group PLC Sponsored ADR (United Kingdom)		18,272		585,618
				11,068,921
				12,649,171
Consumer, Cyclical — 8.5%
Airlines — 1.0%
Southwest Airlines Co.		46,249		2,071,955
Home Builders — 1.8%
Lennar Corp.		39,878		1,543,677
Lennar Corp. Class A (b)		47,097		2,277,611
				3,821,288
Home Furnishing — 0.7%
Whirlpool Corp.		8,400		1,514,856
Household Products — 0.7%
Tupperware Brands Corp. (b)		26,071		1,511,597
Retail — 4.3%
The Gap, Inc.		51,847		1,524,302
The Home Depot, Inc.		6,500		867,295
Target Corp.		19,959		1,642,227
Wal-Mart Stores, Inc.		74,960		5,134,010
				9,167,834
				18,087,530

	Number of Shares		Value
Consumer, Non-cyclical — 21.9%
Agriculture — 5.2%
Altria Group, Inc.		42,059	$	2,635,417
Philip Morris International, Inc.		84,760		8,315,803
				10,951,220
Foods — 1.7%
ConAgra Foods, Inc.		45,000		2,007,900
Tyson Foods, Inc. Class A		25,100		1,673,166
				3,681,066
Health Care – Products — 3.3%
Johnson & Johnson		33,974		3,675,987
Medtronic PLC		43,716		3,278,700
				6,954,687
Pharmaceuticals — 11.7%
Allergan PLC (a)		2,500		670,075
Eli Lilly & Co.		64,064		4,613,249
Herbalife Ltd. (a)		62,903		3,872,309
Merck & Co., Inc.		151,300		8,005,283
Pfizer, Inc.		260,766		7,729,104
				24,890,020
				46,476,993
Energy — 7.7%
Oil & Gas — 7.7%
BP PLC Sponsored ADR (United Kingdom)		138,222		4,171,540
California Resources Corp.		3,400		3,502
Chesapeake Energy Corp. (b)		52,100		214,652
ConocoPhillips		60,118		2,420,952
Ensco PLC Class A		245,900		2,549,983
Occidental Petroleum Corp.		36,323		2,485,583
Phillips 66		38,679		3,349,215
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom)		24,400		1,182,180
				16,377,607
Financial — 21.6%
Banks — 7.2%
Bank of America Corp.		551,396		7,454,874
The PNC Financial Services Group, Inc.		14,399		1,217,724
State Street Corp.		19,893		1,164,138
SunTrust Banks, Inc.		52,572		1,896,798
Wells Fargo & Co.		75,040		3,628,934
				15,362,468
Diversified Financial — 8.5%
Ally Financial, Inc. (a)		110,906		2,076,160
American Express Co.		34,999		2,148,939
Ameriprise Financial, Inc.		11,200		1,052,912
Citigroup, Inc.		122,226		5,102,935
JP Morgan Chase & Co.		116,858		6,920,331

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

63

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

	Number of Shares		Value
MasterCard, Inc. Class A		7,900	$	746,550
				18,047,827
Diversified Financial Services — 0.7%
Voya Financial, Inc.		51,147		1,522,646
Insurance — 5.2%
American International Group, Inc.		34,100		1,843,105
CNO Financial Group, Inc.		327,277		5,864,804
Loews Corp.		86,418		3,306,353
				11,014,262
				45,947,203
Industrial — 15.6%
Aerospace & Defense — 3.9%
General Dynamics Corp.		4,220		554,381
Northrop Grumman Corp.		22,900		4,531,910
Raytheon Co.		16,581		2,033,328
United Technologies Corp.		12,900		1,291,290
				8,410,909
Building Materials — 1.5%
CRH PLC Sponsored ADR (Ireland)		110,333		3,109,184
Electronics — 0.5%
TE Connectivity Ltd.		18,400		1,139,328
Engineering & Construction — 3.6%
Fluor Corp.		10,700		574,590
KBR, Inc.		458,100		7,091,388
				7,665,978
Hand & Machine Tools — 0.9%
Stanley Black & Decker, Inc.		18,899		1,988,364
Machinery – Diversified — 0.3%
Flowserve Corp.		13,000		577,330
Manufacturing — 1.4%
General Electric Co.		31,184		991,339
Honeywell International, Inc.		17,575		1,969,279
				2,960,618
Transportation — 3.5%
Euronav NA (a)		228,815		2,343,066
FedEx Corp.		12,600		2,050,272
Golar LNG Partners LP		102,186		1,501,112
Norfolk Southern Corp.		18,085		1,505,576
				7,400,026
				33,251,737
Technology — 10.2%
Computers — 1.8%
Hewlett Packard Enterprise Co.		46,600		826,218
HP, Inc.		49,900		614,768
International Business Machines Corp.		16,200		2,453,490
				3,894,476

	Number of Shares		Value
Semiconductors — 0.9%
Intel Corp.		59,597	$	1,927,963
Software — 7.5%
CA, Inc.		187,100		5,760,809
First Data Corp. Class A (a)		28,800		372,672
Microsoft Corp.		140,756		7,773,954
Oracle Corp.		47,800		1,955,498
				15,862,933
				21,685,372
Utilities — 4.4%
Electric — 4.4%
American Electric Power Co., Inc.		10,700		710,480
Entergy Corp.		59,873		4,746,731
Exelon Corp.		95,000		3,406,700
NextEra Energy, Inc.		4,800		568,032
				9,431,943
TOTAL COMMON STOCK (Cost $211,768,144)				209,766,514
TOTAL EQUITIES (Cost $211,768,144)				209,766,514
MUTUAL FUNDS — 0.9%
Diversified Financial — 0.9%
State Street Navigator Securities Lending Prime Portfolio (c)		1,798,519		1,798,519
TOTAL MUTUAL FUNDS (Cost $1,798,519)				1,798,519
TOTAL LONG-TERM INVESTMENTS (Cost $213,566,663)				211,565,033
	Principal Amount
SHORT-TERM INVESTMENTS — 1.3%
Repurchase Agreement — 1.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (d)	$	2,858,764		2,858,764
TOTAL SHORT-TERM INVESTMENTS (Cost $2,858,764)				2,858,764
TOTAL INVESTMENTS — 100.8% (Cost $216,425,427) (e)				214,423,797
Other Assets/(Liabilities) — (0.8)%				(1,722,047	)
NET ASSETS — 100.0%			$	212,701,750

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

64

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $1,756,889 or 0.83% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $2,858,765. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $2,918,337.

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

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

65

MM S&P 500 Index Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.4%
COMMON STOCK — 98.4%
Basic Materials — 2.5%
Chemicals — 2.0%
Air Products & Chemicals, Inc.		38,747	$	5,581,505
Airgas, Inc.		13,041		1,847,127
CF Industries Holdings, Inc.		46,620		1,461,071
The Dow Chemical Co.		221,905		11,286,088
E.I. du Pont de Nemours & Co.		174,056		11,021,226
Eastman Chemical Co.		29,648		2,141,475
Ecolab, Inc.		53,207		5,933,645
FMC Corp.		26,829		1,083,087
International Flavors & Fragrances, Inc.		16,022		1,822,823
LyondellBasell Industries NV Class A		68,918		5,898,003
Monsanto Co.		87,358		7,664,791
The Mosaic Co.		70,386		1,900,422
PPG Industries, Inc.		53,220		5,933,498
Praxair, Inc.		56,852		6,506,711
The Sherwin-Williams Co.		15,705		4,470,742
				74,552,214
Forest Products & Paper — 0.1%
International Paper Co.		81,910		3,361,586
Iron & Steel — 0.1%
Nucor Corp.		63,219		2,990,259
Mining — 0.3%
Alcoa, Inc.		259,270		2,483,806
Freeport-McMoRan, Inc.		247,694		2,561,156
Newmont Mining Corp.		104,886		2,787,870
Vulcan Materials Co.		26,335		2,780,186
				10,613,018
				91,517,077
Communications — 13.5%
Advertising — 0.3%
The Interpublic Group of Companies, Inc.		81,334		1,866,615
Nielsen Holdings PLC		71,747		3,778,197
Omnicom Group, Inc.		47,348		3,940,774
				9,585,586
Internet — 6.5%
Akamai Technologies, Inc. (a)		35,131		1,952,230
Alphabet, Inc. Class A (a)		58,240		44,431,296
Alphabet, Inc. Class C (a)		59,184		44,089,121
Amazon.com, Inc. (a)		76,951		45,681,192
eBay, Inc. (a)		214,530		5,118,686
Equinix, Inc.		13,779		4,556,853
Expedia, Inc.		23,851		2,571,615
F5 Networks, Inc. (a)		13,681		1,448,134

	Number of Shares		Value
Facebook, Inc. Class A (a)		457,134	$	52,158,989
Netflix, Inc. (a)		85,371		8,727,477
The Priceline Group, Inc. (a)		9,902		12,763,282
Symantec Corp.		130,186		2,392,819
TripAdvisor, Inc. (a)		22,437		1,492,060
VeriSign, Inc. (a)		18,970		1,679,604
Yahoo!, Inc. (a)		172,893		6,364,191
				235,427,549
Media — 2.9%
Cablevision Systems Corp. Class A		45,218		1,492,194
CBS Corp. Class B		83,983		4,626,624
Comcast Corp. Class A		485,214		29,636,871
Discovery Communications, Inc. Series A (a)		30,499		873,186
Discovery Communications, Inc. Series C (a)		47,496		1,282,392
News Corp. Class A		75,697		966,651
News Corp. Class B		21,500		284,875
Scripps Networks Interactive Class A		19,430		1,272,665
TEGNA, Inc.		42,624		999,959
Time Warner Cable, Inc.		56,289		11,517,855
Time Warner, Inc.		157,311		11,412,913
Twenty-First Century Fox Class A		222,744		6,210,103
Twenty-First Century Fox, Inc. Class B		85,700		2,416,740
Viacom, Inc. Class B		69,037		2,849,847
The Walt Disney Co.		298,904		29,684,156
				105,527,031
Telecommunications — 3.8%
AT&T, Inc.		1,224,839		47,976,944
CenturyLink, Inc.		108,755		3,475,810
Cisco Systems, Inc.		1,002,791		28,549,460
Corning, Inc.		220,522		4,606,705
Frontier Communications Corp.		232,504		1,299,697
Harris Corp.		24,417		1,901,108
Juniper Networks, Inc.		68,975		1,759,552
Level 3 Communications, Inc. (a)		58,039		3,067,361
Motorola Solutions, Inc.		31,484		2,383,339
Verizon Communications, Inc.		811,294		43,874,779
				138,894,755
				489,434,921
Consumer, Cyclical — 10.4%
Airlines — 0.5%
American Airlines Group, Inc.		120,096		4,925,137
Delta Air Lines, Inc.		155,759		7,582,348
Southwest Airlines Co.		126,971		5,688,301
				18,195,786

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

66

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

	Number of Shares		Value
Apparel — 0.8%
Hanesbrands, Inc.		77,000	$	2,182,180
Michael Kors Holdings Ltd. (a)		35,278		2,009,435
NIKE, Inc. Class B		269,170		16,545,880
Ralph Lauren Corp.		11,864		1,142,029
Under Armour, Inc. Class A (a)		36,627		3,107,068
VF Corp.		67,163		4,349,476
				29,336,068
Auto Manufacturers — 0.6%
Ford Motor Co.		774,286		10,452,861
General Motors Co.		280,449		8,814,512
Paccar, Inc.		70,269		3,843,012
				23,110,385
Automotive & Parts — 0.4%
BorgWarner, Inc.		42,924		1,648,282
Delphi Automotive PLC		55,516		4,164,810
The Goodyear Tire & Rubber Co.		52,340		1,726,173
Johnson Controls, Inc.		129,881		5,061,463
				12,600,728
Distribution & Wholesale — 0.2%
Fastenal Co.		57,514		2,818,186
Genuine Parts Co.		29,980		2,978,813
W.W. Grainger, Inc.		11,316		2,641,494
				8,438,493
Home Builders — 0.1%
D.R. Horton, Inc.		66,512		2,010,658
Lennar Corp. Class A		36,238		1,752,469
PulteGroup, Inc.		64,903		1,214,335
				4,977,462
Home Furnishing — 0.1%
Harman International Industries, Inc.		14,269		1,270,512
Whirlpool Corp.		15,573		2,808,435
				4,078,947
Housewares — 0.1%
Newell Rubbermaid, Inc.		53,117		2,352,552
Leisure Time — 0.3%
Carnival Corp.		89,896		4,743,812
Harley-Davidson, Inc.		36,701		1,883,862
Royal Caribbean Cruises Ltd.		34,060		2,798,029
				9,425,703
Lodging — 0.3%
Marriott International, Inc. Class A		37,476		2,667,542
Starwood Hotels & Resorts Worldwide, Inc.		33,785		2,818,682
Wyndham Worldwide Corp.		22,712		1,735,878
Wynn Resorts Ltd.		16,176		1,511,324
				8,733,426

	Number of Shares		Value
Retail — 6.8%
Advance Auto Parts, Inc.		14,489	$	2,323,166
AutoNation, Inc. (a)		14,776		689,744
AutoZone, Inc. (a)		5,977		4,761,816
Bed Bath & Beyond, Inc. (a)		32,469		1,611,761
Best Buy Co., Inc.		56,397		1,829,519
CarMax, Inc. (a)		38,861		1,985,797
Chipotle Mexican Grill, Inc. (a)		5,977		2,814,988
Coach, Inc.		55,222		2,213,850
Costco Wholesale Corp.		87,652		13,812,202
CVS Health Corp.		218,578		22,673,096
Darden Restaurants, Inc.		22,649		1,501,629
Dollar General Corp.		57,651		4,934,925
Dollar Tree, Inc. (a)		46,610		3,843,461
GameStop Corp. Class A		21,285		675,373
The Gap, Inc.		44,598		1,311,181
The Home Depot, Inc.		252,632		33,708,688
Kohl’s Corp.		37,553		1,750,345
L Brands, Inc.		51,075		4,484,896
Lowe’s Cos., Inc.		182,415		13,817,936
Macy’s, Inc.		61,512		2,712,064
McDonald’s Corp.		179,565		22,567,729
Nordstrom, Inc.		25,440		1,455,422
O’Reilly Automotive, Inc. (a)		19,374		5,301,889
PVH Corp.		16,313		1,615,966
Ross Stores, Inc.		80,718		4,673,572
Signet Jewelers Ltd.		15,808		1,960,666
Staples, Inc.		127,809		1,409,733
Starbucks Corp.		294,150		17,560,755
Target Corp.		120,303		9,898,531
Tiffany & Co.		22,287		1,635,420
The TJX Cos., Inc.		133,543		10,463,094
Tractor Supply Co.		27,019		2,444,139
Urban Outfitters, Inc. (a)		16,626		550,154
Wal-Mart Stores, Inc.		312,587		21,409,084
Walgreens Boots Alliance, Inc.		171,675		14,461,902
Yum! Brands, Inc.		80,989		6,628,950
				247,493,443
Textiles — 0.1%
Cintas Corp.		17,827		1,601,043
Mohawk Industries, Inc. (a)		12,803		2,444,092
				4,045,135
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		22,565		1,807,456
Mattel, Inc.		66,943		2,250,624
				4,058,080
				376,846,208
Consumer, Non-cyclical — 24.1%
Agriculture — 1.8%
Altria Group, Inc.		389,916		24,432,137
Archer-Daniels-Midland Co.		118,741		4,311,486

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

67

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

	Number of Shares		Value
Philip Morris International, Inc.		308,630	$	30,279,689
Reynolds American, Inc.		164,966		8,299,439
				67,322,751
Beverages — 2.4%
Brown-Forman Corp. Class B		20,400		2,008,788
The Coca-Cola Co.		775,875		35,992,841
Coca-Cola Enterprises, Inc.		41,368		2,099,012
Constellation Brands, Inc. Class A		35,041		5,294,345
Dr. Pepper Snapple Group, Inc.		37,124		3,319,628
Molson Coors Brewing Co. Class B		36,652		3,525,190
Monster Beverage Corp. (a)		29,726		3,964,854
PepsiCo, Inc.		287,915		29,505,529
				85,710,187
Biotechnology — 2.6%
Alexion Pharmaceuticals, Inc. (a)		44,798		6,236,778
Amgen, Inc.		149,808		22,460,713
Biogen, Inc. (a)		43,562		11,340,060
Celgene Corp. (a)		155,568		15,570,801
Gilead Sciences, Inc.		272,207		25,004,935
Illumina, Inc. (a)		29,361		4,759,712
Regeneron Pharmaceuticals, Inc. (a)		15,637		5,636,200
Vertex Pharmaceuticals, Inc. (a)		48,794		3,878,635
				94,887,834
Commercial Services — 2.2%
The ADT Corp.		32,298		1,332,616
Alliance Data Systems Corp. (a)		11,718		2,577,960
Automatic Data Processing, Inc.		91,390		8,198,597
Equifax, Inc.		23,655		2,703,530
H&R Block, Inc.		46,819		1,236,958
The McGraw Hill Financial, Inc.		52,791		5,225,253
McKesson Corp.		45,517		7,157,548
Moody’s Corp.		33,708		3,254,845
Paychex, Inc.		64,527		3,485,103
PayPal Holdings, Inc. (a)		221,730		8,558,778
Quanta Services, Inc. (a)		32,349		729,793
Robert Half International, Inc.		26,808		1,248,717
Total System Services, Inc.		33,581		1,597,784
United Rentals, Inc. (a)		18,097		1,125,452
Verisk Analytics, Inc. (a)		30,782		2,460,097
Visa, Inc. Class A		382,320		29,239,834
Western Union Co.		98,161		1,893,526
				82,026,391
Cosmetics & Personal Care — 1.6%
Colgate-Palmolive Co.		178,159		12,586,934
The Estee Lauder Cos., Inc. Class A		44,301		4,178,027
The Procter & Gamble Co.		528,088		43,466,923
				60,231,884
Foods — 1.9%
Campbell Soup Co.		36,153		2,306,200
ConAgra Foods, Inc.		86,136		3,843,388

	Number of Shares		Value
General Mills, Inc.		117,811	$	7,463,327
The Hershey Co.		28,169		2,594,083
Hormel Foods Corp.		53,262		2,303,049
The J.M. Smucker Co.		23,761		3,085,128
Kellogg Co.		50,692		3,880,473
The Kraft Heinz Co.		118,547		9,313,052
The Kroger Co.		194,528		7,440,696
McCormick & Co., Inc.		23,098		2,297,789
Mondelez International, Inc. Class A		312,776		12,548,573
Sysco Corp.		104,242		4,871,229
Tyson Foods, Inc. Class A		57,972		3,864,413
Whole Foods Market, Inc.		65,023		2,022,866
				67,834,266
Health Care – Products — 3.5%
Baxter International, Inc.		109,451		4,496,247
Becton, Dickinson & Co.		42,403		6,437,623
Boston Scientific Corp. (a)		269,610		5,071,364
C.R. Bard, Inc.		14,677		2,974,588
Edwards Lifesciences Corp. (a)		42,592		3,757,040
Henry Schein, Inc. (a)		16,200		2,796,606
Hologic, Inc. (a)		49,164		1,696,158
Intuitive Surgical, Inc. (a)		7,418		4,458,589
Johnson & Johnson		549,561		59,462,500
Medtronic PLC		280,033		21,002,475
St. Jude Medical, Inc.		56,443		3,104,365
Stryker Corp.		62,178		6,671,078
Varian Medical Systems, Inc. (a)		18,725		1,498,374
Zimmer Biomet Holdings, Inc.		35,458		3,780,887
				127,207,894
Health Care – Services — 2.3%
Aetna, Inc.		69,869		7,849,782
Anthem, Inc.		52,000		7,227,480
Centene Corp. (a)		33,841		2,083,590
Cigna Corp.		50,998		6,998,965
DaVita HealthCare Partners, Inc. (a)		32,802		2,407,011
DENTSPLY SIRONA, Inc.		47,806		2,946,284
HCA Holdings, Inc. (a)		60,857		4,749,889
Humana, Inc.		29,634		5,421,540
Laboratory Corporation of America Holdings (a)		20,412		2,390,858
Quest Diagnostics, Inc.		28,477		2,034,682
Tenet Healthcare Corp. (a)		19,273		557,568
Thermo Fisher Scientific, Inc.		79,017		11,188,017
UnitedHealth Group, Inc.		189,372		24,410,051
Universal Health Services, Inc. Class B		18,040		2,249,949
				82,515,666
Household Products — 0.5%
Avery Dennison Corp.		17,730		1,278,510
Church & Dwight Co., Inc.		26,197		2,414,839
The Clorox Co.		25,748		3,245,793

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

68

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

	Number of Shares		Value
Kimberly-Clark Corp.		72,068	$	9,693,867
				16,633,009
Pharmaceuticals — 5.3%
Abbott Laboratories		293,196		12,264,389
AbbVie, Inc.		320,922		18,331,065
Allergan PLC (a)		78,644		21,078,951
AmerisourceBergen Corp.		39,220		3,394,491
Baxalta, Inc.		135,702		5,482,361
Bristol-Myers Squibb Co.		332,499		21,240,036
Cardinal Health, Inc.		65,911		5,401,406
Eli Lilly & Co.		194,303		13,991,759
Endo International PLC (a)		41,335		1,163,580
Express Scripts Holding Co. (a)		132,955		9,132,679
Mallinckrodt PLC (a)		21,866		1,339,949
Mead Johnson Nutrition Co.		36,931		3,138,027
Merck & Co., Inc.		553,368		29,278,701
Mylan NV (a)		81,566		3,780,584
Patterson Cos., Inc.		16,597		772,258
Perrigo Co. PLC		28,964		3,705,365
Pfizer, Inc.		1,204,485		35,700,935
Zoetis, Inc.		91,119		4,039,305
				193,235,841
				877,605,723
Diversified — 0.0%
Holding Company – Diversified — 0.0%
Leucadia National Corp.		67,384		1,089,599
Energy — 6.7%
Energy – Alternate Sources — 0.0%
First Solar, Inc. (a)		15,493		1,060,806
Oil & Gas — 5.3%
Anadarko Petroleum Corp.		100,556		4,682,893
Apache Corp.		76,011		3,710,097
Cabot Oil & Gas Corp.		92,635		2,103,741
Chesapeake Energy Corp.		106,627		439,303
Chevron Corp.		375,050		35,779,770
Cimarex Energy Co.		19,135		1,861,262
Concho Resources, Inc. (a)		25,595		2,586,119
ConocoPhillips		246,457		9,924,823
Devon Energy Corp.		101,135		2,775,144
Diamond Offshore Drilling, Inc.		12,691		275,775
EOG Resources, Inc.		109,634		7,957,236
EQT Corp.		31,832		2,141,020
Exxon Mobil Corp.		827,217		69,147,069
Helmerich & Payne, Inc.		21,475		1,261,012
Hess Corp.		53,176		2,799,716
Marathon Oil Corp.		168,196		1,873,704
Marathon Petroleum Corp.		106,222		3,949,334
Murphy Oil Corp.		31,186		785,575
Newfield Exploration Co. (a)		39,891		1,326,376
Noble Energy, Inc.		84,743		2,661,778
Occidental Petroleum Corp.		152,166		10,412,719

	Number of Shares		Value
Phillips 66		93,436	$	8,090,623
Pioneer Natural Resources Co.		32,578		4,585,028
Range Resources Corp.		33,613		1,088,389
Southwestern Energy Co. (a)		77,605		626,272
Tesoro Corp.		23,492		2,020,547
Valero Energy Corp.		93,733		6,012,035
				190,877,360
Oil & Gas Services — 1.0%
Baker Hughes, Inc.		87,653		3,841,831
Cameron International Corp. (a)		38,011		2,548,638
FMC Technologies, Inc. (a)		44,681		1,222,472
Halliburton Co.		170,865		6,103,298
National Oilwell Varco, Inc.		74,893		2,329,172
Schlumberger Ltd.		249,963		18,434,771
Transocean Ltd.		69,520		635,413
				35,115,595
Pipelines — 0.4%
Columbia Pipeline Group, Inc.		80,371		2,017,312
Kinder Morgan, Inc.		364,682		6,513,220
ONEOK, Inc.		41,344		1,234,532
Spectra Energy Corp.		132,856		4,065,394
The Williams Cos., Inc.		135,529		2,177,951
				16,008,409
				243,062,170
Financial — 15.5%
Banks — 3.9%
Bank of America Corp.		2,057,491		27,817,278
The Bank of New York Mellon Corp.		214,254		7,890,975
BB&T Corp.		155,490		5,173,152
Capital One Financial Corp.		105,255		7,295,224
Citizens Financial Group, Inc.		104,455		2,188,332
Comerica, Inc.		35,688		1,351,505
Fifth Third Bancorp		155,488		2,595,095
Huntington Bancshares, Inc.		160,819		1,534,213
KeyCorp		166,670		1,840,037
M&T Bank Corp.		31,759		3,525,249
Northern Trust Corp.		43,468		2,832,810
The PNC Financial Services Group, Inc.		99,468		8,412,009
Regions Financial Corp.		257,113		2,018,337
State Street Corp.		79,616		4,659,128
SunTrust Banks, Inc.		99,900		3,604,392
U.S. Bancorp		325,202		13,199,949
Wells Fargo & Co.		920,288		44,505,128
Zions Bancorp		40,519		980,965
				141,423,778
Diversified Financial — 4.7%
Affiliated Managers Group, Inc. (a)		10,865		1,764,476
American Express Co.		163,291		10,026,067
Ameriprise Financial, Inc.		33,864		3,183,555

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

69

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

	Number of Shares		Value
BlackRock, Inc.		25,079	$	8,541,155
The Charles Schwab Corp.		240,219		6,730,936
Citigroup, Inc.		587,486		24,527,540
CME Group, Inc.		67,707		6,503,257
Discover Financial Services		82,769		4,214,597
E*TRADE Financial Corp. (a)		55,193		1,351,677
Franklin Resources, Inc.		73,651		2,876,072
The Goldman Sachs Group, Inc.		78,417		12,309,901
Intercontinental Exchange, Inc.		23,724		5,578,461
Invesco Ltd.		83,100		2,556,987
JP Morgan Chase & Co.		731,168		43,299,769
Legg Mason, Inc.		21,816		756,579
MasterCard, Inc. Class A		195,347		18,460,291
Morgan Stanley		304,681		7,620,072
The Nasdaq, Inc.		22,333		1,482,465
Navient Corp.		67,919		812,990
Synchrony Financial (a)		166,069		4,759,538
T. Rowe Price Group, Inc.		48,941		3,595,206
				170,951,591
Insurance — 4.0%
Aflac, Inc.		83,465		5,269,980
The Allstate Corp.		75,248		5,069,458
American International Group, Inc.		229,145		12,385,287
Aon PLC		53,947		5,634,764
Assurant, Inc.		12,904		995,544
Berkshire Hathaway, Inc. Class B (a)		373,125		52,938,975
Chubb Ltd.		91,703		10,926,413
Cincinnati Financial Corp.		29,902		1,954,395
The Hartford Financial Services Group, Inc.		78,893		3,635,389
Lincoln National Corp.		48,811		1,913,391
Loews Corp.		53,366		2,041,783
Marsh & McLennan Cos., Inc.		103,886		6,315,230
MetLife, Inc.		218,197		9,587,576
Principal Financial Group, Inc.		54,261		2,140,596
The Progressive Corp.		116,540		4,095,216
Prudential Financial, Inc.		88,933		6,422,741
Torchmark Corp.		22,002		1,191,628
The Travelers Cos., Inc.		58,627		6,842,357
Unum Group		47,213		1,459,826
Willis Towers Watson PLC		27,392		3,250,335
XL Group PLC		58,985		2,170,648
				146,241,532
Real Estate — 0.1%
CBRE Group, Inc. (a)		57,940		1,669,831
Real Estate Investment Trusts (REITS) — 2.8%
American Tower Corp.		84,538		8,654,155
Apartment Investment & Management Co. Class A		30,428		1,272,499
AvalonBay Communities, Inc.		27,230		5,179,146
Boston Properties, Inc.		30,446		3,869,078

	Number of Shares		Value
Crown Castle International Corp.		66,728	$	5,771,972
Equity Residential		73,095		5,484,318
Essex Property Trust, Inc.		12,903		3,017,496
Extra Space Storage, Inc.		25,261		2,360,893
Federal Realty Investment Trust		13,734		2,143,191
General Growth Properties, Inc.		116,561		3,465,359
HCP, Inc.		93,694		3,052,550
Host Hotels & Resorts, Inc.		150,294		2,509,910
Iron Mountain, Inc.		37,230		1,262,469
Kimco Realty Corp.		82,157		2,364,478
The Macerich Co.		25,120		1,990,509
Prologis, Inc.		105,427		4,657,765
Public Storage		29,303		8,082,646
Realty Income Corp.		49,559		3,097,933
Simon Property Group, Inc.		61,640		12,802,012
SL Green Realty Corp.		19,700		1,908,536
UDR, Inc.		53,850		2,074,840
Ventas, Inc.		66,791		4,205,161
Vornado Realty Trust		35,492		3,351,510
Welltower, Inc.		70,740		4,905,112
Weyerhaeuser Co.		157,890		4,891,432
				102,374,970
Savings & Loans — 0.0%
People’s United Financial, Inc.		60,090		957,234
				563,618,936
Industrial — 9.5%
Aerospace & Defense — 1.9%
The Boeing Co.		124,067		15,749,065
General Dynamics Corp.		58,289		7,657,426
L-3 Communications Holdings, Inc.		15,753		1,866,731
Lockheed Martin Corp.		52,369		11,599,733
Northrop Grumman Corp.		36,055		7,135,285
Raytheon Co.		59,261		7,267,176
Rockwell Collins, Inc.		26,221		2,417,838
United Technologies Corp.		154,931		15,508,593
				69,201,847
Airlines — 0.1%
United Continental Holdings, Inc. (a)		71,559		4,283,522
Building Materials — 0.1%
Martin Marietta Materials, Inc.		12,812		2,043,642
Masco Corp.		66,253		2,083,657
				4,127,299
Electrical Components & Equipment — 0.2%
AMETEK, Inc.		46,268		2,312,475
Emerson Electric Co.		127,755		6,947,317
				9,259,792
Electronics — 0.6%
Agilent Technologies, Inc.		65,858		2,624,441
Allegion PLC		19,314		1,230,495

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

70

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

	Number of Shares		Value
Amphenol Corp. Class A		61,242	$	3,541,012
FLIR Systems, Inc.		27,308		899,799
Garmin Ltd.		22,936		916,523
PerkinElmer, Inc.		22,318		1,103,848
TE Connectivity Ltd.		74,063		4,585,981
Tyco International PLC		85,084		3,123,434
Waters Corp. (a)		16,369		2,159,398
				20,184,931
Engineering & Construction — 0.1%
Fluor Corp.		27,891		1,497,747
Jacobs Engineering Group, Inc. (a)		23,766		1,035,009
				2,532,756
Environmental Controls — 0.3%
Republic Services, Inc.		47,542		2,265,376
Stericycle, Inc. (a)		16,820		2,122,516
Waste Management, Inc.		82,814		4,886,026
				9,273,918
Hand & Machine Tools — 0.1%
Snap-on, Inc.		11,568		1,816,060
Stanley Black & Decker, Inc.		30,474		3,206,170
				5,022,230
Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		115,608		8,848,636
Ingersoll-Rand PLC		51,080		3,167,471
				12,016,107
Machinery – Diversified — 0.5%
Cummins, Inc.		32,381		3,559,967
Deere & Co.		59,863		4,608,852
Flowserve Corp.		25,366		1,126,504
Rockwell Automation, Inc.		25,926		2,949,083
Roper Technologies, Inc.		20,256		3,702,189
Xylem, Inc.		35,801		1,464,261
				17,410,856
Manufacturing — 3.6%
3M Co.		120,537		20,085,080
Danaher Corp.		119,205		11,307,786
Dover Corp.		30,407		1,956,082
Eaton Corp. PLC		90,987		5,692,147
General Electric Co.		1,858,722		59,088,773
Honeywell International, Inc.		153,224		17,168,749
Illinois Tool Works, Inc.		65,437		6,703,366
Leggett & Platt, Inc.		26,368		1,276,211
Parker Hannifin Corp.		26,749		2,971,279
Pentair PLC		36,972		2,006,101
Textron, Inc.		53,386		1,946,454
				130,202,028
Packaging & Containers — 0.2%
Ball Corp.		28,549		2,035,258
Owens-Illinois, Inc. (a)		30,372		484,737

	Number of Shares		Value
Sealed Air Corp.		38,665	$	1,856,307
WestRock Co.		50,189		1,958,877
				6,335,179
Transportation — 1.5%
C.H. Robinson Worldwide, Inc.		28,969		2,150,369
CSX Corp.		190,591		4,907,718
Expeditors International of Washington, Inc.		36,256		1,769,655
FedEx Corp.		51,168		8,326,057
J.B. Hunt Transport Services, Inc.		17,456		1,470,493
Kansas City Southern		21,965		1,876,909
Norfolk Southern Corp.		59,703		4,970,275
Ryder System, Inc.		10,256		664,384
Union Pacific Corp.		168,344		13,391,765
United Parcel Service, Inc. Class B		137,327		14,483,879
				54,011,504
				343,861,969
Technology — 12.8%
Computers — 5.5%
Accenture PLC Class A		125,015		14,426,731
Apple, Inc.		1,104,641		120,394,823
Cognizant Technology Solutions Corp. Class A (a)		120,962		7,584,317
CSRA, Inc.		27,673		744,404
EMC Corp.		388,309		10,348,435
Hewlett Packard Enterprise Co.		342,141		6,066,160
HP, Inc.		344,541		4,244,745
International Business Machines Corp.		176,073		26,666,256
NetApp, Inc.		56,603		1,544,696
SanDisk Corp.		40,132		3,053,242
Seagate Technology PLC		60,022		2,067,758
Teradata Corp. (a)		26,619		698,482
Western Digital Corp.		45,815		2,164,301
				200,004,350
Office Equipment/Supplies — 0.1%
Pitney Bowes, Inc.		37,154		800,297
Xerox Corp.		189,040		2,109,687
				2,909,984
Semiconductors — 2.7%
Analog Devices, Inc.		62,181		3,680,493
Applied Materials, Inc.		226,792		4,803,455
Broadcom Ltd.		73,879		11,414,306
Intel Corp.		941,210		30,448,143
KLA-Tencor Corp.		30,736		2,237,888
Lam Research Corp.		31,368		2,590,997
Linear Technology Corp.		47,155		2,101,227
Microchip Technology, Inc.		41,312		1,991,238
Micron Technology, Inc. (a)		206,954		2,166,808

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

71

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

	Number of Shares		Value
NVIDIA Corp.		101,200	$	3,605,756
Qorvo, Inc. (a)		25,585		1,289,740
QUALCOMM, Inc.		297,562		15,217,321
Skyworks Solutions, Inc.		37,978		2,958,486
Texas Instruments, Inc.		200,366		11,505,016
Xilinx, Inc.		51,025		2,420,116
				98,430,990
Software — 4.5%
Activision Blizzard, Inc.		101,382		3,430,767
Adobe Systems, Inc. (a)		98,989		9,285,168
Autodesk, Inc. (a)		45,076		2,628,381
CA, Inc.		58,634		1,805,341
Cerner Corp. (a)		60,731		3,216,314
Citrix Systems, Inc. (a)		30,783		2,418,928
The Dun & Bradstreet Corp.		6,948		716,200
Electronic Arts, Inc. (a)		61,606		4,072,773
Fidelity National Information Services, Inc.		54,970		3,480,151
Fiserv, Inc. (a)		44,433		4,557,937
Intuit, Inc.		51,286		5,334,257
Microsoft Corp.		1,575,548		87,017,516
Oracle Corp.		627,783		25,682,602
Red Hat, Inc. (a)		36,226		2,699,199
Salesforce.com, Inc. (a)		125,672		9,278,364
				165,623,898
				466,969,222
Utilities — 3.4%
Electric — 3.1%
The AES Corp.		129,262		1,525,292
Ameren Corp.		48,273		2,418,477
American Electric Power Co., Inc.		97,904		6,500,826
CenterPoint Energy, Inc.		86,407		1,807,634
CMS Energy Corp.		55,459		2,353,680
Consolidated Edison, Inc.		58,425		4,476,524
Dominion Resources, Inc.		118,818		8,925,608
DTE Energy Co.		35,549		3,222,872
Duke Energy Corp.		137,073		11,059,050
Edison International		64,521		4,638,415
Entergy Corp.		35,478		2,812,696
Eversource Energy		62,776		3,662,352
Exelon Corp.		182,613		6,548,502
FirstEnergy Corp.		83,593		3,006,840
NextEra Energy, Inc.		91,983		10,885,268
NRG Energy, Inc.		65,101		846,964
PG&E Corp.		98,618		5,889,467
Pinnacle West Capital Corp.		22,553		1,693,054
PPL Corp.		134,091		5,104,844
Public Service Enterprise Group, Inc.		100,474		4,736,344
SCANA Corp.		28,746		2,016,532
The Southern Co.		181,439		9,385,840
TECO Energy, Inc.		47,483		1,307,207

	Number of Shares		Value
WEC Energy Group, Inc.		62,660	$	3,763,986
Xcel Energy, Inc.		101,571		4,247,699
				112,835,973
Gas — 0.2%
AGL Resources, Inc.		24,309		1,583,488
NiSource, Inc.		64,205		1,512,670
Sempra Energy		46,960		4,886,188
				7,982,346
Water — 0.1%
American Water Works Co., Inc.		35,564		2,451,426
				123,269,745
TOTAL COMMON STOCK (Cost $2,255,997,580)				3,577,275,570
TOTAL EQUITIES (Cost $2,255,997,580)				3,577,275,570
TOTAL LONG-TERM INVESTMENTS (Cost $2,255,997,580)				3,577,275,570
	Principal Amount
SHORT-TERM INVESTMENTS — 1.6%
Repurchase Agreement — 1.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (b)	$	55,021,754		55,021,754
Time Deposit — 0.0%
Euro Time Deposit 0.010% 4/01/16		20,440		20,440
U.S. Treasury Bill — 0.1%
U.S. Treasury Bill (c) 0.000% 9/15/16		3,399,999		3,394,825
TOTAL SHORT-TERM INVESTMENTS (Cost $58,437,151)				58,437,019
TOTAL INVESTMENTS — 100.0% (Cost $2,314,434,731) (d)				3,635,712,589
Other Assets/(Liabilities) — (0.0)%				(1,349,099	)
NET ASSETS — 100.0%			$	3,634,363,490

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

72

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $55,021,769. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 11/30/19, and an aggregate market value, including accrued interest, of $56,124,169.

(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.

73

MassMutual Select Focused Value Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 93.1%
COMMON STOCK — 93.1%
Communications — 8.5%
Media — 8.5%
Charter Communications, Inc. Class A (a)		150,900	$	30,546,687
Tribune Media Co. Class A		994,000		38,119,900
				68,666,587
Consumer, Cyclical — 13.9%
Auto Manufacturers — 7.0%
General Motors Co.		1,797,000		56,479,710
Retail — 6.9%
CarMax, Inc. (a)		455,200		23,260,720
Tiffany & Co.		450,000		33,021,000
				56,281,720
				112,761,430
Consumer, Non-cyclical — 3.1%
Health Care – Products — 3.1%
Baxter International, Inc.		607,000		24,935,560
Energy — 1.8%
Oil & Gas — 1.8%
Anadarko Petroleum Corp.		324,000		15,088,680
Financial — 37.9%
Banks — 7.1%
Wells Fargo & Co.		1,194,800		57,780,528
Diversified Financial — 15.1%
BlackRock, Inc.		121,000		41,208,970
The Goldman Sachs Group, Inc.		225,500		35,398,990
JP Morgan Chase & Co.		779,000		46,132,380
				122,740,340
Insurance — 11.5%
American International Group, Inc.		1,066,000		57,617,300
Aon PLC		338,000		35,304,100
				92,921,400
Real Estate — 4.2%
CBRE Group, Inc. (a)		1,177,000		33,921,140
				307,363,408
Industrial — 11.6%
Machinery – Construction & Mining — 5.2%
Caterpillar, Inc.		553,000		42,326,620
Machinery – Diversified — 6.4%
Cummins, Inc.		475,500		52,276,470
				94,603,090
Technology — 16.3%
Semiconductors — 9.4%
Applied Materials, Inc.		2,134,500		45,208,710

	Number of Shares		Value
Intel Corp.		961,000	$	31,088,350
				76,297,060
Software — 6.9%
Microsoft Corp.		1,010,000		55,782,300
				132,079,360
TOTAL COMMON STOCK (Cost $655,564,872)				755,498,115
TOTAL EQUITIES (Cost $655,564,872)				755,498,115
TOTAL LONG-TERM INVESTMENTS (Cost $655,564,872)				755,498,115
	Principal Amount
SHORT-TERM INVESTMENTS — 6.8%
Repurchase Agreement — 6.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (b)	$	55,135,683		55,135,683
TOTAL SHORT-TERM INVESTMENTS (Cost $55,135,683)				55,135,683
TOTAL INVESTMENTS — 99.9% (Cost $710,700,555) (c)				810,633,798
Other Assets/(Liabilities) — 0.1%				424,231
NET ASSETS — 100.0%			$	811,058,029

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $55,135,698. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 11/30/19, and an aggregate market value, including accrued interest, of $56,241,541.

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

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

74

MassMutual Select Fundamental Growth Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.1%
COMMON STOCK — 98.1%
Basic Materials — 0.5%
Chemicals — 0.5%
The Sherwin-Williams Co.		2,499	$	711,389
Communications — 21.5%
Advertising — 1.3%
Nielsen Holdings PLC		19,387		1,020,919
Omnicom Group, Inc.		7,947		661,429
				1,682,348
Internet — 12.8%
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a)		3,123		246,811
Alphabet, Inc. Class C (a)		9,523		7,094,159
Amazon.com, Inc. (a)		4,698		2,788,921
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		1,749		333,849
eBay, Inc. (a)		18,241		435,230
Expedia, Inc.		1,184		127,659
F5 Networks, Inc. (a)		4,575		484,264
Facebook, Inc. Class A (a)		37,124		4,235,848
The Priceline Group, Inc. (a)		1,191		1,535,151
				17,281,892
Media — 3.8%
Comcast Corp. Class A		48,514		2,963,235
Discovery Communications, Inc. Series A (a)		18,179		520,465
FactSet Research Systems, Inc.		3,150		477,320
Scripps Networks Interactive Class A		17,993		1,178,541
				5,139,561
Telecommunications — 3.6%
Cisco Systems, Inc.		30,412		865,830
Verizon Communications, Inc.		73,802		3,991,212
				4,857,042
				28,960,843
Consumer, Cyclical — 15.9%
Apparel — 0.1%
Ralph Lauren Corp.		1,316		126,678
Home Builders — 0.2%
PulteGroup, Inc.		16,140		301,979
Lodging — 1.1%
Hilton Worldwide Holdings, Inc.		12,522		281,996
Las Vegas Sands Corp.		10,974		567,136
Wyndham Worldwide Corp.		7,472		571,085
				1,420,217
Retail — 14.5%
Advance Auto Parts, Inc.		6,083		975,348

	Number of Shares		Value
Costco Wholesale Corp.		10,826	$	1,705,961
CVS Health Corp.		23,297		2,416,598
Dollar General Corp.		6,499		556,314
Dunkin’ Brands Group, Inc.		14,556		686,607
The Home Depot, Inc.		26,464		3,531,092
Lowe’s Cos., Inc.		27,287		2,066,990
McDonald’s Corp.		16,483		2,071,584
O’Reilly Automotive, Inc. (a)		4,793		1,311,652
Ross Stores, Inc.		20,096		1,163,558
The TJX Cos., Inc.		20,859		1,634,303
Wal-Mart Stores, Inc.		21,304		1,459,111
				19,579,118
				21,427,992
Consumer, Non-cyclical — 30.1%
Agriculture — 1.5%
Altria Group, Inc.		30,853		1,933,249
Beverages — 3.4%
Anheuser-Busch InBev SA/NV Sponsored ADR (Belgium)		2,977		371,113
Monster Beverage Corp. (a)		4,030		537,521
PepsiCo, Inc.		36,054		3,694,814
				4,603,448
Biotechnology — 4.4%
Amgen, Inc.		15,798		2,368,594
Celgene Corp. (a)		9,778		978,680
Gilead Sciences, Inc.		23,164		2,127,845
Regeneron Pharmaceuticals, Inc. (a)		256		92,273
Vertex Pharmaceuticals, Inc. (a)		5,105		405,796
				5,973,188
Commercial Services — 6.5%
Alliance Data Systems Corp. (a)		2,628		578,160
Global Payments, Inc.		6,686		436,596
Paychex, Inc.		25,448		1,374,446
PayPal Holdings, Inc. (a)		28,856		1,113,842
Vantiv, Inc. Class A (a)		25,848		1,392,690
Verisk Analytics, Inc. (a)		15,039		1,201,917
Visa, Inc. Class A		35,017		2,678,100
				8,775,751
Cosmetics & Personal Care — 2.1%
Colgate-Palmolive Co.		20,355		1,438,081
The Estee Lauder Cos., Inc. Class A		14,737		1,389,846
				2,827,927
Foods — 1.6%
The Hershey Co.		14,369		1,323,241
Mondelez International, Inc. Class A		21,136		847,977
				2,171,218

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

75

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

	Number of Shares		Value
Health Care – Products — 4.2%
Becton, Dickinson & Co.		7,708	$	1,170,229
C.R. Bard, Inc.		5,699		1,155,016
Johnson & Johnson		14,257		1,542,608
Medtronic PLC		13,849		1,038,675
Varian Medical Systems, Inc. (a)		3,955		316,479
Zimmer Biomet Holdings, Inc.		3,821		407,433
				5,630,440
Health Care – Services — 1.4%
Aetna, Inc.		11,719		1,316,630
Anthem, Inc.		3,866		537,335
				1,853,965
Pharmaceuticals — 5.0%
Allergan PLC (a)		3,702		992,247
AstraZeneca PLC Sponsored ADR (United Kingdom) (b)		17,195		484,211
Bristol-Myers Squibb Co.		35,987		2,298,850
Cardinal Health, Inc.		16,275		1,333,736
Eli Lilly & Co.		10,271		739,615
Merck & Co., Inc.		17,326		916,719
				6,765,378
				40,534,564
Energy — 1.2%
Energy – Alternate Sources — 0.7%
First Solar, Inc. (a)		14,564		997,197
Oil & Gas — 0.5%
BP PLC Sponsored ADR (United Kingdom)		15,519		468,363
Chevron Corp.		1,334		127,264
				595,627
				1,592,824
Financial — 5.1%
Banks — 0.5%
Bank of America Corp.		50,424		681,733
Diversified Financial — 2.9%
The Goldman Sachs Group, Inc.		2,929		459,794
Intercontinental Exchange, Inc.		5,473		1,286,921
JP Morgan Chase & Co.		11,294		668,831
MasterCard, Inc. Class A		16,816		1,589,112
				4,004,658
Insurance — 0.5%
American International Group, Inc.		13,027		704,109
Real Estate Investment Trusts (REITS) — 1.2%
Public Storage		5,733		1,581,334
				6,971,834
Industrial — 3.0%
Aerospace & Defense — 0.5%
The Boeing Co.		5,227		663,516

	Number of Shares		Value
Machinery – Diversified — 0.5%
Rockwell Automation, Inc.		5,399	$	614,136
Manufacturing — 2.0%
Danaher Corp.		13,955		1,323,771
Honeywell International, Inc.		12,858		1,440,739
				2,764,510
				4,042,162
Technology — 19.8%
Computers — 7.9%
Amdocs Ltd.		14,229		859,716
Apple, Inc.		67,928		7,403,473
IHS, Inc. Class A (a)		10,397		1,290,892
Jack Henry & Associates, Inc.		13,264		1,121,736
				10,675,817
Internet — 1.4%
Check Point Software Technologies Ltd. (a) (b)		21,999		1,924,253
Semiconductors — 2.9%
Cirrus Logic, Inc. (a)		2,985		108,684
Linear Technology Corp.		28,945		1,289,789
Maxim Integrated Products, Inc.		29,788		1,095,603
QUALCOMM, Inc.		13,439		687,270
Texas Instruments, Inc.		11,874		681,805
				3,863,151
Software — 7.6%
Fiserv, Inc. (a)		12,320		1,263,785
Intuit, Inc.		5,746		597,641
Microsoft Corp.		77,916		4,303,301
Oracle Corp.		79,756		3,262,818
Salesforce.com, Inc. (a)		10,543		778,390
				10,205,935
				26,669,156
Utilities — 1.0%
Electric — 1.0%
NextEra Energy, Inc.		11,392		1,348,129
TOTAL COMMON STOCK (Cost $115,134,484)				132,258,893
TOTAL EQUITIES (Cost $115,134,484)				132,258,893
MUTUAL FUNDS — 1.8%
Diversified Financial — 1.8%
State Street Navigator Securities Lending Prime Portfolio (c)		2,404,984		2,404,984
TOTAL MUTUAL FUNDS (Cost $2,404,984)				2,404,984
TOTAL LONG-TERM INVESTMENTS (Cost $117,539,468)				134,663,877

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

76

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.0%
Repurchase Agreement — 3.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (d)	$	4,000,407	$	4,000,407
TOTAL SHORT-TERM INVESTMENTS (Cost $4,000,407)				4,000,407
TOTAL INVESTMENTS — 102.9% (Cost $121,539,875) (e)				138,664,284
Other Assets/(Liabilities) — (2.9)%				(3,904,671	)
NET ASSETS — 100.0%			$	134,759,613

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $2,356,736 or 1.75% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $4,000,408. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 11/30/19, and an aggregate market value, including accrued interest, of $4,082,500.

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

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

77

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.3%
COMMON STOCK — 99.3%
Basic Materials — 0.7%
Chemicals — 0.7%
Ashland, Inc.		24,100	$	2,650,036
Ecolab, Inc.		9,800		1,092,896
PPG Industries, Inc.		14,300		1,594,307
The Sherwin-Williams Co.		18,900		5,380,263
				10,717,502
Communications — 28.2%
Internet — 25.8%
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a)		439,216		34,711,241
Alphabet, Inc. Class A (a)		53,897		41,118,021
Alphabet, Inc. Class C (a)		80,127		59,690,609
Amazon.com, Inc. (a)		164,639		97,736,296
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		38,700		7,387,056
Ctrip.com International Ltd. ADR (Cayman Islands) (a)		110,000		4,868,600
Facebook, Inc. Class A (a)		656,572		74,914,865
JD.com, Inc. ADR (Cayman Islands) (a)		45,900		1,216,350
LinkedIn Corp. Class A (a)		21,500		2,458,525
Netflix, Inc. (a)		108,500		11,091,955
The Priceline Group, Inc. (a)		28,900		37,250,944
Tencent Holdings Ltd.		692,100		14,146,835
				386,591,297
Media — 0.9%
FactSet Research Systems, Inc.		52,210		7,911,381
The Walt Disney Co.		51,400		5,104,534
				13,015,915
Telecommunications — 1.5%
Cisco Systems, Inc.		798,506		22,733,466
T-Mobile US, Inc. (a)		4,000		153,200
				22,886,666
				422,493,878
Consumer, Cyclical — 13.1%
Airlines — 1.6%
Alaska Air Group, Inc.		73,700		6,044,874
American Airlines Group, Inc.		394,000		16,157,940
Delta Air Lines, Inc.		29,900		1,455,532
				23,658,346
Apparel — 1.0%
Hanesbrands, Inc.		212,400		6,019,416
NIKE, Inc. Class B		145,800		8,962,326
				14,981,742

	Number of Shares		Value
Auto Manufacturers — 0.3%
Ferrari NV (a)		10,200	$	425,340
Tesla Motors, Inc. (a)		17,350		3,986,510
				4,411,850
Automotive & Parts — 0.2%
BorgWarner, Inc.		3,000		115,200
Delphi Automotive PLC		42,900		3,218,358
				3,333,558
Leisure Time — 0.9%
Carnival Corp.		13,600		717,672
Norwegian Cruise Line Holdings Ltd. (a)		121,600		6,723,264
Royal Caribbean Cruises Ltd.		81,200		6,670,580
				14,111,516
Lodging — 1.2%
Hilton Worldwide Holdings, Inc.		332,555		7,489,139
Las Vegas Sands Corp.		15,300		790,704
Marriott International, Inc. Class A		68,790		4,896,472
MGM Resorts International (a)		219,300		4,701,792
				17,878,107
Retail — 7.9%
AutoZone, Inc. (a)		8,900		7,090,541
Costco Wholesale Corp.		11,200		1,764,896
CVS Health Corp.		82,400		8,547,352
Dollar General Corp.		33,100		2,833,360
The Home Depot, Inc.		99,500		13,276,285
L Brands, Inc.		35,400		3,108,474
Lowe’s Cos., Inc.		259,727		19,674,320
McDonald’s Corp.		800		100,544
O’Reilly Automotive, Inc. (a)		46,800		12,807,288
PVH Corp.		1,000		99,060
Ross Stores, Inc.		136,400		7,897,560
Starbucks Corp.		184,300		11,002,710
Tractor Supply Co.		70,600		6,386,476
Walgreens Boots Alliance, Inc.		131,800		11,102,832
Yum! Brands, Inc.		150,880		12,349,528
				118,041,226
				196,416,345
Consumer, Non-cyclical — 30.0%
Agriculture — 0.1%
Philip Morris International, Inc.		17,100		1,677,681
Beverages — 3.7%
The Coca-Cola Co.		393,346		18,247,321
Constellation Brands, Inc. Class A		29,600		4,472,264
Molson Coors Brewing Co. Class B		13,100		1,259,958
Monster Beverage Corp. (a)		150,092		20,019,271
SABMiller PLC Sponsored ADR (United Kingdom)		194,485		11,883,033
				55,881,847

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

78

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

	Number of Shares		Value
Biotechnology — 5.3%
Alexion Pharmaceuticals, Inc. (a)		146,400	$	20,381,808
Amgen, Inc.		63,792		9,564,334
Biogen, Inc. (a)		32,800		8,538,496
Celgene Corp. (a)		162,900		16,304,661
Gilead Sciences, Inc.		102,100		9,378,906
Incyte Corp. (a)		14,200		1,029,074
Regeneron Pharmaceuticals, Inc. (a)		16,500		5,947,260
Vertex Pharmaceuticals, Inc. (a)		103,000		8,187,470
				79,332,009
Commercial Services — 6.0%
Automatic Data Processing, Inc.		48,490		4,350,038
The McGraw Hill Financial, Inc.		10,700		1,059,086
McKesson Corp.		94,600		14,875,850
PayPal Holdings, Inc. (a)		89,200		3,443,120
SEI Investments Co.		289,319		12,455,183
Visa, Inc. Class A		693,967		53,074,596
				89,257,873
Cosmetics & Personal Care — 1.2%
The Estee Lauder Cos., Inc. Class A		19,100		1,801,321
The Procter & Gamble Co.		197,348		16,243,714
				18,045,035
Foods — 1.2%
Danone SA Sponsored ADR (France)		1,265,653		17,984,929
The Kraft Heinz Co.		3,800		298,528
The Kroger Co.		6,400		244,800
				18,528,257
Health Care – Products — 2.8%
Becton, Dickinson & Co.		56,400		8,562,648
Henry Schein, Inc. (a)		23,900		4,125,857
Hologic, Inc. (a)		25,300		872,850
Intuitive Surgical, Inc. (a)		14,400		8,655,120
Medtronic PLC		8,707		653,025
Stryker Corp.		82,100		8,808,509
Varian Medical Systems, Inc. (a)		136,331		10,909,207
				42,587,216
Health Care – Services — 3.7%
Aetna, Inc.		73,900		8,302,665
Anthem, Inc.		64,700		8,992,653
Cigna Corp.		18,300		2,511,492
Humana, Inc.		15,100		2,762,545
Thermo Fisher Scientific, Inc.		105,300		14,909,427
UnitedHealth Group, Inc.		134,900		17,388,610
				54,867,392
Pharmaceuticals — 6.0%
Allergan PLC (a)		84,693		22,700,265
AmerisourceBergen Corp.		1,700		147,135
Baxalta, Inc.		51,300		2,072,520
Bristol-Myers Squibb Co.		225,000		14,373,000

	Number of Shares		Value
Cardinal Health, Inc.		85,300	$	6,990,335
Eli Lilly & Co.		89,400		6,437,694
Merck & Co., Inc.		113,278		5,993,539
Novartis AG ADR (Switzerland)		140,113		10,149,786
Novo Nordisk A/S Sponsored ADR (Denmark)		294,664		15,967,842
Shire PLC Sponsored ADR (Ireland)		19,100		3,283,290
Zoetis, Inc.		40,400		1,790,932
				89,906,338
				450,083,648
Energy — 0.8%
Oil & Gas Services — 0.8%
Schlumberger Ltd.		159,069		11,731,339
Financial — 6.5%
Banks — 0.4%
The Bank of New York Mellon Corp.		48,500		1,786,255
Northern Trust Corp.		12,800		834,176
State Street Corp.		63,600		3,721,872
				6,342,303
Diversified Financial — 4.4%
American Express Co.		66,315		4,071,741
Ameriprise Financial, Inc.		17,900		1,682,779
BlackRock, Inc.		3,600		1,226,052
Citigroup, Inc.		8,200		342,350
CME Group, Inc.		2,900		278,545
Greenhill & Co., Inc.		46,886		1,040,869
Intercontinental Exchange, Inc.		50,380		11,846,353
MasterCard, Inc. Class A		283,600		26,800,200
Morgan Stanley		373,400		9,338,734
Synchrony Financial (a)		2,900		83,114
TD Ameritrade Holding Corp.		295,900		9,329,727
				66,040,464
Insurance — 0.5%
Aon PLC		4,000		417,800
Chubb Ltd.		6,700		798,305
Marsh & McLennan Cos., Inc.		71,800		4,364,722
Willis Towers Watson PLC		8,800		1,044,208
				6,625,035
Real Estate Investment Trusts (REITS) — 1.2%
American Tower Corp.		180,400		18,467,548
				97,475,350
Industrial — 7.7%
Aerospace & Defense — 1.0%
The Boeing Co.		101,700		12,909,798
Northrop Grumman Corp.		9,000		1,781,100
Rockwell Collins, Inc.		11,100		1,023,531
				15,714,429

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

79

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

	Number of Shares		Value
Airlines — 0.5%
United Continental Holdings, Inc. (a)		116,500	$	6,973,690
Electronics — 0.1%
Agilent Technologies, Inc.		25,500		1,016,175
Machinery – Diversified — 0.6%
Roper Technologies, Inc.		32,000		5,848,640
Wabtec Corp.		37,400		2,965,446
				8,814,086
Manufacturing — 2.2%
Danaher Corp.		336,200		31,891,932
Textron, Inc.		26,500		966,190
				32,858,122
Transportation — 3.3%
Canadian Pacific Railway Ltd.		55,500		7,364,295
Expeditors International of Washington, Inc.		297,470		14,519,511
FedEx Corp.		42,100		6,850,512
J.B. Hunt Transport Services, Inc.		57,000		4,801,680
Kansas City Southern		30,800		2,631,860
Union Pacific Corp.		2,700		214,785
United Parcel Service, Inc. Class B		124,401		13,120,573
				49,503,216
				114,879,718
Technology — 12.3%
Computers — 1.0%
Apple, Inc.		117,900		12,849,921
Cognizant Technology Solutions Corp. Class A (a)		20,800		1,304,160
IHS, Inc. Class A (a)		6,100		757,376
				14,911,457
Semiconductors — 2.3%
Analog Devices, Inc.		33,207		1,965,522
ARM Holdings PLC Sponsored ADR (United Kingdom)		214,379		9,366,218
Broadcom Ltd.		20,200		3,120,900
NXP Semiconductor NV (a)		35,400		2,869,878
QUALCOMM, Inc.		322,147		16,474,598
				33,797,116
Software — 9.0%
Activision Blizzard, Inc.		21,500		727,560
Autodesk, Inc. (a)		203,577		11,870,575
Cerner Corp. (a)		173,508		9,188,984
Electronic Arts, Inc. (a)		65,300		4,316,983
Fidelity National Information Services, Inc.		9,600		607,776
First Data Corp. Class A (a)		19,100		247,154
Fiserv, Inc. (a)		107,100		10,986,318
Intuit, Inc.		4,000		416,040

	Number of Shares		Value
Microsoft Corp.		805,008	$	44,460,592
Oracle Corp.		540,474		22,110,791
Red Hat, Inc. (a)		79,590		5,930,251
Salesforce.com, Inc. (a)		234,700		17,327,901
Servicenow, Inc. (a)		98,900		6,050,702
Workday, Inc. Class A (a)		15,300		1,175,652
				135,417,279
				184,125,852
TOTAL COMMON STOCK (Cost $1,236,737,587)				1,487,923,632
TOTAL EQUITIES (Cost $1,236,737,587)				1,487,923,632
MUTUAL FUNDS — 0.0%
Diversified Financial — 0.0%
T. Rowe Price Reserve Investment Fund		1,042		1,042
TOTAL MUTUAL FUNDS (Cost $1,042)				1,042
TOTAL LONG-TERM INVESTMENTS (Cost $1,236,738,629)				1,487,924,674
	Principal Amount
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (b)	$	9,189,885		9,189,885
Time Deposit — 0.3%
Euro Time Deposit 0.010% 4/01/16		4,744,816		4,744,816
TOTAL SHORT-TERM INVESTMENTS (Cost $13,934,701)				13,934,701
TOTAL INVESTMENTS — 100.2% (Cost $1,250,673,330) (c)				1,501,859,375
Other Assets/(Liabilities) — (0.2)%				(2,316,729	)
NET ASSETS — 100.0%			$	1,499,542,646

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

80

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $9,189,888. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 12/31/19, and an aggregate market value, including accrued interest, of $9,375,297.

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

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

81

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.5%
COMMON STOCK — 98.5%
Basic Materials — 1.2%
Chemicals — 1.2%
Monsanto Co.		132,000	$	11,581,680
Communications — 35.9%
Advertising — 1.3%
Nielsen Holdings PLC		231,905		12,212,117
Internet — 31.0%
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a)		258,000		20,389,740
Alphabet, Inc. Class A (a)		54,785		41,795,477
Alphabet, Inc. Class C (a)		33,656		25,072,037
Amazon.com, Inc. (a)		34,800		20,658,672
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		99,000		18,897,120
eBay, Inc. (a)		593,913		14,170,764
Equinix, Inc.		44,853		14,833,336
Facebook, Inc. Class A (a)		512,414		58,466,437
Liberty Interactive Corp. QVC Group Class A (a)		809,991		20,452,273
LinkedIn Corp. Class A (a)		101,500		11,606,525
Netflix, Inc. (a)		120,000		12,267,600
The Priceline Group, Inc. (a)		14,300		18,432,128
TripAdvisor, Inc. (a)		193,486		12,866,819
				289,908,928
Media — 2.2%
Discovery Communications, Inc. Series A (a)		127,766		3,657,940
Discovery Communications, Inc. Series C (a)		230,526		6,224,202
Liberty Global PLC Series A (a)		83,654		3,220,679
Liberty Global PLC Series C (a)		206,519		7,756,854
				20,859,675
Telecommunications — 1.4%
Palo Alto Networks, Inc. (a)		80,000		13,051,200
				336,031,920
Consumer, Cyclical — 6.4%
Apparel — 1.2%
Under Armour, Inc. Class A (a)		128,500		10,900,655
Retail — 5.2%
Chipotle Mexican Grill, Inc. (a)		29,300		13,799,421
L Brands, Inc.		155,336		13,640,054
Walgreens Boots Alliance, Inc.		258,602		21,784,633
				49,224,108
				60,124,763

	Number of Shares		Value
Consumer, Non-cyclical — 28.4%
Biotechnology — 10.3%
Alexion Pharmaceuticals, Inc. (a)		96,500	$	13,434,730
Biogen, Inc. (a)		103,339		26,901,209
Celgene Corp. (a)		234,382		23,459,294
Illumina, Inc. (a)		72,000		11,671,920
Incyte Corp. (a)		71,000		5,145,370
Regeneron Pharmaceuticals, Inc. (a)		43,200		15,571,008
				96,183,531
Commercial Services — 9.7%
PayPal Holdings, Inc. (a)		548,614		21,176,501
Visa, Inc. Class A		914,288		69,924,746
				91,101,247
Health Care – Products — 1.1%
Edwards Lifesciences Corp. (a)		120,000		10,585,200
Health Care – Services — 1.2%
DENTSPLY SIRONA, Inc.		182,143		11,225,473
Pharmaceuticals — 6.1%
Allergan PLC (a)		88,801		23,801,332
BioMarin Pharmaceutical, Inc. (a)		149,000		12,289,520
Novo Nordisk A/S Sponsored ADR (Denmark)		291,355		15,788,527
Valeant Pharmaceuticals International, Inc. (a) (b)		191,673		5,041,000
				56,920,379
				266,015,830
Energy — 1.0%
Oil & Gas Services — 1.0%
Schlumberger Ltd.		128,500		9,476,875
Financial — 7.9%
Diversified Financial — 5.6%
The Charles Schwab Corp.		407,000		11,404,140
Intercontinental Exchange, Inc.		63,796		15,000,991
LendingClub Corp. (a) (b)		698,000		5,793,400
MasterCard, Inc. Class A		215,188		20,335,266
				52,533,797
Real Estate Investment Trusts (REITS) — 2.3%
Crown Castle International Corp.		247,382		21,398,543
				73,932,340
Industrial — 0.8%
Electrical Components & Equipment — 0.8%
Mobileye NV (a) (b)		201,000		7,495,290
Technology — 16.9%
Semiconductors — 2.8%
QUALCOMM, Inc.		512,406		26,204,443
Software — 14.1%
Adobe Systems, Inc. (a)		206,000		19,322,800

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

82

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

	Number of Shares		Value
Athenahealth, Inc. (a) (b)		66,000	$	9,159,480
Cerner Corp. (a)		163,000		8,632,480
Electronic Arts, Inc. (a)		290,308		19,192,262
Intuit, Inc.		98,398		10,234,376
Microsoft Corp.		410,902		22,694,117
Salesforce.com, Inc. (a)		453,000		33,444,990
Splunk, Inc. (a)		201,000		9,834,930
				132,515,435
TOTAL COMMON STOCK (Cost $773,869,441)				923,378,576
TOTAL EQUITIES (Cost $773,869,441)				923,378,576
MUTUAL FUNDS — 2.0%
Diversified Financial — 2.0%
State Street Naviagtor Securities Lending Prime Portfolio (c)		18,972,439		18,972,439
TOTAL MUTUAL FUNDS (Cost $18,972,439)				18,972,439
TOTAL LONG-TERM INVESTMENTS (Cost $792,841,880)				942,351,015
	Principal Amount
SHORT-TERM INVESTMENTS — 1.5%
Repurchase Agreement — 1.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (d)	$	13,575,725		13,575,725
TOTAL SHORT-TERM INVESTMENTS (Cost $13,575,725)				13,575,725
TOTAL INVESTMENTS — 102.0% (Cost $806,417,605) (e)				955,926,740
Other Assets/(Liabilities) — (2.0)%				(18,622,153	)
NET ASSETS — 100.0%			$	937,304,587

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $18,541,985 or 1.98% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $13,575,728. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 1.750%, maturity dates ranging from 9/30/19 – 12/31/19, and an aggregate market value, including accrued interest, of $13,849,013.

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

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

83

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.6%
COMMON STOCK — 97.6%
Basic Materials — 3.2%
Chemicals — 1.5%
Albemarle Corp.		7,240	$	462,853
Celanese Corp. Series A		15,350		1,005,425
				1,468,278
Forest Products & Paper — 0.4%
International Paper Co.		9,875		405,270
Iron & Steel — 1.3%
Nucor Corp.		27,909		1,320,096
				3,193,644
Communications — 3.6%
Media — 1.4%
CBS Corp. Class B		9,375		516,469
Markit, Ltd. (a)		5,821		205,772
TEGNA, Inc.		28,760		674,710
				1,396,951
Telecommunications — 2.2%
CenturyLink, Inc.		18,919		604,651
Level 3 Communications, Inc. (a)		31,195		1,648,656
				2,253,307
				3,650,258
Consumer, Cyclical — 8.1%
Airlines — 0.5%
Alaska Air Group, Inc.		5,895		483,508
Apparel — 0.3%
Ralph Lauren Corp.		3,001		288,876
Auto Manufacturers — 0.6%
Honda Motor Co. Ltd. Sponsored ADR (Japan)		11,454		313,152
Oshkosh Corp.		7,803		318,909
				632,061
Automotive & Parts — 0.4%
Allison Transmission Holdings, Inc.		16,785		452,859
Home Builders — 0.7%
PulteGroup, Inc.		19,952		373,302
Thor Industries, Inc.		5,588		356,347
				729,649
Housewares — 0.9%
Newell Rubbermaid, Inc.		19,690		872,070
Leisure Time — 0.3%
Carnival Corp.		5,571		293,982
Lodging — 1.5%
MGM Resorts International (a)		54,645		1,171,589

	Number of Shares		Value
Wyndham Worldwide Corp.		4,390	$	335,527
				1,507,116
Retail — 2.7%
Advance Auto Parts, Inc.		4,006		642,322
American Eagle Outfitters, Inc.		18,270		304,561
CST Brands, Inc.		15,967		611,376
PVH Corp.		10,075		998,030
Target Corp.		2,880		236,966
				2,793,255
Toys, Games & Hobbies — 0.2%
Mattel, Inc.		5,545		186,423
				8,239,799
Consumer, Non-cyclical — 16.3%
Biotechnology — 0.7%
Charles River Laboratories International, Inc. (a)		9,155		695,231
Commercial Services — 1.8%
The ADT Corp.		8,722		359,870
AerCap Holdings NV (a)		15,605		604,850
CoreLogic, Inc. (a)		6,645		230,582
Global Payments, Inc.		9,265		605,004
				1,800,306
Foods — 6.1%
ConAgra Foods, Inc.		26,557		1,184,973
General Mills, Inc.		7,450		471,958
The J.M. Smucker Co.		7,083		919,657
Kellogg Co.		5,560		425,618
Mondelez International, Inc. Class A		17,661		708,559
Pinnacle Foods, Inc.		22,865		1,021,608
Sysco Corp.		32,269		1,507,930
				6,240,303
Health Care – Products — 4.0%
Baxter International, Inc.		17,202		706,658
Becton, Dickinson & Co.		2,163		328,387
Boston Scientific Corp. (a)		84,002		1,580,078
Globus Medical, Inc. Class A (a)		15,195		360,881
Zimmer Biomet Holdings, Inc.		10,169		1,084,320
				4,060,324
Health Care – Services — 3.3%
Amsurg Corp. (a)		11,270		840,742
Centene Corp. (a)		13,060		804,104
DENTSPLY SIRONA, Inc.		5,535		341,122
LifePoint Health, Inc. (a)		11,627		805,170
Quest Diagnostics, Inc.		8,475		605,539
				3,396,677
Pharmaceuticals — 0.4%
Abbott Laboratories		8,856		370,446
				16,563,287

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

84

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

	Number of Shares		Value
Energy — 9.7%
Energy – Alternate Sources — 0.4%
First Solar, Inc. (a)		5,905	$	404,315
Oil & Gas — 8.6%
Anadarko Petroleum Corp.		9,728		453,033
Cimarex Energy Co.		4,677		454,932
Devon Energy Corp.		29,691		814,721
EQT Corp.		13,147		884,267
Helmerich & Payne, Inc.		7,790		457,429
Hess Corp.		15,720		827,658
Imperial Oil Ltd.		27,477		917,980
Nabors Industries Ltd.		40,460		372,232
Newfield Exploration Co. (a)		21,070		700,578
Noble Energy, Inc.		22,737		714,169
Occidental Petroleum Corp.		10,759		736,238
Pioneer Natural Resources Co.		1,158		162,977
Precision Drilling Corp.		131,080		550,536
Tesoro Corp.		5,470		470,475
WPX Energy, Inc. (a)		39,795		278,167
				8,795,392
Oil & Gas Services — 0.7%
Cameron International Corp. (a)		3,096		207,587
FMC Technologies, Inc. (a)		16,410		448,978
Frank’s International NV		1,453		23,945
				680,510
				9,880,217
Financial — 26.4%
Banks — 7.0%
Bank of Hawaii Corp.		5,940		405,583
BB&T Corp.		11,101		369,330
Comerica, Inc.		6,781		256,797
Commerce Bancshares, Inc.		12,775		574,236
KeyCorp		76,890		848,866
M&T Bank Corp.		4,833		536,463
Northern Trust Corp.		24,942		1,625,470
The PNC Financial Services Group, Inc.		5,893		498,371
State Street Corp.		7,166		419,354
SunTrust Banks, Inc.		7,624		275,074
UMB Financial Corp.		6,186		319,383
Webster Financial Corp.		9,855		353,795
Westamerica Bancorp.		12,387		603,371
				7,086,093
Diversified Financial — 4.5%
E*TRADE Financial Corp. (a)		65,000		1,591,850
Franklin Resources, Inc.		8,637		337,275
Invesco Ltd.		30,560		940,331
Lazard Ltd. Class A		7,715		299,342
Synchrony Financial (a)		35,945		1,030,184
T. Rowe Price Group, Inc.		4,687		344,307
				4,543,289

	Number of Shares		Value
Diversified Financial Services — 1.0%
Voya Financial, Inc.		32,915	$	979,880
Insurance — 4.8%
Aflac, Inc.		4,296		271,249
The Allstate Corp.		13,577		914,682
Brown & Brown, Inc.		12,571		450,042
Chubb Ltd.		6,213		740,279
Endurance Specialty Holdings Ltd.		8,990		587,407
MetLife, Inc.		6,663		292,772
ProAssurance Corp.		5,244		265,346
Reinsurance Group of America, Inc.		6,434		619,272
Torchmark Corp.		3,772		204,292
The Travelers Cos., Inc.		894		104,339
Unum Group		14,756		456,256
				4,905,936
Real Estate — 1.1%
CBRE Group, Inc. (a)		38,570		1,111,587
Real Estate Investment Trusts (REITS) — 7.2%
Alexandria Real Estate Equities, Inc.		13,885		1,262,008
Boston Properties, Inc.		1,485		188,714
Corrections Corporation of America		17,421		558,343
DuPont Fabros Technology, Inc.		12,230		495,682
Empire State Realty Trust, Inc. Class A		16,108		282,373
EPR Properties		5,905		393,391
Host Hotels & Resorts, Inc.		21,625		361,137
Liberty Property Trust		18,620		623,025
Piedmont Office Realty Trust, Inc. Class A		28,611		581,089
SL Green Realty Corp.		10,950		1,060,836
Sunstone Hotel Investors, Inc.		44,350		620,900
Weyerhaeuser Co.		30,121		933,149
				7,360,647
Savings & Loans — 0.8%
Capitol Federal Financial, Inc.		37,685		499,703
Sterling Bancorp		19,985		318,361
				818,064
				26,805,496
Industrial — 12.4%
Building Materials — 0.2%
Owens Corning, Inc.		4,020		190,066
Electrical Components & Equipment — 0.9%
Emerson Electric Co.		7,376		401,107
Hubbell, Inc.		4,323		457,935
				859,042
Electronics — 2.7%
Keysight Technologies, Inc. (a)		20,753		575,688
Koninklijke Philips Electronics NV		20,672		586,920
TE Connectivity Ltd.		8,702		538,828

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

85

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

	Number of Shares		Value
Tyco International PLC		29,172	$	1,070,904
				2,772,340
Engineering & Construction — 0.9%
KBR, Inc.		58,345		903,180
Environmental Controls — 1.6%
Clean Harbors, Inc. (a)		9,214		454,619
Republic Services, Inc.		24,103		1,148,508
				1,603,127
Hand & Machine Tools — 0.6%
Stanley Black & Decker, Inc.		6,125		644,411
Machinery – Diversified — 0.3%
Rockwell Automation, Inc.		2,904		330,330
Manufacturing — 2.1%
Eaton Corp. PLC		6,187		387,059
ITT Corp.		24,995		922,066
Parker Hannifin Corp.		2,638		293,029
Textron, Inc.		12,949		472,120
				2,074,274
Packaging & Containers — 2.0%
Bemis Co., Inc.		4,044		209,398
Berry Plastics Group, Inc. (a)		26,045		941,527
Sonoco Products Co.		10,425		506,342
WestRock Co.		10,122		395,062
				2,052,329
Transportation — 1.1%
CSX Corp.		21,719		559,264
Heartland Express, Inc.		32,306		599,276
				1,158,540
				12,587,639
Technology — 7.5%
Computers — 0.8%
SanDisk Corp.		3,935		299,375
VeriFone Systems, Inc. (a)		10,180		287,483
Western Digital Corp.		4,025		190,141
				776,999
Semiconductors — 6.0%
Applied Materials, Inc.		83,598		1,770,606
Integrated Device Technology, Inc. (a)		12,130		247,937
Lam Research Corp.		12,013		992,274
Maxim Integrated Products, Inc.		18,430		677,855
Mellanox Technologies Ltd. (a)		6,740		366,184
Microchip Technology, Inc.		2,734		131,779
Microsemi Corp. (a)		11,310		433,286
Skyworks Solutions, Inc.		7,225		562,828
Teradyne, Inc.		25,899		559,159
Xilinx, Inc.		8,155		386,792
				6,128,700

	Number of Shares		Value
Software — 0.7%
Activision Blizzard, Inc.		7,630	$	258,199
Nuance Communications, Inc. (a)		26,130		488,370
				746,569
				7,652,268
Utilities — 10.4%
Electric — 8.7%
Ameren Corp.		14,024		702,602
Black Hills Corp.		8,660		520,726
Consolidated Edison, Inc.		3,850		294,987
DTE Energy Co.		4,630		419,756
Edison International		13,239		951,752
Exelon Corp.		31,525		1,130,486
Great Plains Energy, Inc.		13,038		420,475
NorthWestern Corp.		4,962		306,404
PG&E Corp.		33,618		2,007,667
Public Service Enterprise Group, Inc.		8,295		391,026
Westar Energy, Inc.		17,911		888,565
Xcel Energy, Inc.		18,022		753,680
				8,788,126
Gas — 1.7%
Atmos Energy Corp.		6,446		478,680
Energen Corp.		19,280		705,455
The Laclede Group, Inc.		8,483		574,724
				1,758,859
				10,546,985
TOTAL COMMON STOCK (Cost $97,251,187)				99,119,593
TOTAL EQUITIES (Cost $97,251,187)				99,119,593
MUTUAL FUNDS — 1.3%
Diversified Financial — 1.3%
iShares Russell Mid-Cap Value ETF		19,516		1,384,270
TOTAL MUTUAL FUNDS (Cost $1,270,595)				1,384,270
TOTAL LONG-TERM INVESTMENTS (Cost $98,521,782)				100,503,863

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

86

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.4%
Repurchase Agreement — 0.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (b)	$	370,599	$	370,599
TOTAL SHORT-TERM INVESTMENTS (Cost $370,599)				370,599
TOTAL INVESTMENTS — 99.3% (Cost $98,892,381) (c)				100,874,462
Other Assets/(Liabilities) — 0.7%				718,033
NET ASSETS — 100.0%			$	101,592,495

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

ETF Exchange-Traded Fund

(a) Non-income producing security.

(b) Maturity value of $370,599. Collateralized by U.S. Government Agency obligations with a rate of 1.750%, maturity date of 9/30/19, and an aggregate market value, including accrued interest, of $379,192.

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

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

87

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.5%
COMMON STOCK — 96.5%
Basic Materials — 3.1%
Chemicals — 2.1%
PolyOne Corp.		79,419	$	2,402,425
Sensient Technologies Corp.		21,950		1,392,947
				3,795,372
Forest Products & Paper — 0.6%
Deltic Timber Corp.		19,670		1,183,150
Mining — 0.4%
Luxfer Holdings PLC ADR (United Kingdom)		76,962		816,567
				5,795,089
Consumer, Cyclical — 14.8%
Apparel — 0.6%
Ascena Retail Group, Inc. (a)		101,020		1,117,281
Auto Manufacturers — 1.0%
Oshkosh Corp.		44,353		1,812,707
Automotive & Parts — 0.9%
American Axle & Manufacturing Holdings, Inc. (a)		104,679		1,611,010
Distribution & Wholesale — 1.8%
Essendant, Inc.		53,770		1,716,876
ScanSource, Inc. (a)		40,140		1,620,853
				3,337,729
Entertainment — 0.1%
International Speedway Corp. Class A		5,700		210,387
Home Furnishing — 3.3%
Tempur Sealy International, Inc. (a)		48,654		2,957,677
Whirlpool Corp.		16,853		3,039,270
				5,996,947
Office Furnishings — 0.4%
Steelcase, Inc. Class A		53,710		801,353
Retail — 4.5%
The Cato Corp. Class A		34,800		1,341,540
CST Brands, Inc.		37,530		1,437,024
DSW, Inc. Class A		34,040		940,866
Fred’s, Inc. Class A		75,940		1,132,266
Stage Stores, Inc.		84,040		677,362
Tailored Brands, Inc.		45,906		821,717
Vitamin Shoppe, Inc. (a)		64,702		2,003,174
				8,353,949
Storage & Warehousing — 1.1%
Mobile Mini, Inc.		62,671		2,069,396

	Number of Shares		Value
Textiles — 1.1%
G&K Services, Inc. Class A		26,460	$	1,938,195
				27,248,954
Consumer, Non-cyclical — 11.2%
Beverages — 0.7%
C&C Group PLC		285,993		1,290,254
Biotechnology — 0.9%
Charles River Laboratories International, Inc. (a)		21,100		1,602,334
Commercial Services — 2.0%
Forrester Research, Inc.		32,310		1,085,939
FTI Consulting, Inc. (a)		50,430		1,790,769
Huron Consulting Group, Inc. (a)		15,620		908,928
				3,785,636
Foods — 1.5%
Cranswick PLC		44,062		1,349,716
Post Holdings, Inc. (a)		19,930		1,370,586
				2,720,302
Health Care – Products — 1.8%
Haemonetics Corp. (a)		38,640		1,351,627
ICU Medical, Inc. (a)		6,930		721,413
STERIS PLC		18,820		1,337,161
				3,410,201
Health Care – Services — 1.6%
Amsurg Corp. (a)		9,850		734,810
HealthSouth Corp.		56,688		2,133,170
				2,867,980
Household Products — 2.4%
Acco Brands Corp. (a)		137,420		1,234,032
Helen of Troy Ltd. (a)		11,800		1,223,542
The Scotts Miracle-Gro Co. Class A		27,117		1,973,304
				4,430,878
Pharmaceuticals — 0.3%
Phibro Animal Health Corp. Class A		21,250		574,600
				20,682,185
Diversified — 2.1%
Holding Company – Diversified — 2.1%
Primoris Services Corp.		160,730		3,905,739
Energy — 5.2%
Oil & Gas — 3.5%
Diamondback Energy, Inc. (a)		16,650		1,285,047
Memorial Resource Development Corp. (a)		160,700		1,635,926
RSP Permian, Inc. (a)		124,088		3,603,516
				6,524,489

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

88

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

	Number of Shares		Value
Oil & Gas Services — 1.7%
Flotek Industries, Inc. (a)		82,700	$	606,191
SEACOR Holdings, Inc. (a)		22,290		1,213,690
Thermon Group Holdings, Inc. (a)		73,350		1,288,026
				3,107,907
				9,632,396
Financial — 16.3%
Banks — 8.5%
First Midwest Bancorp, Inc.		73,710		1,328,254
Great Western Bancorp, Inc.		47,050		1,283,054
Hancock Holding Co.		47,140		1,082,334
Hanmi Financial Corp.		18,952		417,323
International Bancshares Corp.		52,900		1,304,514
MB Financial, Inc.		48,030		1,558,573
Northwest Bancshares, Inc.		106,110		1,433,546
Prosperity Bancshares, Inc.		45,958		2,131,992
Texas Capital Bancshares, Inc. (a)		54,536		2,093,092
UMB Financial Corp.		28,800		1,486,944
Webster Financial Corp.		44,020		1,580,318
				15,699,944
Insurance — 3.9%
Alleghany Corp. (a)		3,618		1,795,252
Assured Guaranty Ltd.		28,250		714,725
Primerica, Inc.		30,000		1,335,900
Reinsurance Group of America, Inc.		18,500		1,780,625
White Mountains Insurance Group Ltd.		1,990		1,597,174
				7,223,676
Real Estate Investment Trusts (REITS) — 3.3%
Corporate Office Properties Trust		40,360		1,059,046
DiamondRock Hospitality Co.		90,764		918,532
Education Realty Trust, Inc.		24,523		1,020,157
Kite Realty Group Trust		30,365		841,414
Mid-America Apartment Communities, Inc.		12,970		1,325,664
Summit Hotel Properties, Inc.		80,550		964,183
				6,128,996
Savings & Loans — 0.6%
First Niagara Financial Group, Inc.		106,660		1,032,469
				30,085,085
Industrial — 30.6%
Aerospace & Defense — 0.8%
Cubic Corp.		36,350		1,452,546
Building Materials — 5.9%
Comfort Systems USA, Inc.		80,513		2,557,898
Gibraltar Industries, Inc. (a)		64,328		1,839,781
Simpson Manufacturing Co., Inc.		72,009		2,748,583
Trex Co., Inc. (a)		50,321		2,411,886
Tyman PLC		305,466		1,298,936
				10,857,084

	Number of Shares		Value
Electrical Components & Equipment — 2.2%
Belden, Inc.		37,710	$	2,314,640
Encore Wire Corp.		44,000		1,712,920
				4,027,560
Electronics — 7.7%
Coherent, Inc. (a)		13,870		1,274,653
CTS Corp.		48,040		756,150
Faro Technologies, Inc. (a)		52,293		1,684,357
II-VI, Inc. (a)		145,328		3,155,071
Keysight Technologies, Inc. (a)		43,000		1,192,820
Park Electrochemical Corp.		42,770		684,748
Plexus Corp. (a)		61,982		2,449,529
Vishay Intertechnology, Inc.		242,697		2,963,330
				14,160,658
Engineering & Construction — 1.6%
Mistras Group, Inc. (a)		57,140		1,415,358
Tutor Perini Corp. (a)		99,800		1,550,892
				2,966,250
Environmental Controls — 0.5%
Clean Harbors, Inc. (a)		20,160		994,694
Machinery – Construction & Mining — 2.1%
Babcock & Wilcox Enterprises, Inc. (a)		54,770		1,172,078
Terex Corp.		106,822		2,657,731
				3,829,809
Machinery – Diversified — 0.9%
Albany International Corp. Class A		41,710		1,567,879
Manufacturing — 4.5%
AptarGroup, Inc.		5,240		410,868
Barnes Group, Inc.		74,090		2,595,373
Carlisle Cos., Inc.		12,570		1,250,715
ESCO Technologies, Inc.		26,610		1,037,258
Matthews International Corp. Class A		27,360		1,408,219
Trimas Corp. (a)		88,370		1,548,242
				8,250,675
Metal Fabricate & Hardware — 1.5%
Circor International, Inc.		21,950		1,018,261
Mueller Industries, Inc.		61,170		1,799,621
				2,817,882
Packaging & Containers — 0.7%
Greif, Inc. Class A		38,770		1,269,718
Transportation — 1.5%
Dorian LPG Ltd. (a)		64,910		610,154
Era Group, Inc. (a)		39,100		366,758
Forward Air Corp.		16,960		768,627
Scorpio Tankers, Inc.		177,740		1,036,224
				2,781,763

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

89

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

	Number of Shares		Value
Trucking & Leasing — 0.7%
GATX Corp.		27,410	$	1,301,975
				56,278,493
Technology — 9.8%
Computers — 2.3%
Diebold, Inc.		43,190		1,248,623
Mentor Graphics Corp.		68,680		1,396,264
Mercury Computer Systems, Inc. (a)		77,987		1,583,136
				4,228,023
Semiconductors — 6.6%
Brooks Automation, Inc.		190,961		1,985,994
Diodes, Inc. (a)		112,508		2,261,411
Fairchild Semiconductor International, Inc. (a)		183,936		3,678,720
Maxim Integrated Products, Inc.		38,080		1,400,582
Photronics, Inc. (a)		189,028		1,967,782
Xcerra Corp. (a)		131,730		858,880
				12,153,369
Software — 0.9%
Allscripts Healthcare Solutions, Inc. (a)		121,210		1,601,184
				17,982,576
Utilities — 3.4%
Electric — 0.4%
Westar Energy, Inc.		13,690		679,161
Gas — 3.0%
Atmos Energy Corp.		9,980		741,115
The Laclede Group, Inc.		16,720		1,132,780
New Jersey Resources Corp.		16,660		606,924
UGI Corp.		44,455		1,791,092
WGL Holdings, Inc.		16,910		1,223,776
				5,495,687
				6,174,848
TOTAL COMMON STOCK (Cost $151,219,443)				177,785,365
TOTAL EQUITIES (Cost $151,219,443)				177,785,365
TOTAL LONG-TERM INVESTMENTS (Cost $151,219,443)				177,785,365

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.9%
Repurchase Agreement — 3.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/2016, 0.010%, due 4/01/16 (b)	$	7,200,511	$	7,200,511
Time Deposit — 0.0%
Euro Time Deposit 0.010% 4/01/16		44,838		44,838
TOTAL SHORT-TERM INVESTMENTS (Cost $7,245,349)				7,245,349
TOTAL INVESTMENTS — 100.4% (Cost $158,464,792) (c)				185,030,714
Other Assets/(Liabilities) — (0.4)%				(817,616	)
NET ASSETS — 100.0%			$	184,213,098

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $7,200,513. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $7,348,765.

(c) 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 Value Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 98.0%
Basic Materials — 2.3%
Chemicals — 1.2%
American Vanguard Corp.		24,600	$	388,188
Innospec, Inc.		16,440		712,838
KMG Chemicals, Inc.		13,100		302,217
Minerals Technologies, Inc.		14,400		818,640
Olin Corp.		64,415		1,118,889
				3,340,772
Forest Products & Paper — 0.4%
Clearwater Paper Corp. (a)		13,300		645,183
Mercer International, Inc.		44,600		421,470
Xerium Technologies, Inc. (a)		23,400		122,148
				1,188,801
Iron & Steel — 0.4%
Carpenter Technology Corp. (b)		16,300		557,949
Olympic Steel, Inc.		5,500		95,205
Reliance Steel & Aluminum Co.		6,000		415,140
Schnitzer Steel Industries, Inc. Class A		10,000		184,400
				1,252,694
Mining — 0.3%
Gold Resource Corp. (b)		79,000		184,070
Kaiser Aluminum Corp.		2,500		211,350
Stillwater Mining Co. (a) (b)		43,900		467,535
				862,955
				6,645,222
Communications — 5.6%
Internet — 1.3%
DHI Group, Inc. (a)		75,100		606,057
ePlus, Inc. (a)		11,875		956,056
MeetMe, Inc. (a)		23,000		65,320
New Media Investment Group, Inc.		32,800		545,792
PC-Tel, Inc.		8,200		39,196
Q2 Holdings, Inc. (a)		31,815		764,833
Safeguard Scientifics, Inc. (a)		22,400		296,800
Sohu.com, Inc. (a) (b)		3,900		193,206
TechTarget, Inc. (a)		5,400		40,068
United Online, Inc. (a)		24,300		280,422
				3,787,750
Media — 2.1%
Cable One, Inc.		800		349,704
Demand Media, Inc. (a) (b)		29,800		149,000
Houghton Mifflin Harcourt Co. (a)		84,695		1,688,818
Scholastic Corp.		9,200		343,804
Sinclair Broadcast Group, Inc. Class A		51,060		1,570,095

	Number of Shares		Value
Starz Class A (a)		40,525	$	1,067,023
Tribune Media Co. Class A		22,125		848,494
				6,016,938
Telecommunications — 2.2%
Black Box Corp.		8,100		109,107
Ciena Corp. (a)		52,030		989,611
EarthLink Holdings Corp.		158,300		897,561
Extreme Networks, Inc. (a)		74,100		230,451
General Communication, Inc. Class A (a)		9,900		181,368
Harmonic, Inc. (a)		37,400		122,298
Inteliquent, Inc.		4,600		73,830
Ixia (a)		51,700		644,182
NETGEAR, Inc. (a)		16,100		649,957
NeuStar, Inc. Class A (a) (b)		43,700		1,075,020
Polycom, Inc. (a)		80,100		893,115
Spok Holdings, Inc.		20,100		351,951
				6,218,451
				16,023,139
Consumer, Cyclical — 8.7%
Airlines — 0.0%
Hawaiian Holdings, Inc. (a)		2,200		103,818
Apparel — 0.3%
Crocs, Inc. (a)		20,900		201,058
Delta Apparel, Inc. (a)		2,800		53,592
Perry Ellis International, Inc. (a)		9,800		180,418
Steven Madden Ltd. (a)		14,700		544,488
				979,556
Automotive & Parts — 1.7%
American Axle & Manufacturing Holdings, Inc. (a)		35,400		544,806
China Automotive Systems, Inc. (a)		18,700		86,768
Commercial Vehicle Group, Inc. (a)		12,800		33,920
Cooper Tire & Rubber Co.		14,900		551,598
Dorman Products, Inc. (a)		13,300		723,786
Meritor, Inc. (a)		49,800		401,388
Tenneco, Inc. (a)		23,840		1,227,998
Tower International, Inc.		27,300		742,560
Visteon Corp.		7,500		596,925
				4,909,749
Distribution & Wholesale — 1.6%
Beacon Roofing Supply, Inc. (a)		18,800		770,988
MRC Global, Inc. (a)		26,100		342,954
Owens & Minor, Inc.		38,415		1,552,735
Pool Corp.		11,100		973,914
Tech Data Corp. (a)		4,300		330,111
WESCO International, Inc. (a) (b)		12,975		709,343
				4,680,045

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

91

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

	Number of Shares		Value
Entertainment — 0.3%
Isle of Capri Casinos, Inc. (a)		61,800	$	865,200
Home Builders — 0.5%
Cavco Industries, Inc. (a)		6,800		635,528
WCI Communities, Inc. (a)		45,800		850,964
				1,486,492
Home Furnishing — 0.5%
Ethan Allen Interiors, Inc.		19,300		614,126
Tempur Sealy International, Inc. (a)		13,095		796,045
				1,410,171
Leisure Time — 0.3%
Diamond Resorts International, Inc. (a) (b)		22,355		543,226
Interval Leisure Group, Inc. (b)		16,200		233,928
				777,154
Lodging — 0.2%
Boyd Gaming Corp. (a)		27,000		557,820
Caesars Entertainment Corp. (a) (b)		6,200		42,160
				599,980
Retail — 2.3%
Abercrombie & Fitch Co. Class A		3,200		100,928
Big Lots, Inc.		32,220		1,459,244
DineEquity, Inc.		7,400		691,382
Express, Inc. (a)		23,600		505,276
Fred’s, Inc. Class A		26,000		387,660
MSC Industrial Direct Co., Inc. Class A		12,080		921,825
Party City Holdco, Inc. (a)		17,700		266,208
Pier 1 Imports, Inc. (b)		42,900		300,729
PriceSmart, Inc.		8,300		702,014
Red Robin Gourmet Burgers, Inc. (a)		4,500		290,115
Sears Hometown & Outlet Stores, Inc. (a)		11,600		74,472
Sportsman’s Warehouse Holdings, Inc. (a) (b)		32,500		409,500
Titan Machinery, Inc. (a) (b)		34,200		395,352
Trans World Entertainment Corp. (a)		11,200		40,768
				6,545,473
Textiles — 1.0%
Culp, Inc.		18,500		485,070
G&K Services, Inc. Class A		9,900		725,175
UniFirst Corp.		13,925		1,519,496
				2,729,741
				25,087,379
Consumer, Non-cyclical — 14.2%
Agriculture — 0.7%
MGP Ingredients, Inc.		5,600		135,744
Universal Corp.		10,900		619,229

	Number of Shares		Value
Vector Group Ltd.		52,461	$	1,198,209
				1,953,182
Beverages — 0.2%
Farmer Bros Co. (a)		20,800		579,696
Biotechnology — 1.0%
Applied Genetic Technologies Corp. (a)		26,400		369,072
Cambrex Corp. (a)		5,900		259,600
Integra LifeSciences Holdings (a)		12,035		810,678
PDL BioPharma, Inc.		157,900		525,807
Pfenex, Inc. (a)		12,900		126,807
Repligen Corp. (a)		25,700		689,274
				2,781,238
Commercial Services — 4.2%
Aaron’s, Inc.		34,200		858,420
American Public Education, Inc. (a)		16,300		336,269
Cambium Learning Group, Inc. (a)		56,700		242,109
Capella Education Co.		8,100		426,384
Convergys Corp.		7,800		216,606
DeVry Education Group, Inc.		5,900		101,893
Donnelley (R.R.) & Sons Co.		99,830		1,637,212
Electro Rent Corp.		38,800		359,288
EVERTEC, Inc.		51,420		718,852
FTI Consulting, Inc. (a)		42,255		1,500,475
Green Dot Corp. Class A (a)		21,900		503,043
The Hackett Group, Inc.		43,600		659,232
Heidrick & Struggles International, Inc.		8,200		194,340
Hillenbrand, Inc.		11,850		354,907
INC Research Holdings, Inc. Class A (a)		9,800		403,858
Information Services Group, Inc. (a)		57,200		224,796
Insperity, Inc.		9,800		506,954
K12, Inc. (a)		58,700		580,543
McGrath RentCorp		29,300		734,844
Monster Worldwide, Inc. (a)		55,700		181,582
Navigant Consulting, Inc. (a)		35,100		554,931
RPX Corp. (a)		68,800		774,688
				12,071,226
Foods — 1.9%
Cal-Maine Foods, Inc. (b)		10,300		534,673
Dean Foods Co. (b)		66,800		1,156,976
John B Sanfilippo & Son, Inc.		3,200		221,088
Pinnacle Foods, Inc.		10,600		473,608
Post Holdings, Inc. (a)		6,400		440,128
Snyders-Lance, Inc.		18,370		578,288
SpartanNash Co.		20,900		633,479
SUPERVALU, Inc. (a)		24,300		139,968
TreeHouse Foods, Inc. (a)		14,540		1,261,345
				5,439,553

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

92

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

	Number of Shares		Value
Health Care – Products — 1.7%
Atrion Corp.		2,250	$	889,560
Haemonetics Corp. (a)		15,800		552,684
Halyard Health, Inc. (a)		21,200		609,076
LeMaitre Vascular, Inc.		5,200		80,704
Merit Medical Systems, Inc. (a)		15,800		292,142
Quidel Corp. (a)		26,500		457,390
West Pharmaceutical Services, Inc.		21,300		1,476,516
Wright Medical Group NV (a)		36,783		610,598
				4,968,670
Health Care – Services — 1.9%
Almost Family, Inc. (a)		1,100		40,964
Amsurg Corp. (a)		13,100		977,260
Capital Senior Living Corp. (a)		26,545		491,613
The Ensign Group, Inc.		8,400		190,176
LHC Group, Inc. (a)		12,800		455,168
National Healthcare Corp.		10,300		641,690
RadNet, Inc. (a)		32,200		155,526
Select Medical Holdings Corp.		31,200		368,472
Triple-S Management Corp. Class B (a)		23,239		577,722
WellCare Health Plans, Inc. (a)		16,830		1,560,982
				5,459,573
Household Products — 1.5%
Acco Brands Corp. (a)		159,200		1,429,616
Central Garden & Pet Co. Class A (a)		16,800		273,672
CSS Industries, Inc.		22,000		614,460
Ennis, Inc.		39,900		780,045
Helen of Troy Ltd. (a)		3,100		321,439
Prestige Brands Holdings, Inc. (a)		800		42,712
Spectrum Brands Holdings, Inc.		8,040		878,611
				4,340,555
Pharmaceuticals — 1.1%
Biospecifics Technologies Corp. (a)		3,800		132,316
Cumberland Pharmaceuticals, Inc. (a)		29,300		131,557
Eagle Pharmaceuticals, Inc. (a) (b)		800		32,400
Emergent BioSolutions, Inc. (a)		18,785		682,835
FibroGen, Inc. (a)		2,100		44,709
The Medicines Co. (a)		22,920		728,168
Omega Protein Corp. (a)		32,500		550,550
PRA Health Sciences, Inc. (a)		900		38,484
Progenics Pharmaceuticals, Inc. (a)		5,200		22,672
SciClone Pharmaceuticals, Inc. (a)		34,300		377,300
Sucampo Pharmaceuticals, Inc. Class A (a)		35,300		385,829
Xencor, Inc. (a)		3,000		40,260
				3,167,080
				40,760,773

	Number of Shares		Value
Diversified — 0.3%
Holding Company – Diversified — 0.3%
Liberty TripAdvisor Holdings, Inc. Class A (a)		5,500	$	121,880
National Bank Holdings Corp. Class A		29,900		609,661
				731,541
Energy — 3.5%
Coal — 0.1%
Cloud Peak Energy, Inc. (a) (b)		95,400		186,030
Energy – Alternate Sources — 0.3%
REX American Resources Corp. (a) (b)		12,800		710,016
TerraForm Power, Inc. Class A (b)		8,300		71,795
				781,811
Oil & Gas — 2.6%
Adams Resources & Energy, Inc.		1,200		47,976
Alon USA Energy, Inc. (b)		16,000		165,120
Cobalt International Energy, Inc. (a)		132,715		394,164
EP Energy Corp. Class A (a) (b)		50,400		227,808
Evolution Petroleum Corp.		18,300		88,938
Matador Resources Co. (a)		36,400		690,144
Newfield Exploration Co. (a)		38,175		1,269,319
Noble Corp. PLC (b)		61,700		638,595
Panhandle Oil and Gas, Inc. Class A		4,300		74,433
Parsley Energy, Inc. Class A (a)		11,900		268,940
PBF Energy, Inc. Class A		41,140		1,365,848
PDC Energy, Inc. (a)		16,200		963,090
QEP Resources, Inc.		25,400		358,394
WPX Energy, Inc. (a)		134,870		942,741
				7,495,510
Oil & Gas Services — 0.5%
Gulf Island Fabrication, Inc.		15,400		120,890
Pioneer Energy Services Corp. (a)		93,000		204,600
RPC, Inc. (b)		35,200		499,136
Steel Excel, Inc. (a)		2,700		26,217
Tesco Corp.		31,300		269,493
TETRA Technologies, Inc. (a)		61,700		391,795
				1,512,131
				9,975,482
Financial — 38.6%
Banks — 12.5%
Access National Corp.		16,300		323,229
BancFirst Corp.		700		39,921
Banco Latinoamericano de Comercio Exterior SA		32,500		787,150
BBCN Bancorp, Inc.		35,200		534,688
C&F Financial Corp.		4,300		164,260
Cardinal Financial Corp.		24,100		490,435
Central Pacific Financial Corp.		22,300		485,471
Century Bancorp, Inc. Class A		3,800		147,858

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

93

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

	Number of Shares		Value
Chemical Financial Corp.		19,375	$	691,494
Citizens & Northern Corp.		5,000		99,400
CoBiz Financial, Inc.		23,900		282,498
Columbia Banking System, Inc.		29,300		876,656
Cullen/Frost Bankers, Inc. (b)		800		44,088
CVB Financial Corp.		10,800		188,460
East West Bancorp, Inc.		36,110		1,172,853
F.N.B. Corp.		173,550		2,257,885
Financial Institutions, Inc.		2,500		72,675
First BanCorp (a)		13,800		40,296
First Busey Corp.		14,400		294,912
First Business Financial Services, Inc.		1,500		34,395
First Interstate BancSystem, Inc. Class A		30,200		849,526
First Merchants Corp.		20,000		471,400
First NBC Bank Holding Co. (a)		2,400		49,416
The First of Long Island Corp.		2,100		59,850
Franklin Financial Network, Inc. (a)		3,900		105,300
Glacier Bancorp, Inc.		32,900		836,318
Great Western Bancorp, Inc.		67,860		1,850,542
Home Bancshares, Inc.		44,950		1,840,703
Horizon Bancorp		6,800		168,096
Lakeland Financial Corp.		17,700		810,306
MainSource Financial Group, Inc.		9,800		206,682
MB Financial, Inc.		59,550		1,932,398
Merchants Bancshares, Inc.		1,300		38,662
Northrim BanCorp, Inc.		2,800		66,948
OFG Bancorp (b)		5,300		37,047
Orrstown Financial Services, Inc.		12,400		214,768
Pinnacle Financial Partners, Inc.		4,300		210,958
Popular, Inc.		94,480		2,703,073
Preferred Bank		2,500		75,625
Prosperity Bancshares, Inc.		16,900		783,991
Republic Bancorp, Inc. Class A		4,300		111,069
S&T Bancorp, Inc.		2,600		66,976
Sandy Spring Bancorp, Inc.		20,300		564,949
Southwest Bancorp, Inc.		24,600		370,230
Stock Yards Bancorp, Inc.		2,500		96,325
Suffolk Bancorp		15,000		378,600
SVB Financial Group (a)		9,150		933,758
Synovus Financial Corp.		96,790		2,798,199
Talmer Bancorp, Inc. Class A		79,535		1,438,788
Towne Bank (b)		23,700		454,803
Umpqua Holdings Corp.		130,775		2,074,091
United Community Banks, Inc.		19,500		360,165
Valley National Bancorp		6,200		59,148
Walker & Dunlop, Inc. (a)		44,800		1,087,296
Washington Trust Bancorp, Inc.		4,900		182,868
Webster Financial Corp.		8,500		305,150
West Bancorporation, Inc.		23,000		419,290
Western Alliance Bancorp (a)		41,180		1,374,588
Wintrust Financial Corp.		11,700		518,778
				35,935,304

	Number of Shares			Value
Diversified Financial — 1.0%
Altisource Portfolio Solutions SA (a) (b)		3,700	��	$	89,355
BGC Partners, Inc. Class A		107,745			975,092
Houlihan Lokey, Inc.		6,900			171,810
INTL. FCStone, Inc. (a)		11,400			304,722
Janus Capital Group, Inc.		27,400			400,862
Nelnet, Inc. Class A		2,700			106,299
Ocwen Financial Corp. (a) (b)		12,700			31,369
Outerwall, Inc. (b)		9,900			366,201
PennyMac Financial Services, Inc. Class A (a)		21,200			249,312
Regional Management Corp. (a)		12,300			210,453
					2,905,475
Insurance — 7.4%
Ambac Financial Group, Inc. (a)		71,200			1,124,960
AmTrust Financial Services, Inc.		20,800			538,304
Argo Group International Holdings Ltd.		29,101			1,670,106
Aspen Insurance Holdings Ltd.		39,425			1,880,573
Assured Guaranty Ltd.		43,900			1,110,670
CNO Financial Group, Inc.		87,155			1,561,818
Employers Holdings, Inc.		19,730			555,202
First American Financial Corp.		52,290			1,992,772
The Hanover Insurance Group, Inc.		15,670			1,413,747
Heritage Insurance Holdings, Inc.		44,200			705,874
Maiden Holdings Ltd.		107,360			1,389,238
MBIA, Inc. (a)		15,300			135,405
MGIC Investment Corp. (a)		68,100			522,327
National Interstate Corp.		16,700			499,664
ProAssurance Corp.		32,800			1,659,680
Radian Group, Inc.		199,375			2,472,250
RenaissanceRe Holdings Ltd.		2,200			263,626
Safety Insurance Group, Inc.		5,100			291,006
Security National Financial Corp. Class A (a) (b)		9,450			48,101
State Auto Financial Corp. Class A		18,600			410,316
Validus Holdings Ltd.		22,330			1,053,753
					21,299,392
Real Estate — 0.8%
Forestar Real Esate Group, Inc. (a) (b)		20,500			267,320
Hilltop Holdings, Inc. (a)		83,550			1,577,424
RE/MAX Holdings, Inc. Class A		5,000			171,500
The St. Joe Co. (a) (b)		5,900			101,185
					2,117,429
Real Estate Investment Trusts (REITS) — 13.3%
Acadia Realty Trust		24,900			874,737
American Assets Trust, Inc.		19,800			790,416

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

94

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

	Number of Shares		Value
American Campus Communities, Inc.		14,800	$	696,932
Anworth Mortgage Asset Corp.		170,300		793,598
Arbor Realty Trust, Inc.		22,000		148,940
ARMOUR Residential REIT, Inc. (b)		56,500		1,216,445
Catchmark Timber Trust, Inc. Class A		26,130		282,988
Cedar Realty Trust, Inc.		186,400		1,347,672
Colony Capital, Inc. Class A		28,445		477,023
Coresite Realty Corp.		16,600		1,162,166
Corporate Office Properties Trust		15,200		398,848
CubeSmart		20,100		669,330
CYS Investments, Inc.		21,100		171,754
Douglas Emmett, Inc.		15,600		469,716
DuPont Fabros Technology, Inc.		41,400		1,677,942
Eastgroup Properties		10,400		627,848
EPR Properties		42,680		2,843,341
Equity Lifestyle Properties, Inc.		13,700		996,401
First Industrial Realty Trust, Inc.		63,540		1,444,900
First Potomac Realty Trust		140,030		1,268,672
Getty Realty Corp.		6,300		124,929
Hatteras Financial Corp.		17,400		248,820
Healthcare Realty Trust, Inc.		70,220		2,169,096
Highwoods Properties, Inc.		40,595		1,940,847
Invesco Mortgage Capital, Inc.		74,400		906,192
Kilroy Realty Corp.		9,600		593,952
Kite Realty Group Trust		47,250		1,309,297
LaSalle Hotel Properties		53,140		1,344,973
Lexington Realty Trust		92,720		797,392
LTC Properties, Inc.		1,500		67,860
Mack-Cali Realty Corp.		44,700		1,050,450
National Health Investors, Inc.		7,500		498,900
New Residential Investment Corp.		60,735		706,348
Piedmont Office Realty Trust, Inc. Class A		3,000		60,930
Post Properties, Inc.		4,600		274,804
Potlatch Corp.		15,900		500,850
PS Business Parks, Inc.		9,600		964,896
RLJ Lodging Trust		22,600		517,088
Rouse Properties, Inc.		20,100		369,438
Saul Centers, Inc.		12,300		652,146
Silver Bay Realty Trust Corp.		22,500		334,125
Sovran Self Storage, Inc.		5,700		672,315
STAG Industrial, Inc.		29,255		595,632
Summit Hotel Properties, Inc.		33,600		402,192
Sun Communities, Inc.		21,725		1,555,727
Washington Real Estate Investment Trust		19,800		578,358
Weingarten Realty Investors		16,100		604,072
				38,201,298

	Number of Shares		Value
REITS — 0.6%
Colony Starwood Homes		40,732	$	1,008,117
CyrusOne, Inc.		16,600		757,790
				1,765,907
Savings & Loans — 3.0%
BankUnited, Inc.		19,100		657,804
Beneficial Bancorp, Inc. (a)		44,000		602,360
Charter Financial Corp.		31,700		427,950
Dime Community Bancshares, Inc.		30,300		533,886
First Defiance Financial Corp.		10,300		395,623
Flagstar Bancorp, Inc. (a)		64,125		1,376,122
Flushing Financial Corp.		52,840		1,142,401
Hingham Institution for Savings		1,800		214,398
Meta Financial Group, Inc.		2,700		123,120
United Financial Bancorp, Inc.		42,200		531,298
Washington Federal, Inc.		6,700		151,755
WSFS Financial Corp.		73,490		2,389,895
				8,546,612
				110,771,417
Industrial — 12.8%
Aerospace & Defense — 1.0%
Cubic Corp.		7,500		299,700
Curtiss-Wright Corp.		22,825		1,727,168
Ducommun, Inc. (a)		16,700		254,675
Kaman Corp.		11,700		499,473
Triumph Group, Inc.		6,600		207,768
				2,988,784
Building Materials — 1.2%
Comfort Systems USA, Inc.		10,300		327,231
Drew Industries, Inc.		12,800		825,088
Gibraltar Industries, Inc. (a)		6,000		171,600
Summit Materials, Inc. Class A (a)		55,259		1,074,788
Universal Forest Products, Inc.		12,200		1,047,004
				3,445,711
Electrical Components & Equipment — 2.0%
Advanced Energy Industries, Inc. (a)		21,600		751,464
Belden, Inc.		16,500		1,012,770
Energizer Holdings, Inc.		38,795		1,571,585
General Cable Corp.		72,800		888,888
Insteel Industries, Inc.		3,500		106,995
Littelfuse, Inc.		10,850		1,335,744
				5,667,446
Electronics — 2.2%
Analogic Corp.		5,800		458,258
Badger Meter, Inc.		8,200		545,382
Benchmark Electronics, Inc. (a)		73,900		1,703,395
Brady Corp. Class A		19,400		520,696
Coherent, Inc. (a)		800		73,520
Fabrinet (a)		5,800		187,630
II-VI, Inc. (a)		2,200		47,762

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

95

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

	Number of Shares		Value
Methode Electronics, Inc.		15,100	$	441,524
Newport Corp. (a)		17,500		402,500
Sanmina Corp. (a)		9,400		219,772
Stoneridge, Inc. (a)		16,700		243,152
TTM Technologies, Inc. (a)		22,000		146,300
Woodward, Inc.		20,460		1,064,329
Zagg, Inc. (a)		18,100		163,081
				6,217,301
Engineering & Construction — 0.5%
Aegion Corp. (a)		24,500		516,705
Argan, Inc.		5,600		196,896
McDermott International, Inc. (a)		191,850		784,666
				1,498,267
Environmental Controls — 0.1%
MSA Safety, Inc.		7,000		338,450
Machinery – Diversified — 0.2%
Applied Industrial Technologies, Inc.		6,100		264,740
BWX Technologies, Inc.		1,300		43,628
Kadant, Inc.		6,600		298,056
				606,424
Manufacturing — 1.9%
Actuant Corp. Class A		54,630		1,349,907
Barnes Group, Inc.		45,680		1,600,171
Colfax Corp. (a)		26,475		756,920
ESCO Technologies, Inc.		18,600		725,028
Matthews International Corp. Class A		9,000		463,230
Myers Industries, Inc.		42,000		540,120
Smith & Wesson Holding Corp. (a)		1,500		39,930
				5,475,306
Metal Fabricate & Hardware — 1.2%
Circor International, Inc.		10,100		468,539
Commercial Metals Co.		11,100		188,367
Global Brass & Copper Holdings, Inc.		29,300		731,035
Mueller Water Products, Inc. Class A		120,935		1,194,838
RBC Bearings, Inc. (a)		6,400		468,864
Sun Hydraulics Corp.		13,900		461,341
				3,512,984
Miscellaneous – Manufacturing — 0.3%
Hexcel Corp.		16,725		731,050
Packaging & Containers — 0.2%
Berry Plastics Group, Inc. (a)		19,150		692,272
Transportation — 1.9%
Atlas Air Worldwide Holdings, Inc. (a)		25,400		1,073,658
Genesee & Wyoming, Inc. Class A (a)		10,700		670,890
Kirby Corp. (a)		8,300		500,407
Knight Transportation, Inc.		17,285		452,003
Landstar System, Inc.		20,000		1,292,200
Navios Maritime Acquisition Corp. (b)		165,800		263,622

	Number of Shares		Value
Nordic American Tanker Shipping Ltd. (b)		2,900	$	40,861
Universal Truckload Services, Inc.		18,800		309,636
USA Truck, Inc. (a)		16,100		303,324
Werner Enterprises, Inc.		21,825		592,767
				5,499,368
Trucking & Leasing — 0.1%
Willis Lease Finance Corp. (a)		6,600		142,494
				36,815,857
Technology — 4.8%
Computers — 0.7%
Brocade Communications Systems, Inc.		29,300		309,994
CACI International, Inc. Class A (a)		2,900		309,430
DST Systems, Inc.		1,000		112,770
NCI, Inc. Class A		13,200		184,932
Science Applications International Corp.		22,475		1,198,816
				2,115,942
Office Equipment/Supplies — 0.1%
ARC Document Solutions, Inc. (a)		71,700		322,650
Semiconductors — 2.1%
Alpha & Omega Semiconductor Ltd. (a)		13,200		156,420
Brooks Automation, Inc.		100,370		1,043,848
Cabot Microelectronics Corp.		16,500		675,015
Cavium, Inc. (a)		12,410		758,996
Cypress Semiconductor Corp. (b)		58,800		509,208
Intersil Corp. Class A		26,700		356,979
MKS Instruments, Inc.		23,150		871,597
QLogic Corp. (a)		4,500		60,480
Rovi Corp. (a)		24,000		492,240
Rudolph Technologies, Inc. (a)		14,000		191,240
Sigma Designs, Inc. (a)		20,000		136,000
Tessera Technologies, Inc.		16,000		496,000
Veeco Instruments, Inc. (a)		13,000		253,240
				6,001,263
Software — 1.9%
CSG Systems International, Inc.		5,100		230,316
Digi International, Inc. (a)		7,500		70,725
The Dun & Bradstreet Corp.		11,425		1,177,689
Infoblox, Inc. (a)		41,155		703,751
Leidos Holdings, Inc.		16,000		805,120
Progress Software Corp. (a)		19,650		473,958
SYNNEX Corp.		21,675		2,006,888
				5,468,447
				13,908,302
Utilities — 7.2%
Electric — 3.4%
Black Hills Corp.		1,900		114,247

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

96

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

	Number of Shares		Value
Cleco Corp.		10,250	$	565,903
El Paso Electric Co.		27,200		1,247,936
NorthWestern Corp.		16,100		994,175
NRG Energy, Inc.		12,500		162,625
Ormat Technologies, Inc. (b)		36,200		1,492,888
Pinnacle West Capital Corp.		19,460		1,460,862
Portland General Electric Co.		76,680		3,028,093
TECO Energy, Inc.		25,725		708,209
				9,774,938
Gas — 2.9%
Atmos Energy Corp.		18,345		1,362,300
Chesapeake Utilities Corp.		4,100		258,177
The Laclede Group, Inc.		26,475		1,793,681
ONE Gas, Inc.		18,300		1,118,130
PNM Resources, Inc.		42,800		1,443,216
Southwest Gas Corp.		26,200		1,725,270
WGL Holdings, Inc.		8,200		593,434
				8,294,208
Water — 0.9%
Aqua America, Inc.		67,170		2,137,349
SJW Corp.		15,900		577,965
				2,715,314
				20,784,460
TOTAL COMMON STOCK (Cost $265,640,809)				281,503,572
TOTAL EQUITIES (Cost $265,640,809)				281,503,572
MUTUAL FUNDS — 3.9%
Diversified Financial — 3.9%
State Street Navigator Securities Lending Prime Portfolio (c)		11,371,132		11,371,132
T. Rowe Price Reserve Investment Fund		1,004		1,004
				11,372,136
TOTAL MUTUAL FUNDS (Cost $11,372,136)				11,372,136
TOTAL LONG-TERM INVESTMENTS (Cost $277,012,945)				292,875,708
	Principal Amount
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 2.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (d)	$	5,753,704		5,753,704

	Principal Amount		Value
U.S. Treasury Bill — 0.1%
U.S. Treasury Bill (e) 0.000% 9/15/16	$	215,000	$	214,673
TOTAL SHORT-TERM INVESTMENTS (Cost $5,968,273)				5,968,377
TOTAL INVESTMENTS — 104.0% (Cost $282,981,218) (f)				298,844,085
Other Assets/(Liabilities) — (4.0)%				(11,628,741	)
NET ASSETS — 100.0%			$	287,215,344

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $11,047,644 or 3.85% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $5,753,706. Collateralized by U.S. Government Agency obligations with rates ranging from 1.625% – 1.750%, maturity dates ranging from 9/30/19 – 12/31/19, and an aggregate market value, including accrued interest, of $5,875,567.

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

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

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

97

MM S&P Mid Cap Index Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.2%
COMMON STOCK — 97.2%
Basic Materials — 4.8%
Chemicals — 3.0%
Albemarle Corp.		23,527	$	1,504,082
Ashland, Inc.		13,254		1,457,409
Cabot Corp.		13,020		629,256
Minerals Technologies, Inc.		7,336		417,052
NewMarket Corp.		2,089		827,787
Olin Corp.		34,575		600,568
PolyOne Corp.		17,688		535,062
RPM International, Inc.		27,863		1,318,756
Sensient Technologies Corp.		9,442		599,189
The Valspar Corp.		15,248		1,631,841
				9,521,002
Forest Products & Paper — 0.4%
Domtar Corp.		13,123		531,482
Rayonier, Inc.		25,824		637,336
				1,168,818
Iron & Steel — 1.0%
Allegheny Technologies, Inc. (a)		23,066		375,976
Carpenter Technology Corp. (a)		9,742		333,468
Reliance Steel & Aluminum Co.		15,088		1,043,939
Steel Dynamics, Inc.		51,045		1,149,023
United States Steel Corp. (a)		30,457		488,835
				3,391,241
Mining — 0.4%
Compass Minerals International, Inc.		7,039		498,784
Royal Gold, Inc.		13,588		696,928
				1,195,712
				15,276,773
Communications — 2.7%
Internet — 0.3%
Comscore, Inc. (b)		9,787		294,001
Rackspace Hosting, Inc. (b)		23,496		507,279
				801,280
Media — 1.4%
AMC Networks, Inc. Class A (b)		12,821		832,596
Cable One, Inc.		912		398,663
FactSet Research Systems, Inc.		8,640		1,309,219
Graham Holdings Co. Class B		893		428,640
John Wiley & Sons, Inc. Class A		10,245		500,878
Meredith Corp.		7,936		376,960
The New York Times Co. Class A		25,524		318,029
Time, Inc.		21,802		336,623
				4,501,608
Telecommunications — 1.0%
ARRIS International PLC (b)		37,794		866,238

	Number of Shares		Value
Ciena Corp. (b)		26,899	$	511,619
InterDigital, Inc.		7,277		404,965
NeuStar, Inc. Class A (a) (b)		11,224		276,110
Plantronics, Inc.		7,005		274,526
Polycom, Inc. (b)		27,972		311,888
Telephone & Data Systems, Inc.		19,685		592,322
				3,237,668
				8,540,556
Consumer, Cyclical — 14.8%
Airlines — 1.1%
Alaska Air Group, Inc.		26,099		2,140,640
JetBlue Airways Corp. (b)		67,292		1,421,207
				3,561,847
Apparel — 0.9%
Ascena Retail Group, Inc. (b)		35,715		395,008
Carter’s, Inc.		10,864		1,144,848
Deckers Outdoor Corp. (b)		6,821		408,646
Skechers U.S.A., Inc. Class A (b)		27,202		828,301
				2,776,803
Auto Manufacturers — 0.2%
Oshkosh Corp.		15,364		627,927
Automotive & Parts — 0.2%
Dana Holding Corp.		31,385		442,215
Distribution & Wholesale — 1.9%
Fossil Group, Inc. (b)		8,570		380,679
Ingram Micro, Inc. Class A		31,147		1,118,489
LKQ Corp. (b)		64,094		2,046,522
Owens & Minor, Inc.		13,103		529,623
Pool Corp.		8,845		776,060
Tech Data Corp. (b)		7,309		561,112
Watsco, Inc.		5,361		722,341
				6,134,826
Entertainment — 0.4%
Cinemark Holdings, Inc.		22,218		796,071
DreamWorks Animation SKG, Inc. Class A (a) (b)		14,949		372,977
International Speedway Corp. Class A		5,547		204,740
				1,373,788
Home Builders — 1.3%
CalAtlantic Group, Inc.		15,919		532,013
KB Home (a)		17,567		250,857
M.D.C. Holdings, Inc.		8,034		201,332
NVR, Inc. (b)		765		1,325,286
Thor Industries, Inc.		9,512		606,580
Toll Brothers, Inc. (b)		32,587		961,642
TRI Pointe Group, Inc. (b)		30,647		361,022
				4,238,732
Home Furnishing — 0.3%
Tempur Sealy International, Inc. (b)		12,998		790,148

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

98

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

	Number of Shares		Value
Household Products — 0.2%
Tupperware Brands Corp. (a)		10,523	$	610,124
Housewares — 0.3%
The Toro Co.		11,349		977,376
Leisure Time — 1.5%
Brunswick Corp.		19,141		918,385
Jarden Corp. (b)		43,264		2,550,413
Polaris Industries, Inc. (a)		12,599		1,240,749
				4,709,547
Office Furnishings — 0.2%
Herman Miller, Inc.		12,586		388,781
HNI Corp.		9,304		364,438
				753,219
Retail — 6.3%
Abercrombie & Fitch Co. Class A (a)		14,063		443,547
American Eagle Outfitters, Inc. (a)		34,576		576,382
Big Lots, Inc.		10,355		468,978
Brinker International, Inc.		11,891		546,391
Buffalo Wild Wings, Inc. (b)		3,967		587,592
Cabela’s, Inc. (a) (b)		10,093		491,428
Casey’s General Stores, Inc.		8,134		921,745
The Cheesecake Factory, Inc.		9,432		500,745
Chico’s FAS, Inc.		27,789		368,760
Copart, Inc. (b)		21,422		873,375
Cracker Barrel Old Country Store, Inc. (a)		4,985		761,060
CST Brands, Inc.		15,741		602,723
Dick’s Sporting Goods, Inc.		18,936		885,258
Domino’s Pizza, Inc.		10,447		1,377,541
Dunkin’ Brands Group, Inc.		19,197		905,522
Foot Locker, Inc.		28,762		1,855,149
Guess?, Inc.		13,313		249,885
HSN, Inc.		6,728		351,942
J.C. Penney Co., Inc. (a) (b)		63,713		704,666
Jack in the Box, Inc.		7,221		461,205
Kate Spade & Co. (b)		26,667		680,542
MSC Industrial Direct Co., Inc. Class A		10,042		766,305
Office Depot, Inc. (b)		103,305		733,466
Panera Bread Co. Class A (b)		4,833		989,943
Vista Outdoor, Inc. (b)		12,772		662,995
The Wendy’s Co.		45,762		498,348
Williams-Sonoma, Inc.		17,271		945,415
World Fuel Services Corp.		14,755		716,798
				19,927,706
				46,924,258
Consumer, Non-cyclical — 14.3%
Beverages — 0.1%
The Boston Beer Co., Inc. Class A (a) (b)		2,007		371,436

	Number of Shares		Value
Biotechnology — 0.4%
Bio-Rad Laboratories, Inc. Class A (b)		4,339	$	593,228
Charles River Laboratories International, Inc. (b)		9,729		738,820
				1,332,048
Commercial Services — 4.2%
Aaron’s, Inc.		13,675		343,243
CEB, Inc.		6,784		439,128
Convergys Corp.		20,080		557,622
CoreLogic, Inc. (b)		18,361		637,127
Deluxe Corp.		10,255		640,835
DeVry Education Group, Inc. (a)		11,719		202,387
Donnelley (R.R.) & Sons Co.		43,976		721,206
FTI Consulting, Inc. (b)		8,679		308,191
Gartner, Inc. (b)		17,254		1,541,645
Global Payments, Inc.		27,090		1,768,977
Live Nation Entertainment, Inc. (b)		30,333		676,729
Manpower, Inc.		15,099		1,229,361
PAREXEL International Corp. (b)		11,180		701,321
Rollins, Inc.		19,655		533,044
SEI Investments Co.		28,842		1,241,648
Service Corp. International		40,715		1,004,846
Sotheby’s		11,470		306,593
WEX, Inc. (b)		8,055		671,465
				13,525,368
Cosmetics & Personal Care — 0.5%
Avon Products, Inc.		91,527		440,245
Edgewell Personal Care Co.		12,426		1,000,666
				1,440,911
Foods — 3.0%
Dean Foods Co. (a)		19,358		335,281
Flowers Foods, Inc.		38,904		718,168
Ingredion, Inc.		15,059		1,608,151
Lancaster Colony Corp.		4,066		449,578
Post Holdings, Inc. (b)		13,346		917,804
Snyders-Lance, Inc.		16,494		519,231
Sprouts Farmers Market, Inc. (b)		29,603		859,671
SUPERVALU, Inc. (b)		56,077		323,003
The Hain Celestial Group, Inc. (b)		21,695		887,542
Tootsie Roll Industries, Inc. (a)		3,845		134,346
TreeHouse Foods, Inc. (b)		11,745		1,018,879
United Natural Foods, Inc. (b)		10,520		423,956
WhiteWave Foods Co. (b)		36,954		1,501,810
				9,697,420
Health Care – Products — 3.5%
ABIOMED, Inc. (b)		8,137		771,469
Align Technology, Inc. (b)		15,221		1,106,414
Bio-Techne Corp.		7,744		731,963
The Cooper Cos., Inc.		10,137		1,560,794
Halyard Health, Inc. (b)		9,849		282,962

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

99

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

	Number of Shares		Value
Hill-Rom Holdings, Inc.		11,809	$	593,993
IDEXX Laboratories, Inc. (b)		18,771		1,470,145
LivaNova PLC (b)		8,868		478,695
ResMed, Inc.		29,319		1,695,224
STERIS PLC		18,012		1,279,752
West Pharmaceutical Services, Inc.		15,187		1,052,763
				11,024,174
Health Care – Services — 1.6%
Amsurg Corp. (b)		11,193		834,998
Catalent, Inc. (b)		20,505		546,869
Community Health Systems, Inc. (b)		23,467		434,374
LifePoint Health, Inc. (b)		9,081		628,859
MEDNAX, Inc. (b)		19,666		1,270,817
Molina Healthcare, Inc. (b)		8,572		552,808
WellCare Health Plans, Inc. (b)		9,283		860,998
				5,129,723
Household Products — 0.2%
The Scotts Miracle-Gro Co. Class A		9,462		688,550
Pharmaceuticals — 0.8%
Akorn, Inc. (a) (b)		16,867		396,881
United Therapeutics Corp. (b)		9,517		1,060,479
VCA, Inc. (b)		16,973		979,172
				2,436,532
				45,646,162
Energy — 3.6%
Coal — 0.2%
CONSOL Energy, Inc. (a)		47,773		539,357
Oil & Gas — 2.0%
Denbury Resources, Inc. (a)		72,053		159,958
Ensco PLC Class A		49,685		515,233
Gulfport Energy Corp. (b)		25,630		726,354
Murphy USA, Inc. (b)		8,170		502,046
Nabors Industries Ltd.		59,418		546,646
Noble Corp. PLC (a)		50,653		524,259
Patterson-UTI Energy, Inc.		30,690		540,758
QEP Resources, Inc.		39,866		562,509
Questar Corp.		36,450		903,960
Rowan Cos. PLC Class A		26,176		421,434
SM Energy Co. (a)		14,295		267,888
Western Refining, Inc.		14,252		414,591
WPX Energy, Inc. (b)		49,502		346,019
				6,431,655
Oil & Gas Services — 1.1%
Dril-Quip, Inc. (b)		7,871		476,668
HollyFrontier Corp.		37,048		1,308,536
NOW, Inc. (a) (b)		22,538		399,373
Oceaneering International, Inc.		20,393		677,863
Oil States International, Inc. (b)		10,731		338,241
Superior Energy Services, Inc.		31,634		423,579
				3,624,260

	Number of Shares		Value
Pipelines — 0.3%
National Fuel Gas Co.		17,651	$	883,432
				11,478,704
Financial — 23.2%
Banks — 5.1%
Associated Banc-Corp.		31,314		561,773
BancorpSouth, Inc.		17,767		378,615
Bank of Hawaii Corp.		9,019		615,817
Bank of the Ozarks, Inc.		17,187		721,338
Cathay General Bancorp		15,441		437,444
Commerce Bancshares, Inc.		17,374		780,961
Cullen/Frost Bankers, Inc. (a)		11,409		628,750
East West Bancorp, Inc.		30,199		980,864
F.N.B. Corp.		43,524		566,247
First Horizon National Corp.		49,795		652,314
FirstMerit Corp.		34,483		725,867
Fulton Financial Corp.		36,360		486,497
Hancock Holding Co.		16,252		373,146
International Bancshares Corp.		11,416		281,519
PacWest Bancorp		24,033		892,826
PrivateBancorp, Inc.		16,721		645,431
Prosperity Bancshares, Inc.		13,709		635,960
Signature Bank (b)		11,151		1,517,874
SVB Financial Group (b)		10,835		1,105,712
Synovus Financial Corp.		26,493		765,913
TCF Financial Corp.		35,514		435,402
Trustmark Corp.		14,062		323,848
Umpqua Holdings Corp.		46,290		734,159
Valley National Bancorp		46,730		445,804
Webster Financial Corp.		19,051		683,931
				16,378,012
Diversified Financial — 2.2%
CBOE Holdings, Inc.		17,049		1,113,811
Eaton Vance Corp.		24,110		808,167
Federated Investors, Inc. Class B		19,745		569,643
Janus Capital Group, Inc.		30,604		447,736
MarketAxess Holdings, Inc.		7,812		975,172
Raymond James Financial, Inc.		26,843		1,277,995
SLM Corp. (b)		88,933		565,614
Stifel Financial Corp. (b)		14,573		431,361
Waddell & Reed Financial, Inc. Class A		17,029		400,863
WisdomTree Investments, Inc. (a)		24,113		275,612
				6,865,974
Insurance — 5.2%
Alleghany Corp. (b)		3,236		1,605,703
American Financial Group, Inc.		14,818		1,042,743
Arthur J. Gallagher & Co.		37,093		1,649,897
Aspen Insurance Holdings Ltd.		12,688		605,218
Brown & Brown, Inc.		23,989		858,806
CNO Financial Group, Inc.		37,370		669,670
Endurance Specialty Holdings Ltd.		12,818		837,528

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

100

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

	Number of Shares		Value
Everest Re Group Ltd.		8,943	$	1,765,616
First American Financial Corp.		22,713		865,592
Genworth Financial, Inc. Class A (b)		105,109		286,948
The Hanover Insurance Group, Inc.		8,977		809,905
Kemper Corp.		9,988		295,345
Mercury General Corp.		7,647		424,409
Old Republic International Corp.		51,270		937,216
Primerica, Inc. (a)		10,129		451,044
Reinsurance Group of America, Inc.		13,676		1,316,315
RenaissanceRe Holdings Ltd.		9,070		1,086,858
W.R. Berkley Corp.		20,589		1,157,102
				16,665,915
Real Estate — 0.5%
Alexander & Baldwin, Inc.		9,658		354,255
Jones Lang LaSalle, Inc.		9,465		1,110,434
				1,464,689
Real Estate Investment Trusts (REITS) — 9.3%
Alexandria Real Estate Equities, Inc.		15,388		1,398,615
American Campus Communities, Inc.		27,334		1,287,158
Camden Property Trust		18,222		1,532,288
Care Capital Properties, Inc.		17,536		470,666
Communications Sales & Leasing, Inc. (b)		25,116		558,831
Corporate Office Properties Trust		19,729		517,689
Corrections Corporation of America		24,407		782,244
Douglas Emmett, Inc.		29,452		886,800
Duke Realty Corp.		72,494		1,634,015
EPR Properties		13,321		887,445
Equity One, Inc.		18,877		541,015
First Industrial Realty Trust, Inc.		24,346		553,628
Healthcare Realty Trust, Inc.		21,279		657,308
Highwoods Properties, Inc.		20,017		957,013
Hospitality Properties Trust		31,545		837,835
Kilroy Realty Corp.		19,203		1,188,090
Lamar Advertising Co.Class A		17,251		1,060,936
LaSalle Hotel Properties		23,516		595,190
Liberty Property Trust		30,610		1,024,211
Mack-Cali Realty Corp.		18,713		439,755
Mid-America Apartment Communities, Inc.		15,805		1,615,429
National Retail Properties, Inc.		29,581		1,366,642
OMEGA Healthcare Investors, Inc.		34,477		1,217,038
Post Properties, Inc.		11,248		671,956
Potlatch Corp.		8,439		265,828
Regency Centers Corp.		20,468		1,532,030
Senior Housing Properties Trust		49,438		884,446
Sovran Self Storage, Inc.		8,287		977,452
Tanger Factory Outlet Centers, Inc.		19,745		718,521
Taubman Centers, Inc.		12,552		894,079
Urban Edge Properties		19,290		498,454
Weingarten Realty Investors		23,998		900,405

	Number of Shares		Value
WP GLIMCHER, Inc.		39,003	$	370,138
				29,723,150
Savings & Loans — 0.9%
First Niagara Financial Group, Inc.		74,668		722,786
New York Community Bancorp, Inc.		101,840		1,619,256
Washington Federal, Inc.		19,051		431,505
				2,773,547
				73,871,287
Industrial — 17.8%
Aerospace & Defense — 1.4%
BE Aerospace, Inc.		21,445		989,043
Curtiss-Wright Corp.		9,374		709,331
Esterline Technologies Corp. (b)		6,206		397,618
KLX, Inc. (b)		11,125		357,557
Orbital ATK, Inc.		12,248		1,064,841
Teledyne Technologies, Inc. (b)		7,264		640,249
Triumph Group, Inc.		10,424		328,148
				4,486,787
Building Materials — 1.3%
Eagle Materials, Inc.		10,267		719,819
Fortune Brands Home & Security, Inc.		32,945		1,846,238
Lennox International, Inc.		8,360		1,130,188
Louisiana-Pacific Corp. (b)		29,871		511,392
				4,207,637
Electrical Components & Equipment — 1.3%
Acuity Brands, Inc.		9,162		1,998,599
Belden, Inc.		8,774		538,548
Energizer Holdings, Inc.		13,022		527,521
Hubbell, Inc.		11,179		1,184,191
				4,248,859
Electronics — 3.5%
Arrow Electronics, Inc. (b)		19,073		1,228,492
Avnet, Inc.		27,516		1,218,959
FEI Co.		8,502		756,763
Gentex Corp.		60,392		947,550
Jabil Circuit, Inc.		40,131		773,324
Keysight Technologies, Inc. (b)		35,997		998,557
Knowles Corp. (b)		18,581		244,898
Mettler-Toledo International, Inc. (b)		5,639		1,944,102
National Instruments Corp.		20,965		631,256
Trimble Navigation Ltd. (b)		52,610		1,304,728
Vishay Intertechnology, Inc.		28,539		348,461
Woodward, Inc.		11,681		607,646
				11,004,736
Engineering & Construction — 0.6%
AECOM (b)		32,095		988,205
Granite Construction, Inc.		8,284		395,975
KBR, Inc.		29,591		458,069
				1,842,249

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

101

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

	Number of Shares		Value
Environmental Controls — 0.8%
Clean Harbors, Inc. (b)		10,946	$	540,076
MSA Safety, Inc.		6,552		316,789
Waste Connections, Inc.		25,621		1,654,860
				2,511,725
Hand & Machine Tools — 0.6%
Kennametal, Inc.		16,595		373,221
Lincoln Electric Holdings, Inc.		13,526		792,218
Regal Beloit Corp.		9,318		587,873
				1,753,312
Machinery – Construction & Mining — 0.3%
Joy Global, Inc. (a)		20,601		331,058
Terex Corp.		22,657		563,706
				894,764
Machinery – Diversified — 2.1%
AGCO Corp.		14,764		733,771
Cognex Corp.		17,666		688,091
Graco, Inc.		11,578		972,089
IDEX Corp.		15,975		1,324,008
Nordson Corp.		11,158		848,454
Wabtec Corp.		19,263		1,527,363
Zebra Technologies Corp. Class A (b)		10,856		749,064
				6,842,840
Manufacturing — 2.2%
AptarGroup, Inc.		13,186		1,033,914
Carlisle Cos., Inc.		13,438		1,337,081
CLARCOR, Inc.		10,250		592,348
Crane Co.		10,332		556,482
Donaldson Co., Inc.		25,686		819,640
ITT Corp.		18,632		687,335
Teleflex, Inc.		8,724		1,369,755
Trinity Industries, Inc.		31,846		583,100
				6,979,655
Metal Fabricate & Hardware — 0.6%
Commercial Metals Co.		24,409		414,221
The Timken Co.		14,490		485,270
Valmont Industries, Inc.		4,800		594,432
Worthington Industries, Inc.		9,519		339,257
				1,833,180
Miscellaneous – Manufacturing — 0.4%
A.O. Smith Corp.		15,675		1,196,159
Packaging & Containers — 1.2%
Bemis Co., Inc.		19,878		1,029,283
Greif, Inc. Class A		5,449		178,455
Packaging Corporation of America		19,620		1,185,048
Silgan Holdings, Inc.		8,483		451,041
Sonoco Products Co.		21,184		1,028,907
				3,872,734

	Number of Shares		Value
Shipbuilding — 0.4%
Huntington Ingalls Industries, Inc.		9,816	$	1,344,203
Transportation — 1.0%
Genesee & Wyoming, Inc. Class A (b)		11,860		743,622
Kirby Corp. (b)		11,228		676,936
Landstar System, Inc.		8,866		572,832
Old Dominion Freight Line, Inc. (b)		14,406		1,002,946
Werner Enterprises, Inc.		9,422		255,902
				3,252,238
Trucking & Leasing — 0.1%
GATX Corp. (a)		8,752		415,720
				56,686,798
Technology — 10.4%
Computers — 4.4%
3D Systems Corp. (a) (b)		22,544		348,756
Cadence Design Systems, Inc. (b)		64,003		1,509,191
Computer Sciences Corp.		28,766		989,263
Diebold, Inc.		13,553		391,817
DST Systems, Inc.		6,585		742,590
Fortinet, Inc. (b)		30,378		930,478
j2 Global, Inc.		9,629		592,954
Jack Henry & Associates, Inc.		16,499		1,395,320
Lexmark International, Inc. Class A		12,985		434,089
Manhattan Associates, Inc. (b)		15,206		864,765
MAXIMUS, Inc.		13,576		714,641
Mentor Graphics Corp.		20,934		425,588
NCR Corp. (b)		26,098		781,113
NetScout Systems, Inc. (b)		20,757		476,788
Science Applications International Corp.		8,672		462,565
Synaptics, Inc. (b)		7,632		608,576
Synopsys, Inc. (b)		31,760		1,538,454
VeriFone Systems, Inc. (b)		22,921		647,289
				13,854,237
Semiconductors — 2.1%
Advanced Micro Devices, Inc. (a) (b)		135,169		385,232
Atmel Corp.		87,670		711,880
Cree, Inc. (a) (b)		21,145		615,320
Cypress Semiconductor Corp. (a)		66,407		575,085
Fairchild Semiconductor International, Inc. (b)		23,716		474,320
Integrated Device Technology, Inc. (b)		28,228		576,980
Intersil Corp. Class A		27,868		372,595
IPG Photonics Corp. (b)		7,595		729,728
Microsemi Corp. (b)		23,617		904,767
Silicon Laboratories, Inc. (b)		8,155		366,649
SunEdison, Inc. (a) (b)		67,140		36,269
Teradyne, Inc.		42,611		919,971
				6,668,796

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

102

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

	Number of Shares		Value
Software — 3.9%
ACI Worldwide, Inc. (b)		24,790	$	515,384
Acxiom Corp. (b)		16,269		348,807
Allscripts Healthcare Solutions, Inc. (b)		39,443		521,042
ANSYS, Inc. (b)		18,482		1,653,400
Broadridge Financial Solutions, Inc.		24,899		1,476,760
CDK Global, Inc.		32,539		1,514,691
CommVault Systems, Inc. (b)		8,873		383,047
Fair Isaac Corp.		6,534		693,192
Leidos Holdings, Inc.		13,369		672,728
MSCI, Inc.		18,515		1,371,591
PTC, Inc. (b)		23,843		790,634
SYNNEX Corp.		6,022		557,577
Tyler Technologies, Inc. (b)		6,854		881,493
The Ultimate Software Group, Inc. (b)		6,060		1,172,610
				12,552,956
				33,075,989
Utilities — 5.6%
Electric — 2.9%
Alliant Energy Corp.		23,785		1,766,750
Black Hills Corp.		10,659		640,926
Cleco Corp.		12,610		696,198
Great Plains Energy, Inc.		32,399		1,044,868
Hawaiian Electric Industries, Inc.		22,385		725,274
IDACORP, Inc.		10,594		790,206
MDU Resources Group, Inc.		40,662		791,283
OGE Energy Corp.		41,929		1,200,427
Talen Energy Corp. (b)		13,443		120,987
Westar Energy, Inc.		29,689		1,472,871
				9,249,790
Gas — 2.3%
Atmos Energy Corp.		21,485		1,595,476
Energen Corp.		20,224		739,996
New Jersey Resources Corp.		17,882		651,441
ONE Gas, Inc.		10,875		664,463
PNM Resources, Inc.		16,596		559,617
UGI Corp.		36,126		1,455,517
Vectren Corp.		17,245		871,907
WGL Holdings, Inc.		10,374		750,766
				7,289,183
Water — 0.4%
Aqua America, Inc.		37,143		1,181,890
				17,720,863
TOTAL COMMON STOCK (Cost $296,901,922)				309,221,390
TOTAL EQUITIES (Cost $296,901,922)				309,221,390

	Number of Shares		Value
MUTUAL FUNDS — 3.7%
Diversified Financial — 3.7%
State Street Navigator Securities Lending Prime Portfolio (c)		11,810,882	$	11,810,882
TOTAL MUTUAL FUNDS (Cost $11,810,882)				11,810,882
TOTAL LONG-TERM INVESTMENTS (Cost $308,712,804)				321,032,272
	Principal Amount
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 1.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 03/31/2016, 0.010%, due 4/01/16 (d)	$	6,183,640		6,183,640
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill (e) 0.000% 9/15/16		685,000		683,957
TOTAL SHORT-TERM INVESTMENTS (Cost $6,867,686)				6,867,597
TOTAL INVESTMENTS — 103.0% (Cost $315,580,490) (f)				327,899,869
Other Assets/(Liabilities) — (3.0)%				(9,636,833	)
NET ASSETS — 100.0%			$	318,263,036

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $11,440,179 or 3.59% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

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

(d) Maturity value of $6,183,641. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $6,310,462.

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

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

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

103

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.2%
COMMON STOCK — 98.2%
Basic Materials — 2.7%
Chemicals — 1.7%
A. Schulman, Inc.		5,039	$	137,162
Aceto Corp.		5,009		118,012
American Vanguard Corp.		5,007		79,010
Axiall Corp.		12,081		263,849
Balchem Corp.		5,348		331,683
Chemtura Corp. (a)		11,559		305,158
Ferro Corp. (a)		11,928		141,585
H.B. Fuller Co.		8,671		368,084
Hawkins, Inc.		1,824		65,828
Innophos Holdings, Inc.		3,382		104,538
Innospec, Inc.		4,170		180,811
Intrepid Potash, Inc. (a)		9,338		10,365
KMG Chemicals, Inc.		1,634		37,696
Kraton Performance Polymers, Inc. (a)		5,392		93,282
Kronos Worldwide, Inc. (b)		3,725		21,307
Landec Corp. (a)		4,643		48,751
Minerals Technologies, Inc.		5,975		339,679
Oil-Dri Corp. of America		819		27,666
Olin Corp.		28,381		492,978
OMNOVA Solutions, Inc. (a)		8,061		44,819
PolyOne Corp.		15,342		464,095
Quaker Chemical Corp.		2,291		194,414
Rayonier Advanced Materials, Inc.		6,994		66,443
Rentech, Inc. (a)		3,668		8,143
Sensient Technologies Corp.		8,035		509,901
Stepan Co.		3,316		183,342
Tronox Ltd. Class A (b)		11,021		70,424
Univar, Inc. (a)		6,921		118,903
Valhi, Inc. (b)		2,815		3,322
				4,831,250
Forest Products & Paper — 0.4%
Clearwater Paper Corp. (a)		3,053		148,101
Deltic Timber Corp.		1,888		113,563
KapStone Paper and Packaging Corp.		14,646		202,847
Neenah Paper, Inc.		2,874		182,959
Orchids Paper Products Co. (b)		1,576		43,356
P.H. Glatfelter Co.		7,438		154,190
Schweitzer-Mauduit International, Inc.		5,243		165,050
Veritiv Corp. (a)		1,400		52,164
Xerium Technologies, Inc. (a)		1,775		9,265
				1,071,495
Iron & Steel — 0.2%
AK Steel Holding Corp. (a) (b)		30,598		126,370
Carpenter Technology Corp. (b)		8,056		275,757
Cliffs Natural Resources, Inc. (a) (b)		30,984		92,952
Olympic Steel, Inc.		1,530		26,484

	Number of Shares		Value
Ryerson Holding Corp. (a) (b)		1,907	$	10,603
Schnitzer Steel Industries, Inc. Class A		4,552		83,939
				616,105
Mining — 0.4%
Century Aluminum Co. (a) (b)		8,566		60,390
Coeur d’Alene Mines Corp. (a) (b)		23,388		131,440
Energy Fuels, Inc. (a) (b)		7,865		17,382
Ferroglobe PLC		11,179		98,487
Hecla Mining Co.		63,723		177,150
Kaiser Aluminum Corp.		2,950		249,393
Materion Corp.		3,469		91,859
Ring Energy, Inc. (a) (b)		4,361		22,023
Stillwater Mining Co. (a) (b)		20,760		221,094
United States Lime & Minerals, Inc.		334		20,043
Uranium Energy Corp. (a)		16,048		12,004
US Silica Holdings, Inc. (b)		10,912		247,921
				1,349,186
				7,868,036
Communications — 5.9%
Advertising — 0.1%
EVINE Live, Inc. (a)		8,113		9,492
Harte-Hanks, Inc.		8,321		21,052
Journal Media Group, Inc.		4,180		49,993
Marchex, Inc. Class B		5,734		25,517
Marin Software, Inc. (a)		4,947		14,940
MDC Partners, Inc. Class A		7,472		176,339
Sizmek, Inc. (a)		3,488		10,115
				307,448
Internet — 2.0%
1-800-Flowers.com, Inc. Class A (a)		4,196		33,064
Angie’s List, Inc. (a)		7,537		60,824
Bankrate, Inc. (a)		10,699		98,110
Barracuda Networks, Inc. (a)		1,399		21,545
Bazaarvoice, Inc. (a)		10,359		32,631
Blucora, Inc. (a)		6,877		35,485
Blue Nile, Inc.		2,058		52,911
Boingo Wireless, Inc. (a)		6,359		49,091
Box, Inc. (a) (b)		2,278		27,928
Brightcove, Inc. (a)		5,488		34,245
ChannelAdvisor Corp. (a)		3,823		43,009
Chegg, Inc. (a) (b)		13,176		58,765
Cogent Communications Group, Inc.		7,922		309,196
Comscore, Inc. (a)		8,429		253,207
Connecture, Inc. (a)		1,040		2,662
Corindus Vascular Robotics, Inc. (a) (b)		3,919		3,882
DHI Group, Inc. (a)		7,377		59,532
Endurance International Group Holdings, Inc. (a) (b)		10,084		106,184
ePlus, Inc. (a)		966		77,773

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

104

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Etsy, Inc. (a)		3,499	$	30,441
FTD Cos., Inc. (a)		3,136		82,320
Global Eagle Entertainment, Inc. (a) (b)		7,980		67,990
GrubHub, Inc. (a) (b)		12,934		325,031
HealthStream, Inc. (a)		4,342		95,915
Internap Corp. (a)		9,466		25,842
IntraLinks Holdings, Inc. (a)		6,919		54,522
Limelight Networks, Inc. (a)		11,034		19,972
Lionbridge Technologies, Inc. (a)		11,044		55,883
Liquidity Services, Inc. (a)		4,179		21,647
Marketo, Inc. (a)		5,984		117,107
MaxPoint Interactive, Inc. (a) (b)		1,184		2,096
ModusLink Global Solutions, Inc. (a) (b)		6,794		9,987
New Media Investment Group, Inc.		7,681		127,812
NIC, Inc.		11,272		203,234
Nutrisystem, Inc.		4,976		103,849
OPOWER, Inc. (a) (b)		4,589		31,251
Overstock.com, Inc. (a)		2,121		30,500
Perficient, Inc. (a)		6,083		132,123
Q2 Holdings, Inc. (a)		3,350		80,534
QuinStreet, Inc. (a)		5,900		20,178
Quotient Technology, Inc. (a) (b)		10,501		111,311
Rapid7, Inc. (a) (b)		1,413		18,468
RealNetworks, Inc. (a)		3,917		15,903
Reis, Inc.		1,426		33,582
RetailMeNot, Inc. (a)		6,634		53,138
RingCentral, Inc. Class A (a)		9,219		145,199
The Rubicon Project, Inc. (a)		4,417		80,743
Safeguard Scientifics, Inc. (a)		3,560		47,170
Shutterfly, Inc. (a)		6,064		281,188
Shutterstock, Inc. (a) (b)		3,377		124,037
SPS Commerce, Inc. (a)		2,843		122,078
Stamps.com, Inc. (a)		2,453		260,705
TechTarget, Inc. (a)		3,488		25,881
Textura Corp. (a)		3,409		63,510
Travelzoo, Inc. (a)		1,277		10,369
TrueCar, Inc. (a) (b)		8,568		47,895
TubeMogul, Inc. (a) (b)		2,655		34,356
United Online, Inc. (a)		2,584		29,819
VASCO Data Security International, Inc. (a) (b)		5,050		77,770
VirnetX Holding Corp. (a) (b)		7,961		36,541
Wayfair, Inc. Class A (a)		3,450		149,109
Web.com Group, Inc. (a)		7,536		149,363
WebMD Health Corp. (a)		6,501		407,158
Wix.com Ltd. (a)		3,215		65,168
XO Group, Inc. (a)		4,545		72,947
Zendesk, Inc. (a) (b)		9,719		203,419
Zix Corp. (a)		9,717		38,188
				5,703,293

	Number of Shares		Value
Media — 1.1%
Acacia Research		8,884	$	33,670
Central European Media Enterprises Ltd. Class A (a) (b)		12,968		33,068
Crown Media Holdings, Inc. Class A (a)		5,944		30,196
Cumulus Media, Inc. Class A (a)		22,745		10,561
Daily Journal Corp. (a) (b)		189		36,985
The E.W. Scripps Co. Class A		10,177		158,659
Entercom Communications Corp. Class A (a)		4,367		46,203
Entravision Communications Corp. Class A		10,959		81,535
Gray Television, Inc. (a)		10,860		127,279
Hemisphere Media Group, Inc. (a) (b)		1,791		23,516
Houghton Mifflin Harcourt Co. (a)		21,249		423,705
Media General, Inc. (a)		16,483		268,838
Meredith Corp.		6,321		300,248
The New York Times Co. Class A		23,642		294,579
Nexstar Broadcasting Group, Inc. Class A (b)		5,383		238,305
Saga Communications, Inc. Class A		609		24,397
Scholastic Corp.		4,584		171,304
Sinclair Broadcast Group, Inc. Class A		11,399		350,519
Time, Inc.		18,836		290,828
Townsquare Media, Inc. Class A (a)		1,219		13,665
Tribune Publishing Co.		4,458		34,416
World Wrestling Entertainment, Inc. Class A (b)		5,175		91,391
				3,083,867
Telecommunications — 2.7%
8x8, Inc. (a)		15,167		152,580
ADTRAN, Inc.		8,579		173,467
Aerohive Networks, Inc. (a) (b)		4,209		21,003
Alliance Fiber Optic Products, Inc. (a)		2,505		37,049
Anixter International, Inc. (a)		4,907		255,704
Atlantic Tele-Network, Inc.		1,766		133,916
Black Box Corp.		2,663		35,871
CalAmp Corp. (a)		6,228		111,668
Calix, Inc. (a)		7,643		54,189
Ciena Corp. (a)		21,227		403,738
Cincinnati Bell, Inc. (a)		36,074		139,606
Clearfield, Inc. (a) (b)		1,985		31,899
Comtech Telecommunications Corp.		2,790		65,202
Consolidated Communications Holdings, Inc.		8,689		223,829
Contra Leap Wireless (c)		3,887		-
DigitalGlobe, Inc. (a)		11,071		191,528
EarthLink Holdings Corp.		17,724		100,495
Extreme Networks, Inc. (a)		17,394		54,095
Fairpoint Communications, Inc. (a) (b)		3,590		53,419
Finisar Corp. (a)		17,872		325,985

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

105

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
General Communication, Inc. Class A (a)		6,018	$	110,250
Gigamon, Inc. (a)		4,703		145,887
Globalstar, Inc. (a) (b)		81,905		120,400
Gogo, Inc. (a) (b)		9,663		106,390
GTT Communications, Inc. (a)		4,207		69,584
Harmonic, Inc. (a)		13,226		43,249
Hawaiian Telcom Holdco, Inc. (a)		1,932		45,499
HC2 Holdings, Inc. (a) (b)		4,758		18,176
IDT Corp. Class B		2,885		44,977
Infinera Corp. (a)		22,892		367,646
Inteliquent, Inc.		5,778		92,737
Intelsat SA (a) (b)		4,679		11,791
InterDigital, Inc.		6,202		345,141
Iridium Communications, Inc. (a) (b)		14,141		111,290
Ixia (a)		10,427		129,920
KVH Industries, Inc. (a)		2,666		25,460
Loral Space & Communications, Inc. (a)		2,253		79,148
Lumos Networks Corp. (a)		3,930		50,461
Mastec, Inc. (a)		11,484		232,436
NeoPhotonics Corp. (a)		4,801		67,406
NETGEAR, Inc. (a)		5,527		223,125
NeuStar, Inc. Class A (a) (b)		9,521		234,217
Novatel Wireless, Inc. (a) (b)		6,372		11,278
NTELOS Holdings Corp. (a) (b)		2,890		26,588
Oclaro, Inc. (a) (b)		16,816		90,806
ORBCOMM, Inc. (a)		10,281		104,147
Plantronics, Inc.		6,060		237,491
Polycom, Inc. (a)		23,215		258,847
Preformed Line Products Co.		442		16,142
RigNet, Inc. (a)		2,146		29,357
Ruckus Wireless, Inc. (a)		12,955		127,089
Shenandoah Telecom Co.		8,324		222,667
ShoreTel, Inc. (a)		11,090		82,510
Sonus Networks, Inc. (a)		8,502		64,020
Spok Holdings, Inc.		3,753		65,715
Straight Path Communications, Inc. Class B (a) (b)		1,580		49,027
TeleNav, Inc. (a)		4,781		28,208
Ubiquiti Networks, Inc. (a)		4,964		165,152
ViaSat, Inc. (a) (b)		7,346		539,784
Vonage Holdings Corp. (a)		31,942		145,975
West Corp.		8,978		204,878
Windstream Holdings, Inc. (b)		15,745		120,922
				7,831,036
				16,925,644
Consumer, Cyclical — 13.3%
Airlines — 0.4%
Allegiant Travel Co.		2,307		410,784
Hawaiian Holdings, Inc. (a)		8,203		387,100
SkyWest, Inc.		8,884		177,591

	Number of Shares		Value
Virgin America, Inc. (a)		4,333	$	167,081
				1,142,556
Apparel — 0.8%
Ascena Retail Group, Inc. (a)		29,514		326,425
Cherokee, Inc. (a)		1,501		26,703
Crocs, Inc. (a)		13,239		127,359
Deckers Outdoor Corp. (a)		5,620		336,694
G-III Apparel Group Ltd. (a)		6,858		335,288
Iconix Brand Group, Inc. (a) (b)		8,212		66,107
Oxford Industries, Inc.		2,517		169,218
Perry Ellis International, Inc. (a)		2,099		38,643
Sequential Brands Group, Inc. (a)		6,169		39,420
Steven Madden Ltd. (a)		9,674		358,325
Superior Uniform Group, Inc.		1,314		23,415
Unifi, Inc. (a)		2,557		58,581
Vince Holding Corp. (a) (b)		3,492		22,104
Weyco Group, Inc.		1,120		29,814
Wolverine World Wide, Inc.		17,749		326,936
				2,285,032
Auto Manufacturers — 0.1%
Blue Bird Corp. (a) (b)		949		10,297
Navistar International Corp. (a) (b)		8,776		109,875
Wabash National Corp. (a)		11,688		154,282
				274,454
Automotive & Parts — 1.1%
Accuride Corp. (a)		6,339		9,826
American Axle & Manufacturing Holdings, Inc. (a)		13,043		200,732
Commercial Vehicle Group, Inc. (a)		4,846		12,842
Cooper Tire & Rubber Co.		9,902		366,572
Cooper-Standard Holding, Inc. (a)		2,335		167,746
Dana Holding Corp.		26,296		370,511
Dorman Products, Inc. (a)		4,598		250,223
Douglas Dynamics, Inc.		3,843		88,043
Federal-Mogul Corp. (a)		5,212		51,495
Gentherm, Inc. (a)		6,177		256,901
Horizon Global Corp. (a)		3,159		39,740
Meritor, Inc. (a)		15,718		126,687
Metaldyne Performance Group, Inc.		2,011		33,805
Miller Industries, Inc.		1,954		39,627
Modine Manufacturing Co. (a)		8,236		90,678
Motorcar Parts of America, Inc. (a)		3,087		117,244
Standard Motor Products, Inc.		3,427		118,746
Strattec Security Corp.		625		35,869
Superior Industries International, Inc.		4,020		88,762
Tenneco, Inc. (a)		9,943		512,164
Titan International, Inc. (b)		7,545		40,592
Tower International, Inc.		3,627		98,654
				3,117,459
Distribution & Wholesale — 1.0%
Beacon Roofing Supply, Inc. (a)		8,532		349,897

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

106

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Castle Brands, Inc. (a) (b)		11,283	$	10,607
Core-Mark Holding Co., Inc.		3,971		323,875
Essendant, Inc.		6,588		210,355
MRC Global, Inc. (a)		17,711		232,723
Owens & Minor, Inc.		10,853		438,678
Pool Corp.		7,482		656,471
ScanSource, Inc. (a)		4,602		185,829
Tech Data Corp. (a)		6,302		483,804
				2,892,239
Entertainment — 1.2%
AMC Entertainment Holdings, Inc. Class A		3,645		102,024
Ascent Media Corp. Series A (a)		2,317		34,315
Carmike Cinemas, Inc. (a)		4,211		126,498
Churchill Downs, Inc.		2,187		323,414
DreamWorks Animation SKG, Inc. Class A (a) (b)		13,063		325,922
Eldorado Resorts, Inc. (a)		4,862		55,621
Empire Resorts, Inc. (a) (b)		468		6,388
Eros International PLC (a) (b)		4,865		55,996
International Speedway Corp. Class A		4,792		176,873
Isle of Capri Casinos, Inc. (a)		3,804		53,256
Marriott Vacations Worldwide Corp.		4,042		272,835
National CineMedia, Inc.		10,574		160,830
Penn National Gaming, Inc. (a)		13,731		229,170
Pinnacle Entertainment, Inc. (a)		10,409		365,356
Reading International, Inc. Series A (a)		2,814		33,712
Scientific Games Corp. Class A (a) (b)		8,640		81,475
SeaWorld Entertainment, Inc. (b)		11,762		247,708
Speedway Motorsports, Inc.		1,959		38,847
Vail Resorts, Inc.		6,250		835,625
				3,525,865
Home Builders — 0.8%
Beazer Homes USA, Inc. (a)		5,713		49,817
CalAtlantic Group, Inc.		13,229		442,113
Cavco Industries, Inc. (a)		1,522		142,246
Century Communities, Inc. (a)		2,624		44,792
Green Brick Partners, Inc. (a) (b)		3,793		28,789
Hovnanian Enterprises, Inc. Class A (a) (b)		20,786		32,426
Installed Building Products, Inc. (a)		3,418		90,953
KB Home (b)		12,967		185,169
LGI Homes, Inc. (a) (b)		2,405		58,225
M.D.C. Holdings, Inc.		6,696		167,802
M/I Homes, Inc. (a)		4,195		78,237
Meritage Home Corp. (a)		6,817		248,548
The New Home Co., Inc. (a) (b)		1,938		23,760
Taylor Morrison Home Corp. Class A (a)		5,587		78,888
TRI Pointe Group, Inc. (a)		27,773		327,166
WCI Communities, Inc. (a)		2,672		49,646
William Lyon Homes Class A (a) (b)		3,353		48,585

	Number of Shares		Value
Winnebago Industries, Inc.		4,627	$	103,876
				2,201,038
Home Furnishing — 0.4%
American Woodmark Corp. (a)		2,207		164,620
Bassett Furniture Industries, Inc.		1,848		58,877
DTS, Inc. (a)		3,043		66,277
Ethan Allen Interiors, Inc.		4,364		138,862
Flexsteel Industries, Inc.		1,005		43,898
Hooker Furniture Corp.		1,855		60,937
Kimball International, Inc. Class B		5,897		66,931
La-Z-Boy, Inc.		8,800		235,312
Universal Electronics, Inc. (a)		2,492		154,479
VOXX International Corp. (a)		3,589		16,043
				1,006,236
Housewares — 0.1%
Libbey, Inc.		3,755		69,843
Lifetime Brands, Inc.		1,890		28,482
National Presto Industries, Inc.		833		69,756
				168,081
Leisure Time — 0.4%
Arctic Cat, Inc. (b)		2,253		37,850
Black Diamond, Inc. (a)		4,052		18,315
Callaway Golf Co.		13,415		122,345
ClubCorp Holdings, Inc.		7,550		106,002
Diamond Resorts International, Inc. (a) (b)		7,165		174,110
Escalade, Inc.		1,657		19,503
Fox Factory Holding Corp. (a)		2,951		46,655
Interval Leisure Group, Inc. (b)		6,730		97,181
Johnson Outdoors, Inc. Class A		834		18,532
Malibu Boats, Inc. Class A (a)		3,108		50,971
Marine Products Corp.		1,858		14,102
MCBC Holdings, Inc. (a)		1,240		17,459
Nautilus, Inc. (a)		5,399		104,309
Performance Sports Group Ltd. (a)		7,529		23,942
Planet Fitness, Inc. Class A (a) (b)		2,725		44,254
Travelport Worldwide Ltd.		18,154		247,984
				1,143,514
Lodging — 0.3%
Belmond Ltd. Class A (a)		16,657		158,075
Boyd Gaming Corp. (a)		13,720		283,455
Caesars Entertainment Corp. (a) (b)		9,535		64,838
Intrawest Resorts Holdings, Inc. (a)		2,996		25,616
La Quinta Holdings, Inc. (a)		16,108		201,350
Marcus Corp.		3,152		59,730
Monarch Casino & Resort, Inc. (a)		1,713		33,335
Morgans Hotel Group Co. (a) (b)		4,548		6,276
				832,675
Office Furnishings — 0.4%
Herman Miller, Inc.		10,252		316,684

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

107

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
HNI Corp.		7,649	$	299,612
Interface, Inc.		11,365		210,707
Knoll, Inc.		8,395		181,752
Steelcase, Inc. Class A		14,321		213,669
				1,222,424
Retail — 5.9%
Abercrombie & Fitch Co. Class A (b)		11,960		377,218
America’s Car-Mart, Inc. (a) (b)		1,490		37,250
American Eagle Outfitters, Inc. (b)		31,078		518,070
Asbury Automotive Group, Inc. (a)		4,365		261,202
Barnes & Noble Education, Inc. (a)		5,522		54,116
Barnes & Noble, Inc.		8,719		107,767
bebe stores, Inc. (b)		4,543		2,498
Big 5 Sporting Goods Corp.		3,207		35,630
Big Lots, Inc.		8,518		385,780
Biglari Holdings, Inc. (a)		285		105,937
BJ’s Restaurants, Inc. (a)		3,396		141,172
Bloomin’ Brands, Inc.		20,092		338,952
BMC Stock Holdings, Inc. (a)		6,449		107,182
Bob Evans Farms, Inc.		3,406		159,026
Bojangles’, Inc. (a)		1,382		23,508
Boot Barn Holdings, Inc. (a)		1,966		18,480
Bravo Brio Restaurant Group, Inc. (a)		2,614		20,258
The Buckle, Inc. (b)		4,864		164,744
Buffalo Wild Wings, Inc. (a)		3,267		483,908
Build-A-Bear Workshop, Inc. (a)		2,463		31,994
Burlington Stores, Inc. (a)		12,969		729,377
Caleres, Inc.		7,527		212,939
Carrols Restaurant Group, Inc. (a)		6,099		88,070
Casey’s General Stores, Inc.		6,683		757,317
Cash America International, Inc.		4,366		168,702
The Cato Corp. Class A		4,517		174,130
The Cheesecake Factory, Inc.		8,384		445,107
Chico’s FAS, Inc.		22,999		305,197
The Children’s Place Retail Store, Inc.		3,545		295,901
Christopher & Banks Corp. (a)		6,843		16,355
Chuy’s Holdings, Inc. (a)		2,831		87,959
Citi Trends, Inc.		2,687		47,909
Columbia Sportswear Co.		4,934		296,484
Conn’s, Inc. (a) (b)		4,174		52,008
The Container Store Group, Inc. (a)		2,604		15,285
Cracker Barrel Old Country Store, Inc. (b)		3,298		503,506
Dave & Buster’s Entertainment, Inc. (a)		3,918		151,940
Del Frisco’s Restaurant Group, Inc. (a)		4,051		67,166
Denny’s Corp. (a)		13,247		137,239
Destination XL Group, Inc. (a)		6,331		32,731
DineEquity, Inc.		2,917		272,535
Duluth Holdings, Inc. (a)		1,322		25,766
El Pollo Loco Holdings, Inc. (a)		2,363		31,522
Express, Inc. (a)		14,525		310,980
EZCORP, Inc. Class A (a)		9,205		27,339

	Number of Shares		Value
Fiesta Restaurant Group, Inc. (a)		4,615	$	151,280
The Finish Line, Inc. Class A		7,917		167,049
First Cash Financial Services, Inc.		4,848		223,299
Five Below, Inc. (a)		9,366		387,190
Flex Pharma, Inc. (a) (b)		987		10,827
Fogo De Chao, Inc. (a)		906		14,143
Francesca’s Holdings Corp. (a)		7,270		139,293
Fred’s, Inc. Class A		6,381		95,141
Freshpet, Inc. (a)		3,554		26,051
Genesco, Inc. (a)		3,797		274,333
Group 1 Automotive, Inc.		4,014		235,582
Guess?, Inc.		10,644		199,788
The Habit Restaurants, Inc. Class A (a) (b)		2,025		37,726
Haverty Furniture Cos., Inc.		3,480		73,637
Hibbett Sports, Inc. (a) (b)		3,916		140,584
HSN, Inc.		5,589		292,361
Insight Enterprises, Inc. (a)		6,664		190,857
J Alexander’s Holdings, Inc. (a)		2,364		24,964
Jack in the Box, Inc.		5,967		381,112
Jamba, Inc. (a) (b)		2,213		27,353
Kirkland’s, Inc.		2,974		52,075
Kona Grill, Inc. (a) (b)		1,509		19,541
Krispy Kreme Doughnuts, Inc. (a)		11,142		173,704
Lands’ End, Inc. (a) (b)		2,826		72,091
Lithia Motors, Inc. Class A		3,916		341,984
Lumber Liquidators Holdings, Inc. (a) (b)		4,659		61,126
MarineMax, Inc. (a)		4,381		85,298
Mattress Firm Holding Corp. (a) (b)		3,523		149,340
Movado Group, Inc.		2,753		75,790
Noodles & Co. (a)		2,020		23,957
Ollie’s Bargain Outlet Holdings, Inc. (a)		1,798		42,127
Papa John’s International, Inc.		4,724		255,994
Papa Murphy’s Holdings, Inc. (a) (b)		1,642		19,622
Party City Holdco, Inc. (a)		4,322		65,003
PC Connection, Inc.		1,864		48,110
Pier 1 Imports, Inc. (b)		14,564		102,094
Popeyes Louisiana Kitchen, Inc. (a)		3,984		207,407
Potbelly Corp. (a)		3,795		51,650
PriceSmart, Inc.		3,348		283,174
Red Robin Gourmet Burgers, Inc. (a)		2,429		156,598
Regis Corp. (a)		6,187		93,980
Restoration Hardware Holdings, Inc. (a) (b)		5,743		240,632
Ruby Tuesday, Inc. (a)		10,663		57,367
Rush Enterprises, Inc. Class A (a)		6,089		111,063
Ruth’s Hospitality Group, Inc.		5,995		110,368
Select Comfort Corp. (a)		8,494		164,699
Shake Shack, Inc. Class A (a) (b)		1,019		38,029
Shoe Carnival, Inc.		2,570		69,287
Sonic Automotive, Inc. Class A		5,124		94,691
Sonic Corp.		8,447		296,996

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

108

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Sportsman’s Warehouse Holdings, Inc. (a)		3,105	$	39,123
Stage Stores, Inc. (b)		5,482		44,185
Stein Mart, Inc.		5,161		37,830
Systemax, Inc. (a)		1,875		16,444
Tailored Brands, Inc.		8,311		148,767
Texas Roadhouse, Inc.		12,037		524,572
Tile Shop Holdings, Inc. (a)		4,659		69,466
Tilly’s, Inc. (a)		1,916		12,818
Titan Machinery, Inc. (a) (b)		3,036		35,096
Tuesday Morning Corp. (a)		7,571		61,931
Vera Bradley, Inc. (a) (b)		3,653		74,302
Vitamin Shoppe, Inc. (a) (b)		4,436		137,339
West Marine, Inc. (a)		3,192		29,015
Wingstop, Inc. (a)		1,194		27,080
Winmark Corp.		388		38,016
Zoe’s Kitchen, Inc. (a)		3,322		129,525
Zumiez, Inc. (a) (b)		3,418		68,087
				16,778,119
Storage & Warehousing — 0.1%
Mobile Mini, Inc.		7,881		260,230
Wesco Aircraft Holdings, Inc. (a)		10,600		152,534
				412,764
Textiles — 0.3%
Culp, Inc.		1,778		46,619
G&K Services, Inc. Class A		3,433		251,467
Tumi Holdings, Inc. (a)		9,646		258,706
UniFirst Corp.		2,553		278,583
				835,375
Toys, Games & Hobbies — 0.0%
JAKKS Pacific, Inc. (a) (b)		3,257		24,232
				37,862,063
Consumer, Non-cyclical — 20.5%
Agriculture — 0.3%
Alico, Inc. (b)		639		17,643
Limoneira Co. (b)		1,968		29,914
MGP Ingredients, Inc.		1,701		41,232
Tejon Ranch Co. (a)		2,360		48,545
The Andersons, Inc.		4,884		153,406
Universal Corp. (b)		3,883		220,593
Vector Group Ltd. (b)		14,753		336,959
				848,292
Beverages — 0.2%
The Boston Beer Co., Inc. Class A (a)		1,564		289,449
Coca-Cola Bottling Co. Consolidated		801		127,968
Craft Brew Alliance, Inc. (a)		1,759		14,477
Farmer Bros Co. (a)		1,308		36,454
National Beverage Corp. (a)		1,965		83,159
				551,507

	Number of Shares		Value
Biotechnology — 2.9%
Abeona Therapeutics, Inc. (a) (b)		1,961	$	5,020
Acceleron Pharma, Inc. (a)		4,213		111,181
Acorda Therapeutics, Inc. (a)		7,364		194,778
Aduro Biotech, Inc. (a) (b)		1,501		19,228
Advaxis, Inc. (a) (b)		5,214		47,082
Aegerion Pharmaceuticals, Inc. (a) (b)		4,135		15,300
Affimed NV (a) (b)		2,538		9,492
Affymetrix, Inc. (a)		13,297		186,291
Agenus, Inc. (a) (b)		13,143		54,675
Alder Biopharmaceuticals, Inc. (a)		4,025		98,572
AMAG Pharmaceuticals, Inc. (a)		5,937		138,926
ANI Pharmaceuticals, Inc. (a) (b)		1,374		46,249
Applied Genetic Technologies Corp. (a)		1,449		20,257
Arcadia Biosciences, Inc. (a) (b)		1,423		3,956
Ardelyx, Inc. (a)		3,761		29,223
Arena Pharmaceuticals, Inc. (a) (b)		41,663		82,076
ARIAD Pharmaceuticals, Inc. (a)		28,808		184,083
Assembly Biosciences, Inc. (a)		2,631		13,208
Asterias Biotherapeutics, Inc. (a) (b)		1,764		8,291
Atara Biotherapeutics, Inc. (a) (b)		2,921		55,587
Avalanche Biotechnologies, Inc. (a) (b)		3,439		17,780
Bellicum Pharmaceuticals, Inc. (a) (b)		1,370		12,810
BioCryst Pharmaceuticals, Inc. (a)		12,500		35,375
Biotime, Inc. (a) (b)		10,135		29,087
Blueprint Medicines Corp. (a)		1,659		29,945
Cambrex Corp. (a)		5,385		236,940
Celldex Therapeutics, Inc. (a) (b)		16,953		64,082
Cellular Biomedicine Group, Inc. (a)		1,664		31,034
Coherus Biosciences, Inc. (a)		4,058		86,151
Corium International, Inc. (a) (b)		1,659		6,404
CryoLife, Inc.		4,443		47,762
CTI BioPharma Corp. (a) (b)		33,772		17,946
Curis, Inc. (a)		18,913		30,450
Cytokinetics, Inc. (a) (b)		5,859		41,306
CytomX Therapeutics, Inc. (a) (b)		1,386		17,879
CytRx Corp. (a) (b)		11,174		29,946
Dermira, Inc. (a)		2,690		55,629
Dicerna Pharmaceuticals, Inc. (a) (b)		2,492		13,357
Dimension Therapeutics, Inc. (a) (b)		886		6,937
Dynavax Technologies Corp. (a) (b)		6,310		121,404
Edge Therapeutics, Inc. (a) (b)		1,345		12,307
Editas Medicine, Inc. (a)		1,167		40,308
Epizyme, Inc. (a)		6,920		83,870
Exact Sciences Corp. (a) (b)		16,504		111,237
Exelixis, Inc. (a) (b)		38,803		155,212
Fibrocell Science, Inc. (a) (b)		4,177		10,443
Five Prime Therapeutics, Inc. (a)		3,899		158,416
Foundation Medicine, Inc. (a) (b)		2,059		37,433
Galena Biopharma, Inc. (a) (b)		25,521		34,709
Genocea Biosciences, Inc. (a) (b)		3,881		30,039
Geron Corp. (a) (b)		27,221		79,485
Halozyme Therapeutics, Inc. (a) (b)		18,252		172,846

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

109

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Harvard Bioscience, Inc. (a)		6,092	$	18,398
Idera Pharmaceuticals, Inc. (a)		14,640		28,987
Immunogen, Inc. (a) (b)		14,839		126,428
Immunomedics, Inc. (a) (b)		16,597		41,493
Innoviva, Inc. (b)		14,642		184,343
Inovio Pharmaceuticals, Inc. (a) (b)		12,356		107,621
Insmed, Inc. (a)		10,586		134,125
Integra LifeSciences Holdings (a)		4,876		328,447
Ironwood Pharmaceuticals, Inc. (a)		21,670		237,070
Karyopharm Therapeutics, Inc. (a) (b)		3,976		35,466
Lexicon Pharmaceuticals, Inc. (a) (b)		7,145		85,383
Ligand Pharmaceuticals, Inc. Class B (a) (b)		3,018		323,198
Lion Biotechnologies, Inc. (a) (b)		7,940		40,335
Loxo Oncology, Inc. (a) (b)		1,566		42,814
MacroGenics, Inc. (a)		5,421		101,644
Merrimack Pharmaceuticals, Inc. (a) (b)		19,885		166,437
Momenta Pharmaceuticals, Inc. (a)		10,517		97,177
Myriad Genetics, Inc. (a)		11,947		447,176
NeoGenomics, Inc. (a)		9,204		62,035
NewLink Genetics Corp. (a) (b)		3,581		65,174
Nivalis Therapeutics, Inc. (a)		779		3,248
Novavax, Inc. (a) (b)		46,112		237,938
Omeros Corp. (a) (b)		6,504		99,771
Oncocyte Corp. (a) (b)		466		2,148
OncoMed Pharmaceuticals, Inc. (a)		2,892		29,238
Oncothyreon, Inc. (a) (b)		16,576		21,052
Organovo Holdings, Inc. (a) (b)		15,935		34,579
OvaScience, Inc. (a) (b)		4,104		38,947
Pacific Biosciences of California, Inc. (a)		11,979		101,821
Paratek Pharmaceuticals, Inc. (a) (b)		2,059		31,235
PDL BioPharma, Inc. (b)		28,251		94,076
Peregrine Pharmaceuticals, Inc. (a) (b)		38,150		16,042
Pfenex, Inc. (a)		2,872		28,232
Prothena Corp. PLC (a) (b)		5,810		239,140
PTC Therapeutics, Inc. (a) (b)		5,951		38,324
REGENXBIO, Inc. (a) (b)		1,332		14,386
Repligen Corp. (a)		5,653		151,613
Retrophin, Inc. (a) (b)		6,021		82,247
RTI Biologics, Inc. (a)		10,118		40,472
Sage Therapeutics, Inc. (a)		2,679		85,889
Sangamo Biosciences, Inc. (a) (b)		11,990		72,540
Second Sight Medical Products, Inc. (a) (b)		1,995		9,636
Sequenom, Inc. (a) (b)		20,702		29,190
Spark Therapeutics, Inc. (a) (b)		1,530		45,150
Spectrum Pharmaceuticals, Inc. (a)		11,522		73,280
Stemline Therapeutics, Inc. (a)		2,899		13,509
Theravance Biopharma, Inc. (a) (b)		4,904		92,195
Tobira Therapeutics, Inc. (a) (b)		457		3,738
Trovagene, Inc. (a) (b)		5,104		23,734
Ultragenyx Pharmaceutical, Inc. (a)		6,612		418,606

	Number of Shares		Value
Veracyte, Inc. (a) (b)		2,294	$	12,388
Verastem, Inc. (a)		5,077		8,022
Versartis, Inc. (a) (b)		3,976		31,888
XBiotech, Inc. (a)		594		5,613
XOMA Corp. (a) (b)		15,267		11,801
ZIOPHARM Oncology, Inc. (a) (b)		19,731		146,404
				8,243,847
Commercial Services — 5.4%
ABM Industries, Inc.		9,628		311,081
The Advisory Board Co. (a)		7,298		235,360
Alarm.com Holdings, Inc. (a) (b)		1,370		32,469
Albany Molecular Research, Inc. (a) (b)		4,301		65,762
American Public Education, Inc. (a)		2,824		58,259
AMN Healthcare Services, Inc. (a)		8,178		274,863
Apollo Education Group, Inc. (a)		16,226		133,297
Arrowhead Research Corp. (a) (b)		10,369		49,979
Barrett Business Services, Inc.		1,256		36,110
Bridgepoint Education, Inc. (a)		2,921		29,444
Bright Horizons Family Solutions, Inc. (a)		6,422		416,017
Cambium Learning Group, Inc. (a)		2,389		10,201
Capella Education Co.		2,098		110,439
Cardtronics, Inc. (a)		7,712		277,555
Care.com, Inc. (a) (b)		3,151		19,379
Career Education Corp. (a)		11,537		52,378
Carriage Services, Inc. (b)		2,625		56,726
CBIZ, Inc. (a)		8,493		85,694
CDI Corp.		2,338		14,683
CEB, Inc.		5,754		372,456
Chemed Corp.		2,937		397,817
Cimpress NV (a) (b)		5,643		511,764
Civeo Corp. (a)		18,454		22,698
Collectors Universe		1,282		21,281
Convergys Corp.		16,986		471,701
Corvel Corp. (a)		1,479		58,302
CPI Card Group, Inc. (b)		3,019		24,877
CRA International, Inc. (a)		1,537		30,187
Cross Country Healthcare, Inc. (a)		5,544		64,477
Deluxe Corp.		8,587		536,602
DeVry Education Group, Inc. (b)		10,958		189,245
Electro Rent Corp.		2,850		26,391
Euronet Worldwide, Inc. (a)		8,922		661,209
Everi Holdings, Inc. (a)		11,707		26,809
EVERTEC, Inc.		11,306		158,058
ExamWorks Group, Inc. (a)		7,109		210,142
Exlservice Holdings, Inc. (a)		5,722		296,400
Exponent, Inc.		4,465		227,760
Forrester Research, Inc.		1,728		58,078
Franklin Covey Co. (a)		2,169		38,153
FTI Consulting, Inc. (a)		7,155		254,074
Grand Canyon Education, Inc. (a)		8,093		345,895
Great Lakes Dredge & Dock Co. (a)		10,436		46,544

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

110

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Green Dot Corp. Class A (a)		7,885	$	181,118
H&E Equipment Services, Inc.		5,366		94,066
The Hackett Group, Inc.		4,113		62,188
Healthcare Services Group, Inc.		12,288		452,321
HealthEquity, Inc. (a)		6,236		153,842
Heartland Payment Systems, Inc.		6,293		607,715
Heidrick & Struggles International, Inc.		3,150		74,655
Hill International, Inc. (a)		6,564		22,121
Hillenbrand, Inc.		10,822		324,119
HMS Holdings Corp. (a)		14,451		207,372
Huron Consulting Group, Inc. (a)		3,708		215,768
ICF International, Inc. (a)		3,356		115,346
INC Research Holdings, Inc. Class A (a)		2,230		91,898
Insperity, Inc.		2,776		143,602
James River Group Holdings Ltd.		1,888		60,907
K12, Inc. (a)		5,802		57,382
Kelly Services, Inc. Class A		5,106		97,627
Kforce, Inc.		4,239		83,000
Korn/Ferry International		8,669		245,246
Landauer, Inc.		1,654		54,698
LendingTree, Inc. (a) (b)		1,078		105,407
Liberty Tax, Inc.		1,075		21,059
LifeLock, Inc. (a)		16,224		195,824
McGrath RentCorp		4,111		103,104
Medifast, Inc.		1,874		56,576
MoneyGram International, Inc. (a)		4,992		30,551
Monro Muffler Brake, Inc.		5,470		390,941
Monster Worldwide, Inc. (a)		15,385		50,155
Multi-Color Corp.		2,171		115,823
National Research Corp. Class A		1,721		26,761
Navigant Consulting, Inc. (a)		8,288		131,033
Neff Corp. Class A (a) (b)		1,820		13,541
NV5 Global, Inc. (a) (b)		848		22,752
On Assignment, Inc. (a)		8,895		328,403
PAREXEL International Corp. (a)		9,486		595,057
Patriot National, Inc. (a) (b)		1,350		10,395
Paylocity Holding Corp. (a) (b)		2,663		87,187
Pendrell Corp. (a)		25,925		13,740
PFSweb, Inc. (a)		2,000		26,240
PHH Corp. (a)		7,641		95,818
The Providence Service Corp. (a)		2,181		111,384
Quad/Graphics, Inc.		4,938		63,898
Rent-A-Center, Inc.		9,118		144,520
Resources Connection, Inc.		6,454		100,424
RPX Corp. (a)		9,330		105,056
ServiceSource International, Inc. (a) (b)		10,306		43,903
Sotheby’s		9,539		254,977
SP Plus Corp. (a)		2,878		69,245
Strayer Education, Inc. (a)		1,886		91,942
Team Health Holdings, Inc. (a)		12,388		517,942
Team, Inc. (a)		4,971		151,019
TeleTech Holdings, Inc.		2,779		77,145
TriNet Group, Inc. (a)		7,079		101,584

	Number of Shares		Value
TrueBlue, Inc. (a)		7,213	$	188,620
Universal Technical Institute, Inc.		3,524		15,188
Vectrus, Inc. (a)		1,809		41,155
Viad Corp.		3,444		100,427
Volt Information Sciences, Inc. (a)		1,640		12,349
Weight Watchers International, Inc. (a) (b)		4,749		69,003
				15,345,755
Cosmetics & Personal Care — 0.1%
Elizabeth Arden, Inc. (a) (b)		4,545		37,223
Inter Parfums, Inc.		2,923		90,321
Revlon, Inc. Class A (a)		1,980		72,092
				199,636
Foods — 2.1%
Amplify Snack Brands, Inc. (a) (b)		2,643		37,848
B&G Foods, Inc.		10,776		375,113
Cal-Maine Foods, Inc. (b)		5,387		279,639
Calavo Growers, Inc.		2,535		144,647
The Chefs’ Warehouse, Inc. (a)		3,243		65,800
Dean Foods Co. (b)		16,236		281,207
Fairway Group Holdings Corp. (a) (b)		3,094		1,083
Fresh Del Monte Produce, Inc.		5,730		241,061
The Fresh Market, Inc. (a)		7,415		211,550
Ingles Markets, Inc. Class A		2,295		86,062
Inventure Foods, Inc. (a) (b)		3,262		18,430
J&J Snack Foods Corp.		2,562		277,413
John B Sanfilippo & Son, Inc.		1,430		98,799
Lancaster Colony Corp.		3,186		352,276
Lifeway Foods, Inc. (a)		753		8,155
Performance Food Group Co. (a) (b)		2,869		66,991
Post Holdings, Inc. (a)		10,592		728,412
Sanderson Farms, Inc.		3,856		347,734
Seaboard Corp. (a)		45		135,135
Seneca Foods Corp. Class A (a)		1,313		45,614
Senomyx, Inc. (a) (b)		7,848		20,405
Smart & Final Stores, Inc. (a)		4,176		67,651
Snyders-Lance, Inc.		11,914		375,053
SpartanNash Co.		6,467		196,015
SUPERVALU, Inc. (a)		45,033		259,390
Tootsie Roll Industries, Inc. (b)		3,294		115,076
TreeHouse Foods, Inc. (a)		9,701		841,562
United Natural Foods, Inc. (a)		8,613		347,104
Village Super Market Class A		1,213		29,306
Weis Markets, Inc.		1,893		85,299
				6,139,830
Health Care – Products — 3.6%
Abaxis, Inc.		3,878		176,022
ABIOMED, Inc. (a)		7,179		680,641
Accelerate Diagnostics, Inc. (a)		4,292		61,676
Accuray, Inc. (a) (b)		13,597		78,591
AngioDynamics, Inc. (a)		4,329		53,203
AtriCure, Inc. (a) (b)		4,881		82,147

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

111

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Atrion Corp.		244	$	96,468
BioTelemetry, Inc. (a)		4,653		54,347
Cantel Medical Corp.		5,907		421,524
Cardiovascular Systems, Inc. (a)		5,545		57,502
Cepheid, Inc. (a)		12,349		411,963
Cerus Corp. (a) (b)		16,408		97,299
ConforMIS, Inc. (a) (b)		1,703		18,307
CONMED Corp.		4,747		199,089
Cutera, Inc. (a)		2,199		24,739
Cynosure Inc. Class A (a)		3,811		168,141
EndoChoice Holdings, Inc. (a)		1,019		5,309
Endologix, Inc. (a)		12,632		105,604
Entellus Medical, Inc. (a)		906		16,480
Exactech, Inc. (a)		1,704		34,523
GenMark Diagnostics, Inc. (a)		7,257		38,244
Genomic Health, Inc. (a)		3,064		75,895
Glaukos Corp. (a) (b)		1,199		20,215
Globus Medical, Inc. Class A (a)		11,804		280,345
Haemonetics Corp. (a)		8,891		311,007
Halyard Health, Inc. (a)		8,004		229,955
HeartWare International, Inc. (a) (b)		2,969		93,286
ICU Medical, Inc. (a)		2,431		253,067
Inogen, Inc. (a)		2,706		121,716
Insulet Corp. (a)		9,759		323,608
Intersect ENT, Inc. (a)		2,850		54,150
Invacare Corp. (b)		5,568		73,331
InVivo Therapeutics Holdings Corp. (a) (b)		4,642		32,401
Invuity, Inc. (a) (b)		713		5,148
iRadimed Corp. (a) (b)		486		9,312
K2M Group Holdings, Inc. (a)		3,044		45,143
Lantheus Holdings, Inc. (a)		1,901		3,593
LDR Holding Corp. (a) (b)		4,357		111,060
LeMaitre Vascular, Inc.		2,103		32,639
LivaNova PLC (a)		7,633		412,029
Luminex Corp. (a)		7,386		143,288
Masimo Corp. (a)		7,522		314,720
Medgenics, Inc. (a) (b)		4,012		17,653
Meridian Bioscience, Inc.		7,172		147,815
Merit Medical Systems, Inc. (a)		7,573		140,025
MiMedx Group, Inc. (a) (b)		18,687		163,324
NanoString Technologies, Inc. (a) (b)		2,329		35,447
Natus Medical, Inc. (a)		5,671		217,937
Navidea Biopharmaceuticals, Inc. (a) (b)		24,913		23,530
Novocure Ltd. (a) (b)		1,518		21,981
NuVasive, Inc. (a)		8,318		404,671
Nuvectra Corp. (a)		1,410		7,628
NxStage Medical, Inc. (a)		10,878		163,061
Ocular Therapeutix, Inc. (a) (b)		2,672		25,812
OraSure Technologies, Inc. (a)		9,701		70,138
Orthofix International NV (a)		3,227		133,985
Oxford Immunotec Global PLC (a) (b)		3,403		33,724
Penumbra, Inc. (a)		777		35,742

	Number of Shares		Value
Quidel Corp. (a)		4,950	$	85,437
Rockwell Medical Technologies, Inc. (a) (b)		8,713		65,435
SeaSpine Holdings Corp. (a)		1,425		20,862
Sientra, Inc. (a) (b)		1,419		9,706
The Spectranetics Corp. (a)		7,290		105,851
Staar Surgical Co. (a) (b)		6,677		49,343
STERIS PLC		14,653		1,041,096
SurModics, Inc. (a)		2,267		41,735
Tandem Diabetes Care, Inc. (a) (b)		3,069		26,731
TransEnterix, Inc. (a) (b)		7,914		33,634
Unilife Corp. (a) (b)		20,557		13,979
Utah Medical Products, Inc.		655		40,964
Vascular Solutions, Inc. (a)		2,968		96,549
West Pharmaceutical Services, Inc.		12,373		857,696
Wright Medical Group NV (a)		15,352		254,843
Zeltiq Aesthetics, Inc. (a) (b)		5,543		150,548
				10,364,609
Health Care – Services — 1.9%
AAC Holdings, Inc. (a) (b)		1,343		26,578
Addus HomeCare Corp. (a)		1,100		18,909
Adeptus Health, Inc. (a) (b)		1,066		59,206
Air Methods Corp. (a) (b)		6,756		244,702
Alliance HealthCare Services, Inc. (a)		745		5,357
Almost Family, Inc. (a)		1,245		46,364
Amedisys, Inc. (a)		4,854		234,642
Amsurg Corp. (a)		9,280		692,288
Capital Senior Living Corp. (a)		5,069		93,878
Catalent, Inc. (a)		14,369		383,221
Civitas Solutions, Inc. (a)		1,975		34,424
The Ensign Group, Inc.		8,750		198,100
Five Star Quality Care, Inc. (a)		7,836		17,944
Genesis Healthcare, Inc. (a)		6,046		14,027
HealthSouth Corp.		15,738		592,221
Healthways, Inc. (a)		5,345		53,931
Invitae Corp. (a) (b)		1,349		13,800
Kindred Healthcare, Inc.		14,355		177,284
LHC Group, Inc. (a)		2,238		79,583
Magellan Health, Inc. (a)		4,292		291,556
Molina Healthcare, Inc. (a)		6,754		435,566
Natera, Inc. (a) (b)		1,784		16,984
National Healthcare Corp.		1,732		107,904
Nobilis Health Corp. (a) (b)		5,693		17,762
RadNet, Inc. (a)		5,786		27,946
Select Medical Holdings Corp.		18,057		213,253
Surgery Partners, Inc. (a)		2,675		35,471
Surgical Care Affiliates, Inc. (a)		3,702		171,329
T2 Biosystems, Inc. (a) (b)		1,947		19,197
Teladoc, Inc. (a) (b)		1,614		15,494
Triple-S Management Corp. Class B (a)		4,154		103,269
U.S. Physical Therapy, Inc.		2,132		106,024
Universal American Corp.		8,559		61,111

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

112

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Vocera Communications, Inc. (a)		4,424	$	56,406
WellCare Health Plans, Inc. (a)		7,576		702,674
				5,368,405
Household Products — 0.6%
Acco Brands Corp. (a)		18,893		169,659
Central Garden & Pet Co. Class A (a)		7,273		118,477
CSS Industries, Inc.		1,641		45,833
Ennis, Inc.		4,428		86,568
Helen of Troy Ltd. (a)		4,899		507,977
Prestige Brands Holdings, Inc. (a)		8,990		479,976
Skullcandy, Inc. (a)		3,542		12,610
WD-40 Co.		2,507		270,781
				1,691,881
Pharmaceuticals — 3.4%
Acadia Pharmaceuticals, Inc. (a) (b)		14,497		405,336
Achillion Pharmaceuticals, Inc. (a)		20,226		156,145
Aclaris Therapeutics, Inc. (a) (b)		1,046		19,822
Adamas Pharmaceuticals, Inc. (a) (b)		2,124		30,713
Aerie Pharmaceuticals, Inc. (a)		3,586		43,606
Agile Therapeutics, Inc. (a)		2,301		14,289
Aimmune Therapeutics, Inc. (a) (b)		1,870		25,357
Akebia Therapeutics, Inc. (a)		5,425		48,879
Alimera Sciences, Inc. (a) (b)		5,179		9,063
Amicus Therapeutics, Inc. (a) (b)		19,935		168,451
Amphastar Pharmaceuticals, Inc. (a)		5,451		65,412
Anacor Pharmaceuticals, Inc. (a)		7,050		376,822
Anika Therapeutics, Inc. (a)		2,516		112,516
Antares Pharma, Inc. (a) (b)		25,267		21,985
Anthera Pharmaceuticals, Inc. (a) (b)		6,969		25,228
Aralez Pharmaceuticals, Inc. (a) (b)		9,352		33,200
Aratana Therapeutics, Inc. (a) (b)		5,309		29,306
Array Biopharma, Inc. (a) (b)		24,333		71,782
aTyr Pharma, Inc. (a) (b)		890		3,507
Avexis, Inc. (a)		800		21,792
Axovant Sciences Ltd. (a) (b)		2,406		27,621
BioDelivery Sciences International, Inc. (a) (b)		8,347		26,961
BioScrip, Inc. (a) (b)		11,656		24,944
Biospecifics Technologies Corp. (a)		828		28,831
Calithera Biosciences, Inc. (a) (b)		1,892		10,747
Cara Therapeutics, Inc. (a)		3,415		21,241
Carbylan Therapeutics, Inc. (a) (b)		1,807		1,162
Catabasis Pharmaceuticals, Inc. (a) (b)		720		3,629
Catalyst Pharmaceuticals, Inc. (a)		12,257		14,341
Cempra, Inc. (a) (b)		6,042		105,856
ChemoCentryx, Inc. (a) (b)		4,575		11,392
Chiasma, Inc. (a)		1,352		12,384
Chimerix, Inc. (a) (b)		7,773		39,720
Cidara Therapeutics, Inc. (a) (b)		834		10,592
Clovis Oncology, Inc. (a) (b)		4,789		91,949
Collegium Pharmaceutical, Inc. (a) (b)		1,260		22,869
Concert Pharmaceuticals, Inc. (a)		2,677		36,568

	Number of Shares		Value
Corcept Therapeutics, Inc. (a) (b)		10,838	$	50,722
CorMedix, Inc. (a) (b)		6,084		16,123
DepoMed, Inc. (a) (b)		10,314		143,674
Diplomat Pharmacy, Inc. (a) (b)		6,223		170,510
Durect Corp. (a) (b)		19,861		26,812
Dyax Corp. (c)		23,469		-
Eagle Pharmaceuticals, Inc. (a) (b)		1,477		59,818
Emergent BioSolutions, Inc. (a)		5,226		189,965
Enanta Pharmaceuticals, Inc. (a) (b)		2,755		80,914
Endocyte, Inc. (a) (b)		6,536		20,262
Esperion Therapeutics, Inc. (a) (b)		2,322		39,265
FibroGen, Inc. (a)		8,236		175,344
Flexion Therapeutics, Inc. (a)		2,522		23,202
Foamix Pharmaceuticals Ltd. (a) (b)		3,898		25,415
Global Blood Therapeutics, Inc. (a)		1,137		18,033
Heron Therapeutics, Inc. (a) (b)		5,030		95,520
Heska Corp. (a)		962		27,417
Ignyta, Inc. (a)		3,682		24,927
Immune Design Corp. (a) (b)		1,960		25,480
Impax Laboratories, Inc. (a)		12,330		394,807
Infinity Pharmaceuticals, Inc. (a)		8,456		44,563
Insys Therapeutics, Inc. (a) (b)		4,050		64,759
Intra-Cellular Therapies, Inc. (a)		4,586		127,491
Keryx Biopharmaceuticals, Inc. (a) (b)		17,820		83,219
Kite Pharma, Inc. (a) (b)		5,572		255,810
La Jolla Pharmaceutical Co. (a) (b)		2,412		50,435
Lannett Co., Inc. (a) (b)		4,563		81,815
MannKind Corp. (a) (b)		42,445		68,336
The Medicines Co. (a)		11,388		361,797
Mirati Therapeutics, Inc. (a) (b)		2,015		43,121
MyoKardia, Inc. (a) (b)		987		10,571
NantKwest, Inc. (a) (b)		1,052		8,647
Natural Grocers by Vitamin Cottage, Inc. (a) (b)		1,519	��	32,309
Natural Health Trends Corp. (b)		1,379		45,714
Nature’s Sunshine Products, Inc.		1,724		16,550
Nektar Therapeutics (a)		22,613		310,929
Neogen Corp. (a)		6,372		320,830
Neos Therapeutics, Inc. (a) (b)		856		9,236
Neurocrine Biosciences, Inc. (a)		14,694		581,148
Nevro Corp. (a)		2,867		161,297
Northwest Biotherapeutics, Inc. (a) (b)		7,731		11,287
Nutraceutical International Corp. (a)		1,407		34,260
Omega Protein Corp. (a)		3,736		63,288
Omthera Pharmaceuticals, Inc. (c)		428		-
Ophthotech Corp. (a)		4,078		172,377
Orexigen Therapeutics, Inc. (a) (b)		16,576		9,327
Osiris Therapeutics, Inc. (b)		3,171		18,106
Otonomy, Inc. (a)		3,229		48,177
Pacira Pharmaceuticals, Inc. (a)		6,268		332,079
Pernix Therapeutics Holdings (a) (b)		6,881		7,225
PetMed Express, Inc. (b)		3,467		62,094
PharMerica Corp. (a)		5,227		115,569

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

113

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Phibro Animal Health Corp. Class A		3,000	$	81,120
Portola Pharmaceuticals, Inc. (a)		8,591		175,256
PRA Health Sciences, Inc. (a)		3,421		146,282
Progenics Pharmaceuticals, Inc. (a)		12,047		52,525
Proteon Therapeutics, Inc. (a) (b)		1,267		9,807
Radius Health, Inc. (a) (b)		5,684		178,705
Raptor Pharmaceutical Corp. (a)		13,848		63,701
Regulus Therapeutics, Inc. (a) (b)		5,012		34,733
Relypsa, Inc. (a) (b)		5,607		75,975
Revance Therapeutics, Inc. (a) (b)		3,178		55,488
Rigel Pharmaceuticals, Inc. (a)		14,841		30,869
Sagent Pharmaceuticals, Inc. (a)		3,801		46,258
Sarepta Therapeutics, Inc. (a) (b)		7,701		150,324
SciClone Pharmaceuticals, Inc. (a)		8,518		93,698
Seres Therapeutics, Inc. (a)		1,453		38,592
Sorrento Therapeutics, Inc. (a) (b)		4,797		25,808
Sucampo Pharmaceuticals, Inc. Class A (a)		4,315		47,163
Supernus Pharmaceuticals, Inc. (a)		5,904		90,036
Synergy Pharmaceuticals, Inc. (a)		17,418		48,074
Synta Pharmaceuticals Corp. (a) (b)		14,379		3,451
Synutra International, Inc. (a) (b)		3,539		17,589
Teligent, Inc. (a) (b)		7,339		35,961
TESARO, Inc. (a) (b)		4,004		176,296
Tetraphase Pharmaceuticals, Inc. (a)		6,154		28,493
TG Therapeutics, Inc. (a) (b)		6,093		51,912
TherapeuticsMD, Inc. (a) (b)		24,727		158,253
Threshold Pharmaceuticals, Inc. (a)		10,377		4,773
Tokai Pharmaceuticals, Inc. (a) (b)		1,579		8,858
Trevena, Inc. (a)		5,552		45,915
USANA Health Sciences, Inc. (a) (b)		911		110,614
Vanda Pharmaceuticals, Inc. (a)		7,200		60,192
Vitae Pharmaceuticals, Inc. (a) (b)		2,314		15,342
Vital Therapies, Inc. (a) (b)		3,657		33,169
VIVUS, Inc. (a) (b)		18,224		25,514
Voyager Therapeutics, Inc. (a) (b)		914		7,979
vTv Therapeutics, Inc. Class A (a) (b)		953		4,917
Xencor, Inc. (a)		4,894		65,677
Xenoport, Inc. (a)		10,099		45,546
Zafgen, Inc. (a) (b)		2,748		18,357
Zogenix, Inc. (a)		4,330		40,009
Zynerba Pharmaceuticals, Inc. (a) (b)		535		5,056
				9,742,881
				58,496,643
Diversified — 0.3%
Holding Company – Diversified — 0.3%
FCB Financial Holdings, Inc. Class A (a)		4,808		159,914
HRG Group, Inc. (a)		13,530		188,473
Liberty TripAdvisor Holdings, Inc. Class A (a)		12,865		285,088
National Bank Holdings Corp. Class A		5,157		105,151

	Number of Shares		Value
Primoris Services Corp.		6,672	$	162,130
Resource America, Inc. Class A		2,616		15,094
Tiptree Financial, Inc. Class A		5,051		28,791
				944,641
Energy — 2.3%
Coal — 0.1%
Cloud Peak Energy, Inc. (a) (b)		10,742		20,947
Hallador Energy Co. (b)		2,076		9,487
Peabody Energy Corp. (b)		3,063		7,106
SunCoke Energy, Inc.		11,221		72,937
Westmoreland Coal Co. (a) (b)		3,204		23,101
				133,578
Energy – Alternate Sources — 0.3%
Clean Energy Fuels Corp. (a) (b)		12,373		36,253
Enphase Energy, Inc. (a) (b)		4,467		10,408
FuelCell Energy, Inc. (a) (b)		4,153		28,116
FutureFuel Corp.		4,218		49,730
Green Plains Renewable Energy, Inc.		6,527		104,171
Headwaters, Inc. (a)		12,685		251,670
Pacific Ethanol, Inc. (a) (b)		5,292		24,767
Pattern Energy Group, Inc. (b)		9,598		183,034
Plug Power, Inc. (a) (b)		29,828		61,147
Renewable Energy Group, Inc. (a)		7,550		71,272
REX American Resources Corp. (a) (b)		999		55,415
Solazyme, Inc. (a) (b)		13,957		28,333
Sunrun, Inc. (a) (b)		3,096		20,062
TerraForm Global, Inc. Class A		7,130		16,969
Vivint Solar, Inc. (a) (b)		3,364		8,915
				950,262
Oil & Gas — 1.3%
Abraxas Petroleum Corp. (a) (b)		16,894		17,063
Adams Resources & Energy, Inc.		362		14,473
Alon USA Energy, Inc. (b)		5,403		55,759
Approach Resources Inc. (a) (b)		6,070		7,041
Atwood Oceanics, Inc. (b)		11,120		101,970
Bill Barrett Corp. (a) (b)		8,605		53,523
Bonanza Creek Energy, Inc. (a) (b)		8,897		14,146
Callon Petroleum Co. (a)		16,536		146,344
Carrizo Oil & Gas, Inc. (a)		10,029		310,097
Clayton Williams Energy, Inc. (a) (b)		971		8,661
Contango Oil & Gas Co. (a)		3,077		36,278
Delek US Holdings, Inc.		9,866		150,358
Earthstone Energy, Inc. (a) (b)		248		3,003
Eclipse Resources Corp. (a) (b)		7,655		11,023
Energy XXI Ltd. (b)		15,251		9,500
Erin Energy Corp. (a) (b)		2,052		3,858
Evolution Petroleum Corp.		4,359		21,185
EXCO Resources, Inc. (a) (b)		27,304		27,006
Fairmount Santrol Holdings, Inc. (a) (b)		11,286		28,328
Gastar Exploration, Inc. (a) (b)		13,149		14,464
Halcon Resources Corp. (a) (b)		13,454		12,931
Isramco, Inc. (a) (b)		160		13,072

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

114

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Jones Energy, Inc. Class A (a) (b)		4,887	$	16,274
Matador Resources Co. (a) (b)		13,754		260,776
North Atlantic Drilling Ltd. (a) (b)		1,095		3,000
Northern Oil and Gas, Inc. (a) (b)		10,641		42,458
Oasis Petroleum, Inc. (a) (b)		31,067		226,168
Panhandle Oil and Gas, Inc. Class A		2,866		49,610
Par Pacific Holdings, Inc. (a)		2,764		51,853
Parker Drilling Co. (a)		21,008		44,537
Parsley Energy, Inc. Class A (a)		17,190		388,494
PDC Energy, Inc. (a)		7,946		472,390
Rex Energy Corp. (a) (b)		7,823		6,010
RSP Permian, Inc. (a)		11,292		327,920
Sanchez Energy Corp. (a)		8,944		49,102
SemGroup Corp. Class A		7,551		169,142
Seventy Seven Energy, Inc. (a) (b)		9,683		5,617
Stone Energy Corp. (a)		9,418		7,440
Synergy Resources Corp. (a) (b)		20,525		159,479
TransAtlantic Petroleum Ltd. (a)		4,514		3,385
Trecora Resources (a)		3,415		32,852
Triangle Petroleum Corp. (a) (b)		6,872		3,727
Ultra Petroleum Corp. (a) (b)		24,297		12,100
Unit Corp. (a)		8,691		76,568
W&T Offshore, Inc. (a) (b)		5,706		12,496
Western Refining, Inc.		12,235		355,916
				3,837,397
Oil & Gas Services — 0.6%
Archrock, Inc.		11,979		95,832
Basic Energy Services, Inc. (a) (b)		7,327		20,223
C&J Energy Services Ltd. (a) (b)		9,960		14,044
CARBO Ceramics, Inc. (b)		3,377		47,953
Exterran Corp. (a)		5,965		92,219
Flotek Industries, Inc. (a) (b)		9,201		67,443
Forum Energy Technologies, Inc. (a)		10,188		134,482
Geospace Technologies Corp. (a) (b)		2,346		28,950
Helix Energy Solutions Group, Inc. (a)		18,214		101,998
Hornbeck Offshore Services, Inc. (a) (b)		5,498		54,595
Independence Contract Drilling, Inc. (a) (b)		2,754		13,137
ION Geophysical Corp. (a)		1,632		13,187
Key Energy Services, Inc. (a) (b)		19,611		7,244
Matrix Service Co. (a)		4,591		81,261
Natural Gas Services Group, Inc. (a)		2,232		48,278
Newpark Resources, Inc. (a)		14,448		62,415
Oil States International, Inc. (a)		8,868		279,519
Pioneer Energy Services Corp. (a)		11,062		24,336
SEACOR Holdings, Inc. (a) (b)		2,953		160,791
Tesco Corp.		6,725		57,902
TETRA Technologies, Inc. (a)		13,689		86,925
Thermon Group Holdings, Inc. (a)		5,518		96,896
Tidewater, Inc. (b)		8,096		55,296
				1,644,926
				6,566,163

	Number of Shares		Value
Financial — 25.7%
Banks — 8.5%
1st Source Corp.		2,805	$	89,311
Access National Corp.		1,274		25,263
Allegiance Bancshares, Inc. (a) (b)		472		8,671
American National Bankshares, Inc.		1,532		38,806
Ameris Bancorp		5,531		163,607
Ames National Corp. (b)		1,639		40,582
Arrow Financial Corp.		1,939		51,519
BancFirst Corp.		1,249		71,230
Banco Latinoamericano de Comercio Exterior SA		5,173		125,290
The Bancorp, Inc. (a)		5,788		33,107
BancorpSouth, Inc.		16,611		353,980
Bank Mutual Corp.		8,009		60,628
Bank of Marin Bancorp		1,030		50,697
Bank of the Ozarks, Inc.		13,416		563,070
Banner Corp.		3,602		151,428
Bar Harbor Bankshares		1,006		33,419
BBCN Bancorp, Inc.		13,682		207,830
Blue Hills Bancorp, Inc.		4,811		65,766
BNC Bancorp		5,139		108,536
Boston Private Financial Holdings, Inc.		14,281		163,517
Bridge Bancorp, Inc.		2,555		77,851
Bryn Mawr Bank Corp.		3,061		78,760
C1 Financial, Inc. (a)		1,059		25,628
Camden National Corp.		1,284		53,928
Capital Bank Financial Corp. Class A		3,626		111,862
Capital City Bank Group, Inc.		1,917		27,969
Cardinal Financial Corp.		5,533		112,597
Cascade Bancorp (a)		5,448		31,108
Cass Information Systems, Inc.		1,965		102,868
Cathay General Bancorp		13,746		389,424
Centerstate Banks, Inc.		7,809		116,276
Central Pacific Financial Corp.		3,948		85,948
Century Bancorp, Inc. Class A		613		23,852
Chemical Financial Corp.		5,798		206,931
Citizens & Northern Corp.		2,098		41,708
City Holding Co.		2,615		124,945
CNB Financial Corp.		2,514		44,221
CoBiz Financial, Inc.		6,241		73,769
Columbia Banking System, Inc.		9,912		296,567
Community Bank System, Inc.		7,341		280,500
Community Trust Bancorp, Inc.		2,686		94,870
CommunityOne Bancorp (a)		2,046		27,171
ConnectOne Bancorp, Inc.		5,141		84,055
CU Bancorp (a)		2,884		61,054
Customers Bancorp, Inc. (a)		4,600		108,698
CVB Financial Corp.		18,267		318,759
Eagle Bancorp, Inc. (a)		5,145		246,960
Enterprise Bancorp, Inc.		1,346		35,319
Enterprise Financial Services Corp.		3,422		92,531
Equity Bancshares, Inc. Class A (a)		347		7,287

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

115

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
F.N.B. Corp.		34,904	$	454,101
Farmers Capital Bank Corp.		1,260		33,289
Fidelity Southern Corp.		3,068		49,211
Financial Institutions, Inc.		2,432		70,698
First BanCorp (a)		20,006		58,418
First Bancorp		3,382		63,751
First Bancorp, Inc.		1,801		35,138
First Busey Corp.		4,135		84,685
First Business Financial Services, Inc.		1,464		33,570
First Citizens BancShares, Inc. Class A		1,325		332,668
First Commonwealth Financial Corp.		15,323		135,762
First Community Bancshares, Inc.		2,878		57,100
First Connecticut Bancorp, Inc.		2,791		44,544
First Financial Bancorp		10,607		192,835
First Financial Bankshares, Inc. (b)		11,034		326,386
First Financial Corp.		1,896		64,862
First Interstate BancSystem, Inc. Class A		3,370		94,798
First Merchants Corp.		6,958		164,000
First Midwest Bancorp, Inc.		13,375		241,017
First NBC Bank Holding Co. (a)		2,653		54,625
The First of Long Island Corp.		2,107		60,050
FirstMerit Corp.		28,518		600,304
Franklin Financial Network, Inc. (a)		962		25,974
Fulton Financial Corp.		30,391		406,632
German American Bancorp Inc.		2,562		82,496
Glacier Bancorp, Inc.		12,989		330,180
Great Southern Bancorp, Inc.		1,802		66,908
Great Western Bancorp, Inc.		7,106		193,781
Green Bancorp, Inc. (a)		2,378		18,001
Guaranty Bancorp		2,559		39,562
Hampton Roads Bankshares, Inc. (a) (b)		6,371		11,277
Hancock Holding Co.		13,408		307,848
Hanmi Financial Corp.		5,490		120,890
Heartland Financial USA, Inc.		3,250		100,067
Heritage Commerce Corp.		4,274		42,783
Heritage Financial Corp.		5,185		91,100
Heritage Oaks Bancorp		3,990		31,082
Home Bancshares, Inc.		9,820		402,129
Horizon Bancorp		1,964		48,550
IBERIABANK Corp.		6,571		336,895
Independent Bank Corp.		3,941		57,342
Independent Bank Corp.		4,493		206,498
Independent Bank Group, Inc.		1,669		45,731
International Bancshares Corp.		9,312		229,634
Kearny Financial Corp.		16,072		198,489
Lakeland Bancorp, Inc.		6,513		66,107
Lakeland Financial Corp.		2,852		130,565
LegacyTexas Financial Group, Inc.		8,192		160,973
Live Oak Bancshares, Inc. (b)		879		13,185
MainSource Financial Group, Inc.		3,719		78,434
MB Financial, Inc.		12,919		419,222
Mercantile Bank Corp.		2,891		64,816
Merchants Bancshares, Inc.		871		25,904

	Number of Shares		Value
MidWestOne Financial Group, Inc.		1,365	$	37,469
National Bankshares, Inc. (b)		1,164		39,948
National Commerce Corp. (a) (b)		1,010		23,846
National Penn Bancshares, Inc.		24,130		256,743
NBT Bancorp, Inc.		7,558		203,688
Northwest Bancshares, Inc.		17,421		235,358
OFG Bancorp (b)		7,668		53,599
Old National Bancorp		20,147		245,592
Old Second Bancorp, Inc. (a)		4,954		35,520
Opus Bank		1,789		60,826
Pacific Continental Corp.		3,361		54,213
Park National Corp.		2,243		201,870
Park Sterling Corp.		8,327		55,541
Peapack Gladstone Financial Corp.		2,689		45,444
Penns Woods Bancorp, Inc. (b)		802		30,909
People’s Utah Bancorp		446		7,060
Peoples Bancorp, Inc.		3,161		61,766
Peoples Financial Services Corp.		1,307		48,620
Pinnacle Financial Partners, Inc.		6,172		302,798
Preferred Bank		2,005		60,651
PrivateBancorp, Inc.		13,522		521,949
Prosperity Bancshares, Inc.		12,050		558,999
QCR Holdings, Inc.		2,038		48,606
Renasant Corp.		6,912		227,474
Republic Bancorp, Inc. Class A		1,707		44,092
S&T Bancorp, Inc.		5,987		154,225
Sandy Spring Bancorp, Inc.		4,234		117,832
Seacoast Banking Corp. of Florida (a)		4,081		64,439
ServisFirst Bancshares, Inc.		3,830		170,052
Sierra Bancorp		2,082		37,788
Simmons First National Corp. Class A		5,133		231,344
South State Corp.		4,159		267,133
Southside Bancshares, Inc.		4,358		113,613
Southwest Bancorp, Inc.		3,284		49,424
State Bank Financial Corp.		6,128		121,089
Stock Yards Bancorp, Inc.		2,534		97,635
Stonegate Bank		1,913		57,313
Suffolk Bancorp		2,027		51,161
Sun Bancorp, Inc. /NJ (a)		1,613		33,405
Talmer Bancorp, Inc. Class A		8,752		158,324
Texas Capital Bancshares, Inc. (a)		7,876		302,281
Tompkins Financial Corp.		2,573		164,672
Towne Bank		7,822		150,104
Trico Bancshares		3,895		98,621
Tristate Capital Holdings, Inc. (a)		3,705		46,683
Triumph Bancorp, Inc. (a)		2,555		40,446
Trustco Bank Corp.		16,310		98,839
Trustmark Corp.		11,634		267,931
UMB Financial Corp.		6,773		349,690
Umpqua Holdings Corp.		37,950		601,887
Union Bankshares Corp.		7,753		190,956
United Bankshares, Inc. (b)		11,946		438,418
United Community Banks, Inc.		9,155		169,093

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

116

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Univest Corp. of Pennsylvania		3,363	$	65,612
Valley National Bancorp		40,026		381,848
Walker & Dunlop, Inc. (a)		4,553		110,501
Washington Trust Bancorp, Inc.		2,550		95,166
Webster Financial Corp.		15,621		560,794
WesBanco, Inc.		6,612		196,443
West Bancorporation, Inc.		2,774		50,570
Westamerica Bancorp. (b)		4,394		214,032
Western Alliance Bancorp (a)		14,793		493,790
Wilshire Bancorp, Inc.		12,132		124,960
Wintrust Financial Corp.		8,158		361,726
Yadkin Financial Corp.		7,413		175,466
				24,332,427
Diversified Financial — 2.3%
Altisource Asset Management Corp. (a) (b)		133		1,569
Altisource Portfolio Solutions SA (a) (b)		2,301		55,569
Altisource Residential Corp. (b)		9,839		118,068
Ashford, Inc. (a)		188		8,571
Associated Capital Group, Inc. Class A (a)		1,086		30,430
BGC Partners, Inc. Class A		31,520		285,256
Calamos Asset Management, Inc. Class A		3,011		25,563
Cohen & Steers, Inc.		3,484		135,597
Cowen Group, Inc. Class A (a) (b)		19,168		73,030
Diamond Hill Investment Group, Inc.		515		91,340
Ellie Mae, Inc. (a)		5,058		458,457
Encore Capital Group, Inc. (a) (b)		4,476		115,212
Enova International, Inc. (a)		4,629		29,209
Evercore Partners, Inc. Class A		5,955		308,171
Federal Agricultural Mortgage Corp. Class C		1,802		67,989
Fifth Street Asset Management, Inc. (b)		855		2,616
Financial Engines, Inc. (b)		8,920		280,356
FNFV Group (a)		12,359		134,095
Gain Capital Holdings, Inc.		5,566		36,513
GAMCO Investors, Inc. Class A		1,095		40,581
Greenhill & Co., Inc.		5,043		111,955
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		6,580		126,468
Houlihan Lokey, Inc.		2,085		51,916
Impac Mortgage Holdings, Inc. (a) (b)		1,536		21,304
INTL. FCStone, Inc. (a)		2,589		69,204
Investment Technology Group, Inc.		5,886		130,081
Janus Capital Group, Inc.		25,254		369,466
The JG Wentworth Co. Class A (a) (b)		2,509		3,061
KCG Holdings, Inc. Class A (a)		5,854		69,955
Ladder Capital Corp.		7,519		93,612

	Number of Shares		Value
Ladenburg Thalmann Financial Services, Inc. (a) (b)		18,460	$	46,150
MarketAxess Holdings, Inc.		6,419		801,284
Marlin Business Services Corp.		1,544		22,095
Medley Management, Inc. Class A		1,060		5,830
Moelis & Co.		3,021		85,283
Nationstar Mortgage Holdings, Inc. (a) (b)		6,521		64,558
Nelnet, Inc. Class A		3,828		150,708
NewStar Financial, Inc. (a)		4,213		36,864
Ocwen Financial Corp. (a)		18,533		45,777
OM Asset Management Plc		4,254		56,791
On Deck Capital, Inc. (a)		1,929		15,027
Oppenheimer Holdings, Inc. Class A		1,757		27,725
Outerwall, Inc. (b)		2,971		109,897
PennyMac Financial Services, Inc. Class A (a)		2,256		26,531
Piper Jaffray Cos., Inc. (a)		2,291		113,542
PRA Group, Inc. (a) (b)		8,312		244,290
Pzena Investment Management, Inc. Class A		2,071		15,636
Regional Management Corp. (a)		1,901		32,526
Stifel Financial Corp. (a)		11,681		345,758
Stonegate Mortgage Corp. (a) (b)		2,449		14,057
Virtu Financial, Inc. Class A		3,270		72,300
Virtus Investment Partners, Inc.		1,179		92,092
WageWorks, Inc. (a)		6,147		311,100
Westwood Holdings Group, Inc.		1,323		77,594
WisdomTree Investments, Inc. (b)		19,628		224,348
World Acceptance Corp. (a)		1,219		46,224
				6,429,201
Diversified Financial Services — 0.1%
Blackhawk Network Holdings, Inc. (a)		9,339		320,327
ZAIS Group Holdings, Inc. (a)		608		2,955
				323,282
Insurance — 2.7%
Ambac Financial Group, Inc. (a)		7,743		122,339
American Equity Investment Life Holding Co.		14,009		235,351
AMERISAFE, Inc.		3,262		171,385
Argo Group International Holdings Ltd.		4,802		275,587
Atlas Financial Holdings, Inc. (a)		1,755		31,836
Baldwin & Lyons, Inc. Class B		1,639		40,336
Citizens, Inc. (a) (b)		8,440		61,106
CNO Financial Group, Inc.		31,984		573,153
Crawford & Co. Class B		5,019		32,523
Donegal Group, Inc. Class A		1,397		20,089
eHealth, Inc. (a)		3,130		29,391
EMC Insurance Group, Inc.		1,323		33,935
Employers Holdings, Inc.		5,485		154,348
Enstar Group Ltd. (a)		1,562		253,950

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

117

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Essent Group Ltd. (a)		9,562	$	198,890
FBL Financial Group, Inc. Class A		1,649		101,446
Federated National Holding Co.		2,454		48,246
Fidelity & Guaranty Life		1,936		50,801
First American Financial Corp.		18,647		710,637
Global Indemnity PLC (a)		1,443		44,921
Greenlight Capital Re Ltd. Class A (a)		4,972		108,340
Hallmark Financial Services, Inc. (a)		2,515		28,922
HCI Group, Inc.		1,476		49,151
Heritage Insurance Holdings, Inc.		4,251		67,888
Horace Mann Educators Corp.		7,074		224,175
Independence Holding Co.		1,185		18,865
Infinity Property & Casualty Corp.		1,973		158,826
Kemper Corp.		7,479		221,154
Maiden Holdings Ltd.		8,706		112,656
MBIA, Inc. (a)		20,193		178,708
MGIC Investment Corp. (a)		58,426		448,127
National General Holdings Corp.		6,895		148,863
National Interstate Corp.		1,213		36,293
National Western Life Group, Inc. Class A		383		88,331
The Navigators Group, Inc. (a)		1,824		152,979
NMI Holdings, Inc. Class A (a)		8,684		43,854
OneBeacon Insurance Group Ltd. Class A		3,893		49,558
Primerica, Inc. (b)		8,320		370,490
Radian Group, Inc.		31,179		386,620
RLI Corp.		7,428		496,636
Safety Insurance Group, Inc.		2,593		147,957
Selective Insurance Group, Inc.		9,792		358,485
State Auto Financial Corp. Class A		2,577		56,849
State National Cos., Inc.		5,364		67,586
Stewart Information Services Corp.		3,947		143,197
Third Point Reinsurance Ltd. (a)		14,517		165,058
Trupanion, Inc. (a) (b)		2,892		28,486
United Fire Group, Inc.		3,477		152,362
United Insurance Holdings Corp.		2,976		57,169
Universal Insurance Holdings, Inc. (b)		5,510		98,078
				7,855,933
Investment Companies — 0.0%
6D Global Technologies Inc (a) (b)		1,837		551
Arlington Asset Investment Corp. (b)		3,937		49,331
Caesars Acquisition Co. Class A (a)		8,044		49,229
Real Industry, Inc. (a)		4,268		37,132
				136,243
Real Estate — 0.9%
Alexander & Baldwin, Inc.		8,398		308,039
AV Homes, Inc. (a) (b)		2,046		23,243
Consolidated-Tomoka Land Co.		762		35,159
Forestar Real Esate Group, Inc. (a) (b)		5,774		75,293
FRP Holdings, Inc. (a)		1,209		43,040
The Geo Group, Inc.		12,841		445,197

	Number of Shares		Value
HFF, Inc. Class A		6,508	$	179,165
Hilltop Holdings, Inc. (a)		13,096		247,252
Kennedy-Wilson Holdings, Inc.		15,960		349,524
Marcus & Millichap, Inc. (a)		2,351		59,692
RE/MAX Holdings, Inc. Class A		2,025		69,457
The RMR Group, Inc. Class A (a)		1,175		29,387
Terreno Realty Corp.		7,386		173,202
The St. Joe Co. (a) (b)		9,479		162,565
Xenia Hotels & Resorts, Inc.		19,209		300,045
				2,500,260
Real Estate Investment Trusts (REITS) — 8.9%
Acadia Realty Trust		11,825		415,412
AG Mortgage Investment Trust, Inc.		4,883		63,821
Agree Realty Corp.		3,538		136,107
Alexander’s, Inc.		360		136,998
American Assets Trust, Inc.		6,386		254,929
American Capital Mortgage Investment Corp.		8,204		120,435
Anworth Mortgage Asset Corp.		17,415		81,154
Apollo Commercial Real Estate Finance, Inc. (b)		10,053		163,864
Apollo Residential Mortgage, Inc.		5,524		74,132
Ares Commercial Real Estate Corp.		4,656		50,983
Armada Hoffler Properties, Inc.		5,115		57,544
ARMOUR Residential REIT, Inc. (b)		6,312		135,897
Ashford Hospitality Prime, Inc.		4,742		55,339
Ashford Hospitality Trust		14,347		91,534
Bluerock Residential Growth REIT, Inc. (b)		3,307		35,980
Capstead Mortgage Corp.		16,497		163,155
CareTrust REIT, Inc.		8,278		105,131
Catchmark Timber Trust, Inc. Class A		6,791		73,547
Cedar Realty Trust, Inc.		14,617		105,681
Chatham Lodging Trust		6,587		141,159
Chesapeake Lodging Trust		10,261		271,506
Colony Capital, Inc. Class A		19,224		322,386
CorEnergy Infrastructure Trust, Inc. (b)		2,098		42,191
Coresite Realty Corp.		4,185		292,992
Cousins Properties, Inc.		37,235		386,499
CubeSmart		30,230		1,006,659
CYS Investments, Inc.		27,222		221,587
DCT Industrial Trust, Inc.		15,272		602,786
DiamondRock Hospitality Co.		34,524		349,383
DuPont Fabros Technology, Inc.		10,860		440,156
Dynex Capital, Inc. (b)		8,512		56,605
Easterly Government Properties, Inc.		2,398		44,411
Eastgroup Properties		5,551		335,114
Education Realty Trust, Inc.		10,871		452,234
EPR Properties		9,835		655,208
Equity One, Inc.		13,731		393,530
FelCor Lodging Trust, Inc.		24,653		200,182
First Industrial Realty Trust, Inc.		19,030		432,742

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

118

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
First Potomac Realty Trust		10,097	$	91,479
Franklin Street Properties Corp.		15,450		163,924
Getty Realty Corp.		4,372		86,697
Gladstone Commercial Corp.		3,796		62,178
Government Properties Income Trust (b)		12,098		215,949
Great Ajax Corp.		829		9,276
Hatteras Financial Corp.		16,656		238,181
Healthcare Realty Trust, Inc.		17,268		533,408
Hersha Hospitality Trust		7,921		169,034
Highwoods Properties, Inc.		16,176		773,375
Hudson Pacific Properties, Inc.		12,799		370,147
Independence Realty Trust, Inc.		5,601		39,879
InfraREIT, Inc. (a)		3,771		64,296
Invesco Mortgage Capital, Inc.		19,506		237,583
Investors Real Estate Trust		21,088		153,099
iStar, Inc. (a)		13,086		126,411
Kite Realty Group Trust		14,369		398,165
LaSalle Hotel Properties		19,432		491,824
Lexington Realty Trust		35,302		303,597
LTC Properties, Inc.		6,454		291,979
Mack-Cali Realty Corp.		15,322		360,067
Medical Properties Trust, Inc.		40,227		522,146
Monmouth Real Estate Investment Corp. Class A		10,839		128,876
Monogram Residential Trust, Inc.		28,636		282,351
National Health Investors, Inc.		6,461		429,786
National Storage Affiliates Trust		3,934		83,401
New Residential Investment Corp.		39,636		460,967
New Senior Investment Group, Inc.		14,126		145,498
New York Mortgage Trust, Inc. (b)		18,812		89,169
New York REIT, Inc.		27,926		282,053
NexPoint Residential Trust, Inc.		3,328		43,564
One Liberty Properties, Inc.		2,183		48,921
Orchid Island Capital, Inc. (b)		3,790		39,302
Parkway Properties, Inc.		14,542		227,728
Pebblebrook Hotel Trust		12,361		359,334
Pennsylvania Real Estate Investment Trust		11,885		259,687
PennyMac Mortgage Investment Trust		12,829		174,988
Physicians Realty Trust		18,672		346,926
Potlatch Corp.		6,996		220,374
Preferred Apartment Communities, Inc. Class A (b)		3,819		48,425
PS Business Parks, Inc.		3,350		336,708
QTS Realty Trust, Inc. Class A		4,802		227,519
RAIT Financial Trust		15,626		49,066
Ramco-Gershenson Properties Trust		13,609		245,370
Redwood Trust, Inc.		13,289		173,820
Resource Capital Corp. (b)		5,458		61,402
Retail Opportunity Investments Corp.		17,095		343,951
Rexford Industrial Realty, Inc.		9,507		172,647
RLJ Lodging Trust		21,540		492,835
Rouse Properties, Inc.		6,296		115,720

	Number of Shares		Value
Ryman Hospitality Properties, Inc.		7,479	$	385,019
Sabra Health Care REIT, Inc.		11,203		225,068
Saul Centers, Inc.		1,674		88,755
Select, Inc. REIT		10,772		248,295
Silver Bay Realty Trust Corp.		6,248		92,783
Sovran Self Storage, Inc.		6,768		798,286
STAG Industrial, Inc.		11,196		227,951
STORE Capital Corp.		6,968		180,332
Summit Hotel Properties, Inc.		15,001		179,562
Sun Communities, Inc.		8,710		623,723
Sunstone Hotel Investors, Inc.		35,893		502,502
UMH Properties, Inc.		4,152		41,188
United Development Funding IV (b) (c)		5,040		16,128
Universal Health Realty Income Trust		2,146		120,712
Urban Edge Properties		15,269		394,551
Urstadt Biddle Properties, Inc. Class A		4,778		100,099
Walter Investment Management Corp. (a) (b)		6,615		50,539
Washington Real Estate Investment Trust		11,710		342,049
Western Asset Mortgage Capital Corp. (b)		7,217		72,531
Whitestone REIT		4,625		58,136
				25,310,264
REITS — 0.5%
Colony Starwood Homes		6,566		162,508
CyrusOne, Inc.		12,587		574,597
Gramercy Property Trust		72,146		609,634
				1,346,739
Savings & Loans — 1.8%
Anchor BanCorp Wisconsin, Inc. (a)		1,315		59,254
Astoria Financial Corp.		15,486		245,298
Banc of California, Inc.		7,563		132,352
BankFinancial Corp.		3,233		38,214
BBX Capital Corp. Class A (a) (b)		449		7,166
Bear State Financial, Inc. (a) (b)		2,385		22,109
Beneficial Bancorp, Inc. (a)		14,195		194,330
Berkshire Hills Bancorp, Inc.		5,074		136,440
BofI Holding, Inc. (a) (b)		10,562		225,393
Brookline Bancorp, Inc.		12,037		132,527
BSB Bancorp, Inc. (a)		1,349		30,312
Capitol Federal Financial, Inc.		24,173		320,534
Charter Financial Corp.		2,623		35,410
Clifton Bancorp, Inc.		4,398		66,498
Dime Community Bancshares, Inc.		5,351		94,285
EverBank Financial Corp.		16,647		251,203
First Defiance Financial Corp.		1,588		60,995
Flagstar Bancorp, Inc. (a)		3,536		75,883
Flushing Financial Corp.		5,059		109,376
Fox Chase Bancorp, Inc.		2,037		39,355

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

119

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Hingham Institution for Savings		222	$	26,442
HomeStreet, Inc. (a)		4,223		87,881
HomeTrust Bancshares, Inc. (a)		3,295		60,397
Investors Bancorp, Inc.		56,427		656,810
Meridian Bancorp, Inc.		9,424		131,182
Meta Financial Group, Inc.		1,297		59,143
Northfield Bancorp, Inc.		8,029		131,997
OceanFirst Financial Corp. (b)		2,294		40,558
Oritani Financial Corp.		7,563		128,344
Pacific Premier Bancorp, Inc. (a)		4,699		100,418
Provident Financial Services, Inc.		11,268		227,501
Sterling Bancorp		20,616		328,413
Territorial Bancorp, Inc.		1,423		37,083
United Community Financial Corp.		8,563		50,265
United Financial Bancorp, Inc.		8,502		107,040
Washington Federal, Inc.		16,310		369,421
Waterstone Financial, Inc.		4,617		63,161
WSFS Financial Corp.		5,277		171,608
				5,054,598
				73,288,947
Industrial — 12.8%
Aerospace & Defense — 1.3%
AAR Corp.		6,101		141,970
Aerojet Rocketdyne Holdings, Inc. (a)		10,772		176,446
Aerovironment, Inc. (a)		3,390		96,005
Astronics Corp. (a)		3,789		144,550
Cubic Corp.		3,724		148,811
Curtiss-Wright Corp.		7,660		579,632
Ducommun, Inc. (a)		1,935		29,509
Esterline Technologies Corp. (a)		5,082		325,604
HEICO Corp.		3,309		198,970
HEICO Corp. Class A		6,866		326,822
Kaman Corp.		4,683		199,917
KLX, Inc. (a)		9,073		291,606
Kratos Defense & Security Solutions, Inc. (a)		7,773		38,476
M/A-COM Technology Solutions Holdings, Inc. (a) (b)		4,035		176,693
Moog, Inc. Class A (a)		6,313		288,378
Teledyne Technologies, Inc. (a)		6,079		535,803
				3,699,192
Building Materials — 1.3%
AAON, Inc.		7,033		196,924
Apogee Enterprises, Inc.		5,018		220,240
Boise Cascade Co. (a)		6,796		140,813
Builders FirstSource, Inc. (a)		8,716		98,229
Comfort Systems USA, Inc.		6,420		203,963
Continental Building Products, Inc. (a)		5,414		100,484
Drew Industries, Inc.		4,146		267,251
Gibraltar Industries, Inc. (a)		5,325		152,295

	Number of Shares		Value
Louisiana-Pacific Corp. (a)		24,497	$	419,389
LSI Industries, Inc.		3,633		42,688
Masonite International Corp. (a)		5,190		339,945
NCI Building Systems, Inc. (a)		4,661		66,186
Nortek, Inc. (a)		1,659		80,113
Patrick Industries, Inc. (a)		2,190		99,404
PGT, Inc. (a)		8,215		80,836	��
Ply Gem Holdings, Inc. (a)		3,766		52,912
Quanex Building Products Corp.		5,825		101,122
Simpson Manufacturing Co., Inc.		7,234		276,122
Summit Materials, Inc. Class A (a)		5,461		106,217
Trex Co., Inc. (a)		5,134		246,073
Universal Forest Products, Inc.		3,459		296,851
US Concrete, Inc. (a)		2,509		149,486
				3,737,543
Electrical Components & Equipment — 1.1%
Advanced Energy Industries, Inc. (a)		7,032		244,643
Belden, Inc.		7,336		450,284
Encore Wire Corp.		3,567		138,863
EnerSys		7,646		426,035
Generac Holdings, Inc. (a) (b)		11,895		442,970
General Cable Corp.		8,407		102,649
Graham Corp.		1,717		34,185
Greatbatch, Inc. (a)		4,392		156,531
Insteel Industries, Inc.		3,169		96,876
Littelfuse, Inc.		3,883		478,036
Powell Industries, Inc.		1,581		47,130
PowerSecure International Inc. (a)		3,865		72,237
Universal Display Corp. (a)		6,917		374,210
Vicor Corp. (a)		2,906		30,455
				3,095,104
Electronics — 2.4%
Allied Motion Technologies, Inc.		1,128		20,304
American Science & Engineering, Inc.		1,250		34,613
Analogic Corp.		2,134		168,607
Applied Optoelectronics, Inc. (a) (b)		2,930		43,686
AVX Corp.		7,912		99,454
Badger Meter, Inc.		2,490		165,610
Bel Fuse, Inc. Class B		1,780		25,988
Benchmark Electronics, Inc. (a)		9,013		207,750
Brady Corp. Class A		8,216		220,517
Checkpoint Systems, Inc. (a)		7,235		73,218
Coherent, Inc. (a)		4,099		376,698
Control4 Corp. (a) (b)		3,545		28,218
CTS Corp.		5,699		89,702
Daktronics, Inc.		6,631		52,385
Fabrinet (a)		6,093		197,109
Faro Technologies, Inc. (a)		2,988		96,243
FEI Co.		7,147		636,154
Fluidigm Corp. (a) (b)		4,888		39,446
II-VI, Inc. (a)		9,019		195,803
IMAX Corp. (a)		10,389		322,994

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

120

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Imprivata, Inc. (a) (b)		1,615	$	20,397
InvenSense, Inc. (a) (b)		13,330		111,972
Itron, Inc. (a)		6,614		275,936
Kimball Electronics, Inc. (a)		5,013		55,995
Knowles Corp. (a)		15,012		197,858
Mesa Laboratories, Inc. (b)		497		47,886
Methode Electronics, Inc.		6,597		192,896
Multi-Fineline Electronix, Inc. (a)		1,600		37,136
Newport Corp. (a)		6,855		157,665
NVE Corp.		852		48,164
OSI Systems, Inc. (a)		3,407		223,124
Park Electrochemical Corp.		3,506		56,131
Plexus Corp. (a)		5,780		228,426
Rofin-Sinar Technologies, Inc. (a)		4,844		156,074
Rogers Corp. (a)		3,203		191,764
Sanmina Corp. (a)		13,487		315,326
Sparton Corp. (a)		1,744		31,375
Stoneridge, Inc. (a)		4,810		70,034
Taser International, Inc. (a) (b)		9,196		180,518
TTM Technologies, Inc. (a)		10,158		67,551
Vishay Intertechnology, Inc.		23,292		284,395
Vishay Precision Group, Inc. (a)		2,182		30,570
Watts Water Technologies, Inc. Class A		4,846		267,160
Woodward, Inc.		10,647		553,857
Zagg, Inc. (a)		4,827		43,491
				6,940,200
Engineering & Construction — 0.7%
Aegion Corp. (a)		6,312		133,120
Argan, Inc.		2,232		78,477
Dycom Industries, Inc. (a) (b)		5,864		379,225
EMCOR Group, Inc.		10,794		524,588
Granite Construction, Inc.		6,770		323,606
McDermott International, Inc. (a)		41,018		167,764
Mistras Group, Inc. (a)		2,882		71,387
MYR Group, Inc. (a)		3,597		90,321
Orion Marine Group, Inc. (a)		4,660		24,139
Tutor Perini Corp. (a)		6,456		100,326
VSE Corp.		715		48,541
				1,941,494
Environmental Controls — 0.5%
Calgon Carbon Corp.		9,071		127,175
Casella Waste Systems, Inc. Class A (a)		6,807		45,607
Ceco Environmental Corp.		5,058		31,410
Darling International, Inc. (a)		28,420		374,291
Fenix Parts, Inc. (a)		2,292		10,543
Heritage-Crystal Clean, Inc. (a)		2,244		22,305
MSA Safety, Inc.		5,036		243,491
Tetra Technologies, Inc.		10,356		308,816
TRC Cos., Inc. (a)		3,006		21,794

	Number of Shares		Value
US Ecology, Inc.		3,724	$	164,452
				1,349,884
Hand & Machine Tools — 0.1%
Franklin Electric Co., Inc.		8,192		263,536
Milacron Holdings Corp. (a) (b)		2,528		41,687
				305,223
Machinery – Construction & Mining — 0.1%
Astec Industries, Inc.		3,258		152,051
Hyster-Yale Materials Handling, Inc.		1,630		108,558
				260,609
Machinery – Diversified — 0.8%
Alamo Group, Inc.		1,664		92,701
Albany International Corp. Class A		4,870		183,063
Altra Industrial Motion Corp.		4,537		126,038
Applied Industrial Technologies, Inc.		6,904		299,634
Briggs & Stratton Corp.		7,671		183,490
Chart Industries, Inc. (a)		5,255		114,139
Columbus McKinnon Corp.		3,479		54,829
DXP Enterprises, Inc. (a)		2,145		37,666
The ExOne Co. (a) (b)		1,735		22,798
The Gorman-Rupp Co.		3,276		84,947
Hurco Cos., Inc.		1,157		38,169
iRobot Corp. (a) (b)		5,109		180,348
Kadant, Inc.		1,884		85,081
Lindsay Corp. (b)		1,917		137,276
NACCO Industries, Inc. Class A		725		41,622
Power Solutions International, Inc. (a) (b)		750		10,350
Proto Labs, Inc. (a) (b)		4,007		308,900
Tennant Co.		3,168		163,089
Twin Disc, Inc.		1,385		14,030
				2,178,170
Manufacturing — 1.6%
Actuant Corp. Class A		10,246		253,179
American Railcar Industries, Inc. (b)		1,513		61,624
AZZ, Inc.		4,430		250,738
Barnes Group, Inc.		9,426		330,193
Blount International, Inc. (a)		8,366		83,493
The Brink’s Co.		8,361		280,846
Chase Corp.		1,189		62,529
CLARCOR, Inc.		8,628		498,612
Core Molding Technologies, Inc. (a)		1,395		17,410
EnPro Industries, Inc.		3,926		226,452
ESCO Technologies, Inc.		4,484		174,786
Federal Signal Corp.		10,753		142,585
FreightCar America, Inc.		2,077		32,360
GP Strategies Corp. (a)		2,241		61,403
Griffon Corp.		5,549		85,732
Handy & Harman Ltd. (a)		465		12,718
Harsco Corp.		13,778		75,090
John Bean Technologies Corp.		5,027		283,573

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

121

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Koppers Holdings, Inc. (a)		3,530	$	79,319
LSB Industries, Inc. (a)		3,394		43,273
Lydall, Inc. (a)		2,925		95,121
Matthews International Corp. Class A		5,667		291,680
Myers Industries, Inc.		4,205		54,076
NL Industries, Inc. (a)		1,343		3,035
Park-Ohio Holdings Corp.		1,510		64,658
Raven Industries, Inc.		6,500		104,130
Smith & Wesson Holding Corp. (a)		9,247		246,155
Standex International Corp.		2,197		170,949
Sturm, Ruger & Co., Inc.		3,215		219,842
Tredegar Corp.		4,304		67,659
Trimas Corp. (a)		7,792		136,516
Trinseo SA (a) (b)		1,969		72,479
				4,582,215
Metal Fabricate & Hardware — 0.9%
Advanced Drainage Systems, Inc. (b)		5,787		123,263
Circor International, Inc.		2,950		136,851
Commercial Metals Co.		19,904		337,771
Global Brass & Copper Holdings, Inc.		3,695		92,190
Haynes International, Inc.		2,139		78,074
L.B. Foster Co. Class A		1,786		32,434
Lawson Products, Inc. (a)		1,035		20,265
Mueller Industries, Inc.		9,797		288,228
Mueller Water Products, Inc. Class A		27,668		273,360
NN, Inc. (b)		4,624		63,256
Northwest Pipe Co. (a)		1,548		14,273
Omega Flex, Inc.		480		16,694
RBC Bearings, Inc. (a)		4,023		294,725
Rexnord Corp. (a)		17,519		354,234
Sun Hydraulics Corp.		3,906		129,640
TimkenSteel Corp.		6,868		62,499
Worthington Industries, Inc.		8,257		294,279
				2,612,036
Packaging & Containers — 0.3%
AEP Industries, Inc.		689		45,474
Berry Plastics Group, Inc. (a)		20,537		742,413
Greif, Inc. Class A		5,297		173,477
Multi Packaging Solutions International Ltd. (a)		3,297		53,510
				1,014,874
Transportation — 1.5%
Air Transport Services Group, Inc. (a)		9,073		139,543
ArcBest Corp.		4,466		96,421
Ardmore Shipping Corp.		3,195		26,998
Atlas Air Worldwide Holdings, Inc. (a)		4,299		181,719
Bristow Group, Inc.		5,990		113,331
CAI International, Inc. (a)		2,999		28,970
Celadon Group, Inc.		4,699		49,246
Covenant Transportation Group, Inc. Class A (a)		2,039		49,323
DHT Holdings, Inc.		15,973		92,005

	Number of Shares		Value
Dorian LPG Ltd. (a) (b)		4,351	$	40,899
Eagle Bulk Shipping, Inc. (a) (b)		3,545		1,276
Echo Global Logistics, Inc. (a)		5,094		138,353
Era Group, Inc. (a)		3,592		33,693
Forward Air Corp.		5,323		241,238
Frontline Ltd. (b)		8,213		68,743
GasLog Ltd. (b)		7,157		69,709
Gener8 Maritime, Inc. (a)		2,785		19,662
Golden Ocean Group Ltd. (a) (b)		10,568		7,345
GulfMark Offshore, Inc. Class A (a) (b)		4,407		27,191
Heartland Express, Inc. (b)		8,212		152,333
Hub Group, Inc. Class A (a)		6,203		253,020
Knight Transportation, Inc.		10,751		281,139
Marten Transport Ltd.		4,095		76,658
Matson, Inc.		7,485		300,673
Navios Maritime Acquisition Corp. (b)		14,721		23,406
Navios Maritime Holdings, Inc. (b)		14,032		15,856
Nordic American Offshore Ltd. (a) (b)		3,090		13,843
Nordic American Tanker Shipping Ltd. (b)		15,337		216,098
PAM Transportation Services, Inc. (a)		495		15,246
PHI, Inc. (a)		2,208		41,709
Radiant Logistics, Inc. (a)		5,514		19,685
Roadrunner Transportation Systems, Inc. (a)		4,834		60,232
Safe Bulkers, Inc.		6,218		4,996
Saia, Inc. (a)		4,314		121,439
Scorpio Bulkers, Inc. (a) (b)		7,687		25,213
Scorpio Tankers, Inc.		30,765		179,360
Ship Finance International Ltd. (b)		10,196		141,622
Swift Transportation Co. (a) (b)		15,147		282,189
Teekay Tankers Ltd. Class A		16,371		60,082
Ultrapetrol Bahamas Ltd. (a) (b)		1,663		449
Universal Truckload Services, Inc.		1,367		22,515
USA Truck, Inc. (a)		1,663		31,331
Werner Enterprises, Inc.		7,619		206,932
XPO Logistics, Inc. (a) (b)		12,302		377,671
YRC Worldwide, Inc. (a)		5,714		53,255
				4,402,617
Trucking & Leasing — 0.2%
Aircastle Ltd.		10,732		238,680
TAL International Group, Inc.		5,723		88,363
Textainer Group Holdings Ltd. (b)		3,805		56,466
The Greenbrier Cos., Inc. (b)		4,543		125,569
				509,078
				36,628,239

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

122

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Technology — 10.6%
Computers — 2.7%
A10 Networks, Inc. (a)		5,714	$	33,827
Agilysys, Inc. (a)		2,719		27,761
CACI International, Inc. Class A (a)		4,158		443,659
Carbonite, Inc. (a)		3,116		24,834
Ciber, Inc. (a)		13,532		28,552
Cray, Inc. (a)		7,022		294,292
Datalink Corp. (a)		3,600		32,904
Diebold, Inc.		11,158		322,578
Digimarc Corp. (a) (b)		1,344		40,723
Electronics for Imaging, Inc. (a)		8,072		342,172
Engility Holdings, Inc. (a)		3,083		57,837
FleetMatics Group PLC (a)		6,576		267,709
Imation Corp. (a) (b)		4,885		7,572
Immersion Corp. (a)		4,933		40,747
j2 Global, Inc.		8,292		510,621
The KEYW Holding Corp. (a) (b)		5,765		38,280
LivePerson, Inc. (a)		9,906		57,950
LogMeIn, Inc. (a)		4,236		213,749
Luxoft Holding, Inc. (a)		3,156		173,675
Manhattan Associates, Inc. (a)		12,692		721,794
MAXIMUS, Inc.		11,332		596,516
Mentor Graphics Corp.		15,841		322,047
Mercury Computer Systems, Inc. (a)		5,881		119,384
MTS Systems Corp.		2,562		155,898
NetScout Systems, Inc. (a)		15,828		363,569
Nimble Storage, Inc. (a) (b)		8,749		68,592
Pure Storage, Inc. Class A (a) (b)		4,952		67,793
Quantum Corp. (a)		31,745		19,364
Science Applications International Corp.		7,915		422,186
Silicon Graphics International Corp. (a) (b)		6,047		43,055
Silver Spring Networks, Inc. (a)		6,269		92,468
Stratasys Ltd. (a) (b)		8,761		227,085
Super Micro Computer, Inc. (a)		6,343		216,169
Sykes Enterprises, Inc. (a)		6,698		202,146
Synaptics, Inc. (a)		6,335		505,153
Syntel, Inc. (a)		5,388		269,023
Unisys Corp. (a) (b)		8,588		66,128
Varonis Systems, Inc. (a) (b)		1,593		29,072
Violin Memory, Inc. (a) (b)		14,515		7,580
Virtusa Corp. (a)		5,097		190,934
				7,665,398
Office Equipment/Supplies — 0.0%
ARC Document Solutions, Inc. (a)		7,157		32,206
Eastman Kodak Co. (a)		2,983		32,366
				64,572
Semiconductors — 3.1%
Advanced Micro Devices, Inc. (a) (b)		109,401		311,793
Alpha & Omega Semiconductor Ltd. (a)		3,362		39,840

	Number of Shares		Value
Ambarella, Inc. (a) (b)		5,390	$	240,933
Amkor Technology, Inc. (a)		17,007		100,171
Applied Micro Circuits Corp. (a)		13,915		89,891
Axcelis Technologies, Inc. (a)		19,504		54,611
Brooks Automation, Inc.		11,595		120,588
Cabot Microelectronics Corp.		4,251		173,908
Cascade Microtech, Inc. (a)		2,349		48,436
Cavium, Inc. (a)		9,513		581,815
Ceva, Inc. (a)		3,540		79,650
Cirrus Logic, Inc. (a)		10,908		397,160
Cohu, Inc.		4,462		53,009
Diodes, Inc. (a)		6,449		129,625
DSP Group, Inc. (a)		3,777		34,446
EMCORE Corp. (a)		3,554		17,770
Entegris, Inc. (a)		24,121		328,528
Exar Corp. (a)		6,623		38,082
Fairchild Semiconductor International, Inc. (a)		20,025		400,500
Formfactor, Inc. (a)		9,894		71,929
GSI Group, Inc. (a)		5,904		83,601
Inphi Corp. (a)		6,586		219,577
Integrated Device Technology, Inc. (a)		23,284		475,925
Intersil Corp. Class A		22,667		303,058
IXYS Corp.		4,250		47,685
Kopin Corp. (a)		11,543		19,161
Lattice Semiconductor Corp. (a) (b)		20,090		114,111
Mattson Technology, Inc. (a)		13,070		47,706
MaxLinear, Inc. Class A (a)		9,450		174,825
Microsemi Corp. (a)		18,683		715,746
MKS Instruments, Inc.		9,177		345,514
Monolithic Power Systems, Inc.		6,797		432,561
Nanometrics, Inc. (a)		4,125		65,340
Photronics, Inc. (a)		11,429		118,976
Power Integrations, Inc.		5,060		251,280
QLogic Corp. (a)		14,243		191,426
Rambus, Inc. (a)		19,858		273,048
Rovi Corp. (a)		14,216		291,570
Rudolph Technologies, Inc. (a)		5,491		75,007
Semtech Corp. (a)		11,415		251,016
Sigma Designs, Inc. (a)		6,128		41,670
Silicon Laboratories, Inc. (a)		7,344		330,186
Tessera Technologies, Inc.		9,051		280,581
Ultra Clean Holdings, Inc. (a)		5,409		28,992
Ultratech, Inc. (a)		4,744		103,609
Veeco Instruments, Inc. (a)		6,948		135,347
Xcerra Corp. (a)		9,374		61,119
				8,791,322
Software — 4.8%
2U, Inc. (a) (b)		4,522		102,197
ACI Worldwide, Inc. (a)		20,080		417,463
Actua Corp. (a)		6,975		63,124
Acxiom Corp. (a)		13,434		288,025
Amber Road, Inc. (a) (b)		3,015		16,311

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

123

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
American Software, Inc. Class A		4,313	$	38,817
Apigee Corp. (a) (b)		862		7,163
Appfolio, Inc. Class A (a) (b)		1,038		12,705
Aspen Technology, Inc. (a)		14,690		530,750
AVG Technologies NV (a)		7,047		146,225
Avid Technology, Inc. (a)		5,646		38,167
Benefitfocus, Inc. (a) (b)		1,330		44,355
Blackbaud, Inc.		8,061		506,956
Bottomline Technologies, Inc. (a)		7,040		214,650
BroadSoft, Inc. (a)		5,013		202,275
Callidus Software, Inc. (a)		9,507		158,577
Castlight Health, Inc. Class B (a)		5,579		18,578
Code Rebel Corp. (a) (b)		103		482
CommVault Systems, Inc. (a)		7,780		335,863
Computer Programs & Systems, Inc. (b)		1,947		101,478
Cornerstone OnDemand, Inc. (a)		9,275		303,942
CSG Systems International, Inc.		5,631		254,296
Cvent, Inc. (a)		4,021		86,049
Demandware, Inc. (a)		5,743		224,551
Digi International, Inc. (a)		4,331		40,841
Digital Turbine, Inc. (a) (b)		10,268		12,219
Ebix, Inc. (b)		4,610		188,042
Envestnet, Inc. (a)		6,661		181,179
EPAM Systems, Inc. (a)		8,411		628,049
EPIQ Systems, Inc.		5,560		83,511
Everyday Health, Inc. (a)		3,583		20,065
Evolent Health, Inc. Class A (a)		2,351		24,827
Fair Isaac Corp.		5,341		566,627
Five9, Inc. (a) (b)		3,994		35,507
Globant SA (a) (b)		2,627		81,069
Glu Mobile, Inc. (a) (b)		20,708		58,397
Guidance Software, Inc. (a)		3,075		13,223
Guidewire Software, Inc. (a)		12,067		657,410
Hortonworks, Inc. (a) (b)		1,524		17,221
HubSpot, Inc. (a)		3,236		141,154
Imperva, Inc. (a) (b)		4,821		243,460
inContact, Inc. (a)		10,576		94,021
Infoblox, Inc. (a)		10,297		176,079
InnerWorkings, Inc. (a)		6,446		51,246
Instructure, Inc. (a) (b)		901		16,164
Interactive Intelligence Group, Inc. (a)		2,976		108,386
Jive Software, Inc. (a)		8,251		31,189
ManTech International Corp. Class A		4,154		132,886
Medidata Solutions, Inc. (a)		9,510		368,132
MicroStrategy, Inc. Class A (a)		1,597		287,013
MINDBODY, Inc. Class A (a) (b)		1,263		16,836
MobileIron, Inc. (a)		6,482		29,299
Model N, Inc. (a)		3,669		39,515
Monotype Imaging Holdings, Inc.		6,887		164,737
New Relic, Inc. (a)		984		25,663
Omnicell, Inc. (a)		6,235		173,769
Park City Group, Inc. (a) (b)		1,738		15,712
Paycom Software, Inc. (a) (b)		5,428		193,237

	Number of Shares		Value
PDF Solutions, Inc. (a)		4,637	$	62,043
pdvWireless, Inc. (a)		2,233		76,681
Pegasystems, Inc.		6,143		155,909
Press Ganey Holdings, Inc. (a)		1,758		52,881
Progress Software Corp. (a)		8,703		209,916
Proofpoint, Inc. (a) (b)		6,780		364,628
PROS Holdings, Inc. (a)		4,049		47,738
QAD, Inc. Class A		1,718		36,508
QLIK Technologies, Inc. (a)		15,709		454,304
Quality Systems, Inc.		8,591		130,927
Qualys, Inc. (a)		4,274		108,175
RealPage, Inc. (a)		9,073		189,081
Rocket Fuel, Inc. (a) (b)		4,804		15,133
Sapiens International Corp. NV		4,134		49,525
SciQuest, Inc. (a)		4,741		65,805
Seachange International, Inc. (a)		5,647		31,171
Synchronoss Technologies, Inc. (a)		6,667		215,611
SYNNEX Corp.		4,944		457,765
Take-Two Interactive Software, Inc. (a)		14,554		548,249
Tangoe, Inc./CT (a)		6,726		53,068
TiVo, Inc. (a)		16,712		158,931
Tyler Technologies, Inc. (a)		5,792		744,909
Verint Systems, Inc. (a)		10,553		352,259
Workiva, Inc. (a) (b)		1,198		13,957
Xactly Corp. (a)		1,197		8,199
Xura, Inc. (a)		3,902		76,752
				13,709,809
				30,231,101
Utilities — 4.1%
Electric — 2.1%
Abengoa Yield plc (b)		8,443		150,117
Allete, Inc.		8,384		470,091
Ameresco, Inc. Class A (a)		3,261		15,555
Atlantic Power Corp. (b)		21,195		52,140
Avista Corp.		10,711		436,795
Black Hills Corp.		8,804		529,385
Cleco Corp.		10,405		574,460
Dynegy, Inc. (a)		20,739		298,019
El Paso Electric Co.		6,946		318,682
The Empire District Electric Co.		7,500		247,875
EnerNOC, Inc. (a) (b)		4,710		35,231
Genie Energy Ltd. Class B (b)		2,263		17,221
IDACORP, Inc.		8,659		645,875
MGE Energy, Inc.		5,962		311,515
NorthWestern Corp.		8,090		499,557
NRG Yield, Inc. Class A (b)		5,941		80,619
NRG Yield, Inc. Class C (b)		10,804		153,849
Ormat Technologies, Inc. (b)		6,402		264,018
Otter Tail Corp.		6,442		190,812
Portland General Electric Co.		15,273		603,131
Spark Energy, Inc. Class A		534		9,612

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

124

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Talen Energy Corp. (a)		14,363	$	129,267
Unitil Corp.		2,392		101,636
				6,135,462
Gas — 1.7%
Chesapeake Utilities Corp.		2,621		165,044
The Laclede Group, Inc.		7,447		504,534
New Jersey Resources Corp.		14,726		536,468
Northwest Natural Gas Co.		4,702		253,203
ONE Gas, Inc.		9,043		552,527
Piedmont Natural Gas Co., Inc.		13,549		810,637
PNM Resources, Inc.		13,704		462,099
South Jersey Industries, Inc.		11,773		334,942
Southwest Gas Corp.		8,055		530,422
WGL Holdings, Inc.		8,550		618,763
				4,768,639
Water — 0.3%
American States Water Co.		6,502		255,919
Artesian Resources Corp. Class A		1,359		37,998
California Water Service Group		8,236		220,066
Connecticut Water Service, Inc.		1,906		85,960
Consolidated Water Co., Inc.		2,536		30,863
Middlesex Water Co.		2,765		85,300
Pico Holdings, Inc. (a)		3,890		39,795
SJW Corp.		2,722		98,945
The York Water Co.		2,200		67,144
				921,990
				11,826,091
TOTAL COMMON STOCK  (Cost $294,572,952)				280,637,568
TOTAL EQUITIES (Cost $294,572,952)				280,637,568
WARRANTS — 0.0%
Consumer, Non-cyclical — 0.0%
Agriculture — 0.0%
Magnum Hunter Resources Corp., Expires 4/15/16 Strike 8.50 (a) (b) (c)		1,428		-
TOTAL WARRANTS (Cost $0)				-
RIGHTS — 0.0%
Consumer, Cyclical — 0.0%
Apparel — 0.0%
Vince Holding Corp. Expires 4/14/16 (a) (b) (c)		2,623		695
TOTAL RIGHTS  (Cost $0)				695

	Number of Shares		Value
MUTUAL FUNDS — 11.0%
Diversified Financial — 11.0%
State Street Navigator Securities Lending Prime Portfolio (d)		31,279,873	$	31,279,873
TOTAL MUTUAL FUNDS  (Cost $31,279,873)				31,279,873
TOTAL LONG-TERM INVESTMENTS (Cost $325,852,825)				311,918,136
	Principal Amount
SHORT-TERM INVESTMENTS — 1.5%
Repurchase Agreement — 1.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (e)	$	3,492,166		3,492,166
Time Deposit — 0.0%
Euro Time Deposit  0.010% 4/01/16		492		492
U.S. Treasury Bill — 0.3%
U.S. Treasury Bill (f) 0.000% 9/15/16		705,000		703,926
TOTAL SHORT-TERM INVESTMENTS  (Cost $4,196,676)				4,196,584
TOTAL INVESTMENTS — 110.7% (Cost $330,049,501) (g)				316,114,720
Other Assets/(Liabilities) — (10.7)%				(30,465,827	)
NET ASSETS — 100.0%			$	285,648,893

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $30,219,367 or 10.58% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2016, these securities amounted to a value of $16,823 or 0.01% of net assets.

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

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

125

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (continued)

(e) Maturity value of $3,492,167. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $3,563,496.

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

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

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

126

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

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 94.3%
COMMON STOCK — 94.0%
Basic Materials — 3.3%
Chemicals — 2.8%
Air Products & Chemicals, Inc.		169,000	$	24,344,450
Ashland, Inc.		107,000		11,765,720
Celanese Corp. Series A		194,000		12,707,000
RPM International, Inc.		380,000		17,985,400
The Sherwin-Williams Co.		47,796		13,606,087
				80,408,657
Mining — 0.5%
Franco-Nevada Corp. (a)		238,000		14,608,440
				95,017,097
Communications — 5.7%
Internet — 3.3%
Akamai Technologies, Inc. (b)		286,000		15,893,020
Cogent Communications Group, Inc.		150,519		5,874,757
Dropbox, Inc. (c)		32,717		354,325
Expedia, Inc.		55,770		6,013,121
LinkedIn Corp. Class A (b)		5,400		617,490
Match Group, Inc. (a) (b)		269,000		2,975,140
TripAdvisor, Inc. (b)		144,000		9,576,000
VeriSign, Inc. (a) (b)		481,000		42,587,740
Zillow Group, Inc. Class A (a) (b)		153,000		3,909,150
Zillow Group, Inc. Class C (a) (b)		296,000		7,024,080
				94,824,823
Media — 0.3%
FactSet Research Systems, Inc.		58,000		8,788,740
Telecommunications — 2.1%
DigitalGlobe, Inc. (b)		535,700		9,267,610
Harris Corp.		143,000		11,133,980
Palo Alto Networks, Inc. (b)		62,000		10,114,680
T-Mobile US, Inc. (b)		818,000		31,329,400
				61,845,670
				165,459,233
Consumer, Cyclical — 17.4%
Airlines — 0.3%
American Airlines Group, Inc.		242,613		9,949,559
Apparel — 0.9%
Carter’s, Inc.		30,550		3,219,359
Hanesbrands, Inc.		819,000		23,210,460
				26,429,819
Auto Manufacturers — 0.3%
Ferrari NV (a) (b)		144,000		6,004,800
Tesla Motors, Inc. (a) (b)		13,000		2,987,010
				8,991,810

	Number of Shares		Value
Automotive & Parts — 0.9%
BorgWarner, Inc.		481,000	$	18,470,400
WABCO Holdings, Inc. (b)		71,000		7,591,320
				26,061,720
Distribution & Wholesale — 0.6%
HD Supply Holdings, Inc. (b)		293,596		9,709,220
LKQ Corp. (b)		221,056		7,058,318
				16,767,538
Home Furnishing — 0.6%
Harman International Industries, Inc.		205,479		18,295,850
Leisure Time — 3.0%
Brunswick Corp.		187,264		8,984,927
Harley-Davidson, Inc.		185,000		9,496,050
Norwegian Cruise Line Holdings Ltd. (b)		719,000		39,753,510
Royal Caribbean Cruises Ltd.		300,205		24,661,841
Sabre Corp.		103,259		2,986,250
				85,882,578
Lodging — 1.9%
Choice Hotels International, Inc.		288,000		15,566,400
Marriott International, Inc. Class A (a)		384,000		27,333,120
MGM Resorts International (b)		640,760		13,737,894
				56,637,414
Retail — 8.5%
Advance Auto Parts, Inc.		49,703		7,969,379
AutoZone, Inc. (b)		48,000		38,241,120
CarMax, Inc. (a) (b)		742,000		37,916,200
Chipotle Mexican Grill, Inc. (b)		6,000		2,825,820
Dollar General Corp.		506,373		43,345,529
Dollar Tree, Inc. (b)		141,612		11,677,325
L Brands, Inc.		253,318		22,243,854
Lululemon Athletica, Inc. (b)		79,671		5,394,523
The Michaels Cos., Inc. (b)		601,000		16,809,970
O’Reilly Automotive, Inc. (b)		134,988		36,940,816
PVH Corp.		120,000		11,887,200
Ross Stores, Inc.		223,410		12,935,439
				248,187,175
Textiles — 0.4%
Cintas Corp.		113,201		10,166,582
				507,370,045
Consumer, Non-cyclical — 25.8%
Beverages — 0.4%
Brown-Forman Corp. Class B		76,407		7,523,797
Monster Beverage Corp. (b)		40,329		5,379,082
				12,902,879

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

127

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

	Number of Shares		Value
Biotechnology — 1.9%
Alkermes PLC (b)		590,741	$	20,197,435
Illumina, Inc. (b)		70,040		11,354,184
Incyte Corp. (b)		214,074		15,513,943
Vertex Pharmaceuticals, Inc. (b)		121,000		9,618,290
				56,683,852
Commercial Services — 10.3%
Alliance Data Systems Corp. (b)		45,930		10,104,600
Aramark		783,214		25,940,048
Bright Horizons Family Solutions, Inc. (b)		61,808		4,003,922
CoreLogic, Inc. (b)		483,000		16,760,100
Equifax, Inc.		404,392		46,217,962
Euronet Worldwide, Inc. (b)		162,519		12,044,283
Gartner, Inc. (b)		221,729		19,811,486
Genpact Ltd. (b)		133,780		3,637,478
Global Payments, Inc.		547,148		35,728,764
KAR Auction Services, Inc.		418,133		15,947,593
Manpower, Inc.		168,000		13,678,560
Moody’s Corp.		49,600		4,789,376
PAREXEL International Corp. (b)		127,931		8,025,112
ServiceMaster Global Holdings, Inc. (b)		283,000		10,663,440
TransUnion (b)		142,000		3,920,620
Vantiv, Inc. Class A (b)		715,903		38,572,854
Verisk Analytics, Inc. (b)		336,000		26,853,120
Wework Cos., Inc. Class A (c)		47,262		1,779,140
				298,478,458
Foods — 1.7%
Sprouts Farmers Market, Inc. (b)		479,000		13,910,160
TreeHouse Foods, Inc. (b)		144,000		12,492,000
WhiteWave Foods Co. (b)		432,000		17,556,480
Whole Foods Market, Inc.		214,000		6,657,540
				50,616,180
Health Care – Products — 6.2%
Bruker Corp.		903,000		25,284,000
C.R. Bard, Inc.		49,712		10,075,131
The Cooper Cos., Inc.		235,330		36,233,760
Dexcom, Inc. (b)		36,871		2,503,910
Henry Schein, Inc. (b)		182,000		31,418,660
Hologic, Inc. (b)		578,625		19,962,562
IDEXX Laboratories, Inc. (b)		135,000		10,573,200
Intuitive Surgical, Inc. (b)		43,000		25,845,150
STERIS PLC		123,260		8,757,623
West Pharmaceutical Services, Inc.		154,000		10,675,280
				181,329,276
Health Care – Services — 3.8%
Acadia Healthcare Co., Inc. (b)		191,000		10,526,010
Catalent, Inc. (b)		627,000		16,722,090
DENTSPLY SIRONA, Inc.		480,000		29,582,400

	Number of Shares		Value
Envision Healthcare Holdings, Inc. (b)		341,000	$	6,956,400
Humana, Inc.		24,131		4,414,767
MEDNAX, Inc. (b)		384,000		24,814,080
Universal Health Services, Inc. Class B		144,817		18,061,576
				111,077,323
Pharmaceuticals — 1.5%
Alnylam Pharmaceuticals, Inc. (b)		57,000		3,577,890
Baxalta, Inc.		335,000		13,534,000
BioMarin Pharmaceutical, Inc. (b)		29,688		2,448,666
Mallinckrodt PLC (b)		76,000		4,657,280
Mead Johnson Nutrition Co.		53,041		4,506,894
Medivation, Inc. (b)		102,697		4,722,008
Perrigo Co. PLC		67,994		8,698,472
				42,145,210
				753,233,178
Energy — 1.5%
Oil & Gas — 1.5%
Carrizo Oil & Gas, Inc. (b)		130,002		4,019,662
Cimarex Energy Co.		40,000		3,890,800
Concho Resources, Inc. (b)		94,000		9,497,760
EQT Corp.		337,000		22,666,620
Pioneer Natural Resources Co.		24,000		3,377,760
				43,452,602
Financial — 8.8%
Banks — 0.4%
Citizens Financial Group, Inc.		125,617		2,631,676
Signature Bank (b)		61,177		8,327,413
				10,959,089
Diversified Financial — 5.0%
CBOE Holdings, Inc.		390,000		25,478,700
E*TRADE Financial Corp. (b)		628,663		15,395,957
FNF Group		965,000		32,713,500
Intercontinental Exchange, Inc.		108,000		25,395,120
LPL Financial Holdings, Inc. (a)		142,000		3,521,600
The Nasdaq, Inc.		137,200		9,107,336
Raymond James Financial, Inc.		186,320		8,870,695
TD Ameritrade Holding Corp.		735,000		23,174,550
WisdomTree Investments, Inc. (a)		254,427		2,908,101
				146,565,559
Insurance — 2.8%
Aon PLC		115,567		12,070,973
The Progressive Corp.		748,000		26,284,720
Willis Towers Watson PLC		374,000		44,378,840
				82,734,533
Real Estate — 0.6%
Jones Lang LaSalle, Inc.		144,000		16,894,080
				257,153,261

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

128

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

	Number of Shares		Value
Industrial — 18.8%
Aerospace & Defense — 0.4%
Rockwell Collins, Inc.		115,000	$	10,604,150
Airlines — 0.2%
United Continental Holdings, Inc. (b)		96,802		5,794,568
Building Materials — 0.8%
Eagle Materials, Inc.		55,463		3,888,511
Martin Marietta Materials, Inc.		120,000		19,141,200
				23,029,711
Electrical Components & Equipment — 1.8%
Acuity Brands, Inc.		81,000		17,669,340
AMETEK, Inc.		437,000		21,841,260
Mobileye NV (a) (b)		321,192		11,977,250
				51,487,850
Electronics — 4.3%
Agilent Technologies, Inc.		674,000		26,858,900
Allegion PLC		367,000		23,381,570
Amphenol Corp. Class A		77,820		4,499,552
FEI Co.		200,000		17,802,000
IMAX Corp. (b)		117,620		3,656,806
Keysight Technologies, Inc. (b)		726,000		20,139,240
Mettler-Toledo International, Inc. (b)		22,000		7,584,720
Sensata Technologies Holding NV (b)		578,000		22,449,520
				126,372,308
Environmental Controls — 1.1%
Waste Connections, Inc.		499,798		32,281,953
Machinery – Diversified — 3.9%
Cognex Corp.		152,000		5,920,400
IDEX Corp.		402,000		33,317,760
The Middleby Corp. (b)		85,000		9,075,450
Roper Technologies, Inc.		236,584		43,240,457
Wabtec Corp.		86,837		6,885,306
Xylem, Inc.		358,000		14,642,200
				113,081,573
Manufacturing — 3.0%
Colfax Corp. (b)		365,000		10,435,350
Teleflex, Inc.		259,060		40,675,011
Textron, Inc.		958,000		34,928,680
				86,039,041
Metal Fabricate & Hardware — 0.1%
Rexnord Corp. (b)		185,000		3,740,700
Packaging & Containers — 0.8%
Ball Corp. (a)		338,000		24,096,020
Transportation — 2.4%
J.B. Hunt Transport Services, Inc.		325,195		27,394,427
Kansas City Southern		289,000		24,695,050

	Number of Shares		Value
Kirby Corp. (b)		98,119	$	5,915,594
Old Dominion Freight Line, Inc. (b)		191,000		13,297,420
				71,302,491
				547,830,365
Technology — 12.7%
Computers — 1.9%
Cadence Design Systems, Inc. (b)		452,895		10,679,264
Fortinet, Inc. (b)		189,443		5,802,639
IHS, Inc. Class A (b)		265,000		32,902,400
Jack Henry & Associates, Inc.		80,998		6,850,001
				56,234,304
Semiconductors — 2.9%
Analog Devices, Inc.		103,476		6,124,745
Atmel Corp.		1,603,000		13,016,360
Lam Research Corp.		82,547		6,818,382
Microchip Technology, Inc. (a)		601,000		28,968,200
NXP Semiconductor NV (b)		145,658		11,808,494
Qorvo, Inc. (b)		133,951		6,752,470
Xilinx, Inc.		241,000		11,430,630
				84,919,281
Software — 7.9%
Activision Blizzard, Inc.		338,669		11,460,559
Atlassian Corp. PLC Class A (c)		188,361		4,500,415
Atlassian Corp. PLC Class A (a) (b)		180,500		4,539,575
CDK Global, Inc.		210,715		9,808,783
Cerner Corp. (b)		57,034		3,020,521
Electronic Arts, Inc. (b)		221,705		14,656,917
Fair Isaac Corp.		65,619		6,961,520
Fidelity National Information Services, Inc.		241,000		15,257,710
Fiserv, Inc. (b)		572,000		58,675,760
Guidewire Software, Inc. (b)		35,000		1,906,800
IMS Health Holdings, Inc. (b)		455,000		12,080,250
MSCI, Inc.		286,000		21,186,880
NetSuite, Inc. (a) (b)		73,000		4,999,770
Red Hat, Inc. (b)		477,182		35,554,831
Servicenow, Inc. (b)		85,000		5,200,300
SS&C Technologies Holdings, Inc		192,000		12,176,640
Veeva Systems, Inc. Class A (a) (b)		285,000		7,136,400
				229,123,631
				370,277,216
TOTAL COMMON STOCK (Cost $2,244,281,795)				2,739,792,997
PREFERRED STOCK — 0.3%
Communications — 0.1%
Internet — 0.1%
Dropbox, Inc. Series A (b) (c)		40,629		440,012

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

129

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

	Number of Shares		Value
Dropbox, Inc. Series A 1 (b) (c)		199,577	$	2,161,419
Living Social (b) (c)		586,650		-
				2,601,431
Consumer, Non-cyclical — 0.2%
Commercial Services — 0.2%
Wework, Inc. Series D 1 (b) (c)		83,736		3,152,175
Wework, Inc. Series D 2 (b) (c)		65,792		2,476,687
				5,628,862
TOTAL PREFERRED STOCK (Cost $7,978,621)				8,230,293
TOTAL EQUITIES (Cost $2,252,260,416)				2,748,023,290
MUTUAL FUNDS — 6.1%
Diversified Financial — 6.1%
State Street Navigator Securities Lending Prime Portfolio (d)		146,793,565		146,793,565
T. Rowe Price Government Reserve Investment Fund		30,028,864		30,028,864
				176,822,429
TOTAL MUTUAL FUNDS (Cost $176,822,429)				176,822,429
TOTAL LONG-TERM INVESTMENTS (Cost $2,429,082,845)				2,924,845,719
	Principal Amount
SHORT-TERM INVESTMENTS — 4.3%
Repurchase Agreement — 4.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (e)	$	126,280,921		126,280,921
TOTAL SHORT-TERM INVESTMENTS (Cost $126,280,921)				126,280,921
TOTAL INVESTMENTS — 104.7% (Cost $2,555,363,766) (f)				3,051,126,640
Other Assets/(Liabilities) — (4.7)%				(138,194,091	)
NET ASSETS — 100.0%			$	2,912,932,549

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $143,433,795 or

4.92% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2016, these securities amounted to a value of $14,864,173 or 0.51% of net assets.

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

(e) Maturity value of $126,280,956. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 1.750%, maturity dates ranging from 9/30/19 – 11/30/19, and an aggregate market value, including accrued interest, of $128,811,915.

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

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

130

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.8%
COMMON STOCK — 95.4%
Basic Materials — 1.9%
Chemicals — 1.4%
Methanex Corp. (a)		45,180	$	1,451,182
Minerals Technologies, Inc.		40,758		2,317,092
Platform Specialty Products Corp. (a) (b)		187,036		1,608,510
PolyOne Corp.		44,400		1,343,100
				6,719,884
Forest Products & Paper — 0.5%
KapStone Paper and Packaging Corp.		176,219		2,440,633
				9,160,517
Communications — 3.1%
Internet — 1.6%
Dropbox, Inc. (b) (c)		28,181		305,200
GoDaddy, Inc. Class A (b)		34,895		1,128,155
Q2 Holdings, Inc. (b)		13,980		336,079
Shopify, Inc. Class A (a) (b)		47,030		1,326,716
Wayfair, Inc. Class A (b)		10,390		449,056
WebMD Health Corp. (b)		18,110		1,134,229
Zendesk, Inc. (a) (b)		81,577		1,707,407
Zillow Group, Inc. Class A (a) (b)		6,738		172,156
Zillow Group, Inc. Class C (a) (b)		54,845		1,301,472
				7,860,470
Media — 0.3%
The New York Times Co. Class A		133,530		1,663,784
Telecommunications — 1.2%
Arista Networks, Inc. (a) (b)		14,062		887,312
Ciena Corp. (b)		69,785		1,327,311
Infinera Corp. (b)		22,700		364,562
Ruckus Wireless, Inc. (b)		128,550		1,261,075
Vonage Holdings Corp. (b)		429,375		1,962,244
				5,802,504
				15,326,758
Consumer, Cyclical — 16.4%
Airlines — 0.5%
Allegiant Travel Co.		14,270		2,540,916
Apparel — 1.9%
G-III Apparel Group Ltd. (b)		73,917		3,613,802
Skechers U.S.A., Inc. Class A (b)		55,330		1,684,799
Steven Madden Ltd. (b)		106,948		3,961,354
				9,259,955
Automotive & Parts — 0.4%
Tenneco, Inc. (b)		39,070		2,012,496
Distribution & Wholesale — 1.6%
Beacon Roofing Supply, Inc. (b)		35,010		1,435,760
Core-Mark Holding Co., Inc.		19,820		1,616,519

	Number of Shares		Value
Pool Corp.		14,920	$	1,309,081
Watsco, Inc.		13,030		1,755,662
WESCO International, Inc. (a) (b)		27,947		1,527,863
				7,644,885
Entertainment — 1.5%
Cinemark Holdings, Inc.		52,330		1,874,984
DreamWorks Animation SKG, Inc. Class A (a) (b)		96,235		2,401,063
National CineMedia, Inc.		122,520		1,863,529
Vail Resorts, Inc.		10,090		1,349,033
				7,488,609
Home Builders — 0.2%
WCI Communities, Inc. (b)		42,880		796,711
Home Furnishing — 0.6%
American Woodmark Corp. (b)		12,670		945,055
La-Z-Boy, Inc.		63,170		1,689,166
				2,634,221
Leisure Time — 1.1%
ClubCorp Holdings, Inc.		117,090		1,643,944
Diamond Resorts International, Inc. (a) (b)		113,582		2,760,042
Lindblad Expeditions Holdings, Inc. (a) (b)		108,400		1,077,496
				5,481,482
Retail — 8.3%
Bloomin’ Brands, Inc.		109,240		1,842,879
Buffalo Wild Wings, Inc. (b)		4,870		721,344
Burlington Stores, Inc. (b)		37,710		2,120,810
Casey’s General Stores, Inc.		10,520		1,192,126
The Cheesecake Factory, Inc.		39,380		2,090,684
Chico’s FAS, Inc.		132,800		1,762,256
Columbia Sportswear Co.		21,970		1,320,177
Dave & Buster’s Entertainment, Inc. (b)		51,130		1,982,821
Destination Maternity Corp. (a)		81,890		560,128
Dick’s Sporting Goods, Inc.		38,834		1,815,490
DSW, Inc. Class A		76,930		2,126,345
Five Below, Inc. (b)		25,526		1,055,245
Haverty Furniture Cos., Inc.		46,484		983,602
HSN, Inc.		51,005		2,668,072
Jack in the Box, Inc.		16,193		1,034,247
Kate Spade & Co. (b)		133,550		3,408,196
Lithia Motors, Inc. Class A		25,310		2,210,322
The Michaels Cos., Inc. (b)		51,130		1,430,106
Panera Bread Co. Class A (b)		17,750		3,635,733
Papa John’s International, Inc.		47,570		2,577,818
Popeyes Louisiana Kitchen, Inc. (b)		16,950		882,417
Texas Roadhouse, Inc.		59,176		2,578,890
Wingstop, Inc. (b)		19,060		432,281
				40,431,989

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

131

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

	Number of Shares		Value
Textiles — 0.3%
Tumi Holdings, Inc. (b)		61,365	$	1,645,809
				79,937,073
Consumer, Non-cyclical — 24.5%
Biotechnology — 2.0%
BioCryst Pharmaceuticals, Inc. (a) (b)		9,230		26,121
Bluebird Bio, Inc. (b)		7,020		298,350
Cambrex Corp. (b)		14,600		642,400
Five Prime Therapeutics, Inc. (b)		45,228		1,837,614
Integra LifeSciences Holdings (b)		26,610		1,792,450
Ironwood Pharmaceuticals, Inc. (b)		47,358		518,096
Novavax, Inc. (a) (b)		129,668		669,087
PTC Therapeutics, Inc. (a) (b)		58,597		377,365
Repligen Corp. (b)		43,410		1,164,256
Ultragenyx Pharmaceutical, Inc. (b)		38,360		2,428,571
				9,754,310
Commercial Services — 7.5%
The Advisory Board Co. (b)		36,972		1,192,347
Bright Horizons Family Solutions, Inc. (b)		65,370		4,234,669
Cardtronics, Inc. (b)		61,000		2,195,390
Convergys Corp.		78,315		2,174,807
CoStar Group, Inc. (b)		41,829		7,870,963
Exlservice Holdings, Inc. (b)		21,010		1,088,318
Healthcare Services Group, Inc.		38,500		1,417,185
HealthEquity, Inc. (b)		67,760		1,671,639
Heartland Payment Systems, Inc.		19,773		1,909,479
INC Research Holdings, Inc. Class A (b)		26,380		1,087,120
Monro Muffler Brake, Inc.		20,400		1,457,988
On Assignment, Inc. (b)		25,090		926,323
Paylocity Holding Corp. (a) (b)		93,730		3,068,720
TransUnion (b)		48,500		1,339,085
WEX, Inc. (b)		34,011		2,835,157
WNS Holdings Ltd. Sponsored ADR (India) (b)		76,647		2,348,464
				36,817,654
Foods — 1.9%
Greencore Group PLC		708,044		3,804,677
J&J Snack Foods Corp.		12,710		1,376,239
Nomad Foods Ltd. (b)		68,252		614,951
Sanderson Farms, Inc.		22,590		2,037,166
Snyders-Lance, Inc.		50,390		1,586,277
				9,419,310
Health Care – Products — 5.7%
ABIOMED, Inc. (b)		13,540		1,283,727
Align Technology, Inc. (b)		18,542		1,347,818
AtriCure, Inc. (a) (b)		31,944		537,618
Bio-Techne Corp.		12,040		1,138,021
Cantel Medical Corp.		41,980		2,995,693
Cepheid, Inc. (b)		62,269		2,077,294

		Number of Shares		Value
Dexcom, Inc. (b)			53,699	$	3,646,699
Globus Medical, Inc. Class A (b)			86,515		2,054,731
Inogen, Inc. (b)			33,800		1,520,324
Insulet Corp. (b)			152,383		5,053,020
Intersect ENT, Inc. (a) (b)			41,480		788,120
K2M Group Holdings, Inc. (b)			24,030		356,365
Merit Medical Systems, Inc. (b)			48,330		893,622
NuVasive, Inc. (b)			21,710		1,056,191
STERIS PLC			9,920		704,816
West Pharmaceutical Services, Inc.			31,440		2,179,421
					27,633,480
Health Care – Services — 4.6%
Acadia Healthcare Co., Inc. (b)			96,972		5,344,127
Amsurg Corp. (b)			25,630		1,911,998
Centene Corp. (b)			33,980		2,092,149
Envision Healthcare Holdings, Inc. (b)			67,149		1,369,840
ICON PLC (b)			22,530		1,692,003
Kindred Healthcare, Inc.			156,795		1,936,418
LifePoint Health, Inc. (b)			51,058		3,535,766
Surgical Care Affiliates, Inc. (b)			45,530		2,107,128
WellCare Health Plans, Inc. (b)			24,705		2,291,389
					22,280,818
Household Products — 0.2%
Prestige Brands Holdings, Inc. (b)			17,070		911,367
Pharmaceuticals — 2.4%
Aerie Pharmaceuticals, Inc. (b)			36,734		446,685
Anacor Pharmaceuticals, Inc. (a) (b)			12,077		645,516
Diplomat Pharmacy, Inc. (a) (b)			30,830		844,742
Dyax Corp. (b) (c)			20,230		-
Galapagos NV (a) (b)			31,045		1,298,302
Neogen Corp. (b)			23,430		1,179,700
Neurocrine Biosciences, Inc. (b)			26,070		1,031,068
Otonomy, Inc. (b)			29,643		442,274
Portola Pharmaceuticals, Inc. (b)			17,050		347,820
TESARO, Inc. (a) (b)			43,327		1,907,688
VCA, Inc. (b)			63,210		3,646,585
					11,790,380
	��
Textiles — 0.2%
Samsonite International SA			367,370		1,226,726
					119,834,045
Diversified — 0.3%
Holding Company – Diversified — 0.3%
FCB Financial Holdings, Inc. Class A (b)			47,660		1,585,172
Energy — 4.4%
Energy – Alternate Sources — 1.9%
First Solar, Inc. (b)			45,384		3,107,442
Headwaters, Inc. (b)			220,872		4,382,100
Pattern Energy Group, Inc. (a)			84,650		1,614,276
					9,103,818

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

132

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

	Number of Shares		Value
Oil & Gas — 2.2%
Diamondback Energy, Inc. (b)		60,573	$	4,675,024
Parsley Energy, Inc. Class A (b)		27,543		622,472
Patterson-UTI Energy, Inc.		123,630		2,178,361
QEP Resources, Inc.		110,703		1,562,019
Western Refining, Inc.		57,200		1,663,948
				10,701,824
Oil & Gas Services — 0.3%
Forum Energy Technologies, Inc. (a) (b)		130,120		1,717,584
				21,523,226
Financial — 14.0%
Banks — 4.3%
Ameris Bancorp		52,430		1,550,879
Associated Banc-Corp.		171,166		3,070,718
ConnectOne Bancorp, Inc.		73,698		1,204,962
Great Western Bancorp, Inc.		59,440		1,620,929
Pinnacle Financial Partners, Inc.		29,960		1,469,838
PrivateBancorp, Inc.		79,686		3,075,880
Signature Bank (b)		9,820		1,336,698
South State Corp.		22,640		1,454,167
Texas Capital Bancshares, Inc. (b)		33,850		1,299,163
United Community Banks, Inc.		69,144		1,277,090
Western Alliance Bancorp (b)		112,777		3,764,496
				21,124,820
Diversified Financial — 3.2%
Cohen & Steers, Inc.		22,710		883,873
Ellie Mae, Inc. (b)		25,230		2,286,847
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		170,699		3,280,835
MarketAxess Holdings, Inc.		51,435		6,420,631
WageWorks, Inc. (b)		24,717		1,250,928
WisdomTree Investments, Inc. (a)		159,831		1,826,868
				15,949,982
Insurance — 2.3%
Argo Group International Holdings Ltd.		14,081		808,109
Assurant, Inc.		12,824		989,372
Assured Guaranty Ltd.		79,650		2,015,145
eHealth, Inc. (b)		68,792		645,957
First American Financial Corp.		55,617		2,119,564
Horace Mann Educators Corp.		52,657		1,668,700
MGIC Investment Corp. (b)		187,327		1,436,798
Stewart Information Services Corp.		48,440		1,757,403
				11,441,048
Real Estate — 1.1%
HFF, Inc. Class A		11,725		322,789
Hilltop Holdings, Inc. (b)		64,680		1,221,158
Kennedy-Wilson Holdings, Inc.		169,266		3,706,926
				5,250,873

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 2.3%
Coresite Realty Corp.		25,460	$	1,782,455
CubeSmart		28,800		959,040
LaSalle Hotel Properties		39,720		1,005,313
MFA Financial, Inc.		245,250		1,679,962
PS Business Parks, Inc.		19,390		1,948,889
Redwood Trust, Inc.		132,290		1,730,353
Rexford Industrial Realty, Inc.		17,500		317,800
Sovran Self Storage, Inc.		14,280		1,684,326
				11,108,138
REITS — 0.1%
CyrusOne, Inc.		9,980		455,587
Savings & Loans — 0.7%
EverBank Financial Corp.		31,518		475,607
Sterling Bancorp		179,667		2,862,095
				3,337,702
				68,668,150
Industrial — 13.9%
Aerospace & Defense — 1.5%
Astronics Corp. (b)		19,848		757,201
Curtiss-Wright Corp.		18,480		1,398,382
M/A-COM Technology Solutions Holdings, Inc. (a) (b)		71,390		3,126,168
Teledyne Technologies, Inc. (b)		21,980		1,937,317
				7,219,068
Building Materials — 2.9%
Apogee Enterprises, Inc.		30,020		1,317,578
Armstrong World Industries, Inc. (b)		35,760		1,729,711
Lennox International, Inc.		27,270		3,686,631
Masonite International Corp. (b)		92,313		6,046,502
US Concrete, Inc. (b)		27,500		1,638,450
				14,418,872
Electrical Components & Equipment — 1.0%
Generac Holdings, Inc. (a) (b)		48,562		1,808,449
SunPower Corp. (a) (b)		129,515		2,893,365
				4,701,814
Electronics — 0.7%
Rogers Corp. (b)		26,925		1,612,000
Watts Water Technologies, Inc. Class A		34,860		1,921,832
				3,533,832
Engineering & Construction — 0.2%
Dycom Industries, Inc. (a) (b)		13,730		887,919
Environmental Controls — 0.5%
Clean Harbors, Inc. (b)		50,300		2,481,802
Machinery – Construction & Mining — 0.3%
Astec Industries, Inc.		28,580		1,333,829
Machinery – Diversified — 1.7%
Altra Industrial Motion Corp.		53,344		1,481,896

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

133

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

	Number of Shares		Value
Applied Industrial Technologies, Inc.		18,000	$	781,200
Graco, Inc.		10,430		875,703
The Middleby Corp. (b)		36,648		3,912,907
Proto Labs, Inc. (b)		5,640		434,788
Zebra Technologies Corp. Class A (b)		9,600		662,400
				8,148,894
Manufacturing — 0.7%
John Bean Technologies Corp.		57,045		3,217,908
Metal Fabricate & Hardware — 0.5%
Advanced Drainage Systems, Inc. (a)		103,729		2,209,428
Miscellaneous – Manufacturing — 0.7%
A.O. Smith Corp.		45,900		3,502,629
Packaging & Containers — 0.7%
Berry Plastics Group, Inc. (b)		56,570		2,045,005
Graphic Packaging Holding Co.		125,855		1,617,237
				3,662,242
Transportation — 1.8%
Genesee & Wyoming, Inc. Class A (b)		26,700		1,674,090
Knight Transportation, Inc.		102,035		2,668,215
Landstar System, Inc.		41,214		2,662,836
Swift Transportation Co. (a) (b)		104,455		1,945,997
				8,951,138
Trucking & Leasing — 0.7%
Aircastle Ltd. (a)		78,160		1,738,278
GATX Corp. (a)		40,480		1,922,800
				3,661,078
				67,930,453
Technology — 16.7%
Computers — 2.0%
Cadence Design Systems, Inc. (b)		74,280		1,751,522
Manhattan Associates, Inc. (b)		62,389		3,548,062
MAXIMUS, Inc.		28,008		1,474,341
Pure Storage, Inc. Class A (a) (b)		14,988		205,186
Stratasys Ltd. (a) (b)		43,030		1,115,338
VeriFone Systems, Inc. (b)		26,600		751,184
Virtusa Corp. (b)		25,345		949,424
				9,795,057
Semiconductors — 3.7%
Cavium, Inc. (b)		76,872		4,701,491
Entegris, Inc. (b)		205,574		2,799,918
Mellanox Technologies Ltd. (b)		61,944		3,365,418
Microsemi Corp. (b)		44,460		1,703,263
Monolithic Power Systems, Inc.		76,310		4,856,368
ON Semiconductor Corp. (b)		70,760		678,588
				18,105,046
Software — 11.0%
Allscripts Healthcare Solutions, Inc. (b)		172,540		2,279,253

	Number of Shares		Value
Atlassian Corp. PLC Class A (a) (b)		52,042	$	1,308,856
Benefitfocus, Inc. (a) (b)		37,140		1,238,619
Demandware, Inc. (b)		35,079		1,371,589
EPAM Systems, Inc. (b)		29,761		2,222,254
Fair Isaac Corp.		24,321		2,580,215
Globant SA (a) (b)		71,830		2,216,674
Guidewire Software, Inc. (b)		104,294		5,681,937
HubSpot, Inc. (b)		135,023		5,889,703
Imperva, Inc. (a) (b)		36,800		1,858,400
Omnicell, Inc. (b)		16,500		459,855
Paycom Software, Inc. (a) (b)		56,150		1,998,940
Press Ganey Holdings, Inc. (b)		29,880		898,790
Proofpoint, Inc. (a) (b)		58,030		3,120,854
SS&C Technologies Holdings, Inc		29,195		1,851,547
Telogis (b) (c)		251,002		401,603
TiVo, Inc. (b)		196,120		1,865,101
Tyler Technologies, Inc. (b)		38,460		4,946,341
The Ultimate Software Group, Inc. (b)		33,126		6,409,881
Veeva Systems, Inc. Class A (b)		142,131		3,558,960
Verint Systems, Inc. (b)		39,799		1,328,491
				53,487,863
				81,387,966
Utilities — 0.2%
Electric — 0.2%
8Point3 Energy Partners LP		59,315		871,932
TOTAL COMMON STOCK (Cost $468,671,817)				466,225,292
PREFERRED STOCK — 1.4%
Communications — 0.5%
Internet — 0.5%
Draftkings Series D (b) (c)		53,080		166,140
Draftkings, Inc. Series D 1 (b) (c)		102,640		415,692
The Honest Co. (b) (c)		14,220		652,698
Veracode, Inc. (b) (c)		30,294		645,565
Zuora, Inc. Series F (b) (c)		194,983		688,290
				2,568,385
Technology — 0.9%
Software — 0.9%
Cloudera, Inc. Series F (b) (c)		38,099		669,399
Docusign, Inc. Series B (b) (c)		1,417		23,083
Docusign, Inc. Series B 1 (b) (c)		424		6,907
Docusign, Inc. Series D (b) (c)		1,018		16,583
Docusign, Inc. Series E (b) (c)		26,333		428,965
Docusign, Inc. Series F (b) (c)		4,129		67,261
Marklogic Corp. Series F (b) (c)		77,018		892,639
NUTANIX, Inc. Series E (b) (c)		40,062		576,893

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

134

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

	Number of Shares		Value
Telogis (b) (c)		341,823	$	1,504,021
				4,185,751
TOTAL PREFERRED STOCK (Cost $6,224,033)				6,754,136
TOTAL EQUITIES (Cost $474,895,850)				472,979,428
MUTUAL FUNDS — 12.6%
Diversified Financial — 12.6%
iShares Russell 2000 Growth Index Fund		15,507		2,057,468
iShares Russell 2000 Index Fund (a)		32,840		3,632,761
State Street Navigator Securities Lending Prime Portfolio (d)		56,014,554		56,014,554
				61,704,783
TOTAL MUTUAL FUNDS (Cost $61,692,698)				61,704,783
TOTAL LONG-TERM INVESTMENTS (Cost $536,588,548)				534,684,211
	Principal Amount
SHORT-TERM INVESTMENTS — 2.7%
Repurchase Agreement — 2.7%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (e)	$	13,100,651		13,100,651
TOTAL SHORT-TERM INVESTMENTS (Cost $13,100,651)				13,100,651
TOTAL INVESTMENTS — 112.1% (Cost $549,689,199) (f)				547,784,862
Other Assets/(Liabilities) — (12.1)%				(59,087,822	)
NET ASSETS — 100.0%			$	488,697,040

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $54,622,562 or 11.18% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2016, these securities amounted to a value of $7,460,939 or 1.53% of net assets.

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

(e) Maturity value of $13,100,655. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 1.750%, maturity dates ranging from 5/15/18 – 9/30/19, and an aggregate market value, including accrued interest, of $13,367,593.

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

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

135

MassMutual Select Diversified International Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.5%
COMMON STOCK — 96.0%
Australia — 2.9%
Australia & New Zealand Banking Group Ltd.		74,841	$	1,337,618
Goodman Group		157,446		802,434
				2,140,052
Belgium — 2.0%
Anheuser-Busch InBev SA/NV		4,619		575,812
KBC Groep NV		18,005		927,915
				1,503,727
Cayman Islands — 1.5%
CK Hutchison Holdings Ltd.		85,196		1,104,775
Denmark — 0.7%
Pandora A/S		3,909		509,746
Finland — 2.3%
Nokia OYJ		161,415		958,897
UPM-Kymmene OYJ		41,745		752,947
				1,711,844
France — 10.8%
AXA SA		66,154		1,555,269
BNP Paribas		25,161		1,261,662
Cap Gemini SA		7,604		713,799
Natixis SA		66,310		325,333
Renault SA		13,336		1,323,307
Thales SA		6,893		603,686
Total SA		50,670		2,304,592
				8,087,648
Germany — 7.9%
Adidas AG		4,159		487,429
Bayer AG		10,821		1,271,725
Brenntag AG		11,593		660,928
Daimler AG		21,200		1,625,294
E.ON SE		50,128		481,096
HeidelbergCement AG		7,707		659,508
Infineon Technologies AG		47,996		682,649
				5,868,629
Hong Kong — 1.6%
China Overseas Land & Investment Ltd.		122,000		386,421
CNOOC Ltd.		661,000		774,470
				1,160,891
Ireland — 0.7%
Ryanair Holdings PLC Sponsored ADR (Ireland)		6,510		558,688
Israel — 0.9%
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		11,855		634,361

	Number of Shares		Value
Italy — 4.3%
Enel SpA		312,472	$	1,382,999
Intesa Sanpaolo SpA		390,861		1,074,854
Telecom Italia SpA (a)		722,270		778,839
				3,236,692
Japan — 19.5%
Daikin Industries Ltd.		12,400		926,218
Daiwa House Industry Co. Ltd.		38,500		1,079,509
Dentsu, Inc. (b)		14,900		747,561
Honda Motor Co. Ltd.		33,800		926,296
Japan Airlines Co. Ltd.		20,300		743,267
Mitsubishi UFJ Financial Group, Inc.		383,900		1,777,613
Mitsui Fudosan Co. Ltd.		49,000		1,218,392
NH Foods Ltd. (b)		20,000		439,837
Nippon Telegraph & Telephone Corp.		51,500		2,214,375
Sompo Japan Nipponkoa Holdings, Inc.		29,500		835,080
Sony Corp.		32,100		824,522
Suzuken Co. Ltd.		10,500		356,651
Suzuki Motor Corp.		27,300		729,827
Toyota Motor Corp.		19,500		1,028,399
Yamato Holdings Co. Ltd. (b)		37,200		742,337
				14,589,884
Luxembourg — 0.6%
ArcelorMittal (b)		103,442		464,875
Netherlands — 5.9%
Airbus Group SE		13,618		903,636
ING Groep NV		91,023		1,096,091
Koninklijke KPN NV		158,461		662,030
Koninklijke Philips Electronics NV		39,305		1,115,948
NN Group NV		19,933		650,320
				4,428,025
Norway — 1.1%
Norsk Hydro ASA		197,498		809,874
Republic of Korea — 1.1%
Samsung Electronics Co., Ltd.		710		814,384
Spain — 1.4%
Banco Santander SA		166,645		728,170
Bankia SA		351,829		331,623
				1,059,793
Sweden — 2.6%
Electrolux AB Series B		26,188		688,798
Nordea Bank AB		93,364		896,069
Sandvik AB		38,061		393,591
				1,978,458
Switzerland — 2.9%
Credit Suisse Group		45,427		642,050
Roche Holding AG		3,737		916,998

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

136

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

	Number of Shares		Value
Zurich Insurance Group AG		2,694	$	622,462
				2,181,510
United Kingdom — 25.3%
Aviva PLC		89,842		584,926
Barclays PLC		147,505		315,520
Barratt Developments PLC		48,816		391,546
British American Tobacco PLC		18,461		1,081,122
Centrica PLC		249,228		811,736
Dixons Carphone PLC		66,171		403,356
GlaxoSmithKline PLC		96,888		1,963,199
InterContinental Hotels Group PLC		19,009		780,228
Lloyds Banking Group PLC		1,057,407		1,026,348
National Grid PLC		88,941		1,260,100
Prudential PLC		66,302		1,229,723
Rio Tinto PLC		44,514		1,256,151
Royal Dutch Shell PLC Class A		109,005		2,629,683
RSA Insurance Group PLC		83,903		570,216
Shire Ltd.		11,129		637,562
Standard Chartered PLC		96,407		648,730
Vodafone Group PLC		694,928		2,215,003
Wolseley PLC		19,792		1,114,472
				18,919,621
TOTAL COMMON STOCK (Cost $75,619,468)				71,763,477
PREFERRED STOCK — 0.5%
Germany — 0.5%
Henkel AG & Co. KGaA 1.450%		3,190		351,554
TOTAL PREFERRED STOCK (Cost $356,316)				351,554
TOTAL EQUITIES (Cost $75,975,784)				72,115,031
MUTUAL FUNDS — 3.0%
United States — 3.0%
State Street Navigator Securities Lending Prime Portfolio (c)		2,256,489		2,256,489
TOTAL MUTUAL FUNDS (Cost $2,256,489)				2,256,489
TOTAL LONG-TERM INVESTMENTS (Cost $78,232,273)				74,371,520

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 03/31/16, 0.010%, due 4/01/16 (d)	$	1,963,878	$	1,963,878
TOTAL SHORT-TERM INVESTMENTS (Cost $1,963,878)				1,963,878
TOTAL INVESTMENTS — 102.1% (Cost $80,196,151) (e)				76,335,398
Other Assets/(Liabilities) — (2.1)%				(1,559,703	)
NET ASSETS — 100.0%			$	74,775,695

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $2,144,301 or 2.87% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $1,963,879. Collateralized by U.S. Government Agency obligations with a rate of 1.750%, maturity date of 9/30/19, and an aggregate market value, including accrued interest, of $2,003,570.

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

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

137

MM MSCI EAFE International Index Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.9%
COMMON STOCK — 96.4%
Australia — 6.8%
AGL Energy Ltd.		25,144	$	354,325
Alumina Ltd. (a)		78,199		76,970
Amcor Ltd.		42,529		466,475
AMP Ltd.		110,769		491,079
APA Group		37,553		253,363
Aristocrat Leisure Ltd.		20,526		161,897
Asciano Group		20,911		143,584
ASX Ltd.		6,568		208,368
Aurizon Holdings Ltd.		70,755		213,746
AusNet Services		75,882		86,545
Australia & New Zealand Banking Group Ltd.		104,347		1,864,971
Bank of Queensland Ltd.		12,914		119,229
Bendigo and Adelaide Bank Ltd. (a)		23,408		158,285
BHP Billiton Ltd.		114,014		1,478,873
Boral Ltd.		26,716		126,398
Brambles Ltd.		58,100		538,100
Caltex Australia Ltd.		9,139		237,980
Challenger Ltd.		22,321		142,607
CIMIC Group Ltd. (a)		3,676		97,817
Coca-Cola Amatil Ltd.		26,858		181,499
Cochlear Ltd.		1,967		154,108
Commonwealth Bank of Australia		60,786		3,486,712
Computershare Ltd.		16,427		122,801
Crown Resorts Ltd.		12,650		120,346
CSL Ltd.		16,682		1,294,002
Dexus Property Group		34,436		208,923
DUET Group (b)		87,531		153,183
Flight Centre Travel Group Ltd. (a)		2,031		67,102
Fortescue Metals Group Ltd. (a)		48,700		93,543
Goodman Group		67,953		346,327
GPT Group		60,191		229,988
Harvey Norman Holdings Ltd.		20,344		73,063
Healthscope Ltd.		55,172		112,294
Iluka Resources Ltd.		16,124		80,598
Incitec Pivot Ltd.		60,198		146,524
Insurance Australia Group Ltd.		84,177		358,374
Lend Lease Group		19,471		206,283
Macquarie Group Ltd.		11,362		572,611
Medibank Pvt. Ltd.		94,563		211,456
Mirvac Group		122,958		181,911
National Australia Bank Ltd.		94,737		1,894,403
Newcrest Mining Ltd. (c)		28,015		362,886
Orica Ltd. (a)		13,062		153,169
Origin Energy Ltd.		58,448		225,722
Platinum Asset Management Ltd.		8,103		39,401
Qantas Airways Ltd.		18,302		57,056
QBE Insurance Group Ltd.		53,400		444,089

	Number of Shares		Value
Ramsay Health Care Ltd.		4,786	$	224,897
REA Group Ltd.		2,346		96,794
Rio Tinto Ltd.		14,997		491,890
Santos Ltd.		59,859		185,646
Scentre Group		195,263		662,846
Seek Ltd.		11,514		142,249
Sonic Healthcare Ltd.		12,989		186,152
South32 Ltd. (c)		52,452		58,800
South32 Ltd. (c)		145,832		162,369
Stockland		79,734		260,754
Suncorp Group Ltd.		43,836		398,235
Sydney Airport		37,416		191,540
Tabcorp Holdings Ltd.		25,541		83,703
Tatts Group Ltd.		50,283		145,359
Telstra Corp. Ltd.		153,539		625,829
TPG Telecom Ltd.		10,159		88,025
Transurban Group		74,084		643,801
Treasury Wine Estates Ltd.		25,409		187,283
Vicinity Centres		113,513		277,374
Vocus Communications Ltd. (a)		15,428		98,247
Wesfarmers Ltd.		40,737		1,293,195
Westfield Corp.		71,568		547,438
Westpac Banking Corp.		119,390		2,774,165
Woodside Petroleum Ltd.		27,089		540,243
Woolworths Ltd. (a)		44,727		757,092
				29,922,912
Austria — 0.2%
Andritz AG (a)		2,690		147,638
Erste Group Bank AG (c)		10,558		296,568
OMV AG		5,288		148,702
Raiffeisen Bank International AG (a) (c)		3,241		49,027
Voestalpine AG		3,969		132,292
				774,227
Belgium — 1.4%
Ageas		6,760		268,209
Anheuser-Busch InBev SA/NV		28,900		3,602,718
Colruyt SA		2,432		141,684
Delhaize Group		3,536		368,441
Groupe Bruxelles Lambert SA		2,725		224,676
KBC Groep NV		8,653		445,946
Proximus SADP		5,096		174,157
Solvay SA Class A		2,502		250,189
Telenet Group Holding NV (c)		1,613		81,644
UCB SA		4,754		362,608
Umicore SA		3,350		166,328
				6,086,600
Bermuda — 0.3%
Cheung Kong Infrastructure Holdings Ltd.		25,000		244,655

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

138

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares			Value
First Pacific Co. Ltd.		87,750		$	65,618
Hongkong Land Holdings Ltd.		18,400			110,180
Jardine Matheson Holdings Ltd.		9,400			536,452
Kerry Properties Ltd.		18,000			49,666
Li & Fung Ltd.		206,000			122,204
Noble Group Ltd. (a) (c)		128,700			41,964
NWS Holdings Ltd.		60,938			96,811
Shangri-La Asia Ltd.		32,000			36,515
Yue Yuen Industrial Holdings Ltd.		23,000			79,161
					1,383,226
Cayman Islands — 0.6%
ASM Pacific Technology Ltd.		8,800			68,774
Cheung Kong Property Holdings Ltd.		99,745			642,076
CK Hutchison Holdings Ltd.		97,745			1,267,504
Melco Crown Entertainment Ltd. ADR (Cayman Islands) (a)		3,100			51,181
MGM China Holdings Ltd.		23,600			35,862
Sands China Ltd.		88,000			358,213
WH Group Ltd. (c) (d)		212,500			153,941
Wynn Macau Ltd. (c)		63,200			97,834
					2,675,385
Denmark — 1.9%
AP Moeller — Maersk A/S Class A		131			166,377
AP Moeller — Maersk A/S Class B		244			318,377
Carlsberg A/S Class B		4,057			385,801
Chr Hansen Holding A/S		3,467			232,597
Coloplast A/S Class B		3,732			281,834
Danske Bank A/S		25,374			714,054
DSV A/S		6,676			276,707
Genmab A/S (c)		2,103			291,150
ISS A/S		5,048			202,124
Novo Nordisk A/S Class B		70,285			3,794,856
Novozymes A/S		8,627			386,618
Pandora A/S		4,074			531,263
TDC A/S		28,191			137,472
Tryg A/S		4,252			82,463
Vestas Wind Systems A/S		8,139			571,932
William Demant Holding (c)		869			87,119
					8,460,744
Finland — 1.0%
Elisa OYJ (a)		4,908			190,143
Fortum OYJ		15,670			236,155
Kone OYJ (a)		11,933			572,957
Metso OYJ (a)		3,976			94,401
Neste OYJ (a)		4,661			153,116
Nokia OYJ		197,515			1,173,352
Nokia OYJ (c)		10,433			61,681
Nokian Renkaat OYJ		3,939			138,922
Orion OYJ Class B (a)		3,539			116,582
Sampo OYJ		16,022			758,086
Stora Enso OYJ Class R		18,709	��		166,811

	Number of Shares		Value
UPM-Kymmene OYJ		19,553	$	352,674
Wartsila OYJ Abp		5,001		225,396
				4,240,276
France — 9.2%
Accor SA		8,254		349,372
Aeroports de Paris		1,022		126,317
Air Liquide		12,407		1,391,672
Alstom SA (c)		5,233		133,700
Arkema		2,271		169,917
Atos SE		2,911		236,570
AXA SA		71,151		1,672,748
BNP Paribas		38,216		1,916,286
Bollore SA		29,206		113,145
Bollore SA (c)		106		407
Bouygues SA		7,912		321,923
Bureau Veritas SA		8,982		199,656
Cap Gemini SA		5,634		528,872
Carrefour SA		20,925		574,484
Casino Guichard-Perrachon SA (a)		2,172		124,194
Christian Dior SE		1,861		337,184
Cie Generale d’Optique Essilor International SA		7,534		928,309
Cie Generale des Etablissements Michelin Class B		6,621		675,923
CNP Assurances		7,188		111,818
Compagnie de Saint-Gobain		16,770		736,754
Credit Agricole SA		36,448		393,112
Danone SA		20,899		1,483,666
Dassault Systemes SA		4,372		346,101
Edenred		7,180		139,327
Electricite de France		8,258		92,353
Engie SA		53,267		824,417
Eurazeo SA		1,190		80,438
Eutelsat Communications SA		6,017		194,041
Fonciere Des Regions		975		91,954
France Telecom SA		71,633		1,251,643
Gecina SA		1,137		156,435
Groupe Eurotunnel SE		15,793		176,953
Hermes International		902		317,309
ICADE		1,196		91,420
Iliad SA		892		229,173
Imerys SA		1,331		92,751
Ingenico Group		1,887		216,158
JCDecaux SA		2,618		114,313
Kering		2,804		499,972
Klepierre		7,715		368,621
L’Oreal		9,054		1,618,186
Lagardere S.C.A		4,116		109,169
Legrand SA		9,939		556,390
LVMH Moet Hennessy Louis Vuitton SE		10,079		1,723,900
Natixis SA		31,734		155,695
Numericable-SFR		3,789		158,962

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

139

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Pernod-Ricard SA		7,829	$	872,137
Peugeot SA (c)		15,529		265,700
Publicis Groupe		6,555		459,378
Remy Cointreau SA		810		61,466
Renault SA		7,000		694,597
Rexel Promesses		10,187		145,142
Safran SA		11,453		800,836
Sanofi		42,185		3,392,705
Schneider Electric SE		20,141		1,272,028
Schneider Electric SE		253		15,988
SCOR SE		5,207		184,694
Societe BIC SA		944		141,920
Societe Generale SA		25,980		955,707
Sodexo SA		3,413		366,966
Suez Environnement Co.		10,090		184,701
Technip SA		3,503		193,704
Thales SA		3,934		344,538
Total SA		78,770		3,582,647
Unibail-Rodamco SE (a)		1,870		513,086
Unibail-Rodamco SE		1,744		479,851
Valeo SA		2,947		458,225
Veolia Environnement SA		16,392		394,527
Vinci SA		17,006		1,262,821
Vivendi SA		41,152		864,568
Wendel SA		873		94,961
Zodiac Aerospace		6,852		136,876
				40,271,479
Germany — 8.4%
Adidas AG		7,361		862,699
Allianz SE		16,279		2,646,351
Axel Springer AG (a)		1,562		84,107
BASF SE		32,892		2,480,153
Bayer AG		29,651		3,484,697
Bayerische Motoren Werke AG		12,040		1,105,856
Beiersdorf AG		3,400		306,842
Brenntag AG		6,226		354,950
Commerzbank AG (c)		40,206		349,407
Continental AG		3,955		900,093
Daimler AG		34,653		2,656,666
Deutsche Bank AG		48,841		831,019
Deutsche Boerse AG		7,243		618,049
Deutsche Lufthansa AG (c)		8,289		134,000
Deutsche Post AG		34,768		965,610
Deutsche Telekom AG		115,068		2,064,249
Deutsche Wohnen AG		11,814		367,282
E.ON SE		70,102		672,793
Evonik Industries AG		4,836		144,975
Fraport AG Frankfurt Airport Services Worldwide		1,385		83,692
Fresenius Medical Care AG & Co. KGaA		7,886		698,507
Fresenius SE & Co. KGaA		13,781		1,006,792
GEA Group AG		7,005		341,117

	Number of Shares		Value
Hannover Rueck SE		2,034	$	236,875
HeidelbergCement AG		5,481		469,023
Henkel AG & Co. KGaA		3,858		379,103
Hugo Boss AG		2,189		143,502
Infineon Technologies AG		40,803		580,343
K+S AG (a)		6,522		152,537
Kabel Deutschland Holding AG		303		33,907
Lanxess AG		3,171		152,336
Linde AG		6,684		973,605
MAN SE		1,140		123,391
Merck KGaA		4,987		415,813
Metro AG		6,408		198,249
Muenchener Rueckversicherungs AG		5,975		1,215,155
OSRAM Licht AG		2,850		146,339
ProSiebenSat.1 Media SE		7,460		383,383
RWE AG		17,901		231,487
SAP SE		35,348		2,859,730
Siemens AG		28,422		3,012,498
Symrise AG		4,908		328,104
Telefonica Deutschland Holding AG		25,703		139,194
ThyssenKrupp AG		14,191		294,858
TUI AG		12,310		190,021
TUI AG		4,761		74,250
United Internet AG		4,232		212,251
Volkswagen AG		1,206		174,965
Vonovia SE		16,970		610,575
Zalando SE (c) (d)		3,114		102,174
				36,993,574
Hong Kong — 2.3%
AIA Group Ltd.		433,180		2,456,505
The Bank of East Asia Ltd.		41,314		154,275
BOC Hong Kong Holdings Ltd.		139,000		415,033
Cathay Pacific Airways Ltd.		50,000		86,660
CLP Holdings Ltd.		70,499		638,537
Galaxy Entertainment Group Ltd.		86,000		322,261
Hang Lung Properties Ltd.		76,000		145,376
Hang Seng Bank Ltd.		28,200		499,440
Henderson Land Development Co. Ltd.		38,766		237,777
HK Electric Investments & HK Electric Investments Ltd. (d)		90,706		79,750
HKT Trust / HKT Ltd.		91,840		126,439
Hong Kong & China Gas Co. Ltd.		237,592		444,830
Hong Kong Exchanges and Clearing Ltd.		40,060		964,215
HongKong Electric Holdings		52,000		532,401
Hysan Development Co. Ltd.		20,035		85,382
The Link REIT		85,223		504,780
MTR Corp.		49,349		243,410
New World Development Ltd.		179,952		171,760
PCCW Ltd.		147,136		94,868
Sino Land Co. Ltd.		106,850		169,810
SJM Holdings Ltd.		53,000		37,665

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

140

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares			Value
Sun Hung Kai Properties Ltd.		64,258		$	785,287
Swire Pacific Ltd. Class A		20,000			215,275
Swire Properties Ltd.		41,396			112,320
Techtronic Industries Co.		46,403			183,694
Wharf Holdings Ltd.		46,000			251,515
Wheelock & Co. Ltd.		36,000			160,870
			��		10,120,135
Ireland — 0.7%
Bank of Ireland (c)		984,986			285,540
CRH PLC		29,047			818,423
CRH PLC		1,480			41,590
Experian PLC		33,512			596,329
James Hardie Industries NV		15,243			207,798
Kerry Group PLC Class A		5,898			549,328
Paddy Power Betfair PLC		3,022			420,860
					2,919,868
Israel — 0.7%
Azrieli Group		1,335			52,366
Bank Hapoalim B.M.		36,013			186,764
Bank Leumi Le-Israel (c)		47,564			170,729
Bezeq Israeli Telecommunication Corp. Ltd.		68,812			155,113
Check Point Software Technologies Ltd. (a) (c)		2,300			201,181
Delek Group Ltd.		176			30,136
Israel Chemicals Ltd.		17,945			77,798
Mizrahi Tefahot Bank Ltd.		8,993			105,453
NICE Systems Ltd.		2,086			136,659
Taro Pharmaceutical Industries Ltd. (c)		300			42,975
Teva Pharmaceutical Industries Ltd.		32,788			1,761,821
					2,920,995
Italy — 1.9%
Assicurazioni Generali SpA		43,200			637,327
Atlantia SpA		13,993			387,987
Banco Popolare SC (a) (c)		12,314			84,592
Enel Green Power SpA		62,431			133,799
Enel SpA		260,411			1,152,577
Eni SpA		92,756			1,402,026
Exor SpA		3,416			122,138
Finmeccanica SpA (c)		13,753			174,460
Intesa Sanpaolo SpA		455,099			1,251,507
Intesa Sanpaolo SpA		32,794			84,762
Luxottica Group SpA		6,275			346,296
Mediobanca SpA		18,656			134,186
Prysmian SpA		7,123			161,344
Saipem SpA (c)		214,268			85,434
Snam Rete Gas SpA		76,724			479,893
Telecom Italia SpA (c)		418,596			451,381
Telecom Italia SpA — RSP		201,135			175,111
Terna Rete Elettrica Nazionale SpA		50,730			289,078
UniCredit SpA		176,767			636,804

	Number of Shares		Value
Unione di Banche Italiane SpA		30,451	$	111,688
UnipolSai SpA		38,832		89,786
				8,392,176
Japan — 21.8%
ABC-Mart, Inc.		1,800		115,128
Acom Co. Ltd. (a) (c)		11,800		59,236
Aeon Co. Ltd.		22,900		330,701
Aeon Credit Service Co. Ltd.		3,800		89,372
Aeon Mall Co. Ltd.		3,600		53,189
Air Water, Inc. (a)		6,000		88,554
Aisin Seiki Co.		6,500		244,737
Ajinomoto Co., Inc.		21,000		472,971
Alfresa Holdings Corp.		6,700		128,454
All Nippon Airways Co. Ltd.		50,000		140,616
Alps Electric Co. Ltd.		6,400		111,469
Amada Holdings Co. Ltd.		10,600		103,351
Aozora Bank Ltd.		40,000		139,409
Asahi Glass Co. Ltd. (a)		33,000		180,524
Asahi Group Holdings Ltd.		13,300		413,708
Asahi Kasei Corp.		47,000		316,816
Asics Corp.		4,800		85,242
Astellas Pharma, Inc.		76,000		1,010,103
Bandai Namco Holdings, Inc.		6,500		141,439
The Bank of Kyoto Ltd.		12,000		78,222
The Bank of Yokohama Ltd. (b) (c)		38,000		175,574
Benesse Holdings, Inc. (a)		2,400		69,070
Bridgestone Corp.		23,100		860,857
Brother Industries Ltd. (a)		8,500		97,675
Calbee, Inc.		2,600		103,072
Canon, Inc.		38,600		1,150,152
Casio Computer Co. Ltd. (a)		7,000		140,824
Central Japan Railway Co.		5,200		919,236
The Chiba Bank Ltd.		24,000		119,565
Chubu Electric Power Co., Inc.		24,700		344,137
Chugai Pharmaceutical Co. Ltd.		7,600		235,230
The Chugoku Bank Ltd. (a)		4,700		48,923
The Chugoku Electric Power Co., Inc. (a)		10,300		138,867
Citizen Holdings Co. Ltd.		9,400		53,261
Credit Saison Co. Ltd.		4,600		80,030
Dai Nippon Printing Co. Ltd.		17,000		150,971
The Dai-ichi Life Insurance Co. Ltd.		37,500		453,623
Daicel Corp.		10,800		147,207
Daihatsu Motor Co. Ltd. (a)		5,900		82,906
Daiichi Sankyo Co. Ltd.		23,400		520,041
Daikin Industries Ltd.		8,700		649,847
Daito Trust Construction Co. Ltd.		2,700		382,725
Daiwa House Industry Co. Ltd.		21,600		605,647
Daiwa Securities Group, Inc.		58,000		355,700
Denso Corp.		17,500		701,341
Dentsu, Inc. (a)		7,600		381,306
Don Quijote Holdings Co. Ltd.		4,100		142,066
East Japan Railway		11,900		1,024,601

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

141

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Eisai Co. Ltd.		9,300	$	559,175
Electric Power Development Co. Ltd.		5,000		155,807
FamilyMart Co. Ltd.		3,000		155,893
Fanuc Corp.		7,200		1,117,952
Fast Retailing Co., Ltd. (a)		1,900		607,745
Fuji Electric Co. Ltd.		17,000		58,723
Fuji Heavy Industries Ltd.		21,000		739,320
FUJIFILM Holdings Corp.		16,100		635,093
Fujitsu LTD		62,000		228,854
Fukuoka Financial Group, Inc.		29,000		94,518
GungHo Online Entertainment, Inc. (a)		15,600		43,809
The Gunma Bank Ltd. (a)		12,000		49,466
The Hachijuni Bank Ltd.		14,000		60,191
Hakuhodo DY Holdings, Inc.		12,500		141,547
Hamamatsu Photonics KK (a)		5,100		140,294
Hankyu Hanshin Holdings, Inc.		39,000		248,322
Hikari Tsushin, Inc. (a)		500		38,004
Hino Motors Ltd. (a)		9,000		97,259
Hirose Electric Co. Ltd.		1,100		121,221
The Hiroshima Bank Ltd.		18,000		65,599
Hisamitsu Pharmaceutical Co., Inc.		1,800		80,268
Hitachi Chemical Co. Ltd.		3,800		68,332
Hitachi Construction Machinery Co. Ltd. (a)		4,600		73,031
Hitachi High-Technologies Corp.		2,500		70,214
Hitachi Ltd.		174,000		813,547
Hitachi Metals Ltd.		7,600		78,131
Hokuhoku Financial Group, Inc. (a)		37,000		48,540
Hokuriku Electric Power Co.		5,100		72,159
Honda Motor Co. Ltd.		57,900		1,586,761
Hoshizaki Electric Co. Ltd.		1,200		99,961
Hoya Corp.		15,400		585,491
Hulic Co. Ltd.		11,300		107,680
Idemitsu Kosan Co. Ltd. (a)		2,500		44,502
IHI Corp.		49,000		103,138
Iida Group Holdings Co. Ltd.		5,100		99,167
Inpex Corp.		35,300		267,522
Isetan Mitsukoshi Holdings Ltd. (a)		12,100		141,306
Isuzu Motors Ltd.		20,100		207,413
ITOCHU Corp.		59,400		731,066
Itochu Techno-Solutions Corp. (a)		1,400		26,411
The Iyo Bank Ltd. (a)		8,600		56,176
J Front Retailing Co. Ltd.		8,500		112,447
Japan Airlines Co. Ltd.		4,200		153,779
Japan Airport Terminal Co. Ltd. (a)		1,500		53,116
Japan Exchange Group, Inc.		18,400		280,969
Japan Post Bank Co. Ltd.		13,300		163,601
Japan Post Holdings Co. Ltd.		16,500		220,103
Japan Prime Realty Investment Corp.		31		126,138
Japan Real Estate Investment Corp.		45		259,840
Japan Retail Fund Investment Corp.		84		201,398
Japan Tobacco, Inc.		39,600		1,646,330
JFE Holdings, Inc. (a)		16,600		223,418

	Number of Shares		Value
JGC Corp.		7,000	$	104,739
The Joyo Bank Ltd.		19,000		65,025
JSR Corp.		6,800		97,504
JTEKT Corp.		7,600		98,520
JX Holdings, Inc.		84,100		324,000
Kajima Corp.		30,000		187,754
Kakaku.com, Inc. (a)		4,500		83,367
Kamigumi Co. Ltd.		7,000		65,718
Kaneka Corp.		10,000		85,370
The Kansai Electric Power Co., Inc. (c)		23,500		207,655
Kansai Paint Co. Ltd.		11,300		181,415
Kao Corp.		18,200		970,294
Kawasaki Heavy Industries Ltd. (a)		48,000		138,055
KDDI Corp.		62,900		1,676,491
Keihan Electric Railway Co. Ltd.		18,000		126,592
Keikyu Corp. (a)		16,000		140,505
Keio Corp.		20,000		175,254
Keisei Electric Railway Co. Ltd.		10,000		140,589
Keyence Corp.		1,600		872,228
Kikkoman Corp. (a)		5,000		164,289
Kintetsu Group Holdings Co. Ltd. (a)		75,000		303,338
Kirin Holdings Co. Ltd.		31,400		439,550
Kobe Steel Ltd. (a)		107,000		93,759
Koito Manufacturing Co. Ltd.		3,600		162,606
Komatsu Ltd.		34,700		590,414
Konami Holdings Corp. (a)		3,500		103,365
Konica Minolta Holdings, Inc.		15,900		134,990
Kose Corp.		1,000		96,958
Kubota Corp.		39,100		531,919
Kuraray Co. Ltd.		12,000		146,348
Kurita Water Industries Ltd.		3,200		72,841
Kyocera Corp.		11,900		523,864
Kyowa Hakko Kirin Co. Ltd.		8,400		133,975
Kyushu Electric Power (a) (c)		14,800		140,779
Kyushu Financial Group, Inc.		10,000		57,532
Lawson, Inc.		2,300		192,217
Lixil Group Corp.		9,000		183,151
M3, Inc. (a)		6,700		168,139
Mabuchi Motor Co. Ltd.		1,800		83,529
Makita Corp. (a)		4,500		278,950
Marubeni Corp. (a)		63,700		322,460
Marui Group Co. Ltd. (a)		7,300		104,567
Maruichi Steel Tube Ltd.		2,200		60,197
Mazda Motor Corp.		20,900		322,946
McDonald’s Holdings Co. Japan Ltd. (a)		1,800		42,593
Medipal Holdings Corp.		4,800		75,963
MEIJI Holdings Co. Ltd.		4,200		337,061
Minebea Co. Ltd. (a)		10,000		77,955
Miraca Holdings, Inc.		1,700		69,694
Mitsubishi Chemical Holding Corp.		45,500		236,763
Mitsubishi Corp.		49,600		839,453

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

142

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mitsubishi Electric Corp.		71,000	$	743,563
Mitsubishi Estate Co. Ltd.		44,000		815,060
Mitsubishi Gas Chemical Co., Inc.		11,000		59,073
Mitsubishi Heavy Industries Ltd.		115,000		425,678
Mitsubishi Logistics Corp. (a)		5,000		65,626
Mitsubishi Materials Corp.		39,000		109,844
Mitsubishi Motors Corp. (a)		21,700		162,071
Mitsubishi Tanabe Pharma Corp.		7,800		135,401
Mitsubishi UFJ Financial Group, Inc.		458,600		2,123,505
Mitsubishi UFJ Lease & Finance Co. Ltd.		15,200		66,509
Mitsui & Co. Ltd. (a)		62,800		722,251
Mitsui Chemicals, Inc.		28,000		92,975
Mitsui Fudosan Co. Ltd.		34,000		845,415
Mitsui OSK Lines Ltd.		41,000		83,145
Mitsui Sumitomo Insurance Group Holdings, Inc.		18,700		520,692
Mixi, Inc. (a)		1,500		55,674
Mizuho Financial Group, Inc. (a)		855,500		1,277,045
Murata Manufacturing Co. Ltd.		7,300		876,900
Nabtesco Corp.		4,300		96,466
Nagoya Railroad Co. Ltd. (a)		32,000		149,360
NEC Corp. (a)		87,000		218,645
Nexon Co. Ltd.		5,000		84,948
NGK Insulators Ltd.		9,000		165,681
NGK Spark Plug Co., Ltd. (a)		6,200		118,238
NH Foods Ltd. (a)		6,000		131,951
NHK Spring Co. Ltd.		4,100		39,124
Nidec Corp.		8,200		560,743
Nikon Corp. (a)		11,800		180,494
Nintendo Co. Ltd.		4,000		566,791
Nippon Building Fund, Inc.		48		284,020
Nippon Electric Glass Co. Ltd. (a)		15,000		76,731
Nippon Express Co. Ltd.		34,000		154,598
Nippon Paint Holdings Co. Ltd. (a)		4,500		99,774
Nippon Prologis REIT, Inc.		52		116,244
Nippon Steel Corp. (a)		28,300		543,260
Nippon Telegraph & Telephone Corp.		25,300		1,087,839
Nippon Yusen KK (a)		56,000		107,639
Nissan Motor Co. Ltd. (a)		89,100		822,143
Nisshin Seifun Group, Inc.		10,400		165,247
Nissin Foods Holdings Co. Ltd. (a)		2,300		107,949
Nitori Holdings Co. Ltd.		2,500		228,889
Nitto Denko Corp. (a)		5,700		316,671
NOK Corp.		2,900		49,352
Nomura Holdings, Inc.		134,300		597,819
Nomura Real Estate Holdings, Inc.		3,800		70,019
Nomura Real Estate Master Fund, Inc.		122		181,835
Nomura Research Institute Ltd.		4,300		144,469
NSK Ltd.		15,900		144,988
NTT Data Corp.		4,200		210,764
NTT DOCOMO, Inc. (a)		51,400		1,163,355
NTT Urban Development Corp.		5,900		57,560

	Number of Shares		Value
Obayashi Corp.		22,000	$	216,864
Obic Co. Ltd.		2,300		121,532
Odakyu Electric Railway Co. Ltd. (a)		21,000		228,477
Oji Holdings Corp.		30,000		120,162
Olympus Corp.		9,400		365,207
Omron Corp.		6,600		196,333
Ono Pharmaceutical Co. Ltd.		15,000		634,738
Oracle Corp.		1,500		84,079
Oriental Land Co. Ltd. (a)		7,000		495,569
ORIX Corp.		48,500		689,185
Osaka Gas Co. Ltd.		63,000		241,617
Otsuka Corp.		2,000		105,357
Otsuka Holdings Co. Ltd.		13,700		496,663
Panasonic Corp.		79,300		727,787
Park24 Co. Ltd. (a)		3,500		97,785
Rakuten, Inc.		31,700		305,563
Recruit Holdings Co. Ltd.		4,900		149,242
Resona Holdings, Inc.		76,500		272,825
Ricoh Co. Ltd. (a)		23,800		242,238
Rinnai Corp.		1,300		114,755
Rohm Co. Ltd.		3,300		138,555
Ryohin Keikaku Co. Ltd.		800		168,771
Sankyo Co. Ltd.		1,400		52,102
Sanrio Co. Ltd. (a)		1,600		31,196
Santen Pharmaceutical Co. Ltd.		12,800		192,151
SBI Holdings, Inc.		6,542		66,189
Secom Co. Ltd.		7,800		579,549
Sega Sammy Holdings, Inc.		6,700		73,016
Seibu Holdings, Inc.		4,200		88,815
Seiko Epson Corp.		9,700		156,183
Sekisui Chemical Co. Ltd.		17,900		220,323
Sekisui House Ltd.		20,900		351,731
Seven & I Holdings Co. Ltd.		27,100		1,151,019
Seven Bank Ltd.		21,000		89,373
Shikoku Electric Power Co., Inc.		5,500		73,583
Shimadzu Corp.		9,000		141,053
Shimamura Co. Ltd.		800		99,500
Shimano, Inc.		2,900		453,322
Shimizu Corp.		20,000		169,113
Shin-Etsu Chemical Co. Ltd.		15,200		786,145
Shinsei Bank Ltd. (a)		54,000		70,493
Shionogi & Co. Ltd.		10,800		507,026
Shiseido Co. Ltd.		13,500		301,172
The Shizuoka Bank Ltd.		18,000		129,799
Showa Shell Sekiyu KK		5,200		46,641
SMC Corp.		2,100		487,429
SoftBank Group Corp.		34,500		1,638,206
Sohgo Security Services Co. Ltd.		2,200		119,187
Sompo Japan Nipponkoa Holdings, Inc.		12,600		356,678
Sony Corp.		44,800		1,150,735
Sony Financial Holdings, Inc.		5,300		67,675
Stanley Electric Co. Ltd.		5,000		112,717

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

143

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Sumitomo Chemical Co. Ltd.		50,000	$	225,335
Sumitomo Corp. (a)		39,100		388,345
Sumitomo Dainippon Pharma Co. Ltd. (a)		5,000		57,548
Sumitomo Electric Industries Ltd.		28,700		348,883
Sumitomo Heavy Industries Ltd.		20,000		82,574
Sumitomo Metal Mining Co. Ltd.		17,000		168,697
Sumitomo Mitsui Financial Group, Inc.		45,900		1,390,603
Sumitomo Mitsui Trust Holdings, Inc.		125,000		365,832
Sumitomo Realty & Development Co. Ltd.		14,000		408,256
Sumitomo Rubber Industries Ltd.		6,600		101,673
Suntory Beverage & Food Ltd.		4,800		215,689
Suruga Bank Ltd. (a)		6,500		114,189
Suzuken Co. Ltd.		2,400		81,520
Suzuki Motor Corp.		13,800		368,923
Sysmex Corp.		5,400		336,603
T&D Holdings, Inc.		19,500		181,723
Taiheiyo Cement Corp.		41,000		94,103
Taisei Corp. (a)		36,000		237,496
Taisho Pharmaceutical Holdings Co. Ltd. (a)		900		71,305
Taiyo Nippon Sanso Corp. (a)		4,700		44,305
Takashimaya Co. Ltd.		11,000		91,930
Takeda Pharmaceutical Co. Ltd. (a)		28,400		1,295,478
TDK Corp.		4,600		255,271
Teijin Ltd.		29,000		100,955
Terumo Corp.		11,200		401,353
THK Co. Ltd.		4,800		88,493
Tobu Railway Co. Ltd. (a)		35,000		174,166
Toho Co. Ltd.		3,500		91,908
Toho Gas Co. Ltd.		14,000		99,351
Tohoku Electric Power Co., Inc. (a)		15,300		197,317
Tokio Marine Holdings, Inc.		24,600		829,973
The Tokyo Electric Power Co., Inc. (c)		49,500		271,551
Tokyo Electron Ltd.		6,700		436,486
Tokyo Gas Co. Ltd.		79,000		368,164
Tokyo Tatemono Co. Ltd.		6,400		79,684
Tokyu Corp.		43,000		359,503
Tokyu Fudosan Holdings Corp.		21,500		145,419
TonenGeneral Sekiyu KK		11,000		99,290
Toppan Printing Co. Ltd. (a)		18,000		150,696
Toray Industries, Inc. (a)		50,000		425,130
Toshiba Corp. (a) (c)		139,000		269,571
TOTO Ltd. (a)		4,500		139,937
Toyo Seikan Kaisha Ltd.		6,500		121,672
Toyo Suisan Kaisha Ltd.		3,100		111,116
Toyoda Gosei Co. Ltd.		1,900		36,649
Toyota Industries Corp.		5,500		247,120
Toyota Motor Corp.		97,400		5,136,719
Toyota Tsusho Corp.		7,300		164,845
Trend Micro, Inc.		3,800		138,756

	Number of Shares		Value
Unicharm Corp.		12,500	$	271,313
United Urban Investment Corp.		112		180,850
USS Co. Ltd.		7,500		119,556
West Japan Railway Co.		6,100		375,831
Yahoo! Japan Corp. (a)		48,300		205,085
Yakult Honsha Co. Ltd. (a)		3,000		132,588
Yamada Denki Co. Ltd. (a)		25,600		120,830
Yamaguchi Financial Group, Inc. (a)		7,000		63,603
Yamaha Corp.		5,800		174,624
Yamaha Motor Co. Ltd.		8,900		147,470
Yamato Holdings Co. Ltd. (a)		11,800		235,473
Yamazaki Baking Co. Ltd.		4,000		84,234
Yaskawa Electric Corp. (a)		8,200		94,339
Yokogawa Electric Corp.		7,000		72,300
The Yokohama Rubber Co. Ltd.		4,200		69,033
				95,590,374
Luxembourg — 0.2%
ArcelorMittal (a)		62,033		278,781
Millicom International Cellular SA		2,646		144,245
RTL Group (c)		1,353		114,536
SES SA		11,412		333,497
Tenaris SA (a)		15,996		198,841
				1,069,900
Mauritius — 0.0%
Golden Agri-Resources Ltd.		276,600		84,099
Netherlands — 3.5%
Aegon NV		66,580		364,548
AerCap Holdings NV (c)		3,400		131,784
Airbus Group SE		20,966		1,391,220
Akzo Nobel NV		9,163		622,647
Altice NV Class A (c)		12,455		220,506
Altice NV Class B (c)		3,372		60,659
ASML Holding NV		12,242		1,239,446
Boskalis Westminster		3,007		117,830
CNH Industrial NV		32,725		222,449
Ferrari NV (c)		1,554		64,802
Ferrari NV (c)		2,600		107,571
Fiat Chrysler Automobiles NV (a)		15,100		121,133
Fiat Chrysler Automobiles NV (a)		15,554		125,365
Gemalto NV		216		15,969
Gemalto NV		2,508		184,847
Heineken Holding NV Class A		3,362		261,584
Heineken NV		8,292		750,863
ING Groep NV		139,228		1,676,572
Koninklijke Ahold NV		30,350		681,309
Koninklijke DSM NV		6,892		377,842
Koninklijke KPN NV		116,246		485,661
Koninklijke Philips Electronics NV		34,857		989,660
Koninklijke Vopak NV		2,451		122,004
Mobileye NV (c)		2,600		96,954
NN Group NV		8,796		286,972
NXP Semiconductor NV (c)		4,945		400,891

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

144

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
OCI NV (c)		3,067	$	59,776
QIAGEN NV (c)		7,599		168,465
Randstad Holding NV		4,276		236,074
RELX NV		34,552		601,418
STMicroelectronics NV		22,098		122,260
TNT Express NV		17,345		155,637
Unilever NV		58,060		2,593,256
Wolters Kluwer NV		11,815		470,697
				15,528,671
New Zealand — 0.2%
Auckland International Airport Ltd.		32,874		146,125
Contact Energy Ltd.		25,715		88,950
Fletcher Building Ltd.		25,132		137,006
Meridian Energy Ltd.		51,828		93,906
Mighty River Power Ltd.		21,021		42,455
Ryman Healthcare Ltd.		20,893		120,570
Spark New Zealand Ltd.		63,046		159,060
				788,072
Norway — 0.6%
DnB NOR ASA		35,954		424,777
Gjensidige Forsikring ASA		8,107		138,169
Norsk Hydro ASA		46,516		190,747
Orkla ASA		27,535		249,133
Schibsted ASA Class A		2,685		78,301
Schibsted ASA Class B (c)		3,147		86,929
StatoilHydro ASA		40,247		630,542
Telenor ASA		28,524		460,679
Yara International ASA		5,992		224,869
				2,484,146
Papua New Guinea — 0.1%
Oil Search Ltd.		47,160		245,132
Portugal — 0.2%
Banco Comercial Portugues SA (a) (c)		1,233,195		49,786
Banco Espirito Santo SA (b) (c)		39,664		451
EDP — Energias de Portugal SA		81,716		289,759
Galp Energia SGPS SA		20,264		254,374
Jeronimo Martins SGPS SA		7,976		130,191
				724,561
Singapore — 1.3%
Ascendas Real Estate Investment Trust		74,500		132,053
CapitaLand Commercial Trust		73,500		80,152
CapitaLand Commercial Trust		83,700		129,760
Capitaland Ltd.		95,000		216,291
City Developments Ltd.		13,600		82,400
ComfortDelGro Corp. Ltd.		72,900		157,891
DBS Group Holdings, Ltd.		64,925		740,567
Genting Singapore PLC		209,000		129,421
Global Logistic Properties Ltd.		117,000		167,013
Hutchison Port Holdings Trust		205,700		102,824

	Number of Shares		Value
Jardine Cycle & Carriage Ltd.		4,377	$	129,929
Keppel Corp. Ltd. (a)		49,000		212,464
Oversea-Chinese Banking Corp. Ltd.		116,009		760,465
SembCorp Industries Ltd. (a)		38,500		86,500
SembCorp Marine Ltd. (a)		24,300		29,719
Singapore Airlines Ltd.		19,100		161,795
Singapore Exchange Ltd.		25,400		149,747
Singapore Press Holdings Ltd. (a)		50,300		149,215
Singapore Technologies Engineering Ltd.		53,800		128,881
Singapore Telecommunications Ltd.		288,900		818,481
StarHub Ltd.		22,100		54,914
Suntec Real Estate Investment Trust (a)		83,100		103,235
United Overseas Bank Ltd.		49,212		688,672
UOL Group Ltd.		13,129		58,418
Wilmar International Ltd.		67,800		168,934
Yangzijiang Shipbuilding Holdings Ltd.		48,800		35,499
				5,675,240
Spain — 3.0%
Abertis Infraestructuras SA		18,040		295,334
ACS Actividades de Construccion y Servicios SA		6,643		197,153
Aena SA (c) (d)		2,582		332,126
Amadeus IT Holding SA Class A		15,866		678,101
Banco Bilbao Vizcaya Argentaria SA		230,887		1,523,223
Banco de Sabadell SA (a)		175,028		312,838
Banco Popular Espanol SA (a)		58,496		150,908
Banco Santander SA		520,173		2,272,943
Bankia SA		155,969		147,011
Bankinter SA		25,646		180,269
CaixaBank SA		99,452		292,803
CaixaBank SA (c)		1,370		4,049
Distribuidora Internacional de Alimentacion SA		21,201		109,640
Enagas SA		7,260		217,736
Endesa SA		10,710		205,090
Ferrovial SA		18,467		395,217
Gas Natural SDG SA		11,659		235,572
Grifols SA		9,904		219,888
Iberdrola SA		196,047		1,304,654
Industria de Diseno Textil SA		38,773		1,300,835
International Consolidated Airlines Group SA		28,333		225,361
Mapfre SA		32,918		71,022
Red Electrica Corp. SA		3,906		338,340
Repsol YPF SA		40,835		459,592
Telefonica SA		162,873		1,820,627
Zardoya Otis SA (a)		6,394		74,098
				13,364,430

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

145

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Sweden — 2.8%
Alfa Laval AB		10,112	$	164,515
Assa Abloy AB		35,770		703,197
Atlas Copco AB		23,555		592,475
Atlas Copco AB Class B		14,454		340,583
Boliden AB		9,229		146,550
Electrolux AB Series B		8,017		210,863
Getinge AB Class B (a)		6,922		158,838
Hennes & Mauritz AB Class B		34,452		1,143,113
Hexagon AB Class B		9,714		377,726
Husqvarna AB Class B		14,649		107,035
ICA Gruppen AB (a)		2,725		90,036
Industrivarden AB Class C		5,030		85,314
Investment AB Kinnevik Class B		7,838		221,111
Investor AB Class B		16,271		575,471
Lundin Petroleum AB (c)		7,885		133,347
Nordea Bank AB		109,665		1,052,519
Sandvik AB		39,352		406,941
Securitas AB Class B		10,850		179,590
Skandinaviska Enskilda Banken AB Class A (a)		53,718		509,970
Skanska AB		14,283		325,190
SKF AB Class B (a)		13,227		238,722
Svenska Cellulosa AB Class B		21,904		681,408
Svenska Handelsbanken AB		53,104		671,675
Swedbank AB Class A		34,123		731,040
Swedish Match AB		6,755		228,731
Tele2 AB		11,091		102,342
Telefonaktiebolaget LM Ericsson Class B		107,533		1,075,675
TeliaSonera AB		95,248		494,309
Volvo AB Class B		55,862		609,473
				12,357,759
Switzerland — 8.9%
ABB Ltd.		79,808		1,554,584
Actelion Ltd.		3,724		555,175
Adecco SA		5,652		366,681
Aryzta AG		3,077		126,939
Baloise Holding AG		1,693		214,482
Barry Callebaut AG (a)		78		84,601
Chocoladefabriken Lindt & Spruengli AG		33		204,003
Chocoladefabriken Lindt & Spruengli AG		4		299,334
Cie Financiere Richemont SA		18,835		1,241,410
Coca-Cola HBC AG (c)		6,941		147,282
Credit Suisse Group		65,049		919,382
Dufry AG (c)		1,576		193,896
EMS-Chemie Holding AG Registered (a)		274		141,776
Galenica AG Registered		128		191,746
Geberit AG Registered		1,305		486,050
Givaudan SA Registered		349		682,647

	Number of Shares		Value
Julius Baer Group Ltd.		8,618	$	368,173
Kuehne & Nagel International AG		1,818		258,360
LafargeHolcim Ltd.		12,199		573,233
LafargeHolcim Ltd. (c)		4,505		211,385
Lonza Group AG Registered		2,008		338,431
Nestle SA		114,030		8,515,018
Novartis AG		81,581		5,893,035
Pargesa Holding SA		1,102		70,095
Partners Group Holding AG		543		217,601
Roche Holding AG		25,181		6,179,001
Schindler Holding AG		1,503		276,195
Schindler Holding AG		707		129,433
SGS SA		192		405,545
Sika AG		73		288,188
Sonova Holding AG		1,810		230,456
Sulzer AG		903		89,490
The Swatch Group AG (a)		1,074		370,939
The Swatch Group AG		1,760		118,152
Swiss Life Holding AG		1,080		286,925
Swiss Prime Site AG		2,176		191,815
Swiss Re AG		12,865		1,185,051
Swisscom AG		989		535,505
Syngenta AG		3,335		1,382,359
UBS Group AG		131,834		2,111,579
Zurich Insurance Group AG		5,332		1,231,984
				38,867,936
United Arab Emirates — 0.0%
Mediclinic International PLC		13,908		178,697
United Kingdom — 18.4%
3i Group PLC		32,749		213,561
Aberdeen Asset Management PLC		31,232		123,416
Admiral Group PLC		7,654		217,362
Aggreko PLC		8,935		137,539
Anglo American PLC		49,947		391,202
Antofagasta PLC (a)		12,038		80,533
ARM Holdings PLC		52,274		762,388
Ashtead Group PLC		18,856		232,467
Associated British Foods PLC		12,633		605,433
AstraZeneca PLC		45,306		2,529,773
Auto Trader Group PLC (d)		36,387		203,106
Aviva PLC		144,265		939,253
Babcock International Group PLC		9,024		123,006
BAE Systems PLC		112,805		822,147
Barclays PLC		604,957		1,294,033
Barratt Developments PLC		34,976		280,537
Berkeley Group Holdings PLC		5,418		249,416
BHP Billiton PLC		75,335		850,570
BP PLC		656,522		3,289,347
British American Tobacco PLC		66,646		3,902,955
British Land Co. PLC		33,406		334,731
BT Group PLC		303,945		1,914,351
Bunzl PLC		11,870		343,678

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

146

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Burberry Group PLC		16,270	$	318,694
Capita PLC		25,847		385,413
Capital Shopping Centres Group PLC		32,480		145,419
Carnival PLC		6,983		376,543
Centrica PLC		180,232		587,016
Cobham PLC		39,394		122,315
Compass Group PLC		58,380		1,026,127
Croda International PLC		4,597		200,187
Diageo PLC		90,006		2,428,971
Direct Line Insurance Group PLC		55,678		294,876
Dixons Carphone PLC		33,016		201,254
easyJet PLC		5,668		123,272
Fresnillo PLC		8,610		117,571
G4S PLC		52,578		143,267
GKN PLC		60,462		250,513
GlaxoSmithKline PLC		173,889		3,523,436
Glencore PLC		437,680		985,088
Hammerson PLC		31,856		263,760
Hargreaves Lansdown PLC		8,843		169,667
HSBC Holdings PLC		700,604		4,341,170
ICAP PLC		19,176		130,347
IMI PLC		9,482		129,093
Imperial Brands PLC		34,387		1,903,677
Inmarsat PLC		15,171		213,586
InterContinental Hotels Group PLC		8,271		339,485
Intertek Group PLC		5,453		247,174
Investec PLC		19,179		140,173
ITV PLC		143,501		495,271
J Sainsbury PLC (a)		45,640		180,704
Johnson Matthey PLC		7,221		283,719
Kingfisher PLC		85,482		461,344
Land Securities Group PLC		29,780		469,056
Legal & General Group PLC		213,893		717,929
Lloyds Banking Group PLC		2,044,944		1,984,878
London Stock Exchange Group PLC		11,318		455,921
Marks & Spencer Group PLC		56,155		326,451
Meggitt PLC		27,277		158,674
Merlin Entertainments PLC (d)		24,628		163,380
Mondi PLC		13,553		258,741
National Grid PLC		133,415		1,890,199
Next PLC		5,384		416,247
Old Mutual PLC		174,868		481,105
Pearson PLC		28,220		353,592
Persimmon PLC		10,668		318,396
Petrofac Ltd.		9,924		130,316
Provident Financial PLC		5,168		219,169
Prudential PLC		92,265		1,711,266
Randgold Resources Ltd.		3,444		313,509
Reckitt Benckiser Group PLC		22,818		2,203,439
RELX PLC		41,476		768,116
Rexam PLC		23,393		212,763

	Number of Shares		Value
Rio Tinto PLC		44,950	$	1,268,454
Rolls-Royce Holdings PLC		66,238		644,862
Royal Bank of Scotland Group PLC (c)		120,638		383,649
Royal Dutch Shell PLC Class A		141,119		3,404,414
Royal Dutch Shell PLC Class B		141,876		3,455,470
Royal Mail PLC		31,519		216,700
RSA Insurance Group PLC		34,345		233,413
SABMiller PLC		34,578		2,113,115
The Sage Group PLC		37,317		335,955
Schroders PLC		4,007		153,514
Scottish & Southern Energy PLC		36,662		782,885
Segro PLC		25,421		149,341
Severn Trent PLC		9,573		298,012
Shire Ltd.		21,347		1,222,935
Sky PLC		38,382		562,478
Smith & Nephew PLC		33,277		546,501
Smiths Group PLC		13,375		205,651
Sports Direct International PLC (c)		9,382		50,822
St James’s Place PLC		17,940		235,220
Standard Chartered PLC		117,958		793,748
Standard Life PLC		67,125		341,520
Tate & Lyle PLC		15,232		126,355
Taylor Wimpey PLC		112,988		307,573
Tesco PLC (c)		285,970		787,065
Travis Perkins PLC		8,148		213,037
Unilever PLC		45,855		2,070,595
United Utilities Group PLC		23,975		317,066
Vodafone Group PLC		950,205		3,028,669
The Weir Group PLC		7,445		118,411
Whitbread PLC		7,124		404,877
William Hill PLC		31,412		147,177
WM Morrison Supermarkets PLC (a)		81,861		232,819
Wolseley PLC		8,857		498,731
Worldpay Group PLC (c) (d)		48,835		192,107
WPP PLC		46,904		1,093,038
				80,859,262
TOTAL COMMON STOCK (Cost $438,345,173)				422,979,876
PREFERRED STOCK — 0.5%
Germany — 0.5%
Bayerische Motoren Werke AG 3.960%		1,862		148,784
Fuchs Petrolub AG 1.900%		2,127		94,910
Henkel AG & Co. KGaA 1.420%		6,404		705,753
Porsche Automobil Holdings SE 2.660%		5,704		293,993

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

147

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Volkswagen AG 2.430%		6,610	$	840,723
				2,084,163
TOTAL PREFERRED STOCK (Cost $2,493,923)				2,084,163
TOTAL EQUITIES (Cost $440,839,096)				425,064,039
MUTUAL FUNDS — 4.8%
United States — 4.8%
State Street Navigator Securities Lending Prime Portfolio (e)		21,268,991		21,268,991
TOTAL MUTUAL FUNDS (Cost $21,268,991)				21,268,991
TOTAL LONG-TERM INVESTMENTS (Cost $462,108,087)				446,333,030
	Principal Amount
SHORT-TERM INVESTMENTS — 1.7%
Repurchase Agreement — 1.7%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16 0.010% 4/01/16 (f)	$	7,426,447		7,426,447
TOTAL SHORT-TERM INVESTMENTS (Cost $7,426,447)				7,426,447
TOTAL INVESTMENTS — 103.4% (Cost $469,534,534) (g)				453,759,477
Other Assets/(Liabilities) — (3.4)%				(15,019,427	)
NET ASSETS — 100.0%			$	438,740,050

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $20,185,134 or 4.60% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2016, these securities amounted to a value of $329,208 or 0.08% of net assets.

(c) Non-income producing security.

(d) 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 March 31, 2016, these securities amounted to a value of $1,226,584 or 0.28% of net assets.

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

(f) Maturity value of $7,426,449. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $7,575,578.

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

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

148

MassMutual Select Overseas Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.4%
COMMON STOCK — 97.3%
Australia — 1.6%
AMP Ltd.		483,457	$	2,143,339
Australia & New Zealand Banking Group Ltd.		147,586		2,637,772
Goodman Group		305,387		1,556,426
Orica Ltd. (a)		354,280		4,154,411
				10,491,948
Belgium — 0.8%
Anheuser-Busch InBev SA/NV		9,102		1,134,669
KBC Groep NV		84,319		4,345,510
				5,480,179
Bermuda — 0.5%
Global Brands Group Holding Ltd. (b)		10,469,600		1,268,902
Li & Fung Ltd.		3,241,600		1,922,994
				3,191,896
Brazil — 0.3%
Ambev SA ADR (Brazil)		418,308		2,166,836
Canada — 2.1%
Canadian National Railway Co.		84,467		5,275,809
Element Financial Corp. (a)		188,715		2,034,271
Loblaw Cos. Ltd.		37,970		2,126,028
Suncor Energy, Inc.		145,532		4,053,045
				13,489,153
Cayman Islands — 1.5%
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (b)		31,442		2,484,861
Baidu, Inc. Sponsored ADR (Cayman Islands) (b)		13,690		2,613,147
CK Hutchison Holdings Ltd.		167,600		2,173,345
Melco Crown Entertainment Ltd. ADR (Cayman Islands) (a)		145,000		2,393,950
				9,665,303
Denmark — 0.5%
Carlsberg A/S Class B (a)		25,443		2,419,507
Pandora A/S		7,711		1,005,539
				3,425,046
Finland — 0.5%
Nokia OYJ		319,131		1,895,821
UPM-Kymmene OYJ		82,322		1,484,827
				3,380,648
France — 13.6%
Air Liquide		65,111		7,303,389
AXA SA		130,463		3,067,163
BNP Paribas		176,684		8,859,562

	Number of Shares		Value
Bureau Veritas SA		225,722	$	5,017,447
Cap Gemini SA		15,379		1,443,649
Danone SA		145,242		10,311,048
Dassault Systemes SA		31,564		2,498,707
Engie SA		270,218		4,182,180
Hermes International		1,681		591,348
Kering		17,660		3,148,895
L’Oreal		18,846		3,368,271
Legrand SA		49,819		2,788,890
LVMH Moet Hennessy Louis Vuitton SE		48,236		8,250,229
Natixis SA		130,804		641,756
Pernod-Ricard SA		79,127		8,814,606
Renault SA		26,282		2,607,915
Safran SA		30,560		2,136,869
Schneider Electric SE		110,597		6,984,883
Thales SA		13,584		1,189,681
Total SA		99,853		4,541,552
Valeo SA		13,360		2,077,328
				89,825,368
Germany — 9.6%
Adidas AG		8,204		961,498
Allianz SE		27,850		4,527,359
Bayer AG		124,235		14,600,566
Bayerische Motoren Werke AG		52,065		4,782,094
Beiersdorf AG		73,159		6,602,422
Brenntag AG		23,058		1,314,558
Daimler AG		113,328		8,688,272
E.ON SE		98,785		948,074
HeidelbergCement AG		15,187		1,299,591
Infineon Technologies AG		94,488		1,343,907
Linde AG		22,719		3,309,295
Merck KGaA		38,070		3,174,257
MTU Aero Engines AG		16,688		1,599,962
ProSiebenSat.1 Media SE		44,443		2,284,005
SAP SE		93,174		7,537,978
				62,973,838
Hong Kong — 1.5%
AIA Group Ltd.		1,353,400		7,674,947
China Overseas Land & Investment Ltd.		242,000		766,507
CNOOC Ltd.		1,303,000		1,526,678
				9,968,132
India — 0.9%
Housing Development Finance Corp.		229,427		3,829,718
Tata Consultancy Services Ltd.		60,013		2,292,292
				6,122,010
Indonesia — 0.5%
Bank Mandari Tbk PT		4,519,200		3,509,111

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

149

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Ireland — 1.0%
Experian PLC		133,200	$	2,370,226
Ryanair Holdings PLC Sponsored ADR (Ireland)		12,671		1,087,425
Willis Towers Watson PLC		25,437		3,018,355
				6,476,006
Israel — 0.7%
Check Point Software Technologies Ltd. (a) (b)		36,614		3,202,627
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		23,361		1,250,047
				4,452,674
Italy — 2.7%
Enel SpA		615,777		2,725,424
Eni SpA		147,610		2,231,156
Exor SpA		70,500		2,520,704
Intesa Sanpaolo SpA		2,068,655		5,688,731
Prada SpA		939,900		3,229,481
Telecom Italia SpA (b)		1,426,042		1,537,730
				17,933,226
Japan — 15.7%
Daikin Industries Ltd.		59,100		4,414,475
Daiwa House Industry Co. Ltd.		76,000		2,130,980
Daiwa Securities Group, Inc. (a)		832,000		5,102,450
Denso Corp.		167,100		6,696,804
Dentsu, Inc. (a)		29,300		1,470,036
Fanuc Corp.		22,200		3,447,017
Honda Motor Co. Ltd.		324,600		8,895,728
Hoya Corp.		232,900		8,854,595
Inpex Corp.		148,300		1,123,896
Japan Airlines Co. Ltd.		41,300		1,512,164
Japan Tobacco, Inc.		134,900		5,608,332
Komatsu Ltd. (a)		188,600		3,208,995
Kubota Corp.		139,500		1,897,766
Kyocera Corp.		82,600		3,636,232
Mitsubishi UFJ Financial Group, Inc.		756,500		3,502,903
Mitsui Fudosan Co. Ltd.		96,000		2,387,053
NH Foods Ltd. (a)		39,000		857,683
Nippon Telegraph & Telephone Corp.		101,700		4,372,853
Nomura Holdings, Inc.		1,246,000		5,546,407
Omron Corp. (a)		112,400		3,343,616
Shin-Etsu Chemical Co. Ltd.		31,700		1,639,527
Sompo Japan Nipponkoa Holdings, Inc.		58,200		1,647,513
Sony Corp.		63,200		1,623,358
Sumitomo Mitsui Financial Group, Inc.		133,600		4,047,594
Suzuken Co. Ltd.		20,600		699,716
Suzuki Motor Corp.		53,800		1,438,266
Terumo Corp.		190,500		6,826,583

	Number of Shares		Value
Toyota Motor Corp.		121,300	$	6,397,166
Yamato Holdings Co. Ltd. (a)		73,300		1,462,724
				103,792,432
Luxembourg — 0.1%
ArcelorMittal (a)		204,136		917,401
Mexico — 0.3%
Grupo Televisa SAB Sponsored ADR (Mexico)		79,100		2,172,086
Netherlands — 5.1%
Airbus Group SE		26,836		1,780,730
Akzo Nobel NV		96,942		6,587,433
ASML Holding NV		12,940		1,310,115
CNH Industrial NV		669,300		4,549,591
Heineken NV		8,773		794,419
ING Groep NV		532,357		6,410,597
Koninklijke KPN NV		313,534		1,309,905
Koninklijke Philips Electronics NV		158,091		4,488,520
NN Group NV		39,319		1,282,795
Randstad Holding NV (a)		88,715		4,897,866
				33,411,971
Norway — 0.3%
Norsk Hydro ASA		389,403		1,596,813
Republic of Korea — 0.8%
Samsung Electronics Co., Ltd.		4,671		5,357,726
Singapore — 1.1%
DBS Group Holdings, Ltd.		476,300		5,432,914
Singapore Telecommunications Ltd.		383,000		1,085,075
Singapore Telecommunications Ltd.		218,600		616,039
				7,134,028
Spain — 0.8%
Amadeus IT Holding SA Class A		79,080		3,379,821
Banco Santander SA		328,718		1,436,363
Bankia SA		693,336		653,516
				5,469,700
Sweden — 2.4%
Atlas Copco AB Class B		90,400		2,130,116
Electrolux AB Series B		51,607		1,357,369
Hennes & Mauritz AB Class B		202,498		6,718,857
Nordea Bank AB		183,988		1,765,841
Sandvik AB		75,271		778,382
SKF AB Class B (a)		173,100		3,124,119
				15,874,684
Switzerland — 10.2%
Cie Financiere Richemont SA		55,850		3,681,058
Credit Suisse Group		598,930		8,465,084
Julius Baer Group Ltd.		60,694		2,592,929
Kuehne & Nagel International AG		23,061		3,277,251
LafargeHolcim Ltd.		110,530		5,193,820
Nestle SA		178,627		13,338,701

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

150

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Novartis AG		82,364	$	5,949,595
Roche Holding AG		48,308		11,853,985
Sonova Holding AG		14,207		1,808,890
The Swatch Group AG (a)		7,425		2,564,456
UBS Group AG		457,932		7,334,676
Zurich Insurance Group AG		5,309		1,226,670
				67,287,115
Taiwan — 1.8%
Hon Hai Precision Industry Co. Ltd.		671,319		1,758,116
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		370,098		9,696,568
Taiwan Semiconductor Manufacturing Co. Ltd.		122,000		610,207
				12,064,891
United Kingdom — 19.1%
Ashtead Group PLC		224,900		2,772,695
Aviva PLC		171,721		1,118,008
Barclays PLC		1,382,269		2,956,741
Barratt Developments PLC		96,201		771,615
British American Tobacco PLC		36,416		2,132,612
Burberry Group PLC		72,400		1,418,158
Centrica PLC		507,094		1,651,606
Compass Group PLC		574,374		10,095,588
Delphi Automotive PLC		25,507		1,913,535
Diageo PLC		264,921		7,149,360
Dixons Carphone PLC		130,497		795,466
G4S PLC		585,000		1,594,038
GlaxoSmithKline PLC		191,122		3,872,621
Glencore PLC		3,575,400		8,047,169	��
HSBC Holdings PLC		625,574		3,876,260
InterContinental Hotels Group PLC		37,521		1,540,057
Lloyds Banking Group PLC		5,657,529		5,491,352
Meggitt PLC		262,649		1,527,867
National Grid PLC		175,273		2,483,236
Prudential PLC		287,208		5,326,930
Reckitt Benckiser Group PLC		87,187		8,419,283
Rio Tinto PLC		177,335		5,004,258
Rolls-Royce Holdings PLC		361,621		3,520,574
Royal Dutch Shell PLC Class A		214,804		5,182,022
RSA Insurance Group PLC		164,681		1,119,195
Schroders PLC		51,900		1,988,366
Schroders PLC		300		8,696
Shire Ltd.		22,434		1,285,207
Sky PLC		439,112		6,435,068
Smiths Group PLC		364,491		5,604,340
Standard Chartered PLC		190,263		1,280,294
Vodafone Group PLC		1,369,468		4,365,021
Wolseley PLC		55,133		3,104,495
WPP PLC		517,301		12,055,039
				125,906,772

	Number of Shares		Value
United States — 1.3%
Yum! Brands, Inc.		101,777	$	8,330,448
TOTAL COMMON STOCK (Cost $655,518,642)				641,867,441
PREFERRED STOCK — 0.1%
Germany — 0.1%
Henkel AG & Co. KGaA 1.420%		6,296		693,851
TOTAL PREFERRED STOCK (Cost $703,412)				693,851
TOTAL EQUITIES (Cost $656,222,054)				642,561,292
MUTUAL FUNDS — 3.7%
United States — 3.7%
State Street Navigator Securities Lending Prime Portfolio (c)		24,463,701		24,463,701
TOTAL MUTUAL FUNDS (Cost $24,463,701)				24,463,701
TOTAL LONG-TERM INVESTMENTS (Cost $680,685,755)				667,024,993
	Principal Amount
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 2.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/16, 0.010%, due 4/01/16 (d)	$	14,037,092		14,037,092
TOTAL SHORT-TERM INVESTMENTS (Cost $14,037,092)				14,037,092
TOTAL INVESTMENTS — 103.2% (Cost $694,722,847) (e)				681,062,085
Other Assets/(Liabilities) — (3.2)%				(20,907,356	)
NET ASSETS — 100.0%			$	660,154,729

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

151

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2016, was $23,324,194 or 3.53% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

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

(d) Maturity value of $14,037,096. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% - 1.750%, maturity dates ranging from 5/15/18 - 11/30/19, and an aggregate market value, including accrued interest, of $14,324,856.

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

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

152

[THIS PAGE INTENTIONALLY LEFT BLANK]

153

MassMutual Select Funds – Financial Statements

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual Select Total Return Bond Fund		MassMutual Select Strategic Bond Fund
Assets:
Investments, at value (Note 2) (a)	$	921,820,947	$	273,594,612
Repurchase agreements, at value (b)		20,182,175		39,484,579
Other short-term investments, at value (Note 2) (c)		160,417,780		5,024,710
Total investments (d)		1,102,420,902		318,103,901
Foreign currency, at value (e)		-		762,592
Receivables from:
Investments sold		9,349,789		1,343,680
Investments sold on a when-issued basis (Note 2)		18,228,888		19,451,281
Open forward foreign currency contracts (Note 2)		5,816		227,271
Investment adviser (Note 3)		-		18,317
Fund shares sold		332,716		102,347
Collateral pledged for open swap agreements (Note 2)		-		643,518
Collateral pledged for open derivative instruments (Note 2)		-		1,216,258
Variation margin on open derivative instruments (Note 2)		105,357		191,354
Interest and dividends		5,128,141		1,877,022
Interest tax reclaim receivable		382		148
Foreign taxes withheld		-		-
Prepaid expenses		53,570		63,289
Total assets		1,135,625,561		344,000,978
Liabilities:
Payables for:
Investments purchased		4,155,933		3,409,316
Written options outstanding, at value (Note 2) (f)		-		63,800
Payable for securities sold short, at value (Note 2) (g)		-		3,977,976
Open forward foreign currency contracts (Note 2)		-		807,245
Fund shares repurchased		2,477,047		399,430
Investments purchased on a when-issued basis (Note 2)		77,801,683		32,865,808
Securities on loan (Note 2)		-		-
Payable for premium on purchased options		-		115,805
Open swap agreements, at value (Note 2)		-		33,717
Trustees’ fees and expenses (Note 3)		208,965		43,654
Variation margin on open derivative instruments (Note 2)		-		-
Affiliates (Note 3):
Investment advisory fees		330,520		101,325
Administration fees		130,778		52,699
Service fees		230,765		41,442
Shareholder service fees		19,977		12,446
Distribution fees		28,372		2,890
Due to custodian		159,066		4,800
Accrued expense and other liabilities		54,406		24,355
Total liabilities		85,597,512		41,956,708
Net assets	$	1,050,028,049	$	302,044,270
Net assets consist of:
Paid-in capital	$	1,032,583,496	$	305,644,962
Undistributed (accumulated) net investment income (loss)		4,786,513		1,683,027
Accumulated net realized gain (loss) on investments and foreign currency transactions		10,097,030		(3,039,799	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		2,561,010		(2,243,920	)
Net assets	$	1,050,028,049	$	302,044,270
(a)        Cost of investments:	$	919,520,769	$	273,809,356
(b)        Cost of repurchase agreements:	$	20,182,175	$	39,484,579
(c)        Cost of other short-term investments:	$	160,385,470	$	5,022,720
(d)        Securities on loan with market value of:	$	-	$	-
(e)        Cost of foreign currency:	$	-	$	745,113
(f)         Premiums on written options:	$	-	$	158,463
(g)        Proceeds from securities sold short:	$	-	$	3,978,953

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

154

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund			MM S&P 500 Index Fund			MassMutual Select Focused Value Fund
$	337,216,575	$	1,255,872,250	$	211,565,033		$	3,577,275,570		$	755,498,115
	7,388,556		9,965,563		2,858,764			55,021,754			55,135,683
	9,874		77,789		-			3,415,265			-
	344,615,005		1,265,915,602		214,423,797			3,635,712,589			810,633,798
	-		-		215,695			-			-
	4,565,454		12,024,500		380,414			515,726			3,034,176
	-		-		-			-			-
	-		-		-			-			-
	-		-		13,529			-			-
	43,850		534,984		16,494			1,517,246			324,629
	-		-		-			-			-
	-		-		-			-			-
	-		-		-			-			-
	360,106		2,111,550		491,331			4,336,857			249,820
	-		-		-			-			-
	-		461,337		14,304			-			-
	59,049		64,235		65,922			67,418			67,701
	349,643,464		1,281,112,208		215,621,486			3,642,149,836			814,310,124
	6,359,653		5,610,885		26,606			3,814,575			-
	-		-		-			-			-
	-		-		-			-			-
	-		-		-			-			-
	489,755		1,270,929		485,201			2,082,105			2,378,061
	-		-		-			-			-
	-		-		1,798,519			-			-
	-		-		-			-			-
	-		-		-			-			-
	75,326		253,034		150,471			514,840			157,315
	-		-		-			104,745			-
	142,671		638,871		108,529			283,435			466,311
	26,576		101,292		23,344			430,226			75,125
	12,369		103,020		18,060			391,874			108,286
	3,605		39,970		5,773			92,020			37,049
	727		752		44			31,748			1,850
	-		-		280,651			-			-
	25,107		29,505		22,538			40,778			28,098
	7,135,789		8,048,258		2,919,736			7,786,346			3,252,095
$	342,507,675	$	1,273,063,950	$	212,701,750		$	3,634,363,490		$	811,058,029
$	302,417,618	$	988,724,100	$	212,375,809		$	2,298,130,400		$	759,211,276
	2,901,635		9,603,390		957,464			18,737,686			2,630,280
	1,907,813		32,041,763		1,371,699			(5,181,528	)		(50,716,770	)
	35,280,609		242,694,697		(2,003,222	)		1,322,676,932			99,933,243
$	342,507,675	$	1,273,063,950	$	212,701,750		$	3,634,363,490		$	811,058,029
$	301,935,966	$	1,013,165,935	$	213,566,663		$	2,255,997,580		$	655,564,872
$	7,388,556	$	9,965,563	$	2,858,764		$	55,021,754		$	55,135,683
$	9,874	$	77,789	$	-		$	3,415,397		$	-
$	-	$	-	$	1,756,889		$	-		$	-
$	-	$	-	$	217,895		$	-		$	-
$	-	$	-	$	-		$	-		$	-
$	-	$	-	$	-		$	-		$	-

155

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual Select Total Return Bond Fund		MassMutual Select Strategic Bond Fund
Class I shares:
Net assets	$	269,742,124	$	83,450,434
Shares outstanding (a)		26,635,688		8,180,913
Net asset value, offering price and redemption price per share	$	10.13	$	10.20
Class R5 shares:
Net assets	$	125,418,002	$	58,076,824
Shares outstanding (a)		12,405,183		5,690,151
Net asset value, offering price and redemption price per share	$	10.11	$	10.21
Service Class shares:
Net assets	$	201,773,052	$	50,694,418
Shares outstanding (a)		19,881,921		4,967,344
Net asset value, offering price and redemption price per share	$	10.15	$	10.21
Administrative Class shares:
Net assets	$	87,786,935	$	39,108,961
Shares outstanding (a)		8,706,635		3,839,619
Net asset value, offering price and redemption price per share	$	10.08	$	10.19
Class A shares:
Net assets	$	2,406,821	$	44,031,148
Shares outstanding (a)		238,158		4,335,382
Net asset value and redemption price per share	$	10.11	$	10.16
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.61	$	10.67
Class R4 shares:
Net assets	$	317,151,465	$	21,528,563
Shares outstanding (a)		31,256,481		2,124,643
Net asset value, offering price and redemption price per share	$	10.15	$	10.13
Class R3 shares:
Net assets	$	45,749,650	$	5,153,922
Shares outstanding (a)		4,538,860		511,772
Net asset value, offering price and redemption price per share	$	10.08	$	10.07

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

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

156

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund		MM S&P 500 Index Fund		MassMutual Select Focused Value Fund
$	203,087,476	$	464,128,081	$	67,489,088	$	979,676,665	$	237,979,511
	14,449,046		39,947,835		9,962,846		53,703,469		13,962,937
$	14.06	$	11.62	$	6.77	$	18.24	$	17.04
$	101,305,491	$	387,493,240	$	95,752,449	$	823,032,903	$	219,266,378
	7,202,799		33,229,088		14,107,209		45,032,287		12,830,608
$	14.06	$	11.66	$	6.79	$	18.28	$	17.09
$	10,788,037	$	149,799,836	$	6,483,372	$	658,158,067	$	76,517,274
	766,976		12,895,978		952,646		35,975,310		4,539,019
$	14.07	$	11.62	$	6.81	$	18.29	$	16.86
$	5,368,378	$	97,745,848	$	13,318,549	$	498,996,391	$	97,111,694
	379,838		8,367,897		1,967,010		27,610,873		5,817,848
$	14.13	$	11.68	$	6.77	$	18.07	$	16.69
$	20,261,633	$	170,769,729	$	29,500,306	$	20,578,485	$	173,346,366
	1,442,303		14,792,648		4,364,965		1,153,021		10,744,446
$	14.05	$	11.54	$	6.76	$	17.85	$	16.13
$	14.91	$	12.24	$	7.17	$	18.94	$	17.11
$	338,468	$	1,836,629	$	83,888	$	590,860,901	$	3,603,667
	24,168		160,146		12,479		32,974,426		224,672
$	14.00	$	11.47	$	6.72	$	17.92	$	16.04
$	1,358,192	$	1,290,587	$	74,098	$	63,060,078	$	3,233,139
	96,764		112,968		11,206		3,573,701		210,132
$	14.04	$	11.42	$	6.61	$	17.65	$	15.39

157

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual Select Fundamental Growth Fund		MassMutual Select Blue Chip Growth Fund
Assets:
Investments, at value (Note 2) (a)	$	134,663,877	$	1,487,924,674
Repurchase agreements, at value (b)		4,000,407		9,189,885
Other short-term investments, at value (Note 2) (c)		-		4,744,816
Total investments (d)		138,664,284		1,501,859,375
Cash		-		-
Foreign currency, at value (e)		-		1
Receivables from:
Investments sold		331,270		3,168,185
Open forward foreign currency contracts (Note 2)		-		-
Investment adviser (Note 3)		14,610		-
Fund shares sold		46,689		4,365,214
Variation margin on open derivative instruments (Note 2)		-		-
Interest and dividends		75,714		935,476
Foreign taxes withheld		-		115,155
Prepaid expenses		65,600		68,274
Total assets		139,198,167		1,510,511,680
Liabilities:
Payables for:
Investments purchased		1,770,476		8,890,723
Open forward foreign currency contracts (Note 2)		-		-
Fund shares repurchased		124,067		722,996
Securities on loan (Note 2)		2,404,984		-
Investment advisory fees		-		-
Trustees’ fees and expenses (Note 3)		18,224		204,303
Affiliates (Note 3):
Investment advisory fees		72,808		772,137
Administration fees		12,125		133,882
Service fees		11,453		114,895
Shareholder service fees		3,867		58,984
Distribution fees		403		6,125
Due to custodian		-		29,115
Accrued expense and other liabilities		20,147		35,874
Total liabilities		4,438,554		10,969,034
Net assets	$	134,759,613	$	1,499,542,646
Net assets consist of:
Paid-in capital	$	113,591,485	$	1,229,961,725
Undistributed (accumulated) net investment income (loss)		63,075		-
Distributions in excess of net investment income		-		(4,161,339	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		3,980,644		22,556,316
Net unrealized appreciation (depreciation) on investments and foreign currency translations		17,124,409		251,185,944
Net assets	$	134,759,613	$	1,499,542,646
(a)        Cost of investments:	$	117,539,468	$	1,236,738,629
(b)        Cost of repurchase agreements:	$	4,000,407	$	9,189,885
(c)        Cost of other short-term investments:	$	-	$	4,744,816
(d)        Securities on loan with market value of:	$	2,356,736	$	-
(e)        Cost of foreign currency:	$	-	$	1

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

158

MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund
$	942,351,015		$	100,503,863		$	177,785,365	$	292,875,708		$	321,032,272
	13,575,725			370,599			7,200,511		5,753,704			6,183,640
	-			-			44,838		214,673			683,957
	955,926,740			100,874,462			185,030,714		298,844,085			327,899,869
	18			-			-		-			-
	-			-			-		-			-
	1,167,213			1,924,967			287,095		-			4,014,344
	-			538			-		-			-
	-			14,845			10,531		-			-
	435,680			112,551			150,134		245,247			362,293
	-			-			-		4,940			2,414
	291,890			204,732			173,486		506,845			304,782
	82,221			281			-		-			-
	65,721			53,063			63,444		58,497			53,894
	957,969,483			103,185,439			185,715,404		299,659,614			332,637,596
	-			1,185,643			1,136,731		508,748			1,828,534
	-			21,827			-		-			-
	794,943			134,906			140,151		186,373			579,421
	18,972,439			-			-		11,371,132			11,810,882
	-			-			-		-			51
	125,748			28,310			25,212		103,366			18,151
	545,787			59,317			112,866		202,132			26,017
	80,247			5,648			14,671		25,279			36,296
	83,900			1,337			4,720		17,393			46,648
	34,894			430			1,660		6,368			12,569
	507			57			127		42			10,407
	-			149,499			44,838		-			-
	26,431			5,970			21,330		23,437			5,584
	20,664,896			1,592,944			1,502,306		12,444,270			14,374,560
$	937,304,587		$	101,592,495		$	184,213,098	$	287,215,344		$	318,263,036
$	768,992,952		$	103,564,511		$	154,264,335	$	281,891,910		$	300,854,883
	(243,358	)		545,366			184,656		1,478,299			1,061,073
	-			-			-		-			-
	19,045,858			(4,478,218	)		3,198,184		(12,107,837	)		3,787,601
	149,509,135			1,960,836			26,565,923		15,952,972			12,559,479
$	937,304,587		$	101,592,495		$	184,213,098	$	287,215,344		$	318,263,036
$	792,841,880		$	98,521,782		$	151,219,443	$	277,012,945		$	308,712,804
$	13,575,725		$	370,599		$	7,200,511	$	5,753,704		$	6,183,640
$	-		$	-		$	44,838	$	214,569		$	684,046
$	18,541,985		$	-		$	-	$	11,047,644		$	11,440,179
$	-		$	-		$	-	$	-		$	-

159

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual Select Fundamental Growth Fund		MassMutual Select Blue Chip Growth Fund
Class I shares:
Net assets	$	77,979,035	$	416,051,612
Shares outstanding (a)		10,129,800		27,113,593
Net asset value, offering price and redemption price per share	$	7.70	$	15.34
Class R5 shares:
Net assets	$	20,425,757	$	409,559,760
Shares outstanding (a)		2,648,009		26,722,559
Net asset value, offering price and redemption price per share	$	7.71	$	15.33
Service Class shares:
Net assets	$	6,318,054	$	232,109,537
Shares outstanding (a)		833,213		15,273,910
Net asset value, offering price and redemption price per share	$	7.58	$	15.20
Administrative Class shares:
Net assets	$	10,765,135	$	240,092,925
Shares outstanding (a)		1,448,584		15,989,141
Net asset value, offering price and redemption price per share	$	7.43	$	15.02
Class A shares:
Net assets	$	17,688,937	$	159,152,331
Shares outstanding (a)		2,470,713		11,013,734
Net asset value and redemption price per share	$	7.16	$	14.45
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	7.60	$	15.33
Class R4 shares:
Net assets	$	570,856	$	30,558,728
Shares outstanding (a)		80,127		2,114,520
Net asset value, offering price and redemption price per share	$	7.12	$	14.45
Class R3 shares:
Net assets	$	1,011,839	$	12,017,753
Shares outstanding (a)		148,883		879,661
Net asset value, offering price and redemption price per share	$	6.80	$	13.66

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

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

160

MassMutual Select Growth Opportunities Fund		MassMutual Select Mid-Cap Value Fund		MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund		MM S&P Mid Cap Index Fund
$	346,260,635	$	89,830,503	$	113,868,293	$	124,985,914	$	142,556,909
	34,645,026		7,164,548		7,565,415		12,281,196		11,379,826
$	9.99	$	12.54	$	15.05	$	10.18	$	12.53
$	204,904,277	$	6,024,065	$	50,934,554	$	100,080,934	$	16,089,369
	20,640,748		477,435		3,380,737		9,788,748		1,287,255
$	9.93	$	12.62	$	15.07	$	10.22	$	12.50
$	158,692,546	$	3,037,574	$	6,844,740	$	16,541,583	$	19,085,944
	16,330,755		241,479		453,413		1,625,329		1,532,115
$	9.72	$	12.58	$	15.10	$	10.18	$	12.46
$	98,696,877	$	253,595	$	4,252,807	$	16,026,267	$	56,006,105
	10,448,292		19,871		282,877		1,598,310		4,496,510
$	9.45	$	12.76	$	15.03	$	10.03	$	12.46
$	120,810,919	$	2,260,731	$	6,958,149	$	29,421,411	$	40,491,944
	13,508,250		179,571		464,208		3,016,098		3,255,894
$	8.94	$	12.59	$	14.99	$	9.75	$	12.44
$	9.49	$	13.36	$	15.90	$	10.34	$	13.20
$	7,117,382	$	85,597	$	1,096,452	$	85,247	$	24,428,765
	793,673		6,838		73,494		8,798		1,969,240
$	8.97	$	12.52	$	14.92	$	9.69	$	12.41
$	821,951	$	100,430	$	258,103	$	73,988	$	19,604,000
	97,654		8,045		17,287		8,034		1,583,599
$	8.42	$	12.48	$	14.93	$	9.21	$	12.38

161

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MM Russell 2000 Small Cap Index Fund			MassMutual Select Mid Cap Growth Equity II Fund
Assets:
Investments, at value (Note 2) (a)	$	311,918,136		$	2,924,845,719
Repurchase agreements, at value (b)		3,492,166			126,280,921
Other short-term investments, at value (Note 2) (c)		704,418			-
Total investments (d)		316,114,720			3,051,126,640
Foreign currency, at value (e)		14			-
Receivables from:
Investments sold		847,882			10,193,448
Open forward foreign currency contracts (Note 2)		-			-
Investment adviser (Note 3)		4,858			-
Fund shares sold		330,546			17,908,542
Collateral pledged for open futures contracts (Note 2)		-			-
Variation margin on open derivative instruments (Note 2)		11,458			-
Interest and dividends		459,708			1,199,623
Foreign taxes withheld		-			-
Prepaid expenses		55,147			67,269
Total assets		317,824,333			3,080,495,522
Liabilities:
Payables for:
Investments purchased		442,165			14,034,355
Open forward foreign currency contracts (Note 2)		-			-
Fund shares repurchased		303,551			4,226,794
Securities on loan (Note 2)		31,279,873			146,793,565
Investment advisory fees		-			-
Trustees’ fees and expenses (Note 3)		13,737			332,040
Affiliates (Note 3):
Investment advisory fees		23,232			1,663,345
Administration fees		27,120			196,929
Service fees		26,528			198,583
Shareholder service fees		6,984			91,303
Distribution fees		7,112			5,531
Accrued expense and other liabilities		45,138			20,528
Total liabilities		32,175,440			167,562,973
Net assets	$	285,648,893		$	2,912,932,549
Net assets consist of:
Paid-in capital	$	297,099,987		$	2,380,355,487
Undistributed (accumulated) net investment income (loss)		964,760			-
Distributions in excess of net investment income		-			(2,868,746	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		1,356,495			39,682,934
Net unrealized appreciation (depreciation) on investments and foreign currency translations		(13,772,349	)		495,762,874
Net assets	$	285,648,893		$	2,912,932,549
(a)        Cost of investments:	$	325,852,825		$	2,429,082,845
(b)        Cost of repurchase agreements:	$	3,492,166		$	126,280,921
(c)        Cost of other short-term investments:	$	704,510		$	-
(d)        Securities on loan with market value of:	$	30,219,367		$	143,433,795
(e)        Cost of foreign currency:	$	13		$	-

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

162

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Diversified International Fund			MM MSCI EAFE International Index Fund			MassMutual Select Overseas Fund
$	534,684,211		$	74,371,520		$	446,333,030		$	667,024,993
	13,100,651			1,963,878			7,426,447			14,037,092
	-			-			-			-
	547,784,862			76,335,398			453,759,477			681,062,085
	4			109,868			729,560			442,577
	5,528,260			649,694			238,783			2,393,592
	-			777,770			191,632			1,552,207
	-			18,688			-			-
	250,432			15,627			300,560			233,218
	-			86,000			980,538			82,951
	-			1,825			2,230,590			123,881
	386,732			395,489			1,852,157			2,369,338
	-			90,578			483,072			1,710,211
	56,847			62,732			123,064			63,724
	554,007,137			78,543,669			460,889,433			690,033,784
	8,450,557			761,548			144,576			3,132,130
	-			486,754			51,007			1,054,261
	254,150			151,104			490,894			484,877
	56,014,554			2,256,489			21,268,991			24,463,701
	-			-			2			-
	154,317			28,277			23,259			140,511
	320,507			49,578			36,460			438,040
	42,897			7,374			30,018			49,862
	25,765			892			25,295			38,766
	10,426			72			7,696			15,103
	255			111			8,013			943
	36,669			25,775			63,172			60,861
	65,310,097			3,767,974			22,149,383			29,879,055
$	488,697,040		$	74,775,695		$	438,740,050		$	660,154,729
$	531,571,311		$	159,819,488		$	455,091,468		$	731,603,238
	(495,246	)		460,561			2,277,624			1,096,181
	-			-			-			-
	(40,473,287	)		(81,928,402	)		(2,908,332	)		(59,536,975	)
	(1,905,738	)		(3,575,952	)		(15,720,710	)		(13,007,715	)
$	488,697,040		$	74,775,695		$	438,740,050		$	660,154,729
$	536,588,548		$	78,232,273		$	462,108,087		$	680,685,755
$	13,100,651		$	1,963,878		$	7,426,447		$	14,037,092
$	-		$	-		$	-		$	-
$	54,622,562		$	2,144,301		$	20,185,134		$	23,324,194
$	4		$	109,938		$	688,684		$	441,288

163

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MM Russell 2000 Small Cap Index Fund		MassMutual Select Mid Cap Growth Equity II Fund
Class I shares:
Net assets	$	176,670,706	$	1,217,511,488
Shares outstanding (a)		15,911,499		67,604,128
Net asset value, offering price and redemption price per share	$	11.10	$	18.01
Class R5 shares:
Net assets	$	10,753,005	$	750,550,879
Shares outstanding (a)		968,316		41,967,317
Net asset value, offering price and redemption price per share	$	11.10	$	17.88
Service Class shares:
Net assets	$	9,706,041	$	253,704,923
Shares outstanding (a)		879,307		14,464,657
Net asset value, offering price and redemption price per share	$	11.04	$	17.54
Administrative Class shares:
Net assets	$	38,566,936	$	353,875,608
Shares outstanding (a)		3,486,492		20,926,805
Net asset value, offering price and redemption price per share	$	11.06	$	16.91
Class A shares:
Net assets	$	16,162,699	$	295,984,088
Shares outstanding (a)		1,467,437		18,622,391
Net asset value and redemption price per share	$	11.01	$	15.89
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	11.68	$	16.86
Class R4 shares:
Net assets	$	19,977,718	$	31,140,763
Shares outstanding (a)		1,818,400		1,953,667
Net asset value, offering price and redemption price per share	$	10.99	$	15.94
Class R3 shares:
Net assets	$	13,811,788	$	10,164,800
Shares outstanding (a)		1,259,704		681,925
Net asset value, offering price and redemption price per share	$	10.96	$	14.91

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

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

164

MassMutual Select Small Cap Growth Equity Fund		MassMutual Select Diversified International Fund		MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund
$	236,375,027	$	73,124,186	$	303,571,400	$	323,486,161
	20,210,571		11,815,142		26,482,649		42,855,794
$	11.70	$	6.19	$	11.46	$	7.55
$	140,060,910	$	11,269	$	29,822,878	$	157,266,252
	12,081,382		1,821		2,601,168		20,764,810
$	11.59	$	6.19	$	11.47	$	7.57
$	39,755,013	$	166,640	$	15,558,519	$	75,970,515
	3,593,499		26,275		1,361,302		10,083,110
$	11.06	$	6.34	$	11.43	$	7.53
$	29,560,837	$	81,070	$	43,446,671	$	36,578,385
	2,818,165		12,631		3,805,535		4,817,487
$	10.49	$	6.42	$	11.42	$	7.59
$	41,462,527	$	440,108	$	13,005,775	$	59,909,551
	4,349,038		71,453		1,140,719		8,053,686
$	9.53	$	6.16	$	11.40	$	7.44
$	10.11	$	6.54	$	12.10	$	7.89
$	1,048,795	$	778,165	$	18,067,110	$	5,307,314
	109,692		126,606		1,590,491		724,142
$	9.56	$	6.15	$	11.36	$	7.33
$	433,931	$	174,257	$	15,267,697	$	1,636,551
	50,420		28,414		1,345,972		221,255
$	8.61	$	6.13	$	11.34	$	7.40

165

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)

	MassMutual Select Total Return Bond Fund			MassMutual Select Strategic Bond Fund
Investment income (Note 2):
Dividends (a)	$	-		$	5,536
Interest		16,191,681			4,587,691
Securities lending net income		-			-
Total investment income		16,191,681			4,593,227
Expenses (Note 3):
Investment advisory fees		2,367,564			584,558
Custody fees		44,398			67,673
Audit fees		26,038			24,108
Legal fees		6,570			1,104
Accounting & Administration fees		60,463			46,500
Proxy fees		518			518
Shareholder reporting fees		19,365			6,147
Trustees’ fees		39,450			7,686
Registration and filing fees		51,557			49,914
Transfer agent fees		1,501			1,501
		2,617,424			789,709
Administration fees:
Class R5		72,895			26,152
Service Class		155,142			41,538
Administrative Class		64,742			26,895
Class A		1,782			31,779
Class R4		327,352			17,270
Class R3		47,065			3,844
Distribution fees:
Class R3		58,831			4,805
Service fees:
Class A		2,970			52,964
Class R4		409,191			21,588
Class R3		58,831			4,805
Shareholder service fees:
Service Class		51,714			13,846
Administrative Class		64,742			26,895
Class A		1,782			31,779
Total expenses		3,934,463			1,093,869
Expenses waived (Note 3):
Class I fees reimbursed by adviser		-			(31,615	)
Class R5 fees reimbursed by adviser		-			(23,621	)
Service Class fees reimbursed by adviser		-			(25,172	)
Administrative Class fees reimbursed by adviser		-			(16,196	)
Class A fees reimbursed by adviser		-			(19,117	)
Class R4 fees reimbursed by adviser		-			(7,740	)
Class R3 fees reimbursed by adviser		-			(1,709	)
Class I advisory fees waived		(134,092	)		-
Class R5 advisory fees waived		(36,453	)		-
Service Class advisory fees waived		(51,766	)		-
Administrative Class advisory fees waived		(21,613	)		-
Class A advisory fees waived		(597	)		-
Class R4 advisory fees waived		(81,935	)		-
Class R3 advisory fees waived		(11,767	)		-
Net expenses		3,596,240			968,699
Net investment income (loss)		12,595,441			3,624,528

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

166

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund			MM S&P 500 Index Fund		MassMutual Select Focused Value Fund
$	4,500,950	$	19,674,219	$	3,119,193		$	41,135,438	$	9,126,674
	282		1,081		-			4,119		2,933
	-		-		71,449			-		-
	4,501,232		19,675,300		3,190,642			41,139,557		9,129,607
	837,006		3,880,815		675,800			1,671,305		2,830,332
	19,632		55,990		13,602			130,446		32,823
	17,222		17,438		17,413			18,874		17,596
	1,713		6,641		1,703			16,063		4,333
	27,499		53,412		26,004			113,123		40,991
	518		518		518			518		518
	6,634		16,352		6,384			53,115		11,680
	10,270		40,044		9,175			102,434		26,146
	48,121		50,596		49,065			56,275		48,356
	1,501		1,501		1,501			1,501		1,501
	970,116		4,123,307		801,165			2,163,654		3,014,276
	102,116		209,476		52,588			425,536		116,462
	11,029		123,296		7,004			652,292		57,338
	4,472		75,094		10,743			482,670		72,651
	14,670		127,861		23,542			16,947		135,805
	300		1,914		88			715,819		3,162
	759		1,173		74			53,722		2,989
	948		1,467		93			53,722		3,736
	24,451		213,102		39,237			21,185		226,342
	376		2,392		110			715,819		3,952
	948		1,467		93			53,722		3,736
	3,676		41,099		2,335			163,073		19,112
	4,472		75,094		10,743			362,002		72,653
	14,670		127,861		23,542			12,711		135,805
	1,153,003		5,124,603		971,357			5,892,874		3,868,019
	-		-		(26,381	)		-		-
	-		-		(42,804	)		-		-
	-		-		(3,606	)		-		-
	-		-		(5,851	)		-		-
	-		-		(12,865	)		-		-
	-		-		(36	)		-		-
	-		-		(30	)		-		-
	-		-		-			-		-
	-		-		-			-		-
	-		-		-			-		-
	-		-		-			-		-
	-		-		-			-		-
	-		-		-			-		-
	-		-		-			-		-
	1,153,003		5,124,603		879,784			5,892,874		3,868,019
	3,348,229		14,550,697		2,310,858			35,246,683		5,261,588

167

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations (Continued)

For the Six Months Ended March 31, 2016 (Unaudited)

	MassMutual Select Total Return Bond Fund			MassMutual Select Strategic Bond Fund
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	13,286,052		$	(430,701	)
Futures contracts		1,387,934			3,017,880
Written options		-			219,432
Swap agreements		-			(14,907	)
Foreign currency transactions		(18,692	)		(143,882	)
Net realized gain (loss)		14,655,294			2,647,822
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(2,630,414	)		2,671,912
Futures contracts		32,231			50,292
Written options		-			80,363
Swap agreements		-			(1,048,739	)
Translation of assets and liabilities in foreign currencies		5,822			(279,722	)
Net change in unrealized appreciation (depreciation)		(2,592,361	)		1,474,106
Net realized gain (loss) and change in unrealized appreciation (depreciation)		12,062,933			4,121,928
Net increase (decrease) in net assets resulting from operations	$	24,658,374		$	7,746,456
(a)        Net of foreign withholding tax of:	$	-		$	-

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

168

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund			MM S&P 500 Index Fund		MassMutual Select Focused Value Fund
$	7,656,009	$	36,785,950	$	3,135,426		$	34,981,689	$	(36,347,808	)
	-		-		-			4,618,326		-
	-		-		-			-		-
	-		-		-			-		-
	-		428		(179	)		-		-
	7,656,009		36,786,378		3,135,247			39,600,015		(36,347,808	)
	4,244,353		24,133,284		4,391,974			207,300,573		72,055,485
	-		-		-			3,337,023		-
	-		-		-			-		-
	-		-		-			-		-
	-		5,082		4,568			-		-
	4,244,353		24,138,366		4,396,542			210,637,596		72,055,485
	11,900,362		60,924,744		7,531,789			250,237,611		35,707,677
$	15,248,591	$	75,475,441	$	9,842,647		$	285,484,294	$	40,969,265
$	13,410	$	129,846	$	19,435		$	-	$	-

169

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)

	MassMutual Select Fundamental Growth Fund			MassMutual Select Blue Chip Growth Fund
Investment income (Note 2):
Dividends (a)	$	999,374		$	7,328,433
Interest		171			533
Securities lending net income		2,944			-
Total investment income		1,002,489			7,328,966
Expenses (Note 3):
Investment advisory fees		435,909			4,633,716
Custody fees		21,171			64,246
Audit fees		17,828			17,780
Legal fees		677			6,706
Accounting & Administration fees		24,528			55,955
Proxy fees		518			518
Shareholder reporting fees		4,704			17,783
Trustees’ fees		4,109			43,167
Registration and filing fees		48,758			51,352
Transfer agent fees		1,501			1,501
		559,703			4,892,724
Administration fees:
Class R5		10,351			235,231
Service Class		4,601			173,082
Administrative Class		8,007			178,692
Class A		13,474			117,511
Class R4		276			24,427
Class R3		454			7,681
Distribution fees:
Class R3		567			9,601
Distribution ans Service fees:
Class A		22,456			195,852
Class R4		346			30,534
Class R3		567			9,601
Shareholder service fees:
Service Class		1,533			57,694
Administrative Class		8,007			178,692
Class A		13,474			117,511
Total expenses		643,816			6,228,833
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(52,442	)		-
Class R5 fees reimbursed by adviser		(13,937	)		-
Service Class fees reimbursed by adviser		(4,130	)		-
Administrative Class fees reimbursed by adviser		(7,186	)		-
Class A fees reimbursed by adviser		(12,078	)		-
Class R4 fees reimbursed by adviser		(185	)		-
Class R3 fees reimbursed by adviser		(305	)		-
Class I advisory fees waived		-			-
Class R5 advisory fees waived		-			-
Service Class advisory fees waived		-			-
Administrative Class advisory fees waived		-			-
Class A advisory fees waived		-			-
Class R4 advisory fees waived		-			-
Class R3 advisory fees waived		-			-
Net expenses		553,553			6,228,833
Net investment income (loss)		448,936			1,100,133

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

170

MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap  Value Equity Fund			MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund
$	4,309,845		$	1,111,973		$	1,184,285		$	3,091,204		$	2,683,318
	693			-			392			700			604
	83,085			-			-			115,405			59,145
	4,393,623			1,111,973			1,184,677			3,207,309			2,743,067
	3,431,996			373,033			666,495			1,274,869			147,257
	49,617			24,239			14,389			39,134			28,441
	17,643			17,344			17,374			17,120			15,237
	4,922			916			810			1,874			1,196
	45,671			24,625			23,307			28,760			26,753
	518			518			518			518			518
	13,265			5,557			5,042			7,444			18,525
	30,998			4,231			5,242			10,280			8,274
	50,386			48,344			45,728			48,999			48,383
	1,501			1,501			1,501			1,500			1,501
	3,646,517			500,308			780,406			1,430,498			296,085
	109,814			3,096			44,731			56,802			6,343
	119,655			2,124			4,319			12,506			16,656
	81,194			190			3,645			12,890			51,593
	103,320			1,644			4,975			22,304			37,917
	5,710			88			958			92			24,340
	826			93			180			63			18,063
	1,032			116			225			78			18,063
	172,199			2,740			8,291			37,173			47,396
	7,139			110			1,198			114			24,340
	1,032			116			225			78			18,063
	39,885			708			1,440			4,169			4,164
	81,194			190			3,645			12,890			38,695
	103,320			1,644			4,974			22,304			28,438
	4,472,837			513,167			859,212			1,611,961			630,156
	-			(65,843	)		(27,966	)		-			(479	)
	-			(4,304	)		(34,290	)		-			(107	)
	-			(1,998	)		(2,277	)		-			(134	)
	-			(177	)		(1,888	)		-			(284	)
	-			(1,534	)		(2,605	)		-			(214	)
	-			(62	)		(379	)		-			(186	)
	-			(66	)		(73	)		-			(167	)
	-			-			-			(12,269	)		-
	-			-			-			(11,351	)		-
	-			-			-			(1,668	)		-
	-			-			-			(1,718	)		-
	-			-			-			(2,975	)		-
	-			-			-			(9	)		-
	-			-			-			(7	)		-
	4,472,837			439,183			789,734			1,581,964			628,585
	(79,214	)		672,790			394,943			1,625,345			2,114,482

171

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations (Continued)

For the Six Months Ended March 31, 2016 (Unaudited)

	MassMutual Select Fundamental Growth Fund		MassMutual Select Blue Chip Growth Fund
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	5,104,431	$	30,992,311
Futures contracts		-		-
Foreign currency transactions		-		(86	)
Net realized gain (loss)		5,104,431		30,992,225
Net change in unrealized appreciation (depreciation) on:
Investment transactions		4,100,691		42,686,027
Futures contracts		-		-
Translation of assets and liabilities in foreign currencies		-		145
Net change in unrealized appreciation (depreciation)		4,100,691		42,686,172
Net realized gain (loss) and change in unrealized appreciation (depreciation)		9,205,122		73,678,397
Net increase (decrease) in net assets resulting from operations	$	9,654,058	$	74,778,530
(a)        Net of foreign withholding tax of:	$	592	$	102,722

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

172

MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap  Value Equity Fund			MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund
$	33,692,993		$	(2,159,353	)	$	4,584,948		$	(8,145,778	)	$	5,290,132
	-			-			-			(214,054	)		20,914
	-			(7,897	)		(599	)		-			-
	33,692,993			(2,167,250	)		4,584,349			(8,359,832	)		5,311,046
	(20,925,659	)		12,002,883			6,479,393			11,361,078			9,605,149
	-			-			-			179,985			528,272
	-			(22,052	)		23			-			-
	(20,925,659	)		11,980,831			6,479,416			11,541,063			10,133,421
	12,767,334			9,813,581			11,063,765			3,181,231			15,444,467
$	12,688,120		$	10,486,371		$	11,458,708		$	4,806,576		$	17,558,949
$	41,874		$	2,396		$	-		$	3,357		$	-

173

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)

	MM Russell 2000 Small Cap Index Fund			MassMutual Select Mid Cap Growth Equity II Fund
Investment income (Note 2):
Dividends (a)	$	2,272,413		$	11,244,813
Interest		697			38,356
Securities lending net income		395,367			851,894
Total investment income		2,668,477			12,135,063
Expenses (Note 3):
Investment advisory fees		135,859			9,429,864
Custody fees		64,458			118,661
Audit fees		15,221			18,062
Legal fees		827			10,165
Accounting & Administration fees		28,649			80,552
Proxy fees		518			518
Shareholder reporting fees		16,786			24,816
Trustees’ fees		6,569			70,368
Registration and filing fees		48,453			54,606
Transfer agent fees		1,501			1,501
		318,841			9,809,113
Administration fees:
Class R5		4,529			351,712
Service Class		8,276			186,204
Administrative Class		34,021			267,449
Class A		15,215			227,439
Class R4		18,621			19,885
Class R3		12,261			7,465
Distribution fees:
Class R3		12,261			9,331
Distribution and Service fees:
Class A		19,019			379,065
Class R4		18,621			24,856
Class R3		12,261			9,331
Shareholder service fees:
Service Class		2,069			62,068
Administrative Class		25,516			267,449
Class A		11,411			227,439
Total expenses		512,922			11,848,806
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(31,230	)		-
Class R5 fees reimbursed by adviser		(1,578	)		-
Service Class fees reimbursed by adviser		(1,444	)		-
Administrative Class fees reimbursed by adviser		(5,926	)		-
Class A fees reimbursed by adviser		(2,640	)		-
Class R4 fees reimbursed by adviser		(2,595	)		-
Class R3 fees reimbursed by adviser		(1,711	)		-
Net expenses		465,798			11,848,806
Net investment income (loss)		2,202,679			286,257

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

174

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Diversified International Fund			MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund
$	1,962,204		$	791,973		$	4,982,236	$	5,483,613
	665			75			-		561
	248,565			18,094			63,477		86,370
	2,211,434			810,142			5,045,713		5,570,544
	1,999,498			288,031			207,281		2,589,927
	59,576			49,442			172,722		273,162
	18,401			20,177			15,923		23,318
	4,093			474			1,442		3,183
	40,094			31,888			34,518		50,894
	518			518			518		518
	11,356			4,318			18,276		9,668
	21,740			2,133			10,772		20,389
	50,523			46,719			49,371		49,862
	1,501			1,499			1,501		1,501
	2,207,300			445,199			512,324		3,022,422
	77,234			6			13,831		80,695
	28,736			125			15,099		57,041
	23,280			62			38,188		27,303
	32,586			385			13,159		44,021
	849			510			15,704		4,204
	407			168			13,394		1,436
	509			211			13,395		1,795
	54,309			642			16,449		73,368
	1,062			637			15,703		5,256
	509			211			13,395		1,795
	9,579			42			3,776		19,014
	23,280			62			28,641		27,303
	32,586			385			9,869		44,021
	2,492,226			448,645			722,927		3,409,674
	-			(118,720	)		-		-
	-			(19	)		-		-
	-			(281	)		-		-
	-			(140	)		-		-
	-			(863	)		-		-
	-			(858	)		-		-
	-			(284	)		-		-
	2,492,226			327,480			722,927		3,409,674
	(280,792	)		482,662			4,322,786		2,160,870

175

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations (Continued)

For the Six Months Ended March 31, 2016 (Unaudited)

	MM Russell 2000 Small Cap Index Fund			MassMutual Select Mid Cap Growth Equity II Fund
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	3,462,714		$	56,105,597
Futures contracts		(279,453	)		-
Foreign currency transactions		(77	)		1,645
Net realized gain (loss)		3,183,184			56,107,242
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(345,217	)		42,150,355
Futures contracts		417,135			-
Translation of assets and liabilities in foreign currencies		(14	)		(3	)
Net change in unrealized appreciation (depreciation)		71,904			42,150,352
Net realized gain (loss) and change in unrealized appreciation (depreciation)		3,255,088			98,257,594
Net increase (decrease) in net assets resulting from operations	$	5,457,767		$	98,543,851
(a)        Net of foreign withholding tax of:	$	652		$	18,479

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

176

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Diversified International Fund			MM MSCI EAFE International Index Fund			MassMutual Select Overseas Fund
$	(32,493,394	)	$	(4,649,278	)	$	(1,402,703	)	$	(15,818,701	)
	-			(1,265	)		(632,358	)		(6,036	)
	(58	)		(85,470	)		17,350			(143,378	)
	(32,493,452	)		(4,736,013	)		(2,017,711	)		(15,968,115	)
	17,222,306			1,858,905			(1,637,896	)		11,663,648
	-			(3,823	)		86,446			(7,888	)
	(1,216	)		421,265			360,834			765,530
	17,221,090			2,276,347			(1,190,616	)		12,421,290
	(15,272,362	)		(2,459,666	)		(3,208,327	)		(3,546,825	)
$	(15,553,154	)	$	(1,977,004	)	$	1,114,459		$	(1,385,955	)
$	3,733		$	61,332		$	352,164		$	426,344

177

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Total Return Bond Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	12,595,441		$	16,745,002		$	29,451,577
Net realized gain (loss) on investment transactions		14,655,294			9,337,132			35,121,197
Net change in unrealized appreciation (depreciation) on investments		(2,592,361	)		(16,544,728	)		659,114
Net increase (decrease) in net assets resulting from operations		24,658,374			9,537,406			65,231,888
Distributions to shareholders (Note 2):
From net investment income:
Class I		(11,646,083	)		(48,548	)		(13,382,287	)
Class R5		(3,418,949	)		(13,818	)		(4,398,789	)
Service Class		(3,911,860	)		(21,103	)		(8,661,723	)
Administrative Class		(1,554,924	)		(8,146	)		(2,368,352	)
Class A		(38,056	)		(179	)		(2,614	)*
Class R4		(5,515,962	)		(31,202	)		(9,892,502	)
Class R3		(706,660	)		(4,601	)		(1,112,529	)
Total distributions from net investment income		(26,792,494	)		(127,597	)		(39,818,796	)
From net realized gains:
Class I		(1,469,754	)		(453,196	)		(6,689,862	)
Class R5		(450,926	)		(128,993	)		(2,296,718	)
Service Class		(556,725	)		(196,996	)		(4,711,597	)
Administrative Class		(228,916	)		(76,046	)		(1,338,990	)
Class A		(5,815	)		(1,671	)		(1,516	)*
Class R4		(894,237	)		(291,268	)		(5,907,774	)
Class R3		(132,231	)		(42,946	)		(735,530	)
Total distributions from net realized gains		(3,738,604	)		(1,191,116	)		(21,681,987	)
Net fund share transactions (Note 5):
Class I		(261,257,879	)		71,641,923			39,852,516
Class R5		(39,445,200	)		16,770,713			(27,442,936	)
Service Class		(7,445,876	)		(109,792,554	)		(40,649,539	)
Administrative Class		(1,218,056	)		2,444,145			(21,753,313	)
Class A		413,421			1,892,811			120,161	*
Class R4		(19,326,001	)		(50,532,817	)		(78,419,220	)
Class R3		(3,193,103	)		(575,117	)		538,732
Increase (decrease) in net assets from fund share transactions		(331,472,694	)		(68,150,896	)		(127,753,599	)
Total increase (decrease) in net assets		(337,345,418	)		(59,932,203	)		(124,022,494	)
Net assets
Beginning of period		1,387,373,467			1,447,305,670			1,571,328,164
End of period	$	1,050,028,049		$	1,387,373,467		$	1,447,305,670
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	4,786,513		$	18,983,566		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-		$	(148,643	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

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

178

MassMutual Select Strategic Bond Fund									MassMutual Select Diversified Value Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	3,624,528		$	4,588,760		$	5,437,050		$	3,348,229		$	4,394,161		$	7,147,225
	2,647,822			3,802,966			3,055,632			7,656,009			22,907,830			55,149,017
	1,474,106			(7,528,786	)		3,485,758			4,244,353			(55,051,123	)		(21,289,894	)
	7,746,456			862,940			11,978,440			15,248,591			(27,749,132	)		41,006,348
	(2,104,352	)		(17,943	)		(1,908,342	)*		(1,221,667	)		(253,157	)		(1,894,736	)*
	(1,461,955	)		(13,473	)		(1,402,720	)		(3,009,308	)		(685,168	)		(4,403,852	)
	(1,803,081	)		(15,779	)		(1,675,049	)		(202,722	)		(49,357	)		(284,578	)
	(885,218	)		(9,938	)		(827,689	)		(66,927	)		(20,511	)		(158,192	)
	(1,037,539	)		(10,094	)		(969,209	)		(182,440	)		(69,975	)		(328,416	)
	(431,509	)		(4,282	)		(3,382	)*		(3,318	)		(922	)		(1,789	)*
	(79,005	)		(1,085	)		(61,516	)		(6,062	)		(792	)		(2,482	)
	(7,802,659	)		(72,594	)		(6,847,907	)		(4,692,444	)		(1,079,882	)		(7,074,045	)
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	14,911,152			13,544,214			54,597,161	*		123,095,551			(15,503,785	)		92,402,964	*
	7,158,703			3,626,722			(37,640,784	)		(111,066,326	)		(10,284,465	)		(118,451,252	)
	(8,368,921	)		7,901,077			12,398,421			(4,500,741	)		179,614			(6,683,158	)
	2,135,504			8,711,237			13,146,455			(1,025,175	)		(2,897,190	)		1,016,135
	3,377,999			7,995,446			4,032,261			(1,335,723	)		(1,094,480	)		(2,968,200	)
	6,693,082			14,560,279			103,483	*		47,090			196,043			101,890	*
	2,200,862			936,260			997,809			1,083,452			76,613			10,930
	28,108,381			57,275,235			47,634,806			6,298,128			(29,327,650	)		(34,570,691	)
	28,052,178			58,065,581			52,765,339			16,854,275			(58,156,664	)		(638,388	)
	273,992,092			215,926,511			163,161,172			325,653,400			383,810,064			384,448,452
$	302,044,270		$	273,992,092		$	215,926,511		$	342,507,675		$	325,653,400		$	383,810,064
$	1,683,027		$	5,861,158		$	-		$	2,901,635		$	4,245,850		$	1,062,458
$	-		$	-		$	(101,301	)	$	-		$	-		$	-

179

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Fundamental Value Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	14,550,697		$	15,776,239		$	21,841,906
Net realized gain (loss) on investment transactions		36,786,378			138,291,806			108,071,195
Net change in unrealized appreciation (depreciation) on investments		24,138,366			(268,185,868	)		31,941,811
Net increase (decrease) in net assets resulting from operations		75,475,441			(114,117,823	)		161,854,912
Distributions to shareholders (Note 2):
From net investment income:
Class I		(7,875,862	)		-			(6,681,231	)
Class R5		(7,188,189	)		-			(8,457,640	)
Service Class		(2,845,064	)		-			(3,051,112	)
Administrative Class		(1,461,869	)		-			(1,619,714	)
Class L		-			-			-
Class A		(2,038,495	)		-			(2,225,304	)
Class R4		(31,688	)		-			(1,450	)*
Class R3		(15,751	)		-			(11,199	)
Total distributions from net investment income		(21,456,918	)		-			(22,047,650	)
From net realized gains:
Class I		(46,281,071	)		(12,594,012	)		(24,814,091	)
Class R5		(45,087,536	)		(13,854,744	)		(35,024,820	)
Service Class		(18,900,526	)		(4,989,545	)		(12,982,133	)
Administrative Class		(10,620,613	)		(3,231,319	)		(8,238,366	)
Class L		-			-			-
Class A		(18,164,880	)		(5,399,955	)		(14,142,870	)
Class R4		(207,995	)		(38,900	)		(6,673	)*
Class R3		(134,185	)		(28,952	)		(78,344	)
Total distributions from net realized gains		(139,396,806	)		(40,137,427	)		(95,287,297	)
Net fund share transactions (Note 5):
Class I		69,207,760			61,072,490			131,476,061
Class R5		(7,084,191	)		(86,847,082	)		6,273,005
Service Class		3,933,074			(31,338,108	)		(3,904,274	)
Administrative Class		823,187			(8,528,898	)		(22,419,507	)
Class L		-			-			-
Class A		10,924,026			(24,170,270	)		(64,836,520	)
Class R4		122,809			1,896,405			108,224	*
Class R3		496,529			34,362			(312,248	)
Increase (decrease) in net assets from fund share transactions		78,423,194			(87,881,101	)		46,384,741
Total increase (decrease) in net assets		(6,955,089	)		(242,136,351	)		90,904,706
Net assets
Beginning of period		1,280,019,039			1,522,155,390			1,431,250,684
End of period	$	1,273,063,950		$	1,280,019,039		$	1,522,155,390
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	9,603,390		$	16,509,611		$	200,236
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-		$	-

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

*** Class L shares merged into Administrative Class shares on March 14, 2014.

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

180

MassMutual Select Large Cap Value Fund									MM S&P 500 Index Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	2,310,858		$	5,095,460		$	11,768,121		$	35,246,683		$	45,150,505		$	54,314,545
	3,135,247			25,165,624			49,660,275			39,600,015			65,248,859			85,814,847
	4,396,542			(52,190,871	)		(40,150,477	)		210,637,596			(313,694,124	)		273,954,472
	9,842,647			(21,929,787	)		21,277,919			285,484,294			(203,294,760	)		414,083,864
	(1,880,949	)		-			(4,489,571	)*		(18,438,368	)		-			(10,234,711	)
	(3,041,190	)		-			(4,939,584	)		(15,778,015	)		-			(17,006,805	)
	(252,981	)		-			(358,183	)		(11,265,838	)		-			(11,487,958	)
	(351,071	)		-			(677,337	)		(7,628,821	)		-			(8,322,530	)
	-			-			-			-			-			-
	(696,660	)		-			(1,311,094	)		(258,430	)		-			(1,525	)*
	(2,353	)		-			(2,777	)*		(8,581,094	)		-			(7,315,121	)
	(1,566	)		-			(2,216	)		(699,099	)		-			(73,638	)
	(6,226,770	)		-			(11,780,762	)		(62,649,665	)		-			(54,442,288	)
	(7,537,007	)		(507,956	)		(19,592,080	)*		(18,281,037	)		(2,314,697	)		(11,638,397	)
	(12,769,934	)		(1,173,602	)		(22,914,966	)		(16,602,755	)		(2,625,457	)		(20,528,688	)
	(1,097,808	)		(80,714	)		(1,853,578	)		(12,897,030	)		(1,860,292	)		(15,144,142	)
	(1,644,212	)		(135,466	)		(3,374,830	)		(9,439,887	)		(1,465,816	)		(11,398,056	)
	-			-			-			-			-			-
	(3,694,184	)		(298,026	)		(7,334,754	)		(311,663	)		(26,239	)		(2,272	)*
	(11,207	)		(806	)		(13,691	)*		(11,345,262	)		(1,562,511	)		(11,548,744	)
	(8,711	)		(685	)		(13,249	)		(838,040	)		(69,412	)		(131,901	)
	(26,763,063	)		(2,197,255	)		(55,097,148	)		(69,715,674	)		(9,924,424	)		(70,392,200	)
	14,426,354			(84,309,867	)		170,067,352	*		80,171,961			292,425,238			139,547,950
	(16,805,504	)		(35,941,381	)		(150,815,262	)		(85,117,832	)		(76,466,737	)		(90,175,017	)
	(2,068,746	)		(2,920,656	)		(20,442,176	)		(6,104,458	)		(59,896,700	)		67,002,590
	(984,794	)		(8,037,926	)		(1,032,585	)		(17,936,311	)		(34,611,042	)		177,575,145
	-			-			-			-			-			(173,007,232	)***
	(1,107,437	)		(12,991,766	)		(9,199,883	)		7,916,705			9,165,848			3,342,456	*
	13			1			116,568	*		31,566,516			21,506,453			(36,450,676	)
	2,205			(7,954	)		(9,159	)		36,837,075			22,810,218			(1,666,043	)
	(6,537,909	)		(144,209,549	)		(11,315,145	)		47,333,656			174,933,278			86,169,173
	(29,685,095	)		(168,336,591	)		(56,915,136	)		200,452,611			(38,285,906	)		375,418,549
	242,386,845			410,723,436			467,638,572			3,433,910,879			3,472,196,785			3,096,778,236
$	212,701,750		$	242,386,845		$	410,723,436		$	3,634,363,490		$	3,433,910,879		$	3,472,196,785
$	957,464		$	4,873,376		$	-		$	18,737,686		$	46,140,668		$	464,093
$	-		$	-		$	(209,610	)	$	-		$	-		$	-

181

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Focused Value Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	5,261,588		$	10,723,783		$	16,074,697
Net realized gain (loss) on investment transactions		(36,347,808	)		108,571,256			109,677,975
Net change in unrealized appreciation (depreciation) on investments		72,055,485			(252,932,632	)		(18,940,090	)
Net increase (decrease) in net assets resulting from operations		40,969,265			(133,637,593	)		106,812,582
Distributions to shareholders (Note 2):
From net investment income:
Class I		(4,096,929	)		-			(4,029,046	)
Class R5		(3,911,958	)		-			(5,694,010	)
Service Class		(1,222,029	)		-			(1,655,429	)
Administrative Class		(1,453,204	)		-			(1,779,528	)
Class A		(2,357,730	)		-			(3,012,736	)
Class R4*		(64,180	)		-			(1,790	)
Class R3		(47,379	)		-			(8,824	)
Total distributions from net investment income		(13,153,409	)		-			(16,181,363	)
From net realized gains:
Class I		(33,305,260	)		(2,785,570	)		(25,254,020	)
Class R5		(34,110,272	)		(3,102,930	)		(38,770,908	)
Service Class		(11,384,357	)		(980,581	)		(11,721,881	)
Administrative Class		(14,481,287	)		(1,274,361	)		(13,773,257	)
Class A		(28,593,552	)		(2,486,643	)		(27,010,334	)
Class R4*		(583,244	)		(22,248	)		(13,639	)
Class R3		(482,246	)		(27,322	)		(87,735	)
Total distributions from net realized gains		(122,940,218	)		(10,679,655	)		(116,631,774	)
Net fund share transactions (Note 5):
Class I		47,203,382			31,777,325			61,463,960
Class R5		4,893,457			(54,130,123	)		29,033,786
Service Class		8,966,473			(8,761,110	)		2,667,182
Administrative Class		10,337,858			3,041,047			9,013,321
Class A		14,163,184			(12,561,749	)		14,739,075
Class R4*		2,517,865			1,836,831			115,530
Class R3		1,314,374			1,928,306			6,487
Increase (decrease) in net assets from fund share transactions		89,396,593			(36,869,473	)		117,039,341
Total increase (decrease) in net assets		(5,727,769	)		(181,186,721	)		91,038,786
Net assets
Beginning of period		816,785,798			997,972,519			906,933,733
End of period	$	811,058,029		$	816,785,798		$	997,972,519
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	2,630,280		$	10,522,101		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-		$	(200,849	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

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

182

MassMutual Select Fundamental Growth Fund									MassMutual Select Blue Chip Growth Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	448,936		$	761,654		$	1,108,798		$	1,100,133		$	713,119		$	(1,962,422	)
	5,104,431			13,042,351			15,847,968			30,992,225			230,699,044			110,970,108
	4,100,691			(14,834,008	)		(1,707,384	)		42,686,172			(219,440,606	)		9,393,468
	9,654,058			(1,030,003	)		15,249,382			74,778,530			11,971,557			118,401,154
	(751,915	)		-			(852,887	)*		(1,935,400	)		-			-
	(179,581	)		-			(171,725	)		(2,166,584	)		-			-
	(47,013	)		-			(56,048	)		(905,314	)		-			-
	(74,962	)		-			(84,253	)		(585,084	)		-			-
	(67,082	)		-			(115,430	)		(47,459	)		-			-
	(2,144	)		-			(805	)		(66,043	)		-			-
	(3,962	)		-			(1,223	)		(21,466	)		-			-
	(1,126,659	)		-			(1,282,371	)		(5,727,350	)		-			-
	(8,068,438	)		(286,058	)		(9,328,674	)*		(54,421,472	)		(2,722,994	)		(18,256,444	)*
	(2,154,268	)		(75,368	)		(2,288,463	)		(76,223,871	)		(4,445,803	)		(37,728,727	)
	(639,638	)		(21,733	)		(755,128	)		(36,595,844	)		(1,772,363	)		(10,930,968	)
	(1,150,105	)		(39,495	)		(1,320,766	)		(38,222,083	)		(2,123,862	)		(18,266,974	)
	(1,953,737	)		(72,193	)		(2,763,788	)		(26,595,883	)		(1,435,893	)		(11,392,210	)
	(30,274	)		(438	)		(12,676	)		(3,897,138	)		(182,961	)		(54,367	)
	(52,494	)		(344	)		(31,591	)		(1,142,260	)		(30,819	)		(76,884	)
	(14,048,954	)		(495,629	)		(16,501,086	)		(237,098,551	)		(12,714,695	)		(96,706,574	)
	5,748,552			(10,449,526	)		89,438,109	*		136,293,871			49,117,040			273,513,443	*
	1,260,019			(670,141	)		(66,419,603	)		(27,350,989	)		(72,162,449	)		17,976,514
	954,567			(1,116,014	)		923,632			60,564,622			42,980,300			(35,451,138	)
	1,159,805			642,163			(1,046,755	)		40,609,936			(38,082,425	)		15,849,435
	668,014			(6,204,240	)		728,685			27,421,384			(6,013,494	)		(27,092,276	)
	388,907			85,052			113,582			13,438,236			20,387,382			827,274
	932,425			96,419			(155,402	)		9,101,001			3,234,438			(103,980	)
	11,112,289			(17,616,287	)		23,582,248			260,078,061			(539,208	)		245,519,272
	5,590,734			(19,141,919	)		21,048,173			92,030,690			(1,282,346	)		267,213,852
	129,168,879			148,310,798			127,262,625			1,407,511,956			1,408,794,302			1,141,580,450
$	134,759,613		$	129,168,879		$	148,310,798		$	1,499,542,646		$	1,407,511,956		$	1,408,794,302
$	63,075		$	740,798		$	-		$	-		$	465,878		$	(246,347	)
$	-		$	-		$	(21,255	)	$	(4,161,339	)	$	-		$	-

183

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Growth Opportunities Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(79,214	)	$	(995,820	)	$	(757,697	)
Net realized gain (loss) on investment transactions		33,692,993			99,925,006			79,669,554
Net change in unrealized appreciation (depreciation) on investments		(20,925,659	)		(155,251,510	)		22,553,376
Net increase (decrease) in net assets resulting from operations		12,688,120			(56,322,324	)		101,465,233
Distributions to shareholders (Note 2):
From net investment income:
Class I		-			-			-
Class R5		-			-			-
Service Class		-			-			-
Administrative Class		-			-			-
Class A		-			-			-
Class R4*		-			-			-
Class R3		-			-			-
Total distributions from net investment income		-			-			-
From net realized gains:
Class I		(38,981,121	)		(8,835,876	)		(18,343,315	)
Class R5		(23,803,912	)		(5,771,522	)		(16,052,750	)
Service Class		(17,831,054	)		(3,960,722	)		(9,465,425	)
Administrative Class		(12,455,718	)		(2,773,139	)		(8,996,527	)
Class A		(16,598,049	)		(4,147,006	)		(11,605,691	)
Class R4*		(652,252	)		(62,717	)		(7,042	)
Class R3		(102,779	)		(21,705	)		(8,848	)
Total distributions from net realized gains		(110,424,885	)		(25,572,687	)		(64,479,598	)
Net fund share transactions (Note 5):
Class I		27,630,053			66,173,196			161,165,512
Class R5		4,331,038			(33,075,843	)		(79,939,058	)
Service Class		26,116,619			3,841,396			67,386,951
Administrative Class		2,637,706			(29,877,131	)		32,700,419
Class A		(4,971,128	)		(25,509,971	)		4,944,279
Class R4*		5,289,633			2,988,471			107,143
Class R3		168,399			713,395			94,955
Increase (decrease) in net assets from fund share transactions		61,202,320			(14,746,487	)		186,460,201
Total increase (decrease) in net assets		(36,534,445	)		(96,641,498	)		223,445,836
Net assets
Beginning of period		973,839,032			1,070,480,530			847,034,694
End of period	$	937,304,587		$	973,839,032		$	1,070,480,530
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(243,358	)	$	(164,144	)	$	(142,472	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

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

184

MassMutual Select Mid-Cap Value Fund									MassMutual Select Small Cap Value Equity Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	672,790		$	1,221,877		$	1,715,893		$	394,943		$	725,223		$	1,116,378
	(2,167,250	)		12,583,392			16,998,635			4,584,349			11,362,721			11,251,441
	11,980,831			(28,455,147	)		(8,523,492	)		6,479,416			(25,623,975	)		(2,210,643	)
	10,486,371			(14,649,878	)		10,191,036			11,458,708			(13,536,031	)		10,157,176
	(1,281,970	)		-			(1,493,902	)		(408,152	)		(5,250	)		(410,790	)*
	(72,905	)		-			(179,936	)		(449,400	)		(7,433	)		(561,623	)
	(30,765	)		-			(46,532	)		(32,438	)		(257	)		(3,287	)
	(1,206	)		-			(8,484	)		(9,022	)		(482	)		(14,370	)
	(11,553	)		-			(32,911	)		(2,458	)		(541	)		(10,138	)
	(886	)		-			(845	)		(5,128	)		(27	)		(374	)
	(609	)		-			(468	)		(88	)		(9	)		(187	)*
	(1,399,894	)		-			(1,763,078	)		(906,686	)		(13,999	)		(1,000,769	)
	(12,944,842	)		(1,376,932	)		(1,915,445	)		(2,321,956	)		-			-
	(891,064	)		(169,477	)		(287,705	)		(3,117,262	)		-			-
	(388,558	)		(31,478	)		(71,920	)		(226,348	)		-			-
	(35,387	)		(5,322	)		(16,307	)		(141,014	)		-			-
	(324,216	)		(30,700	)		(84,048	)		(227,926	)		-			-
	(13,658	)		(1,061	)		(1,506	)		(38,293	)		-			-
	(13,243	)		(993	)		(1,549	)		(5,311	)		-			-
	(14,610,968	)		(1,615,963	)		(2,378,480	)		(6,078,110	)		-			-
	(34,072,881	)		10,130,151			62,882,264			45,163,498			10,523,975			58,735,097	*
	(1,915,126	)		(8,278,904	)		(66,725,319	)		(43,781,888	)		2,459,687			(46,957,438	)
	537,249			(2,049,541	)		2,201,998			3,687,850			2,071,604			(3,929,863	)
	914			(813,751	)		(3,128,161	)		(2,088,024	)		2,691,442			(775,270	)
	134,075			(3,137,073	)		(592,184	)		324,280			579,131			(396,402	)
	28			102			102,453			475,692			579,271			100,475
	18,248			(7,325	)		6,810			121,038			27,211			100,187	*
	(35,297,493	)		(4,156,341	)		(5,252,139	)		3,902,446			18,932,321			6,876,786
	(40,821,984	)		(20,422,182	)		797,339			8,376,358			5,382,291			16,033,193
	142,414,479			162,836,661			162,039,322			175,836,740			170,454,449			154,421,256
$	101,592,495		$	142,414,479		$	162,836,661		$	184,213,098		$	175,836,740		$	170,454,449
$	545,366		$	1,272,470		$	(36,508	)	$	184,656		$	696,399		$	100,859

185

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Company Value Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,625,345		$	746,838		$	1,602,676
Net realized gain (loss) on investment transactions		(8,359,832	)		70,385,133			67,673,203
Net change in unrealized appreciation (depreciation) on investments		11,541,063			(101,733,258	)		(50,476,747	)
Net increase (decrease) in net assets resulting from operations		4,806,576			(30,601,287	)		18,799,132
Distributions to shareholders (Note 2):
From net investment income:
Class I		(850,085	)		-			(1,165,020	)
Class R5		(636,073	)		-			(1,530,838	)
Service Class		(67,956	)		-			(247,535	)
Administrative Class		(57,520	)		-			(132,029	)
Class L		-			-			-
Class A		(9,255	)		-			(112,084	)
Class R4*		(297	)		-			(600	)
Class R3		-			-			(184	)
Total distributions from net investment income		(1,621,186	)		-			(3,188,290	)
From net realized gains:
Class I		(28,358,964	)		(1,951,998	)		(18,745,607	)
Class R5		(26,816,038	)		(2,313,519	)		(29,624,104	)
Service Class		(3,864,438	)		(262,066	)		(5,460,834	)
Administrative Class		(4,094,745	)		(292,735	)		(3,681,960	)
Class L		-			-			-
Class A		(7,146,651	)		(523,550	)		(6,805,755	)
Class R4*		(25,297	)		(1,509	)		(14,863	)
Class R3		(15,919	)		(952	)		(26,419	)
Total distributions from net realized gains		(70,322,052	)		(5,346,329	)		(64,359,542	)
Net fund share transactions (Note 5):
Class I		26,357,609			6,020,263			21,107,004
Class R5		(1,864,267	)		(63,597,584	)		(23,523,516	)
Service Class		3,495,715			(19,078,847	)		(2,745,889	)
Administrative Class		1,710,612			(4,609,003	)		(8,517,606	)
Class L		-			-			-
Class A		5,251,016			(9,061,658	)		(10,349,879	)
Class R4*		18,798			103			115,563
Class R3		32,052			(17,538	)		(94,214	)
Increase (decrease) in net assets from fund share transactions		35,001,535			(90,344,264	)		(24,008,537	)
Total increase (decrease) in net assets		(32,135,127	)		(126,291,880	)		(72,757,237	)
Net assets
Beginning of period		319,350,471			445,642,351			518,399,588
End of period	$	287,215,344		$	319,350,471		$	445,642,351
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	1,478,299		$	1,474,140		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-		$	(140,060	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

*** Class L shares merged into Administrative Class shares on March 14, 2014.

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

186

MM S&P Mid Cap Index Fund									MM Russell 2000 Small Cap Index Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	2,114,482		$	2,232,860		$	2,247,307		$	2,202,679		$	1,743,565		$	1,563,630
	5,311,046			11,043,306			6,707,678			3,183,184			5,989,709			11,633,560
	10,133,421			(28,426,744	)		7,814,057			71,904			(32,639,548	)		(6,157,085	)
	17,558,949			(15,150,578	)		16,769,042			5,457,767			(24,906,274	)		7,040,105
	(1,884,209	)		-			(1,540,869	)		(2,171,643	)		-			(1,146,533	)
	(144,757	)		-			(55,208	)		(95,684	)		-			(43,187	)
	(161,524	)		-			(123,337	)		(73,428	)		-			(68,716	)
	(500,702	)		-			(351,175	)		(290,228	)		-			(235,643	)
	-			-			-	***		-			-			-	***
	(290,077	)		-			(177,234	)		(93,134	)		-			(110,446	)
	(195,232	)		-			(887	)		(136,086	)		-			(1,117	)
	(137,526	)		-			(577	)*		(88,306	)		-			(676	)*
	(3,314,027	)		-			(2,249,287	)		(2,948,509	)		-			(1,606,318	)
	(5,940,987	)		(504,686	)		(4,060,735	)		(4,491,792	)		(97,899	)		(9,717,239	)
	(486,746	)		(40,508	)		(147,273	)		(212,931	)		(4,253	)		(440,894	)
	(638,431	)		(61,578	)		(332,713	)		(193,449	)		(4,433	)		(617,170	)
	(2,141,360	)		(178,890	)		(1,178,726	)		(834,189	)		(16,884	)		(2,566,301	)
	-			-			-	***		-			-			-	***
	(1,565,793	)		(118,641	)		(796,854	)		(378,901	)		(7,896	)		(1,485,834	)
	(775,045	)		(49,479	)		(3,452	)		(353,998	)		(4,748	)		(13,140	)
	(577,513	)		(26,544	)		(3,017	)*		(244,700	)		(2,611	)		(10,530	)*
	(12,125,875	)		(980,326	)		(6,522,770	)		(6,709,960	)		(138,724	)		(14,851,108	)
	5,108,858			444,250			44,886,831			(5,598,355	)		105,394,573			12,560,246
	4,303,943			6,672,292			(477,832	)		2,846,425			4,385,439			(8,545,691	)
	2,197,901			5,179,084			9,123,436			1,637,227			2,387,328			5,746,597
	5,369,653			10,422,669			29,696,062			7,920,781			8,036,015			20,094,668
	-			-			(10,041,602	)***		-			-			(5,978,385	)***
	7,683,522			5,608,194			18,939,357			1,838,990			517,093			10,738,266
	10,065,463			15,304,725			128,726			10,789,454			10,349,917			160,077
	10,588,422			9,365,527			138,158	*		8,129,299			6,350,620			146,572	*
	45,317,762			52,996,741			92,393,136			27,563,821			137,420,985			34,922,350
	47,436,809			36,865,837			100,390,121			23,363,119			112,375,987			25,505,029
	270,826,227			233,960,390			133,570,269			262,285,774			149,909,787			124,404,758
$	318,263,036		$	270,826,227		$	233,960,390		$	285,648,893		$	262,285,774		$	149,909,787
$	1,061,073		$	2,260,618		$	-		$	964,760		$	1,710,590		$	-
$	-		$	-		$	(11,732	)	$	-		$	-		$	(13,852	)

187

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Mid Cap Growth Equity II Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	286,257		$	(4,505,988	)	$	(6,360,438	)
Net realized gain (loss) on investment transactions		56,107,242			210,508,284			208,811,792
Net change in unrealized appreciation (depreciation) on investments		42,150,352			(202,803,057	)		30,663,325
Net increase (decrease) in net assets resulting from operations		98,543,851			3,199,239			233,114,679
Distributions to shareholders (Note 2):
From net investment income:
Class I		-			-			-
Class R5		-			-			-
Service Class		-			-			-
Administrative Class		-			-			-
Class A		-			-			-
Class R4*		-			-			-
Class R3		-			-			-
Total distributions from net investment income		-			-			-
From net realized gains:
Class I		(81,785,351	)		(5,244,538	)		(43,786,734	)
Class R5		(55,211,744	)		(5,040,837	)		(67,957,371	)
Service Class		(20,768,068	)		(1,870,084	)		(25,305,083	)
Administrative Class		(30,187,112	)		(2,940,916	)		(40,024,588	)
Class A		(27,155,559	)		(2,612,545	)		(36,490,484	)
Class R4*		(1,661,395	)		(69,064	)		(278,894	)
Class R3		(625,777	)		(35,278	)		(317,456	)
Total distributions from net realized gains		(217,395,006	)		(17,813,262	)		(214,160,610	)
Tax return of capital:
Net fund share transactions (Note 5):
Class I		443,595,481			391,247,796			139,870,415
Class R5		140,246,039			(26,139,304	)		92,634,428
Service Class		27,030,718			(6,100,747	)		(29,173,542	)
Administrative Class		5,262,609			170,867			(22,864,708	)
Class A		6,032,711			(16,681,040	)		(12,619,900	)
Class R4*		20,297,436			9,061,597			3,097,836
Class R3		5,720,162			2,480,516			423,941
Increase (decrease) in net assets from fund share transactions		648,185,156			354,039,685			171,368,470
Total increase (decrease) in net assets		529,334,001			339,425,662			190,322,539
Net assets
Beginning of period		2,383,598,548			2,044,172,886			1,853,850,347
End of period	$	2,912,932,549		$	2,383,598,548		$	2,044,172,886
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	-		$	(3,155,003	)	$	(4,078,935	)
Distributions in excess of net investment income included in net assets at end of period	$	(2,868,746	)	$	-		$	-

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

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

188

MassMutual Select Small Cap Growth Equity Fund									MassMutual Select Diversified International Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	(280,792	)	$	(1,060,350	)	$	(2,717,675	)	$	482,662		$	1,116,229		$	6,062,520
	(32,493,452	)		105,401,769			157,927,957			(4,736,013	)		(1,321,872	)		8,211,548
	17,221,090			(157,537,280	)		(104,883,649	)		2,276,347			(1,983,744	)		(33,120,412	)
	(15,553,154	)		(53,195,861	)		50,326,633			(1,977,004	)		(2,189,387	)		(18,846,344	)
	-			-			-			(92,480	)		-			(2,280,133	)*
	-			-			-			-			-			(4,012,527	)
	-			-			-			-			-			(5,112	)
	-			-			-			-			-			(3,140	)
	-			-			-			-			-			(12,303	)
	-			-			-			(326	)		-			(3,132	)
	-			-			-			-			-			(2,942	)*
	-			-			-			(92,806	)		-			(6,319,289	)
	(49,247,720	)		(7,939,063	)		(97,729,693	)		-			-			-
	(32,663,270	)		(2,835,799	)		(40,227,761	)		-			-			-
	(8,902,844	)		(584,319	)		(7,757,014	)		-			-			-
	(7,098,493	)		(533,026	)		(6,266,247	)		-			-			-
	(10,919,586	)		(836,481	)		(12,281,361	)		-			-			-
	(180,629	)		(6,252	)		(21,949	)		-			-			-
	(119,521	)		(5,562	)		(44,504	)		-			-			-
	(109,132,063	)		(12,740,502	)		(164,328,529	)		-			-			-
	55,266,478			(244,208,832	)		363,136,313			9,935,450			7,837,708			68,798,134	*
	8,419,548			(29,558,647	)		(342,599,143	)		-			(111,811,878	)		(35,192,508	)
	14,075,426			(728,915	)		(32,748,065	)		29,878			3,324			71,618
	4,220,225			6,109,386			(8,168,464	)		(1,642	)		680			91,570
	7,810,693			(6,514,678	)		(6,232,685	)		(104,374	)		198,996			(296,775	)
	819,838			381,965			122,049			715,559			100			103,232
	256,336			244,684			(420,017	)		84,239			14,956			102,942	*
	90,868,544			(274,275,037	)		(26,910,012	)		10,659,110			(103,756,114	)		33,678,213
	(33,816,673	)		(340,211,400	)		(140,911,908	)		8,589,300			(105,945,501	)		8,512,580
	522,513,713			862,725,113			1,003,637,021			66,186,395			172,131,896			163,619,316
$	488,697,040		$	522,513,713		$	862,725,113		$	74,775,695		$	66,186,395		$	172,131,896
$	(495,246	)	$	(214,454	)	$	(201,359	)	$	460,561		$	70,705		$	-
$	-		$	-		$	-		$	-		$	-		$	(435,466	)

189

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MM MSCI EAFE International Index Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	4,322,786		$	7,792,382		$	7,668,688
Net realized gain (loss) on investment transactions		(2,017,711	)		710,223			2,550,122
Net change in unrealized appreciation (depreciation) on investments		(1,190,616	)		(31,830,591	)		(25,161,015	)
Net increase (decrease) in net assets resulting from operations		1,114,459			(23,327,986	)		(14,942,205	)
Distributions to shareholders (Note 2):
From net investment income:
Class I		(6,785,859	)		-			(6,608,248	)
Class R5		(607,053	)		-			(106,877	)
Service Class		(309,406	)		-			(189,461	)
Administrative Class		(736,427	)		-			(643,276	)
Class L		-			-			-
Class A		(237,035	)		-			(181,481	)
Class R4*		(244,763	)		-			(3,413	)
Class R3		(231,410	)		-			(2,363	)*
Total distributions from net investment income		(9,151,953	)		-			(7,735,119	)
From net realized gains:
Class I		(713,404	)		-			(2,340,437	)
Class R5		(65,592	)		-			(40,283	)
Service Class		(36,223	)		-			(69,385	)
Administrative Class		(89,660	)		-			(235,842	)
Class L		-			-			-
Class A		(32,786	)		-			(75,857	)
Class R4*		(28,097	)		-			(1,361	)
Class R3		(27,157	)		-			(1,043	)*
Total distributions from net realized gains		(992,919	)		-			(2,764,208	)
Net fund share transactions (Note 5):
Class I		31,953,977			81,211,538			51,183,193
Class R5		14,720,182			13,564,713			(6,190,056	)
Service Class		925,118			9,800,403			6,224,252
Administrative Class		10,843,482			12,798,475			20,288,031
Class L		-			-			(1,935,692	)***
Class A		567,471			6,211,301			4,691,754
Class R4*		11,628,010			7,265,408			154,558
Class R3		10,637,725			5,420,469			107,091	*
Increase (decrease) in net assets from fund share transactions		81,275,965			136,272,307			74,523,131
Total increase (decrease) in net assets		72,245,552			112,944,321			49,081,599
Net assets
Beginning of period		366,494,498			253,550,177			204,468,578
End of period	$	438,740,050		$	366,494,498		$	253,550,177
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	2,277,624		$	7,106,791		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-		$	(765,559	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

*** Class L shares merged into Administrative Class shares on March 14, 2014.

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

190

MassMutual Select Overseas Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	2,160,870		$	9,865,235		$	13,504,218
	(15,968,115	)		23,581,386			41,158,440
	12,421,290			(68,260,206	)		(97,744,957	)
	(1,385,955	)		(34,813,585	)		(43,082,299	)
	(5,063,565	)		(7,349,048	)		(6,888,163	)
	(2,456,793	)		(4,104,090	)		(3,471,069	)
	(1,082,851	)		(1,829,317	)		(1,475,642	)
	(473,888	)		(852,982	)		(624,275	)
	-			-			-
	(620,779	)		(1,213,872	)		(1,104,817	)
	(52,843	)		(48,123	)		(2,404	)
	(16,976	)		(27,413	)		-
	(9,767,695	)		(15,424,845	)		(13,566,370	)
	-			-			-
	-			-			-
	-			-			-
	-			-			-
	-			-			-
	-			-			-
	-			-			-
	-			-			-
	-			-			-
	38,759,344			7,655,833			60,884,251
	(1,545,644	)		10,924,592			(12,283,523	)
	(37,438	)		7,342,707			(249,343	)
	1,474,888			9,287,564			5,981,599
	-			-			-
	2,202,169			2,243,386			5,949,470
	1,842,882			3,651,362			102,505
	397,544			1,236,256			(537,008	)
	43,093,745			42,341,700			59,847,951
	31,940,095			(7,896,730	)		3,199,282
	628,214,634			636,111,364			632,912,082
$	660,154,729		$	628,214,634		$	636,111,364
$	1,096,181		$	8,703,006		$	11,891,648
$	-		$	-		$	-

191

MassMutual Select Total Return Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversn			Interest expense to average daily net assetsp			Ratio of expenses to average daily net assets after expense waiversj,n			Net investment income (loss) to average daily net assetsn
Class I
03/31/16r	$	10.17	$	0.10		$	0.11		$	0.21		$	(0.22	)	$	(0.03	)	$	(0.25	)	$	10.13		2.08%	b	$	269,742		0.39%	a		N/A			0.34%	a		2.05%	a
09/30/15i		10.10		0.14			(0.06	)		0.08			(0.00	)d		(0.01	)		(0.01	)		10.17		0.79%	b		534,131		0.39%	a		N/A			0.34%	a		1.81%	a
12/31/14		10.12		0.21			0.23			0.44			(0.31	)		(0.15	)		(0.46	)		10.10		4.39%			459,950		0.41%			0.00%	e		0.40%			2.07%
12/31/13		10.55		0.20			(0.35	)		(0.15	)		(0.26	)		(0.02	)		(0.28	)		10.12		(1.43%	)		420,872		0.40%			0.00%	e		N/A			1.87%
12/31/12		9.98		0.26			0.71			0.97			(0.38	)		(0.02	)		(0.40	)		10.55		9.74%			440,229		0.41%			0.00%	e		N/A			2.43%
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%
12/31/10g		10.00		0.16			0.15			0.31			(0.14	)		(0.08	)		(0.22	)		10.09		3.13%	b		3,658		0.42%	a		N/A			N/A			3.15%	a
Class R5
03/31/16r	$	10.15	$	0.10		$	0.10		$	0.20		$	(0.21	)	$	(0.03	)	$	(0.24	)	$	10.11		1.99%	b	$	125,418		0.49%	a		N/A			0.44%	a		1.98%	a
09/30/15i		10.08		0.13			(0.05	)		0.08			(0.00	)d		(0.01	)		(0.01	)		10.15		0.79%	b		166,482		0.49%	a		N/A			0.44%	a		1.70%	a
12/31/14		10.10		0.21			0.22			0.43			(0.30	)		(0.15	)		(0.45	)		10.08		4.26%			148,821		0.52%			0.00%	e		0.51%			1.98%
12/31/13		10.54		0.18			(0.35	)		(0.17	)		(0.25	)		(0.02	)		(0.27	)		10.10		(1.68%	)		175,117		0.55%			0.00%	e		N/A			1.72%
12/31/12		9.97		0.24			0.72			0.96			(0.37	)		(0.02	)		(0.39	)		10.54		9.62%			169,086		0.56%			0.00%	e		N/A			2.26%
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%
12/31/10g		10.00		0.14			0.14			0.28			(0.13	)		(0.08	)		(0.21	)		10.07		2.88%	b		29,273		0.57%	a		N/A			N/A			2.77%	a
Service Class
03/31/16r	$	10.17	$	0.09		$	0.11		$	0.20		$	(0.19	)	$	(0.03	)	$	(0.22	)	$	10.15		2.03%	b	$	201,773		0.59%	a		N/A			0.54%	a		1.86%	a
09/30/15i		10.12		0.12			(0.06	)		0.06			(0.00	)d		(0.01	)		(0.01	)		10.17		0.59%	b		209,728		0.59%	a		N/A			0.54%	a		1.54%	a
12/31/14		10.13		0.19			0.23			0.42			(0.28	)		(0.15	)		(0.43	)		10.12		4.23%			316,778		0.62%			0.00%	e		0.62%	k		1.86%
12/31/13		10.56		0.17			(0.35	)		(0.18	)		(0.23	)		(0.02	)		(0.25	)		10.13		(1.78%	)		355,678		0.67%			0.00%	e		N/A			1.60%
12/31/12		9.99		0.23			0.71			0.94			(0.35	)		(0.02	)		(0.37	)		10.56		9.43%			481,613		0.68%			0.00%	e		N/A			2.15%
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%
12/31/10g		10.00		0.13			0.16			0.29			(0.12	)		(0.08	)		(0.20	)		10.09		2.98%	b		516,171		0.69%	a		N/A			N/A			2.51%	a
Administrative Class
03/31/16r	$	10.11	$	0.09		$	0.10		$	0.19		$	(0.19	)	$	(0.03	)	$	(0.22	)	$	10.08		1.87%	b	$	87,787		0.69%	a		N/A			0.64%	a		1.76%	a
09/30/15i		10.06		0.11			(0.05	)		0.06			(0.00	)d		(0.01	)		(0.01	)		10.11		0.59%	b		89,080		0.69%	a		N/A			0.64%	a		1.49%	a
12/31/14		10.07		0.18			0.23			0.41			(0.27	)		(0.15	)		(0.42	)		10.06		4.14%			86,220		0.72%			0.00%	e		0.71%			1.74%
12/31/13		10.51		0.16			(0.35	)		(0.19	)		(0.23	)		(0.02	)		(0.25	)		10.07		(1.86%	)		107,501		0.75%			0.00%	e		N/A			1.52%
12/31/12		9.95		0.22			0.71			0.93			(0.35	)		(0.02	)		(0.37	)		10.51		9.35%			99,987		0.76%			0.00%	e		N/A			2.06%
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%
12/31/10g		10.00		0.13			0.15			0.28			(0.13	)		(0.08	)		(0.21	)		10.07		2.81%	b		27,909		0.77%	a		N/A			N/A			2.57%	a
Class A
03/31/16r	$	10.13	$	0.08		$	0.11		$	0.19		$	(0.18	)	$	(0.03	)	$	(0.21	)	$	10.11		1.90%	b	$	2,407		0.94%	a		N/A			0.89%	a		1.50%	a
09/30/15i		10.10		0.11			(0.07	)		0.04			(0.00	)d		(0.01	)		(0.01	)		10.13		0.39%	b		1,998		0.94%	a		N/A			0.89%	a		1.45%	a
12/31/14h		10.25		0.11			0.16			0.27			(0.27	)		(0.15	)		(0.42	)		10.10		2.65%	b		119		0.96%	a		0.00%	e		0.95%	a		1.36%	a
Class R4
03/31/16r	$	10.16	$	0.08		$	0.11		$	0.19		$	(0.17	)	$	(0.03	)	$	(0.20	)	$	10.15		1.89%	b	$	317,151		0.84%	a		N/A			0.79%	a		1.61%	a
09/30/15i		10.12		0.10			(0.05	)		0.05			(0.00	)d		(0.01	)		(0.01	)		10.16		0.49%	b		336,956		0.84%	a		N/A			0.79%	a		1.33%	a
12/31/14		10.14		0.17			0.22			0.39			(0.26	)		(0.15	)		(0.41	)		10.12		3.88%			385,955		0.86%			0.00%	e		0.85%			1.62%
12/31/13		10.56		0.15			(0.35	)		(0.20	)		(0.20	)		(0.02	)		(0.22	)		10.14		(1.94%	)		463,236		0.85%			0.00%	e		N/A			1.41%
12/31/12		9.99		0.21			0.71			0.92			(0.33	)		(0.02	)		(0.35	)		10.56		9.25%			766,346		0.86%			0.00%	e		N/A			1.98%
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%
12/31/10g		10.00		0.12			0.16			0.28			(0.11	)		(0.08	)		(0.19	)		10.09		2.89%	b		708,198		0.87%	a		N/A			N/A			2.34%	a
Class R3
03/31/16r	$	10.08	$	0.07		$	0.11		$	0.18		$	(0.15	)	$	(0.03	)	$	(0.18	)	$	10.08		1.77%	b	$	45,750		1.09%	a		N/A			1.04%	a		1.36%	a
09/30/15i		10.06		0.08			(0.05	)		0.03			(0.00	)d		(0.01	)		(0.01	)		10.08		0.29%	b		48,998		1.09%	a		N/A			1.04%	a		1.09%	a
12/31/14		10.08		0.14	��		0.22			0.36			(0.23	)		(0.15	)		(0.38	)		10.06		3.66%			49,462		1.11%			0.00%	e		1.10%			1.37%
12/31/13		10.52		0.12			(0.35	)		(0.23	)		(0.19	)		(0.02	)		(0.21	)		10.08		(2.21%	)		48,925		1.10%			0.00%	e		N/A			1.17%
12/31/12		9.97		0.18			0.71			0.89			(0.32	)		(0.02	)		(0.34	)		10.52		9.02%			44,647		1.11%			0.00%	e		N/A			1.71%
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%
12/31/10g		10.00		0.11			0.15			0.26			(0.10	)		(0.08	)		(0.18	)		10.08		2.70%	b		9,825		1.12%	a		N/A			N/A			2.12%	a

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		136	%		264	%		453	%u		460	%u		501	%u		442	%		299	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

n Includes interest expense.

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

r Unaudited.

u Excludes dollar roll transactions. Including these transactions, the portfolio turnover would have been 456%, 479% and 509% as of December 31, 2014, December 31, 2013 and December 31, 2012, respectively.

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

192

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	10.22	$	0.14	$	0.14		$	0.28		$	(0.30	)	$	(0.30	)	$	10.20		2.88%	b	$	83,450		0.57%	a		0.48%	a		2.84%	a
09/30/15i		10.15		0.20		(0.13	)		0.07			(0.00	)d		(0.00	)d		10.22		0.72%	b		68,561		0.59%	a		0.48%	a		2.61%	a
12/31/14h		10.09		0.25		0.18			0.43			(0.37	)		(0.37	)		10.15		4.32%	b		54,827		0.60%	a		0.48%	a		3.20%	a
Class R5
03/31/16r	$	10.22	$	0.14	$	0.14		$	0.28		$	(0.29	)	$	(0.29	)	$	10.21		2.88%	b	$	58,077		0.67%	a		0.58%	a		2.74%	a
09/30/15i		10.16		0.19		(0.13	)		0.06			(0.00	)d		(0.00	)d		10.22		0.62%	b		50,846		0.69%	a		0.58%	a		2.51%	a
12/31/14		9.82		0.32		0.38			0.70			(0.36	)		(0.36	)		10.16		7.13%			46,966		0.70%			0.63%			3.11%
12/31/13		10.34		0.29		(0.45	)		(0.16	)		(0.36	)		(0.36	)		9.82		(1.51%	)		82,091		0.69%			N/A			2.87%
12/31/12		9.91		0.31		0.47			0.78			(0.35	)		(0.35	)		10.34		7.86%			82,408		0.68%			N/A			3.02%
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%
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%
Service Class
03/31/16r	$	10.22	$	0.13	$	0.15		$	0.28		$	(0.29	)	$	(0.29	)	$	10.21		2.79%	b	$	50,694		0.77%	a		0.68%	a		2.63%	a
09/30/15i		10.17		0.19		(0.14	)		0.05			(0.00	)d		(0.00	)d		10.22		0.52%	b		59,568		0.79%	a		0.68%	a		2.41%	a
12/31/14		9.83		0.31		0.38			0.69			(0.35	)		(0.35	)		10.17		7.08%			51,447		0.79%			0.70%			3.02%
12/31/13		10.35		0.29		(0.45	)		(0.16	)		(0.36	)		(0.36	)		9.83		(1.55%	)		37,806		0.74%			N/A			2.85%
12/31/12		9.92		0.31		0.46			0.77			(0.34	)		(0.34	)		10.35		7.79%			25,412		0.73%			N/A			2.96%
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%
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%
Administrative Class
03/31/16r	$	10.18	$	0.13	$	0.15		$	0.28		$	(0.27	)	$	(0.27	)	$	10.19		2.85%	b	$	39,109		0.87%	a		0.78%	a		2.54%	a
09/30/15i		10.14		0.18		(0.14	)		0.04			(0.00	)d		(0.00	)d		10.18		0.42%	b		36,812		0.89%	a		0.78%	a		2.31%	a
12/31/14		9.81		0.30		0.38			0.68			(0.35	)		(0.35	)		10.14		6.94%			28,065		0.90%			0.80%			2.91%
12/31/13		10.32		0.27		(0.45	)		(0.18	)		(0.33	)		(0.33	)		9.81		(1.73%	)		14,613		0.89%			N/A			2.59%
12/31/12		9.90		0.29		0.46			0.75			(0.33	)		(0.33	)		10.32		7.57%			31,753		0.88%			N/A			2.81%
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%
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%
Class A
03/31/16r	$	10.15	$	0.11	$	0.15		$	0.26		$	(0.25	)	$	(0.25	)	$	10.16		2.67%	b	$	44,031		1.12%	a		1.03%	a		2.28%	a
09/30/15i		10.13		0.16		(0.14	)		0.02			(0.00	)d		(0.00	)d		10.15		0.22%	b		40,577		1.14%	a		1.03%	a		2.07%	a
12/31/14		9.80		0.27		0.38			0.65			(0.32	)		(0.32	)		10.13		6.66%			32,540		1.15%			1.06%			2.65%
12/31/13		10.31		0.24		(0.43	)		(0.19	)		(0.32	)		(0.32	)		9.80		(1.89%	)		27,677		1.14%			N/A			2.40%
12/31/12		9.89		0.26		0.46			0.72			(0.30	)		(0.30	)		10.31		7.27%			37,774		1.13%			N/A			2.57%
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%
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%
Class R4
03/31/16r	$	10.15	$	0.12	$	0.14		$	0.26		$	(0.28	)	$	(0.28	)	$	10.13		2.64%	b	$	21,529		1.02%	a		0.93%	a		2.40%	a
09/30/15i		10.12		0.18		(0.15	)		0.03			(0.00	)d		(0.00	)d		10.15		0.32%	b		14,724		1.04%	a		0.93%	a		2.36%	a
12/31/14h		10.06		0.21		0.19			0.40			(0.34	)		(0.34	)		10.12		3.99%	b		104		1.05%	a		0.93%	a		2.75%	a
Class R3
03/31/16r	$	10.06	$	0.11	$	0.14		$	0.25		$	(0.24	)	$	(0.24	)	$	10.07		2.57%	b	$	5,154		1.27%	a		1.18%	a		2.18%	a
09/30/15i		10.05		0.15		(0.14	)		0.01			(0.00	)d		(0.00	)d		10.06		0.13%	b		2,904		1.29%	a		1.18%	a		1.94%	a
12/31/14		9.75		0.25		0.38			0.63			(0.33	)		(0.33	)		10.05		6.44%			1,978		1.33%			1.24%			2.49%
12/31/13		10.26		0.21		(0.44	)		(0.23	)		(0.28	)		(0.28	)		9.75		(2.22%	)		974		1.44%			N/A			2.11%
12/31/12		9.85		0.23		0.46			0.69			(0.28	)		(0.28	)		10.26		7.00%			1,130		1.43%			N/A			2.26%
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%
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%

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		122	%		191	%		308	%		352	%		417	%		669	%		267	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

193

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	13.64	$	0.14	$	0.49		$	0.63		$	(0.21	)	$	(0.21	)	$	14.06		4.64%	b	$	203,087		0.58%	a		1.98%	a
09/30/15i		14.86		0.18		(1.35	)		(1.17	)		(0.05	)		(0.05	)		13.64		(7.91%	)b		75,827		0.58%	a		1.66%	a
12/31/14h		13.89		0.17		1.10			1.27			(0.30	)		(0.30	)		14.86		9.20%	b		97,877		0.55%	a		1.56%	a
Class R5
03/31/16r	$	13.64	$	0.14	$	0.48		$	0.62		$	(0.20	)	$	(0.20	)	$	14.06		4.53%	b	$	101,305		0.68%	a		2.07%	a
09/30/15i		14.87		0.17		(1.35	)		(1.18	)		(0.05	)		(0.05	)		13.64		(7.98%	)b		207,187		0.68%	a		1.58%	a
12/31/14		13.56		0.29		1.30			1.59			(0.28	)		(0.28	)		14.87		11.82%			235,941		0.63%			2.07%
12/31/13		10.21		0.19		3.32			3.51			(0.16	)		(0.16	)		13.56		34.40%			329,972		0.59%			1.55%
12/31/12		8.87		0.19		1.39			1.58			(0.24	)		(0.24	)		10.21		17.79%			245,589		0.59%			1.98%
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%
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%
Service Class
03/31/16r	$	13.63	$	0.13	$	0.50		$	0.63		$	(0.19	)	$	(0.19	)	$	14.07		4.58%	b	$	10,788		0.78%	a		1.86%	a
09/30/15i		14.88		0.16		(1.36	)		(1.20	)		(0.05	)		(0.05	)		13.63		(8.11%	)b		14,983		0.78%	a		1.49%	a
12/31/14		13.57		0.25		1.33			1.58			(0.27	)		(0.27	)		14.88		11.72%			16,147		0.73%			1.76%
12/31/13		10.22		0.17		3.32			3.49			(0.14	)		(0.14	)		13.57		34.24%			21,780		0.69%			1.44%
12/31/12		8.87		0.18		1.39			1.57			(0.22	)		(0.22	)		10.22		17.74%			18,431		0.69%			1.84%
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%
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%
Administrative Class
03/31/16r	$	13.68	$	0.13	$	0.48		$	0.61		$	(0.16	)	$	(0.16	)	$	14.13		4.44%	b	$	5,368		0.88%	a		1.79%	a
09/30/15i		14.93		0.15		(1.35	)		(1.20	)		(0.05	)		(0.05	)		13.68		(8.08%	)b		6,206		0.88%	a		1.38%	a
12/31/14		13.63		0.24		1.32			1.56			(0.26	)		(0.26	)		14.93		11.52%			9,579		0.84%			1.69%
12/31/13		10.25		0.16		3.33			3.49			(0.11	)		(0.11	)		13.63		34.13%			7,905		0.80%			1.33%
12/31/12		8.90		0.17		1.39			1.56			(0.21	)		(0.21	)		10.25		17.53%			7,642		0.80%			1.74%
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%
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%
Class A
03/31/16r	$	13.58	$	0.11	$	0.49		$	0.60		$	(0.13	)	$	(0.13	)	$	14.05		4.39%	b	$	20,262		1.13%	a		1.55%	a
09/30/15i		14.86		0.13		(1.36	)		(1.23	)		(0.05	)		(0.05	)		13.58		(8.32%	)b		20,926		1.13%	a		1.14%	a
12/31/14		13.55		0.21		1.31			1.52			(0.21	)		(0.21	)		14.86		11.27%			23,963		1.10%			1.47%
12/31/13		10.20		0.13		3.31			3.44			(0.09	)		(0.09	)		13.55		33.78%			24,625		1.09%			1.05%
12/31/12		8.86		0.14		1.39			1.53			(0.19	)		(0.19	)		10.20		17.23%			24,405		1.09%			1.48%
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%
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%
Class R4
03/31/16r	$	13.57	$	0.12	$	0.47		$	0.59		$	(0.16	)	$	(0.16	)	$	14.00		4.35%	b	$	338		1.03%	a		1.72%	a
09/30/15i		14.83		0.14		(1.35	)		(1.21	)		(0.05	)		(0.05	)		13.57		(8.20%	)b		279		1.03%	a		1.26%	a
12/31/14h		13.86		0.12		1.10			1.22			(0.25	)		(0.25	)		14.83		8.85%	b		109		1.00%	a		1.13%	a
Class R3
03/31/16r	$	13.62	$	0.12	$	0.47		$	0.59		$	(0.17	)	$	(0.17	)	$	14.04		4.30%	b	$	1,358		1.28%	a		1.73%	a
09/30/15i		14.91		0.12		(1.36	)		(1.24	)		(0.05	)		(0.05	)		13.62		(8.36%	)b		247		1.28%	a		1.06%	a
12/31/14		13.61		0.18		1.31			1.49			(0.19	)		(0.19	)		14.91		11.02%			194		1.28%			1.26%
12/31/13		10.25		0.09		3.33			3.42			(0.06	)		(0.06	)		13.61		33.35%			166		1.40%			0.73%
12/31/12		8.90		0.11		1.39			1.50			(0.15	)		(0.15	)		10.25		16.88%			131		1.40%			1.12%
12/31/11		8.94		0.09		(0.04	)		0.05			(0.09	)		(0.09	)		8.90		0.63%			259		1.40%			0.98%
12/31/10		8.08		0.08		0.85			0.93			(0.07	)		(0.07	)		8.94		11.63%			255		1.41%			0.93%

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		22	%		29	%		49	%		44	%		38	%		36	%		130	%

a Annualized.

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

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

194

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	12.46	$	0.14	$	0.61		$	0.75		$	(0.23	)	$	(1.36	)	$	(1.59	)	$	11.62		6.18%	b	$	464,128		0.64%	a		N/A			2.44%	a
09/30/15i		13.97		0.17		(1.28	)		(1.11	)		-			(0.40	)		(0.40	)		12.46		(8.06%	)b		422,026		0.63%	a		N/A			1.65%	a
12/31/14		13.60		0.23		1.28			1.51			(0.24	)		(0.90	)		(1.14	)		13.97		11.45%			408,068		0.65%			0.62%			1.65%
12/31/13		11.36		0.24		3.32			3.56			(0.26	)		(1.06	)		(1.32	)		13.60		31.85%			267,342		0.74%			0.59%			1.82%
12/31/12		10.04		0.24		1.44			1.68			(0.36	)		-			(0.36	)		11.36		16.75%			204,268		0.74%			0.59%			2.21%
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%
12/31/10g		9.82		0.03		0.63			0.66			-			-			-			10.48		6.72%	b		107		0.75%	a		0.65%	a		1.98%	a
Class R5
03/31/16r	$	12.49	$	0.14	$	0.61		$	0.75		$	(0.22	)	$	(1.36	)	$	(1.58	)	$	11.66		6.11%	b	$	387,493		0.74%	a		N/A			2.27%	a
09/30/15i		14.01		0.16		(1.28	)		(1.12	)		-			(0.40	)		(0.40	)		12.49		(8.10%	)b		423,631		0.73%	a		N/A			1.53%	a
12/31/14		13.64		0.22		1.27			1.49			(0.22	)		(0.90	)		(1.12	)		14.01		11.27%			564,826		0.78%			0.74%			1.53%
12/31/13		11.39		0.22		3.32			3.54			(0.23	)		(1.06	)		(1.29	)		13.64		31.57%			541,839		0.94%			0.79%			1.63%
12/31/12		10.07		0.22		1.44			1.66			(0.34	)		-			(0.34	)		11.39		16.49%			486,471		0.94%			0.79%			2.00%
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%
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%
Service Class
03/31/16r	$	12.44	$	0.13	$	0.62		$	0.75		$	(0.21	)	$	(1.36	)	$	(1.57	)	$	11.62		6.12%	b	$	149,800		0.84%	a		N/A			2.17%	a
09/30/15i		13.97		0.15		(1.28	)		(1.13	)		-			(0.40	)		(0.40	)		12.44		(8.20%	)b		158,634		0.83%	a		N/A			1.44%	a
12/31/14		13.60		0.20		1.28			1.48			(0.21	)		(0.90	)		(1.11	)		13.97		11.22%			208,770		0.86%			0.83%			1.44%
12/31/13		11.36		0.21		3.32			3.53			(0.23	)		(1.06	)		(1.29	)		13.60		31.52%			207,094		0.98%			0.83%			1.58%
12/31/12		10.05		0.22		1.42			1.64			(0.33	)		-			(0.33	)		11.36		16.35%			158,864		0.98%			0.83%			1.96%
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%
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%
Administrative Class
03/31/16r	$	12.49	$	0.13	$	0.61		$	0.74		$	(0.19	)	$	(1.36	)	$	(1.55	)	$	11.68		6.03%	b	$	97,746		0.94%	a		N/A			2.10%	a
09/30/15i		14.04		0.14		(1.29	)		(1.15	)		-			(0.40	)		(0.40	)		12.49		(8.30%	)b		102,932		0.93%	a		N/A			1.34%	a
12/31/14		13.65		0.19		1.29			1.48		��	(0.19	)		(0.90	)		(1.09	)		14.04		11.14%			123,885		0.97%			0.94%			1.33%
12/31/13		11.40		0.19		3.33			3.52			(0.21	)		(1.06	)		(1.27	)		13.65		31.35%			141,207		1.13%			0.98%			1.42%
12/31/12		10.09		0.20		1.43			1.63			(0.32	)		-			(0.32	)		11.40		16.16%			115,576		1.13%			0.98%			1.81%
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%
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%
Class A
03/31/16r	$	12.35	$	0.11	$	0.59		$	0.70		$	(0.15	)	$	(1.36	)	$	(1.51	)	$	11.54		5.80%	b	$	170,770		1.19%	a		N/A			1.86%	a
09/30/15i		13.90		0.11		(1.26	)		(1.15	)		-			(0.40	)		(0.40	)		12.35		(8.39%	)b		170,054		1.18%	a		N/A			1.08%	a
12/31/14		13.53		0.15		1.27			1.42			(0.15	)		(0.90	)		(1.05	)		13.90		10.78%			215,519		1.23%			1.19%			1.08%
12/31/13		11.28		0.15		3.31			3.46			(0.15	)		(1.06	)		(1.21	)		13.53		31.10%			272,524		1.38%			1.23%			1.18%
12/31/12		9.99		0.17		1.41			1.58			(0.29	)		-			(0.29	)		11.28		15.85%			332,630		1.38%			1.23%			1.56%
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%
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%
Class R4
03/31/16r	$	12.32	$	0.12	$	0.60		$	0.72		$	(0.21	)	$	(1.36	)	$	(1.57	)	$	11.47		5.94%	b	$	1,837		1.09%	a		N/A			1.97%	a
09/30/15i		13.86		0.12		(1.26	)		(1.14	)		-			(0.40	)		(0.40	)		12.32		(8.34%	)b		1,846		1.08%	a		N/A			1.25%	a
12/31/14h		13.74		0.12		1.10			1.22			(0.20	)		(0.90	)		(1.10	)		13.86		9.16%	b		109		1.07%	a		N/A			1.11%	a
Class R3
03/31/16r	$	12.25	$	0.10	$	0.59		$	0.69		$	(0.16	)	$	(1.36	)	$	(1.52	)	$	11.42		5.74%	b	$	1,291		1.34%	a		N/A			1.77%	a
09/30/15i		13.81		0.10		(1.26	)		(1.16	)		-			(0.40	)		(0.40	)		12.25		(8.51%	)b		896		1.33%	a		N/A			0.95%	a
12/31/14		13.45		0.12		1.27			1.39			(0.13	)		(0.90	)		(1.03	)		13.81		10.63%			977		1.41%			1.37%			0.88%
12/31/13		11.25		0.11		3.29			3.40			(0.14	)		(1.06	)		(1.20	)		13.45		30.66%			1,245		1.68%			1.53%			0.88%
12/31/12		9.90		0.14		1.40			1.54			(0.19	)		-			(0.19	)		11.25		15.55%			878		1.68%			1.53%			1.29%
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%
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%

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		6	%		15	%		19	%		18	%		22	%		14	%		30	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

195

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)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	7.57	$	0.08	$	0.24		$	0.32		$	(0.22	)	$	(0.90	)	$	(1.12	)	$	6.77		4.17%	b	$	67,489		0.71%	a		0.63%	a		2.22%	a
09/30/15i		8.29		0.12		(0.78	)		(0.66	)		-			(0.06	)		(0.06	)		7.57		(7.94%	)b		59,771		0.67%	a		0.63%	a		1.96%	a
12/31/14h		9.64		0.15		0.08			0.23			(0.29	)		(1.29	)		(1.58	)		8.29		3.05%	b		148,996		0.64%	a		0.63%	a		2.09%	a
Class R5
03/31/16r	$	7.58	$	0.07	$	0.25		$	0.32		$	(0.21	)	$	(0.90	)	$	(1.11	)	$	6.79		4.16%	b	$	95,752		0.81%	a		0.73%	a		2.09%	a
09/30/15i		8.30		0.12		(0.78	)		(0.66	)		-			(0.06	)		(0.06	)		7.58		(7.92%	)b		123,464		0.77%	a		0.73%	a		1.91%	a
12/31/14		9.48		0.28		0.11			0.39			(0.28	)		(1.29	)		(1.57	)		8.30		4.73%			172,533		0.75%			0.74%			2.92%
12/31/13		7.82		0.21		2.21			2.42			(0.25	)		(0.51	)		(0.76	)		9.48		31.24%			337,852		0.77%			0.75%			2.33%
12/31/12		10.08		0.18		0.96			1.14			(0.17	)		(3.23	)		(3.40	)		7.82		11.22%			336,198		0.77%			0.77%	k		1.67%
12/31/11		10.60		0.10		(0.54	)		(0.44	)		(0.08	)		-			(0.08	)		10.08		(4.15%	)		309,422		0.77%			N/A			1.00%
12/31/10		9.50		0.09		1.15			1.24			(0.14	)		-			(0.14	)		10.60		13.08%			377,131		0.77%			N/A			0.91%
Service Class
03/31/16r	$	7.59	$	0.07	$	0.26		$	0.33		$	(0.21	)	$	(0.90	)	$	(1.11	)	$	6.81		4.20%	b	$	6,483		0.91%	a		0.83%	a		2.02%	a
09/30/15i		8.32		0.11		(0.78	)		(0.67	)		-			(0.06	)		(0.06	)		7.59		(8.03%	)b		9,543		0.87%	a		0.83%	a		1.76%	a
12/31/14		9.49		0.27		0.11			0.38			(0.26	)		(1.29	)		(1.55	)		8.32		4.59%			13,470		0.85%			0.83%			2.81%
12/31/13		7.83		0.20		2.21			2.41			(0.24	)		(0.51	)		(0.75	)		9.49		31.11%			34,719		0.86%			0.84%			2.23%
12/31/12		10.07		0.15		0.99			1.14			(0.15	)		(3.23	)		(3.38	)		7.83		11.22%			26,190		0.86%			0.86%	k		1.38%
12/31/11		10.60		0.10		(0.56	)		(0.46	)		(0.07	)		-			(0.07	)		10.07		(4.34%	)		65,751		0.86%			N/A			0.91%
12/31/10		9.50		0.08		1.15			1.23			(0.13	)		-			(0.13	)		10.60		12.98%			81,805		0.86%			N/A			0.82%
Administrative Class
03/31/16r	$	7.55	$	0.07	$	0.24		$	0.31		$	(0.19	)	$	(0.90	)	$	(1.09	)	$	6.77		4.00%	b	$	13,319		1.01%	a		0.93%	a		1.90%	a
09/30/15i		8.27		0.10		(0.76	)		(0.66	)		-			(0.06	)		(0.06	)		7.55		(7.95%	)b		15,634		0.97%	a		0.93%	a		1.70%	a
12/31/14		9.46		0.24		0.12			0.36			(0.26	)		(1.29	)		(1.55	)		8.27		4.42%			25,165		0.96%			0.94%			2.48%
12/31/13		7.80		0.19		2.20			2.39			(0.22	)		(0.51	)		(0.73	)		9.46		30.99%			29,046		1.01%			0.99%			2.08%
12/31/12		10.06		0.14		0.97			1.11			(0.14	)		(3.23	)		(3.37	)		7.80		10.93%			41,924		1.01%			1.01%	k		1.34%
12/31/11		10.57		0.08		(0.54	)		(0.46	)		(0.05	)		-			(0.05	)		10.06		(4.37%	)		48,977		1.01%			N/A			0.77%
12/31/10		9.47		0.06		1.15			1.21			(0.11	)		-			(0.11	)		10.57		12.81%			78,893		1.01%			N/A			0.65%
Class A
03/31/16r	$	7.52	$	0.06	$	0.25		$	0.31		$	(0.17	)	$	(0.90	)	$	(1.07	)	$	6.76		3.99%	b	$	29,500		1.26%	a		1.18%	a		1.65%	a
09/30/15i		8.26		0.09		(0.77	)		(0.68	)		-			(0.06	)		(0.06	)		7.52		(8.21%	)b		33,802		1.22%	a		1.18%	a		1.44%	a
12/31/14		9.44		0.21		0.13			0.34			(0.23	)		(1.29	)		(1.52	)		8.26		4.22%			50,363		1.21%			1.19%			2.24%
12/31/13		7.79		0.17		2.18			2.35			(0.19	)		(0.51	)		(0.70	)		9.44		30.53%			65,907		1.26%			1.24%			1.84%
12/31/12		10.03		0.11		0.98			1.09			(0.10	)		(3.23	)		(3.33	)		7.79		10.77%			69,701		1.26%			1.26%	k		1.05%
12/31/11		10.54		0.05		(0.55	)		(0.50	)		(0.01	)		-			(0.01	)		10.03		(4.70%	)		104,872		1.26%			N/A			0.51%
12/31/10		9.45		0.04		1.14			1.18			(0.09	)		-			(0.09	)		10.54		12.48%			155,189		1.26%			N/A			0.42%
Class R4
03/31/16r	$	7.50	$	0.06	$	0.25		$	0.31		$	(0.19	)	$	(0.90	)	$	(1.09	)	$	6.72		3.98%	b	$	84		1.16%	a		1.08%	a		1.77%	a
09/30/15i		8.24		0.10		(0.78	)		(0.68	)		-			(0.06	)		(0.06	)		7.50		(8.23%	)b		94		1.12%	a		1.08%	a		1.57%	a
12/31/14h		9.59		0.12		0.08			0.20			(0.26	)		(1.29	)		(1.55	)		8.24		2.71%	b		103		1.09%	a		1.08%	a		1.68%	a
Class R3
03/31/16r	$	7.38	$	0.05	$	0.24		$	0.29		$	(0.16	)	$	(0.90	)	$	(1.06	)	$	6.61		3.82%	b	$	74		1.41%	a		1.33%	a		1.49%	a
09/30/15i		8.12		0.08		(0.76	)		(0.68	)		-			(0.06	)		(0.06	)		7.38		(8.35%	)b		79		1.37%	a		1.33%	a		1.31%	a
12/31/14		9.30		0.19		0.14			0.33			(0.22	)		(1.29	)		(1.51	)		8.12		4.10%			94		1.40%			1.38%			2.06%
12/31/13		7.68		0.14		2.16			2.30			(0.17	)		(0.51	)		(0.68	)		9.30		30.27%			114		1.56%			1.54%			1.54%
12/31/12		9.93		0.07		0.97			1.04			(0.06	)		(3.23	)		(3.29	)		7.68		10.32%			117		1.56%			1.56%	k		0.70%
12/31/11		10.44		0.02		(0.53	)		(0.51	)		-			-			-			9.93		(4.89%	)		434		1.55%			N/A			0.22%
12/31/10		9.36		0.01		1.13			1.14			(0.06	)		-			(0.06	)		10.44		12.20%			735		1.56%			N/A			0.12%

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		2	%		6	%		50	%		34	%		107	%		10	%		10	%

a Annualized.

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

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

196

MM S&P 500 Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	17.50	$	0.20	$	1.26		$	1.46		$	(0.36	)	$	(0.36	)	$	(0.72	)	$	18.24		8.40%	b	$	979,677		0.12%	a		N/A			2.20%	a
09/30/15i		18.54		0.27		(1.26	)		(0.99	)		-			(0.05	)		(0.05	)		17.50		(5.35%	)b		860,720		0.12%	a		N/A			1.93%	a
12/31/14		16.99		0.34		1.94			2.28			(0.34	)		(0.39	)		(0.73	)		18.54		13.55%			619,847		0.13%			0.11%			1.90%
12/31/13		13.20		0.32		3.93			4.25			(0.35	)		(0.11	)		(0.46	)		16.99		32.34%			436,004		0.18%			0.08%			2.01%
12/31/12		11.66		0.29		1.57			1.86			(0.32	)		-			(0.32	)		13.20		15.96%			103,732		0.18%			0.08%			2.23%
12/31/11g		11.85		0.01		(0.02	)		(0.01	)		(0.18	)		-			(0.18	)		11.66		0.00%	b,e		57,185		0.17%	a		0.06%	a		1.80%	a
Class R5
03/31/16r	$	17.52	$	0.19	$	1.27		$	1.46		$	(0.34	)	$	(0.36	)	$	(0.70	)	$	18.28		8.39%	b	$	823,033		0.22%	a		N/A			2.09%	a
09/30/15i		18.58		0.25		(1.26	)		(1.01	)		-			(0.05	)		(0.05	)		17.52		(5.44%	)b		872,011		0.22%	a		N/A			1.82%	a
12/31/14		17.02		0.32		1.95			2.27			(0.32	)		(0.39	)		(0.71	)		18.58		13.46%			1,003,654		0.23%			0.22%			1.79%
12/31/13		13.23		0.29		3.94			4.23			(0.33	)		(0.11	)		(0.44	)		17.02		32.11%			1,003,965		0.25%			0.20%			1.88%
12/31/12		11.69		0.27		1.57			1.84			(0.30	)		-			(0.30	)		13.23		15.77%			833,287		0.26%			0.21%			2.07%
12/31/11p		11.70		0.22		(0.01	)		0.21			(0.22	)		-			(0.22	)		11.69		1.84%			737,960		0.21%			0.21%	k		1.85%
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%
Service Class
03/31/16r	$	17.52	$	0.17	$	1.27		$	1.44		$	(0.31	)	$	(0.36	)	$	(0.67	)	$	18.29		8.28%	b	$	658,158		0.37%	a		N/A			1.94%	a
09/30/15i		18.60		0.23		(1.26	)		(1.03	)		-			(0.05	)		(0.05	)		17.52		(5.54%	)b		636,417		0.37%	a		N/A			1.66%	a
12/31/14		17.05		0.29		1.94			2.23			(0.29	)		(0.39	)		(0.68	)		18.60		13.21%			736,040		0.39%			0.38%			1.63%
12/31/13		13.25		0.25		3.95			4.20			(0.29	)		(0.11	)		(0.40	)		17.05		31.86%			609,354		0.47%			0.42%			1.66%
12/31/12		11.71		0.24		1.58			1.82			(0.28	)		-			(0.28	)		13.25		15.51%			516,727		0.47%			0.42%			1.86%
12/31/11		11.71		0.19		(0.00	)d		0.19			(0.19	)		-			(0.19	)		11.71		1.69%			437,378		0.42%			0.42%	k		1.62%
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%
Administrative Class
03/31/16r	$	17.30	$	0.16	$	1.26		$	1.42		$	(0.29	)	$	(0.36	)	$	(0.65	)	$	18.07		8.25%	b	$	498,996		0.47%	a		N/A			1.84%	a
09/30/15i		18.39		0.22		(1.26	)		(1.04	)		-			(0.05	)		(0.05	)		17.30		(5.66%	)b		493,479		0.47%	a		N/A			1.57%	a
12/31/14		16.86		0.27		1.93			2.20			(0.28	)		(0.39	)		(0.67	)		18.39		13.18%			557,940		0.48%			0.47%			1.54%
12/31/13		13.11		0.25		3.90			4.15			(0.29	)		(0.11	)		(0.40	)		16.86		31.81%			335,898		0.50%			0.45%			1.63%
12/31/12		11.58		0.23		1.57			1.80			(0.27	)		-			(0.27	)		13.11		15.56%			269,106		0.50%			0.45%			1.82%
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%	k		1.58%
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%
Class A
03/31/16r	$	17.12	$	0.14	$	1.25		$	1.39		$	(0.30	)	$	(0.36	)	$	(0.66	)	$	17.85		8.14%	b	$	20,578		0.72%	a		N/A			1.61%	a
09/30/15i		18.23		0.18		(1.24	)		(1.06	)		-			(0.05	)		(0.05	)		17.12		(5.82%	)b		11,784		0.72%	a		N/A			1.33%	a
12/31/14h		17.01		0.19		1.68			1.87			(0.26	)		(0.39	)		(0.65	)		18.23		11.10%	b		3,314		0.72%	a		N/A			1.43%	a
Class R4
03/31/16r	$	17.16	$	0.15	$	1.24		$	1.39		$	(0.27	)	$	(0.36	)	$	(0.63	)	$	17.92		8.15%	b	$	590,861		0.62%	a		N/A			1.69%	a
09/30/15i		18.25		0.19		(1.23	)		(1.04	)		-			(0.05	)		(0.05	)		17.16		(5.70%	)b		534,856		0.62%	a		N/A			1.41%	a
12/31/14		16.74		0.24		1.90			2.14			(0.24	)		(0.39	)		(0.63	)		18.25		12.92%			547,665		0.66%			0.63%			1.37%
12/31/13		13.02		0.22		3.87			4.09			(0.26	)		(0.11	)		(0.37	)		16.74		31.57%			535,280		0.84%			0.65%			1.43%
12/31/12		11.51		0.21		1.55			1.76			(0.25	)		-			(0.25	)		13.02		15.28%			388,374		0.90%			0.65%			1.63%
12/31/11		11.52		0.16		(0.00	)d		0.16			(0.17	)		-			(0.17	)		11.51		1.42%			336,032		0.85%			0.65%			1.40%
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%
Class R3
03/31/16r	$	16.95	$	0.13	$	1.23		$	1.36		$	(0.30	)	$	(0.36	)	$	(0.66	)	$	17.65		8.06%	b	$	63,060		0.87%	a		N/A			1.49%	a
09/30/15i		18.06		0.16		(1.22	)		(1.06	)		-			(0.05	)		(0.05	)		16.95		(5.88%	)b		24,643		0.87%	a		N/A			1.21%	a
12/31/14		16.58		0.19		1.90			2.09			(0.22	)		(0.39	)		(0.61	)		18.06		12.68%			3,736		0.92%			0.89%			1.12%
12/31/13		12.90		0.17		3.83			4.00			(0.21	)		(0.11	)		(0.32	)		16.58		31.14%			4,940		1.14%			0.95%			1.13%
12/31/12		11.41		0.17		1.53			1.70			(0.21	)		-			(0.21	)		12.90		14.91%			3,869		1.20%			0.95%			1.33%
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%
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%

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		2	%		2	%		5	%		10	%		3	%		2	%		5	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

p Class Z shares were renamed Class I shares on September 30, 2011. Class I shares were renamed Class R5 shares on April 1, 2014.

r Unaudited.

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

197

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)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	19.31	$	0.13		$	0.89		$	1.02		$	(0.36	)	$	(2.93	)	$	(3.29	)	$	17.04		5.17%	b	$	237,980		0.73%	a		N/A			1.50%	a
09/30/15i		22.69		0.28			(3.41	)		(3.13	)		-			(0.25	)		(0.25	)		19.31		(13.85%	)b		216,254		0.73%	a		N/A			1.70%	a
12/31/14		23.34		0.46			2.34			2.80			(0.47	)		(2.98	)		(3.45	)		22.69		12.54%			222,925		0.74%			0.71%			1.94%
12/31/13		18.86		0.14			6.99			7.13			(0.14	)		(2.51	)		(2.65	)		23.34		38.45%			167,586		0.78%			0.68%			0.63%
12/31/12		16.98		0.20			3.38			3.58			(0.19	)		(1.51	)		(1.70	)		18.86		21.28%			121,833		0.78%			0.68%			1.04%
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%
12/31/10g		16.92		0.02			0.70			0.72			-			-			-			17.64		4.26%	b		104		0.79%	a		0.69%	a		0.77%	a
Class R5
03/31/16r	$	19.34	$	0.12		$	0.90		$	1.02		$	(0.34	)	$	(2.93	)	$	(3.27	)	$	17.09		5.14%	b	$	219,266		0.83%	a		N/A			1.38%	a
09/30/15i		22.74		0.27			(3.42	)		(3.15	)		-			(0.25	)		(0.25	)		19.34		(13.91%	)b		240,748		0.83%	a		N/A			1.62%	a
12/31/14		23.38		0.45			2.33			2.78			(0.44	)		(2.98	)		(3.42	)		22.74		12.44%			336,501		0.84%			0.82%			1.89%
12/31/13		18.89		0.11			7.00			7.11			(0.11	)		(2.51	)		(2.62	)		23.38		38.28%			316,010		0.90%			0.80%			0.51%
12/31/12		17.00		0.17			3.39			3.56			(0.16	)		(1.51	)		(1.67	)		18.89		21.17%			266,390		0.90%			0.80%			0.88%
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%
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%
Service Class
03/31/16r	$	19.11	$	0.11		$	0.88		$	0.99		$	(0.31	)	$	(2.93	)	$	(3.24	)	$	16.86		5.14%	b	$	76,517		0.93%	a		N/A			1.29%	a
09/30/15i		22.49		0.25			(3.38	)		(3.13	)		-			(0.25	)		(0.25	)		19.11		(14.02%	)b		76,245		0.93%	a		N/A			1.50%	a
12/31/14		23.16		0.44			2.29			2.73			(0.42	)		(2.98	)		(3.40	)		22.49		12.33%			98,642		0.94%			0.92%			1.87%
12/31/13		18.74		0.09			6.94			7.03			(0.10	)		(2.51	)		(2.61	)		23.16		38.13%			98,784		1.00%			0.90%			0.42%
12/31/12		16.88		0.14			3.38			3.52			(0.15	)		(1.51	)		(1.66	)		18.74		21.03%			59,000		1.00%			0.90%			0.77%
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%
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%
Administrative Class
03/31/16r	$	18.94	$	0.10		$	0.87		$	0.97		$	(0.29	)	$	(2.93	)	$	(3.22	)	$	16.69		5.01%	b	$	97,112		1.03%	a		N/A			1.19%	a
09/30/15i		22.31		0.23			(3.35	)		(3.12	)		-			(0.25	)		(0.25	)		18.94		(14.04%	)b		97,736		1.03%	a		N/A			1.42%	a
12/31/14		23.00		0.38			2.30			2.68			(0.39	)		(2.98	)		(3.37	)		22.31		12.20%			111,776		1.05%			1.03%			1.63%
12/31/13		18.62		0.06			6.90			6.96			(0.07	)		(2.51	)		(2.58	)		23.00		37.97%			105,331		1.15%			1.05%			0.26%
12/31/12		16.79		0.12			3.34			3.46			(0.12	)		(1.51	)		(1.63	)		18.62		20.82%			73,933		1.15%			1.05%			0.64%
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%
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%
Class A
03/31/16r	$	18.38	$	0.08		$	0.84		$	0.92		$	(0.24	)	$	(2.93	)	$	(3.17	)	$	16.13		4.87%	b	$	173,346		1.28%	a		N/A			0.94%	a
09/30/15i		21.69		0.18			(3.24	)		(3.06	)		-			(0.25	)		(0.25	)		18.38		(14.16%	)b		181,803		1.28%	a		N/A			1.16%	a
12/31/14		22.46		0.33			2.21			2.54			(0.33	)		(2.98	)		(3.31	)		21.69		11.86%			227,294		1.30%			1.28%			1.45%
12/31/13		18.23		0.00	d		6.75			6.75			(0.01	)		(2.51	)		(2.52	)		22.46		37.66%			218,492		1.40%			1.30%			0.01%
12/31/12		16.46		0.07			3.28			3.35			(0.07	)		(1.51	)		(1.58	)		18.23		20.55%			160,758		1.40%			1.30%			0.37%
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%
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%
Class R4
03/31/16r	$	18.35	$	0.10		$	0.84		$	0.94		$	(0.32	)	$	(2.93	)	$	(3.25	)	$	16.04		4.99%	b	$	3,604		1.18%	a		N/A			1.15%	a
09/30/15i		21.65		0.24			(3.29	)		(3.05	)		-			(0.25	)		(0.25	)		18.35		(14.14%	)b		1,683		1.18%	a		N/A			1.52%	a
12/31/14h		22.25		0.10			2.67			2.77			(0.39	)		(2.98	)		(3.37	)		21.65		13.01%	b		113		1.17%	a		N/A			0.55%	a
Class R3
03/31/16r	$	17.72	$	0.07		$	0.82		$	0.89		$	(0.29	)	$	(2.93	)	$	(3.22	)	$	15.39		4.86%	b	$	3,233		1.43%	a		N/A			0.83%	a
09/30/15i		20.95		0.14			(3.12	)		(2.98	)		-			(0.25	)		(0.25	)		17.72		(14.28%	)b		2,317		1.44%	a		N/A			0.94%	a
12/31/14		21.80		0.29			2.13			2.42			(0.29	)		(2.98	)		(3.27	)		20.95		11.67%			721		1.49%			1.47%			1.31%
12/31/13		17.80		(0.06	)		6.57			6.51			-			(2.51	)		(2.51	)		21.80		37.19%			731		1.70%			1.60%			(0.28%	)
12/31/12		16.10		(0.01	)		3.22			3.21			-			(1.51	)		(1.51	)		17.80		20.13%			477		1.70%			1.60%			(0.06%	)
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%	)
12/31/10		13.73		(0.03	)		2.90			2.87			-			-			-			16.60		20.90%			1,882		1.62%			1.60%			(0.19%	)

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		17	%		39	%		35	%		27	%		30	%		32	%		32	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

198

MassMutual Select Fundamental Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Net asset value, beginning of the period		Income (loss) from investment operations									Less distributions to shareholders									Net asset value, end of the period		Total returnl,m			Ratios / Supplemental Data
			Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions								Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	8.02	$	0.03		$	0.59		$	0.62		$	(0.08	)	$	(0.86	)	$	(0.94	)	$	7.70		7.68%	b	$	77,979		0.83%	a		0.70%	a		0.79%	a
09/30/15i		8.18		0.05			(0.18	)		(0.13	)		-			(0.03	)		(0.03	)		8.02		(1.60%	)b		75,265		0.81%	a		0.70%	a		0.80%	a
12/31/14h		8.42		0.07			0.78			0.85			(0.09	)		(1.00	)		(1.09	)		8.18		10.42%	b		86,370		0.75%	a		0.70%	a		1.03%	a
Class R5
03/31/16r	$	8.03	$	0.03		$	0.58		$	0.61		$	(0.07	)	$	(0.86	)	$	(0.93	)	$	7.71		7.55%	b	$	20,426		0.93%	a		0.80%	a		0.69%	a
09/30/15i		8.20		0.04			(0.18	)		(0.14	)		-			(0.03	)		(0.03	)		8.03		(1.71%	)b		20,054		0.91%	a		0.80%	a		0.71%	a
12/31/14		8.35		0.06			0.86			0.92			(0.07	)		(1.00	)		(1.07	)		8.20		11.38%			21,110		0.87%			0.80%			0.75%
12/31/13		6.62		0.06			2.05			2.11			(0.07	)		(0.31	)		(0.38	)		8.35		32.24%			86,288		0.90%			0.81%			0.79%
12/31/12		5.89		0.07			0.71			0.78			(0.05	)		(0.00	)d		(0.05	)		6.62		13.26%			73,897		0.91%			0.83%			1.02%
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%
12/31/10		4.75		0.01			0.96			0.97			-			-			-			5.72		20.42%			21,169		0.65%			N/A			0.25%
Service Class
03/31/16r	$	7.91	$	0.02		$	0.57		$	0.59		$	(0.06	)	$	(0.86	)	$	(0.92	)	$	7.58		7.44%	b	$	6,318		1.03%	a		0.90%	a		0.60%	a
09/30/15i		8.07		0.04			(0.17	)		(0.13	)		-			(0.03	)		(0.03	)		7.91		(1.62%	)b		5,627		1.01%	a		0.90%	a		0.62%	a
12/31/14		8.25		0.06			0.83			0.89			(0.07	)		(1.00	)		(1.07	)		8.07		11.13%			6,829		0.94%			0.90%			0.76%
12/31/13		6.54		0.05			2.04			2.09			(0.07	)		(0.31	)		(0.38	)		8.25		32.23%			6,015		0.94%			0.91%			0.68%
12/31/12		5.82		0.05			0.71			0.76			(0.04	)		(0.00	)d		(0.04	)		6.54		13.09%			3,948		0.97%			0.94%			0.73%
12/31/11		5.66		0.01			0.15			0.16			(0.00	)d		-			(0.00	)d		5.82		2.89%			1,859		0.74%			N/A			0.21%
12/31/10		4.70		0.01			0.95			0.96			-			-			-			5.66		20.43%			1,633		0.75%			N/A			0.13%
Administrative Class
03/31/16r	$	7.77	$	0.02		$	0.56		$	0.58		$	(0.06	)	$	(0.86	)	$	(0.92	)	$	7.43		7.35%	b	$	10,765		1.13%	a		1.00%	a		0.50%	a
09/30/15i		7.93		0.03			(0.16	)		(0.13	)		-			(0.03	)		(0.03	)		7.77		(1.65%	)b		10,157		1.11%	a		1.00%	a		0.50%	a
12/31/14		8.13		0.05			0.81			0.86			(0.06	)		(1.00	)		(1.06	)		7.93		10.93%			9,696		1.06%			1.01%			0.64%
12/31/13		6.45		0.04			2.00			2.04			(0.05	)		(0.31	)		(0.36	)		8.13		32.00%			10,925		1.09%			1.06%			0.55%
12/31/12		5.74		0.04			0.70			0.74			(0.03	)		(0.00	)d		(0.03	)		6.45		12.97%			10,370		1.12%			1.09%			0.61%
12/31/11		5.58		0.00	d		0.16			0.16			-			-			-			5.74		2.87%			6,929		0.89%			N/A			0.06%
12/31/10		4.65		0.00	d		0.93			0.93			-			-			-			5.58		20.00%			6,658		0.90%			N/A			0.01%
Class A
03/31/16r	$	7.50	$	0.01		$	0.54		$	0.55		$	(0.03	)	$	(0.86	)	$	(0.89	)	$	7.16		7.26%	b	$	17,689		1.38%	a		1.25%	a		0.25%	a
09/30/15i		7.68		0.02			(0.17	)		(0.15	)		-			(0.03	)		(0.03	)		7.50		(1.96%	)b		17,774		1.36%	a		1.25%	a		0.26%	a
12/31/14		7.89		0.03			0.80			0.83			(0.04	)		(1.00	)		(1.04	)		7.68		10.86%			24,193		1.31%			1.26%			0.38%
12/31/13		6.28		0.02			1.94			1.96			(0.04	)		(0.31	)		(0.35	)		7.89		31.53%			23,867		1.34%			1.31%			0.29%
12/31/12		5.58		0.02			0.69			0.71			(0.01	)		(0.00	)d		(0.01	)		6.28		12.79%			16,843		1.37%			1.35%			0.29%
12/31/11		5.44		(0.01	)		0.15			0.14			-			-			-			5.58		2.57%			15,768		1.14%			N/A			(0.19%	)
12/31/10		4.54		(0.01	)		0.91			0.90			-			-			-			5.44		19.82%			19,690		1.15%			N/A			(0.24%	)
Class R4
03/31/16r	$	7.49	$	0.01		$	0.54		$	0.55		$	(0.06	)	$	(0.86	)	$	(0.92	)	$	7.12		7.27%	b	$	571		1.28%	a		1.15%	a		0.30%	a
09/30/15i		7.66		0.02			(0.16	)		(0.14	)		-			(0.03	)		(0.03	)		7.49		(1.84%	)b		193		1.26%	a		1.15%	a		0.32%	a
12/31/14h		7.95		0.04			0.73			0.77			(0.06	)		(1.00	)		(1.06	)		7.66		10.03%	b		110		1.20%	a		1.15%	a		0.59%	a
Class R3
03/31/16r	$	7.19	$	0.01		$	0.52		$	0.53		$	(0.06	)	$	(0.86	)	$	(0.92	)	$	6.80		7.36%	b	$	1,012		1.53%	a		1.40%	a		0.17%	a
09/30/15i		7.38		(0.00	)d		(0.16	)		(0.16	)		-			(0.03	)		(0.03	)		7.19		(2.18%	)b		100		1.51%	a		1.40%	a		(0.06%	)a
12/31/14		7.64		0.02			0.76			0.78			(0.04	)		(1.00	)		(1.04	)		7.38		10.51%			3		1.49%			1.44%			0.24%
12/31/13		6.07		0.00	d		1.88			1.88			(0.00	)d		(0.31	)		(0.31	)		7.64		31.26%			168		1.64%			1.61%			0.02%
12/31/12		5.41		(0.00	)d		0.66			0.66			-			(0.00	)d		(0.00	)d		6.07		12.27%			248		1.68%			1.66%			(0.02%	)
12/31/11		5.28		(0.03	)		0.16			0.13			-			-			-			5.41		2.46%			337		1.44%			N/A			(0.50%	)
12/31/10		4.43		(0.03	)		0.88			0.85			-			-			-			5.28		19.19%			336		1.45%			N/A			(0.55%	)

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		25	%		37	%		59	%		62	%		109	%		49	%		8	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

199

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

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations							Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	17.24	$	0.03		$	1.03	$	1.06	$	(0.10	)	$	(2.86	)	$	(2.96	)	$	15.34		5.49%	b	$	416,052		0.66%	a		N/A			0.33%	a
09/30/15i		17.24		0.03			0.13		0.16		-			(0.16	)		(0.16	)		17.24		0.87%	b		317,029		0.67%	a		N/A			0.24%	a
12/31/14h		16.75		0.01			1.73		1.74		-			(1.25	)		(1.25	)		17.24		10.55%	b		268,755		0.66%	a		N/A			0.05%	a
Class R5
03/31/16r	$	17.22	$	0.02		$	1.03	$	1.05	$	(0.08	)	$	(2.86	)	$	(2.94	)	$	15.33		5.44%	b	$	409,560		0.76%	a		N/A			0.22%	a
09/30/15i		17.23		0.02			0.13		0.15		-			(0.16	)		(0.16	)		17.22		0.81%	b		491,897		0.77%	a		N/A			0.14%	a
12/31/14		16.94		(0.01	)		1.55		1.54		-			(1.25	)		(1.25	)		17.23		9.25%			560,395		0.76%			0.76%	n		(0.05%	)
12/31/13		12.77		0.00	d		5.24		5.24		(0.00	)d		(1.07	)		(1.07	)		16.94		41.38%			526,553		0.78%			0.76%			0.02%
12/31/12		10.81		0.04			1.95		1.99		(0.03	)		-			(0.03	)		12.77		18.43%			406,245		0.82%			0.76%			0.34%
12/31/11		10.65		0.02			0.14		0.16		(0.00	)d		-			(0.00	)d		10.81		1.50%			270,651		0.84%			0.76%			0.17%
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%
Service Class
03/31/16r	$	17.09	$	0.01		$	1.03	$	1.04	$	(0.07	)	$	(2.86	)	$	(2.93	)	$	15.20		5.42%	b	$	232,110		0.86%	a		N/A			0.13%	a
09/30/15i		17.12		0.01			0.12		0.13		-			(0.16	)		(0.16	)		17.09		0.70%	b		197,891		0.87%	a		N/A			0.04%	a
12/31/14		16.85		(0.02	)		1.54		1.52		-			(1.25	)		(1.25	)		17.12		9.18%			158,076		0.85%			0.85%	n		(0.14%	)
12/31/13		12.71		(0.01	)		5.22		5.21		(0.00	)d		(1.07	)		(1.07	)		16.85		41.34%			188,792		0.87%			0.82%			(0.04%	)
12/31/12		10.77		0.03			1.93		1.96		(0.02	)		-			(0.02	)		12.71		18.23%			128,562		0.95%			0.82%			0.26%
12/31/11		10.61		0.01			0.15		0.16		-			-			-			10.77		1.51%			87,359		0.97%			0.82%			0.13%
12/31/10		9.12		0.00	d		1.50		1.50		(0.01	)		-			(0.01	)		10.61		16.45%			42,443		0.97%			0.82%			0.01%
Administrative Class
03/31/16r	$	16.90	$	0.00	d	$	1.02	$	1.02	$	(0.04	)	$	(2.86	)	$	(2.90	)	$	15.02		5.39%	b	$	240,093		0.96%	a		N/A			0.03%	a
09/30/15i		16.94		(0.01	)		0.13		0.12		-			(0.16	)		(0.16	)		16.90		0.64%	b		226,193		0.97%	a		N/A			(0.05%	)a
12/31/14		16.71		(0.04	)		1.52		1.48		-			(1.25	)		(1.25	)		16.94		9.01%			262,694		0.96%			0.96%	n		(0.26%	)
12/31/13		12.64		(0.03	)		5.17		5.14		(0.00	)d		(1.07	)		(1.07	)		16.71		41.01%			242,816		1.02%			0.98%			(0.22%	)
12/31/12		10.71		0.01			1.93		1.94		(0.01	)		-			(0.01	)		12.64		18.07%			319,306		1.07%			0.98%			0.10%
12/31/11		10.57		(0.01	)		0.15		0.14		-			-			-			10.71		1.42%			243,741		1.09%			0.98%			(0.09%	)
12/31/10		9.08		(0.01	)		1.50		1.49		-			-			-			10.57		16.30%			257,545		1.09%			0.98%			(0.15%	)
Class A
03/31/16r	$	16.35	$	(0.02	)	$	0.99	$	0.97	$	(0.01	)	$	(2.86	)	$	(2.87	)	$	14.45		5.20%	b	$	159,152		1.21%	a		N/A			(0.22%	)a
09/30/15i		16.42		(0.04	)		0.13		0.09		-			(0.16	)		(0.16	)		16.35		0.48%	b		150,749		1.22%	a		N/A			(0.30%	)a
12/31/14		16.27		(0.08	)		1.48		1.40		-			(1.25	)		(1.25	)		16.42		8.77%			157,200		1.21%			1.20%			(0.50%	)
12/31/13		12.35		(0.06	)		5.05		4.99		(0.00	)d		(1.07	)		(1.07	)		16.27		40.76%			182,452		1.26%			1.19%			(0.41%	)
12/31/12		10.48		(0.01	)		1.88		1.87		-			-			-			12.35		17.84%			140,294		1.32%			1.19%			(0.08%	)
12/31/11		10.36		(0.03	)		0.15		0.12		-			-			-			10.48		1.16%			75,919		1.34%			1.19%			(0.29%	)
12/31/10		8.93		(0.03	)		1.46		1.43		-			-			-			10.36		16.01%			66,401		1.34%			1.19%			(0.36%	)
Class R4
03/31/16r	$	16.38	$	(0.01	)	$	0.99	$	0.98	$	(0.05	)	$	(2.86	)	$	(2.91	)	$	14.45		5.27%	b	$	30,559		1.11%	a		N/A			(0.10%	)a
09/30/15i		16.44		(0.03	)		0.13		0.10		-			(0.16	)		(0.16	)		16.38		0.54%	b		19,816		1.12%	a		N/A			(0.23%	)a
12/31/14h		16.08		(0.06	)		1.67		1.61		-			(1.25	)		(1.25	)		16.44		10.18%	b		776		1.11%	a		N/A			(0.44%	)a
Class R3
03/31/16r	$	15.65	$	(0.02	)	$	0.94	$	0.92	$	(0.05	)	$	(2.86	)	$	(2.91	)	$	13.66		5.15%	b	$	12,018		1.36%	a		N/A			(0.33%	)a
09/30/15i		15.75		(0.06	)		0.12		0.06		-			(0.16	)		(0.16	)		15.65		0.38%	b		3,937		1.37%	a		N/A			(0.47%	)a
12/31/14		15.68		(0.11	)		1.43		1.32		-			(1.25	)		(1.25	)		15.75		8.52%			900		1.39%			1.39%	n		(0.70%	)
12/31/13		11.97		(0.10	)		4.88		4.78		(0.00	)d		(1.07	)		(1.07	)		15.68		40.30%			967		1.55%			1.51%			(0.73%	)
12/31/12		10.18		(0.04	)		1.83		1.79		-			-			-			11.97		17.58%			727		1.62%			1.51%			(0.35%	)
12/31/11		10.11		(0.08	)		0.15		0.07		-			-			-			10.18		0.69%			78		1.64%			1.51%			(0.72%	)
12/31/10		8.74		(0.06	)		1.43		1.37		-			-			-			10.11		15.68%			344		1.64%			1.51%			(0.69%	)

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		15	%		48	%		34	%		33	%		20	%		38	%		53	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

n Expenses incurred during the period fell under the expense cap.

r Unaudited.

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

200

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	10.98	$	0.01		$	0.22		$	0.23		$	-		$	(1.22	)	$	(1.22	)	$	9.99		1.21%	b	$	346,261		0.74%	a		N/A			0.16%	a
09/30/15i		11.90		0.00	d		(0.64	)		(0.64	)		-			(0.28	)		(0.28	)		10.98		(5.48%	)b		352,117		0.74%	a		N/A			0.05%	a
12/31/14		11.43		0.01			1.20			1.21			-			(0.74	)		(0.74	)		11.90		10.75%			312,757		0.75%			0.72%			0.10%
12/31/13		8.89		0.00	d		3.38			3.38			(0.01	)		(0.83	)		(0.84	)		11.43		38.50%			141,922		0.84%			0.69%			0.02%
12/31/12		7.40		0.07			1.42			1.49			-			-			-			8.89		20.14%			76,857		0.85%			0.70%			0.86%
12/31/11g		7.45		(0.00	)d		(0.05	)		(0.05	)		-			-			-			7.40		(0.67%	)b		99		0.79%	a		0.64%	a		(0.33%	)a
Class R5
03/31/16r	$	10.92	$	0.00	d	$	0.23		$	0.23		$	-		$	(1.22	)	$	(1.22	)	$	9.93		1.22%	b	$	204,904		0.84%	a		N/A			0.05%	a
09/30/15i		11.85		(0.00	)d		(0.65	)		(0.65	)		-			(0.28	)		(0.28	)		10.92		(5.58%	)b		220,721		0.84%	a		N/A			(0.03%	)a
12/31/14		11.39		0.00	d		1.20			1.20			-			(0.74	)		(0.74	)		11.85		10.70%			272,981		0.87%			0.83%			0.04%
12/31/13		8.87		(0.01	)		3.36			3.35			-			(0.83	)		(0.83	)		11.39		38.28%			340,443		0.99%			0.84%			(0.13%	)
12/31/12		7.40		0.01			1.46			1.47			-			-			-			8.87		19.86%			268,035		1.00%			0.85%			0.06%
12/31/11		7.06		(0.01	)		0.35			0.34			-			-			-			7.40		4.82%			233,080		0.87%			0.86%			(0.18%	)
12/31/10		5.87		(0.00	)d		1.19			1.19			-			-			-			7.06		20.27%			210,972		0.87%			N/A			(0.06%	)
Service Class
03/31/16r	$	10.72	$	(0.00	)d	$	0.22		$	0.22		$	-		$	(1.22	)	$	(1.22	)	$	9.72		1.15%	b	$	158,693		0.94%	a		N/A			(0.06%	)a
09/30/15i		11.64		(0.01	)		(0.63	)		(0.64	)		-			(0.28	)		(0.28	)		10.72		(5.60%	)b		149,543		0.94%	a		N/A			(0.15%	)a
12/31/14		11.22		(0.01	)		1.17			1.16			-			(0.74	)		(0.74	)		11.64		10.51%			158,891		0.96%			0.93%			(0.08%	)
12/31/13		8.76		(0.02	)		3.31			3.29			-			(0.83	)		(0.83	)		11.22		38.07%			85,741		1.09%			0.94%			(0.23%	)
12/31/12		7.31		0.00	d		1.45			1.45			-			-			-			8.76		19.84%			45,380		1.10%			0.95%			0.03%
12/31/11		6.98		(0.02	)		0.35			0.33			-			-			-			7.31		4.73%			29,740		0.97%			0.96%			(0.29%	)
12/31/10		5.81		(0.01	)		1.18			1.17			-			-			-			6.98		20.14%			22,037		0.97%			N/A			(0.19%	)
Administrative Class
03/31/16r	$	10.46	$	(0.01	)	$	0.22		$	0.21		$	-		$	(1.22	)	$	(1.22	)	$	9.45		1.08%	b	$	98,697		1.04%	a		N/A			(0.15%	)a
09/30/15i		11.37		(0.02	)		(0.61	)		(0.63	)		-			(0.28	)		(0.28	)		10.46		(5.64%	)b		107,017		1.04%	a		N/A			(0.26%	)a
12/31/14		10.98		(0.02	)		1.15			1.13			-			(0.74	)		(0.74	)		11.37		10.46%			146,975		1.07%			1.04%			(0.19%	)
12/31/13		8.60		(0.04	)		3.25			3.21			-			(0.83	)		(0.83	)		10.98		37.85%			110,471		1.24%			1.09%			(0.39%	)
12/31/12		7.19		(0.01	)		1.42			1.41			-			-			-			8.60		19.61%			85,363		1.25%			1.10%			(0.10%	)
12/31/11		6.87		(0.03	)		0.35			0.32			-			-			-			7.19		4.66%			27,467		1.11%			1.11%	k		(0.36%	)
12/31/10		5.73		(0.02	)		1.16			1.14			-			-			-			6.87		19.90%			54,658		1.12%			N/A			(0.35%	)
Class A
03/31/16r	$	9.97	$	(0.02	)	$	0.21		$	0.19		$	-		$	(1.22	)	$	(1.22	)	$	8.94		0.91%	b	$	120,811		1.29%	a		N/A			(0.40%	)a
09/30/15i		10.88		(0.04	)		(0.59	)		(0.63	)		-			(0.28	)		(0.28	)		9.97		(5.90%	)b		140,896		1.29%	a		N/A			(0.49%	)a
12/31/14		10.56		(0.05	)		1.11			1.06			-			(0.74	)		(0.74	)		10.88		10.21%			178,641		1.33%			1.29%			(0.44%	)
12/31/13		8.32		(0.06	)		3.13			3.07			-			(0.83	)		(0.83	)		10.56		37.43%			168,430		1.49%			1.34%			(0.63%	)
12/31/12		6.97		(0.03	)		1.38			1.35			-			-			-			8.32		19.37%			102,385		1.50%			1.35%			(0.35%	)
12/31/11		6.68		(0.05	)		0.34			0.29			-			-			-			6.97		4.34%			51,191		1.37%			1.36%			(0.68%	)
12/31/10		5.58		(0.03	)		1.13			1.10			-			-			-			6.68		19.50%			53,610		1.37%			N/A			(0.60%	)
Class R4
03/31/16r	$	9.99	$	(0.02	)	$	0.22		$	0.20		$	-		$	(1.22	)	$	(1.22	)	$	8.97		1.02%	b	$	7,117		1.19%	a		N/A			(0.34%	)a
09/30/15i		10.88		(0.04	)		(0.57	)		(0.61	)		-			(0.28	)		(0.28	)		9.99		(5.71%	)b		2,794		1.19%	a		N/A			(0.46%	)a
12/31/14h		10.57		(0.03	)		1.08			1.05			-			(0.74	)		(0.74	)		10.88		10.11%	b		110		1.18%	a		N/A			(0.40%	)a
Class R3
03/31/16r	$	9.46	$	(0.03	)	$	0.21		$	0.18		$	-		$	(1.22	)	$	(1.22	)	$	8.42		0.86%	b	$	822		1.44%	a		N/A			(0.56%	)a
09/30/15i		10.34		(0.05	)		(0.55	)		(0.60	)		-			(0.28	)		(0.28	)		9.46		(5.92%	)b		751		1.44%	a		N/A			(0.70%	)a
12/31/14		10.09		(0.07	)		1.06			0.99			-			(0.74	)		(0.74	)		10.34		9.99%			127		1.45%			1.44%			(0.65%	)
12/31/13		8.00		(0.09	)		3.01			2.92			-			(0.83	)		(0.83	)		10.09		37.05%			29		1.79%			1.64%			(0.93%	)
12/31/12		6.73		(0.05	)		1.32			1.27			-			-			-			8.00		18.87%			24		1.80%			1.65%			(0.69%	)
12/31/11		6.47		(0.07	)		0.33			0.26			-			-			-			6.73		4.02%			21		1.67%			1.66%			(0.99%	)
12/31/10		5.43		(0.05	)		1.09			1.04			-			-			-			6.47		19.37%			28		1.67%			N/A			(0.95%	)

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		13	%		28	%		25	%		29	%		19	%		21	%		40	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

201

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	13.71	$	0.08	$	0.95		$	1.03		$	(0.20	)	$	(2.00	)	$	(2.20	)	$	12.54		8.04%	b	$	89,831		0.94%	a		0.80%	a		1.28%	a
09/30/15i		15.25		0.11		(1.49	)		(1.38	)		-			(0.16	)		(0.16	)		13.71		(9.12%	)b		128,581		0.84%	a		0.80%	a		1.00%	a
12/31/14		14.68		0.21		0.77			0.98			(0.18	)		(0.23	)		(0.41	)		15.25		6.75%			132,365		0.80%			0.79%			1.37%
12/31/13		11.09		0.18		3.59			3.77			(0.18	)		-			(0.18	)		14.68		34.02%			67,095		0.84%			0.74%			1.36%
12/31/12		9.68		0.24		1.36			1.60			(0.19	)		-			(0.19	)		11.09		16.54%			75,912		0.83%			0.73%			2.18%
12/31/11g		9.88		0.02		(0.11	)		(0.09	)		(0.11	)		-			(0.11	)		9.68		(0.84%	)b		129		0.77%	a		0.67%	a		3.28%	a
Class R5
03/31/16r	$	13.75	$	0.08	$	0.95		$	1.03		$	(0.16	)	$	(2.00	)	$	(2.16	)	$	12.62		8.04%	b	$	6,024		1.04%	a		0.90%	a		1.26%	a
09/30/15i		15.32		0.09		(1.50	)		(1.41	)		-			(0.16	)		(0.16	)		13.75		(9.22%	)b		8,406		0.94%	a		0.90%	a		0.83%	a
12/31/14		14.71		0.12		0.85			0.97			(0.13	)		(0.23	)		(0.36	)		15.32		6.59%			18,333		0.88%			0.88%	k		0.79%
12/31/13		11.12		0.16		3.60			3.76			(0.17	)		-			(0.17	)		14.71		33.85%			81,923		0.88%			0.83%			1.24%
12/31/12		9.69		0.14		1.44			1.58			(0.15	)		-			(0.15	)		11.12		16.35%			56,001		0.90%			0.80%			1.32%
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%	k		1.22%
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%
Service Class
03/31/16r	$	13.72	$	0.08	$	0.94		$	1.02		$	(0.16	)	$	(2.00	)	$	(2.16	)	$	12.58		7.95%	b	$	3,038		1.14%	a		1.00%	a		1.18%	a
09/30/15i		15.29		0.08		(1.49	)		(1.41	)		-			(0.16	)		(0.16	)		13.72		(9.30%	)b		2,689		1.04%	a		1.00%	a		0.72%	a
12/31/14		14.71		0.15		0.81			0.96			(0.15	)		(0.23	)		(0.38	)		15.29		6.57%			5,022		0.99%			0.99%	k		0.96%
12/31/13		11.12		0.15		3.60			3.75			(0.16	)		-			(0.16	)		14.71		33.73%			2,574		0.98%			0.93%			1.14%
12/31/12		9.71		0.14		1.43			1.57			(0.16	)		-			(0.16	)		11.12		16.21%			1,688		1.00%			0.90%			1.30%
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%	k		1.14%
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%
Administrative Class
03/31/16r	$	13.81	$	0.07	$	0.95		$	1.02		$	(0.07	)	$	(2.00	)	$	(2.07	)	$	12.76		7.87%	b	$	254		1.24%	a		1.10%	a		1.04%	a
09/30/15i		15.40		0.06		(1.49	)		(1.43	)		-			(0.16	)		(0.16	)		13.81		(9.36%	)b		270		1.14%	a		1.10%	a		0.56%	a
12/31/14		14.81		0.10		0.84			0.94			(0.12	)		(0.23	)		(0.35	)		15.40		6.39%			1,147		1.10%			1.10%	k		0.69%
12/31/13		11.19		0.13		3.62			3.75			(0.13	)		-			(0.13	)		14.81		33.57%			4,260		1.13%			1.08%			1.01%
12/31/12		9.76		0.12		1.45			1.57			(0.14	)		-			(0.14	)		11.19		16.12%			3,552		1.15%			1.05%			1.12%
12/31/11		10.10		0.07		(0.41	)		(0.34	)		-			-			-			9.76		(3.37%	)		4,305		1.05%			1.05%	k		0.71%
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%
Class A
03/31/16r	$	13.67	$	0.05	$	0.94		$	0.99		$	(0.07	)	$	(2.00	)	$	(2.07	)	$	12.59		7.73%	b	$	2,261		1.49%	a		1.35%	a		0.83%	a
09/30/15i		15.27		0.04		(1.48	)		(1.44	)		-			(0.16	)		(0.16	)		13.67		(9.51%	)b		2,287		1.39%	a		1.35%	a		0.36%	a
12/31/14		14.69		0.09		0.81			0.90			(0.09	)		(0.23	)		(0.32	)		15.27		6.18%			5,759		1.35%			1.35%	k		0.58%
12/31/13		11.11		0.10		3.58			3.68			(0.10	)		-			(0.10	)		14.69		33.18%			6,092		1.38%			1.33%			0.73%
12/31/12		9.69		0.10		1.43			1.53			(0.11	)		-			(0.11	)		11.11		15.84%			4,385		1.40%			1.30%			0.89%
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%	k		0.64%
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%
Class R4
03/31/16r	$	13.65	$	0.06	$	0.94		$	1.00		$	(0.13	)	$	(2.00	)	$	(2.13	)	$	12.52		7.84%	b	$	86		1.39%	a		1.25%	a		0.89%	a
09/30/15i		15.24		0.06		(1.49	)		(1.43	)		-			(0.16	)		(0.16	)		13.65		(9.46%	)b		93		1.29%	a		1.25%	a		0.54%	a
12/31/14h		15.01		0.09		0.50			0.59			(0.13	)		(0.23	)		(0.36	)		15.24		3.98%	b		104		1.25%	a		1.25%	a,n		0.79%	a
Class R3
03/31/16r	$	13.60	$	0.04	$	0.93		$	0.97		$	(0.09	)	$	(2.00	)	$	(2.09	)	$	12.48		7.63%	b	$	100		1.64%	a		1.50%	a		0.69%	a
09/30/15i		15.21		0.03		(1.48	)		(1.45	)		-			(0.16	)		(0.16	)		13.60		(9.61%	)b		89		1.54%	a		1.50%	a		0.28%	a
12/31/14		14.64		0.06		0.81			0.87			(0.07	)		(0.23	)		(0.30	)		15.21		5.99%			106		1.53%			1.53%	k		0.42%
12/31/13		11.07		0.06		3.57			3.63			(0.06	)		-			(0.06	)		14.64		32.77%			95		1.68%			1.63%			0.43%
12/31/12		9.67		0.06		1.43			1.49			(0.09	)		-			(0.09	)		11.07		15.46%			76		1.70%			1.60%			0.60%
12/31/11		10.07		0.04		(0.41	)		(0.37	)		(0.03	)		-			(0.03	)		9.67		(3.67%	)		64		1.60%			1.60%	k		0.37%
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%

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		46	%		105	%		112	%		109	%		85	%		82	%		143	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

n Expenses incurred during the period fell under the expense cap.

r Unaudited.

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

202

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	14.62	$	0.04		$	0.98		$	1.02		$	(0.09	)	$	(0.50	)	$	(0.59	)	$	15.05		7.09%	b	$	113,868		0.88%	a		0.80%	a		0.53%	a
09/30/15i		15.76		0.07			(1.21	)		(1.14	)		(0.00	)d		-			(0.00	)d		14.62		(7.23%	)b		65,868		0.87%	a		0.80%	a		0.62%	a
12/31/14h		15.09		0.09			0.69			0.78			(0.11	)		-			(0.11	)		15.76		5.19%	b		60,528		0.83%	a		0.80%	a		0.80%	a
Class R5
03/31/16r	$	14.62	$	0.03		$	0.99		$	1.02		$	(0.07	)	$	(0.50	)	$	(0.57	)	$	15.07		7.12%	b	$	50,935		0.98%	a		0.90%	a		0.43%	a
09/30/15i		15.77		0.06			(1.21	)		(1.15	)		(0.00	)d		-			(0.00	)d		14.62		(7.29%	)b		93,458		0.97%	a		0.90%	a		0.52%	a
12/31/14		14.93		0.11			0.82			0.93			(0.09	)		-			(0.09	)		15.77		6.27%			97,987		0.90%			0.88%			0.73%
12/31/13		10.71		0.06			4.23			4.29			(0.07	)		-			(0.07	)		14.93		40.05%			138,272		0.85%			N/A			0.50%
12/31/12		9.05		0.09			1.66			1.75			(0.09	)		-			(0.09	)		10.71		19.40%			115,775		0.85%			N/A			0.95%
12/31/11		9.45		0.03			(0.40	)		(0.37	)		(0.03	)		-			(0.03	)		9.05		(3.91%	)		92,162		0.86%			N/A			0.36%
12/31/10		7.41		0.06			2.04			2.10			(0.06	)		-			(0.06	)		9.45		28.36%			67,913		0.87%			N/A			0.73%
Service Class
03/31/16r	$	14.66	$	0.03		$	0.98		$	1.01		$	(0.07	)	$	(0.50	)	$	(0.57	)	$	15.10		7.03%	b	$	6,845		1.08%	a		1.00%	a		0.39%	a
09/30/15i		15.82		0.05			(1.21	)		(1.16	)		(0.00	)d		-			(0.00	)d		14.66		(7.33%	)b		3,272		1.07%	a		1.00%	a		0.46%	a
12/31/14		14.93		0.10			0.83			0.93			(0.04	)		-			(0.04	)		15.82		6.21%			1,472		1.00%			0.98%			0.66%
12/31/13		10.71		0.05			4.22			4.27			(0.05	)		-			(0.05	)		14.93		39.91%			5,264		0.95%			N/A			0.41%
12/31/12		9.06		0.08			1.65			1.73			(0.08	)		-			(0.08	)		10.71		19.15%			3,186		0.95%			N/A			0.83%
12/31/11		9.45		0.02			(0.39	)		(0.37	)		(0.02	)		-			(0.02	)		9.06		(3.93%	)		3,055		0.96%			N/A			0.22%
12/31/10		7.40		0.04			2.06			2.10			(0.05	)		-			(0.05	)		9.45		28.35%			4,734		0.97%			N/A			0.49%
Administrative Class
03/31/16r	$	14.57	$	0.01		$	0.98		$	0.99		$	(0.03	)	$	(0.50	)	$	(0.53	)	$	15.03		6.92%	b	$	4,253		1.18%	a		1.10%	a		0.19%	a
09/30/15i		15.74		0.04			(1.21	)		(1.17	)		(0.00	)d		-			(0.00	)d		14.57		(7.43%	)b		6,020		1.17%	a		1.10%	a		0.34%	a
12/31/14		14.90		0.08			0.82			0.90			(0.06	)		-			(0.06	)		15.74		6.05%			3,790		1.12%			1.10%			0.52%
12/31/13		10.69		0.03			4.22			4.25			(0.04	)		-			(0.04	)		14.90		39.73%			4,359		1.10%			N/A			0.27%
12/31/12		9.04		0.07			1.65			1.72			(0.07	)		-			(0.07	)		10.69		19.03%			2,551		1.10%			N/A			0.69%
12/31/11		9.45		0.00	d		(0.41	)		(0.41	)		-			-			-			9.04		(4.34%	)		2,152		1.11%			N/A			0.04%
12/31/10		7.40		0.03			2.06			2.09			(0.04	)		-			(0.04	)		9.45		28.19%			21,552		1.12%			N/A			0.36%
Class A
03/31/16r	$	14.52	$	(0.00	)d	$	0.98		$	0.98		$	(0.01	)	$	(0.50	)	$	(0.51	)	$	14.99		6.83%	b	$	6,958		1.43%	a		1.35%	a		(0.02%	)a
09/30/15i		15.71		0.01			(1.20	)		(1.19	)		(0.00	)d		-			(0.00	)d		14.52		(7.57%	)b		6,458		1.42%	a		1.35%	a		0.07%	a
12/31/14		14.87		0.04			0.82			0.86			(0.02	)		-			(0.02	)		15.71		5.82%			6,467		1.37%			1.35%			0.26%
12/31/13		10.68		(0.00	)d		4.19			4.19			(0.00	)d		-			(0.00	)		14.87		39.28%			6,526		1.35%			N/A			(0.01%	)
12/31/12		9.03		0.04			1.65			1.69			(0.04	)		-			(0.04	)		10.68		18.75%			5,179		1.35%			N/A			0.43%
12/31/11		9.44		(0.02	)		(0.39	)		(0.41	)		-			-			-			9.03		(4.34%	)		4,694		1.36%			N/A			(0.18%	)
12/31/10		7.40		0.01			2.04			2.05			(0.01	)		-			(0.01	)		9.44		27.77%			7,837		1.37%			N/A			0.14%
Class R4
03/31/16r	$	14.51	$	0.01		$	0.97		$	0.98		$	(0.07	)	$	(0.50	)	$	(0.57	)	$	14.92		6.86%	b	$	1,096		1.33%	a		1.25%	a		0.13%	a
09/30/15i		15.69		0.02			(1.20	)		(1.18	)		(0.00	)d		-			(0.00	)d		14.51		(7.51%	)b		639		1.32%	a		1.25%	a		0.19%	a
12/31/14h		15.02		0.04			0.69			0.73			(0.06	)		-			(0.06	)		15.69		4.85%	b		105		1.28%	a		1.25%	a		0.35%	a
Class R3
03/31/16r	$	14.48	$	(0.01	)	$	0.97		$	0.96		$	(0.01	)	$	(0.50	)	$	(0.51	)	$	14.93		6.73%	b	$	258		1.58%	a		1.50%	a		(0.10%	)a
09/30/15i		15.69		(0.01	)		(1.20	)		(1.21	)		(0.00	)d		-			(0.00	)d		14.48		(7.70%	)b		123		1.57%	a		1.50%	a		(0.07%	)a
12/31/14h		15.02		0.01			0.69			0.70			(0.03	)		-			(0.03	)		15.69		4.66%	b		105		1.53%	a		1.50%	a		0.10%	a

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		14	%		18	%		22	%		28	%		32	%		25	%		39	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

203

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	13.03	$	0.07		$	0.17		$	0.24		$	(0.09	)	$	(3.00	)	$	(3.09	)	$	10.18		2.01%	b	$	124,986		0.95%	a		0.93%	a		1.22%	a
09/30/15i		14.38		0.04			(1.18	)		(1.14	)		-			(0.21	)		(0.21	)		13.03		(7.99%	)b		125,447		0.94%	a		0.92%	a		0.39%	a
12/31/14		16.37		0.08			0.47			0.55			(0.15	)		(2.39	)		(2.54	)		14.38		4.10%			132,465		0.91%			0.89%			0.50%
12/31/13		14.03		0.16			4.29			4.45			(0.14	)		(1.97	)		(2.11	)		16.37		32.46%			126,064		0.94%			0.86%			0.97%
12/31/12		12.78		0.16			1.75			1.91			(0.20	)		(0.46	)		(0.66	)		14.03		15.04%			74,820		0.94%			0.86%			1.17%
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%
12/31/10g		12.74		0.02			1.07			1.09			(0.11	)		-			(0.11	)		13.72		8.59%	b		108		0.95%	a		0.87%	a		1.03%	a
Class R5
03/31/16r	$	13.06	$	0.06		$	0.17		$	0.23		$	(0.07	)	$	(3.00	)	$	(3.07	)	$	10.22		1.91%	b	$	100,081		1.05%	a		1.03%	a		1.08%	a
09/30/15i		14.43		0.03			(1.19	)		(1.16	)		-			(0.21	)		(0.21	)		13.06		(8.11%	)b		128,043		1.04%	a		1.02%	a		0.27%	a
12/31/14		16.41		0.06			0.47			0.53			(0.12	)		(2.39	)		(2.51	)		14.43		4.01%			207,540		1.03%			1.01%			0.38%
12/31/13		14.06		0.12			4.31			4.43			(0.11	)		(1.97	)		(2.08	)		16.41		32.19%			252,704		1.13%			1.05%			0.77%
12/31/12		12.81		0.13			1.75			1.88			(0.17	)		(0.46	)		(0.63	)		14.06		14.77%			231,211		1.13%			1.05%			0.96%
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%
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%
Service Class
03/31/16r	$	13.00	$	0.06		$	0.17		$	0.23		$	(0.05	)	$	(3.00	)	$	(3.05	)	$	10.18		1.93%	b	$	16,542		1.15%	a		1.13%	a		1.02%	a
09/30/15i		14.38		0.02			(1.19	)		(1.17	)		-			(0.21	)		(0.21	)		13.00		(8.20%	)b		16,672		1.14%	a		1.12%	a		0.17%	a
12/31/14		16.36		0.05			0.47			0.52			(0.11	)		(2.39	)		(2.50	)		14.38		3.92%			37,270		1.12%			1.09%			0.30%
12/31/13		14.02		0.12			4.29			4.41			(0.10	)		(1.97	)		(2.07	)		16.36		32.18%			44,234		1.17%			1.09%			0.73%
12/31/12		12.76		0.12			1.75			1.87			(0.15	)		(0.46	)		(0.61	)		14.02		14.76%			33,617		1.17%			1.09%			0.85%
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%
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%
Administrative Class
03/31/16r	$	12.85	$	0.05		$	0.17		$	0.22		$	(0.04	)	$	(3.00	)	$	(3.04	)	$	10.03		1.88%	b	$	16,026		1.25%	a		1.23%	a		0.90%	a
09/30/15i		14.22		0.01			(1.17	)		(1.16	)		-			(0.21	)		(0.21	)		12.85		(8.23%	)b		18,220		1.24%	a		1.22%	a		0.08%	a
12/31/14		16.21		0.03			0.46			0.49			(0.09	)		(2.39	)		(2.48	)		14.22		3.74%			24,796		1.23%			1.21%			0.16%
12/31/13		13.90		0.09			4.26			4.35			(0.07	)		(1.97	)		(2.04	)		16.21		32.03%			36,198		1.32%			1.24%			0.59%
12/31/12		12.67		0.10			1.74			1.84			(0.15	)		(0.46	)		(0.61	)		13.90		14.57%			36,619		1.32%			1.24%			0.77%
12/31/11		13.60		0.00	d		(0.40	)		(0.40	)		(0.00	)d		(0.53	)		(0.53	)		12.67		(2.79%	)		35,901		1.32%			1.24%			0.02%
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%
Class A
03/31/16r	$	12.56	$	0.04		$	0.15		$	0.19		$	(0.00	)d	$	(3.00	)	$	(3.00	)	$	9.75		1.65%	b	$	29,421		1.50%	a		1.48%	a		0.67%	a
09/30/15i		13.93		(0.02	)		(1.14	)		(1.16	)		-			(0.21	)		(0.21	)		12.56		(8.40%	)b		30,820		1.49%	a		1.47%	a		(0.17%	)a
12/31/14		15.92		(0.01	)		0.45			0.44			(0.04	)		(2.39	)		(2.43	)		13.93		3.51%			43,390		1.48%			1.46%			(0.08%	)
12/31/13		13.66		0.06			4.17			4.23			(0.00	)d		(1.97	)		(1.97	)		15.92		31.69%			59,004		1.57%			1.49%			0.37%
12/31/12		12.46		0.07			1.70			1.77			(0.11	)		(0.46	)		(0.57	)		13.66		14.28%			100,321		1.57%			1.49%			0.51%
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%	)
12/31/10		10.97		0.00	d		2.49			2.49			(0.05	)		-			(0.05	)		13.41		22.68%			119,084		1.50%			1.49%			0.04%
Class R4
03/31/16r	$	12.52	$	0.04		$	0.17		$	0.21		$	(0.04	)	$	(3.00	)	$	(3.04	)	$	9.69		1.77%	b	$	85		1.40%	a		1.38%	a		0.75%	a
09/30/15i		13.88		(0.01	)		(1.14	)		(1.15	)		-			(0.21	)		(0.21	)		12.52		(8.36%	)b		92		1.39%	a		1.37%	a		(0.06%	)a
12/31/14h		16.27		(0.01	)		0.11			0.10			(0.10	)		(2.39	)		(2.49	)		13.88		1.34%	b		101		1.35%	a		N/A			(0.05%	)a
Class R3
03/31/16r	$	12.03	$	0.03		$	0.15		$	0.18		$	-		$	(3.00	)	$	(3.00	)	$	9.21		1.61%	b	$	74		1.65%	a		1.63%	a		0.59%	a
09/30/15i		13.36		(0.03	)		(1.09	)		(1.12	)		-			(0.21	)		(0.21	)		12.03		(8.46%	)b		57		1.64%	a		1.62%	a		(0.33%	)a
12/31/14		15.37		(0.04	)		0.44			0.40			(0.02	)		(2.39	)		(2.41	)		13.36		3.34%			80		1.67%			1.65%			(0.27%	)
12/31/13		13.28		0.01			4.05			4.06			(0.00	)d		(1.97	)		(1.97	)		15.37		31.30%			194		1.87%			1.79%			0.03%
12/31/12		12.07		0.00	d		1.67			1.67			-			(0.46	)		(0.46	)		13.28		13.90%			145		1.87%			1.79%			0.03%
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%	)
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%	)

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		31	%		86	%		38	%		44	%		34	%		32	%		43	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

204

MM S&P Mid Cap Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	12.44	$	0.10	$	0.67		$	0.77		$	(0.16	)	$	(0.52	)	$	(0.68	)	$	12.53		6.41%	b	$	142,557		0.20%	a		0.20%	a,k		1.66%	a
09/30/15i		13.11		0.13		(0.75	)		(0.62	)		-			(0.05	)		(0.05	)		12.44		(4.77%	)b		137,654		0.22%	a		0.20%	a		1.26%	a
12/31/14		12.47		0.17		1.00			1.17			(0.15	)		(0.38	)		(0.53	)		13.11		9.55%			144,235		0.20%			0.19%			1.35%
12/31/13		11.04		0.16		3.44			3.60			(0.18	)		(1.99	)		(2.17	)		12.47		33.20%			93,319		0.23%			0.19%			1.25%
12/31/12g		10.00		0.09		1.11			1.20			(0.08	)		(0.08	)		(0.16	)		11.04		12.06%	b		87,245		0.29%	a		0.19%	a		1.85%	a
Class R5
03/31/16r	$	12.41	$	0.10	$	0.66		$	0.76		$	(0.15	)	$	(0.52	)	$	(0.67	)	$	12.50		6.33%	b	$	16,089		0.30%	a		0.30%	a,k		1.58%	a
09/30/15i		13.09		0.12		(0.75	)		(0.63	)		-			(0.05	)		(0.05	)		12.41		(4.86%	)b		11,433		0.32%	a		0.30%	a		1.18%	a
12/31/14		12.46		0.15		0.99			1.14			(0.13	)		(0.38	)		(0.51	)		13.09		9.38%			5,628		0.30%			0.29%			1.20%
12/31/13		11.04		0.16		3.42			3.58			(0.17	)		(1.99	)		(2.16	)		12.46		33.08%			5,893		0.33%			0.29%			1.22%
12/31/12g		10.00		0.08		1.12			1.20			(0.08	)		(0.08	)		(0.16	)		11.04		12.02%	b		112		0.39%	a		0.29%	a		1.74%	a
Service Class
03/31/16r	$	12.36	$	0.08	$	0.67		$	0.75		$	(0.13	)	$	(0.52	)	$	(0.65	)	$	12.46		6.24%	b	$	19,086		0.45%	a		0.45%	a,k		1.40%	a
09/30/15i		13.05		0.10		(0.74	)		(0.64	)		-			(0.05	)		(0.05	)		12.36		(4.95%	)b		16,533		0.47%	a		0.45%	a		1.02%	a
12/31/14		12.43		0.15		0.98			1.13			(0.13	)		(0.38	)		(0.51	)		13.05		9.31%			12,480		0.45%			0.44%			1.16%
12/31/13		11.04		0.14		3.41			3.55			(0.17	)		(1.99	)		(2.16	)		12.43		32.81%			3,206		0.48%			0.44%			1.07%
12/31/12g		10.00		0.08		1.12			1.20			(0.08	)		(0.08	)		(0.16	)		11.04		12.01%	b		225		0.54%	a		0.44%	a		1.79%	a
Administrative Class
03/31/16r	$	12.35	$	0.08	$	0.67		$	0.75		$	(0.12	)	$	(0.52	)	$	(0.64	)	$	12.46		6.24%	b	$	56,006		0.55%	a		0.55%	a,k		1.31%	a
09/30/15i		13.05		0.09		(0.74	)		(0.65	)		-			(0.05	)		(0.05	)		12.35		(5.03%	)b		50,069		0.57%	a		0.55%	a		0.92%	a
12/31/14		12.43		0.13		0.98			1.11			(0.11	)		(0.38	)		(0.49	)		13.05		9.15%			42,628		0.55%			0.54%			1.02%
12/31/13		11.03		0.13		3.41			3.54			(0.15	)		(1.99	)		(2.14	)		12.43		32.72%			12,453		0.58%			0.54%			0.96%
12/31/12g		10.00		0.09		1.10			1.19			(0.08	)		(0.08	)		(0.16	)		11.03		11.92%	b		836		0.64%	a		0.54%	a		2.01%	a
Class A
03/31/16r	$	12.32	$	0.06	$	0.68		$	0.74		$	(0.10	)	$	(0.52	)	$	(0.62	)	$	12.44		6.13%	b	$	40,492		0.80%	a		0.80%	a,k		1.06%	a
09/30/15i		13.04		0.07		(0.74	)		(0.67	)		-			(0.05	)		(0.05	)		12.32		(5.18%	)b		32,378		0.82%	a		0.80%	a		0.67%	a
12/31/14		12.43		0.10		0.97			1.07			(0.08	)		(0.38	)		(0.46	)		13.04		8.83%			28,715		0.81%			0.80%			0.76%
12/31/13		11.04		0.09		3.42			3.51			(0.13	)		(1.99	)		(2.12	)		12.43		32.40%			8,961		0.88%			0.84%			0.68%
12/31/12g		10.00		0.06		1.11			1.17			(0.05	)		(0.08	)		(0.13	)		11.04		11.76%	b		112		0.94%	a		0.84%	a		1.19%	a
Class R4
03/31/16r	$	12.32	$	0.07	$	0.67		$	0.74		$	(0.13	)	$	(0.52	)	$	(0.65	)	$	12.41		6.18%	b	$	24,429		0.70%	a		0.70%	a,k		1.19%	a
09/30/15i		13.04		0.09		(0.76	)		(0.67	)		-			(0.05	)		(0.05	)		12.32		(5.18%	)b		14,014		0.72%	a		0.70%	a		0.86%	a
12/31/14h		12.77		0.09		0.66			0.75			(0.10	)		(0.38	)		(0.48	)		13.04		6.04%	b		132		0.69%	a		0.69%	a,n		0.89%	a
Class R3
03/31/16r	$	12.31	$	0.06	$	0.65		$	0.71		$	(0.12	)	$	(0.52	)	$	(0.64	)	$	12.38		5.95%	b	$	19,604		0.95%	a		0.95%	a,k		0.96%	a
09/30/15i		13.04		0.06		(0.74	)		(0.68	)		-			(0.05	)		(0.05	)		12.31		(5.26%	)b		8,746		0.97%	a		0.95%	a		0.61%	a
12/31/14h		12.77		0.06		0.66			0.72			(0.07	)		(0.38	)		(0.45	)		13.04		5.84%	b		142		0.95%	a		0.95%	a,n		0.60%	a

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012
Portfolio turnover rate		11	%		18	%		12	%		54	%		11	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 26, 2012 (commencement of operations) through December 31, 2012.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

n Expenses incurred during the period fell under the expense cap.

r Unaudited.

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

205

MM Russell 2000 Small Cap Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.28	$	0.10	$	0.14		$	0.24		$	(0.14	)	$	(0.28	)	$	(0.42	)	$	11.10		2.10%	b	$	176,671		0.23%	a		0.20%	a		1.75%	a
09/30/15i		12.24		0.13		(1.08	)		(0.95	)		-			(0.01	)		(0.01	)		11.28		(7.79%	)b		185,516		0.29%	a		0.20%	a		1.40%	a
12/31/14		13.20		0.17		0.40			0.57			(0.16	)		(1.37	)		(1.53	)		12.24		4.94%			97,737		0.27%			0.20%			1.33%
12/31/13		10.95		0.18		3.95			4.13			(0.19	)		(1.69	)		(1.88	)		13.20		38.47%			91,466		0.29%			0.19%			1.40%
12/31/12g		10.00		0.13		0.99			1.12			(0.12	)		(0.05	)		(0.17	)		10.95		11.24%	b		86,679		0.30%	a		0.19%	a		2.88%	a
Class R5
03/31/16r	$	11.28	$	0.09	$	0.14		$	0.23		$	(0.13	)	$	(0.28	)	$	(0.41	)	$	11.10		2.01%	b	$	10,753		0.33%	a		0.30%	a		1.69%	a
09/30/15i		12.24		0.12		(1.07	)		(0.95	)		-			(0.01	)		(0.01	)		11.28		(7.79%	)b		7,948		0.39%	a		0.30%	a		1.27%	a
12/31/14		13.19		0.15		0.40			0.55			(0.13	)		(1.37	)		(1.50	)		12.24		4.80%			4,343		0.38%			0.30%			1.16%
12/31/13		10.95		0.19		3.93			4.12			(0.19	)		(1.69	)		(1.88	)		13.19		38.38%			13,078		0.39%			0.29%			1.41%
12/31/12g		10.00		0.13		0.98			1.11			(0.11	)		(0.05	)		(0.16	)		10.95		11.19%	b		111		0.40%	a		0.29%	a		2.76%	a
Service Class
03/31/16r	$	11.21	$	0.08	$	0.14		$	0.22		$	(0.11	)	$	(0.28	)	$	(0.39	)	$	11.04		1.94%	b	$	9,706		0.48%	a		0.45%	a		1.52%	a
09/30/15i		12.17		0.10		(1.05	)		(0.95	)		-			(0.01	)		(0.01	)		11.21		(7.84%	)b		8,110		0.54%	a		0.45%	a		1.09%	a
12/31/14		13.16		0.15		0.37			0.52			(0.14	)		(1.37	)		(1.51	)		12.17		4.55%			6,499		0.52%			0.45%			1.14%
12/31/13		10.94		0.18		3.92			4.10			(0.19	)		(1.69	)		(1.88	)		13.16		38.24%			997		0.54%			0.44%			1.31%
12/31/12g		10.00		0.13		0.97			1.10			(0.11	)		(0.05	)		(0.16	)		10.94		11.03%	b		129		0.55%	a		0.44%	a		2.73%	a
Administrative Class
03/31/16r	$	11.23	$	0.08	$	0.13		$	0.21		$	(0.10	)	$	(0.28	)	$	(0.38	)	$	11.06		1.85%	b	$	38,567		0.58%	a		0.55%	a		1.43%	a
09/30/15i		12.20		0.09		(1.05	)		(0.96	)		-			(0.01	)		(0.01	)		11.23		(7.90%	)b		30,993		0.64%	a		0.55%	a		1.00%	a
12/31/14		13.18		0.13		0.39			0.52			(0.13	)		(1.37	)		(1.50	)		12.20		4.52%			25,705		0.62%			0.55%			1.02%
12/31/13		10.94		0.15		3.94			4.09			(0.16	)		(1.69	)		(1.85	)		13.18		38.13%			7,562		0.64%			0.54%			1.14%
12/31/12g		10.00		0.12		0.97			1.09			(0.10	)		(0.05	)		(0.15	)		10.94		10.99%	b		127		0.65%	a		0.54%	a		2.60%	a
Class A
03/31/16r	$	11.16	$	0.06	$	0.14		$	0.20		$	(0.07	)	$	(0.28	)	$	(0.35	)	$	11.01		1.78%	b	$	16,163		0.83%	a		0.80%	a		1.17%	a
09/30/15i		12.16		0.07		(1.06	)		(0.99	)		-			(0.01	)		(0.01	)		11.16		(8.18%	)b		14,478		0.89%	a		0.80%	a		0.73%	a
12/31/14		13.15		0.10		0.38			0.48			(0.10	)		(1.37	)		(1.47	)		12.16		4.24%			15,338		0.88%			0.81%			0.76%
12/31/13		10.95		0.11		3.92			4.03			(0.14	)		(1.69	)		(1.83	)		13.15		37.66%			5,547		0.94%			0.84%			0.82%
12/31/12g		10.00		0.10		0.99			1.09			(0.09	)		(0.05	)		(0.14	)		10.95		10.83%	b		111		0.95%	a		0.84%	a		2.21%	a
Class R4
03/31/16r	$	11.17	$	0.07	$	0.14		$	0.21		$	(0.11	)	$	(0.28	)	$	(0.39	)	$	10.99		1.86%	b	$	19,978		0.73%	a		0.70%	a		1.34%	a
09/30/15i		12.16		0.09		(1.07	)		(0.98	)		-			(0.01	)		(0.01	)		11.17		(8.09%	)b		9,367		0.79%	a		0.70%	a		0.96%	a
12/31/14h		13.27		0.08		0.30			0.38			(0.12	)		(1.37	)		(1.49	)		12.16		3.42%	b		151		0.76%	a		0.70%	a		0.88%	a
Class R3
03/31/16r	$	11.16	$	0.06	$	0.12		$	0.18		$	(0.10	)	$	(0.28	)	$	(0.38	)	$	10.96		1.62%	b	$	13,812		0.98%	a		0.95%	a		1.10%	a
09/30/15i		12.16		0.07		(1.06	)		(0.99	)		-			(0.01	)		(0.01	)		11.16		(8.18%	)b		5,873		1.04%	a		0.95%	a		0.71%	a
12/31/14h		13.27		0.06		0.29			0.35			(0.09	)		(1.37	)		(1.46	)		12.16		3.20%	b		138		1.01%	a		0.95%	a		0.61%	a

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012
Portfolio turnover rate		7	%		13	%		33	%		59	%		10	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 26, 2012 (commencement of operations) through December 31, 2012.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

206

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)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	18.74	$	0.02		$	0.75		$	0.77		$	-		$	(1.50	)	$	(1.50	)	$	18.01		4.09%	b	$	1,217,511		0.74%	a		N/A			0.18%	a
09/30/15i		18.65		(0.01	)		0.24			0.23			-			(0.14	)		(0.14	)		18.74		1.22%	b		816,703		0.75%	a		N/A			(0.08%	)a
12/31/14		18.42		(0.02	)		2.33			2.31			-			(2.08	)		(2.08	)		18.65		13.00%			441,065		0.77%			0.74%			(0.11%	)
12/31/13		15.03		(0.02	)		5.40			5.38			-			(1.99	)		(1.99	)		18.42		36.31%			298,869		0.83%			0.73%			(0.10%	)
12/31/12		14.27		0.02			2.07			2.09			(0.03	)		(1.30	)		(1.33	)		15.03		14.71%			185,584		0.83%			0.73%			0.12%
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%	)
12/31/10g		14.67		(0.00	)d		1.09			1.09			-			-			-			15.76		7.43%	b		108		0.85%	a		0.75%	a		(0.02%	)a
Class R5
03/31/16r	$	18.63	$	0.01		$	0.74		$	0.75		$	-		$	(1.50	)	$	(1.50	)	$	17.88		4.01%	b	$	750,551		0.84%	a		N/A			0.08%	a
09/30/15i		18.56		(0.03	)		0.24			0.21			-			(0.14	)		(0.14	)		18.63		1.12%	b		641,170		0.85%	a		N/A			(0.18%	)a
12/31/14		18.36		(0.04	)		2.32			2.28			-			(2.08	)		(2.08	)		18.56		12.88%			668,005		0.87%			0.85%			(0.22%	)
12/31/13		15.00		(0.04	)		5.39			5.35			-			(1.99	)		(1.99	)		18.36		36.19%			569,238		0.96%			0.86%			(0.22%	)
12/31/12		14.25		(0.01	)		2.07			2.06			(0.01	)		(1.30	)		(1.31	)		15.00		14.51%			456,600		0.96%			0.86%			(0.04%	)
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%	)
12/31/10		12.31		(0.04	)		3.49			3.45			-			-			-			15.76		28.03%			536,407		0.88%			0.86%			(0.26%	)
Service Class
03/31/16r	$	18.30	$	(0.00	)d	$	0.74		$	0.74		$	-		$	(1.50	)	$	(1.50	)	$	17.54		4.02%	b	$	253,705		0.94%	a		N/A			(0.03%	)a
09/30/15i		18.25		(0.04	)		0.23			0.19			-			(0.14	)		(0.14	)		18.30		1.03%	b		238,436		0.95%	a		N/A			(0.28%	)a
12/31/14		18.10		(0.06	)		2.29			2.23			-			(2.08	)		(2.08	)		18.25		12.79%			243,292		0.97%			0.95%			(0.31%	)
12/31/13		14.83		(0.06	)		5.32			5.26			-			(1.99	)		(1.99	)		18.10		35.99%			267,615		1.05%			0.95%			(0.32%	)
12/31/12		14.10		(0.02	)		2.05			2.03			-			(1.30	)		(1.30	)		14.83		14.47%			207,290		1.05%			0.95%			(0.11%	)
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%	)
12/31/10		12.22		(0.05	)		3.46			3.41			-			-			-			15.63		27.91%			207,536		0.97%			0.95%			(0.36%	)
Administrative Class
03/31/16r	$	17.71	$	(0.01	)	$	0.71		$	0.70		$	-		$	(1.50	)	$	(1.50	)	$	16.91		3.93%	b	$	353,876		1.04%	a		N/A			(0.14%	)a
09/30/15i		17.68		(0.05	)		0.22			0.17			-			(0.14	)		(0.14	)		17.71		0.95%	b		364,801		1.05%	a		N/A			(0.38%	)a
12/31/14		17.61		(0.08	)		2.23			2.15			-			(2.08	)		(2.08	)		17.68		12.70%			364,385		1.09%			1.06%			(0.43%	)
12/31/13		14.49		(0.08	)		5.19			5.11			-			(1.99	)		(1.99	)		17.61		35.80%			382,576		1.20%			1.10%			(0.47%	)
12/31/12		13.82		(0.04	)		2.01			1.97			-			(1.30	)		(1.30	)		14.49		14.33%			320,612		1.20%			1.10%			(0.28%	)
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%	)
12/31/10		12.03		(0.07	)		3.41			3.34			-			-			-			15.37		27.76%			450,117		1.12%			1.10%			(0.51%	)
Class A
03/31/16r	$	16.75	$	(0.03	)	$	0.67		$	0.64		$	-		$	(1.50	)	$	(1.50	)	$	15.89		3.78%	b	$	295,984		1.29%	a		N/A			(0.39%	)a
09/30/15i		16.76		(0.08	)		0.21			0.13			-			(0.14	)		(0.14	)		16.75		0.76%	b		306,259		1.30%	a		N/A			(0.63%	)a
12/31/14		16.84		(0.12	)		2.12			2.00			-			(2.08	)		(2.08	)		16.76		12.38%			322,121		1.34%			1.31%			(0.68%	)
12/31/13		13.96		(0.12	)		4.99			4.87			-			(1.99	)		(1.99	)		16.84		35.44%			333,489		1.44%			1.34%			(0.72%	)
12/31/12		13.39		(0.08	)		1.95			1.87			-			(1.30	)		(1.30	)		13.96		14.05%			347,186		1.45%			1.35%			(0.52%	)
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%	)
12/31/10		11.74		(0.10	)		3.32			3.22			-			-			-			14.96		27.43%			381,775		1.37%			1.35%			(0.77%	)
Class R4
03/31/16r	$	16.79	$	(0.02	)	$	0.67		$	0.65		$	-		$	(1.50	)	$	(1.50	)	$	15.94		3.84%	b	$	31,141		1.19%	a		N/A			(0.23%	)a
09/30/15i		16.78		(0.07	)		0.22			0.15			-			(0.14	)		(0.14	)		16.79		0.88%	b		11,441		1.20%	a		N/A			(0.53%	)a
12/31/14h		17.37		(0.07	)		1.56			1.49			-			(2.08	)		(2.08	)		16.78		9.07%	b		2,860		1.20%	a		N/A			(0.50%	)a
Class R3
03/31/16r	$	15.81	$	(0.04	)	$	0.64		$	0.60		$	-		$	(1.50	)	$	(1.50	)	$	14.91		3.76%	b	$	10,165		1.44%	a		N/A			(0.50%	)a
09/30/15i		15.84		(0.10	)		0.21			0.11			-			(0.14	)		(0.14	)		15.81		0.68%	b		4,788		1.45%	a		N/A			(0.78%	)a
12/31/14		16.05		(0.14	)		2.01			1.87			-			(2.08	)		(2.08	)		15.84		12.18%			2,445		1.51%			1.49%			(0.86%	)
12/31/13		13.42		(0.16	)		4.78			4.62			-			(1.99	)		(1.99	)		16.05		35.00%			2,062		1.75%			1.65%			(1.02%	)
12/31/12		12.95		(0.12	)		1.89			1.77			-			(1.30	)		(1.30	)		13.42		13.75%			1,969		1.75%			1.65%			(0.84%	)
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%	)
12/31/10		11.46		(0.13	)		3.23			3.10			-			-			-			14.56		27.05%			2,446		1.67%			1.65%			(1.07%	)

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		15	%		31	%		33	%		32	%		36	%		38	%		52	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

207

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

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	15.17	$	0.00	d	$	(0.30	)	$	(0.30	)	$	(3.17	)	$	(3.17	)	$	11.70		(3.02%	)b	$	236,375		0.88%	a		N/A			0.01%	a
09/30/15i		16.37		(0.01	)		(0.95	)		(0.96	)		(0.24	)		(0.24	)		15.17		(5.92%	)b		237,215		0.85%	a		N/A			(0.08%	)a
12/31/14		19.02		(0.03	)		1.03			1.00			(3.65	)		(3.65	)		16.37		6.16%			523,725		0.85%			0.84%			(0.19%	)
12/31/13		15.16		(0.04	)		7.14			7.10			(3.24	)		(3.24	)		19.02		47.86%			237,249		0.92%			0.85%			(0.23%	)
12/31/12		14.16		(0.02	)		1.92			1.90			(0.90	)		(0.90	)		15.16		13.53%			136,266		0.92%			0.86%			(0.12%	)
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%	)
12/31/10g		16.06		0.00	d		1.34			1.34			(0.14	)		(0.14	)		17.26		8.38%	b		108		0.94%	a		0.89%	a		0.11%	a
Class R5
03/31/16r	$	15.07	$	(0.01	)	$	(0.30	)	$	(0.31	)	$	(3.17	)	$	(3.17	)	$	11.59		(3.05%	)b	$	140,061		0.98%	a		N/A			(0.11%	)a
09/30/15i		16.28		(0.02	)		(0.95	)		(0.97	)		(0.24	)		(0.24	)		15.07		(6.07%	)b		168,987		0.95%	a		N/A			(0.18%	)a
12/31/14		18.94		(0.06	)		1.05			0.99			(3.65	)		(3.65	)		16.28		6.14%			212,669		0.97%			0.94%			(0.30%	)
12/31/13		15.12		(0.06	)		7.12			7.06			(3.24	)		(3.24	)		18.94		47.71%			574,359		1.02%			0.95%			(0.31%	)
12/31/12		14.14		(0.03	)		1.91			1.88			(0.90	)		(0.90	)		15.12		13.41%			455,747		1.02%			0.96%			(0.22%	)
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%	)
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%	k		(0.45%	)
Service Class
03/31/16r	$	14.53	$	(0.01	)	$	(0.29	)	$	(0.30	)	$	(3.17	)	$	(3.17	)	$	11.06		(3.10%	)b	$	39,755		1.08%	a		N/A			(0.18%	)a
09/30/15i		15.71		(0.03	)		(0.91	)		(0.94	)		(0.24	)		(0.24	)		14.53		(6.10%	)b		36,194		1.05%	a		N/A			(0.28%	)a
12/31/14		18.43		(0.07	)		1.00			0.93			(3.65	)		(3.65	)		15.71		5.98%			39,757		1.08%			1.05%			(0.41%	)
12/31/13		14.80		(0.08	)		6.95			6.87			(3.24	)		(3.24	)		18.43		47.46%			77,163		1.16%			1.09%			(0.46%	)
12/31/12		13.87		(0.06	)		1.89			1.83			(0.90	)		(0.90	)		14.80		13.31%			58,290		1.16%			1.10%			(0.39%	)
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%	)
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%	k		(0.64%	)
Administrative Class
03/31/16r	$	13.95	$	(0.02	)	$	(0.27	)	$	(0.29	)	$	(3.17	)	$	(3.17	)	$	10.49		(3.16%	)b	$	29,561		1.18%	a		N/A			(0.30%	)a
09/30/15i		15.10		(0.04	)		(0.87	)		(0.91	)		(0.24	)		(0.24	)		13.95		(6.15%	)b		33,350		1.15%	a		N/A			(0.38%	)a
12/31/14		17.87		(0.09	)		0.97			0.88			(3.65	)		(3.65	)		15.10		5.88%			30,069		1.18%			1.16%			(0.52%	)
12/31/13		14.44		(0.10	)		6.77			6.67			(3.24	)		(3.24	)		17.87		47.25%			42,628		1.31%			1.24%			(0.60%	)
12/31/12		13.58		(0.08	)		1.84			1.76			(0.90	)		(0.90	)		14.44		13.08%			50,085		1.31%			1.25%			(0.53%	)
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%	)
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%	k		(0.78%	)
Class A
03/31/16r	$	12.97	$	(0.03	)	$	(0.24	)	$	(0.27	)	$	(3.17	)	$	(3.17	)	$	9.53		(3.34%	)b	$	41,463		1.43%	a		N/A			(0.55%	)a
09/30/15i		14.09		(0.07	)		(0.81	)		(0.88	)		(0.24	)		(0.24	)		12.97		(6.31%	)b		46,014		1.40%	a		N/A			(0.63%	)a
12/31/14		16.96		(0.13	)		0.91			0.78			(3.65	)		(3.65	)		14.09		5.60%			56,296		1.43%			1.41%			(0.77%	)
12/31/13		13.85		(0.14	)		6.49			6.35			(3.24	)		(3.24	)		16.96		46.94%			71,667		1.56%			1.49%			(0.86%	)
12/31/12		13.09		(0.13	)		1.79			1.66			(0.90	)		(0.90	)		13.85		12.80%			60,764		1.56%			1.50%			(0.89%	)
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%	)
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%	k		(1.02%	)
Class R4
03/31/16r	$	13.00	$	(0.02	)	$	(0.25	)	$	(0.27	)	$	(3.17	)	$	(3.17	)	$	9.56		(3.25%	)b	$	1,049		1.33%	a		N/A			(0.39%	)a
09/30/15i		14.10		(0.06	)		(0.80	)		(0.86	)		(0.24	)		(0.24	)		13.00		(6.23%	)b		438		1.30%	a		N/A			(0.54%	)a
12/31/14h		17.12		(0.08	)		0.71			0.63			(3.65	)		(3.65	)		14.10		4.67%	b		105		1.29%	a		N/A			(0.62%	)a
Class R3
03/31/16r	$	12.02	$	(0.03	)	$	(0.21	)	$	(0.24	)	$	(3.17	)	$	(3.17	)	$	8.61		(3.27%	)b	$	434		1.58%	a		N/A			(0.65%	)a
09/30/15i		13.09		(0.08	)		(0.75	)		(0.83	)		(0.24	)		(0.24	)		12.02		(6.41%	)b		315		1.55%	a		N/A			(0.80%	)a
12/31/14		16.04		(0.16	)		0.86			0.70			(3.65	)		(3.65	)		13.09		5.35%			104		1.66%			1.63%			(1.02%	)
12/31/13		13.27		(0.19	)		6.20			6.01			(3.24	)		(3.24	)		16.04		46.43%			571		1.86%			1.79%			(1.16%	)
12/31/12		12.61		(0.14	)		1.70			1.56			(0.90	)		(0.90	)		13.27		12.49%			479		1.86%			1.80%			(1.04%	)
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%	)
12/31/10		13.04		(0.18	)		3.05			2.87			(0.14	)		(0.14	)		15.77		22.05%			466		1.82%			1.82%	k		(1.33%	)

	Six month ended March 31,  2016b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		42	%		82	%		76	%		97	%		104	%		88	%		99	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

208

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)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)‘s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	6.35	$	0.04		$	(0.19	)	$	(0.15	)	$	(0.01	)	$	-		$	(0.01	)	$	6.19		(2.39%	)b	$	73,124		1.24%	a		0.90%	a		1.35%	a
09/30/15i		6.67		0.11			(0.43	)		(0.32	)		-			-			-			6.35		(4.80%	)b		65,202		1.19%	a		0.90%	a		2.14%	a
12/31/14h		7.55		0.12			(0.74	)		(0.62	)		(0.26	)		-			(0.26	)		6.67		(8.12%	)b		60,663		0.96%	a		0.90%	a		2.14%	a
Class R5
03/31/16r	$	6.34	$	0.04		$	(0.19	)	$	(0.15	)	$	-		$	-		$	-		$	6.19		(2.52%	)b	$	11		1.33%	a		1.00%	a		1.22%	a
09/30/15i		6.68		0.00	d		(0.34	)		(0.34	)		-			-			-			6.34		(4.94%	)b		12		1.29%	a		1.00%	a		(0.09%	)a
12/31/14		7.72		0.30			(1.09	)		(0.79	)		(0.25	)		-			(0.25	)		6.68		(10.10%	)		110,644		1.06%			1.00%			4.06%
12/31/13		6.49		0.15			1.26			1.41			(0.18	)		(0.00	)d		(0.18	)		7.72		21.84%			162,746		1.06%			0.99%			2.14%
12/31/12		5.70		0.17			0.81			0.98			(0.19	)		-			(0.19	)		6.49		17.29%			151,060		1.07%			0.99%			2.86%
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%
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%
Service Class
03/31/16r	$	6.51	$	0.04		$	(0.21	)	$	(0.17	)	$	-		$	-		$	-		$	6.34		(2.61%	)b	$	167		1.44%	a		1.10%	a		1.11%	a
09/30/15i		6.84		0.10			(0.43	)		(0.33	)		-			-			-			6.51		(4.82%	)b		142		1.39%	a		1.10%	a		1.92%	a
12/31/14		7.91		0.22			(1.04	)		(0.82	)		(0.25	)		-			(0.25	)		6.84		(10.30%	)		146		1.16%			1.10%			2.89%
12/31/13		6.65		0.14			1.29			1.43			(0.17	)		(0.00	)d		(0.17	)		7.91		21.66%			97		1.16%			1.09%			1.92%
12/31/12		5.84		0.17			0.83			1.00			(0.19	)		-			(0.19	)		6.65		17.12%			74		1.17%			1.09%			2.75%
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%
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%
Administrative Class
03/31/16r	$	6.59	$	0.03		$	(0.20	)	$	(0.17	)	$	-		$	-		$	-		$	6.42		(2.58%	)b	$	81		1.54%	a		1.20%	a		0.99%	a
09/30/15i		6.93		0.10			(0.44	)		(0.34	)		-			-			-			6.59		(4.91%	)b		85		1.49%	a		1.20%	a		1.82%	a
12/31/14		8.02		0.10			(0.94	)		(0.84	)		(0.25	)		-			(0.25	)		6.93		(10.43%	)		89		1.26%			1.20%			1.29%
12/31/13		6.74		0.13			1.31			1.44			(0.16	)		(0.00	)d		(0.16	)		8.02		21.50%			12		1.31%			1.17%			1.82%
12/31/12		5.79		0.20			0.75			0.95			-			-			-			6.74		16.61%			18		1.32%			1.17%			3.36%
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%
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%
Class A
03/31/16r	$	6.33	$	0.02		$	(0.19	)	$	(0.17	)	$	-		$	-		$	-		$	6.16		(2.69%	)b	$	440		1.79%	a		1.45%	a		0.60%	a
09/30/15i		6.68		0.08			(0.43	)		(0.35	)		-			-			-			6.33		(5.24%	)b		560		1.74%	a		1.45%	a		1.53%	a
12/31/14		7.71		0.28			(1.10	)		(0.82	)		(0.21	)		-			(0.21	)		6.68		(10.60%	)		406		1.51%			1.44%			3.78%
12/31/13		6.48		0.12			1.25			1.37			(0.14	)		(0.00	)d		(0.14	)		7.71		21.28%			764		1.56%			1.42%			1.64%
12/31/12		5.69		0.15			0.80			0.95			(0.16	)		-			(0.16	)		6.48		16.80%			700		1.57%			1.42%			2.53%
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%
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%
Class R4
03/31/16r	$	6.32	$	0.05		$	(0.22	)	$	(0.17	)	$	(0.00	)d	$	-		$	(0.00	)d	$	6.15		(2.64%	)b	$	778		1.69%	a		1.35%	a		1.54%	a
09/30/15i		6.66		0.09			(0.43	)		(0.34	)		-			-			-			6.32		(5.11%	)b		87		1.64%	a		1.35%	a		1.67%	a
12/31/14h		7.53		0.10			(0.73	)		(0.63	)		(0.24	)		-			(0.24	)		6.66		(8.35%	)b		92		1.41%	a		1.35%	a		1.76%	a
Class R3
03/31/16r	$	6.31	$	0.02		$	(0.20	)	$	(0.18	)	$	-		$	-		$	-		$	6.13		(2.85%	)b	$	174		1.94%	a		1.60%	a		0.68%	a
09/30/15i		6.66		0.07			(0.42	)		(0.35	)		-			-			-			6.31		(5.26%	)b		100		1.89%	a		1.60%	a		1.39%	a
12/31/14h		7.53		0.08			(0.73	)		(0.65	)		(0.22	)		-			(0.22	)		6.66		(8.54%	)b		91		1.66%	a		1.60%	a		1.51%	a

	Six month ended March 31,  2016b,r			Period ended September 30, 2015b			Year ended September 30
							2014			2013			2012			2011			2010
Portfolio turnover rate		37	%		64	%		68	%		56	%		58	%		140	%		65	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

209

MM MSCI EAFE International Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less Distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)‘s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.68	$	0.13	$	(0.05	)	$	0.08		$	(0.27	)	$	(0.03	)	$	(0.30	)	$	11.46		0.64%	b	$	303,571		0.25%	a		0.25%	a,n		2.15%	a
09/30/15i		12.20		0.31		(0.83	)		(0.52	)		-			-			-			11.68		(4.26%	)b		278,051		0.29%	a		0.25%	a		3.22%	a
12/31/14		13.51		0.46		(1.23	)		(0.77	)		(0.40	)		(0.14	)		(0.54	)		12.20		(5.64%	)		213,384		0.26%			0.25%			3.38%
12/31/13		11.80		0.37		2.19			2.56			(0.40	)		(0.45	)		(0.85	)		13.51		22.08%			183,956		0.32%			0.23%			2.87%
12/31/12g		10.00		0.11		1.84			1.95			(0.14	)		(0.01	)		(0.15	)		11.80		19.53%	b		127,538		0.35%	a		0.23%	a		2.23%	a
Class R5
03/31/16r	$	11.68	$	0.12	$	(0.04	)	$	0.08		$	(0.26	)	$	(0.03	)	$	(0.29	)	$	11.47		0.66%	b	$	29,823		0.35%	a		0.35%	a,n		2.12%	a
09/30/15i		12.21		0.32		(0.85	)		(0.53	)		-			-			-			11.68		(4.34%	)b		16,010		0.39%	a		0.35%	a		3.36%	a
12/31/14		13.50		0.59		(1.37	)		(0.78	)		(0.37	)		(0.14	)		(0.51	)		12.21		(5.68%	)		4,052		0.36%			0.34%			4.35%
12/31/13		11.80		0.34		2.20			2.54			(0.39	)		(0.45	)		(0.84	)		13.50		21.95%			10,414		0.42%			0.33%			2.54%
12/31/12g		10.00		0.11		1.83			1.94			(0.13	)		(0.01	)		(0.14	)		11.80		19.48%	b		120		0.45%	a		0.33%	a		2.15%	a
Service Class
03/31/16r	$	11.64	$	0.11	$	(0.05	)	$	0.06		$	(0.24	)	$	(0.03	)	$	(0.27	)	$	11.43		0.49%	b	$	15,559		0.50%	a		0.50%	a,n		1.89%	a
09/30/15i		12.17		0.29		(0.82	)		(0.53	)		-			-			-			11.64		(4.35%	)b		14,896		0.54%	a		0.50%	a		3.00%	a
12/31/14		13.49		0.35		(1.15	)		(0.80	)		(0.38	)		(0.14	)		(0.52	)		12.17		(5.88%	)		5,988		0.50%			0.50%	k		2.61%
12/31/13		11.80		0.33		2.19			2.52			(0.38	)		(0.45	)		(0.83	)		13.49		21.71%			387		0.57%			0.48%			2.55%
12/31/12g		10.00		0.10		1.84			1.94			(0.13	)		(0.01	)		(0.14	)		11.80		19.42%	b		137		0.60%	a		0.48%	a		1.95%	a
Administrative Class
03/31/16r	$	11.62	$	0.11	$	(0.05	)	$	0.06		$	(0.23	)	$	(0.03	)	$	(0.26	)	$	11.42		0.50%	b	$	43,447		0.60%	a		0.60%	a,n		1.91%	a
09/30/15i		12.17		0.28		(0.83	)		(0.55	)		-			-			-			11.62		(4.52%	)b		33,128		0.64%	a		0.60%	a		2.93%	a
12/31/14		13.49		0.32		(1.13	)		(0.81	)		(0.37	)		(0.14	)		(0.51	)		12.17		(5.90%	)		22,634		0.60%			0.60%	k		2.43%
12/31/13		11.80		0.35		2.16			2.51			(0.37	)		(0.45	)		(0.82	)		13.49		21.60%			4,450		0.67%			0.58%			2.67%
12/31/12g		10.00		0.09		1.84			1.93			(0.12	)		(0.01	)		(0.13	)		11.80		19.35%	b		120		0.70%	a		0.58%	a		1.88%	a
Class A
03/31/16r	$	11.59	$	0.09	$	(0.04	)	$	0.05		$	(0.21	)	$	(0.03	)	$	(0.24	)	$	11.40		0.35%	b	$	13,006		0.85%	a		0.85%	a,n		1.54%	a
09/30/15i		12.16		0.25		(0.82	)		(0.57	)		-			-			-			11.59		(4.69%	)b		12,681		0.89%	a		0.85%	a		2.65%	a
12/31/14		13.47		0.34		(1.18	)		(0.84	)		(0.33	)		(0.14	)		(0.47	)		12.16		(6.20%	)		7,253		0.86%			0.86%	k		2.56%
12/31/13		11.80		0.30		2.16			2.46			(0.34	)		(0.45	)		(0.79	)		13.47		21.32%			3,271		0.97%			0.88%			2.32%
12/31/12g		10.00		0.08		1.84			1.92			(0.11	)		(0.01	)		(0.12	)		11.80		19.20%	b		119		1.00%	a		0.88%	a		1.59%	a
Class R4
03/31/16r	$	11.59	$	0.11	$	(0.06	)	$	0.05		$	(0.25	)	$	(0.03	)	$	(0.28	)	$	11.36		0.45%	b	$	18,067		0.75%	a		0.75%	a,n		2.00%	a
09/30/15i		12.15		0.19		(0.75	)		(0.56	)		-			-			-			11.59		(4.69%	)b		6,697		0.79%	a		0.75%	a		2.03%	a
12/31/14h		13.53		0.22		(1.11	)		(0.89	)		(0.35	)		(0.14	)		(0.49	)		12.15		(6.48%	)b		141		0.75%	a		0.75%	a,k		2.22%	a
Class R3
03/31/16r	$	11.58	$	0.10	$	(0.07	)	$	0.03		$	(0.24	)	$	(0.03	)	$	(0.27	)	$	11.34		0.23%	b	$	15,268		1.00%	a		1.00%	a,n		1.75%	a
09/30/15i		12.16		0.22		(0.80	)		(0.58	)		-			-			-			11.58		(4.69%	)b		5,031		1.04%	a		1.00%	a		2.32%	a
12/31/14h		13.53		0.21		(1.12	)		(0.91	)		(0.32	)		(0.14	)		(0.46	)		12.16		(6.73%	)b		97		1.00%	a		1.00%	a,k		2.09%	a

	Six month ended March 31,  2016b,r			Period ended September 30, 2015b			Year ended September 30
							2014			2013			2012
Portfolio turnover rate		1	%		6	%		28	%		42	%		6	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 25, 2012 (commencement of operations) through December 31, 2012.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

n Expenses incurred during the period fell under the expense cap.

r Unaudited.

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

210

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less Distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions		��	Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	7.68	$	0.03		$	(0.03	)	$	0.00	d	$	(0.13	)	$	(0.13	)	$	7.55		(0.09%	)b	$	323,486		0.93%	a		N/A			0.80%	a
09/30/15i		8.29		0.13			(0.53	)		(0.40	)		(0.21	)		(0.21	)		7.68		(5.00%	)b		290,692		0.93%	a		N/A			1.95%	a
12/31/14		9.05		0.20			(0.75	)		(0.55	)		(0.21	)		(0.21	)		8.29		(6.25%	)		305,063		0.97%			0.90%			2.22%
12/31/13		7.57		0.15			1.54			1.69			(0.21	)		(0.21	)		9.05		22.65%			270,927		1.16%			0.85%			1.76%
12/31/12		6.26		0.15			1.28			1.43			(0.12	)		(0.12	)		7.57		23.14%			255,215		1.16%			0.85%			2.19%
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%
12/31/10g		7.13		(0.00	)d		0.21			0.21			-			-			7.34		2.95%	b		103		1.20%	a		0.95%	a		(0.04%	)a
Class R5
03/31/16r	$	7.70	$	0.03		$	(0.04	)	$	(0.01	)	$	(0.12	)	$	(0.12	)	$	7.57		(0.20%	)b	$	157,266		1.03%	a		N/A			0.67%	a
09/30/15i		8.31		0.12			(0.54	)		(0.42	)		(0.19	)		(0.19	)		7.70		(5.13%	)b		161,529		1.03%	a		N/A			1.85%	a
12/31/14		9.06		0.19			(0.76	)		(0.57	)		(0.18	)		(0.18	)		8.31		(6.40%	)		164,096		1.13%			1.05%			2.18%
12/31/13		7.58		0.12			1.55			1.67			(0.19	)		(0.19	)		9.06		22.39%			191,060		1.44%			1.13%			1.41%
12/31/12		6.26		0.12			1.29			1.41			(0.09	)		(0.09	)		7.58		22.70%			155,925		1.45%			1.14%			1.78%
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%
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%
Service Class
03/31/16r	$	7.66	$	0.02		$	(0.04	)	$	(0.02	)	$	(0.11	)	$	(0.11	)	$	7.53		(0.30%	)b	$	75,971		1.13%	a		N/A			0.58%	a
09/30/15i		8.26		0.11			(0.52	)		(0.41	)		(0.19	)		(0.19	)		7.66		(5.10%	)b		77,184		1.13%	a		N/A			1.74%	a
12/31/14		9.01		0.17			(0.75	)		(0.58	)		(0.17	)		(0.17	)		8.26		(6.52%	)		76,131		1.21%			1.13%			1.95%
12/31/13		7.54		0.12			1.54			1.66			(0.19	)		(0.19	)		9.01		22.27%			83,580		1.49%			1.18%			1.41%
12/31/12		6.23		0.13			1.27			1.40			(0.09	)		(0.09	)		7.54		22.64%			66,317		1.50%			1.19%			1.97%
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%
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%
Administrative Class
03/31/16r	$	7.72	$	0.02		$	(0.05	)	$	(0.03	)	$	(0.10	)	$	(0.10	)	$	7.59		(0.40%	)b	$	36,578		1.23%	a		N/A			0.48%	a
09/30/15i		8.32		0.11			(0.52	)		(0.41	)		(0.19	)		(0.19	)		7.72		(5.08%	)b		35,607		1.23%	a		N/A			1.70%	a
12/31/14		9.09		0.17			(0.76	)		(0.59	)		(0.18	)		(0.18	)		8.32		(6.59%	)		29,655		1.29%			1.22%			1.90%
12/31/13		7.60		0.11			1.54			1.65			(0.16	)		(0.16	)		9.09		22.02%			26,362		1.54%			1.23%			1.35%
12/31/12		6.22		0.12			1.29			1.41			(0.03	)		(0.03	)		7.60		22.67%			27,315		1.55%			1.24%			1.76%
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%
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%
Class A
03/31/16r	$	7.55	$	0.01		$	(0.04	)	$	(0.03	)	$	(0.08	)	$	(0.08	)	$	7.44		(0.42%	)b	$	59,910		1.48%	a		N/A			0.23%	a
09/30/15i		8.14		0.09			(0.52	)		(0.43	)		(0.16	)		(0.16	)		7.55		(5.39%	)b		58,523		1.48%	a		N/A			1.40%	a
12/31/14		8.89		0.15			(0.75	)		(0.60	)		(0.15	)		(0.15	)		8.14		(6.80%	)		60,890		1.55%			1.47%			1.72%
12/31/13		7.45		0.09			1.52			1.61			(0.17	)		(0.17	)		8.89		21.86%			60,251		1.79%			1.48%			1.08%
12/31/12		6.16		0.10			1.26			1.36			(0.07	)		(0.07	)		7.45		22.47%			54,429		1.80%			1.49%			1.48%
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%
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%
Class R4
03/31/16r	$	7.47	$	0.02		$	(0.05	)	$	(0.03	)	$	(0.11	)	$	(0.11	)	$	7.33		(0.42%	)b	$	5,307		1.38%	a		N/A			0.53%	a
09/30/15i		8.09		0.08			(0.49	)		(0.41	)		(0.21	)		(0.21	)		7.47		(5.24%	)b		3,422		1.38%	a		N/A			1.28%	a
12/31/14h		8.80		0.11			(0.61	)		(0.50	)		(0.21	)		(0.21	)		8.09		(5.81%	)b		94		1.37%	a		N/A			1.63%	a
Class R3
03/31/16r	$	7.52	$	0.01		$	(0.04	)	$	(0.03	)	$	(0.09	)	$	(0.09	)	$	7.40		(0.40%	)b	$	1,637		1.63%	a		N/A			0.17%	a
09/30/15i		8.15		0.10			(0.55	)		(0.45	)		(0.18	)		(0.18	)		7.52		(5.60%	)b		1,257		1.63%	a		N/A			1.51%	a
12/31/14		8.76		0.17			(0.78	)		(0.61	)		-			-			8.15		(6.96%	)		182		1.82%			1.69%			2.02%
12/31/13		7.37		0.06			1.51			1.57			(0.18	)		(0.18	)		8.76		21.53%			732		2.09%			1.78%			0.79%
12/31/12		6.11		0.07			1.26			1.33			(0.07	)		(0.07	)		7.37		21.96%			549		2.10%			1.79%			1.12%
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%
12/31/10		6.48		0.02			0.65			0.67			-			-			7.15		10.34%			238		1.92%			1.81%			0.37%

	Six month ended March 31,  2016b,r			Period ended September 30, 2015b			Year ended September 30
							2014			2013			2012			2011			2010
Portfolio turnover rate		18	%		39	%		42	%		35	%		39	%		55	%		40	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

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

211

Notes to Financial Statements

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 20 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

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

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

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

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

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

MM S&P 500^® Index Fund (“S&P 500 Index Fund”)

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

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

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

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

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

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

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

MM S&P^® Mid Cap Index Fund (“S&P Mid Cap Index Fund”)

MM Russell 2000^® Small Cap Index Fund (“Russell 2000 Small Cap Index Fund”)

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

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

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

MM MSCI EAFE^® International Index Fund (“MSCI EAFE International Index Fund”)

MassMutual Select Overseas Fund (“Overseas Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

On May 13, 2015, the Board of Trustees (“Trustees”) approved a change in the fiscal year end of the Funds from December 31 to September 30. Accordingly, the Funds’ financial statements and related notes include information as of the nine month period ended September 30, 2015, and the year ended December 31, 2014.

Effective March 21, 2014, Class L shares of the S&P 500 Index Fund, S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, and MSCI EAFE International Index Fund merged into Class Y shares (now known as Administrative Class shares). Effective April 1, 2014, Class Z shares were renamed Class I shares, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, Class L shares were renamed Administrative Class shares, and Class N shares were renamed Class R3 shares, for each Fund, other than the Total Return Bond Fund, S&P 500 Index Fund, S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, and MSCI EAFE International Index Fund. Effective April 1, 2014, Class Z shares were renamed Class I shares, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, Class L shares were renamed Administrative Class shares, Class A shares were renamed Class R4 shares, and Class N shares were renamed Class R3 shares for the Total Return Bond Fund. Effective April 1, 2014, Class Z shares were renamed Class I shares, Class I shares were renamed Class R5 shares, Class S shares were renamed Service Class shares, Class Y shares were renamed Administrative Class shares, Class A shares were renamed Class R4 shares, and Class N shares were renamed Class R3 shares for the S&P 500 Index Fund. Effective April 1, 2014, Class Z shares were renamed Class I shares, Class I shares were renamed Class R5 shares, Class S shares were renamed Service Class shares, and Class Y shares were renamed Administrative Class shares for the S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, and MSCI EAFE International Index Fund.

212

Notes to Financial Statements (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 (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee¹ in accordance with procedures approved annually by the 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 regular review of significant 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.

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Assistant Vice Presidents, 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 determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

213

Notes to Financial Statements (Continued)

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

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 significant 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 issued by 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.

214

Notes to Financial Statements (Continued)

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, Focused Value Fund, Fundamental Growth Fund and Growth Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of March 31, 2016. The Strategic Bond Fund characterized all forward sale commitments at Level 2, as of March 31, 2016. For each Fund noted in the preceding sentences, 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 March 31, 2016, for the remaining Funds’ investments and the Strategic Bond Fund’s other investments:

	Level 1		Level 2		Level 3		Total
Total Return Bond Fund
Asset Investments
Corporate Debt	$	-	$	275,690,178	$	-	$	275,690,178
Municipal Obligations		-		15,182,876		-		15,182,876
Non-U.S. Government Agency Obligations		-		190,379,850		-		190,379,850
U.S. Government Agency Obligations and Instrumentalities		-		297,301,381		-		297,301,381
U.S. Treasury Obligations		-		143,266,662		-		143,266,662
Short-Term Investments		-		180,599,955		-		180,599,955
Total Investments	$	-	$	1,102,420,902	$	-	$	1,102,420,902
Asset Derivatives
Forwards Contracts	$	-	$	5,816	$	-	$	5,816
Futures Contracts		222,787		-		-		222,787
Total	$	222,787	$	5,816	$	-	$	228,603
Strategic Bond Fund
Asset Investments
Preferred Stock	$	159,055	$	-	$	-	$	159,055
Bank Loans		-		8,484,169		-		8,484,169
Corporate Debt		-		90,920,380		-		90,920,380
Municipal Obligations		-		363,042		-		363,042
Non-U.S. Government Agency Obligations		-		52,361,918		511,343		52,873,261
Sovereign Debt Obligations		-		14,992,741		-		14,992,741
U.S. Government Agency Obligations and Instrumentalities		-		56,727,909		-		56,727,909
U.S. Treasury Obligations		-		48,856,829		-		48,856,829
Purchased Options		-		217,226		-		217,226
Short-Term Investments		-		44,509,289		-		44,509,289
Total Investments	$	159,055	$	317,433,503	$	511,343	$	318,103,901
Asset Derivatives
Forward Contracts	$	-	$	227,271	$	-	$	227,271
Futures Contracts		169,692		-		-		169,692
Swap Agreements		-		127,332		-		127,332
Total	$	169,692	$	354,603	$	-	$	524,295

215

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3		Total
Strategic Bond Fund (Continued)
Liability Derivatives
Forward Contracts	$	-		$	(807,245	)	$	-	$	(807,245	)
Futures Contracts		(502,629	)		-			-		(502,629	)
Swap Agreements		-			(1,360,565	)		-		(1,360,565	)
Written Options		(63,800	)		-			-		(63,800	)
Total	$	(566,429	)	$	(2,167,810	)	$	-	$	(2,734,239	)
Fundamental Value Fund
Asset Investments
Common Stock	$	1,226,568,604		$	29,303,646	*	$	-	$	1,255,872,250
Short-Term Investments		-			10,043,352			-		10,043,352
Total Investments	$	1,226,568,604		$	39,346,998		$	-	$	1,265,915,602
Large Cap Value Fund
Asset Investments
Common Stock	$	206,757,653		$	3,008,861		$	-	$	209,766,514
Mutual Funds		1,798,519			-			-		1,798,519
Short-Term Investments		-			2,858,764			-		2,858,764
Total Investments	$	208,556,172		$	5,867,625		$	-	$	214,423,797
S&P 500 Index Fund
Asset Investments
Common Stock	$	3,577,275,570		$	-		$	-	$	3,577,275,570
Short-Term Investments		-			58,437,019			-		58,437,019
Total Investments	$	3,577,275,570		$	58,437,019		$	-	$	3,635,712,589
Asset Derivatives
Futures Contracts	$	1,399,074		$	-		$	-	$	1,399,074
Blue Chip Growth Fund
Asset Investments
Common Stock	$	1,443,908,835		$	44,014,797	*	$	-	$	1,487,923,632
Mutual Funds		1,042			-			-		1,042
Short-Term Investments		-			13,934,701			-		13,934,701
Total Investments	$	1,443,909,877		$	57,949,498		$	-	$	1,501,859,375
Mid-Cap Value Fund
Asset Investments
Common Stock	$	98,532,673		$	586,920	*	$	-	$	99,119,593
Mutual Funds		1,384,270			-			-		1,384,270
Short-Term Investments		-			370,599			-		370,599
Total Investments	$	99,916,943		$	957,519		$	-	$	100,874,462
Asset Derivatives
Forward Contracts	$	-		$	538		$	-	$	538
Liability Derivatives
Forward Contracts	$	-		$	(21,827	)	$	-	$	(21,827	)

216

Notes to Financial Statements (Continued)

	Level 1		Level 2			Level 3			Total
Small Cap Value Equity Fund
Asset Investments
Common Stock	$	173,846,459	$	3,938,906	*	$	-		$	177,785,365
Short-Term Investments		-		7,245,349			-			7,245,349
Total Investments	$	173,846,459	$	11,184,255		$	-		$	185,030,714
Small Company Value Fund
Asset Investments
Common Stock	$	281,503,572	$	-		$	-		$	281,503,572
Mutual Funds		11,372,136		-			-			11,372,136
Short-Term Investments		-		5,968,377			-			5,968,377
Total Investments	$	292,875,708	$	5,968,377		$	-		$	298,844,085
Asset Derivatives
Futures Contracts	$	90,105	$	-		$	-		$	90,105
S&P Mid Cap Index Fund
Asset Investments
Common Stock	$	309,221,390	$	-		$	-		$	309,221,390
Mutual Funds		11,810,882		-			-			11,810,882
Short-Term Investments		-		6,867,597			-			6,867,597
Total Investments	$	321,032,272	$	6,867,597		$	-		$	327,899,869
Asset Derivatives
Futures Contracts	$	240,100	$	-		$	-		$	240,100
Russell 2000 Small Cap Index Fund
Asset Investments
Common Stock	$	280,620,889	$	16,679		$	-	†	$	280,637,568
Warrants		-		-			-	†		-
Rights		-		-			695			695
Mutual Funds		31,279,873		-			-			31,279,873
Short-Term Investments		-		4,196,584			-			4,196,584
Total Investments	$	311,900,762	$	4,213,263		$	695		$	316,114,720
Asset Derivatives
Futures Contracts	$	162,446	$	-		$	-		$	162,446
Mid Cap Growth Equity II Fund
Asset Investments
Common Stock	$	2,733,159,117	$	-		$	6,633,880		$	2,739,792,997
Preferred Stock		-		-			8,230,293			8,230,293
Mutual Funds		176,822,429		-			-			176,822,429
Short-Term Investments		-		126,280,921			-			126,280,921
Total Investments	$	2,909,981,546	$	126,280,921		$	14,864,173		$	3,051,126,640
Small Cap Growth Equity Fund
Asset Investments
Common Stock	$	460,487,086	$	5,031,403	*	$	706,803		$	466,225,292
Preferred Stock		-		-			6,754,136			6,754,136
Mutual Funds		61,704,783		-			-			61,704,783
Short-Term Investments		-		13,100,651			-			13,100,651
Total Investments	$	522,191,869	$	18,132,054		$	7,460,939		$	547,784,862

217

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3		Total
Diversified International Fund
Asset Investments
Common Stock*
Australia	$	-		$	2,140,052		$	-	$	2,140,052
Belgium		-			1,503,727			-		1,503,727
Cayman Islands		-			1,104,775			-		1,104,775
Denmark		-			509,746			-		509,746
Finland		-			1,711,844			-		1,711,844
France		-			8,087,648			-		8,087,648
Germany		-			5,868,629			-		5,868,629
Hong Kong		-			1,160,891			-		1,160,891
Ireland		558,688			-			-		558,688
Israel		634,361			-			-		634,361
Italy		-			3,236,692			-		3,236,692
Japan		-			14,589,884			-		14,589,884
Luxembourg		-			464,875			-		464,875
Netherlands		-			4,428,025			-		4,428,025
Norway		-			809,874			-		809,874
Republic of Korea		-			814,384			-		814,384
Spain		-			1,059,793			-		1,059,793
Sweden		-			1,978,458			-		1,978,458
Switzerland		-			2,181,510			-		2,181,510
United Kingdom		-			18,919,621			-		18,919,621
Preferred Stock
Germany		-			351,554			-		351,554
Mutual Funds		2,256,489			-			-		2,256,489
Short-Term Investments		-			1,963,878			-		1,963,878
Total Investments	$	3,449,538		$	72,885,860		$	-	$	76,335,398
Asset Derivatives
Forward Contracts	$	-		$	777,770		$	-	$	777,770
Futures Contracts		1,232			-			-		1,232
Total	$	1,232		$	777,770		$	-	$	779,002
Liability Derivatives
Forward Contracts	$	-		$	(486,754	)	$	-	$	(486,754	)
Futures Contracts		(5,055	)		-			-		(5,055	)
Total	$	(5,055	)	$	(486,754	)	$	-	$	(491,809	)
MSCI EAFE International Index Fund
Asset Investments
Common Stock*
Australia	$	-		$	29,922,912		$	-	$	29,922,912
Austria		-			774,227			-		774,227
Belgium		-			6,086,600			-		6,086,600
Bermuda		-			1,383,226			-		1,383,226
Cayman Islands		51,181			2,624,204			-		2,675,385
Denmark		-			8,460,744			-		8,460,744
Finland		-			4,240,276			-		4,240,276
France		-			40,271,479			-		40,271,479
Germany		-			36,993,574			-		36,993,574
Hong Kong		-			10,120,135			-		10,120,135

218

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3		Total
MSCI EAFE International Index Fund (Continued)
Asset Investments (Continued)
Common Stock (Continued)
Ireland	$	-		$	2,919,868		$	-	$	2,919,868
Israel		244,156			2,676,839			-		2,920,995
Italy		-			8,392,176			-		8,392,176
Japan		-			95,590,374			-		95,590,374
Luxembourg		-			1,069,900			-		1,069,900
Mauritius		-			84,099			-		84,099
Netherlands		819,796			14,708,875			-		15,528,671
New Zealand		-			788,072			-		788,072
Norway		-			2,484,146			-		2,484,146
Papua New Guinea		-			245,132			-		245,132
Portugal		-			724,110			451		724,561
Singapore		-			5,675,240			-		5,675,240
Spain		4,049			13,360,381			-		13,364,430
Sweden		-			12,357,759			-		12,357,759
Switzerland		-			38,867,936			-		38,867,936
United Arab Emirates		-			178,697			-		178,697
United Kingdom		-			80,859,262			-		80,859,262
Preferred Stock
Germany		-			2,084,163			-		2,084,163
Mutual Funds		21,268,991			-			-		21,268,991
Short-Term Investments		-			7,426,447			-		7,426,447
Total Investments	$	22,388,173		$	431,370,853		$	451	$	453,759,477
Asset Derivatives
Forward Contracts	$	-		$	191,632		$	-	$	191,632
Futures Contracts		10,459			-			-		10,459
Total	$	10,459		$	191,632		$	-	$	202,091
Liability Derivatives
Forward Contracts	$	-		$	(51,007	)	$	-	$	(51,007	)
Futures Contracts		(159,137	)		-			-		(159,137	)
Total	$	(159,137	)	$	(51,007	)	$	-	$	(210,144	)
Overseas Fund
Asset Investments
Common Stock*
Australia	$	-		$	10,491,948		$	-	$	10,491,948
Belgium		-			5,480,179			-		5,480,179
Bermuda		-			3,191,896			-		3,191,896
Brazil		2,166,836			-			-		2,166,836
Canada		13,489,153			-			-		13,489,153
Cayman Islands		7,491,958			2,173,345			-		9,665,303
Denmark		-			3,425,046			-		3,425,046
Finland		-			3,380,648			-		3,380,648
France		-			89,825,368			-		89,825,368
Germany		-			62,973,838			-		62,973,838
Hong Kong		-			9,968,132			-		9,968,132
India		-			6,122,010			-		6,122,010
Indonesia		-			3,509,111			-		3,509,111
Ireland		4,105,780			2,370,226			-		6,476,006

219

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3		Total
Overseas Fund (Continued)
Asset Investments (Continued)
Israel	$	4,452,674		$	-		$	-	$	4,452,674
Italy		-			17,933,226			-		17,933,226
Japan		-			103,792,432			-		103,792,432
Luxembourg		-			917,401			-		917,401
Mexico		2,172,086			-			-		2,172,086
Netherlands		-			33,411,971			-		33,411,971
Norway		-			1,596,813			-		1,596,813
Republic of Korea		-			5,357,726			-		5,357,726
Singapore		-			7,134,028			-		7,134,028
Spain		-			5,469,700			-		5,469,700
Sweden		-			15,874,684			-		15,874,684
Switzerland		-			67,287,115			-		67,287,115
Taiwan		9,696,568			2,368,323			-		12,064,891
United Kingdom		1,913,535			123,993,237			-		125,906,772
United States		8,330,448			-			-		8,330,448
Preferred Stock
Germany		-			693,851			-		693,851
Mutual Funds		24,463,701			-			-		24,463,701
Short-Term Investments		-			14,037,092			-		14,037,092
Total Investments	$	78,282,739		$	602,779,346		$	-	$	681,062,085
Asset Derivatives
Forward Contracts	$	-		$	1,552,207		$	-	$	1,552,207
Futures Contracts		3,723			-			-		3,723
Total	$	3,723		$	1,552,207		$	-	$	1,555,930
Liability Derivatives
Forward Contracts	$	-		$	(1,054,261	)	$	-	$	(1,054,261	)
Futures Contracts		(11,611	)		-			-		(11,611	)
Total	$	(11,611	)	$	(1,054,261	)	$	-	$	(1,065,872	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets.

† Represents a security at $0 value as of March 31, 2016.

The following tables show Funds with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of March 31, 2016.

	Total Return Bond Fund	Strategic  Bond Fund	Diversified International Fund	MSCI EAFE International Index Fund	Overseas Fund
Statements of Assets and Liabilities location:
Receivables from:
Investments sold on a when-issued basis	X	X
Collateral pledged for open futures contracts			X	X	X
Collateral pledged for open swap agreements		X
Collateral pledged for open derivative instruments		X
Payables for:
Investments purchased on a when-issued basis	X	X
Due to custodian	X	X

220

Notes to Financial Statements (Continued)

	Large Cap  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	S&P Mid Cap Index Fund
Statements of Assets and Liabilities location:
Payables for:
Securities on loan	X	X		X			X	X
Due to custodian	X		X		X	X

	Russell 2000 Small Cap Index Fund	Mid Cap Growth Equity II Fund	Small Cap  Growth Equity Fund	Diversified International Fund	MSCI EAFE International Index Fund	Overseas Fund
Statements of Assets and Liabilities location:
Payables for:
Securities on loan	X	X	X	X	X	X

The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:

	Transfers In*				Transfers Out*
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs
Russell 2000 Small Cap Index Fund	$	-	$	83,530	$	(83,530	)	$	-

* The Fund(s) recognize transfers between the Levels as of the beginning of the year. Transfers occurred between Level 1 and Level 2 as inputs were less observable.

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

Asset Valuation Inputs

	Investments in Securities
	Balance as of 9/30/15			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 3/31/16			Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 3/31/16
Strategic Bond Fund
Non-U.S. Government Agency Obligations	$	-		$	-	$	-	$	(19,747	)	$	-	$	-	$	531,090	**	$	-	$	511,343		$	(19,747	)
Russell 2000 Small Cap Index Fund
Common Stock	$	-	***	$	-	$	-	$	(26,051	)	$	26,051	$	-	$	-		$	-	$	-	†††	$	(26,051	)
Warrants		-	***		-		-		-			-		-		-			-		-	†††		-
Rights		-			-		-		695			-		-		-			-		695			695
	$	-		$	-	$	-	$	(25,356	)	$	26,051	$	-	$	-		$	-	$	695		$	(25,356	)

221

Notes to Financial Statements (Continued)

	Investments in Securities
	Balance as of 9/30/15		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 3/31/16		Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 3/31/16
Mid Cap Growth Equity II Fund
Common Stock	$	5,569,404	$	-	$	-	$	1,064,476		$	3,013,776	$	(3,013,776	)	$	-	$	-	$	6,633,880	$	1,064,476
Preferred Stock		8,166,673		-		-		63,620			-		-			-		-		8,230,293		63,620
	$	13,736,077	$	-	$	-	$	1,128,096		$	3,013,776	$	(3,013,776	)	$	-	$	-	$	14,864,173	$	1,128,096
Small Cap Growth Equity Fund
Common Stock	$	860,087	$	-	$	-	$	(175,739	)	$	22,455	$	-		$	-	$	-	$	706,803	$	(175,739	)
Preferred Stock		8,330,213		-		-		(1,576,077	)		-		-			-		-		6,754,136		(1,576,077	)
	$	9,190,300	$	-	$	-	$	(1,751,816	)	$	22,455	$	-		$	-	$	-	$	7,460,939	$	(1,751,816	)
MSCI EAFE International Index Fund
Common Stock	$	443	$	-	$	-	$	8		$	-	$	-		$	-	$	-	$	451	$	8
Rights		1,017		-		-		134			-		(1,151	)		-		-		-		-
	$	1,460	$	-	$	-	$	142		$	-	$	(1,151	)	$	-	$	-	$	451	$	8

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

** Transfers occurred between Level 2 and Level 3 as inputs were less observable.

*** Represents a security at $0 value as of September 30, 2015.

††† Represents a security at $0 value as of March 31, 2016.

None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s), other than those disclosed below.

The Small Cap Growth Equity Fund fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments, but may include defaulted securities and new debt issuances. There may not be a secondary market for such investments, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Valuation Committee. Valuations are reviewed by members of the Valuation Committee utilizing available market information to determine if the carrying value of these investments should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment, also referred to as enterprise value (EV) to earnings before interest, taxes, depreciation, and amortization (EBITDA) ratios. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Small Cap Growth Equity Fund. All market variables are assessed on a regular frequency and calibrated as necessary.

	Fair Value Amount		Valuation Technique	Unobservable Input Description	Value/ Weighted Average Range
Small Cap Growth Equity Fund
Common stock — $706,803
Dropbox Inc.	$	305,200	Market Approach	EV/Multiple		4.80x
				Discount for Lack of Marketability		10%
Telogis		401,603	Market Approach	EV/Multiple		4.09x
				Discount for Lack of Marketability		10%

222

Notes to Financial Statements (Continued)

	Fair Value Amount		Valuation Technique	Unobservable Input Description	Value/ Weighted Average Range
Preferred stock — $6,754,136
Cloudera, Inc. Series F	$	669,399	Market Approach	EV/Multiple		5.20x
				Discount for Lack of Marketability		10%
Docusign Series F		67,261	Market Approach	EV/Multiple		6.70x
				Discount for Lack of Marketability		10%
Docusign Series E		428,965	Market Approach	EV/Multiple		6.70x
				Discount for Lack of Marketability		10%
Docusign Series D		16,583	Market Approach	EV/Multiple		6.70x
				Discount for Lack of Marketability		10%
Docusign Series B		23,083	Market Approach	EV/Multiple		6.70x
				Discount for Lack of Marketability		10%
Docusign Series B1		6,907	Market Approach	EV/Multiple		6.70x
				Discount for Lack of Marketability		10%
Draftkings Series D		166,140	Market Approach	Market Observed Transaction	$	3.13
Draftkings, Inc. Series D1		415,692	Market Approach	Market Observed Transaction	$	4.05
MarkLogic Corp. Series F		892,639	Market Approach	EV/Multiple		2.40x
				Discount for Lack of Marketability		10%
NUTANIX, Inc. Series E		576,893	Market Approach	EV/Multiple		2.50x
				Discount for Lack of Marketability		10%
Telogis		1,504,021	Market Approach	EV/Multiple		4.09x
				Discount for Lack of Marketability		10%
The Honest Co.		652,698	Market Approach	EV/Multiple		3.90x
				Discount for Lack of Marketability		10%
Veracode, Inc		645,565	Market Approach	EV/Multiple		4.70x
				Discount for Lack of Marketability		10%
Zuora Inc. Series F		688,290	Market Approach	EV/Multiple		5.30x
				Discount for Lack of Marketability		10%
Total	$	7,460,939

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. Gains or losses from derivatives can be substantially greater than the derivatives original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the period ended March 31, 2016, the following tables show how the Fund used these types of 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	Total Return Bond Fund	Strategic Bond Fund	S&P 500 Index Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A	A
Directional Exposures to Currencies		A
Futures Contracts**
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Substitution for Direct Investment	M	A	A

223

Notes to Financial Statements (Continued)

Type of Derivative and Objective for Use	Total Return Bond Fund	Strategic Bond Fund	S&P 500 Index Fund
Interest Rate Swaps***
Hedging/Risk Management		A
Duration Management		A
Credit Default Swaps (Protection Seller)
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Options (Purchased)
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Substitution for Direct Investment		M
Options (Written)
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Income		A
Substitution for Direct Investment		M
Directional Investment		A

Type of Derivative and Objective for Use	Mid-Cap Value Fund	Small Company Value Fund	S&P Mid Cap Index Fund	Russell 2000 Small Cap Index Fund	Diversified International Fund	MSCI EAFE International Index Fund	Overseas Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A				A		A
Directional Exposures to Currencies						A
Futures Contracts**
Hedging/Risk Management		A			A		A
Duration/Credit Quality Management		M
Substitution for Direct Investment		A	A	A	M	A	M
Intention to Create Investment Leverage in Portfolio		M
Rights and Warrants
Result of a Corporate Action				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.

224

Notes to Financial Statements (Continued)

At March 31, 2016, 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
Total Return Bond Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	5,816		$	-		$	5,816
Futures Contracts^^		-			-		-			222,787			222,787
Total Value	$	-		$	-	$	5,816		$	222,787		$	228,603
Realized Gain (Loss)#
Futures Contracts	$	-		$	-	$	-		$	1,387,934		$	1,387,934
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	5,816		$	-		$	5,816
Futures Contracts		-			-		-			32,231			32,231
Total Change in Appreciation (Depreciation)	$	-		$	-	$	5,816		$	32,231		$	38,047
Strategic Bond Fund Fund
Asset Derivatives
Purchased Options*	$	-		$	-	$	114,009		$	-		$	114,009
Purchased Options^^^		-			-		82,261			20,956			103,217
Forward Contracts*		-			-		227,271			-			227,271
Futures Contracts^^		-			-		-			169,692			169,692
Swap Agreements^^,^^^		127,332			-		-			-			127,332
Total Value	$	127,332		$	-	$	423,541		$	190,648		$	741,521
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(807,245	)	$	-		$	(807,245	)
Futures Contracts^^		-			-		(22,641	)		(479,988	)		(502,629	)
Swap Agreements^^,^^^		-			-		-			(1,326,848	)		(1,326,848	)
Swap Agreements^^		(33,717	)		-		-			-			(33,717	)
Written Options^,^^^		-			-		-			(63,800	)		(63,800	)
Total Value	$	(33,717	)	$	-	$	(829,886	)	$	(1,870,636	)	$	(2,734,239	)
Realized Gain (Loss)#
Purchased Options	$	-		$	-	$	(10,366	)	$	(345,995	)	$	(356,361	)
Forward Contracts		-			-		(63,881	)		-			(63,881	)
Futures Contracts		-			-		13,029			3,004,851			3,017,880
Swap Agreements		108,949			-		-			(123,856	)		(14,907	)
Written Options		-			-		99,816			119,616			219,432
Total Realized Gain (Loss)	$	108,949		$	-	$	38,598		$	2,654,616		$	2,802,163
Change in Appreciation (Depreciation)##
Purchased Options	$	-		$	-	$	15,733		$	(168,321	)	$	(152,588	)
Forward Contracts		-			-		(357,720	)		-			(357,720	)
Futures Contracts		-			-		(24,125	)		74,417			50,292
Swap Agreements		53,755			-		-			(1,102,494	)		(1,048,739	)
Written Options		-			-		(14,300	)		94,663			80,363
Total Change in Appreciation (Depreciation)	$	53,755		$	-	$	(380,412	)	$	(1,101,735	)	$	(1,428,392	)

225

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
S&P 500 Index Fund
Asset Derivatives
Futures Contracts^^	$	-	$	1,399,074		$	-		$	-	$	1,399,074
Realized Gain (Loss)#
Futures Contracts	$	-	$	4,618,326		$	-		$	-	$	4,618,326
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	3,337,023		$	-		$	-	$	3,337,023
Mid-Cap Value Fund
Asset Derivatives
Forward Contracts*,^^^	$	-	$	-		$	538		$	-	$	538
Liability Derivatives
Forward Contracts^,^^^	$	-	$	-		$	(21,827	)	$	-	$	(21,827	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(6,436	)	$	-	$	(6,436	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(22,104	)	$	-	$	(22,104	)
Small Company Value Fund
Asset Derivatives
Futures Contracts^^	$	-	$	90,105		$	-		$	-	$	90,105
Realized Gain (Loss)#
Futures Contracts	$	-	$	(214,054	)	$	-		$	-	$	(214,054	)
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	179,985		$	-		$	-	$	179,985
S&P Mid Cap Index Fund
Asset Derivatives
Futures Contracts^^	$	-	$	240,100		$	-		$	-	$	240,100
Realized Gain (Loss)#
Futures Contracts	$	-	$	20,914		$	-		$	-	$	20,914
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	528,272		$	-		$	-	$	528,272
Russell 2000 Small Cap Index Fund
Asset Derivatives
Futures Contracts^^	$	-	$	162,446		$	-		$	-	$	162,446
Rights*		-		695			-			-		695
Warrants*		-		-	†		-			-		-
Total Value	$	-	$	163,141		$	-		$	-	$	163,141
Realized Gain (Loss)#
Futures Contracts	$	-	$	(279,453	)	$	-		$	-	$	(279,453	)
Rights		-		10			-			-		10
Total Realized Gain (Loss)	$	-	$	(279,443	)	$	-		$	-	$	(279,443	)
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	417,135		$	-		$	-	$	417,135
Rights		-		695			-			-		695
Total Change in Appreciation (Depreciation)	$	-	$	417,830		$	-		$	-	$	417,830

226

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Diversified International Fund
Asset Derivatives
Forward Contracts*,^^^	$	-	$	-		$	777,770		$	-	$	777,770
Futures Contracts^^		-		1,232			-			-		1,232
Total Value	$	-	$	1,232		$	777,770		$	-	$	779,002
Liability Derivatives
Forward Contracts^,^^^	$	-	$	-		$	(486,754	)	$	-	$	(486,754	)
Futures Contracts^^		-		(5,055	)		-			-		(5,055	)
Total Value	$	-	$	(5,055	)	$	(486,754	)	$	-	$	(491,809	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(58,486	)	$	-	$	(58,486	)
Futures Contracts		-		(1,265	)		-			-		(1,265	)
Rights		-		1			-			-		1
Total Realized Gain (Loss)	$	-	$	(1,264	)	$	(58,486	)	$	-	$	(59,750	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	415,169		$	-	$	415,169
Futures Contracts		-		(3,823	)		-			-		(3,823	)
Total Change in Appreciation (Depreciation)	$	-	$	(3,823	)	$	415,169		$	-	$	411,346
MSCI EAFE International Index Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	191,632		$	-	$	191,632
Futures Contracts^^		-		10,459			-			-		10,459
Total Value	$	-	$	10,459		$	191,632		$	-	$	202,091
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(51,007	)	$	-	$	(51,007	)
Futures Contracts^^		-		(159,137	)		-			-		(159,137	)
Total Value	$	-	$	(159,137	)	$	(51,007	)	$	-	$	(210,144	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	90,498		$	-	$	90,498
Futures Contracts		-		(632,358	)		-			-		(632,358	)
Rights		-		81			-			-		81
Total Realized Gain (Loss)	$	-	$	(632,277	)	$	90,498		$	-	$	(541,779	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	233,018		$	-	$	233,018
Futures Contracts		-		86,446			-			-		86,446
Rights		-		135			-			-		135
Total Change in Appreciation (Depreciation)	$	-	$	86,581		$	233,018		$	-	$	319,599
Overseas Fund
Asset Derivatives
Forward Contracts*,^^^	$	-	$	-		$	1,552,207		$	-	$	1,552,207
Futures Contracts^^		-		3,723			-			-		3,723
Total Value	$	-	$	3,723		$	1,552,207		$	-	$	1,555,930

227

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Overseas Fund (Continued)
Liability Derivatives
Forward Contracts^,^^^	$	-	$	-		$	(896,462	)	$	-	$	(896,462	)
Forward Contracts^		-		-			(157,799	)		-		(157,799	)
Futures Contracts^^		-		(11,611	)		-			-		(11,611	)
Total Value	$	-	$	(11,611	)	$	(1,054,261	)	$	-	$	(1,065,872	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(48,220	)	$	-	$	(48,220	)
Futures Contracts		-		(6,036	)		-			-		(6,036	)
Rights		-		51,975			-			-		51,975
Total Realized Gain (Loss)	$	-	$	45,939		$	(48,220	)	$	-	$	(2,281	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	696,367		$	-	$	696,367
Futures Contracts		-		(7,888	)		-			-		(7,888	)
Total Change in Appreciation (Depreciation)	$	-	$	(7,888	)	$	696,367		$	-	$	688,479

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

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

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

^^^ Represents centrally cleared swaps, exchange-traded purchased and written options, or forward contracts, which are not subject to a master netting agreement.

# 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.

† Represents a security at $0 value as of March 31, 2016.

The Russell 2000 Small Cap Index Fund had no change in appreciation (depreciation) on warrants during the period ended March 31, 2016.

For the period ended March 31, 2016, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:

	Number of Contracts, Notional Amounts or Shares/Units†
Fund Name	Forward Contracts ($)		Futures Contracts		Purchased Options		Swap Agreements ($)		Written Options		Rights		Warrants
Total Return Bond Fund		5,350,407		440		-		-		-		-		-
Strategic Bond Fund		27,792,805		1,352		4,255,290		285,318,667		1,440,670		-		-
S&P 500 Index Fund		-		609		-		-		-		-		-
Mid-Cap Value Fund		1,502,693		-		-		-		-		-		-
Small Company Value Fund		-		19		-		-		-		-		-
S&P Mid Cap Index Fund		-		66		-		-		-		-		-
Russell 2000 Small Cap Index Fund		-		61		-		-		-		1,804		1,428
Diversified International Fund		29,570,065		19		-		-		-		-		-
MSCI EAFE International Index Fund		31,422,348		249		-		-		-		-		-
Overseas Fund		56,774,720		44		-		-		-		-		-

† 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 March 31, 2016.

228

Notes to Financial Statements (Continued)

The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of March 31, 2016.

Counterparty	Derivative Assets Subject to an MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***		Net Amount*
Total Return Bond Fund
Barclays Bank PLC	$	5,816	$	-		$	-	$	5,816
Strategic Bond Fund
Bank of America N.A.	$	13,349	$	-		$	-	$	13,349
Barclays Bank PLC		100,660		(33,717	)		-		66,943
	$	114,009	$	(33,717	)	$	-	$	80,292
MSCI EAFE International Index Fund
Bank of New York Mellon	$	39,305	$	(5,440	)	$	-	$	33,865
Citibank N.A.		43,513		(43,513	)		-		-
Goldman Sachs Bank USA		5,118		-			-		5,118
JP Morgan Chase Bank N.A.		386		(386	)		-		-
Morgan Stanley & Co. LLC		99,513		-			-		99,513
Societe Generale		3,797		(72	)		-		3,725
	$	191,632	$	(49,411	)	$	-	$	142,221

The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of March 31, 2016.

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty†			Financial Instruments Available for Offset		Collateral Pledged***			Net Amount**
Strategic Bond Fund
Barclays Bank PLC	$	(33,717	)	$	33,717	$	-		$	-
MSCI EAFE International Index Fund
Bank of New York Mellon	$	(5,440	)	$	5,440	$	-		$	-
Citibank N.A.		(44,721	)		43,513		-	��		(1,208	)
JP Morgan Chase Bank N.A.		(774	)		386		-			(388	)
Societe Generale		(72	)		72		-			-
	$	(51,007	)	$	49,411	$	-		$	(1,596	)
Overseas Fund
State Street Bank and Trust Co.	$	(157,799	)	$	-	$	-		$	(157,799	)

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.

229

Notes to Financial Statements (Continued)

Further details regarding the derivatives and other investments held by the Fund(s) during the period ended March 31, 2016, are discussed below.

Foreign Currency Exchange Transactions

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

A Fund may enter into foreign currency exchange transactions including, foreign currency futures contracts and foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Futures contracts are exchange-traded and typically have minimal exposure to counterparty risk. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies or currency futures contracts. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency or currency futures contract, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of futures contracts and options, respectively, see “Futures Contracts” and “Options, Rights, and Warrants” below.

The Fund(s) listed in the following table had open forward foreign currency contracts at March 31, 2016. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Total Return Bond Fund
Contract to Deliver
JPY	600,000,000	Barclays Bank PLC*	06/27/16	$	5,350,407	$	5,816

230

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Strategic Bond Fund
Contracts to Buy
INR	193,660,000	Bank of America N.A.	07/14/16	$	2,883,347	$	(11,136	)
CNY	34,980,000	Barclays Bank PLC	04/12/16		5,414,861		(8,002	)
EUR	3,910,000	Barclays Bank PLC	04/12/16		4,429,797		20,501
					9,844,658		12,499
CAD	3,782,820	Citibank N.A.	05/13/16		2,706,035		206,770
				$	15,434,040	$	208,133
Contracts to Deliver
EUR	770,000	Bank of America N.A.	04/12/16	$	838,915	$	(37,486	)
EUR	1,185,385	Bank of America N.A.	05/13/16		1,341,701		(8,722	)
JPY	162,470,000	Bank of America N.A.	04/12/16		1,384,279		(59,741	)
SGD	3,880,000	Bank of America N.A.	04/12/16		2,714,995		(163,585	)
					6,279,890		(269,534	)
CNY	34,980,000	Barclays Bank PLC	04/12/16		5,211,628		(195,232	)
CNY	34,980,000	Barclays Bank PLC	07/14/16		5,378,642		(9,520	)
EUR	1,703,287	Barclays Bank PLC	04/12/16		1,855,739		(82,913	)
PLN	5,540,000	Barclays Bank PLC	04/12/16		1,468,530		(15,991	)
					13,914,539		(303,656	)
EUR	458,785	Citibank N.A.	04/12/16		499,061		(23,120	)
EUR	3,723,922	Citibank N.A.	05/13/16		4,189,035		(53,360	)
JPY	325,422,637	Citibank N.A.	04/12/16		2,767,599		(124,731	)
					7,455,695		(201,211	)
EUR	786,893	UBS AG	05/13/16		882,745		(13,706	)
				$	28,532,869	$	(788,107	)
Mid-Cap Value Fund
Contract to Buy
CAD	37,043	Morgan Stanley & Co. LLC	06/30/16	$	27,987	$	538
Contracts to Deliver
JPY	21,161,282	Credit Suisse International	06/30/16	$	188,439	$	(81	)
CAD	1,025,533	Morgan Stanley & Co. LLC	06/30/16		777,043		(12,646	)
EUR	434,711	UBS AG	06/30/16		486,896		(9,100	)
				$	1,452,378	$	(21,827	)

231

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Diversified International Fund
Contracts to Buy
CHF	577,103	BNP Paribas SA	04/14/16	$	588,352	$	12,088
JPY	29,582,915	BNP Paribas SA	04/14/16		260,238		2,706
NOK	1,728,535	BNP Paribas SA	04/14/16		201,484		7,403
					1,050,074		22,197
CHF	562,419	Citibank N.A.	04/14/16		567,532		17,630
GBP	131,286	Citibank N.A.	04/14/16		190,224		(1,659	)
HKD	1,665,172	Citibank N.A.	04/14/16		214,552		120
					972,308		16,091
CHF	210,015	Deutsche Bank AG	04/14/16		212,293		6,214
GBP	257,302	Deutsche Bank AG	04/14/16		371,913		(2,352	)
					584,206		3,862
AUD	3,591,466	Goldman Sachs Bank USA	04/14/16		2,504,850		246,943
DKK	3,267,925	Goldman Sachs Bank USA	04/14/16		476,613		22,555
EUR	699,678	Goldman Sachs Bank USA	04/14/16		763,808		32,601
JPY	166,610,587	Goldman Sachs Bank USA	04/14/16		1,442,999		37,900
SEK	5,836,551	Goldman Sachs Bank USA	04/14/16		686,800		32,396
					5,875,070		372,395
GBP	607,957	HSBC Bank PLC	04/14/16		863,877		9,327
SGD	1,097,401	HSBC Bank PLC	04/14/16		761,569		52,588
					1,625,446		61,915
CHF	448,940	Merrill Lynch International	04/14/16		463,762		3,331
EUR	141,524	Merrill Lynch International	04/14/16		159,576		1,514
					623,338		4,845
EUR	636,038	Morgan Stanley & Co. LLC	04/14/16		690,557		33,413
JPY	31,060,274	Morgan Stanley & Co. LLC	04/14/16		272,049		4,027
					962,606		37,440
AUD	295,716	Royal Bank of Canada	04/14/16		202,707		23,872
CHF	1,453,040	Royal Bank of Canada	04/14/16		1,460,902		50,894
					1,663,609		74,766
CHF	448,726	Standard Chartered Bank	04/14/16		442,308		24,563
EUR	514,358	Standard Chartered Bank	04/14/16		559,276		26,191
GBP	300,445	Standard Chartered Bank	04/14/16		422,648		8,878
JPY	209,827,831	Standard Chartered Bank	04/14/16		1,781,006		84,025
					3,205,238		143,657
HKD	3,344,811	State Street Bank and Trust	04/14/16		429,929		1,280
JPY	17,495,053	UBS AG	04/14/16		152,496		3,006
				$	17,144,320	$	741,454

232

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Diversified International Fund (Continued)
Contracts to Deliver
DKK	2,312,823	BNP Paribas SA	04/14/16	$	341,892	$	(11,386	)
EUR	875,702	BNP Paribas SA	04/14/16		968,249		(28,519	)
JPY	73,665,638	BNP Paribas SA	04/14/16		639,845		(14,924	)
SEK	1,781,661	BNP Paribas SA	04/14/16		208,481		(11,060	)
					2,158,467		(65,889	)
CHF	172,235	Citibank N.A.	04/14/16		172,404		(6,795	)
EUR	566,156	Citibank N.A.	04/14/16		620,018		(24,410	)
					792,422		(31,205	)
GBP	212,117	Deutsche Bank AG	04/14/16		314,395		9,732
HKD	1,758,113	Deutsche Bank AG	04/14/16		225,689		(965	)
NOK	833,044	Deutsche Bank AG	04/14/16		93,989		(6,681	)
					634,073		2,086
CHF	644,696	Goldman Sachs Bank USA	04/14/16		644,869		(25,897	)
GBP	125,201	Goldman Sachs Bank USA	04/14/16		175,278		(4,547	)
					820,147		(30,444	)
EUR	240,749	HSBC Bank PLC	04/14/16		269,965		(4,067	)
CHF	438,434	Merrill Lynch International	04/14/16		435,648		(20,516	)
EUR	3,543,346	Merrill Lynch International	04/14/16		3,854,317		(178,897	)
GBP	234,921	Merrill Lynch International	04/14/16		336,061		(1,354	)
					4,626,026		(200,767	)
EUR	586,408	Morgan Stanley & Co. LLC	04/14/16		636,361		(31,118	)
JPY	20,701,354	Morgan Stanley & Co. LLC	04/14/16		183,543		(458	)
					819,904		(31,576	)
GBP	1,854,086	Royal Bank of Canada	04/14/16		2,668,658		5,649
JPY	17,849,945	Royal Bank of Canada	04/14/16		156,952		(1,705	)
					2,825,610		3,944
EUR	170,036	Societe Generale	04/14/16		186,421		(7,123	)
AUD	394,306	Standard Chartered Bank	04/14/16		294,652		(7,467	)
EUR	259,475	Standard Chartered Bank	04/14/16		283,217		(12,130	)
GBP	520,356	Standard Chartered Bank	04/14/16		736,963		(10,420	)
					1,314,832		(30,017	)
EUR	506,375	State Street Bank and Trust	04/14/16		556,823		(19,558	)
HKD	1,087,470	State Street Bank and Trust	04/14/16		140,207		12
JPY	22,081,595	State Street Bank and Trust	04/14/16		185,510		(10,760	)
SEK	2,753,658	State Street Bank and Trust	04/14/16		326,399		(12,914	)
					1,208,939		(43,220	)

233

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Diversified International Fund (Continued)
Contracts to Deliver (Continued)
JPY	22,578,067	UBS AG	04/14/16		$	188,253	$	(12,430	)
					$	15,845,059	$	(450,708	)
Cross Currency Forwards
EUR	145,762	Deutsche Bank AG	04/14/16	JPY		18,687,157	$	(185	)
EUR	311,165	Goldman Sachs Bank USA	04/14/16	JPY		40,771,172		(8,206	)
NOK	833,044	Royal Bank of Canada	04/14/16	GBP		67,146		4,229
EUR	67,710	Royal Bank of Canada	04/14/16	HKD		577,702		2,594
EUR	137,936	Royal Bank of Canada	04/14/16	GBP		102,289		10,089
								16,912
EUR	221,523	Societe Generale	04/14/16	JPY		29,296,570		(8,251	)
							$	270
MSCI EAFE International Index Fund
Contracts to Buy
CHF	242,283	Bank of New York Mellon*	06/15/16		$	250,000	$	2,773
EUR	638,490	Bank of New York Mellon*	06/15/16			719,000		9,132
GBP	1,609,774	Bank of New York Mellon*	06/15/16			2,311,612		942
JPY	323,208,748	Bank of New York Mellon*	06/15/16			2,851,211		26,458
						6,131,823		39,305
AUD	632,762	Citibank N.A.*	06/15/16			474,930		8,519
CHF	957,905	Citibank N.A.*	06/15/16			979,696		19,682
DKK	666,151	Citibank N.A.*	06/15/16			102,000		(46	)
EUR	316,336	Citibank N.A.*	06/15/16			360,000		749
ILS	195,433	Citibank N.A.*	06/15/16			50,355		1,758
JPY	29,273,189	Citibank N.A.*	06/15/16			260,000		632
						2,226,981		31,294
EUR	302,630	Goldman Sachs Bank USA*	06/15/16			340,000		5,118
AUD	208,588	JP Morgan Chase Bank N.A.*	06/15/16			160,000		(633	)
JPY	16,831,553	JP Morgan Chase Bank N.A.*	06/15/16			150,000		(141	)
						310,000		(774	)
EUR	3,756,514	Morgan Stanley & Co. LLC*	06/15/16			4,190,232		93,685
JPY	30,512,657	Morgan Stanley & Co. LLC*	06/15/16			270,000		1,668
SEK	1,271,320	Morgan Stanley & Co. LLC*	06/15/16			152,843		4,160
						4,613,075		99,513

234

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
MSCI EAFE International Index Fund (Continued)
Contracts to Buy (Continued)
DKK	533,411	Societe Generale*	06/15/16	$	79,660	$	1,978
HKD	1,856,005	Societe Generale*	06/15/16		239,428		(72	)
SGD	111,741	Societe Generale*	06/15/16		81,050		1,819
					400,138		3,725
				$	14,022,017	$	178,181
Contracts to Deliver
EUR	370,083	Bank of New York*	06/15/16	$	416,602	$	(5,440	)
AUD	381,849	Citibank N.A.*	06/15/16		290,000		(1,744	)
CHF	696,409	Citibank N.A.*	06/15/16		720,000		(6,561	)
EUR	1,919,439	Citibank N.A.*	06/15/16		2,160,000		(28,923	)
GBP	513,339	Citibank N.A.*	06/15/16		730,000		(7,447	)
JPY	199,678,796	Citibank N.A.*	06/15/16		1,790,000		12,173
					5,690,000		(32,502	)
JPY	49,375,792	JP Morgan Chase Bank N.A.*	06/15/16		440,000		386
				$	6,546,602	$	(37,556	)
Overseas Fund
Contracts to Buy
JPY	59,247,520	BNP Paribas SA	04/14/16	$	521,195	$	5,420
NOK	2,794,733	BNP Paribas SA	04/14/16		325,764		11,969
					846,959		17,389
GBP	192,803	Citibank N.A.	04/14/16		279,359		(2,437	)
CHF	1,109,111	Citibank N.A.	04/14/16		1,119,757		34,203
					1,399,116		31,766
CHF	1,334,288	Deutsche Bank AG	04/14/16		1,373,442		14,800
GBP	847,099	Deutsche Bank AG	04/14/16		1,224,427		(7,745	)
					2,597,869		7,055
AUD	8,075,429	Goldman Sachs Bank USA	04/14/16		5,632,167		555,251
CHF	1,182,680	Goldman Sachs Bank USA	04/14/16		1,205,826		24,678
DKK	7,870,101	Goldman Sachs Bank USA	04/14/16		1,147,821		54,319
EUR	403,593	Goldman Sachs Bank USA	04/14/16		441,626		17,764
JPY	324,461,660	Goldman Sachs Bank USA	04/14/16		2,811,098		72,843
SEK	3,227,250	Goldman Sachs Bank USA	04/14/16		379,758		17,913
					11,618,296		742,768
GBP	737,417	HSBC Bank PLC	04/14/16		1,044,293		14,853
SGD	2,581,312	HSBC Bank PLC	04/14/16		1,791,365		123,698
					2,835,658		138,551

235

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Overseas Fund (Continued)
Contracts to Buy (Continued)
EUR	288,478	Merrill Lynch International	04/14/16	$	325,274	$	3,086
					325,274		3,086
EUR	629,353	Morgan Stanley & Co. LLC	04/14/16		683,142		33,219
CHF	2,198,987	Royal Bank of Canada	04/14/16		2,212,016		75,891
EUR	666,071	Royal Bank of Canada	04/14/16		723,575		34,581
					2,935,591		110,472
AUD	601,683	Societe Generale	04/14/16		415,376		45,635
JPY	89,819,222	Societe Generale	04/14/16		788,447		9,900
SEK	9,195,750	Societe Generale	04/14/16		1,074,561		58,565
					2,278,384		114,100
CHF	788,907	Standard Chartered Bank	04/14/16		777,622		43,185
EUR	1,308,351	Standard Chartered Bank	04/14/16		1,424,442		64,789
GBP	623,369	Standard Chartered Bank	04/14/16		877,013		18,328
JPY	313,367,476	Standard Chartered Bank	04/14/16		2,650,182		135,149
					5,729,259		261,451
HKD	6,803,474	State Street Bank and Trust Co.	04/14/16		874,493		2,604
				$	31,473,493	$	1,462,461
Contracts to Deliver
DKK	4,561,543	BNP Paribas SA	04/14/16	$	674,323	$	(22,443	)
EUR	1,859,236	BNP Paribas SA	04/14/16		2,047,856		(68,421	)
JPY	64,171,419	BNP Paribas SA	04/14/16		568,398		(1,982	)
SEK	3,539,640	BNP Paribas SA	04/14/16		414,169		(21,995	)
					3,704,746		(114,841	)
CHF	443,844	Citibank N.A.	04/14/16		444,280		(17,511	)
EUR	1,057,504	Citibank N.A.	04/14/16		1,158,187		(45,517	)
GBP	913,996	Citibank N.A.	04/14/16		1,324,574		11,809
HKD	2,896,311	Citibank N.A.	04/14/16		373,180		(210	)
					3,300,221		(51,429	)
JPY	50,359,784	Credit Suisse International	04/14/16		419,144		(28,473	)
GBP	500,749	Deutsche Bank AG	04/14/16		742,197		22,975
JPY	33,728,007	Deutsche Bank AG	04/14/16		295,811		(3,977	)
NOK	4,365,124	Deutsche Bank AG	04/14/16		492,500		(35,010	)
SEK	3,220,859	Deutsche Bank AG	04/14/16		378,007		(18,876	)
					1,908,515		(34,888	)

236

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Overseas Fund (Continued)
Contracts to Deliver (Continued)
CHF	1,299,182	Goldman Sachs Bank USA	04/14/16		$	1,299,532	$	(52,186	)
GBP	207,474	Goldman Sachs Bank USA	04/14/16			298,673		680
						1,598,205		(51,506	)
EUR	475,826	HSBC Bank PLC	04/14/16			533,570		(8,039	)
EUR	7,146,983	Merrill Lynch International	04/14/16			7,774,216		(360,838	)
GBP	475,332	Merrill Lynch International	04/14/16			679,975		(2,741	)
						8,454,191		(363,579	)
EUR	301,612	Morgan Stanley & Co. LLC	04/14/16			327,305		(16,005	)
JPY	36,331,565	Morgan Stanley & Co. LLC	04/14/16			322,125		(804	)
						649,430		(16,809	)
AUD	430,009	Royal Bank of Canada	04/14/16			301,773		(27,701	)
GBP	2,758,143	Royal Bank of Canada	04/14/16			3,943,820		(17,680	)
						4,245,593		(45,381	)
EUR	342,416	Societe Generale	04/14/16			375,360		(14,395	)
AUD	779,554	Standard Chartered Bank	04/14/16			582,535		(14,762	)
EUR	523,123	Standard Chartered Bank	04/14/16			570,988		(24,456	)
						1,153,523		(39,218	)
AUD	650,000	State Street Bank and Trust Co.*	12/21/16			478,244		(14,463	)
CHF	5,144,000	State Street Bank and Trust Co.*	09/21/16			5,249,837		(143,336	)
EUR	836,515	State Street Bank and Trust Co.	04/14/16			920,571		(31,593	)
HKD	2,224,480	State Street Bank and Trust Co.	04/14/16			286,802		24
SEK	5,445,747	State Street Bank and Trust Co.	04/14/16			645,500		(25,540	)
						7,580,954		(214,908	)
GBP	348,798	UBS AG	04/14/16			520,093		19,117
					$	34,443,545	$	(964,349	)
Cross Currency Forwards
EUR	478,365	Citibank N.A.	04/14/16	DKK		3,569,389	$	(717	)
EUR	598,205	Deutsche Bank AG	04/14/16	JPY		76,691,979		(761	)
EUR	501,823	Societe Generale	04/14/16	JPY		66,366,384		(18,690	)
EUR	476,988	Standard Chartered Bank	04/14/16	JPY		61,640,951		(4,957	)
NOK	4,365,124	Standard Chartered Bank	04/14/16	GBP		349,894		24,959
							$	(166	)

AUD Australian Dollar

CAD Canadian Dollar

CHF Swiss Franc

CNY China Yuan Renminbi

DKK Danish Krone

EUR Euro

GBP British Pound

HKD Hong Kong Dollar

ILS Israeli Shekel

INR Indian Rupee

JPY Japanese Yen

NOK Norwegian Krone

PLN Polish Zloty

SEK Swedish Krona

SGD Singapore Dollar

* Contracts are subject to an MNA.

237

Notes to Financial Statements (Continued)

Futures Contracts

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts and related options (see “Foreign Currency Exchange Transactions,” above, for a discussion of the use of futures contracts in connection with currency risk).

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a 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 a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

The Fund(s) listed in the following table had open futures contracts at March 31, 2016:

	Expiration Date		Number of Contracts		Notional Amount		Net Unrealized Appreciation/ (Depreciation)
Total Return Bond Fund
Futures Contracts — Long
U.S. Treasury Note 2 Year		06/30/16		293	$	64,093,750	$	184,543
U.S. Treasury Note 5 Year		06/30/16		377		45,678,852		38,244
							$	222,787
Strategic Bond Fund
Futures Contracts — Long
Euro Bobl		06/08/16		34	$	5,072,074	$	(8,962	)
U.S. Treasury Note 10 Year		06/21/16		94		12,256,719		(7,009	)
U.S. Treasury Ultra Long Bond		06/21/16		86		14,837,687		(121,162	)
U.S. Treasury Note 5 Year		06/30/16		518		62,762,985		169,692
							$	32,559

238

Notes to Financial Statements (Continued)

	Expiration Date		Number of Contracts		Notional Amount			Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Short
Euro Bund		06/08/16		52	$	(9,663,773	)	$	(24,642	)
90 Day Eurodollar		06/13/16		113		(28,055,075	)		(19,105	)
Euro FX		06/13/16		5		(713,250	)		(22,641	)
U.S. Treasury Long Bond		06/21/16		32		(5,262,000	)		(28,917	)
U.S. Treasury Ultra 10 Year		06/21/16		21		(2,955,750	)		(15,818	)
U.S. Treasury Note 2 Year		06/30/16		16		(3,500,000	)		(99	)
90 Day Eurodollar		12/19/16		542		(134,382,125	)		(254,274	)
								$	(365,496	)
S&P 500 Index Fund
Futures Contracts — Long
S&P 500 E Mini Index		06/17/16		579	$	59,390,925		$	1,399,074
Small Company Value Fund
Futures Contracts — Long
Russell 2000 Mini Index		06/17/16		19	$	2,108,240		$	90,105
S&P Mid Cap Index Fund
Futures Contracts — Long
S&P Midcap 400 E Mini Index		06/17/16		65	$	9,367,800		$	240,100
Russell 2000 Small Cap Index Fund
Futures Contracts — Long
Russell 2000 Mini Index		06/17/16		46	$	5,104,160		$	162,446
Diversified International Fund
Futures Contracts — Long
Topix Index		06/09/16		2	$	239,460		$	1,232
Euro Stoxx 50 Index		06/17/16		13		433,574			(3,705	)
FTSE 100 Index		06/17/16		4		351,191			(1,350	)
								$	(3,823	)
MSCI EAFE International Index Fund
Futures Contracts — Long
Hang Seng Index		04/28/16		3	$	402,335		$	8,369
Topix Index		06/09/16		27		3,232,707			(7,964	)
SPI 200 Index		06/16/16		11		1,067,919			(18,541	)
Euro Stoxx 50 Index		06/17/16		181		6,036,684			(132,632	)
FTSE 100 Index		06/17/16		34		2,985,129			2,090
								$	(148,678	)
Overseas Fund
Futures Contracts — Long
Topix Index		06/09/16		6	$	718,379		$	3,723
Euro Stoxx 50 Index		06/17/16		28		933,852			(8,026	)
FTSE 100 Index		06/17/16		10		877,979			(3,585	)
								$	(7,888	)

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

239

Notes to Financial Statements (Continued)

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.

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment 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 a “synthetic” long position.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized

240

Notes to Financial Statements (Continued)

appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

The Fund(s) listed in the following table had open swap transactions at March 31, 2016. A Fund’s current exposure to a counterparty is the fair value of the transaction.

Counterparty	Currency	Notional Amount		Expiration Date		Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Strategic Bond Fund*
Credit Default Swaps — Sell Protection††
OTC Swaps
Barclays Bank PLC	USD		97,000		12/20/20	1.000%	Brazil Government International Bond	$	6,300		$	(15,807	)	$	(9,507	)
Barclays Bank PLC	USD		247,000		12/20/20	1.000%	Brazil Government International Bond		15,865			(40,075	)		(24,210	)
									22,165			(55,882	)		(33,717	)
Centrally Cleared Swaps
	USD		3,200,000		12/20/20	1.000%	CDX.NA.IG.25 V1†(Rating:AAA)**		(393	)		16,481			16,088
	USD		3,840,000		12/20/20	5.000%	CDX.NA.HY.25V1†(Rating:AAA)**		31,983			79,261			111,244
									31,590			95,742			127,332
Counterparty	Currency	Notional Amount		Expiration Date		Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
Interest Rate Swaps
Centrally Cleared Swaps
	USD		392,960,000		6/15/16	Fixed 0.420%	MSD Fed Funds Rate H.15	$	(22,595	)	$	-		$	(22,595	)
	USD		91,830,000		7/27/16	Fixed 0.550%	MSD Fed Funds Rate H.15		(14,454	)		-			(14,454	)
	USD		10,400,000		8/31/22	Fixed 1.897%	3-Month USD-LIBOR		(354,645	)		-			(354,645	)
	USD		16,244,000		11/30/22	Fixed 1.900%	3-Month USD-LIBOR		(548,988	)		-			(548,988	)
	USD		3,168,000		2/15/41	Fixed 2.720%	3-Month USD-LIBOR		(380,840	)		(5,326	)		(386,166	)
									(1,321,522	)		(5,326	)		(1,326,848	)

USD U.S. Dollar

* Collateral for swap agreements held by Goldman Sachs & Co. amounted to $643,518 in cash at March 31, 2016.

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

241

Notes to Financial Statements (Continued)

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

†† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Standard & Poor’s Ratings Group or Western Asset Management Company’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.

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

Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

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

242

Notes to Financial Statements (Continued)

underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

The Fund(s) listed in the following table had open written option contracts at March 31, 2016. A Fund’s current exposure to a counterparty is the fair value of the contract.

	Units		Expiration Date		Description	Premiums Received		Value
Strategic Bond Fund
		319		6/13/16	Eurodollar Future, Put, Strike 99.38	$	158,463	$	63,800

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Notes to Financial Statements (Continued)

Transactions in written option contracts during the period ended March 31, 2016, were as follows:

	Number of Contracts			Premiums Received
Strategic Bond Fund
Options outstanding at September 30, 2015		3,780,000		$	50,604
Options written		5,861,838			480,045
Options terminated in closing purchase transactions		(6,860,703	)		(119,193	)
Options expired		(2,780,740	)		(219,021	)
Options exercised		(76	)		(33,972	)
Options outstanding at March 31, 2016		319		$	158,463

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

244

Notes to Financial Statements (Continued)

upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

At March 31, 2016, 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.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

245

Notes to Financial Statements (Continued)

Securities Lending

Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“agent”). The Lending Agreement authorizes the agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each, a “Borrower”).

Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. 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 in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At March 31, 2016, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.

Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at March 31, 2016.

The Funds employ the agent to implement their securities lending program and the agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or Borrower, respectively. For the period ended March 31, 2016, the Fund(s) earned securities lending net income as follows:

	Securities Lending Gross Income		Securities Lending Fees and Expenses		Securities Lending Net Income
Large Cap Value Fund	$	89,441	$	17,992	$	71,449
Fundamental Growth Fund		3,690		746		2,944
Growth Opportunities Fund		103,928		20,843		83,085
Small Company Value Fund		144,338		28,933		115,405
S&P Mid Cap Index Fund		73,975		14,830		59,145
Russell 2000 Small Cap Index Fund		494,339		98,972		395,367
Mid Cap Growth Equity II Fund		1,065,400		213,506		851,894
Small Cap Growth Equity Fund		310,939		62,374		248,565
Diversified International Fund		22,691		4,597		18,094
MSCI EAFE International Index Fund		79,365		15,888		63,477
Overseas Fund		108,165		21,795		86,370

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 Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.

246

Notes to Financial Statements (Continued)

Foreign Currency Translation

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

Allocation of Operating Activity

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

Foreign Securities

Each of the Diversified International Fund, MSCI EAFE International Index 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 American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

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

Dividends and Distributions to Shareholders

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

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

247

Notes to Financial Statements (Continued)

3. Advisory Fees and Other Transactions

Investment Advisory Fees and Investment Subadvisers

MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, at the annual rates shown in the following table.

MML Advisers has also entered into investment subadvisory agreements for each Fund with the unaffiliated investment subadviser(s) shown in the following table. MML Advisers pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets under management which include (1) the average daily net assets of the specified Fund which it manages, and, if applicable, (2) the average daily net assets of all other Funds or accounts of MML Advisers 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 MML Advisers out of the advisory fees.

Fund	Investment Advisory Fee	Investment Subadviser(s)
Total Return Bond Fund*	0.35% on the first $2 billion; and	Metropolitan West Asset Management, LLC
	0.32% on any excess over $2 billion
Strategic Bond Fund	0.45% on the first $200 million; and	Western Asset Management Company; and
	0.35% on any excess over $200 million	Western Asset Management Company Limited
Diversified Value Fund	0.50% on the first $400 million; and	Brandywine Global Investment Management,
	0.475% on any excess over $400 million	LLC; and Loomis, Sayles & Company, L.P.
Fundamental Value Fund	0.60% on the first $1.25 billion;	Wellington Management Company LLP
	0.575% on the next $250 million; and
	0.55% on any excess over $1.5 billion
Large Cap Value Fund	0.60% on the first $750 million; and	Barrow, Hanley, Mewhinney & Strauss LLC;
	0.55% on any excess over $750 million	and Huber Capital Management, LLC
S&P 500 Index Fund	0.10% on the first $2.5 billion;	Northern Trust Investments, Inc.
	0.08% on the next $2.5 billion; and
	0.05% on any excess over $5 billion
Focused Value Fund	0.69% on the first $1 billion; and	Harris Associates L.P.
	0.64% on any excess over $1 billion
Fundamental Growth Fund	0.65% on the first $300 million; and	Wellington Management Company LLP
	0.60% on any excess over $300 million
Blue Chip Growth Fund	0.65% on the first $750 million; and	T. Rowe Price Associates, Inc.; and
	0.60% on any excess over $750 million	Loomis, Sayles & Company, L.P.
Growth Opportunities Fund	0.71% on the first $500 million; and	Jackson Square Partners LLC; and
	0.68% on any excess over $500 million	Sands Capital Management, LLC
Mid-Cap Value Fund*	0.70% on the first $300 million; and	American Century Investment Management,
	0.65% on any excess over $300 million	Inc.; and Systematic Financial
		Management, L.P.
Small Cap Value Equity Fund*	0.75% on the first $300 million; and	Barrow, Hanley, Mewhinney & Strauss, LLC;
	0.70% on any excess over $300 million	and Wellington Management Company LLP

248

Notes to Financial Statements (Continued)

Fund	Investment Advisory Fee		Investment Subadviser(s)
Small Company Value Fund	0.85% on the first $750 million; and		Invesco Advisers, Inc.;
	0.80% on any excess over $750 million		Federated Clover Investment Advisors; and
			T. Rowe Price Associates, Inc.
S&P Mid Cap Index Fund	0.10% on the first $500 million; and	��	Northern Trust Investments, Inc.
	0.08% on any excess over $500 million
Russell 2000 Small Cap Index Fund	0.10% on the first $500 million; and		Northern Trust Investments, Inc.
	0.08% on any excess over $500 million
Mid Cap Growth Equity II Fund	0.72% on the first $2 billion; and		Frontier Capital Management Company LLC;
	0.67% on any excess over $2 billion		and T. Rowe Price Associates, Inc.
Small Cap Growth Equity Fund	0.80% on the first $1 billion; and		Wellington Management Company LLP
	0.78% on any excess over $1 billion
Diversified International Fund	0.80% on the first $250 million; and		J.P. Morgan Investment Management Inc.
	0.78% on any excess over $250 million
MSCI EAFE International Index Fund	0.10% on the first $1 billion; and		Northern Trust Investments, Inc.
	0.09% on any excess over $1 billion
Overseas Fund	0.80% on the first $750 million;		Harris Associates L.P.;
	0.775% on the next $500 million; and		J.P. Morgan Investment Management Inc.; and
	0.75% on any excess over $1.25 billion		Massachusetts Financial Services Company

* Prior to January 1, 2016, the investment advisory fees were as follows:

Fund	Investment Advisory Fee
Total Return Bond Fund	0.35% on the first $3 billion; and
	0.32% on any excess over $3 billion
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

MML Advisers has entered into an investment subadvisory agreement with OFI Global Institutional, Inc. (“OFI Global Institutional”), a wholly-owned subsidiary of Oppenheimer Funds, Inc., a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, on behalf of the Small Cap Growth Equity Fund. This agreement provides that OFI Global Institutional manage the investment and reinvestment of the assets of the Small Cap Growth Equity Fund. OFI Global Institutional receives a subadvisory fee from MML Advisers, based upon the Small Cap Growth Equity Fund’s average daily net assets, at the following annual rate:

Small Cap Growth Equity Fund	0.55% of the first $50 million;
	0.45% of the next $50 million; and
	0.40% of any excess over $100 million

249

Notes to Financial Statements (Continued)

Administration Fees

Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
Total Return Bond Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Strategic Bond Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Diversified Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Fundamental Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Large Cap Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
S&P 500 Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Focused Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Fundamental Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Blue Chip Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Growth Opportunities Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Mid-Cap Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Small Cap Value Equity Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Small Company Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
S&P Mid Cap Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Russell 2000 Small Cap Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Mid Cap Growth Equity II Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Small Cap Growth Equity Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Diversified International Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MSCI EAFE International Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Overseas Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.

The Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of each Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Funds’ investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Funds separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Funds’ investors.

250

Notes to Financial Statements (Continued)

Expense Caps and Waivers

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

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
Strategic Bond Fund*		0.48%		0.58%		0.68%		0.78%		1.03%		0.93%		1.18%
Large Cap Value Fund*		0.63%		0.73%		0.83%		0.93%		1.18%		1.08%		1.33%
Fundamental Growth Fund*		0.70%		0.80%		0.90%		1.00%		1.25%		1.15%		1.40%
Mid-Cap Value Fund*		0.80%		0.90%		1.00%		1.10%		1.35%		1.25%		1.50%
Small Cap Value Equity Fund*		0.80%		0.90%		1.00%		1.10%		1.35%		1.25%		1.50%
S&P Mid Cap Index Fund*		0.20%		0.30%		0.45%		0.55%		0.80%		0.70%		0.95%
Russell 2000 Small Cap Index Fund*		0.20%		0.30%		0.45%		0.55%		0.80%		0.70%		0.95%
Diversified International Fund*		0.90%		1.00%		1.10%		1.20%		1.45%		1.35%		1.60%
MSCI EAFE International Index Fund*		0.25%		0.35%		0.50%		0.60%		0.85%		0.75%		1.00%

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

* Expense caps in effect through January 31, 2017.

MML Advisers has contractually agreed to waive 0.05% of the advisory fee for each class of the Total Return Bond Fund through January 31, 2017.

MML Advisers has agreed to voluntarily waive 0.02% of the advisory fee for each class of the Small Company Value Fund. MML Advisers may amend or discontinue this waiver at any time without advance notice.

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 March 31, 2016, brokerage commissions rebated under these agreements were as follows:

	Rebated Commissions
Diversified Value Fund	$	5,399
Fundamental Value Fund		470
Large Cap Value Fund		2,185
Fundamental Growth Fund		8
Blue Chip Growth Fund		12,961
Growth Opportunities Fund		12,641
Mid-Cap Value Fund		4,038
Small Cap Value Equity Fund		4,638
Small Company Value Fund		31,058
Mid Cap Growth Equity II Fund		44,778
Small Cap Growth Equity Fund		11,117
Diversified International Fund		304

251

Notes to Financial Statements (Continued)

Deferred Compensation

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds 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 March 31, 2016:

	Total % of Ownership by Related Party
Total Return Bond Fund		73.7%
Strategic Bond Fund		78.6%
Diversified Value Fund		46.1%
Fundamental Value Fund		83.7%
Large Cap Value Fund		96.0%
S&P 500 Index Fund		61.8%
Focused Value Fund		78.0%
Fundamental Growth Fund		93.3%
Blue Chip Growth Fund		78.0%
Growth Opportunities Fund		53.8%
Mid-Cap Value Fund		90.2%
Small Cap Value Equity Fund		68.3%
Small Company Value Fund		72.8%
S&P Mid Cap Index Fund		67.8%
Russell 2000 Small Cap Index Fund		76.0%
Mid Cap Growth Equity II Fund		48.3%
Small Cap Growth Equity Fund		89.1%
Diversified International Fund		99.6%
MSCI EAFE International Index Fund		84.3%
Overseas Fund		83.8%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended March 31, 2016, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
Total Return Bond Fund	$	1,651,064,143	$	107,360,688	$	1,936,633,004	$	322,774,678
Strategic Bond Fund		297,131,762		32,143,740		286,960,098		29,832,184
Diversified Value Fund		-		76,844,989		-		72,858,386
Fundamental Value Fund		-		81,955,113		-		154,558,190
Large Cap Value Fund		-		3,917,943		-		43,923,276

252

Notes to Financial Statements (Continued)

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
S&P 500 Index Fund	$	-	$	68,737,036	$	-	$	84,110,655
Focused Value Fund		-		130,814,315		-		177,530,289
Fundamental Growth Fund		-		33,249,342		-		36,568,019
Blue Chip Growth Fund		-		240,806,007		-		227,774,032
Growth Opportunities Fund		-		124,309,895		-		172,736,509
Mid-Cap Value Fund		-		48,675,068		-		97,948,892
Small Cap Value Equity Fund		-		27,713,838		-		24,449,826
Small Company Value Fund		-		90,440,353		-		122,478,111
S&P Mid Cap Index Fund		-		66,189,389		-		32,268,812
Russell 2000 Small Cap Index Fund		-		41,514,835		-		18,615,517
Mid Cap Growth Equity II Fund		-		807,268,713		-		390,249,942
Small Cap Growth Equity Fund		-		205,195,854		-		227,135,285
Diversified International Fund		-		36,420,882		-		25,904,325
MSCI EAFE International Index Fund		-		75,221,735		-		3,902,718
Overseas Fund		-		146,174,218		-		111,868,998

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Total Return Bond Fund Class I
Sold		6,292,782		$	63,326,281			18,240,893		$	186,336,338			12,374,866		$	128,094,390
Issued as reinvestment of dividends		1,328,858			13,115,837			49,531			501,744			1,985,967			20,072,149
Redeemed		(33,519,848	)		(337,699,997	)		(11,316,431	)		(115,196,159	)		(10,405,206	)		(108,314,023	)
Net increase (decrease)		(25,898,208	)	$	(261,257,879	)		6,973,993		$	71,641,923			3,955,627		$	39,852,516
Total Return Bond Fund Class R5
Sold		717,736		$	7,229,645			3,359,795		$	34,119,912			4,657,972		$	47,831,843
Issued as reinvestment of dividends		392,482			3,869,875			14,126			142,811			663,071			6,695,507
Redeemed		(5,112,461	)		(50,544,720	)		(1,726,724	)		(17,492,010	)		(7,894,508	)		(81,970,286	)
Net increase (decrease)		(4,002,243	)	$	(39,445,200	)		1,647,197		$	16,770,713			(2,573,465	)	$	(27,442,936	)
Total Return Bond Fund Service Class
Sold		2,860,295		$	28,744,949			3,477,005		$	35,457,322			7,562,325		$	77,582,745
Issued as reinvestment of dividends		451,372			4,468,584			21,509			218,099			1,320,399			13,373,320
Redeemed		(4,047,132	)		(40,659,409	)		(14,194,969	)		(145,467,975	)		(12,670,588	)		(131,605,604	)
Net increase (decrease)		(735,465	)	$	(7,445,876	)		(10,696,455	)	$	(109,792,554	)		(3,787,864	)	$	(40,649,539	)
Total Return Bond Fund Administrative Class
Sold		1,294,131		$	12,904,991			1,643,329		$	16,634,358			2,556,239		$	26,330,652
Issued as reinvestment of dividends		181,285			1,783,840			8,352			84,192			368,207			3,707,342
Redeemed		(1,583,078	)		(15,906,887	)		(1,410,528	)		(14,274,405	)		(5,021,600	)		(51,791,307	)
Net increase (decrease)		(107,662	)	$	(1,218,056	)		241,153		$	2,444,145			(2,097,154	)	$	(21,753,313	)

253

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Total Return Bond Fund Class A*
Sold		140,737		$	1,420,407			185,423		$	1,892,536			11,343		$	116,031
Issued as reinvestment of dividends		4,231			41,765			173			1,752			408			4,130
Redeemed		(104,011	)		(1,048,751	)		(146	)		(1,477	)		-			-
Net increase (decrease)		40,957		$	413,421			185,450		$	1,892,811			11,751		$	120,161
Total Return Bond Fund Class R4
Sold		1,639,015		$	16,431,048			3,368,318		$	34,374,865			3,733,242		$	38,656,555
Issued as reinvestment of dividends		647,495			6,410,199			31,833			322,470			1,558,586			15,800,276
Redeemed		(4,195,787	)		(42,167,248	)		(8,366,538	)		(85,230,152	)		(12,855,734	)		(132,876,051	)
Net increase (decrease)		(1,909,277	)	$	(19,326,001	)		(4,966,387	)	$	(50,532,817	)		(7,563,906	)	$	(78,419,220	)
Total Return Bond Fund Class R3
Sold		670,097		$	6,688,725			946,344		$	9,556,029			1,181,182		$	12,129,982
Issued as reinvestment of dividends		85,167			838,891			4,726			47,546			183,386			1,848,059
Redeemed		(1,075,940	)		(10,720,719	)		(1,006,269	)		(10,178,692	)		(1,301,597	)		(13,439,309	)
Net increase (decrease)		(320,676	)	$	(3,193,103	)		(55,199	)	$	(575,117	)		62,971		$	538,732
Strategic Bond Fund Class I*
Sold		2,409,805		$	24,466,176			3,025,648		$	31,176,659			6,168,645		$	62,639,031
Issued as reinvestment of dividends		212,776			2,104,352			1,754			17,943			188,600			1,908,342
Redeemed		(1,152,073	)		(11,659,376	)		(1,717,030	)		(17,650,388	)		(957,212	)		(9,950,212	)
Net increase (decrease)		1,470,508		$	14,911,152			1,310,372		$	13,544,214			5,400,033		$	54,597,161
Strategic Bond Fund Class R5
Sold		1,012,463		$	10,211,163			951,311		$	9,779,066			1,561,380		$	15,913,455
Issued as reinvestment of dividends		147,672			1,461,955			1,316			13,473			138,486			1,402,720
Redeemed		(445,837	)		(4,514,415	)		(598,462	)		(6,165,817	)		(5,437,813	)		(54,956,959	)
Net increase (decrease)		714,298		$	7,158,703			354,165		$	3,626,722			(3,737,947	)	$	(37,640,784	)
Strategic Bond Fund Service Class
Sold		1,238,445		$	12,595,473			1,652,021		$	16,950,578			1,394,835		$	14,309,448
Issued as reinvestment of dividends		182,129			1,803,081			1,542			15,779			165,370			1,675,049
Redeemed		(2,284,352	)		(22,767,475	)		(882,568	)		(9,065,280	)		(346,261	)		(3,586,076	)
Net increase (decrease)		(863,778	)	$	(8,368,921	)		770,995		$	7,901,077			1,213,944		$	12,398,421
Strategic Bond Fund Administrative Class
Sold		710,625		$	7,114,032			1,589,064		$	16,242,243			1,468,557		$	15,123,074
Issued as reinvestment of dividends		89,506			885,218			974			9,938			81,888			827,689
Redeemed		(575,080	)		(5,863,746	)		(741,869	)		(7,540,944	)		(273,046	)		(2,804,308	)
Net increase (decrease)		225,051		$	2,135,504			848,169		$	8,711,237			1,277,399		$	13,146,455
Strategic Bond Fund Class A
Sold		717,198		$	7,179,436			1,417,193		$	14,443,323			926,824		$	9,547,387
Issued as reinvestment of dividends		105,120			1,037,539			992			10,094			95,974			969,209
Redeemed		(484,273	)		(4,838,976	)		(633,228	)		(6,457,971	)		(635,092	)		(6,484,335	)
Net increase (decrease)		338,045		$	3,377,999			784,957		$	7,995,446			387,706		$	4,032,261
Strategic Bond Fund Class R4*
Sold		847,214		$	8,456,303	��		1,802,854		$	18,235,647			9,950		$	100,105
Issued as reinvestment of dividends		43,560			428,630			418			4,254			335			3,382
Redeemed		(216,894	)		(2,191,851	)		(362,794	)		(3,679,622	)		-	++		(4	)
Net increase (decrease)		673,880		$	6,693,082			1,440,478		$	14,560,279			10,285		$	103,483

254

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Strategic Bond Fund Class R3
Sold		260,709		$	2,574,125			244,824		$	2,480,756			103,970		$	1,071,210
Issued as reinvestment of dividends		8,070			79,005			108			1,085			6,142			61,516
Redeemed		(45,604	)		(452,268	)		(153,082	)		(1,545,581	)		(13,225	)		(134,917	)
Net increase (decrease)		223,175		$	2,200,862			91,850		$	936,260			96,887		$	997,809
Diversified Value Fund Class I*
Sold		9,643,664		$	133,705,771			1,436,181		$	21,221,657			7,567,056		$	106,623,048
Issued as reinvestment of dividends		86,337			1,221,667			17,891			253,157			132,204			1,894,736
Redeemed		(840,022	)		(11,831,887	)		(2,481,481	)		(36,978,599	)		(1,112,784	)		(16,114,820	)
Net increase (decrease)		8,889,979		$	123,095,551			(1,027,409	)	$	(15,503,785	)		6,586,476		$	92,402,964
Diversified Value Fund Class R5
Sold		1,078,962		$	14,950,615			1,125,254		$	16,583,302			2,601,260		$	36,426,859
Issued as reinvestment of dividends		212,521			3,009,308			48,422			685,168			306,886			4,403,852
Redeemed		(9,280,597	)		(129,026,249	)		(1,850,492	)		(27,552,935	)		(11,371,523	)		(159,281,963	)
Net increase (decrease)		(7,989,114	)	$	(111,066,326	)		(676,816	)	$	(10,284,465	)		(8,463,377	)	$	(118,451,252	)
Diversified Value Fund Service Class
Sold		80,976		$	1,114,046			205,495		$	3,028,198			177,927		$	2,534,210
Issued as reinvestment of dividends		14,307			202,722			3,490			49,357			19,836			284,578
Redeemed		(427,246	)		(5,817,509	)		(195,566	)		(2,897,941	)		(717,568	)		(9,501,946	)
Net increase (decrease)		(331,963	)	$	(4,500,741	)		13,419		$	179,614			(519,805	)	$	(6,683,158	)
Diversified Value Fund Administrative Class
Sold		18,140		$	253,990			70,463		$	1,052,336			222,790		$	3,252,863
Issued as reinvestment of dividends		4,700			66,927			1,445			20,511			10,984			158,192
Redeemed		(96,689	)		(1,346,092	)		(259,643	)		(3,970,037	)		(172,479	)		(2,394,920	)
Net increase (decrease)		(73,849	)	$	(1,025,175	)		(187,735	)	$	(2,897,190	)		61,295		$	1,016,135
Diversified Value Fund Class A
Sold		165,123		$	2,275,646			222,090		$	3,251,370			270,051		$	3,840,176
Issued as reinvestment of dividends		12,875			182,440			4,963			69,975			22,872			328,416
Redeemed		(276,087	)		(3,793,809	)		(299,257	)		(4,415,825	)		(498,077	)		(7,136,792	)
Net increase (decrease)		(98,089	)	$	(1,335,723	)		(72,204	)	$	(1,094,480	)		(205,154	)	$	(2,968,200	)
Diversified Value Fund Class R4*
Sold		3,855		$	50,181			13,207		$	196,312			7,222		$	100,105
Issued as reinvestment of dividends		151			2,136			42			588			125			1,789
Redeemed		(376	)		(5,227	)		(58	)		(857	)		-	++		(4	)
Net increase (decrease)		3,630		$	47,090			13,191		$	196,043			7,347		$	101,890
Diversified Value Fund Class R3
Sold		84,619		$	1,166,235			11,417		$	171,743			1,265		$	17,826
Issued as reinvestment of dividends		428			6,062			56			792			172			2,482
Redeemed		(6,390	)		(88,845	)		(6,360	)		(95,922	)		(647	)		(9,378	)
Net increase (decrease)		78,657		$	1,083,452			5,113		$	76,613			790		$	10,930
Fundamental Value Fund Class I
Sold		3,704,093		$	42,838,516			7,068,781		$	95,557,820			11,726,504		$	163,135,040
Issued as reinvestment of dividends		4,701,123			54,156,933			971,011			12,594,012			2,303,702			31,495,322
Redeemed		(2,330,472	)		(27,787,689	)		(3,380,438	)		(47,079,342	)		(4,479,246	)		(63,154,301	)
Net increase (decrease)		6,074,744		$	69,207,760			4,659,354		$	61,072,490			9,550,960		$	131,476,061

255

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Fundamental Value Fund Class R5
Sold		2,633,519		$	31,887,443			1,843,418		$	25,855,879			5,401,394		$	76,019,451
Issued as reinvestment of dividends		4,518,213			52,275,725			1,065,750			13,854,744			3,167,073			43,482,460
Redeemed		(7,837,946	)		(91,247,359	)		(9,298,273	)		(126,557,705	)		(7,996,876	)		(113,228,906	)
Net increase (decrease)		(686,214	)	$	(7,084,191	)		(6,389,105	)	$	(86,847,082	)		571,591		$	6,273,005
Fundamental Value Fund Service Class
Sold		2,016,415		$	25,779,488			636,291		$	8,843,016			2,001,363		$	28,233,572
Issued as reinvestment of dividends		1,886,001			21,745,589			385,293			4,989,545			1,172,410			16,033,245
Redeemed		(3,755,191	)		(43,592,003	)		(3,214,291	)		(45,170,669	)		(3,458,729	)		(48,171,091	)
Net increase (decrease)		147,225		$	3,933,074			(2,192,707	)	$	(31,338,108	)		(284,956	)	$	(3,904,274	)
Fundamental Value Fund Administrative Class
Sold		399,684		$	4,670,786			1,109,389		$	15,387,968			1,820,385		$	25,427,872
Issued as reinvestment of dividends		1,042,492			12,082,482			248,372			3,231,319			715,302			9,858,080
Redeemed		(1,313,050	)		(15,930,081	)		(1,944,132	)		(27,148,185	)		(4,053,689	)		(57,705,459	)
Net increase (decrease)		129,126		$	823,187			(586,371	)	$	(8,528,898	)		(1,518,002	)	$	(22,419,507	)
Fundamental Value Fund Class A
Sold		463,144		$	5,421,146			588,520		$	8,122,915			1,086,897		$	15,133,078
Issued as reinvestment of dividends		1,760,850			20,196,951			419,771			5,398,259			1,199,791			16,363,720
Redeemed		(1,206,201	)		(14,694,071	)		(2,736,156	)		(37,691,444	)		(6,932,280	)		(96,333,318	)
Net increase (decrease)		1,017,793		$	10,924,026			(1,727,865	)	$	(24,170,270	)		(4,645,592	)	$	(64,836,520	)
Fundamental Value Fund Class R4*
Sold		7,728		$	99,102			143,990		$	1,924,195			7,285		$	100,105
Issued as reinvestment of dividends		19,957			227,308			2,786			35,747			598			8,123
Redeemed		(17,361	)		(203,601	)		(4,837	)		(63,537	)		-	++		(4	)
Net increase (decrease)		10,324		$	122,809			141,939		$	1,896,405			7,883		$	108,224
Fundamental Value Fund Class R3
Sold		37,450		$	476,041			12,120		$	169,953			20,949		$	280,684
Issued as reinvestment of dividends		13,210			149,936			2,269			28,952			6,619			89,543
Redeemed		(10,878	)		(129,448	)		(11,950	)		(164,543	)		(49,393	)		(682,475	)
Net increase (decrease)		39,782		$	496,529			2,439		$	34,362			(21,825	)	$	(312,248	)
Large Cap Value Fund Class I*
Sold		1,792,478		$	12,704,862			2,361,348		$	19,321,026			16,338,285		$	158,815,916
Issued as reinvestment of dividends		1,382,960			9,417,956			64,625			507,956			2,967,180			24,081,651
Redeemed		(1,107,609	)		(7,696,464	)		(12,507,908	)		(104,138,849	)		(1,328,513	)		(12,830,215	)
Net increase (decrease)		2,067,829		$	14,426,354			(10,081,935	)	$	(84,309,867	)		17,976,952		$	170,067,352
Large Cap Value Fund Class R5
Sold		141,376		$	1,001,504			377,055		$	3,036,783			1,727,304		$	16,372,761
Issued as reinvestment of dividends		2,314,952			15,811,123			149,314			1,173,602			3,422,426			27,854,550
Redeemed		(4,645,014	)		(33,618,131	)		(5,027,049	)		(40,151,766	)		(19,999,251	)		(195,042,573	)
Net increase (decrease)		(2,188,686	)	$	(16,805,504	)		(4,500,680	)	$	(35,941,381	)		(14,849,521	)	$	(150,815,262	)
Large Cap Value Fund Service Class
Sold		51,886		$	355,119			278,662		$	2,307,007			272,500		$	2,616,460
Issued as reinvestment of dividends		197,196			1,350,789			10,243			80,714			270,035			2,211,761
Redeemed		(553,408	)		(3,774,654	)		(651,063	)		(5,308,377	)		(2,583,385	)		(25,270,397	)
Net increase (decrease)		(304,326	)	$	(2,068,746	)		(362,158	)	$	(2,920,656	)		(2,040,850	)	$	(20,442,176	)

256

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Large Cap Value Fund Administrative Class
Sold		64,563		$	458,205			144,083		$	1,177,492			244,875		$	2,301,666
Issued as reinvestment of dividends		292,563			1,995,283			17,301			135,466			498,751			4,052,167
Redeemed		(461,949	)		(3,438,282	)		(1,130,733	)		(9,350,884	)		(773,823	)		(7,386,418	)
Net increase (decrease)		(104,823	)	$	(984,794	)		(969,349	)	$	(8,037,926	)		(30,197	)	$	(1,032,585	)
Large Cap Value Fund Class A
Sold		98,956		$	695,162			212,441		$	1,727,564			309,369		$	2,953,813
Issued as reinvestment of dividends		644,641			4,390,007			38,153			297,975			1,064,648			8,644,653
Redeemed		(872,692	)		(6,192,606	)		(1,850,721	)		(15,017,305	)		(2,259,924	)		(20,798,349	)
Net increase (decrease)		(129,095	)	$	(1,107,437	)		(1,600,127	)	$	(12,991,766	)		(885,907	)	$	(9,199,883	)
Large Cap Value Fund Class R4*
Sold		-		$	-			-		$	-			10,438		$	100,100
Issued as reinvestment of dividends		2			13			-	++		1			2,039			16,468
Redeemed		-			-			-			-			-			-
Net increase (decrease)		2		$	13			-		$	1			12,477		$	116,568
Large Cap Value Fund Class R3
Sold		-		$	-			123		$	978			1,823		$	17,651
Issued as reinvestment of dividends		1,543			10,277			90			684			1,942			15,465
Redeemed		(1,012	)		(8,072	)		(1,178	)		(9,616	)		(4,434	)		(42,275	)
Net increase (decrease)		531		$	2,205			(965	)	$	(7,954	)		(669	)	$	(9,159	)
S&P 500 Index Fund Class I
Sold		5,016,567		$	89,338,794			20,921,260		$	390,227,718			12,183,415		$	217,601,722
Issued as reinvestment of dividends		2,041,101			36,719,405			127,884			2,314,697			1,221,280			21,873,108
Redeemed		(2,541,363	)		(45,886,238	)		(5,290,996	)		(100,117,177	)		(5,634,441	)		(99,926,880	)
Net increase (decrease)		4,516,305		$	80,171,961			15,758,148		$	292,425,238			7,770,254		$	139,547,950
S&P 500 Index Fund Class R5
Sold		4,476,698		$	79,457,553			6,193,493		$	114,817,033			7,198,904		$	128,426,647
Issued as reinvestment of dividends		1,795,938			32,380,770			144,893			2,625,457			2,092,279			37,535,493
Redeemed		(11,013,787	)		(196,956,155	)		(10,585,672	)		(193,909,227	)		(14,242,495	)		(256,137,157	)
Net increase (decrease)		(4,741,151	)	$	(85,117,832	)		(4,247,286	)	$	(76,466,737	)		(4,951,312	)	$	(90,175,017	)
S&P 500 Index Fund Service Class
Sold		3,226,781		$	57,807,743			5,154,855		$	96,344,871			8,697,056		$	155,811,713
Issued as reinvestment of dividends		1,337,922			24,162,868			102,609			1,860,292			1,482,031			26,632,100
Redeemed		(4,907,750	)		(88,075,069	)		(8,503,630	)		(158,101,863	)		(6,354,912	)		(115,441,223	)
Net increase (decrease)		(343,047	)	$	(6,104,458	)		(3,246,166	)	$	(59,896,700	)		3,824,175		$	67,002,590
S&P 500 Index Fund Administrative Class**
Sold		2,913,212		$	50,918,998			4,014,481		$	73,662,102			6,678,377		$	118,523,155
Issued - merger		-			-			-			-			9,172,137			156,751,820
Issued as reinvestment of dividends		956,766			17,068,708			81,889			1,465,815			1,110,393			19,720,586
Redeemed		(4,776,474	)		(85,924,017	)		(5,925,310	)		(109,738,959	)		(6,537,496	)		(117,420,416	)
Net increase (decrease)		(906,496	)	$	(17,936,311	)		(1,828,940	)	$	(34,611,042	)		10,423,411		$	177,575,145
S&P 500 Index Fund Class L**
Sold														471,818		$	7,946,754
Issued as reinvestment of dividends														-			-
Redeemed														(1,457,981	)		(24,202,166	)
Redemptions-merger														(9,167,924	)		(156,751,820	)
Net increase (decrease)														(10,154,087	)	$	(173,007,232	)

257

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
S&P 500 Index Fund Class A*
Sold		484,024		$	8,245,232			548,409		$	9,941,627			181,606		$	3,338,659
Issued as reinvestment of dividends		32,110			566,095			1,464			25,931			216			3,797
Redeemed		(51,234	)		(894,622	)		(43,574	)		(801,710	)		-			-
Net increase (decrease)		464,900		$	7,916,705			506,299		$	9,165,848			181,822		$	3,342,456
S&P 500 Index Fund Class R4
Sold		4,214,520		$	73,665,523			5,479,026		$	100,128,550			4,939,611		$	86,075,620
Issued as reinvestment of dividends		1,125,782			19,926,344			88,028			1,562,509			1,069,986			18,863,853
Redeemed		(3,539,100	)		(62,025,351	)		(4,401,643	)		(80,184,606	)		(7,986,542	)		(141,390,149	)
Net increase (decrease)		1,801,202		$	31,566,516			1,165,411		$	21,506,453			(1,976,945	)	$	(36,450,676	)
S&P 500 Index Fund Class R3
Sold		2,126,450		$	36,899,699			1,434,122		$	26,083,776			94,950		$	1,680,895
Issued as reinvestment of dividends		88,139			1,537,139			3,957			69,412			11,779			205,539
Redeemed		(94,666	)		(1,599,763	)		(191,128	)		(3,342,970	)		(197,798	)		(3,552,477	)
Net increase (decrease)		2,119,923		$	36,837,075			1,246,951		$	22,810,218			(91,069	)	$	(1,666,043	)
Focused Value Fund Class I
Sold		1,687,241		$	29,418,033			3,119,611		$	70,682,518			2,959,862		$	70,759,031
Issued as reinvestment of dividends		2,177,077			37,402,189			136,615			2,785,570			1,319,420			29,283,066
Redeemed		(1,101,881	)		(19,616,840	)		(1,882,228	)		(41,690,763	)		(1,633,311	)		(38,578,137	)
Net increase (decrease)		2,762,437		$	47,203,382			1,373,998		$	31,777,325			2,645,971		$	61,463,960
Focused Value Fund Class R5
Sold		458,848		$	7,745,418			1,067,491		$	23,553,021			2,212,211		$	53,299,969
Issued as reinvestment of dividends		2,206,746			38,022,230			151,955			3,102,930			1,993,602			44,464,918
Redeemed		(2,285,204	)		(40,874,191	)		(3,568,686	)		(80,786,074	)		(2,920,057	)		(68,731,101	)
Net increase (decrease)		380,390		$	4,893,457			(2,349,240	)	$	(54,130,123	)		1,285,756		$	29,033,786
Focused Value Fund Service Class
Sold		399,056		$	6,931,693			453,235		$	9,907,101			1,123,541		$	26,831,292
Issued as reinvestment of dividends		741,552			12,606,386			48,592			980,581			607,080			13,377,310
Redeemed		(592,384	)		(10,571,606	)		(898,027	)		(19,648,792	)		(1,608,468	)		(37,541,420	)
Net increase (decrease)		548,224		$	8,966,473			(396,200	)	$	(8,761,110	)		122,153		$	2,667,182
Focused Value Fund Administrative Class
Sold		373,419		$	6,409,233			793,614		$	17,206,308			1,179,417		$	27,632,533
Issued as reinvestment of dividends		946,229			15,934,490			63,718			1,274,361			709,989			15,552,785
Redeemed		(663,061	)		(12,005,865	)		(707,281	)		(15,439,622	)		(1,457,633	)		(34,171,997	)
Net increase (decrease)		656,587		$	10,337,858			150,051		$	3,041,047			431,773		$	9,013,321
Focused Value Fund Class A
Sold		340,351		$	5,914,212			657,932		$	13,870,012			1,140,675		$	25,757,217
Issued as reinvestment of dividends		1,899,937			30,949,974			128,106			2,486,539			1,409,894			30,021,703
Redeemed		(1,389,553	)		(22,701,002	)		(1,369,908	)		(28,918,300	)		(1,801,589	)		(41,039,845	)
Net increase (decrease)		850,735		$	14,163,184			(583,870	)	$	(12,561,749	)		748,980		$	14,739,075
Focused Value Fund Class R4*
Sold		140,614		$	2,610,061			92,311		$	1,958,967			4,499		$	100,105
Issued as reinvestment of dividends		38,939			630,424			1,079			20,937			726			15,429
Redeemed		(46,595	)		(722,620	)		(6,901	)		(143,073	)		-	++		(4	)
Net increase (decrease)		132,958		$	2,517,865			86,489		$	1,836,831			5,225		$	115,530

258

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Focused Value Fund Class R3
Sold		66,236		$	1,157,425			109,902		$	2,212,406			10,930		$	239,546
Issued as reinvestment of dividends		34,081			529,625			1,460			27,322			4,701			96,559
Redeemed		(20,954	)		(372,676	)		(14,993	)		(311,422	)		(14,745	)		(329,618	)
Net increase (decrease)		79,363		$	1,314,374			96,369		$	1,928,306			886		$	6,487
Fundamental Growth Fund Class I*
Sold		1,540,140		$	12,332,270			2,347,055		$	19,606,078			11,000,743		$	94,182,688
Issued as reinvestment of dividends		1,141,055			8,820,353			34,423			286,058			1,266,055			10,181,561
Redeemed		(1,931,164	)		(15,404,071	)		(3,561,077	)		(30,341,662	)		(1,707,430	)		(14,926,140	)
Net increase (decrease)		750,031		$	5,748,552			(1,179,599	)	$	(10,449,526	)		10,559,368		$	89,438,109
Fundamental Growth Fund Class R5
Sold		177,921		$	1,405,482			169,548		$	1,422,774			936,174		$	7,936,420
Issued as reinvestment of dividends		301,142			2,333,849			9,059			75,368			305,142			2,460,188
Redeemed		(327,134	)		(2,479,312	)		(258,206	)		(2,168,283	)		(8,993,364	)		(76,816,211	)
Net increase (decrease)		151,929		$	1,260,019			(79,599	)	$	(670,141	)		(7,752,048	)	$	(66,419,603	)
Fundamental Growth Fund Service Class
Sold		113,542		$	889,675			71,007		$	593,397			182,881		$	1,533,069
Issued as reinvestment of dividends		90,112			686,651			2,654			21,733			102,126			811,176
Redeemed		(81,941	)		(621,759	)		(207,940	)		(1,731,144	)		(168,157	)		(1,420,613	)
Net increase (decrease)		121,713		$	954,567			(134,279	)	$	(1,116,014	)		116,850		$	923,632
Fundamental Growth Fund Administrative Class
Sold		181,144		$	1,445,930			299,843		$	2,423,845			429,271		$	3,599,551
Issued as reinvestment of dividends		163,998			1,225,067			4,912			39,495			179,970			1,405,019
Redeemed		(204,558	)		(1,511,192	)		(218,724	)		(1,821,177	)		(731,559	)		(6,051,325	)
Net increase (decrease)		140,584		$	1,159,805			86,031		$	642,163			(122,318	)	$	(1,046,755	)
Fundamental Growth Fund Class A
Sold		195,001		$	1,429,245			330,125		$	2,586,341			588,039		$	4,683,491
Issued as reinvestment of dividends		280,669			2,020,819			9,303			72,193			380,934			2,879,218
Redeemed		(375,910	)		(2,782,050	)		(1,120,201	)		(8,862,774	)		(840,876	)		(6,834,024	)
Net increase (decrease)		99,760		$	668,014			(780,773	)	$	(6,204,240	)		128,097		$	728,685
Fundamental Growth Fund Class R4*
Sold		62,776		$	447,622			11,433		$	85,074			12,591		$	100,105
Issued as reinvestment of dividends		2,677			19,193			-	++		1			1,787			13,481
Redeemed		(11,134	)		(77,908	)		(3	)		(23	)		-	++		(4	)
Net increase (decrease)		54,319		$	388,907			11,430		$	85,052			14,378		$	113,582
Fundamental Growth Fund Class R3
Sold		155,395		$	1,066,530			31,773		$	238,277			19,699		$	153,507
Issued as reinvestment of dividends		8,254			56,456			46			344			4,521			32,814
Redeemed		(28,634	)		(190,561	)		(18,425	)		(142,202	)		(45,708	)		(341,723	)
Net increase (decrease)		135,015		$	932,425			13,394		$	96,419			(21,488	)	$	(155,402	)
Blue Chip Growth Fund Class I*
Sold		6,447,893		$	99,921,411			4,695,810		$	84,124,483			15,826,162		$	278,717,462
Issued as reinvestment of dividends		3,535,563			56,356,872			151,026			2,722,994			1,084,756			18,256,444
Redeemed		(1,254,969	)		(19,984,412	)		(2,048,141	)		(37,730,437	)		(1,324,507	)		(23,460,463	)
Net increase (decrease)		8,728,487		$	136,293,871			2,798,695		$	49,117,040			15,586,411		$	273,513,443

259

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Blue Chip Growth Fund Class R5
Sold		3,181,833		$	52,444,607			2,329,260		$	42,047,907			13,966,347		$	237,511,545
Issued as reinvestment of dividends		4,920,932			78,390,455			246,851			4,445,803			2,244,422			37,728,727
Redeemed		(9,953,856	)		(158,186,051	)		(6,530,938	)		(118,656,159	)		(14,766,902	)		(257,263,758	)
Net increase (decrease)		(1,851,091	)	$	(27,350,989	)		(3,954,827	)	$	(72,162,449	)		1,443,867		$	17,976,514
Blue Chip Growth Fund Service Class
Sold		3,474,309		$	57,080,739			3,732,366		$	67,880,382			1,201,709		$	20,533,484
Issued as reinvestment of dividends		2,373,491			37,501,158			99,125			1,772,363			654,157			10,930,968
Redeemed		(2,153,798	)		(34,017,275	)		(1,486,939	)		(26,672,445	)		(3,823,221	)		(66,915,590	)
Net increase (decrease)		3,694,002		$	60,564,622			2,344,552		$	42,980,300			(1,967,355	)	$	(35,451,138	)
Blue Chip Growth Fund Administrative Class
Sold		1,174,273		$	19,219,185			2,101,316		$	36,896,532			2,797,805		$	47,462,078
Issued as reinvestment of dividends		2,486,046			38,807,167			120,128			2,123,862			1,104,412			18,266,974
Redeemed		(1,053,228	)		(17,416,416	)		(4,343,828	)		(77,102,819	)		(2,926,568	)		(49,879,617	)
Net increase (decrease)		2,607,091		$	40,609,936			(2,122,384	)	$	(38,082,425	)		975,649		$	15,849,435
Blue Chip Growth Fund Class A
Sold		1,171,645		$	17,980,537			1,066,089		$	18,307,267			1,435,111		$	23,726,637
Issued as reinvestment of dividends		1,771,499			26,643,341			83,921			1,435,893			710,681			11,392,210
Redeemed		(1,150,747	)		(17,202,494	)		(1,501,012	)		(25,756,654	)		(3,784,449	)		(62,211,123	)
Net increase (decrease)		1,792,397		$	27,421,384			(351,002	)	$	(6,013,494	)		(1,638,657	)	$	(27,092,276	)
Blue Chip Growth Fund Class R4*
Sold		759,602		$	11,245,699			1,229,330		$	21,577,414			43,785		$	772,937
Issued as reinvestment of dividends		262,389			3,943,711			10,613			181,915			3,387			54,367
Redeemed		(117,101	)		(1,751,174	)		(77,483	)		(1,371,947	)		(2	)		(30	)
Net increase (decrease)		904,890		$	13,438,236			1,162,460		$	20,387,382			47,170		$	827,274
Blue Chip Growth Fund Class R3
Sold		577,429		$	8,403,290			197,213		$	3,281,017			52,019		$	786,953
Issued as reinvestment of dividends		81,837			1,163,726			1,882			30,819			5,002			76,884
Redeemed		(31,130	)		(466,015	)		(4,716	)		(77,398	)		(61,524	)		(967,817	)
Net increase (decrease)		628,136		$	9,101,001			194,379		$	3,234,438			(4,503	)	$	(103,980	)
Growth Opportunities Fund Class I
Sold		5,505,599		$	58,384,339			14,459,205		$	173,799,599			15,383,010		$	179,452,094
Issued as reinvestment of dividends		3,586,120			38,981,121			763,029			8,835,876			1,574,099			18,343,315
Redeemed		(6,507,231	)		(69,735,407	)		(9,435,314	)		(116,462,279	)		(3,102,295	)		(36,629,897	)
Net increase (decrease)		2,584,488		$	27,630,053			5,786,920		$	66,173,196			13,854,814		$	161,165,512
Growth Opportunities Fund Class R5
Sold		684,464		$	7,307,884			4,071,387		$	49,383,935			3,770,649		$	44,509,774
Issued as reinvestment of dividends		2,204,066			23,803,912			501,000			5,771,522			1,383,377			16,052,750
Redeemed		(2,456,759	)		(26,780,758	)		(7,405,536	)		(88,231,300	)		(11,999,938	)		(140,501,582	)
Net increase (decrease)		431,771		$	4,331,038			(2,833,149	)	$	(33,075,843	)		(6,845,912	)	$	(79,939,058	)
Growth Opportunities Fund Service Class
Sold		1,511,122		$	16,700,914			2,440,722		$	28,659,941			6,568,226		$	73,875,210
Issued as reinvestment of dividends		1,686,949			17,831,054			350,196			3,960,722			830,060			9,465,425
Redeemed		(817,394	)		(8,415,349	)		(2,487,799	)		(28,779,267	)		(1,395,197	)		(15,953,684	)
Net increase (decrease)		2,380,677		$	26,116,619			303,119		$	3,841,396			6,003,089		$	67,386,951

260

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Growth Opportunities Fund Administrative Class
Sold		600,597		$	6,165,779			1,950,687		$	22,353,548			4,201,422		$	47,493,854
Issued as reinvestment of dividends		1,211,646			12,455,718			251,418			2,773,139			807,443			8,996,527
Redeemed		(1,598,262	)		(15,983,791	)		(4,892,403	)		(55,003,818	)		(2,142,511	)		(23,789,962	)
Net increase (decrease)		213,981		$	2,637,706			(2,690,298	)	$	(29,877,131	)		2,866,354		$	32,700,419
Growth Opportunities Fund Class A
Sold		429,770		$	4,029,201			1,499,511		$	16,259,284			2,729,944		$	29,479,935
Issued as reinvestment of dividends		1,704,082			16,597,761			394,196			4,146,940			1,087,780			11,605,518
Redeemed		(2,756,268	)		(25,598,090	)		(4,185,976	)		(45,916,195	)		(3,340,778	)		(36,141,174	)
Net increase (decrease)		(622,416	)	$	(4,971,128	)		(2,292,269	)	$	(25,509,971	)		476,946		$	4,944,279
Growth Opportunities Fund Class R4*
Sold		534,429		$	5,422,004			308,793		$	3,405,926			9,470		$	100,105
Issued as reinvestment of dividends		65,563			639,893			5,679			59,853			660			7,042
Redeemed		(85,954	)		(772,264	)		(44,967	)		(477,308	)		-	++		(4	)
Net increase (decrease)		514,038		$	5,289,633			269,505		$	2,988,471			10,130		$	107,143
Growth Opportunities Fund Class R3
Sold		17,995		$	161,932			75,169		$	794,864			9,264		$	93,791
Issued as reinvestment of dividends		10,153			93,106			1,950			19,463			297			3,016
Redeemed		(9,965	)		(86,639	)		(9,878	)		(100,932	)		(172	)		(1,852	)
Net increase (decrease)		18,183		$	168,399			67,241		$	713,395			9,389		$	94,955
Mid-Cap Value Fund Class I
Sold		1,014,507		$	13,371,587			2,791,239		$	41,954,534			5,107,947		$	78,295,165
Issued as reinvestment of dividends		1,173,829			14,226,812			96,087			1,376,932			232,903			3,409,347
Redeemed		(4,404,077	)		(61,671,280	)		(2,184,807	)		(33,201,315	)		(1,233,919	)		(18,822,248	)
Net increase (decrease)		(2,215,741	)	$	(34,072,881	)		702,519		$	10,130,151			4,106,931		$	62,882,264
Mid-Cap Value Fund Class R5
Sold		40,552		$	510,093			176,515		$	2,675,728			557,851		$	8,455,919
Issued as reinvestment of dividends		79,014			963,968			11,786			169,477			31,721			467,641
Redeemed		(253,306	)		(3,389,187	)		(774,201	)		(11,124,109	)		(4,962,038	)		(75,648,879	)
Net increase (decrease)		(133,740	)	$	(1,915,126	)		(585,900	)	$	(8,278,904	)		(4,372,466	)	$	(66,725,319	)
Mid-Cap Value Fund Service Class
Sold		17,321		$	198,725			6,673		$	103,511			259,718		$	3,815,460
Issued as reinvestment of dividends		34,484			419,323			2,194			31,478			8,071			118,452
Redeemed		(6,322	)		(80,799	)		(141,309	)		(2,184,530	)		(114,313	)		(1,731,914	)
Net increase (decrease)		45,483		$	537,249			(132,442	)	$	(2,049,541	)		153,476		$	2,201,998
Mid-Cap Value Fund Administrative Class
Sold		801		$	10,476			36,743		$	571,363			43,178		$	662,050
Issued as reinvestment of dividends		2,965			36,593			369			5,322			1,676			24,791
Redeemed		(3,413	)		(46,155	)		(92,060	)		(1,390,436	)		(258,124	)		(3,815,002	)
Net increase (decrease)		353		$	914			(54,948	)	$	(813,751	)		(213,270	)	$	(3,128,161	)
Mid-Cap Value Fund Class A
Sold		23,372		$	293,506			30,100		$	455,440			89,166		$	1,331,325
Issued as reinvestment of dividends		27,545			335,769			2,147			30,700			7,974			116,959
Redeemed		(38,660	)		(495,200	)		(241,986	)		(3,623,213	)		(134,702	)		(2,040,468	)
Net increase (decrease)		12,257		$	134,075			(209,739	)	$	(3,137,073	)		(37,562	)	$	(592,184	)

261

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Mid-Cap Value Fund Class R4*
Sold		-		$	-			7		$	100			6,668		$	100,106
Issued as reinvestment of dividends		2			28			-	++		2			161			2,351
Redeemed		-			-			-			-			-	++		(4	)
Net increase (decrease)		2		$	28			7		$	102			6,829		$	102,453
Mid-Cap Value Fund Class R3
Sold		771		$	9,436			306		$	4,633			578		$	8,687
Issued as reinvestment of dividends		1,146			13,852			71			993			138			2,017
Redeemed		(383	)		(5,040	)		(841	)		(12,951	)		(254	)		(3,894	)
Net increase (decrease)		1,534		$	18,248			(464	)	$	(7,325	)		462		$	6,810
Small Cap Value Equity Fund Class I*
Sold		4,016,275		$	58,520,489			1,635,318		$	25,917,220			4,578,495		$	69,867,656
Issued as reinvestment of dividends		186,610			2,730,108			348			5,250			27,368			410,790
Redeemed		(1,142,322	)		(16,087,099	)		(972,229	)		(15,398,495	)		(764,448	)		(11,543,349	)
Net increase (decrease)		3,060,563		$	45,163,498			663,437		$	10,523,975			3,841,415		$	58,735,097
Small Cap Value Equity Fund Class R5
Sold		374,593		$	5,601,215			621,881		$	9,625,448			821,569		$	12,258,579
Issued as reinvestment of dividends		243,625			3,566,662			493			7,433			37,367			561,623
Redeemed		(3,627,915	)		(52,949,765	)		(444,619	)		(7,173,194	)		(3,910,279	)		(59,777,640	)
Net increase (decrease)		(3,009,697	)	$	(43,781,888	)		177,755		$	2,459,687			(3,051,343	)	$	(46,957,438	)
Small Cap Value Equity Fund Service Class
Sold		258,424		$	4,099,448			159,554		$	2,529,601			68,762		$	1,003,370
Issued as reinvestment of dividends		17,628			258,786			17			257			218			3,287
Redeemed		(45,816	)		(670,384	)		(29,412	)		(458,254	)		(328,514	)		(4,936,520	)
Net increase (decrease)		230,236		$	3,687,850			130,159		$	2,071,604			(259,534	)	$	(3,929,863	)
Small Cap Value Equity Fund Administrative Class
Sold		15,691		$	229,261			262,360		$	4,172,545			46,458		$	689,385
Issued as reinvestment of dividends		10,263			150,036			32			482			958			14,370
Redeemed		(156,117	)		(2,467,321	)		(90,145	)		(1,481,585	)		(99,293	)		(1,479,025	)
Net increase (decrease)		(130,163	)	$	(2,088,024	)		172,247		$	2,691,442			(51,877	)	$	(775,270	)
Small Cap Value Equity Fund Class A
Sold		67,273		$	970,259			144,748		$	2,296,606			76,932		$	1,140,711
Issued as reinvestment of dividends		15,791			230,384			36			541			677			10,138
Redeemed		(63,522	)		(876,363	)		(111,650	)		(1,718,016	)		(104,823	)		(1,547,251	)
Net increase (decrease)		19,542		$	324,280			33,134		$	579,131			(27,214	)	$	(396,402	)
Small Cap Value Equity Fund Class R4*
Sold		39,194		$	615,049			42,404		$	654,884			6,664		$	100,105
Issued as reinvestment of dividends		2,729			39,618			1			19			25			374
Redeemed		(12,477	)		(178,975	)		(5,046	)		(75,632	)		-	++		(4	)
Net increase (decrease)		29,446		$	475,692			37,359		$	579,271			6,689		$	100,475

262

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Small Cap Value Equity Fund Class R3*
Sold		9,039		$	124,667			1,803		$	27,225			6,657		$	100,002
Issued as reinvestment of dividends		137			1,996			-			-			13			187
Redeemed		(361	)		(5,625	)		(1	)		(14	)		-	++		(2	)
Net increase (decrease)		8,815		$	121,038			1,802		$	27,211			6,670		$	100,187
Small Company Value Fund Class I
Sold		1,009,794		$	11,090,050			2,078,209		$	29,514,990			1,827,234		$	29,756,367
Issued as reinvestment of dividends		2,891,985			29,209,049			145,563			1,951,998			1,438,057			19,910,627
Redeemed		(1,250,126	)		(13,941,490	)		(1,804,028	)		(25,446,725	)		(1,754,954	)		(28,559,990	)
Net increase (decrease)		2,651,653		$	26,357,609			419,744		$	6,020,263			1,510,337		$	21,107,004
Small Company Value Fund Class R5
Sold		289,434		$	3,002,079			315,301		$	4,489,368			1,017,860		$	16,761,642
Issued as reinvestment of dividends		2,704,641			27,452,111			172,009			2,313,519			2,239,865			31,154,942
Redeemed		(3,009,339	)		(32,318,457	)		(5,066,016	)		(70,400,471	)		(4,269,944	)		(71,440,100	)
Net increase (decrease)		(15,264	)	$	(1,864,267	)		(4,578,706	)	$	(63,597,584	)		(1,012,219	)	$	(23,523,516	)
Small Company Value Fund Service Class
Sold		104,998		$	1,093,646			107,179		$	1,542,459			561,088		$	9,174,062
Issued as reinvestment of dividends		388,961			3,932,394			19,572			262,066			411,998			5,708,369
Redeemed		(150,958	)		(1,530,325	)		(1,436,476	)		(20,883,372	)		(1,084,179	)		(17,628,320	)
Net increase (decrease)		343,001		$	3,495,715			(1,309,725	)	$	(19,078,847	)		(111,093	)	$	(2,745,889	)
Small Company Value Fund Administrative Class
Sold		89,322		$	991,139			132,310		$	1,860,464			388,906		$	6,337,834
Issued as reinvestment of dividends		416,894			4,152,265			22,127			292,735			277,700			3,813,989
Redeemed		(325,861	)		(3,432,792	)		(480,038	)		(6,762,202	)		(1,156,543	)		(18,669,429	)
Net increase (decrease)		180,355		$	1,710,612			(325,601	)	$	(4,609,003	)		(489,937	)	$	(8,517,606	)
Small Company Value Fund Class A
Sold		96,921		$	1,032,886			122,838		$	1,683,450			195,593		$	3,089,638
Issued as reinvestment of dividends		737,718			7,155,864			40,459			523,547			514,007			6,917,804
Redeemed		(272,944	)		(2,937,734	)		(823,906	)		(11,268,655	)		(1,301,329	)		(20,357,321	)
Net increase (decrease)		561,695		$	5,251,016			(660,609	)	$	(9,061,658	)		(591,729	)	$	(10,349,879	)
Small Company Value Fund Class R4*
Sold		1,466		$	19,746			7		$	100			6,153		$	100,100
Issued as reinvestment of dividends		359			3,452			-	++		3			1,156			15,463
Redeemed		(343	)		(4,400	)		-			-			-			-
Net increase (decrease)		1,482		$	18,798			7		$	103			7,309		$	115,563
Small Company Value Fund Class R3
Sold		2,199		$	23,760			376		$	4,896			994		$	14,998
Issued as reinvestment of dividends		1,738			15,919			77			952			2,063			26,603
Redeemed		(607	)		(7,627	)		(1,723	)		(23,386	)		(9,726	)		(135,815	)
Net increase (decrease)		3,330		$	32,052			(1,270	)	$	(17,538	)		(6,669	)	$	(94,214	)
S&P Mid Cap Index Fund Class I
Sold		2,147,390		$	26,741,141			2,935,566		$	39,501,935			4,865,632		$	62,508,918
Issued as reinvestment of dividends		649,394			7,825,196			39,002			504,686			443,356			5,601,604
Redeemed		(2,481,648	)		(29,457,479	)		(2,913,115	)		(39,562,371	)		(1,788,217	)		(23,223,691	)
Net increase (decrease)		315,136		$	5,108,858			61,453		$	444,250			3,520,771		$	44,886,831

263

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
S&P Mid Cap Index Fund Class R5
Sold		492,859		$	5,895,069			569,544		$	7,719,408			441,605		$	5,760,583
Issued as reinvestment of dividends		52,494			631,503			3,138			40,508			16,103			202,481
Redeemed		(179,312	)		(2,222,629	)		(81,515	)		(1,087,624	)		(500,577	)		(6,440,896	)
Net increase (decrease)		366,041		$	4,303,943			491,167		$	6,672,292			(42,869	)	$	(477,832	)
S&P Mid Cap Index Fund Service Class
Sold		338,722		$	4,062,008			586,362		$	7,918,925			781,222		$	10,189,485
Issued as reinvestment of dividends		66,663			799,955			4,788			61,578			36,382			456,050
Redeemed		(211,070	)		(2,664,062	)		(210,050	)		(2,801,419	)		(118,798	)		(1,522,099	)
Net increase (decrease)		194,315		$	2,197,901			381,100		$	5,179,084			698,806		$	9,123,436
S&P Mid Cap Index Fund Administrative Class**
Sold		640,262		$	7,798,098			1,083,856		$	14,372,468			2,094,656		$	27,235,166
Issued - merger		-			-			-			-			820,869			10,498,909
Issued as reinvestment of dividends		220,172			2,642,062			13,911			178,890			121,693			1,529,901
Redeemed		(417,318	)		(5,070,507	)		(311,026	)		(4,128,689	)		(772,420	)		(9,567,914	)
Net increase (decrease)		443,116		$	5,369,653			786,741		$	10,422,669			2,264,798		$	29,696,062
S&P Mid Cap Index Fund Class L**
Sold														129,514		$	1,609,378
Issued as reinvestment of dividends														-			-
Redeemed														(91,804	)		(1,152,071	)
Redemptions-merger														(822,022	)		(10,498,909	)
Net increase (decrease)														(784,312	)	$	(10,041,602	)
S&P Mid Cap Index Fund Class A
Sold		709,333		$	8,770,261			769,978		$	10,180,874			1,646,529		$	21,078,704
Issued as reinvestment of dividends		154,785			1,855,870			9,247			118,641			77,453			974,088
Redeemed		(235,410	)		(2,942,609	)		(353,348	)		(4,691,321	)		(243,502	)		(3,113,435	)
Net increase (decrease)		628,708		$	7,683,522			425,877		$	5,608,194			1,480,480		$	18,939,357
S&P Mid Cap Index Fund Class R4*
Sold		935,508		$	11,327,643			1,246,351		$	16,860,722			12,384		$	158,744
Issued as reinvestment of dividends		80,755			965,023			3,827			49,106			345			4,339
Redeemed		(184,232	)		(2,227,203	)		(123,115	)		(1,605,103	)		(2,583	)		(34,357	)
Net increase (decrease)		832,031		$	10,065,463			1,127,063		$	15,304,725			10,146		$	128,726
S&P Mid Cap Index Fund Class R3*
Sold		926,477		$	11,213,034			735,854		$	9,839,400			10,583		$	134,566
Issued as reinvestment of dividends		59,451			709,852			2,043			26,172			286			3,594
Redeemed		(113,053	)		(1,334,464	)		(38,042	)		(500,045	)		-	++		(2	)
Net increase (decrease)		872,875		$	10,588,422			699,855		$	9,365,527			10,869		$	138,158
Russell 2000 Small Cap Index Fund Class I
Sold		1,984,918		$	22,192,112			10,926,433		$	136,230,106			2,967,260		$	38,418,209
Issued as reinvestment of dividends		593,889			6,663,435			8,227			97,899			918,237			10,863,772
Redeemed		(3,106,949	)		(34,453,902	)		(2,482,938	)		(30,933,432	)		(2,824,660	)		(36,721,735	)
Net increase (decrease)		(528,142	)	$	(5,598,355	)		8,451,722		$	105,394,573			1,060,837		$	12,560,246

264

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Russell 2000 Small Cap Index Fund Class R5
Sold		321,045		$	3,490,272			399,539		$	4,997,416			301,116		$	3,811,858
Issued as reinvestment of dividends		27,481			308,615			357			4,253			40,875			484,081
Redeemed		(84,701	)		(952,462	)		(50,177	)		(616,230	)		(978,898	)		(12,841,630	)
Net increase (decrease)		263,825		$	2,846,425			349,719		$	4,385,439			(636,907	)	$	(8,545,691	)
Russell 2000 Small Cap Index Fund Service Class
Sold		248,207		$	2,696,721			308,891		$	3,868,147			566,910		$	7,179,345
Issued as reinvestment of dividends		23,914			266,877			375			4,433			58,611			685,886
Redeemed		(116,507	)		(1,326,371	)		(119,466	)		(1,485,252	)		(167,405	)		(2,118,634	)
Net increase (decrease)		155,614		$	1,637,227			189,800		$	2,387,328			458,116		$	5,746,597
Russell 2000 Small Cap Index Fund Administrative Class**
Sold		801,766		$	8,807,385			875,273		$	10,771,918			1,165,732		$	15,049,179
Issued - merger		-			-			-			-			568,246			7,694,053
Issued as reinvestment of dividends		100,484			1,124,417			1,427			16,884			237,105			2,801,944
Redeemed		(176,708	)		(2,011,021	)		(222,220	)		(2,752,787	)		(438,195	)		(5,450,508	)
Net increase (decrease)		725,542		$	7,920,781			654,480		$	8,036,015			1,532,888		$	20,094,668
Russell 2000 Small Cap Index Fund Class L**
Sold														151,470		$	1,967,808
Issued as reinvestment of dividends														-			-
Redeemed														(18,994	)		(252,140	)
Redemptions-merger														(570,377	)		(7,694,053	)
Net increase (decrease)														(437,901	)	$	(5,978,385	)
Russell 2000 Small Cap Index Fund Class A
Sold		285,868		$	3,163,656			349,772		$	4,289,946			971,480		$	12,592,987
Issued as reinvestment of dividends		42,335			472,035			670			7,896			135,865			1,596,280
Redeemed		(157,497	)		(1,796,701	)		(315,025	)		(3,780,749	)		(267,863	)		(3,451,001	)
Net increase (decrease)		170,706		$	1,838,990			35,417		$	517,093			839,482		$	10,738,266
Russell 2000 Small Cap Index Fund Class R4*
Sold		1,044,311		$	11,471,602			862,576		$	10,801,317			12,594		$	164,043
Issued as reinvestment of dividends		43,772			486,742			398			4,695			1,212			14,257
Redeemed		(108,311	)		(1,168,890	)		(36,747	)		(456,095	)		(1,405	)		(18,223	)
Net increase (decrease)		979,772		$	10,789,454			826,227		$	10,349,917			12,401		$	160,077
Russell 2000 Small Cap Index Fund Class R3*
Sold		766,309		$	8,481,525			525,869		$	6,481,367			10,426		$	135,368
Issued as reinvestment of dividends		29,679			329,730			217			2,558			951			11,206
Redeemed		(62,799	)		(681,956	)		(10,948	)		(133,305	)		-	++		(2	)
Net increase (decrease)		733,189		$	8,129,299			515,138		$	6,350,620			11,377		$	146,572
Mid Cap Growth Equity II Fund Class I
Sold		23,761,839		$	437,115,138			22,870,090		$	449,566,700			7,485,967		$	143,812,519
Issued as reinvestment of dividends		4,524,359			81,664,689			267,844			5,244,373			2,417,129			43,786,734
Redeemed		(4,264,502	)		(75,184,346	)		(3,200,740	)		(63,563,277	)		(2,482,100	)		(47,728,838	)
Net increase (decrease)		24,021,696		$	443,595,481			19,937,194		$	391,247,796			7,420,996		$	139,870,415

265

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Mid Cap Growth Equity II Fund Class R5
Sold		10,227,241		$	185,591,200			9,397,357		$	186,314,944			5,660,180		$	109,032,215
Issued as reinvestment of dividends		3,079,294			55,211,744			258,903			5,040,837			3,765,351			67,957,371
Redeemed		(5,759,808	)		(100,556,905	)		(11,231,122	)		(217,495,085	)		(4,439,917	)		(84,355,158	)
Net increase (decrease)		7,546,727		$	140,246,039			(1,574,862	)	$	(26,139,304	)		4,985,614		$	92,634,428
Mid Cap Growth Equity II Fund Service Class
Sold		2,269,521		$	41,375,058			2,092,413		$	40,643,117			1,932,089		$	36,118,849
Issued as reinvestment of dividends		1,180,675			20,768,068			97,757			1,870,084			1,425,010			25,305,083
Redeemed		(2,011,358	)		(35,112,408	)		(2,493,491	)		(48,613,948	)		(4,810,810	)		(90,597,474	)
Net increase (decrease)		1,438,838		$	27,030,718			(303,321	)	$	(6,100,747	)		(1,453,711	)	$	(29,173,542	)
Mid Cap Growth Equity II Fund Administrative Class
Sold		1,585,575		$	26,440,107			2,453,587		$	46,040,687			2,414,538		$	44,334,771
Issued as reinvestment of dividends		1,779,901			30,187,112			158,882			2,940,916			2,325,776			40,024,588
Redeemed		(3,039,078	)		(51,364,610	)		(2,627,863	)		(48,810,736	)		(5,847,490	)		(107,224,067	)
Net increase (decrease)		326,398		$	5,262,609			(15,394	)	$	170,867			(1,107,176	)	$	(22,864,708	)
Mid Cap Growth Equity II Fund Class A
Sold		964,935		$	15,730,695			1,580,281		$	27,895,467			1,246,539		$	21,682,463
Issued as reinvestment of dividends		1,701,476			27,155,553			149,203			2,612,544			2,235,160			36,490,476
Redeemed		(2,328,149	)		(36,853,537	)		(2,668,071	)		(47,189,051	)		(4,064,481	)		(70,792,839	)
Net increase (decrease)		338,262		$	6,032,711			(938,587	)	$	(16,681,040	)		(582,782	)	$	(12,619,900	)
Mid Cap Growth Equity II Fund Class R4*
Sold		1,390,388		$	22,185,573			528,765		$	9,376,715			153,205		$	2,820,147
Issued as reinvestment of dividends		103,227			1,651,643			3,882			68,126			17,280			278,894
Redeemed		(221,554	)		(3,539,780	)		(21,456	)		(383,244	)		(70	)		(1,205	)
Net increase (decrease)		1,272,061		$	20,297,436			511,191		$	9,061,597			170,415		$	3,097,836
Mid Cap Growth Equity II Fund Class R3
Sold		408,859		$	6,147,375			199,962		$	3,349,409			45,787		$	767,482
Issued as reinvestment of dividends		41,802			625,777			2,134			35,278			20,573			317,456
Redeemed		(71,587	)		(1,052,990	)		(53,575	)		(904,171	)		(40,501	)		(660,997	)
Net increase (decrease)		379,074		$	5,720,162			148,521		$	2,480,516			25,859		$	423,941
Small Cap Growth Equity Fund Class I
Sold		2,472,206		$	30,333,342			5,694,232		$	94,768,636			18,600,163		$	362,383,605
Issued as reinvestment of dividends		4,007,138			49,247,720			484,385			7,939,063			6,094,282			97,729,693
Redeemed		(1,903,629	)		(24,314,584	)		(22,533,939	)		(346,916,531	)		(5,180,570	)		(96,976,985	)
Net increase (decrease)		4,575,715		$	55,266,478			(16,355,322	)	$	(244,208,832	)		19,513,875		$	363,136,313
Small Cap Growth Equity Fund Class R5
Sold		283,804		$	3,680,429			915,285		$	15,583,546			1,776,976		$	33,356,696
Issued as reinvestment of dividends		2,681,713			32,663,270			174,189			2,835,799			2,517,284			40,227,761
Redeemed		(2,094,562	)		(27,924,151	)		(2,946,070	)		(47,977,992	)		(21,553,594	)		(416,183,600	)
Net increase (decrease)		870,955		$	8,419,548			(1,856,596	)	$	(29,558,647	)		(17,259,334	)	$	(342,599,143	)

266

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Small Cap Growth Equity Fund Service Class
Sold		750,115		$	10,173,526			467,122		$	7,583,034			717,979		$	13,192,895
Issued as reinvestment of dividends		765,507			8,902,844			37,218			584,319			503,951			7,757,014
Redeemed		(412,744	)		(5,000,944	)		(544,335	)		(8,896,268	)		(2,877,813	)		(53,697,974	)
Net increase (decrease)		1,102,878		$	14,075,426			(39,995	)	$	(728,915	)		(1,655,883	)	$	(32,748,065	)
Small Cap Growth Equity Fund Administrative Class
Sold		183,831		$	2,211,631			714,691		$	11,038,789			189,985		$	3,317,177
Issued as reinvestment of dividends		643,562			7,098,493			35,370			533,026			422,009			6,266,247
Redeemed		(400,397	)		(5,089,899	)		(350,459	)		(5,462,429	)		(1,005,524	)		(17,751,888	)
Net increase (decrease)		426,996		$	4,220,225			399,602		$	6,109,386			(393,530	)	$	(8,168,464	)
Small Cap Growth Equity Fund Class A
Sold		135,707		$	1,482,293			317,818		$	4,676,322			380,419		$	6,352,602
Issued as reinvestment of dividends		1,088,692			10,919,581			59,663			836,480			885,377			12,281,354
Redeemed		(421,816	)		(4,591,181	)		(826,877	)		(12,027,480	)		(1,495,640	)		(24,866,641	)
Net increase (decrease)		802,583		$	7,810,693			(449,396	)	$	(6,514,678	)		(229,844	)	$	(6,232,685	)
Small Cap Growth Equity Fund Class R4*
Sold		82,913		$	873,644			28,289		$	412,074			5,847		$	100,100
Issued as reinvestment of dividends		15,612			157,063			319			4,478			1,584			21,949
Redeemed		(22,555	)		(210,869	)		(2,317	)		(34,587	)		-			-
Net increase (decrease)		75,970		$	819,838			26,291		$	381,965			7,431		$	122,049
Small Cap Growth Equity Fund Class R3
Sold		20,296		$	221,784			24,568		$	331,054			1,621		$	25,446
Issued as reinvestment of dividends		13,192			119,521			428			5,562			3,454			44,504
Redeemed		(9,291	)		(84,969	)		(6,745	)		(91,932	)		(32,702	)		(489,967	)
Net increase (decrease)		24,197		$	256,336			18,251		$	244,684			(27,627	)	$	(420,017	)
Diversified International Fund Class I*
Sold		2,612,739		$	16,606,847			3,408,389		$	23,495,197			10,117,351		$	76,763,289
Issued as reinvestment of dividends		14,450			92,480			-			-			350,251			2,280,133
Redeemed		(1,079,029	)		(6,763,877	)		(2,236,694	)		(15,657,489	)		(1,372,315	)		(10,245,288	)
Net increase (decrease)		1,548,160		$	9,935,450			1,171,695		$	7,837,708			9,095,287		$	68,798,134
Diversified International Fund Class R5
Sold		-		$	-			271,215		$	1,866,132			3,936,704		$	29,540,167
Issued as reinvestment of dividends		-			-			-			-			615,418			4,012,527
Redeemed		-			-			(16,841,768	)		(113,678,010	)		(9,053,603	)		(68,745,202	)
Net increase (decrease)		-		$	-			(16,570,553	)	$	(111,811,878	)		(4,501,481	)	$	(35,192,508	)
Diversified International Fund Service Class
Sold		5,710		$	38,371			626		$	4,489			8,313		$	66,686
Issued as reinvestment of dividends		-			-			-			-			765			5,112
Redeemed		(1,254	)		(8,493	)		(157	)		(1,165	)		(24	)		(180	)
Net increase (decrease)		4,456		$	29,878			469		$	3,324			9,054		$	71,618

267

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Diversified International Fund Administrative Class
Sold		217		$	1,421			317		$	2,301			11,852		$	96,150
Issued as reinvestment of dividends		-			-			-			-			44			301
Redeemed		(476	)		(3,063	)		(229	)		(1,621	)		(646	)		(4,881	)
Net increase (decrease)		(259	)	$	(1,642	)		88		$	680			11,250		$	91,570
Diversified International Fund Class A
Sold		8,824		$	57,486			51,037		$	367,809			13,061		$	97,847
Issued as reinvestment of dividends		-			-			-			-			1,887			12,303
Redeemed		(25,807	)		(161,860	)		(23,446	)		(168,813	)		(53,186	)		(406,925	)
Net increase (decrease)		(16,983	)	$	(104,374	)		27,591		$	198,996			(38,238	)	$	(296,775	)
Diversified International Fund Class R4*
Sold		130,560		$	824,179			14		$	100			13,294		$	100,100
Issued as reinvestment of dividends		44			280			-			-			482			3,132
Redeemed		(17,788	)		(108,900	)		-			-			-			-
Net increase (decrease)		112,816		$	715,559			14		$	100			13,776		$	103,232
Diversified International Fund Class R3*
Sold		22,105		$	147,783			2,057		$	14,978			13,280		$	100,000
Issued as reinvestment of dividends		-			-			-			-			453			2,942
Redeemed		(9,478	)		(63,544	)		(3	)		(22	)		-			-
Net increase (decrease)		12,627		$	84,239			2,054		$	14,956			13,733		$	102,942
MSCI EAFE International Index Fund Class I
Sold		5,015,349		$	59,096,468			10,728,512		$	138,432,347			6,137,910		$	83,299,937
Issued as reinvestment of dividends		645,376			7,499,263			-			-			748,888			8,948,685
Redeemed		(2,978,276	)		(34,641,754	)		(4,417,329	)		(57,220,809	)		(3,019,024	)		(41,065,429	)
Net increase (decrease)		2,682,449		$	31,953,977			6,311,183		$	81,211,538			3,867,774		$	51,183,193
MSCI EAFE International Index Fund Class R5
Sold		1,257,593		$	15,041,580			1,089,373		$	14,214,058			136,413		$	1,803,724
Issued as reinvestment of dividends		57,837			672,645			-			-			12,304			147,160
Redeemed		(84,672	)		(994,043	)		(50,846	)		(649,345	)		(588,452	)		(8,140,940	)
Net increase (decrease)		1,230,758		$	14,720,182			1,038,527		$	13,564,713			(439,735	)	$	(6,190,056	)
MSCI EAFE International Index Fund Service Class
Sold		186,242		$	2,123,225			891,543		$	11,118,291			546,496		$	7,307,099
Issued as reinvestment of dividends		29,796			345,628			-			-			21,714			258,846
Redeemed		(134,851	)		(1,543,735	)		(103,262	)		(1,317,888	)		(105,069	)		(1,341,693	)
Net increase (decrease)		81,187		$	925,118			788,281		$	9,800,403			463,141		$	6,224,252
MSCI EAFE International Index Fund Administrative Class**
Sold		1,015,700		$	11,568,965			1,488,123		$	18,855,446			1,337,462		$	17,873,859
Issued - merger		-			-			-			-			227,690			2,996,406
Issued as reinvestment of dividends		71,276			826,087			-			-			73,835			879,118
Redeemed		(132,178	)		(1,551,570	)		(497,686	)		(6,056,971	)		(108,573	)		(1,461,352	)
Net increase (decrease)		954,798		$	10,843,482			990,437		$	12,798,475			1,530,414		$	20,288,031

268

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MSCI EAFE International Index Fund Class L**
Sold														107,602		$	1,427,946
Issued as reinvestment of dividends														-			-
Redeemed														(27,237	)		(367,232	)
Redemptions-merger														(228,251	)		(2,996,406	)
Net increase (decrease)														(147,886	)	$	(1,935,692	)
MSCI EAFE International Index Fund Class A
Sold		248,877		$	2,956,010			589,614		$	7,370,253			375,870		$	5,008,578
Issued as reinvestment of dividends		23,301			269,821			-			-			21,587			257,338
Redeemed		(225,395	)		(2,658,360	)		(92,182	)		(1,158,952	)		(43,701	)		(574,162	)
Net increase (decrease)		46,783		$	567,471			497,432		$	6,211,301			353,756		$	4,691,754
MSCI EAFE International Index Fund Class R4*
Sold		1,045,486		$	12,019,919			592,872		$	7,604,131			11,695		$	156,499
Issued as reinvestment of dividends		23,481			270,735			-			-			400			4,774
Redeemed		(56,531	)		(662,644	)		(26,405	)		(338,723	)		(507	)		(6,715	)
Net increase (decrease)		1,012,436		$	11,628,010			566,467		$	7,265,408			11,588		$	154,558
MSCI EAFE International Index Fund Class R3*
Sold		960,366		$	11,200,539			441,928		$	5,619,760			7,698		$	103,687
Issued as reinvestment of dividends		22,245			256,489			-			-			286			3,406
Redeemed		(71,159	)		(819,303	)		(15,392	)		(199,291	)		-	++		(2	)
Net increase (decrease)		911,452		$	10,637,725			426,536		$	5,420,469			7,984		$	107,091
Overseas Fund Class I
Sold		7,728,380		$	59,180,114			14,310,248		$	124,851,103			11,391,326		$	101,207,044
Issued as reinvestment of dividends		656,753			5,063,565			908,412			7,349,048			782,746			6,888,163
Redeemed		(3,362,144	)		(25,484,335	)		(14,187,706	)		(124,544,318	)		(5,294,345	)		(47,210,956	)
Net increase (decrease)		5,022,989		$	38,759,344			1,030,954		$	7,655,833			6,879,727		$	60,884,251
Overseas Fund Class R5
Sold		1,138,304		$	8,762,445			3,205,164		$	28,099,685			3,882,765		$	34,644,976
Issued as reinvestment of dividends		317,415			2,456,793			506,053			4,104,090			393,545			3,471,069
Redeemed		(1,655,697	)		(12,764,882	)		(2,504,755	)		(21,279,183	)		(5,611,673	)		(50,399,568	)
Net increase (decrease)		(199,978	)	$	(1,545,644	)		1,206,462		$	10,924,592			(1,335,363	)	$	(12,283,523	)
Overseas Fund Service Class
Sold		507,963		$	3,865,925			1,227,331		$	10,645,908			1,902,013		$	16,855,265
Issued as reinvestment of dividends		140,630			1,082,851			226,681			1,829,317			168,068			1,475,642
Redeemed		(639,932	)		(4,986,214	)		(596,028	)		(5,132,518	)		(2,129,470	)		(18,580,250	)
Net increase (decrease)		8,661		$	(37,438	)		857,984		$	7,342,707			(59,389	)	$	(249,343	)
Overseas Fund Administrative Class
Sold		741,190		$	5,627,613			1,562,529		$	13,713,454			1,255,809		$	11,274,836
Issued as reinvestment of dividends		60,989			473,888			105,047			852,982			70,539			624,275
Redeemed		(599,434	)		(4,626,613	)		(616,265	)		(5,278,872	)		(661,936	)		(5,917,512	)
Net increase (decrease)		202,745		$	1,474,888			1,051,311		$	9,287,564			664,412		$	5,981,599
Overseas Fund Class A
Sold		679,801		$	5,017,124			1,255,112		$	10,752,876			1,918,732		$	16,599,357
Issued as reinvestment of dividends		81,573			620,770			152,686			1,213,854			127,572			1,104,770
Redeemed		(459,164	)		(3,435,725	)		(1,141,148	)		(9,723,344	)		(1,340,652	)		(11,754,657	)
Net increase (decrease)		302,210		$	2,202,169			266,650		$	2,243,386			705,652		$	5,949,470

269

Notes to Financial Statements (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Overseas Fund Class R4*
Sold		325,052		$	2,275,457			472,293		$	3,858,572			11,376		$	100,105
Issued as reinvestment of dividends		6,873			51,550			5,817			45,724			279			2,404
Redeemed		(66,146	)		(484,125	)		(31,402	)		(252,934	)		-	++		(4	)
Net increase (decrease)		265,779		$	1,842,882			446,708		$	3,651,362			11,655		$	102,505
Overseas Fund Class R3
Sold		70,996		$	523,157			159,151		$	1,367,031			12,261		$	102,463
Issued as reinvestment of dividends		2,243			16,976			3,458			27,413			-			-
Redeemed		(19,034	)		(142,589	)		(17,936	)		(158,188	)		(73,386	)		(639,471	)
Net increase (decrease)		54,205		$	397,544			144,673		$	1,236,256			(61,125	)	$	(537,008	)

* Class commenced operations on April 1, 2014.

** Class L shares merged into Administrative Class shares on March 21, 2014.

+ For the period January 1, 2015 through September 30, 2015.

++ 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 March 31, 2016, 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. Prior to April 1, 2014, redemptions or exchanges of Class R3 shares made within eighteen months of purchase were 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 March 31, 2016, were waived for any redemptions or exchanges subject to such a charge.

6. Federal Income Tax Information

At March 31, 2016, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Total Return Bond Fund	$	1,101,494,414	$	15,224,464	$	(12,891,976	)	$	2,332,488
Strategic Bond Fund		318,316,655		7,530,168		(7,742,922	)		(212,754	)
Diversified Value Fund		309,334,396		47,606,128		(12,325,519	)		35,280,609
Fundamental Value Fund		1,023,209,287		302,412,829		(59,706,514	)		242,706,315
Large Cap Value Fund		216,425,427		30,670,407		(32,672,037	)		(2,001,630	)
S&P 500 Index Fund		2,314,434,731		1,407,686,976		(86,409,118	)		1,321,277,858
Focused Value Fund		710,700,555		126,805,643		(26,872,400	)		99,933,243
Fundamental Growth Fund		121,539,875		18,975,437		(1,851,028	)		17,124,409
Blue Chip Growth Fund		1,250,673,330		298,352,329		(47,166,284	)		251,186,045
Growth Opportunities Fund		806,417,605		218,155,029		(68,645,894	)		149,509,135
Mid-Cap Value Fund		98,892,381		6,581,317		(4,599,236	)		1,982,081
Small Cap Value Equity Fund		158,484,092		36,480,034		(9,933,412	)		26,546,622
Small Company Value Fund		282,981,218		33,438,283		(17,575,416	)		15,862,867
S&P Mid Cap Index Fund		315,580,490		36,578,874		(24,259,495	)		12,319,379
Russell 2000 Small Cap Index Fund		330,049,501		24,747,348		(38,682,129	)		(13,934,781	)

270

Notes to Financial Statements (Continued)

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Mid Cap Growth Equity II Fund	$	2,555,363,766	$	554,546,295	$	(58,783,421	)	$	495,762,874
Small Cap Growth Equity Fund		549,689,199		31,394,019		(33,298,356	)		(1,904,337	)
Diversified International Fund		80,196,151		2,703,927		(6,564,680	)		(3,860,753	)
MSCI EAFE International Index Fund		469,534,534		29,006,504		(44,781,561	)		(15,775,057	)
Overseas Fund		694,722,847		48,843,244		(62,504,006	)		(13,660,762	)

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At September 30, 2015, the following Fund(s) had available, for federal income tax purposes, pre-enactment unused capital losses:

	Expiring 2016		Expiring 2017		Expiring 2018
Strategic Bond Fund	$	-	$	4,220,698	$	-
Diversified Value Fund		-		3,658,831		-
Diversified International Fund		10,172,267		62,822,946		511,296
Overseas Fund		-		34,927,900		-

Net capital loss carryforwards for the Fund(s) shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.

At September 30, 2015, the following Fund(s) had post-enactment accumulated capital loss carryforwards:

	Short Term Capital Loss Carryforward		Long term Capital Loss Carryforward
Strategic Bond Fund	$	-	$	1,453,115
Diversified International Fund		2,543,171		-

Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the period ended September 30, 2015, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
Total Return Bond Fund	$	1,318,713	$	-	$	-
Strategic Bond Fund		72,594		-		-
Diversified Value Fund		1,079,882		-		-
Fundamental Value Fund		-		40,137,427		-
Large Cap Value Fund		60,051		2,137,204		-

271

Notes to Financial Statements (Continued)

	Ordinary Income		Long Term Capital Gain		Return of Capital
S&P 500 Index Fund	$	135,517	$	9,788,907	$	-
Focused Value Fund		-		10,679,655		-
Fundamental Growth Fund		-		495,629		-
Blue Chip Growth Fund		-		12,714,695		-
Growth Opportunities Fund		-		25,572,687		-
Mid-Cap Value Fund		-		1,615,963		-
Small Cap Value Equity Fund		13,999		-		-
Small Company Value Fund		-		5,346,329		-
S&P Mid Cap Index Fund		129,048		851,278		-
Russell 2000 Small Cap Index Fund		16,452		122,272		-
Mid Cap Growth Equity II Fund		-		17,813,262		-
Small Cap Growth Equity Fund		-		12,740,502		-
Overseas Fund		15,424,845		-		-

The following Fund(s) have elected to pass through the foreign tax credit for the period ended September 30, 2015:

	Amount
MSCI EAFE International Index Fund	$	375,686
Overseas Fund		786,837

Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2015, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, defaulted bond income accruals, non-REIT return of capital outstanding, passive foreign investment companies, non-taxable dividends, the deferral of wash sale losses, and deferred Trustee compensation.

At September 30, 2015, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
Total Return Bond Fund	$	19,964,390	$	-		$	(282,929	)	$	3,635,816
Strategic Bond Fund		5,720,003		(5,673,813	)		(59,527	)		(3,531,152	)
Diversified Value Fund		4,350,910		(3,658,831	)		(105,060	)		28,946,891
Fundamental Value Fund		23,978,865		130,370,394			(348,711	)		215,717,585
Large Cap Value Fund		6,837,549		23,663,687			(218,532	)		(6,809,577	)
S&P 500 Index Fund		45,185,207		62,791,351			(692,922	)		1,075,830,499
Focused Value Fund		13,869,188		105,440,035			(215,866	)		27,877,758
Fundamental Growth Fund		764,923		12,976,295			(24,126	)		12,972,591
Blue Chip Growth Fund		18,892,682		213,250,036			(272,761	)		205,758,335
Growth Opportunities Fund		-		97,834,493			(164,146	)		168,378,053
Mid-Cap Value Fund		1,855,516		12,984,710			(39,175	)		(11,248,576	)
Small Cap Value Equity Fund		730,141		4,773,969			(33,742	)		20,004,483
Small Company Value Fund		1,621,186		70,311,194			(147,046	)		674,762
S&P Mid Cap Index Fund		3,541,694		9,396,072			(18,992	)		2,370,332
Russell 2000 Small Cap Index Fund		2,722,775		4,706,414			(14,246	)		(14,665,335	)

272

Notes to Financial Statements (Continued)

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
Mid Cap Growth Equity II Fund	$	8,107,780	$	195,547,097		$	(443,447	)	$	448,216,787
Small Cap Growth Equity Fund		-		107,491,438			(214,453	)		(25,466,039	)
Diversified International Fund		-		(76,049,680	)		(40,602	)		(6,883,701	)
MSCI EAFE International Index Fund		7,790,123		372,841			(24,291	)		(15,459,678	)
Overseas Fund		9,777,743		(34,927,900	)		(194,836	)		(34,949,866	)

The Funds did not have any unrecognized tax benefits at March 31, 2016, 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 March 31, 2016, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

8. New Accounting Pronouncements

In May 2015, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2015-07, Fair Value Measurement (Topic 820): “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)” (“ASU 2015-07”) to address the diversity in practice of how investments measured at net asset value with redemption dates in the future (including periodic redemption dates) are categorized within the fair value hierarchy. ASU 2015-07 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2015. Management is currently evaluating the implications of these changes and their impact to the financial statements.

9. 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

273

Notes to Financial Statements (Continued)

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.

The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the 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 net assets of each applicable Fund at the time of such judgment or settlement.

10. Subsequent Events

In preparation of these financial statements, management has evaluated the events and transactions subsequent to March 31, 2016, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.

274

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov 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 meeting in November 2015, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or subadvisers (the “Independent Trustees”), reviewed and approved a proposal to lower the advisory fee breakpoints of the Mid-Cap Value Fund, Small Cap Value Equity Fund, and Total Return Bond Fund (the “Funds”). In arriving at their decision, the Trustees considered materials provided by MML Advisers, including revised profitability schedules for the Funds. In their deliberations, the Trustees were advised by independent counsel.

The amendments to the advisory agreements for the Funds became effective on January 1, 2016.

At their meeting in November 2015, the Trustees, including the Independent Trustees, also reviewed and approved a proposal to lower the subadvisory fee paid by MML Advisers to Systematic Financial Management, L.P. (“Systematic”) for the Mid-Cap Value Fund. In arriving at their decision, the Trustees discussed the fees payable to Systematic for the Mid-Cap Value Fund by MML Advisers and the effect of such fees on the profitability to MML Advisers. The Trustees concluded that they were satisfied that MML Advisers’ projected level of profitability due to the amended subadvisory agreement was not excessive and the subadvisory fee amount under the amended subadvisory agreement was fair and reasonable. In their deliberations, the Trustees were advised by independent counsel.

The amended subadvisory agreement became effective on December 1, 2015.

At their meeting in February 2016, the Trustees, including the Independent Trustees, reviewed and approved a proposal to lower the subadvisory fee paid by MML Advisers to T. Rowe Price Associates, Inc. (“T. Rowe Price”) for the Blue Chip Growth Fund. In arriving at their decision, the Trustees discussed the fees payable to T. Rowe Price for the Blue Chip Growth Fund by MML Advisers and the effect of such fees on the profitability to MML Advisers. The Trustees concluded that they were satisfied that MML Advisers’ projected level of profitability due to the amended subadvisory agreement was not excessive and the subadvisory fee amount under the amended subadvisory agreement was fair and reasonable. In their deliberations, the Trustees were advised by independent counsel.

The amended subadvisory agreement became effective on March 1, 2016.

Prior to the votes being taken to approve the amendments to the advisory and subadvisory agreements discussed above, the Independent Trustees met separately in executive session to discuss the appropriateness of each such contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

275

Other Information (Unaudited) (Continued)

Fund Expenses March 31, 2016

Expense Examples:

The following information is in regards to expenses for the six months ended March 31, 2016:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended March 31, 2016.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Total Return Bond Fund
Class I	$	1,000		0.34	%	$	1,020.80	$	1.72	$	1,023.30	$	1.72
Class R5		1,000		0.44	%		1,019.90		2.22		1,022.80		2.23
Service Class		1,000		0.54	%		1,020.30		2.73		1,022.30		2.73
Administrative Class		1,000		0.64	%		1,018.70		3.23		1,021.80		3.23
Class A		1,000		0.89	%		1,019.00		4.49		1,020.60		4.50
Class R4		1,000		0.79	%		1,018.90		3.99		1,021.10		3.99
Class R3		1,000		1.04	%		1,017.70		5.25		1,019.80		5.25
Strategic Bond Fund
Class I		1,000		0.48	%		1,028.80		2.43		1,022.60		2.43
Class R5		1,000		0.58	%		1,028.80		2.94		1,022.10		2.93
Service Class		1,000		0.68	%		1,027.90		3.45		1,021.60		3.44
Administrative Class		1,000		0.78	%		1,028.50		3.96		1,021.10		3.94
Class A		1,000		1.03	%		1,026.70		5.22		1,019.90		5.20
Class R4		1,000		0.93	%		1,026.40		4.71		1,020.40		4.70
Class R3		1,000		1.18	%		1,025.70		5.98		1,019.10		5.96

276

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 I	$	1,000		0.58	%	$	1,046.40	$	2.97	$	1,022.10	$	2.93
Class R5		1,000		0.68	%		1,045.30		3.48		1,021.60		3.44
Service Class		1,000		0.78	%		1,045.80		3.99		1,021.10		3.94
Administrative Class		1,000		0.88	%		1,044.40		4.50		1,020.60		4.45
Class A		1,000		1.13	%		1,043.90		5.77		1,019.40		5.70
Class R4		1,000		1.03	%		1,043.50		5.26		1,019.90		5.20
Class R3		1,000		1.28	%		1,043.00		6.54		1,018.60		6.46
Fundamental Value Fund
Class I		1,000		0.64	%		1,061.80		3.30		1,021.80		3.23
Class R5		1,000		0.74	%		1,061.10		3.81		1,021.30		3.74
Service Class		1,000		0.84	%		1,061.20		4.33		1,020.80		4.24
Administrative Class		1,000		0.94	%		1,060.30		4.84		1,020.30		4.75
Class A		1,000		1.19	%		1,058.00		6.12		1,019.10		6.01
Class R4		1,000		1.09	%		1,059.40		5.61		1,019.60		5.50
Class R3		1,000		1.34	%		1,057.40		6.89		1,018.30		6.76
Large Cap Value Fund
Class I		1,000		0.63	%		1,041.70		3.22		1,021.90		3.18
Class R5		1,000		0.73	%		1,041.60		3.73		1,021.40		3.69
Service Class		1,000		0.83	%		1,042.00		4.24		1,020.90		4.19
Administrative Class		1,000		0.93	%		1,040.00		4.74		1,020.40		4.70
Class A		1,000		1.18	%		1,039.90		6.02		1,019.10		5.96
Class R4		1,000		1.08	%		1,039.80		5.51		1,019.60		5.45
Class R3		1,000		1.33	%		1,038.20		6.78		1,018.40		6.71
S&P 500 Index Fund
Class I		1,000		0.12	%		1,084.00		0.63		1,024.40		0.61
Class R5		1,000		0.22	%		1,083.90		1.15		1,023.90		1.11
Service Class		1,000		0.37	%		1,082.80		1.93		1,023.20		1.87
Administrative Class		1,000		0.47	%		1,082.50		2.45		1,022.70		2.38
Class A		1,000		0.72	%		1,081.40		3.75		1,021.40		3.64
Class R4		1,000		0.62	%		1,081.50		3.23		1,021.90		3.13
Class R3		1,000		0.87	%		1,080.60		4.53		1,020.70		4.40
Focused Value Fund
Class I		1,000		0.73	%		1,051.70		3.74		1,021.40		3.69
Class R5		1,000		0.83	%		1,051.40		4.26		1,020.90		4.19
Service Class		1,000		0.93	%		1,051.40		4.77		1,020.40		4.70
Administrative Class		1,000		1.03	%		1,050.10		5.28		1,019.90		5.20
Class A		1,000		1.28	%		1,048.70		6.56		1,018.60		6.46
Class R4		1,000		1.18	%		1,049.90		6.05		1,019.10		5.96
Class R3		1,000		1.44	%		1,048.60		7.37		1,017.80		7.26
Fundamental Growth Fund
Class I		1,000		0.70	%		1,076.80		3.63		1,021.50		3.54
Class R5		1,000		0.80	%		1,075.50		4.15		1,021.00		4.04
Service Class		1,000		0.90	%		1,074.40		4.67		1,020.50		4.55
Administrative Class		1,000		1.00	%		1,073.50		5.18		1,020.00		5.05
Class A		1,000		1.25	%		1,072.60		6.48		1,018.80		6.31
Class R4		1,000		1.15	%		1,072.70		5.96		1,019.30		5.81
Class R3		1,000		1.40	%		1,073.60		7.26		1,018.00		7.06

277

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Blue Chip Growth Fund
Class I	$	1,000		0.66	%	$	1,054.90	$	3.39	$	1,021.70	$	3.34
Class R5		1,000		0.76	%		1,054.40		3.90		1,021.20		3.84
Service Class		1,000		0.86	%		1,054.20		4.42		1,020.70		4.34
Administrative Class		1,000		0.96	%		1,053.90		4.93		1,020.20		4.85
Class A		1,000		1.21	%		1,052.00		6.21		1,019.00		6.11
Class R4		1,000		1.11	%		1,052.70		5.70		1,019.50		5.60
Class R3		1,000		1.36	%		1,051.50		6.98		1,018.20		6.86
Growth Opportunities Fund
Class I		1,000		0.74	%		1,012.10		3.72		1,021.30		3.74
Class R5		1,000		0.84	%		1,012.20		4.23		1,020.80		4.24
Service Class		1,000		0.94	%		1,011.50		4.73		1,020.30		4.75
Administrative Class		1,000		1.04	%		1,010.80		5.23		1,019.80		5.25
Class A		1,000		1.29	%		1,009.10		6.48		1,018.60		6.51
Class R4		1,000		1.19	%		1,010.20		5.98		1,019.10		6.01
Class R3		1,000		1.44	%		1,008.60		7.23		1,017.80		7.26
Mid-Cap Value Fund
Class I		1,000		0.80	%		1,080.40		4.16		1,021.00		4.04
Class R5		1,000		0.90	%		1,080.40		4.68		1,020.50		4.55
Service Class		1,000		1.00	%		1,079.50		5.20		1,020.00		5.05
Administrative Class		1,000		1.10	%		1,078.70		5.72		1,019.50		5.55
Class A		1,000		1.35	%		1,077.30		7.01		1,018.30		6.81
Class R4		1,000		1.25	%		1,078.40		6.50		1,018.80		6.31
Class R3		1,000		1.50	%		1,076.30		7.79		1,017.50		7.57
Small Cap Value Equity Fund
Class I		1,000		0.80	%		1,070.90		4.14		1,021.00		4.04
Class R5		1,000		0.90	%		1,071.20		4.66		1,020.50		4.55
Service Class		1,000		1.00	%		1,070.30		5.18		1,020.00		5.05
Administrative Class		1,000		1.10	%		1,069.20		5.69		1,019.50		5.55
Class A		1,000		1.35	%		1,068.30		6.98		1,018.30		6.81
Class R4		1,000		1.25	%		1,068.60		6.46		1,018.80		6.31
Class R3		1,000		1.50	%		1,067.30		7.75		1,017.50		7.57
Small Company Value Fund
Class I		1,000		0.93	%		1,020.10		4.70		1,020.40		4.70
Class R5		1,000		1.03	%		1,019.10		5.20		1,019.90		5.20
Service Class		1,000		1.13	%		1,019.30		5.70		1,019.40		5.70
Administrative Class		1,000		1.23	%		1,018.80		6.21		1,018.90		6.21
Class A		1,000		1.48	%		1,016.50		7.46		1,017.60		7.47
Class R4		1,000		1.38	%		1,017.70		6.96		1,018.10		6.96
Class R3		1,000		1.63	%		1,016.10		8.22		1,016.90		8.22
S&P Mid Cap Index Fund
Class I		1,000		0.20	%		1,064.10		1.03		1,024.00		1.01
Class R5		1,000		0.30	%		1,063.30		1.55		1,023.50		1.52
Service Class		1,000		0.45	%		1,062.40		2.32		1,022.80		2.28
Administrative Class		1,000		0.55	%		1,062.40		2.84		1,022.30		2.78
Class A		1,000		0.80	%		1,061.30		4.12		1,021.00		4.04
Class R4		1,000		0.70	%		1,061.80		3.61		1,021.50		3.54
Class R3		1,000		0.95	%		1,059.50		4.89		1,020.30		4.80

278

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Russell 2000 Small Cap Index Fund
Class I	$	1,000		0.20	%	$	1,021.00	$	1.01	$	1,024.00	$	1.01
Class R5		1,000		0.30	%		1,020.10		1.52		1,023.50		1.52
Service Class		1,000		0.45	%		1,019.40		2.27		1,022.80		2.28
Administrative Class		1,000		0.55	%		1,018.50		2.78		1,022.30		2.78
Class A		1,000		0.80	%		1,017.80		4.04		1,021.00		4.04
Class R4		1,000		0.70	%		1,018.60		3.53		1,021.50		3.54
Class R3		1,000		0.95	%		1,016.20		4.79		1,020.30		4.80
Mid Cap Growth Equity II Fund
Class I		1,000		0.74	%		1,040.90		3.78		1,021.30		3.74
Class R5		1,000		0.84	%		1,040.10		4.28		1,020.80		4.24
Service Class		1,000		0.94	%		1,040.20		4.79		1,020.30		4.75
Administrative Class		1,000		1.04	%		1,039.30		5.30		1,019.80		5.25
Class A		1,000		1.29	%		1,037.80		6.57		1,018.60		6.51
Class R4		1,000		1.19	%		1,038.40		6.06		1,019.10		6.01
Class R3		1,000		1.44	%		1,037.60		7.34		1,017.80		7.26
Small Cap Growth Equity Fund
Class I		1,000		0.88	%		969.80		4.33		1,020.60		4.45
Class R5		1,000		0.98	%		969.50		4.83		1,020.10		4.95
Service Class		1,000		1.08	%		969.00		5.32		1,019.60		5.45
Administrative Class		1,000		1.18	%		968.40		5.81		1,019.10		5.96
Class A		1,000		1.43	%		966.60		7.03		1,017.90		7.21
Class R4		1,000		1.33	%		967.50		6.54		1,018.40		6.71
Class R3		1,000		1.58	%		967.30		7.77		1,017.10		7.97
Diversified International Fund
Class I		1,000		0.90	%		976.10		4.45		1,020.50		4.55
Class R5		1,000		1.00	%		971.50		4.93		1,020.00		5.05
Service Class		1,000		1.10	%		973.90		5.43		1,019.50		5.55
Administrative Class		1,000		1.20	%		974.20		5.92		1,019.00		6.06
Class A		1,000		1.45	%		973.10		7.15		1,017.80		7.31
Class R4		1,000		1.35	%		973.60		6.66		1,018.30		6.81
Class R3		1,000		1.60	%		971.50		7.89		1,017.00		8.07
MSCI EAFE International Index Fund
Class I		1,000		0.25	%		1,006.40		1.25		1,023.80		1.26
Class R5		1,000		0.35	%		1,006.60		1.76		1,023.30		1.77
Service Class		1,000		0.50	%		1,004.90		2.51		1,022.50		2.53
Administrative Class		1,000		0.60	%		1,005.00		3.01		1,022.00		3.03
Class A		1,000		0.85	%		1,003.50		4.26		1,020.80		4.29
Class R4		1,000		0.75	%		1,004.50		3.76		1,021.30		3.79
Class R3		1,000		1.00	%		1,002.30		5.01		1,020.00		5.05
Overseas Fund
Class I		1,000		0.93	%		999.10		4.65		1,020.40		4.70
Class R5		1,000		1.03	%		998.00		5.14		1,019.90		5.20
Service Class		1,000		1.13	%		997.00		5.64		1,019.40		5.70
Administrative Class		1,000		1.23	%		996.00		6.14		1,018.90		6.21
Class A		1,000		1.48	%		995.80		7.38		1,017.60		7.47
Class R4		1,000		1.38	%		995.80		6.89		1,018.10		6.96
Class R3		1,000		1.63	%		996.00		8.13		1,016.90		8.22

* Expenses are calculated using the annualized expense ratio for the six months ended March 31, 2016, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 366 days in the year, unless stated otherwise.

279

Underwriter: MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981

^©2016 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. Investment Adviser: MML Investment Advisers, LLC RS-39568-00

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Portfolio Summary (Unaudited)	3
Consolidated Portfolio of Investments (Unaudited)	4
Consolidated Statement of Assets and Liabilities (Unaudited)	19
Consolidated Statement of Operations (Unaudited)	21
Consolidated Statements of Changes in Net Assets	23
Consolidated Financial Highlights	24
Notes to Consolidated Financial Statements (Unaudited)	26
Other Information (Unaudited)
Proxy Voting	54
Quarterly Reporting	54
Fund Expenses	55

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

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholder (Unaudited)

To Our Shareholders

Eric Wietsma

“In MassMutual’s view, retirement investors may be well served by maintaining an investment strategy that is suited to how comfortable they are with the markets’ ups and downs, how long they have to save and invest, and what their specific financial goals are.”

March 31, 2016

Welcome to the MassMutual Select BlackRock Global Allocation Fund Semiannual Report, covering the six months ended March 31, 2016. U.S. stocks, for the most part, outperformed their foreign counterparts, reflecting the ongoing strength of the U.S. economy during the period. Investors continued to closely monitor economic data releases in their vigil over the potential timing for the U.S. Federal Reserve’s (the “Fed”) long-awaited launch of interest rate increases – a source of investor speculation for most of 2015. During the reporting period, low oil prices and China’s continued economic difficulties continued to capture investors’ attention. Against this backdrop, the price of West Texas Intermediate crude oil started the period at nearly $45 per barrel and declined to nearly $37 at the end of March. This masked the extreme volatility of the commodity, however – whose price reached as high as $47.88 on November 3, 2015, and as low as $26.19 on February 11, 2016. Gasoline prices followed a similar pattern, starting out the six-month period at an average of $2.29 – before settling at $2.06 on March 31, 36 cents lower than the same time in 2015. The price of gold also fluctuated over the course of the six months, starting the period at $1,119 per ounce, before finishing the first quarter at $1,237.

Key events that characterized the period

Thanks to a robust October rally, U.S. stocks performed relatively well in the final quarter of 2015 against the backdrop of a somewhat disappointing first three quarters, when several factors had kept share prices from making much upward headway. These included weak commodity prices – especially crude oil, uncertainty about the timing of the Fed’s first interest rate hike since 2006, investor concerns about the strength and durability of the U.S. economic recovery, and worries over China and emerging markets worldwide.

After an extremely volatile third quarter of 2015, share prices recovered strongly in October, with two of the most widely followed U.S. equity benchmarks, the Dow Jones Industrial Average^SM (the “Dow”) and the S&P 500^® Index, turning in their best monthly gains since October 2011. Investor fears about China and crude oil eased, and a weak September payroll number fueled hopes that the Fed might delay raising short-term interest rates; however, the October and November employment reports were considerably stronger. This renewed talk of a rate increase – which, in fact, finally occurred at the mid-December meeting, when the Fed hiked the target range for the federal funds rate – the Fed’s overnight bank lending rate – to 0.25%-0.50% from 0%-0.25%. Elsewhere, crude oil broke to another new low for the year in December and ended 2015 with an annual decline of 31% after falling almost 50% in 2014. These factors led to choppy market action over the final two months of the year.

The U.S. economy continued to improve, although results were mixed. For example, in mid-October, several housing reports yielded generally positive results, whereas later that month, the housing outlook was muddled by new home sales figures that were the lowest since November 2014. On the other hand, there was mostly good news on the employment front, as jobless claims experienced a favorable downward trend during the fourth quarter – and first-time jobless claims dropped to a 42-year low in mid-December. This was despite the October Job Openings and Labor Turnover Survey, which in December showed a decline in job openings from 5.526 million to 5.383 million. Employment news remained largely positive, however, as even the manufacturing sector, which struggled from falling exports due to a strong dollar, posted encouraging results in the fourth quarter of 2015.

(Continued)

1

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholder (Unaudited) (Continued)

After experiencing a steep plunge and vigorous recovery as recently as August and October, respectively, U.S. stocks repeated that scenario in the first quarter of 2016. In both cases, concerns about China’s slowing economy and falling crude oil prices helped to drive weakness in share prices. Adding to these concerns at the start of 2016 was fear of slowing global and domestic economic growth, the latter underscored by initial estimates that U.S. gross domestic product (“GDP”) expanded by a disappointing 0.7% rate in the fourth quarter of 2015, although that number was subsequently revised upward.

Share prices continued to struggle early in February, as global equity markets moved roughly in tandem with the price of oil, which declined early on, but rallied later in the month on hopes that producers would curtail supply. Concerns about the European banking system also worried investors early in February. In the U.S., a weak January employment report stoked fears that a recession could be on the horizon. However, later in the quarter, upward revisions in estimated fourth-quarter U.S. economic growth, first to 1.0% and ultimately to 1.4%, helped the equity markets rebound. The employment picture also brightened, as February’s nonfarm payrolls came in significantly stronger than the previous two months’. At the same time, the payroll numbers for both January and December were revised upward.

The rally in equities continued in March, with the Fed doing its part by reassuring investors that the central bank would be cautious about implementing further hikes in short-term interest rates. Stocks ended March near their highs for the quarter and only a scant few percent off their all-time highs.

The major stock indexes in the U.S. advanced for the six months ended March 31, 2016 – largely, but not entirely – outperforming foreign developed and emerging markets. The blue-chip Dow climbed 10.07% to lead the major market indexes for the period. Next were the large-cap stock S&P 500 Index, which rose 8.49%; and the technology-heavy NASDAQ Composite^® Index, which advanced 6.07%. The Russell 2000^® Index, a benchmark of small-cap stocks, gained a much more modest 2.02% over the six months. In international markets, the MSCI EAFE Index, an indicator of foreign developed-market stocks, posted a mere 1.56% advance, while the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, had a more impressive 6.41% return. Fixed-income investments advanced somewhat during the period, with the Barclays U.S. Aggregate Bond Index returning 2.44%.*

Review and maintain your strategy

MassMutual knows that nothing matters more than the safety and well-being of your loved ones. Because we know that you want to protect those who matter most to you, we’d like to remind you as a retirement investor that it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. Please keep in mind that the financial markets go both up and down – and that it is nearly impossible to predict their future direction. That’s why our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. If you work with a financial professional and haven’t met with him or her recently, this might be a good time to review your retirement investment strategy. MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. And as always, we thank you for your confidence in MassMutual.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investments Services as of 4/1/16 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

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

2

MassMutual Select BlackRock Global Allocation Fund – Portfolio Summary (Unaudited)

What is the investment approach of MassMutual Select BlackRock Global Allocation Fund, and who is the Fund’s subadviser?

The Fund seeks long-term total return by investing in both equity and debt securities, including money market securities and other short-term debt obligations, of issuers located around the world, including emerging markets, without limitation on the percentage of assets the Fund can invest in a particular type of security. The Fund seeks to reduce volatility by allocating its assets broadly across markets, industries, and issuers and without geographic or market capitalization limits. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock).

MassMutual Select BlackRock Global Allocation Fund Largest Holdings (% of Net Assets) on 3/31/16
U.S. Treasury Note 1.125% 2/28/21	6.5	%
U.S. Treasury Inflation Index 0.625% 1/15/26	2.5	%
SPDR Gold Trust	1.5	%
Apple, Inc.	1.2	%
U.S. Treasury Note 1.625% 2/15/26	1.0	%
Mexican Bonos 6.500% 6/10/21	1.0	%
Alphabet, Inc. Class C	0.9	%
United Kingdom Gilt 2.000% 9/07/25	0.9	%
U.S. Treasury Note 2.000% 8/15/25	0.8	%
Australia Government Bond 5.750% 5/15/21	0.7	%
	17.0	%

MassMutual Select BlackRock Global Allocation Fund Portfolio Characteristics (% of Net Assets) on 3/31/16
Equities	55.2	%
Bonds & Notes	32.2	%
Mutual Funds	2.8	%
Purchased Options	0.3	%
Warrants	0.0	%
Total Long-Term Investments	90.5	%
Short-Term Investments and Other Assets and Liabilities	9.5	%
Net Assets	100.0	%
Securities Sold Short	(0.1	)%

3

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
EQUITIES — 55.2%
COMMON STOCK — 52.3%
Australia — 0.2%
Healthscope Ltd.		272,983	$	555,612
Westpac Banking Corp.		18,529		430,543
				986,155
Belgium — 0.1%
Anheuser-Busch InBev SA/NV		3,815		475,584
Umicore SA		4,725		234,596
				710,180
Bermuda — 0.3%
Axalta Coating Systems Ltd. (a)		31,522		920,442
Axis Capital Holdings Ltd.		2,212		122,678
Brilliance China Automotive Holdings Ltd.		146,000		151,117
Bunge Ltd.		3,056		173,184
Haier Electronics Group Co. Ltd.		152,000		263,314
				1,630,735
Brazil — 0.0%
SLC Agricola SA		20,334		89,352
British Virgin Islands — 0.1%
Michael Kors Holdings Ltd. (a)		7,557		430,447
Canada — 1.2%
Athabasca Oil Corp. (a)		89,468		70,954
Barrick Gold Corp.		14,740		200,169
Brookfield Asset Management, Inc. Class A		22,520		783,471
Brookfield Asset Management, Inc. Class A		1,893		65,838
Cameco Corp.		43,768		561,981
Canadian National Railway Co.		5,246		327,665
Cenovus Energy, Inc.		47,226		614,529
Eldorado Gold Corp.		65,298		205,133
Encana Corp.		314,722		1,916,657
Goldcorp, Inc.		34,845		565,534
Platinum Group Metals Ltd. (a)		45,959		174,643
Platinum Group Metals Ltd. (a)		31,097		117,802
Tahoe Resources, Inc.		53,355		534,885
The Toronto-Dominion Bank		19,110		824,875
				6,964,136
Cayman Islands — 0.4%
Alibaba Group Holding Ltd. (a)		12,441		983,212
Chaoda Modern Agriculture Holdings Ltd. (a)		1,265,139		27,407
China Resources Land Ltd.		194,000		497,140
Haitian International Holdings Ltd.		148,171		254,116
Sino Biopharmaceutical Ltd.		368,000		275,296
Zhongsheng Group Holdings Ltd.		213,850		103,550
				2,140,721

	Number of Shares		Value
China — 0.0%
Dongfeng Motor Group Co. Ltd. Class H		79,500	$	99,065
Denmark — 0.0%
Novo Nordisk A/S Class B		4,406		237,890
France — 2.1%
Accor SA		9,309		394,028
Aeroports de Paris		1,257		155,363
Arkema		1,113		83,275
Atos SE		1,431		116,294
AXA SA		41,875		984,474
BNP Paribas		10,720		537,539
Cie Generale des Etablissements Michelin Class B		706		72,074
Compagnie de Saint-Gobain		9,078		398,823
Danone SA		8,070		572,907
Dassault Aviation SA		542		650,077
Elis SA		56		1,087
Engie		21,698		335,821
Legrand SA		7,090		396,901
Orange SA		15,023		262,497
Publicis Groupe SA		11,070		775,793
Renault SA		3,598		357,023
Safran SA		25,694		1,796,620
Sanofi		16,919		1,360,701
Sodexo SA		3,395		365,031
Sopra Steria Group		60		7,088
Total SA		13,432		610,919
Total SA Sponsored ADR (France)		1,643		74,625
Ubisoft Entertainment (a)		10,868		341,016
Unibail-Rodamco SE		2,699		740,545
Veolia Environnement SA		7,246		174,398
Vinci SA		5,281		392,153
Worldline SA (a) (b)		4,395		113,111
				12,070,183
Germany — 0.9%
Allianz SE		3,472		564,416
BASF SE		5,649		425,951
Bayer AG		3,970		466,569
Bayerische Motoren Werke AG		3,960		363,720
Beiersdorf AG		3,116		281,212
Deutsche Post AG		8,983		249,484
Deutsche Telekom AG		41,163		738,439
E.ON SE		11,139		106,905
Evonik Industries AG		8,010		240,126
Hugo Boss AG		4,418		289,627
RWE AG		4,014		51,907
Siemens AG		3,670		388,990
Volkswagen AG		258		37,430
Vonovia SE		20,528		738,591
				4,943,367

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

4

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Hong Kong — 0.5%
AIA Group Ltd.		108,400	$	614,722
Beijing Enterprises Holdings Ltd.		107,922		590,818
Sun Hung Kai Properties Ltd.		82,250		1,005,164
Wharf Holdings Ltd.		130,000		710,804
				2,921,508
India — 0.3%
Coal India Ltd.		111,248		490,388
Maruti Suzuki India Ltd.		3,987		223,317
Reliance Industries Ltd.		57,471		906,828
				1,620,533
Indonesia — 0.0%
Siloam International Hospitals Tbk PT		443,480		244,743
Ireland — 0.8%
Accenture PLC Class A		1,431		165,137
Allergan PLC (a)		2,924		783,720
CRH PLC		10,750		302,090
Eaton Corp. PLC		13,891		869,021
Ingersoll-Rand PLC		14,153		877,628
Medtronic PLC		3,767		282,525
Tyco International PLC		9,188		337,291
Xl Group PLC		18,663		686,798
				4,304,210
Israel — 0.2%
Check Point Software Technologies Ltd. (a)		1,249		109,250
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		24,142		1,291,838
				1,401,088
Italy — 0.7%
Ei Towers SpA		16,800		935,323
Enel SpA		101,148		447,680
Intesa Sanpaolo		305,416		839,884
Prysmian SpA		12,478		282,641
RAI Way SpA (b)		85,770		459,644
Recordati SpA		3,229		80,784
Snam SpA		19,412		121,418
Telecom Italia SpA (a)		767,000		827,072
Telecom Italia SpA-RSP		54,481		47,432
				4,041,878
Japan — 7.5%
Aisin Seiki Co. Ltd.		15,440		581,345
Ajinomoto Co., Inc.		17,000		382,881
Alpine Electronics, Inc.		2,800		31,353
Asahi Group Holdings Ltd.		12,000		373,270
Asahi Kasei Corp.		77,000		519,039
ASKUL Corp.		100		4,067
Astellas Pharma, Inc.		31,350		416,667
Autobacs Seven Co. Ltd.		1,300		21,905
Bandai Namco Holdings, Inc.		4,000		87,040
The Bank of Yokohama Ltd. (a) (c)		16,000		73,926

	Number of Shares		Value
Benesse Holdings, Inc.		600	$	17,267
Bridgestone Corp.		26,000		968,930
Canon Marketing Japan, Inc.		2,000		34,848
The Chiba Bank Ltd.		14,000		69,746
Chiyoda Corp.		4,000		29,229
Chubu Electric Power Co., Inc.		25,500		355,283
COMSYS Holdings Corp.		1,200		18,494
Daikin Industries Ltd.		8,400		627,438
Daikyo, Inc.		27,000		42,832
Daiwa Securities Group, Inc.		25,000		153,319
Dena Co. Ltd.		5,600		96,429
Denso Corp.		25,670		1,028,767
East Japan Railway		17,253		1,485,500
Eisai Co. Ltd.		3,500		210,442
Electric Power Development Co. Ltd.		5,500		171,387
EXEDY Corp.		1,300		28,659
FamilyMart Co. Ltd.		8,800		457,287
Fanuc Ltd.		1,850		287,252
Fuji Heavy Industries Ltd.		56,830		2,000,741
Fukuoka Financial Group, Inc.		35,000		114,074
Futaba Industrial Co. Ltd.		22,310		88,965
GS Yuasa Corp.		60,000		256,322
GungHo Online Entertainment, Inc.		11,500		32,295
Hitachi Chemical Co. Ltd.		24,600		442,360
Hitachi Kokusai Electric, Inc.		2,000		24,029
Honda Motor Co. Ltd.		26,460		725,142
Hoya Corp.		11,820		449,383
Inpex Corp.		91,700		694,951
Isuzu Motors Ltd.		38,900		401,411
Japan Airlines Co. Ltd.		40,800		1,493,857
Japan Post Bank Co. Ltd.		34,300		421,919
Japan Tobacco, Inc.		8,500		353,379
JGC Corp.		13,030		194,965
JSR Corp.		25,400		364,206
Kamigumi Co. Ltd.		4,000		37,553
The Kansai Electric Power Co., Inc. (a)		6,400		56,553
KDDI Corp.		24,900		663,667
Keyence Corp.		400		218,057
Kinden Corp.		4,500		55,154
Koito Manufacturing Co. Ltd.		8,100		365,864
Komatsu Ltd.		23,000		391,341
Kubota Corp.		31,320		426,079
Kuraray Co. Ltd.		21,810		265,988
Kyocera Corp.		11,100		488,646
Kyushu Electric Power Co., Inc. (a)		23,500		223,535
Mabuchi Motor Co. Ltd.		2,100		97,451
Maeda Road Construction Co. Ltd.		2,000		32,895
Medipal Holdings Corp.		900		14,243
Millea Holdings, Inc.		11,775		397,274
Mitsubishi Corp.		22,520		381,139
Mitsubishi Electric Corp.		101,000		1,057,744
Mitsubishi Estate Co. Ltd.		63,000		1,167,017
Mitsubishi Heavy Industries Ltd.		20,000		74,031

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
Mitsubishi UFJ Financial Group, Inc.		140,800	$	651,961
Mitsui & Co. Ltd.		41,452		476,732
Mitsui Sumitomo Insurance Group Holdings, Inc.		12,466		347,110
Murata Manufacturing Co. Ltd.		1,570		188,594
Nabtesco Corp.		5,300		118,900
NEC Corp.		152,000		382,001
Nexon Co. Ltd.		6,000		101,937
Nikon Corp.		29,300		448,175
Nintendo Co. Ltd.		5,000		708,489
Nippo Corp.		1,000		16,785
Nippon Express Co. Ltd.		23,000		104,581
Nippon Steel & Sumitomo Metal Corp.		9,000		172,768
Nippon Telegraph & Telephone Corp.		13,540		582,187
Nitto Denko Corp.		15,000		833,346
Nomura Holdings, Inc.		71,700		319,163
NS Solutions Corp.		500		9,809
Okumura Corp.		59,230		312,381
Omron Corp.		7,300		217,157
Otsuka Holdings Co. Ltd.		12,700		460,410
Rinnai Corp.		5,100		450,194
Rohm Co. Ltd.		15,960		670,101
Sanrio Co. Ltd.		14,200		276,868
Sawai Pharmaceutical Co. Ltd.		1,500		93,778
SCSK Corp.		500		19,508
Secom Co. Ltd.		1,200		89,161
Sega Sammy Holdings, Inc.		28,600		311,679
Seino Holdings Co. Ltd.		6,200		66,790
Seven & I Holdings Co. Ltd.		6,400		271,827
Shimamura Co. Ltd.		600		74,625
Shin-Etsu Chemical Co. Ltd.		25,188		1,302,726
Ship Healthcare Holdings, Inc.		5,600		140,786
The Shizuoka Bank Ltd.		9,000		64,900
SHO-BOND Holdings Co. Ltd.		200		7,587
SMC Corp.		800		185,687
Sohgo Security Services Co. Ltd.		2,800		151,693
Sompo Japan Nipponkoa Holdings		11,200		317,047
Sony Financial Holdings, Inc.		34,300		437,975
Stanley Electric Co. Ltd.		2,200		49,595
Sumco Corp.		39,000		245,138
Sumitomo Corp.		30,400		301,935
Sumitomo Electric Industries Ltd.		29,900		363,471
Sumitomo Mitsui Financial Group, Inc.		13,830		418,999
Suntory Beverage & Food Ltd.		5,700		256,131
Suzuki Motor Corp.		30,037		802,996
Toda Corp.		62,200		299,700
Tokyo Gas Co. Ltd.		234,988		1,095,114
Toyota Industries Corp.		32,721		1,470,184
Toyota Motor Corp.		15,000		791,076
Toyota Tsusho Corp.		7,800		176,136
Trend Micro, Inc.		4,000		146,059
TV Asahi Holdings Corp.		2,000		35,791
Ube Industries Ltd.		181,600		320,154

	Number of Shares		Value
Yahoo! Japan Corp.		54,400	$	230,986
Yamada Denki Co. Ltd.		72,300		341,251
Yamaha Corp.		5,500		165,592
Yamato Kogyo Co. Ltd.		300		6,509
				41,949,067
Kazakhstan — 0.0%
KazMunaiGas Exploration Production GDR (Kazakhstan) (d)		23,729		176,689
Luxembourg — 0.0%
RTL Group (a)		593		50,200
Malaysia — 0.1%
Axiata Group		189,512		286,068
Marshall Islands — 0.0%
Ocean Rig UDW, Inc.		16,575		13,596
Mexico — 0.3%
America Movil SAB de C.V. Sponsored ADR (Mexico)		21,593		335,339
America Movil SAB de C.V.		267,090		207,771
Fibra Uno Administracion SA de C.V.		319,231		742,593
Telesites SAB de C.V. (a)		438,072		247,217
				1,532,920
Netherlands — 1.7%
Airbus Group SE		18,534		1,229,842
Akzo Nobel NV		17,456		1,186,175
CNH Industrial NV		8,333		56,331
Constellium NV (a)		33,310		172,879
ING Groep NV		36,086		434,544
Koninklijke KPN NV		187,853		784,826
Koninklijke Philips NV		34,912		991,222
LyondellBasell Industries NV Class A		534		45,700
Mobileye NV (a)		8,009		298,656
Mylan NV (a)		27,032		1,252,933
Randstad Holding NV		7,008		386,905
SBM Offshore NV (a)		124,639		1,582,177
Unilever NV		28,489		1,272,464
				9,694,654
Netherlands Antilles — 0.2%
Schlumberger Ltd.		17,753		1,309,284
Norway — 0.1%
Statoil ASA		30,579		479,076
Portugal — 0.1%
NOS SGPS		47,038		312,666
Republic of Korea — 0.4%
Hyundai Motor Co.		6,135		817,799
Hyundai Wia Corp.		1,494		137,106
Samsung Electronics Co. Ltd.		923		1,058,699
Samsung SDI Co. Ltd.		1,130		97,774
SK Hynix, Inc.		15,557		383,298
				2,494,676

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
Singapore — 0.7%
Broadcom Ltd.		10	$	1,545
Capitaland Ltd.		469,400		1,068,707
Global Logistic Properties Ltd.		944,600		1,348,383
Keppel Corp. Ltd.		128,600		557,609
Singapore Telecommunications Ltd.		246,428		698,154
				3,674,398
Spain — 0.3%
Cellnex Telecom SAU (b)		60,907		970,835
Cia de Distribucion Integral Logista Holdings SA		330		7,438
Gas Natural SDG SA		10,772		217,650
Iberdrola SA		40,488		269,440
Merlin Properties Socimi SA		4,718		54,699
				1,520,062
Sweden — 0.1%
Svenska Handelsbanken AB Class A		32,790		414,737
Switzerland — 1.4%
Chubb Ltd.		10,370		1,235,543
Nestle SA		43,404		3,241,128
Novartis AG		12,212		882,139
Roche Holding AG		3,665		899,330
Syngenta AG		1,251		518,540
UBS Group AG		57,415		919,613
Zurich Financial Services AG		942		217,654
				7,913,947
Taiwan — 0.2%
Cheng Shin Rubber Industry Co. Ltd.		98,211		197,299
Delta Electronics, Inc.		15,000		65,727
Taiwan Semiconductor Manufacturing Co. Ltd.		113,000		565,192
Yulon Motor Co. Ltd.		122,000		118,338
				946,556
United Arab Emirates — 0.2%
Al Noor Hospitals Group PLC		30,072		386,380
NMC Health PLC		44,175		670,527
				1,056,907
United Kingdom — 3.5%
Aggreko PLC		24,311		374,226
Antofagasta PLC		64,644		432,460
AstraZeneca PLC		28,907		1,614,094
Aviva PLC		17,512		114,014
Berkeley Group Holdings PLC		4,372		201,264
BT Group PLC		82,874		521,969
Burberry Group PLC		4,608		90,261
Coats Group PLC (a)		111,362		44,669
Delphi Automotive PLC		14,978		1,123,650
Diageo PLC Sponsored ADR (United Kingdom)		6,139		662,214
GlaxoSmithKline PLC		49,986		1,012,844
Glencore PLC		202,743		456,315

	Number of Shares		Value
HSBC Holdings PLC		355,352	$	2,201,877
Integrated Diagnostics Holdings PLC (a) (b)		19,204		93,847
Legal & General Group PLC		53,194		178,545
Liberty Global PLC Series A (a)		10,623		408,985
Lloyds Banking Group PLC		375,921		364,879
National Grid PLC		41,703		590,841
Ophir Energy PLC (a)		168,458		185,062
Pearson PLC		31,763		397,985
Prudential PLC		31,670		587,393
Rio Tinto PLC		20,726		584,872
SABMiller PLC		54,890		3,354,413
Shire Ltd.		11,715		671,133
Smiths Group PLC		24,083		370,295
Spire Healthcare Group PLC (b)		170,057		873,509
Vodafone Group PLC		327,680		1,044,442
Vodafone Group PLC Sponsored ADR (United Kingdom)		31,870		1,021,433
				19,577,491
United States — 27.7%
3M Co.		731		121,807
AbbVie, Inc.		10,196		582,396
Activision Blizzard, Inc.		16,892		571,625
Adobe Systems, Inc. (a)		1,082		101,492
Aetna, Inc.		15,620		1,754,907
Agilent Technologies, Inc.		11,744		467,998
Air Products & Chemicals, Inc.		2,335		336,357
Alexion Pharmaceuticals, Inc. (a)		4,037		562,031
Alliance Data Systems Corp. (a)		385		84,700
Allstate Corp.		18,301		1,232,938
Alphabet, Inc. Class A (a)		1,223		933,027
Alphabet, Inc. Class C (a)		6,616		4,928,589
Altria Group, Inc.		18,161		1,137,968
Amazon.com, Inc. (a)		34		20,184
Amdocs Ltd.		2,241		135,401
American Airlines Group, Inc.		13,989		573,689
American Electric Power Co., Inc.		5,486		364,270
American International Group, Inc.		23,495		1,269,905
American Water Works Co., Inc.		11,040		760,987
Ameriprise Financial, Inc.		461		43,339
AmerisourceBergen Corp.		1,354		117,189
Amgen, Inc.		11,999		1,799,010
Anacor Pharmaceuticals, Inc. (a)		2,369		126,623
Anadarko Petroleum Corp.		55,190		2,570,198
Anthem, Inc.		7,673		1,066,470
Apple, Inc.		62,083		6,766,426
Archer-Daniels-Midland Co.		826		29,992
AT&T, Inc.		21,660		848,422
Bank of America Corp.		183,685		2,483,421
The Bank of New York Mellon Corp.		3,254		119,845
Baxalta, Inc.		2,832		114,413
Baxter International, Inc.		30,760		1,263,621
Bed Bath & Beyond, Inc. (a)		6,846		339,835

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
Berkshire Hathaway, Inc. Class A (a)		7	$	1,494,150
Berkshire Hathaway, Inc. Class B (a)		13,270		1,882,748
Biogen, Inc. (a)		2,133		555,263
The Boeing Co.		604		76,672
Bristol-Myers Squibb Co.		13,812		882,311
Calpine Corp. (a)		19,041		288,852
Cameron International Corp. (a)		1,198		80,326
Capital One Financial Corp.		1,576		109,233
Cardinal Health, Inc.		1,646		134,890
Catalent, Inc. (a)		24,723		659,362
Caterpillar, Inc.		3,656		279,830
Celgene Corp. (a)		5,904		590,931
The Charles Schwab Corp.		19,541		547,539
Chevron Corp.		881		84,047
Chipotle Mexican Grill, Inc. Class A (a)		599		282,111
Cintas Corp.		1,502		134,895
Cisco Systems, Inc.		62,732		1,785,980
Citigroup, Inc.		41,685		1,740,349
Citizens Financial Group, Inc.		1,111		23,275
Cliffs Natural Resources, Inc. (a)		2		5
CME Group, Inc.		5,353		514,156
The Coca-Cola Co.		16,400		760,796
Coca-Cola Enterprises, Inc.		1,243		63,070
Colfax Corp. (a)		13,622		389,453
Colgate-Palmolive Co.		11,373		803,502
Comcast Corp. Class A		35,383		2,161,194
Computer Sciences Corp.		2,450		84,255
CONSOL Energy, Inc.		111,605		1,260,020
Constellation Brands, Inc. Class A		1,354		204,576
Crown Castle International Corp.		4,625		400,062
CSX Corp.		14,918		384,138
CVS Health Corp.		13,485		1,398,799
DaVita HealthCare Partners, Inc. (a)		6,379		468,091
Delta Air Lines, Inc.		9,345		454,915
Delta Topco Ltd. (a) (c)		800,425		350,586
Discover Financial Services		4,312		219,567
DISH Network Corp. Class A (a)		10,429		482,446
Dominion Resources, Inc.		5,991		450,044
Dover Corp.		578		37,183
The Dow Chemical Co.		3,286		167,126
Dr. Pepper Snapple Group, Inc.		850		76,007
Dropbox, Inc. (a) (c)		87,114		943,445
DTE Energy Co.		2,075		188,119
eBay, Inc. (a)		13,537		322,993
Edgewell Personal Care Co.		17,348		1,397,034
Edison International		1,664		119,625
EI du Pont de Nemours & Co.		7,839		496,365
Electronic Arts, Inc. (a)		1,579		104,388
Eli Lilly & Co.		15,377		1,107,298
Envision Healthcare Holdings, Inc. (a)		28,420		579,768
EQT Corp.		14,596		981,727
Equity Residential		4,358		326,981
Exelon Corp.		1,680		60,245

	Number of Shares		Value
Expedia, Inc.		816	$	87,981
Exxon Mobil Corp.		9,951		831,804
Facebook, Inc. Class A (a)		22,448		2,561,317
FedEx Corp.		8,372		1,362,292
Fifth Third Bancorp		3,449		57,564
Fitbit, Inc. Class A (a)		25,675		388,976
FMC Corp.		10,410		420,252
Ford Motor Co.		76,748		1,036,098
General Dynamics Corp.		1,040		136,625
General Electric Co.		111,699		3,550,911
General Growth Properties, Inc.		5,773		171,631
Gilead Sciences, Inc.		5,193		477,029
Global Payments, Inc.		1,196		78,099
GoDaddy, Inc. Class A (a)		6,654		215,124
The Goldman Sachs Group, Inc.		6,183		970,607
The Goodyear Tire & Rubber Co.		2,500		82,450
The Hain Celestial Group, Inc. (a)		10,252		419,409
The Hartford Financial Services Group, Inc.		4,821		222,152
HCA Holdings, Inc. (a)		872		68,060
Helmerich & Payne, Inc.		1,461		85,790
The Hershey Co.		1,849		170,274
The Home Depot, Inc.		1,107		147,707
HP, Inc.		40,656		500,882
HTG Molecular Diagnostics, Inc. (a)		4,196		12,043
Intel Corp.		24,690		798,721
International Business Machines Corp.		7,735		1,171,466
International Paper Co.		2,253		92,463
Intuit, Inc.		1,273		132,405
Invitae Corp. (a)		22,726		232,487
Johnson & Johnson		23,399		2,531,772
JP Morgan Chase & Co.		50,055		2,964,257
Kansas City Southern		6,901		589,690
Kimberly-Clark Corp.		2,335		314,081
KLA-Tencor Corp.		1,379		100,405
The Kraft Heinz Co.		4,142		325,396
The Kroger Co.		14,900		569,925
Las Vegas Sands Corp.		5,502		284,343
Lear Corp.		1,511		167,978
Liberty Broadband Corp. (a)		4,203		244,446
Liberty Broadband Corp. (a)		9,603		556,494
Liberty Media Corp. Class A (a)		14,895		575,394
Liberty Media Corp. Class C (a)		27,930		1,063,854
Lincoln National Corp.		1,513		59,310
Lookout, Inc. (a) (c)		3,711		35,518
Lowe’s Cos., Inc.		1,475		111,731
Marathon Oil Corp.		115,278		1,284,197
Marathon Petroleum Corp.		104,429		3,882,670
Marsh & McLennan Cos., Inc.		12,023		730,878
MasterCard, Inc. Class A		10,930		1,032,885
McDonald’s Corp.		967		121,533
McKesson Corp.		13,121		2,063,277
Merck & Co., Inc.		18,714		990,158

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
MetLife, Inc.		5,720	$	251,337
Micron Technology, Inc. (a)		54,066		566,071
Microsoft Corp.		33,914		1,873,070
Mondelez International Inc. Class A		25,004		1,003,160
Monsanto Co.		2,250		197,415
Morgan Stanley		1,384		34,614
NextEra Energy Partners LP		14,467		393,358
NextEra Energy, Inc.		10,205		1,207,660
NIKE, Inc. Class B		1,326		81,509
Northrop Grumman Corp.		913		180,683
NRG Energy, Inc.		10,203		132,741
NRG Yield, Inc. Class A		1,327		18,007
NRG Yield, Inc. Class C		1,321		18,811
Nucor Corp.		3,417		161,624
Oracle Corp.		47,695		1,951,202
Paccar, Inc.		8,400		459,396
PayPal Holdings, Inc. (a)		2,360		91,096
PepsiCo, Inc.		16,786		1,720,229
Pfizer, Inc.		99,079		2,936,702
Phillips 66		6,714		581,365
Pioneer Natural Resources Co.		3,401		478,657
PPG Industries, Inc.		1,530		170,580
The Procter & Gamble Co.		30,957		2,548,071
Prologis, Inc.		9,826		434,113
Prudential Financial, Inc.		1,349		97,425
PulteGroup, Inc.		6,518		121,952
Pure Storage, Inc. (a)		26,888		368,097
Qorvo, Inc. (a)		4,056		204,463
QUALCOMM, Inc.		34,873		1,783,405
Raytheon Co.		1,110		136,119
Regeneron Pharmaceuticals, Inc. (a)		396		142,734
Reinsurance Group of America, Inc. Class A		1,265		121,756
Rockwell Automation, Inc.		1,066		121,257
Scripps Networks Interactive Class A		606		39,693
Sealed Air Corp.		1,317		63,229
Sempra Energy		6,183		643,341
Simon Property Group, Inc.		6,662		1,383,631
Skyworks Solutions, Inc.		2,213		172,393
Southern Copper Corp.		16,630		460,817
Southwest Airlines Co.		7,352		329,370
Square, Inc. (a)		16,959		259,134
Starbucks Corp.		787		46,984
Steel Dynamics, Inc.		14,303		321,961
Stryker Corp.		999		107,183
SunTrust Banks, Inc.		10,823		390,494
Surgery Partners, Inc. (a)		10,514		139,416
Synchrony Financial (a)		24,114		691,107
Target Corp.		7,658		630,100
Tenet Healthcare Corp. (a)		25,098		726,085
TESARO, Inc. (a)		3,745		164,892
Textron, Inc.		36,641		1,335,931
The St. Joe Co. (a)		86,414		1,482,000

	Number of Shares		Value
Thermo Fisher Scientific, Inc.		4,446	$	629,509
Tiffany & Co.		5,979		438,739
Time Warner Cable, Inc.		3,810		779,602
Time Warner, Inc.		5,239		380,089
The Travelers Cos., Inc.		3,541		413,270
U.S. Bancorp		28,560		1,159,250
Union Pacific Corp.		6,779		539,269
United Continental Holdings, Inc. (a)		20,967		1,255,085
United Parcel Service, Inc. Class B		4,608		486,006
United Rentals, Inc. (a)		14,929		928,434
United Technologies Corp.		8,262		827,026
UnitedHealth Group, Inc.		1,320		170,148
Univar, Inc. (a)		19,551		335,886
Unum Group		16,210		501,213
Urban Outfitters, Inc. (a)		10,633		351,846
Valero Energy Corp.		2,563		164,391
Veeva Systems, Inc. Class A (a)		26,509		663,785
VeriSign, Inc. (a)		1,552		137,414
Verizon Communications, Inc.		28,102		1,519,756
Verizon Communications, Inc. (c)		6,075		328,354
Visa, Inc. Class A		21,501		1,644,396
VMware, Inc. Class A (a)		7,350		384,478
Wal-Mart Stores, Inc.		22,374		1,532,395
Walgreens Boots Alliance, Inc.		10,483		883,088
Wells Fargo & Co.		61,927		2,994,790
Welltower, Inc. (a)		9,344		580,262
Western Digital Corp.		9,919		468,574
WestRock Co.		24,724		964,978
Whirlpool Corp.		5,129		924,964
The WhiteWave Foods Co. (a)		6,618		268,956
Whiting Petroleum Corp. (a)		72,358		577,417
Whole Foods Market, Inc.		9,021		280,643
The Williams Cos., Inc.		76,775		1,233,774
Williams-Sonoma, Inc.		5,163		282,623
Wyndham Worldwide Corp.		1,386		105,932
Yahoo!, Inc. (a)		8,586		316,051
				155,531,462
TOTAL COMMON STOCK (Cost $298,296,169)				293,770,647
PREFERRED STOCK — 2.9%
Brazil — 0.0%
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A 1.110%		9,552		132,429
Germany — 0.2%
Volkswagen AG 1.580%		6,454		820,882
Ireland — 0.3%
Allergan PLC 5.500%		1,530		1,406,284
Israel — 0.2%
Teva Pharmaceutical Industries Ltd. 7.000%		1,536		1,357,732

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
Republic of Korea — 0.1%
Samsung Electronics Co. Ltd. 1.530%		639		$	618,294
United Kingdom — 0.1%
HSBC Holdings PLC 8.000%		11,658			305,439
Royal Bank of Scotland Group PLC, Series T 7.250%		10,844			275,980
					581,419
United States — 2.0%
American Tower Corp. 5.250%		2,917			306,868
Anthem, Inc. 5.250%		19,469			909,008
Citigroup Capital XIII, 3 mo. LIBOR US + 6.370%, VRN 6.988%		19,082			501,666
Crown Castle International Corp. 4.500%		6,394			685,437
Dominion Resources, Inc. 6.375%		5,290			266,087
Domo, Inc. Series E, Convertible (a) (c)		123,741			960,960
Forestar Group, Inc. 6.000%		11,120			170,933
GMAC Capital Trust I, 3 mo. LIBOR US + 5.785%, VRN 6.402%		25,667			629,098
Grand Rounds, Inc. Series C, Convertible (a) (c)		121,323			308,949
Lookout Inc., Series F (a) (c)		55,056			526,946
Palantir Technologies, Inc. Series I (a) (c)		107,092			1,141,601
RBS Capital Funding Trust V 5.900%		16,195			390,785
RBS Capital Funding Trust VII, Series G 6.080%		20,062			483,895
Uber Technologies, Inc., Series D (a) (c)		65,060			3,173,119
US Bancorp, Series F, 3 mo. LIBOR US + 4.468%, VRN 6.500%		10,544			310,205
US Bancorp, Series G, 3 mo. LIBOR US + 4.861%, VRN 6.000%		6,837			179,882
Wells Fargo & Co. 7.500%		190			228,952
					11,174,391
TOTAL PREFERRED STOCK (Cost $14,301,680)					16,091,431
TOTAL EQUITIES (Cost $312,597,849)					309,862,078
	Principal Amount
BONDS & NOTES — 32.2%
BANK LOANS — 1.1%
Luxembourg — 0.0%			��
Endo Luxembourg Finance Co. I SARL, 2015 Term Loan B 3.750% 9/26/22	$	83,730			82,369

	Principal Amount		Value
Mallinckrodt International Finance S.A., Term Loan B 3.250% 3/19/21	$	162,876	$	156,700
				239,069
Netherlands — 0.2%
Promontoria Blue Holding 2 B.V., Mezzanine EUR (e) 7.000% 4/17/20		799,188		909,396
Norway — 0.0%
Drillships Financing Holding, Inc., Term Loan B1 6.000% 3/31/21		336,582		119,699
United States — 0.9%
Calpine Corp., Term Loan B5 3.500% 5/27/22		521,063		513,653
Drillships Ocean Ventures, Inc., Term Loan B 5.500% 7/25/21		294,183		134,039
Fieldwood Energy LLC, 2nd Lien Term Loan 8.375% 9/30/20		471,533		81,929
Grifols Worldwide Operations USA, Inc., USD Term Loan B 3.433% 2/27/21		1,026,885		1,025,499
Hilton Worldwide Finance LLC, USD Term Loan B2 3.500% 10/26/20		1,267,146		1,266,754
Novelis, Inc., 2015 Term Loan B 4.000% 5/18/22		297,750		289,562
Seadrill Partners Finco LLC, Term Loan B 4.000% 2/21/21		627,776		276,221
Sheridan Production Partners II, L.P., Term Loan B 4.250% 12/16/20		693,504		277,401
Sheridan Production Partners II, L.P., Term Loan A 4.250% 12/16/20		96,447		38,579
Sheridan Production Partners II, L.P., Term Loan M 4.250% 12/16/20		35,972		14,389
Univar, Inc., 2015 Term Loan 4.250% 6/30/22		502,475		494,626
Univision Communications, Inc., Term Loan C4 4.000% 3/01/20		672,910		665,548
				5,078,200
TOTAL BANK LOANS (Cost $7,905,325)				6,346,364

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

10

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
CORPORATE DEBT — 9.2%
Argentina — 0.2%
Empresa Distribuidora Y Comercializadora Norte (b) 9.750% 10/25/22	$	80,000	$	81,600
IRSA Propiedades Comerciales S.A. (b) 8.750% 3/23/23		252,000		252,378
YPF SA (b) 8.500% 7/28/25		1,053,000		1,026,148
				1,360,126
Australia — 0.2%
TFS Corp. Ltd. (Acquired 6/16/11, Cost $1,131,971) (b) (f) 11.000% 7/15/18		1,083,000		1,126,320
Canada — 0.1%
First Quantum Minerals Ltd. (d) 6.750% 2/15/20		253,000		173,305
First Quantum Minerals Ltd. (d) 7.000% 2/15/21		748,000		501,160
				674,465
Cayman Islands — 0.3%
Alibaba Group Holding Ltd. 3.125% 11/28/21		565,000		575,793
Alibaba Group Holding Ltd. 3.600% 11/28/24		269,000		271,277
Hutchison Whampoa International 11 Ltd. (b) 3.500% 1/13/17		348,000		353,298
Odebrecht Finance Ltd. (b) 4.375% 4/25/25		400,000		173,000
SINA Corp., Convertible 1.000% 12/01/18		309,000		302,434
Sun Hung Kai Properties Capital Market Ltd. (d) 4.500% 2/14/22		200,000		218,854
				1,894,656
Chile — 0.0%
Inversiones Alsacia SA (b) 8.000% 12/31/18		441,736		26,504
France — 0.2%
BNP Paribas SA 2.400% 12/12/18		827,000		840,552
Germany — 0.1%
Deutsche Bank AG 1.875% 2/13/18		321,000		318,957
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (b) 5.500% 1/15/23		202,000		207,050
				526,007

	Principal Amount		Value
India — 0.2%
REI Agro Ltd., Convertible (Acquired 12/02/09, Cost $614,910) (b) (f) (g) 5.500% 11/13/49	$	618,000	$	3,090
Suzlon Energy Ltd. STEP (b) 5.750% 7/16/19		1,196,000		1,188,525
				1,191,615
Ireland — 0.0%
GE Capital International Funding Co. (b) 2.342% 11/15/20		202,000		206,937
Italy — 0.2%
Intesa Sanpaolo SpA 3.875% 1/15/19		746,000		767,574
Telecom Italia SpA (b) 5.303% 5/30/24		487,000		499,175
				1,266,749
Japan — 0.1%
Sumitomo Mitsui Banking Corp. 2.450% 1/10/19		439,000		446,154
Luxembourg — 0.3%
Actavis Funding SCS 3.000% 3/12/20		481,000		494,568
Intelsat Jackson Holdings SA 7.500% 4/01/21		483,000		306,705
Intelsat Jackson Holdings SA (b) 8.000% 2/15/24		135,000		139,050
Telecom Italia Finance SA EUR (b) (e) 6.125% 11/15/16		400,000		542,892
				1,483,215
Mexico — 0.2%
Petroleos Mexicanos 3.500% 7/23/20		550,000		539,000
Petroleos Mexicanos 5.750% 3/01/18		406,000		427,315
Trust F/1401 (b) 5.250% 12/15/24		270,000		274,725
				1,241,040
Netherlands — 0.3%
Bio City Development Co. B.V. (Acquired 7/06/11, Cost $1,400,000) (b) (c) (f) 8.000% 7/06/18		1,400,000		539,840
Constellium NV EUR (b) (e) 7.000% 1/15/23		250,000		232,701
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands 3.950% 11/09/22		251,000		257,116
ING Groep NV USD 5 year swap rate + 4.445%, VRN 6.000% 12/29/49		280,000		261,975

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

11

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Volkswagen International Finance NV (d) 4.000% 8/12/20	$	188,000	$	195,966
				1,487,598
Singapore — 0.3%
CapitaLand Ltd. SGD (b) (e) 1.950% 10/17/23		500,000		369,107
CapitaLand Ltd., Convertible SGD (d) (e) 2.100% 11/15/16		750,000		552,964
Global Logistic Properties Ltd. (d) 3.875% 6/04/25		844,000		837,468
				1,759,539
Spain — 0.2%
Telefonica Participaciones SAU EUR (d) (e) 4.900% 9/25/17		700,000		715,443
Telefonica SA EUR (d) (e) 6.000% 7/24/17		200,000		238,731
				954,174
Switzerland — 0.1%
UBS AG 2.375% 8/14/19		325,000		329,909
United Arab Emirates — 0.2%
Dana Gas Sukuk Ltd., Convertible (b) 7.000% 10/31/17		1,130,070		960,559
United Kingdom — 0.5%
HSBC Holdings PLC USD 5 Year Swap Rate + 3.705%, VRN 6.375% 12/29/49		905,000		840,519
Lloyds Bank PLC 2.300% 11/27/18		200,000		201,633
Lloyds TSB Bank PLC 5 Year UK Gilt + 13.400%, VRN GBP (e) 13.000% 12/31/49		465,000		1,103,520
Standard Chartered PLC USD 5 year swap rate + 4.889%, VRN (b) 6.500% 12/31/49		385,000		336,724
UBS Group Funding Jersey Ltd. (b) 4.125% 9/24/25		420,000		420,599
				2,902,995
United States — 5.5%
AbbVie, Inc. 2.500% 5/14/20		592,000		602,699
AliphCom, Convertible (c) 12.000% 4/01/20		191,000		194,820
AliphCom, Convertible (c) 12.000% 4/01/20		2,617,000		2,669,340
Ally Financial, Inc. 2.750% 1/30/17		434,000		431,830

	Principal Amount		Value
Ally Financial, Inc. 3.500% 1/27/19	$	302,000	$	297,470
American Express Co. 3 mo. LIBOR US + 3.285%, VRN 4.900% 12/29/49		311,000		279,122
American Tower Corp. 3.400% 2/15/19		134,000		137,369
Anheuser-Busch InBev Finance, Inc. 2.650% 2/01/21		1,356,000		1,393,408
Apple, Inc. 2.250% 2/23/21		995,000		1,013,729
AT&T, Inc. 2.375% 11/27/18		689,000		703,838
AT&T, Inc. 3.000% 6/30/22		1,138,000		1,154,547
Bank of America Corp. 3 mo. LIBOR US + 1.070%, FRN 1.694% 3/22/18		230,000		230,402
Bank of America Corp. 2.000% 1/11/18		279,000		280,149
Bank of America Corp. 2.600% 1/15/19		274,000		278,633
Berkshire Hathaway, Inc. 2.200% 3/15/21		135,000		137,866
Berkshire Hathaway, Inc. 2.750% 3/15/23		387,000		394,680
BioMarin Pharmaceutical, Inc., Convertible 0.750% 10/15/18		152,000		176,035
BioMarin Pharmaceutical, Inc., Convertible 1.500% 10/15/20		147,000		174,287
Cablevision Systems Corp. 5.875% 9/15/22		203,000		171,028
Capital One Bank USA NA 2.150% 11/21/18		360,000		359,724
Chesapeake Energy Corp. (b) 8.000% 12/15/22		202,000		98,980
Cisco Systems, Inc. 2.200% 2/28/21		384,000		391,640
Citigroup, Inc. 1.800% 2/05/18		791,000		790,200
Citigroup, Inc. 3 mo. LIBOR US + 4.059%, VRN 5.875% 12/29/49		579,000		559,459
Citigroup, Inc. 3 mo. LIBOR US + 4.068%, VRN 5.950% 12/31/49		206,000		198,468
Cobalt International Energy, Inc., Convertible 2.625% 12/01/19		656,000		327,180

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
Cobalt International Energy, Inc., Convertible 3.125% 5/15/24	$	806,000	$	324,415
Credit Suisse Group Guernsey I Ltd. USD 5 year swap rate + 5.220%, VRN (d) 7.875% 2/24/41		310,000		314,030
Delta Topco Ltd. (c) 10.000% 11/24/60		738,372		740,587
eBay, Inc. 2.200% 8/01/19		187,000		187,985
eBay, Inc. 3.800% 3/09/22		514,000		529,151
Edgewell Personal Care Co 4.700% 5/24/22		135,000		137,700
Edgewell Personal Care Co. 4.700% 5/19/21		268,000		284,285
Ford Motor Credit Co. LLC 1.724% 12/06/17		487,000		483,410
Ford Motor Credit Co. LLC 2.375% 1/16/18		366,000		366,653
Ford Motor Credit Co. LLC 2.551% 10/05/18		200,000		200,692
Ford Motor Credit Co. LLC 5.000% 5/15/18		452,000		477,278
Forest Laboratories, Inc. (b) 4.375% 2/01/19		353,000		374,541
Forest Laboratories, Inc. (b) 5.000% 12/15/21		249,000		277,989
Freeport-McMoRan, Inc. 3.875% 3/15/23		259,000		175,473
General Electric Capital Corp. 5.550% 5/04/20		71,000		81,755
General Electric Capital Corp. 3 mo. LIBOR US + 2.289%, VRN 6.375% 11/15/67		324,000		333,720
General Electric Co. 3 mo. LIBOR US + 3.330%, VRN 5.000% 12/29/49		493,000		507,790
General Motors Financial Co., Inc. 2.400% 4/10/18		182,000		181,959
General Motors Financial Co., Inc. 3.500% 7/10/19		419,000		429,648
Gilead Sciences, Inc., Convertible 1.625% 5/01/16		209,000		859,643
The Goldman Sachs Group, Inc. 3 mo. LIBOR US + 3.922%, VRN 5.375% 12/29/49		500,000		483,700
The Goldman Sachs Group, Inc. 3 mo. LIBOR US + 3.884%, VRN 5.700% 12/31/49		477,000		466,267
Hewlett-Packard Co. (b) 2.850% 10/05/18		1,076,000		1,094,068

	Principal Amount		Value
Hughes Satellite Systems Corp. 7.625% 6/15/21	$	103,000	$	114,845
Hyundai Capital America (b) 2.000% 3/19/18		215,000		216,519
Intel Corp., Convertible 3.250% 8/01/39		168,000		267,225
JP Morgan Chase & Co. 4.350% 8/15/21		230,000		251,323
JP Morgan Chase & Co. 3 mo. LIBOR US + 3.250%, VRN 5.150% 12/29/49		551,000		529,070
JP Morgan Chase & Co. 3 mo. LIBOR US + 3.330%, VRN 6.100% 10/29/49		1,299,000		1,323,694
McKesson Corp. 2.284% 3/15/19		303,000		306,646
Medtronic, Inc. 3.150% 3/15/22		619,000		656,519
Merrill Lynch & Co., Inc. 6.875% 4/25/18		272,000		298,662
Morgan Stanley 3 mo. LIBOR US + 3.610%, VRN 5.450% 12/31/49		353,000		333,585
Mylan, Inc. /PA 2.550% 3/28/19		382,000		382,404
NBCUniversal Enterprise, Inc. (b) 5.250% 12/31/49		300,000		309,000
QUALCOMM, Inc. 3.000% 5/20/22		959,000		999,917
Sabine Pass Liquefaction LLC STEP 5.625% 4/15/23		252,000		239,400
Synchrony Financial 3.750% 8/15/21		145,000		148,846
T-Mobile USA, Inc. 6.000% 4/15/24		314,000		317,925
Take-Two Interactive Software, Inc., Convertible 1.750% 12/01/16		236,000		465,362
Twitter, Inc., Convertible 1.000% 9/15/21		124,000		103,850
USB Capital IX 3 mo. LIBOR US + 1.020%, VRN 3.500% 10/29/49		497,000		367,780
Volkswagen Group of America Finance LLC (d) 2.450% 11/20/19		276,000		274,235
YPF SA (b) 8.875% 12/19/18		347,000		360,186
				31,026,635
TOTAL CORPORATE DEBT (Cost $53,823,735)				51,705,749

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
SOVEREIGN DEBT OBLIGATIONS — 7.4%
Argentina — 0.3%
Argentina Bonar Bonds 8.750% 5/07/24	$	931,258	$	975,253
City of Buenos Aires Argentina (b) 8.950% 2/19/21		327,000		350,707
Provincia de Buenos Aires (b) 9.125% 3/16/24		318,000		326,904
				1,652,864
Australia — 0.7%
Australia Government Bond AUD (d) (e) 5.750% 5/15/21		4,600,000		4,147,816
Brazil — 0.4%
Brazil Notas do Tesouro Nacional Serie B BRL (e) 6.000% 8/15/22		317,000		243,716
Brazil Notas do Tesouro Nacional Serie F BRL (e) 10.000% 1/01/21		4,784,000		1,165,775
Republic of Brazil 6.000% 1/17/17		638,000		657,459
				2,066,950
Canada — 0.6%
Canadian Government Bond CAD (e) 0.250% 5/01/18		4,084,000		3,125,695
Colombia — 0.1%
Colombia Government International Bond 7.375% 1/27/17		562,000		586,728
Hungary — 0.6%
Hungary Government Bond HUF (e) 5.500% 6/24/25		298,830,000		1,318,879
Hungary Government International Bond 6.375% 3/29/21		1,854,000		2,106,255
				3,425,134
Indonesia — 0.1%
Indonesia Treasury Bond IDR (e) 8.250% 7/15/21		6,783,000,000		529,463
Republic of Indonesia (b) 6.875% 1/17/18		316,000		342,795
				872,258
Italy — 0.6%
Italy Buoni Poliennali Del Tesoro EUR (e) 1.500% 6/01/25		2,924,000		3,431,042

	Principal Amount		Value
Japan — 0.7%
Japan Government Two Year Bond JPY (e) 0.100% 3/15/17	$	134,750,000	$	1,199,897
Japan Government Two Year Bond JPY (e) 0.100% 3/15/18		312,950,000		2,797,600
				3,997,497
Mexico — 1.1%
Mexican Bonos MXN (e) 6.500% 6/10/21		90,883,800		5,524,285
United Mexican States 5.625% 1/15/17		702,000		724,113
				6,248,398
Poland — 0.9%
Poland Government Bond PLN (e) 2.500% 7/25/26		4,062,000		1,056,125
Poland Government Bond PLN (e) 3.250% 7/25/25		3,660,000		1,023,059
Poland Government Bond PLN (e) 5.250% 10/25/20		5,407,000		1,656,357
Poland Government Bond PLN (e) 5.750% 10/25/21		2,660,000		844,938
Poland Government International Bond 6.375% 7/15/19		460,000		522,965
				5,103,444
Republic of Korea — 0.2%
Export-Import Bank of Korea 2.625% 12/30/20		698,000		715,084
Export-Import Bank of Korea 2.875% 9/17/18		200,000		205,147
				920,231
Turkey — 0.1%
Republic of Turkey International Bond 6.750% 4/03/18		376,000		404,700
United Kingdom — 1.0%
Logistics GBP (Acquired 8/03/15, Cost $373,518) (b) (e) (f) 4.190% 8/20/25		389,000		525,179
United Kingdom Gilt GBP (d) (e) 2.000% 9/07/25		3,211,489		4,852,810
				5,377,989
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $41,408,164)				41,360,746

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
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.6%
United States — 0.6%
Pass-Through Securities — 0.6%
Federal National Mortgage Association TBA, Pool #6237 (h) 3.000% 1/01/43	$	3,121,888	$	3,202,618
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $3,184,509)				3,202,618
U.S. TREASURY OBLIGATIONS — 13.9%
United States — 13.9%
U.S. Treasury Inflation Index 0.375% 7/15/25		3,551,709		3,629,264
U.S. Treasury Inflation Index 0.625% 1/15/26		13,207,225		13,807,229
U.S. Treasury Note (i) 0.875% 1/31/17		1,614,600		1,618,321
U.S. Treasury Note 1.125% 2/28/21		36,862,500		36,714,906
U.S. Treasury Note 1.625% 2/15/26		5,886,500		5,801,882
U.S. Treasury Note (j) 1.750% 3/31/22		2,329,300		2,370,791
U.S. Treasury Note 1.750% 9/30/22		3,285,400		3,335,451
U.S. Treasury Note (j) 1.875% 8/31/22		3,030,900		3,101,226
U.S. Treasury Note 1.875% 10/31/22		2,966,200		3,034,069
U.S. Treasury Note 2.000% 8/15/25		4,522,100		4,608,656
				78,021,795
TOTAL U.S. TREASURY OBLIGATIONS (Cost $76,711,060)				78,021,795
TOTAL BONDS & NOTES (Cost $183,032,793)				180,637,272
	Number of Shares
MUTUAL FUNDS — 2.8%
Diversified Financial — 2.8%
United States — 2.8%
BlackRock Liquidity Funds TempFund Portfolio		3,344,218		3,344,218
ETFS Gold Trust (i)		14,400		1,728,144

	Number of Shares		Value
ETFS Physical Palladium Shares (i)		4,767	$	258,800
ETFS Platinum Trust (i)		3,939		370,424
iShares Gold Trust (a) (i)		157,258		1,868,225
SPDR Gold Trust (i)		72,167		8,486,839
				16,056,650
TOTAL MUTUAL FUNDS (Cost $17,668,948)				16,056,650
	Units
PURCHASED OPTIONS — 0.3%
Brazil — 0.0%
Ibovespa Index, Put, Expires 4/13/16, Strike 40,000.00		87		130
Germany — 0.1%
EUR Call USD Put, Expires 7/27/16, Strike 1.12		1,091,125		40,714
EUR Call USD Put, Expires 7/27/16, Strike 1.12		1,091,125		19,416
Euro STOXX 50 Index, Call, Expires 12/15/17, Strike 3,500.00		453		37,036
Euro STOXX 50 Index, Call, Expires 3/16/18, Strike 3,500.00		377		33,642
Euro STOXX 50 Index, Call, Expires 3/17/17, Strike 3,025.00		118		24,697
Euro STOXX 50 Index, Call, Expires 3/17/17, Strike 3,025.00		118		24,697
Euro STOXX 50 Index, Call, Expires 3/17/17, Strike 3,450.00		223		12,510
Euro STOXX 50 Index, Call, Expires 6/15/18, Strike 3,600.00		182		13,958
Euro STOXX 50 Index, Call, Expires 6/16/17, Strike 3,150.00		440		65,163
Euro STOXX 50 Index, Call, Expires 9/15/17, Strike 3,600.00		443		22,035
Euro STOXX 50 Index, Call, Expires 9/21/18, Strike 3,426.55		190		24,326
STOXX Europe 600 Index, Call, Expires 3/18/17, Strike 355.61		4,020		50,324
STOXX Europe 600 Index, Call, Expires 6/17/16, Strike 345.00		2,173		14,341
STOXX Europe 600 Index, Call, Expires 9/15/17, Strike 372.06		2,765		28,728
STOXX Europe 600 Index, Call, Expires 9/16/16, Strike 375.00		5,466		13,530
				425,117

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

15

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Notional Amount		Value
Japan — 0.0%
6-Month JPY LIBOR BBA 10 year Swaption, Put, Expires 7/29/16, Strike 1.25 (OTC - Deutsche Bank AG); Underlying swap terminates 8/02/26	$	159,980,000	$	640
6-Month JPY LIBOR BBA 5 year Swaption, Put, Expires 4/4/18, Strike 1.07 (OTC - Deutsche Bank AG); Underlying swap terminates 4/06/23		143,913,000		442
	Units
Nikkei 225 Index, Call, Expires 3/09/18, Strike 21,968.28		14,480		41,774
Topix Index, Call, Expires 6/10/16, Strike 1,675.00		116,800		326
				43,182
Taiwan — 0.0%
Taiwan TWSE Index, Call, Expires 12/20/17, Strike 9,000.00		5,574		58,340
Taiwan TWSE Index, Call, Expires 9/20/17, Strike 9,000.00		5,464		57,423
Taiwan TWSE Index, Call, Expires 9/21/16, Strike 9,000.77		5,800		22,612
				138,375
	Notional Amount
United States — 0.2%
3-Month USD LIBOR BBA 10 year Swaption, Call, Expires 6/13/16, Strike 1.35 (OTC - Deutsche Bank AG); Underlying swap terminates 6/15/21	$	12,470,000		121,843
	Units
Apple, Inc., Call, Expires 9/16/16, Strike 100.00		11,780		145,070
Bank of New York Mellon Corp., Call, Expires 5/20/16, Strike 46.00		51,435		194
Chipotle Mexican Grill, Inc., Call, Expires 6/17/16, Strike 530.00		1		990
Gentex Corp., Put, Expires 9/16/16, Strike 12.50		48,291		10,866
Gilead Sciences, Inc., Call, Expires 5/20/16, Strike 99.00		6,808		6,340
Goldman Sachs Group, Inc., Call, Expires 5/20/16, Strike 220.00		12,300		1
Johnson & Johnson Co., Call, Expires 4/15/16, Strike 103.00		14,663		83,434
KeyCorp, Call, Expires 5/20/16, Strike 15.75		68,581		3
MetLife Inc., Call, Expires 1/20/17, Strike 50.00		10,841		14,039

	Units		Value
MetLife Inc., Call, Expires 1/20/17, Strike 52.50		9,900	$	7,970
Morgan Stanley, Call, Expires 5/20/16, Strike 40.75		51,435		1
Prudential Financial, Inc., Call, Expires 1/20/17, Strike 87.50		12,100		17,727
QUALCOMM, Inc., Call, Expires 5/19/17, Strike 52.50		21,360		90,416
SPDR Gold Shares, Call, Expires 4/15/16, Strike 117.00 (i)		154		31,416
SPDR Gold Shares, Call, Expires 5/20/16, Strike 117.00 (i)		129		43,215
SPDR Gold Shares, Call, Expires 5/20/16, Strike 118.00 (i)		154		43,582
SPDR Gold Shares, Call, Expires 6/17/16, Strike 120.00 (i)		154		44,352
SPDR Gold Shares, Call, Expires 6/17/16, Strike 121.00 (i)		15,469		38,208
SPDR Gold Shares, Call, Expires 6/30/16, Strike 121.00 (i)		156		42,120
SPDR Gold Shares, Call, Expires 9/16/16, Strike 120.00 (i)		15,600		71,370
SPDR Gold Shares, Call, Expires 9/30/16, Strike 125.00 (i)		156		49,140
SunTrust Banks, Inc., Call, Expires 5/20/16, Strike 45.50		51,400		521
Teva Pharmaceutical Industries Ltd., Call, Expires 5/20/16, Strike 63.50		13,700		1,666
USD Call EUR Put, Expires 7/27/16, Strike 1.12		1,247,168		18,948
USD Call EUR Put, Expires 7/27/16, Strike 1.12		1,247,168		41,982
Wells Fargo & Co., Call, Expires 5/20/16, Strike 59.00		51,435		65
				925,479
TOTAL PURCHASED OPTIONS (Cost $3,606,477)				1,532,283
	Number of Shares
WARRANTS — 0.0%
Australia — 0.0%
TFS Corp. Ltd., Expires 7/15/18, Strike 1.28 (a)		222,000		118,809
TOTAL WARRANTS (Cost $0)				118,809
TOTAL LONG-TERM INVESTMENTS (Cost $516,906,067)				508,207,092

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

16

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 11.0%
Short-Term Instruments — 0.0%
Brown Brothers Overnight Sweep EUR (e) 0.000% 4/01/16	$	66,136	$	75,256
Brown Brothers Overnight Sweep CAD (e) 0.000% 4/01/16		2,505		1,928
Brown Brothers Overnight Sweep JPY (e) 0.000% 4/01/16		6,282,450		55,822
Brown Brothers Overnight Sweep ZAR (e) 0.000% 4/01/16		10		1
				133,007
Sovereign Debt Obligations — 6.4%
Japan Treasury Discount Bill JPY (e) 0.000% 4/18/16		360,000,000		3,198,720
Japan Treasury Discount Bill JPY (e) 0.000% 5/16/16		170,000,000		1,510,685
Japan Treasury Discount Bill JPY (e) 0.000% 5/23/16		580,000,000		5,154,180
Japan Treasury Discount Bill JPY (e) 0.000% 5/30/16		600,000,000		5,331,990
Japan Treasury Discount Bill JPY (e) 0.000% 6/06/16		610,000,000		5,420,911
Japan Treasury Discount Bill JPY (e) 0.000% 6/20/16		630,000,000		5,598,763
Japan Treasury Discount Bill JPY (e) 0.000% 9/12/16		300,000,000		2,666,408
Japan Treasury Discount Bill JPY (e) 0.000% 4/11/16		540,000,000		4,798,023
Mexico Cetes MXN (e) 0.000% 4/28/16		14,073,620		812,201
Mexico Cetes MXN (e) 0.000% 4/14/16		21,800,000		1,259,953
				35,751,834
Time Deposit — 0.0%
Brown Brothers Time Deposit 0.140% 4/01/16		140,072		140,072
				140,072
U.S. Treasury Bills — 4.6%
U.S. Treasury Bill 0.000% 4/14/16		844,000		843,970
U.S. Treasury Bill 0.000% 5/05/16		7,000,000		6,999,398
U.S. Treasury Bill 0.000% 5/05/16		1,000,000		999,914
U.S. Treasury Bill 0.000% 6/09/16		17,000,000		16,994,067
				25,837,349

				Value
TOTAL SHORT-TERM INVESTMENTS (Cost $61,483,864)				$	61,862,262
TOTAL INVESTMENTS — 101.5% (Cost $578,389,931) (k)					570,069,354
Other Assets/(Liabilities) — (1.5)%					(8,460,533	)
NET ASSETS — 100.0%				$	561,608,821
	Number of Shares
EQUITIES SOLD SHORT — (0.1)%
United States — (0.1)%
Canadian Natural Resources Ltd.		(8,151	)	$	(220,077	)
Gentex Corp.		(17,865	)		(280,302	)
					(500,379	)
TOTAL EQUITIES SOLD SHORT (Cost $(498,664))					(500,379	)

Notes to Consolidated Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

FRN Floating Rate Note

GBP British Pound

GDR Global Depositary Receipt

HUF Hungarian Forint

IDR Indonesian Rupiah

JPY Japanese Yen

MXN Mexican Peso

PLN Polish Zloty

SGD Singapore Dollar

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

(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 March 31, 2016, these securities amounted to a value of $15,866,845 or 2.83% of net assets.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2016, these securities amounted to a value of $11,987,991 or 2.13% 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 March 31, 2016, these securities amounted to a value of $13,199,471 or 2.35% of net assets.

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 (Continued)

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

(f) Restricted security. Certain securities are restricted as to resale. At March 31, 2016, these securities amounted to a value of $2,194,429 or 0.39% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(g) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At March 31, 2016, these securities amounted to a value of $3,090 or 0.00% of net assets.

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

(i) All or a portion of this security is held by a wholly owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly owned subsidiary.

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

(k) 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

March 31, 2016 (Unaudited)

Assets:
Investments, at value (Note 2) (a)	$	508,207,092
Short-term investments, at value (Note 2) (b)		61,862,262
Total investments		570,069,354
Receivables from:
Investments sold		8,231,919
Collateral pledged for securities sold short		661,097
Open forward foreign currency contracts (Note 2)		799,911
Investment adviser (Note 3)		86,311
Fund shares sold		1,638,470
Collateral pledged for open swap agreements (Note 2)		570,880
Variation margin on open derivative instruments (Note 2)		26,179
Interest and dividends		2,384,852
Interest tax reclaim receivable		101,505
Foreign taxes withheld		313,303
Open swap agreements, at value (Note 2)		170,125
Prepaid expenses		64,025
Total assets		585,117,931
Liabilities:
Payables for:
Investments purchased		13,401,737
Written options outstanding, at value (Note 2) (c)		1,815,002
Payable for securities sold short, at value (Note 2) (d)		500,379
Open forward foreign currency contracts (Note 2)		2,259,147
Foreign currency overdraft		282,133
Interest and dividends		176
Investments purchased on a when-issued basis (Note 2)		3,187,631
Fund shares repurchased		289,378
Open swap agreements, at value (Note 2)		146,159
Trustees’ fees and expenses (Note 3)		81,617
Collateral held for open swap agreements and options (Note 2)		1,030,000
Affiliates (Note 3):
Investment advisory fees		367,605
Administration fees		56,876
Service fees		13,573
Shareholder service fees		2,879
Distribution fees		3,852
Accrued expense and other liabilities		70,966
Total liabilities		23,509,110
Net assets	$	561,608,821
Net assets consist of:
Paid-in capital	$	588,198,372
Undistributed (accumulated) net investment income (loss)		2,001,178
Accumulated net realized gain (loss) on investments and foreign currency transactions		(18,697,799	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		(9,892,930	)
Net assets	$	561,608,821
(a)        Cost of investments:	$	516,906,067
(b)        Cost of other short-term investments:	$	61,483,864
(c)        Premiums on written options:	$	2,095,535
(d)        Proceeds from securities sold short:	$	498,664

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

19

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statement of Assets and Liabilities

March 31, 2016 (Unaudited)

Class I shares:
Net assets	$	501,681,053
Shares outstanding (a)		51,606,078
Net asset value, offering price and redemption price per share	$	9.72
Class R5 shares:
Net assets	$	7,404,891
Shares outstanding (a)		751,721
Net asset value, offering price and redemption price per share	$	9.85
Service Class shares:
Net assets	$	14,434,585
Shares outstanding (a)		1,486,813
Net asset value, offering price and redemption price per share	$	9.71
Administrative Class shares:
Net assets	$	11,782,321
Shares outstanding (a)		1,177,854
Net asset value, offering price and redemption price per share	$	10.00
Class A shares:
Net assets	$	6,160,428
Shares outstanding (a)		637,214
Net asset value and redemption price per share	$	9.67
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	10.26
Class R4 shares:
Net assets	$	13,252,835
Shares outstanding (a)		1,379,728
Net asset value, offering price and redemption price per share	$	9.61
Class R3 shares:
Net assets	$	6,892,708
Shares outstanding (a)		718,996
Net asset value, offering price and redemption price per share	$	9.59
(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 March 31, 2016 (Unaudited)

Investment income (Note 2):
Dividends (a)	$	3,731,187
Interest (b)		2,538,809
Total investment income		6,269,996
Expenses (Note 3):
Investment advisory fees		2,395,362
Custody fees		223,110
Dividend expense on short sales		19,815
Audit fees		68,351
Legal fees		6,312
Accounting & Administration fees		89,281
Proxy fees		518
Shareholder reporting fees		21,001
Trustees’ fees		19,288
Registration and filing fees		47,505
Transfer agent fees		1,501
		2,892,044
Administration fees:
Class R5		3,727
Service Class		10,896
Administrative Class		9,433
Class A		4,830
Class R4		7,426
Class R3		5,079
Distribution fees:
Class R3		6,349
Service fees:
Class A		8,049
Class R4		9,283
Class R3		6,349
Shareholder service fees:
Service Class		3,632
Administrative Class		9,433
Class A		4,830
Total expenses		2,981,360
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(407,101	)
Class R5 fees reimbursed by adviser		(5,424	)
Service Class fees reimbursed by adviser		(10,568	)
Administrative Class fees reimbursed by adviser		(9,136	)
Class A fees reimbursed by adviser		(4,682	)
Class R4 fees reimbursed by adviser		(5,511	)
Class R3 fees reimbursed by adviser		(3,735	)
Net expenses		2,535,203
Net investment income (loss)		3,734,793

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 Operations (Continued)

For the Six Months Ended March 31, 2016 (Unaudited)

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	(14,425,064	)
Futures contracts		(966,522	)
Written options		(112,112	)
Equities sold short		226,973
Swap agreements		1,280,033
Foreign currency transactions		(1,501,285	)
Net realized gain (loss)		(15,497,977	)
Net change in unrealized appreciation (depreciation) on:
Investment transactions		25,140,283	*
Futures contracts		(607,447	)
Written options		1,081,715
Equities sold short		(31,531	)
Swap agreements		(590,161	)
Translation of assets and liabilities in foreign currencies		(2,085,472	)
Net change in unrealized appreciation (depreciation)		22,907,387
Net realized gain (loss) and change in unrealized appreciation (depreciation)		7,409,410
Net increase (decrease) in net assets resulting from operations	$	11,144,203
(a)        Net of foreign withholding tax of:	$	136,566
(b)        Net of foreign withholding tax of:	$	948
*           Net decrease in accrued foreign capital gains taxes of $13,720

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

22

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statements of Changes in Net Assets

	Six Months Ended March 31,  2016 (Unaudited)				Period Ended September 30,  2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	3,734,793			$	6,957,978		$	11,628,710
Net realized gain (loss) on investment transactions		(15,497,977	)			32,878,758			61,231,413
Net change in unrealized appreciation (depreciation) on investments		22,907,387				(64,183,496	)		(60,316,510	)
Net increase (decrease) in net assets resulting from operations		11,144,203				(24,346,760	)		12,543,613
Distributions to shareholders (Note 2):
From net investment income:
Class I*		(4,869,338	)			(4,047,718	)		(14,755,597	)
Class R5		(52,551	)			(48,694	)		(169,078	)
Service Class		(87,537	)			(104,798	)		(256,748	)
Administrative Class		(50,140	)			(93,968	)		(348,785	)
Class A		(5,165	)			(56,930	)		(163,835	)
Class R4*		(40,214	)			(19,439	)		(2,109	)
Class R3*		(24,764	)			(11,857	)		(1,927	)
Total distributions from net investment income		(5,129,709	)			(4,383,404	)		(15,698,079	)
From net realized gains:
Class I*		(31,056,390	)			(10,201,389	)		(50,989,230	)
Class R5		(385,924	)			(122,722	)		(1,398,062	)
Service Class		(760,006	)			(264,121	)		(966,912	)
Administrative Class		(613,951	)			(236,825	)		(1,409,719	)
Class A		(329,559	)			(143,481	)		(748,758	)
Class R4*		(335,250	)			(48,992	)		(8,474	)
Class R3*		(240,425	)			(29,883	)		(8,467	)
Total distributions from net realized gains		(33,721,505	)			(11,047,413	)		(55,529,622	)
Net fund share transactions (Note 5):
Class I*		(63,140,198	)			15,794,623			685,027,830
Class R5		338,688				(5,211,039	)		(620,435,772	)
Service Class		(339,053	)			4,775,909			958,033
Administrative Class		(1,948,644	)			(2,064,230	)		(703,123	)
Class A		(573,134	)			(1,231,555	)		661,891
Class R4*		10,747,537				2,796,774			110,683
Class R3*		4,481,887		��		2,684,611			110,594
Increase (decrease) in net assets from fund share transactions		(50,432,917	)			17,545,093			65,730,136
Total increase (decrease) in net assets		(78,139,928	)			(22,232,484	)		7,046,048
Net assets
Beginning of period		639,748,749				661,981,233			654,935,185
End of period	$	561,608,821			$	639,748,749		$	661,981,233
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	2,001,178			$	3,396,094		$	(286,104	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

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

23

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net  realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the  period		Total returnl,m
Class I
03/31/16r,w	$	10.11	$	0.06	$	0.17		$	0.23		$	(0.08	)	$	(0.54	)	$	(0.62	)	$	9.72		2.28%	b
09/30/15i,w		10.73		0.11		(0.48	)		(0.37	)		(0.07	)		(0.18	)		(0.25	)		10.11		(3.53%	)b
12/31/14h,w		11.80		0.13		0.06			0.19			(0.28	)		(0.98	)		(1.26	)		10.73		1.57%	b
Class R5
03/31/16r,w	$	10.23	$	0.06	$	0.17		$	0.23		$	(0.07	)	$	(0.54	)	$	(0.61	)	$	9.85		2.24%	b
09/30/15i,w		10.87		0.10		(0.49	)		(0.39	)		(0.07	)		(0.18	)		(0.25	)		10.23		(3.67%	)b
12/31/14w		11.74		0.25		(0.02	)		0.23			(0.12	)		(0.98	)		(1.10	)		10.87		1.89%
12/31/13w		10.73		0.12		1.44			1.56			(0.15	)		(0.40	)		(0.55	)		11.74		14.65%
12/31/12w		9.93		0.17		0.84			1.01			(0.18	)		(0.03	)		(0.21	)		10.73		10.13%
12/31/11w		10.79		0.19		(0.63	)		(0.44	)		(0.24	)		(0.18	)		(0.42	)		9.93		(4.07%	)
12/31/10		9.90		0.16		0.83			0.99			(0.10	)		-			(0.10	)		10.79		10.03%
Service Class
03/31/16r,w	$	10.08	$	0.05	$	0.18		$	0.23		$	(0.06	)	$	(0.54	)	$	(0.60	)	$	9.71		2.26%	b
09/30/15i,w		10.72		0.10		(0.49	)		(0.39	)		(0.07	)		(0.18	)		(0.25	)		10.08		(3.72%	)b
12/31/14w		11.74		0.19		0.03			0.22			(0.26	)		(0.98	)		(1.24	)		10.72		1.80%
12/31/13w		10.72		0.11		1.44			1.55			(0.13	)		(0.40	)		(0.53	)		11.74		14.48%
12/31/12w		9.93		0.15		0.85			1.00			(0.18	)		(0.03	)		(0.21	)		10.72		10.10%
12/31/11w		10.78		0.18		(0.63	)		(0.45	)		(0.22	)		(0.18	)		(0.40	)		9.93		(4.15%	)
12/31/10		9.90		0.16		0.82			0.98			(0.10	)		-			(0.10	)		10.78		9.93%
Administrative Class
03/31/16r,w	$	10.36	$	0.05	$	0.17		$	0.22		$	(0.04	)	$	(0.54	)	$	(0.58	)	$	10.00		2.22%	b
09/30/15i,w		11.02		0.09		(0.50	)		(0.41	)		(0.07	)		(0.18	)		(0.25	)		10.36		(3.80%	)b
12/31/14w		12.03		0.18		0.03			0.21			(0.24	)		(0.98	)		(1.22	)		11.02		1.70%
12/31/13w		10.98		0.09		1.48			1.57			(0.12	)		(0.40	)		(0.52	)		12.03		14.36%
12/31/12w		10.17		0.14		0.87			1.01			(0.17	)		(0.03	)		(0.20	)		10.98		9.86%
12/31/11w		10.79		0.16		(0.59	)		(0.43	)		(0.01	)		(0.18	)		(0.19	)		10.17		(3.91%	)
12/31/10		9.90		0.13		0.83			0.96			(0.07	)		-			(0.07	)		10.79		9.96%
Class A
03/31/16r,w	$	10.01	$	0.04	$	0.17		$	0.21		$	(0.01	)	$	(0.54	)	$	(0.55	)	$	9.67		2.04%	b
09/30/15i,w		10.67		0.07		(0.48	)		(0.41	)		(0.07	)		(0.18	)		(0.25	)		10.01		(3.93%	)b
12/31/14w		11.69		0.15		0.03			0.18			(0.22	)		(0.98	)		(1.20	)		10.67		1.42%
12/31/13w		10.69		0.06		1.44			1.50			(0.10	)		(0.40	)		(0.50	)		11.69		14.13%
12/31/12w		9.91		0.11		0.84			0.95			(0.14	)		(0.03	)		(0.17	)		10.69		9.57%
12/31/11w		10.77		0.13		(0.63	)		(0.50	)		(0.18	)		(0.18	)		(0.36	)		9.91		(4.53%	)
12/31/10		9.90		0.11		0.84			0.95			(0.08	)		-			(0.08	)		10.77		9.46%
Class R4
03/31/16r,w	$	9.99	$	0.05	$	0.17		$	0.22		$	(0.06	)	$	(0.54	)	$	(0.60	)	$	9.61		2.10%	b
09/30/15i,w		10.65		0.08		(0.49	)		(0.41	)		(0.07	)		(0.18	)		(0.25	)		9.99		(3.84%	)b
12/31/14h,w		11.73		0.11		0.03			0.14			(0.24	)		(0.98	)		(1.22	)		10.65		1.15%	b
Class R3
03/31/16r,w	$	9.98	$	0.04	$	0.16		$	0.20		$	(0.05	)	$	(0.54	)	$	(0.59	)	$	9.59		2.01%	b
09/30/15i,w		10.65		0.06		(0.48	)		(0.42	)		(0.07	)		(0.18	)		(0.25	)		9.98		(4.03%	)b
12/31/14h,w		11.73		0.08		0.04			0.12			(0.22	)		(0.98	)		(1.20	)		10.65		0.97%	b

	Six months ended March 31,  2015b,r			Period ended September 30,  2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		80	%		90	%		94	%		66	%		61	%		43	%		46	%

a Annualized.

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

c Per share amount calculated on the average shares method.

e Amount is less than 0.005%.

f Amount is less than $500.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Consolidated. (Note 2)

y Short sale dividend and loan expense incurred as a result of entering into short sales is included in the Fund’s net expenses in the Consolidated Statement of Operations.

z Includes short sale dividend and loan expense.

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

24

Ratios / Supplemental Data
Net assets, end of the  period (000’s)			Ratio of expenses to average daily  net assets before expense waiversz			Ratio of expenses to average  daily net assets after expense waiversj,z			Short sale dividend and loan expense  to average daily net assetsy			Net investment income (loss) to average daily net assetsz
$	501,681			0.94	%a		0.80	%a		0.01	%a		1.24	%a
	590,934			0.96	%a		0.79	%a		0.00	%a,e		1.39	%a
	611,549			0.96	%a		0.79	%a		0.00	%a,e		1.40	%a
$	7,405			1.04	%a		0.90	%a		0.01	%a		1.19	%a
	7,340			1.06	%a		0.89	%a		0.00	%a,e		1.26	%a
	12,994			1.01	%		0.88	%		0.00	%e		2.12	%
	615,383			0.97	%		0.86	%		0.00	%e		1.04	%
	547,436			1.00	%		0.86	%		N/A			1.57	%
	526,621			0.95	%		0.86	%		0.00	%e		1.77	%
	556,739			0.95	%		0.86	%		0.00	%e		1.54	%
$	14,435			1.14	%a		1.00	%a		0.01	%a		1.08	%a
	15,267			1.16	%a		0.99	%a		0.00	%a,e		1.21	%a
	11,605			1.14	%		0.99	%		0.00	%e		1.61	%
	11,658			1.07	%		0.96	%		0.00	%e		0.98	%
	16,060			1.10	%		0.96	%		N/A			1.45	%
	786			1.05	%		0.96	%		0.00	%e		1.63	%
	1,524			1.05	%		0.96	%		0.00	%e		1.52	%
$	11,782			1.24	%a		1.10	%a		0.01	%a		0.96	%a
	14,055			1.26	%a		1.09	%a		0.00	%a,e		1.09	%a
	16,936			1.25	%		1.10	%		0.00	%e		1.50	%
	19,051			1.22	%		1.11	%		0.00	%e		0.79	%
	23,253			1.25	%		1.11	%		N/A			1.29	%
	0	f		1.17	%		1.10	%		0.00	%e		1.42	%
	10,852			1.20	%		1.11	%		0.00	%e		1.29	%
$	6,160			1.49	%a		1.35	%a		0.01	%a		0.72	%a
	6,922			1.51	%a		1.34	%a		0.00	%a,e		0.85	%a
	8,694			1.50	%		1.35	%		0.00	%e		1.26	%
	8,844			1.47	%		1.36	%		0.00	%e		0.53	%
	6,060			1.50	%		1.36	%		N/A			1.07	%
	2,015			1.45	%		1.36	%		0.00	%e		1.24	%
	2,432			1.45	%		1.36	%		0.00	%e		1.10	%
$	13,253			1.39	%a		1.25	%a		0.01	%a		1.10	%a
	2,642			1.41	%a		1.24	%a		0.00	%a,e		0.93	%a
	101			1.41	%a		1.24	%a		0.00	%a,e		1.20	%a
$	6,893			1.64	%a		1.50	%a		0.01	%a		0.76	%a
	2,587			1.66	%a		1.49	%a		0.00	%a,e		0.73	%a
	101			1.66	%a		1.49	%a		0.00	%a,e		0.95	%a

25

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.

Each share class of the Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Fund’s Prospectus.

On May 13, 2015, the Board of Trustees (“Trustees”) approved a change in the fiscal year end of the Fund from December 31 to September 30. Accordingly, the Fund’s consolidated financial statements and related notes include information as of the nine month period ended September 30, 2015, and the year ended December 31, 2014.

Effective April 1, 2014, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, and Class L shares were renamed Administrative Class shares.

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 investments consistent with the Fund’s investment objectives and policies as stated in its Prospectus and Statement of Additional Information. The Subsidiary allows the Fund to hold these commodity-related investments and still satisfy regulated investment company tax requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions have been eliminated. As of March 31, 2016, the Fund’s net assets were $561,608,821, of which $14,621,856 or 2.60%, represents the Subsidiary’s net assets.

Investment Valuation

The net asset value of the Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate,

26

Notes to Consolidated Financial Statements (Unaudited) (Continued)

maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Fund’s 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 significant 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 values of the Fund’s portfolio securities may change on days when the prices of the Fund’s shares are not calculated. The prices of the Fund’s shares will reflect any such changes when the prices of the Fund’s shares are next calculated, which is the next business day. The Fund may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Fund values its securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Fund’s investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Fund calculates its net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

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

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Assistant Vice Presidents, 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 determines the fair valuation of portfolio securities and the Fund’s pricing procedures in general.

27

Notes to Consolidated Financial Statements (Unaudited) (Continued)

and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Fund can access at the measurement date

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 significant 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 issued by 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.

The Fund characterized all securities sold short at Level 1, as of March 31, 2016. The level classification by major category of investments is the same as the category presentation in the Consolidated Portfolio of Investments.

28

Notes to Consolidated Financial Statements (Unaudited) (Continued)

The following is the aggregate value by input level, as of March 31, 2016, for the Fund’s remaining investments:

Asset Investments	Level 1		Level 2		Level 3		Total
Common Stock*
Australia	$	-	$	986,155	$	-	$	986,155
Belgium		-		710,180		-		710,180
Bermuda		1,216,303		414,432		-		1,630,735
Brazil		-		89,352		-		89,352
British Virgin Islands		430,447		-		-		430,447
Canada		6,964,136		-		-		6,964,136
Cayman Islands		983,212		1,157,509		-		2,140,721
China		-		99,065		-		99,065
Denmark		-		237,890		-		237,890
France		74,625		11,995,558		-		12,070,183
Germany		-		4,943,367		-		4,943,367
Hong Kong		-		2,921,508		-		2,921,508
India		-		1,620,533		-		1,620,533
Indonesia		-		244,743		-		244,743
Ireland		4,002,120		302,090		-		4,304,210
Israel		1,401,088		-		-		1,401,088
Italy		-		4,041,878		-		4,041,878
Japan		-		41,949,067		-		41,949,067
Kazakhstan		-		176,689		-		176,689
Luxembourg		-		50,200		-		50,200
Malaysia		-		286,068		-		286,068
Marshall Islands		13,596		-		-		13,596
Mexico		1,532,920		-		-		1,532,920
Netherlands		1,826,499		7,868,155		-		9,694,654
Netherlands Antilles		1,309,284		-		-		1,309,284
Norway		-		479,076		-		479,076
Portugal		-		312,666		-		312,666
Republic of Korea		-		2,494,676		-		2,494,676
Singapore		1,545		3,672,853		-		3,674,398
Spain		-		1,520,062		-		1,520,062
Sweden				414,737		-		414,737
Switzerland		1,235,543		6,678,404		-		7,913,947
Taiwan				946,556		-		946,556
United Arab Emirates				1,056,907		-		1,056,907
United Kingdom		3,216,283		16,361,208		-		19,577,491
United States		153,873,559		328,354		1,329,549		155,531,462
Preferred Stock
Brazil		-		132,429		-		132,429
Germany		-		820,882		-		820,882
Ireland		1,406,284		-		-		1,406,284
Israel		-		1,357,732		-		1,357,732
Republic of Korea		-		618,294		-		618,294
United Kingdom		581,419		-		-		581,419
United States		4,891,883		170,933		6,111,575		11,174,391
Bank Loans		-		6,346,364		-		6,346,364
Corporate Debt		-		46,431,752		5,273,997		51,705,749
Sovereign Debt Obligations		-		40,835,567		525,179		41,360,746
U.S. Government Agency Obligations and Instrumentalities		-		3,202,618		-		3,202,618

29

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Asset Investments (Continued)	Level 1			Level 2			Level 3		Total
U.S. Treasury Obligations	$	-		$	78,021,795		$	-	$	78,021,795
Mutual Funds		16,056,650			-			-		16,056,650
Purchased Options		254,815			1,277,468			-		1,532,283
Warrants		-			118,809			-		118,809
Short-Term Investments		133,007			61,729,255			-		61,862,262
Total Investments	$	201,405,218		$	355,423,836		$	13,240,300	$	570,069,354
Asset Derivatives
Forward Contracts	$	-		$	799,911		$	-	$	799,911
Futures Contracts		28,629			-			-		28,629
Swap Agreements		-			406,217			-		406,217
Total	$	28,629		$	1,206,128		$	-	$	1,234,757
Liability Derivatives
Forward Contracts	$	-		$	(2,259,147	)	$	-	$	(2,259,147	)
Futures Contracts		(190,553	)		-			-		(190,553	)
Swap Agreements		-			(486,061	)		-		(486,061	)
Written Options		(71,491	)		(1,743,511	)		-		(1,815,002	)
Total	$	(262,044	)	$	(4,488,719	)	$	-	$	(4,750,763	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets.

The assets and liabilities shown in the Consolidated Statement of Assets and Liabilities related to investments purchased on a when-issued basis, collateral pledged for securities sold short and open swap agreements, and collateral held for open swap agreements and options approximates fair value, which would be categorized at Level 2, as of March 31, 2016.

The Fund had no transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended March 31, 2016. 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 9/30/15		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 3/31/16		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 3/31/16
Common Stock	$	1,584,934	$	-	$	-	$	(255,385	)	$	-	$	-	$	-		$	-		$	1,329,549	$	(255,385	)
Preferred Stock		5,668,903		-		-		442,672			-		-		-			-			6,111,575		442,672
Corporate Debt†		30,900		-		-		(33,598	)		263,318		-		868,790	**		-			1,129,410		(33,598	)
Corporate Debt		4,059,916		-		-		(106,329	)		191,000		-		-			-			4,144,587		(106,329	)
Sovereign Debt Obligations†		-		-		-		(41,508	)		-		-		566,687	**		-			525,179		(41,508	)
Warrants		66,101		-		-		-			-		-		-			(66,101	)		-		-
	$	11,410,754	$	-	$	-	$	5,852		$	454,318	$	-	$	1,435,477		$	(66,101	)	$	13,240,300	$	5,852

* The Fund recognizes transfers between the Levels as of the beginning of the year.

** Transfers occurred between Level 2 and Level 3 as inputs were less observable.

† Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price.

30

Notes to Consolidated Financial Statements (Unaudited) (Continued)

None of the unobservable inputs, individually or collectively, had a material impact on the Fund other than those disclosed below.

The Fund fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments, but may include defaulted securities and new debt issuances. There may not be a secondary market for such investments, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Valuation Committee. Valuations are reviewed by members of the Valuation Committee utilizing available market information to determine if the carrying value of these investments should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment, also referred to as enterprise value (EV) to earnings before interest, taxes, depreciation, and amortization (EBITDA) ratios. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the BlackRock Global Allocation Fund. All market variables are assessed on a regular frequency and calibrated as necessary.

	Fair Value Amount		Valuation Technique	Unobservable Input Description	Value/ Weighted Average Range
Common stock — $1,329,549
Delta Topco Ltd.	$	350,586	Market Approach	EV/Multiple		21.00x
Dropbox, Inc.		943,445	Market Approach	EV/Multiple		4.80x
				Discount for Lack of Marketability		10%
Lookout Inc.		35,518	Market Approach	Probability Weigthed Return Method
				IPO 2016 EV Multiple		12.00x
				IPO 2017 EV Multiple		9.00x
				Merger & Acquistion EV Multiple		12.50x
Corporate Debt — $4,144,587
AliphCom Convertible Bond	$	2,669,340	Market Approach	Option Pricing Method / EV Multiple		2.00x
AliphCom Convertible Bond		194,820	Market Approach	Option Pricing Method / EV Multiple		2.00x
Bio City Development Co. B.V.		539,840	Market Approach	Debt Restructure Analysis - Expected Recovery Rate		52.70%
Delta Topco Ltd.		740,587	Market Approach	EV/Multiple		21.00x
Preferred Stock — $6,111,575
Domo, Inc Series E Convertible	$	960,960	Market Approach	Probability Expected Weighted Return Model - EV Multiple		13.40x
Grand Rounds, Inc Series C Convertible		308,949	Market Approach	Option Pricing Method / EV Multiple		3.75x
Lookout Inc. Series F		526,946	Market Approach	Probability Weigthed Return Method
				IPO 2016 EV Multiple		12.00x
				IPO 2017 EV Multiple		9.00x
				Merger & Acquistion EV Multiple		12.50x
Palantir Technologies, Inc. Series I		1,141,601	Market Approach	EV/Multiple		12.00x
Uber Technologies, Inc. Series D		3,173,119	Market Approach	Market Observed Transaction	$	48.77
Total	$	11,585,711

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. Gains or losses from derivatives can be substantially greater than the derivatives original cost and can sometimes be unlimited. The Fund may not be able to close out a derivative transaction at a favorable time or price. The Fund held derivatives during the period ended

31

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016. The following table shows how the Fund used these types of 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	A
Total Return Swaps****
Hedging/Risk Management	M
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Market Access	A
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Income	M
Substitution for Direct Investment	A
Credit Default Swaps (Protection Seller)
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Income	M
Substitution for Direct Investment	A
Options (Purchased)
Hedging/Risk Management	A
Duration/Credit Quality Management	A
Substitution for Direct Investment	A
Directional Investment	A
Options (Written)
Hedging/Risk Management	A
Duration/Credit Quality Management	A
Income	A
Substitution for Direct Investment	A
Directional Investment	A

32

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Type of Derivative and Objective for Use
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.

At March 31, 2016, 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*	$	-		$	-		$	799,911		$	-		$	799,911
Futures Contracts^^		-			28,629			-			-			28,629
Swap Agreements*		-			103,407			66,718			-			170,125
Swap Agreements^^,^^^		213,240			-			-			22,852			236,092
Purchased Options*		-			1,288,298			121,060			122,925			1,532,283
Warrants*		-			118,809			-			-			118,809
Total Value	$	213,240		$	1,539,143		$	987,689		$	145,777		$	2,885,849
Liability Derivatives
Forward Contracts^	$	-		$	-		$	(2,259,147	)	$	-		$	(2,259,147	)
Futures Contracts^^		-			(190,553	)		-			-			(190,553	)
Swap Agreements^		-			(75,975	)		(70,184	)		-			(146,159	)
Swap Agreements^^,^^^		(95,843	)		-			-			(244,059	)		(339,902	)
Written Options^		-			(1,698,974	)		-			(44,537	)		(1,743,511	)
Written Options^,^^^		-			(71,491	)		-			-			(71,491	)
Total Value	$	(95,843	)	$	(2,036,993	)	$	(2,329,331	)	$	(288,596	)	$	(4,750,763	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-		$	(1,387,605	)	$	-		$	(1,387,605	)
Futures Contracts		-			(966,522	)		-			-			(966,522	)
Swap Agreements		470,346			36,938			10,850			761,899			1,280,033
Purchased Options		-			(2,036,997	)		(74,819	)		(679,279	)		(2,791,095	)
Rights		-			-	††		-			-			-
Written Options		-			16,702			-			(128,814	)		(112,112	)
Total Realized Gain (Loss)	$	470,346		$	(2,949,879	)	$	(1,451,574	)	$	(46,194	)	$	(3,977,301	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-		$	(2,118,076	)	$	-		$	(2,118,076	)
Futures Contracts		-			(607,447	)		-			-			(607,447	)
Swap Agreements		(84,756	)		(208,136	)		(13,733	)		(283,536	)		(590,161	)
Purchased Options		-			862,900			57,647			67,985			988,532
Written Options		-			1,068,394			-			13,321			1,081,715
Warrants		-			52,708			-			-			52,708
Total Change in Appreciation (Depreciation)	$	(84,756	)	$	1,168,419		$	(2,074,162	)	$	(202,230	)	$	(1,192,729	)

33

Notes to Consolidated Financial Statements (Unaudited) (Continued)

* 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.

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

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

^^^ Represents centrally cleared swaps or exchange-traded written options, which are not subject to a master netting agreement.

# Consolidated Statement of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or 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.

†† Represents a $0 gain (loss) at time of sale.

The following tables summarize the effect of derivative instruments on the Statement of Operations, classified by derivative type and category of risk exposure, for the period ended March 31, 2016:

Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts ($)	Futures Contracts		Purchased Options		Swap Agreements ($)		Written Options		Rights		Warrants
90,839,987		290		542,642,035		99,900,947		36,606,070		125,573		222,000

† 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 March 31, 2016.

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund as of March 31, 2016.

Counterparty	Derivative Assets Subject to an MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***		Net Amount*
Bank of America N.A.	$	66,718	$	(66,718	)	$	-	$	-
BNP Paribas SA		103,613		(103,613	)		-		-
Brown Brothers & Harriman Co.		175		(175	)		-		-
Citibank N.A.		138,041		(138,041	)		-		-
Credit Suisse International		119,938		(119,938	)		-		-
Deutsche Bank AG		352,326		(352,326	)		-		-
Goldman Sachs & Co.		76,385		(76,385	)		-		-
HSBC Bank USA		7,050		(7,050	)		-		-
JP Morgan Chase Bank N.A.		200,633		(200,633	)		-		-
Morgan Stanley & Co.		28,082		(28,082	)		-		-
	$	1,092,961	$	(1,092,961	)	$	-	$	-

34

Notes to Consolidated Financial Statements (Unaudited) (Continued)

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund as of March 31, 2016.

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty†			Financial Instruments Available for Offset		Collateral Pledged***		Net Amount**
Bank of America N.A.	$	(70,184	)	$	66,718	$	-	$	(3,466	)
Barclays Bank PLC		(133,341	)		-		-		(133,341	)
BNP Paribas SA		(216,958	)		103,613		-		(113,345	)
Brown Brothers & Harriman Co.		(1,260	)		175		-		(1,085	)
Citibank N.A.		(588,854	)		138,041		-		(450,813	)
Credit Suisse International		(302,840	)		119,938		-		(182,902	)
Deutsche Bank AG		(669,949	)		352,326		-		(317,623	)
Goldman Sachs & Co.		(380,652	)		76,385		-		(304,267	)
Goldman Sachs International		(319,851	)		-		-		(319,851	)
HSBC Bank USA		(21,697	)		7,050		-		(14,647	)
JP Morgan Chase Bank N.A.		(355,063	)		200,633		-		(154,430	)
Morgan Stanley & Co.		(927,094	)		28,082		-		(899,012	)
UBS AG		(161,074	)		-		-		(161,074	)
	$	(4,148,817	)	$	1,092,961	$	-	$	(3,055,856	)

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Consolidated Statement of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.

Further details regarding the derivatives and other investments held by the Fund during the period ended March 31, 2016, are discussed below.

Foreign Currency Exchange Transactions

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

Forward Foreign Currency Contracts and Foreign Currency Options. The Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and the Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. The Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If the Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a forward contract with respect to that currency. The Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce the Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

35

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Whenever the Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If the Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that the Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Fund as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Foreign Currency Swaps. The Fund may also enter into currency swaps, as an alternative to the transactions described above. Currency swaps involve the individually negotiated exchange by the Fund with another party of a series of payments in specified currencies in amounts determined pursuant to the terms of the swap agreement. For a description of risks associated with swap transactions and the accounting treatment, see “Swap Agreements” below.

The Fund had the following open forward foreign currency contracts at March 31, 2016. The Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy
AED	299,000	BNP Paribas SA	01/19/17	$	81,096	$	99
AED	302,000	BNP Paribas SA	01/25/17		81,898		107
					162,994		206
BRL	362,070	Brown Brothers & Harriman Co.	04/01/16		101,705		(1,008	)
BRL	2,155,000	Citibank N.A.	04/12/16		592,017		5,910
CAD	1,453,007	Citibank N.A.	04/08/16		1,119,698		(899	)
EUR	791,000	Citibank N.A.	04/15/16		858,323		42,059
EUR	1,752,000	Citibank N.A.	05/13/16		1,944,492		51,435
JPY	55,887,000	Citibank N.A.	04/07/16		499,161		(2,530	)
TWD	53,249,100	Citibank N.A.	01/09/17		1,623,711		38,637
					6,637,402		134,612
EUR	529,000	Credit Suisse International	04/14/16		574,706		27,428
EUR	1,576,000	Credit Suisse International	04/29/16		1,745,956		48,718
EUR	985,000	Credit Suisse International	06/30/16		1,124,545		(683	)
EUR	1,724,000	Credit Suisse International	07/01/16		1,970,773		(3,663	)
IDR	7,496,565,000	Credit Suisse International	04/29/16		570,949		(7,780	)
MYR	2,375,000	Credit Suisse International	04/29/16		614,219		(6,694	)
TWD	10,796,000	Credit Suisse International	05/12/16		334,170		1,401
TWD	52,804,552	Credit Suisse International	01/11/17		1,613,512		35,045
					8,548,830		93,772

36

Notes to Consolidated Financial Statements (Unaudited) (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy (Continued)
CAD	1,814,000	Deutsche Bank AG	06/30/16	$	1,410,312	$	(13,482	)
CNY	10,565,000	Deutsche Bank AG	11/04/16		1,599,125		23,742
EUR	521,000	Deutsche Bank AG	04/07/16		575,106		17,796
EUR	818,000	Deutsche Bank AG	04/08/16		901,485		29,434
EUR	1,983,000	Deutsche Bank AG	04/21/16		2,155,670		101,945
MXN	8,451,000	Deutsche Bank AG	04/01/16		479,906		9,237
SGD	778,000	Deutsche Bank AG	04/08/16		575,721		1,487
TWD	22,016,000	Deutsche Bank AG	05/12/16		681,321		2,999
TWD	17,478,660	Deutsche Bank AG	02/16/17		545,526		676
					8,924,172		173,834
AED	300,000	Goldman Sachs & Co.	01/19/17		81,301		165
CLP	386,656,000	Goldman Sachs & Co.	05/09/16		577,918		(2,535	)
CNY	2,975,000	Goldman Sachs & Co.	05/17/16		445,313		13,885
EUR	518,000	Goldman Sachs & Co.	04/14/16		563,216		26,398
TWD	53,614,800	Goldman Sachs & Co.	01/09/17		1,637,827		35,937
					3,305,575		73,850
SGD	1,600,000	HSBC Bank USA	05/19/16		1,191,673		(4,856	)
AUD	1,930,000	JP Morgan Chase Bank N.A.	04/14/16		1,475,983		2,789
AUD	1,830,000	JP Morgan Chase Bank N.A.	06/30/16		1,405,660		(8,432	)
CAD	1,814,000	JP Morgan Chase Bank N.A.	06/16/16		1,409,742		(12,925	)
EUR	1,752,000	JP Morgan Chase Bank N.A.	04/15/16		1,907,070		87,203
PLN	6,222,481	JP Morgan Chase Bank N.A.	07/13/16		1,629,785		36,324
TWD	53,010,807	JP Morgan Chase Bank N.A.	01/09/17		1,617,262		37,646
					9,445,502		142,605
AUD	470,000	Morgan Stanley & Co.	04/28/16		358,178		1,703
BRL	4,457,000	Morgan Stanley & Co.	04/12/16		1,226,506		10,134
BRL	1,243,278	Morgan Stanley & Co.	07/13/16		321,227		15,109
CAD	1,931,000	Morgan Stanley & Co.	06/10/16		1,489,942		(3,039	)
EUR	1,726,000	Morgan Stanley & Co.	05/19/16		1,969,073		(2,411	)
JPY	157,410,864	Morgan Stanley & Co.	05/19/16		1,404,000		(3,619	)
SGD	802,000	Morgan Stanley & Co.	04/22/16		593,841		1,136
					7,362,767		19,013
				$	45,680,620	$	632,028
Contracts to Deliver
AED	2,273,396	BNP Paribas SA	01/19/17	$	614,000	$	(3,351	)
AED	2,258,952	BNP Paribas SA	01/25/17		610,000		(3,396	)
JPY	360,000,000	BNP Paribas SA	04/18/16		3,065,917		(134,236	)
					4,289,917		(140,983	)
BRL	90,343	Brown Brothers & Harriman Co.	04/01/16		24,874		(252	)
BRL	66,592	Brown Brothers & Harriman Co.	04/04/16		18,695		175
					43,569		(77	)
BRL	2,155,000	Citibank N.A.	04/12/16		533,812		(64,115	)
CAD	1,453,007	Citibank N.A.	04/08/16		1,078,000		(40,799	)

37

Notes to Consolidated Financial Statements (Unaudited) (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Deliver (Continued)
JPY	540,000,000	Citibank N.A.	04/11/16	$	4,583,691	$	(215,661	)
MXN	9,327,000	Citibank N.A.	04/07/16		510,062		(29,606	)
TWD	53,249,100	Citibank N.A.	01/09/17		1,590,000		(72,348	)
					8,295,565		(422,529	)
IDR	7,496,565,000	Credit Suisse International	04/29/16		570,515		7,346
JPY	600,000,000	Credit Suisse International	05/31/16		5,328,597		(10,782	)
JPY	300,000,000	Credit Suisse International	09/12/16		2,654,867		(24,823	)
KRW	1,268,609,000	Credit Suisse International	08/10/16		1,047,442		(58,675	)
MXN	24,232,000	Credit Suisse International	04/07/16		1,324,732		(77,352	)
MYR	2,375,000	Credit Suisse International	04/29/16		576,219		(31,306	)
TWD	10,796,000	Credit Suisse International	05/12/16		329,046		(6,525	)
TWD	52,804,552	Credit Suisse International	01/11/17		1,574,000		(74,557	)
					13,405,418		(276,674	)
BRL	2,028,000	Deutsche Bank AG	04/14/16		502,291		(60,096	)
CNY	10,565,000	Deutsche Bank AG	11/04/16		1,625,860		2,993
JPY	610,000,000	Deutsche Bank AG	06/06/16		5,386,789		(42,380	)
JPY	630,000,000	Deutsche Bank AG	06/20/16		5,649,363		39,092
KRW	1,530,006,000	Deutsche Bank AG	06/03/16		1,238,671		(97,133	)
MXN	8,451,000	Deutsche Bank AG	04/01/16		451,800		(37,343	)
SGD	778,000	Deutsche Bank AG	04/08/16		544,665		(32,543	)
TWD	22,016,000	Deutsche Bank AG	05/12/16		669,729		(14,591	)
TWD	17,478,660	Deutsche Bank AG	02/16/17		523,000		(23,202	)
					16,592,168		(265,203	)
AED	2,275,177	Goldman Sachs International	01/19/17		614,000		(3,835	)
BRL	3,745,000	Goldman Sachs International	04/18/16		930,319		(107,095	)
CLP	386,656,000	Goldman Sachs International	05/09/16		565,642		(9,741	)
CNY	21,004,743	Goldman Sachs International	05/17/16		3,161,000		(81,127	)
KRW	653,394,750	Goldman Sachs International	04/08/16		537,000		(34,289	)
TWD	53,614,800	Goldman Sachs International	01/09/17		1,590,000		(83,764	)
					7,397,961		(319,851	)
SGD	1,600,000	HSBC Bank USA	05/19/16		1,169,976		(16,841	)
AUD	1,930,000	JP Morgan Chase Bank N.A.	04/14/16		1,381,832		(96,940	)
JPY	580,000,000	JP Morgan Chase Bank N.A.	05/23/16		5,153,540		(6,845	)
MXN	21,800,000	JP Morgan Chase Bank N.A.	04/14/16		1,297,156		36,671
MXN	14,073,620	JP Morgan Chase Bank N.A.	04/28/16		791,542		(21,218	)
PLN	6,222,481	JP Morgan Chase Bank N.A.	07/13/16		1,541,000		(125,109	)
TWD	53,010,807	JP Morgan Chase Bank N.A.	01/09/17		1,590,000		(64,909	)
					11,755,070		(278,350	)
AUD	470,000	Morgan Stanley & Co.	04/28/16		349,788		(10,093	)
BRL	4,457,000	Morgan Stanley & Co.	04/12/16		1,109,728		(126,912	)
BRL	1,243,278	Morgan Stanley & Co.	07/13/16		292,000		(44,336	)
CAD	1,931,000	Morgan Stanley & Co.	06/10/16		1,457,964		(28,939	)
EUR	521,000	Morgan Stanley & Co.	04/07/16		569,703		(23,199	)
JPY	170,000,000	Morgan Stanley & Co.	05/16/16		1,510,158		(2,108	)

38

Notes to Consolidated Financial Statements (Unaudited) (Continued)

		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Deliver (Continued)
KRW	1,599,044,000	Morgan Stanley & Co.	06/07/16		$	1,317,712	$	(78,222	)
SGD	802,000	Morgan Stanley & Co.	04/22/16			581,374		(13,602	)
						7,188,427		(327,411	)
					$	70,138,071	$	(2,047,919	)
Cross Currency Forwards
JPY	88,861,148	Deutsche Bank AG	08/09/16	EUR	$	694,000	$	(162	)
JPY	150,820,380	Deutsche Bank AG	08/19/16	EUR		1,215,000		(42,673	)
								(42,835	)
JPY	61,452,678	HSBC Bank USA	02/13/17	EUR		474,000		7,050
JPY	148,608,114	Morgan Stanley & Co.	08/10/16	EUR		1,167,000		(7,560	)
							$	(43,345	)

AED Emirati Dirham

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CLP Chilean Peso

CNY China Yuan Renminbi

EUR Euro

IDR Indonesian Rupiah

JPY Japanese Yen

KRW South Korean Won

MXN Mexican Peso

MYR Malaysian Ringgit

PLN Polish Zloty

SGD Singapore Dollar

TWD Taiwan Dollar

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.

39

Notes to Consolidated Financial Statements (Unaudited) (Continued)

The Fund had the following open futures contracts at March 31, 2016:

	Expiration Date		Number of Contracts		Notional Amount			Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Short
MSCI Taiwan Index		04/28/16		55	$	(1,771,000	)	$	(9,257	)
Topix Index		06/09/16		15		(1,795,948	)		(15,081	)
Yen Denom Nikkei		06/09/16		2		(148,962	)		(986	)
Euro Stoxx 50 Index		06/17/16		46		(1,534,185	)		28,629
FTSE 100 Index		06/17/16		3		(263,394	)		(1,386	)
Nasdaq 100 E Mini Index		06/17/16		14		(1,253,350	)		(33,269	)
S&P 500 E Mini Index		06/17/16		57		(5,846,775	)		(130,574	)
								$	(161,924	)

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 trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When the Fund buys protection, it may or may not

40

Notes to Consolidated Financial Statements (Unaudited) (Continued)

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 the Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.

Whenever the Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and the Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. The Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. The Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, the Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when the Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. The Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, the Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on the Fund’s Consolidated Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Fund’s Consolidated Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on the Fund’s Consolidated Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, the Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by the Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Consolidated Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Consolidated Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value

41

Notes to Consolidated Financial Statements (Unaudited) (Continued)

of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded in the accompanying Consolidated Statement of Operations as realized gains and losses, respectively.

The Fund had the following open swap transactions at March 31, 2016. The Fund’s current exposure to a counterparty is the fair value of the transaction.

Counterparty	Currency	Notional Amount		Expiration Date		Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Credit Default Swaps—Buy Protection*
Centrally Cleared Swaps
	USD		1,848,241		12/20/20	5.000%	CDX.NA.HY.25.V1†	$	(835)		$	(52,443	)	$	(53,278	)
	USD		1,572,000		6/20/21	5.000%	CDX.NA.HY.26.V1†		(9,758	)		(32,807	)		(42,565	)
									(10,593	)		(85,250	)		(95,843	)
Credit Default Swaps—Sell Protection*††
Centrally Cleared Swaps
	EUR		2,371,277		12/20/20	5.000%	ITRAXX.XO.24.V1 (S&P Rating: B)†		29,417			169,392			198,809
	USD		2,865,147		12/20/20	1.000%	CDX.NA.IG.25.V1 (S&P Rating: BBB+)†		(8,627	)		23,058			14,431
									20,790			192,450			213,240
Counterparty	Currency	Notional Amount		Expiration Date		Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
Interest Rate Swaps*
Centrally Cleared Swaps
	GBP		7,768,469		2/26/20	0.934%	6-Month GBP-LIBOR-BBA	$	22,852		$	-		$	22,852
	USD		2,930,000		9/11/22	1.952%	3-Month USD-LIBOR-BBA		(109,140	)		-			(109,140	)
	USD		2,940,000		10/19/22	1.639%	3-Month USD-LIBOR-BBA		(50,816	)		-			(50,816	)
	USD		2,908,000		11/03/22	1.825%	3-Month USD-LIBOR-BBA		(84,103	)		-			(84,103	)
									(221,207	)		-			(221,207	)
Total Return Swaps*
OTC Swaps
BNP Paribas SA	EUR		2,700		12/15/17	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount		(11,592	)		-			(11,592	)
BNP Paribas SA	EUR		2,800		12/15/17	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount		(8,600	)		-			(8,600	)
BNP Paribas SA	EUR		2,700		12/21/18	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount		(28,496	)		-			(28,496	)
BNP Paribas SA	EUR		1,400		12/21/18	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount		(12,267	)		-			(12,267	)
BNP Paribas SA	EUR		1,500		12/21/18	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount		(15,020	)		-			(15,020	)
BNP Paribas SA	JPY		110,000		3/31/17	Notional amount at expiration date × Strike Price	Gross dividends on Euro NIKKE 225 Index x notional amount		49,260			-			49,260
BNP Paribas SA	JPY		110,000		3/31/17	Notional amount at expiration date × Strike Price	Gross dividends on Euro NIKKE 225 Index x notional amount		54,147			-			54,147
									27,432			-			27,432

42

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Deliver

Receive

Expiration Date

Counterparty

(Buy)/Sell

Payments Made by Fund

Payments Received by Fund

Unrealized Appreciation (Depreciation)

Premium Received (Paid)

Value

Currency Swaps*

OTC Swaps

134,749,995 JPY

1,119,785 USD

3/15/17

Bank of America N.A.

Sell

Notional Amount x 0.10%

Notional Amount x 1.23%

$

(70,184

)

$

-

$

(70,184

)

125,148,888 JPY

1,111,614 USD

3/15/18

Bank of America N.A.

Sell

Notional Amount x 0.10%

Notional Amount x 1.84%

30,114

-

30,114

189,609,651 JPY

1,672,043 USD

3/15/18

Bank of America N.A.

Sell

Notional Amount x 0.10%

Notional Amount x 1.96%

36,604

-

36,604

(3,466

)

-

(3,466

)

EUR Euro

GBP British Pound

JPY Japanese Yen

USD U.S. Dollar

* Collateral for swap agreements held by Citibank N.A. amounted to $570,880 in cash at March 31, 2016. A portion of the cash collateral received from Bank of America N.A., in the amount of $510,000, was related to swap agreements at March 31, 2016.

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

†† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Standard & Poor’s Ratings Group, 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

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

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

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

Writing put and call options. The Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When the Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. The Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security the Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security the Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. The Fund may not be able to close out a call option that it has previously written. The Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. The Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. The Fund may not be able to close out a put option that it has previously written.

43

Notes to Consolidated Financial Statements (Unaudited) (Continued)

When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. The Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. The Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. The Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. The Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When the Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by the Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by the Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by the Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between the Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result the Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. The Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When the Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the

44

Notes to Consolidated Financial Statements (Unaudited) (Continued)

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 March 31, 2016. The Fund’s current exposure to a counterparty is the fair value of the contract.

OTC Counterparty	Units			Expiration Date		Description	Premiums Received		Value
		1			6/17/16	Chipotle Mexican Grill, Inc., Call, Strike 600.00	$	1,552	$	198
		2			6/17/16	Chipotle Mexican Grill, Inc., Put, Strike 450.00		3,639		4,368
		14			4/15/16	Kimberly-Clark Corp., Call, Strike 125.00		3,632		16,100
		28			7/15/16	WhiteWave Foods Co., Call, Strike 37.50		7,218		13,440
		34			4/15/16	WhiteWave Foods Co., Call, Strike 37.50		7,546		10,880
		129			5/20/16	SPDR Gold Shares, Call, Strike 130.00		12,366		5,289
		156			6/30/16	SPDR Gold Shares, Call, Strike 133.00		19,813		9,984
		156			9/30/16	SPDR Gold Shares, Call, Strike 145.00		27,917		11,232
Barclays Bank PLC		3,653			7/15/16	Mylan, Inc., Call, Strike 45.00		12,164		16,347
Barclays Bank PLC		15,394			1/20/17	Johnson & Johnson Co., Call, Strike 110.00		66,964		68,503
Barclays Bank PLC		15,394			1/20/17	Johnson & Johnson Co., Put, Strike 97.50		58,497		48,491
Citibank N.A.		440			6/16/17	Euro STOXX 50 Index, Put, Strike 2,350.00		52,671		59,981
Citibank N.A.		780			8/19/16	Alexion Pharmaceuticals, Inc., Call, Strike 175.00		10,335		1,287
Citibank N.A.		5,800			9/21/16	Taiwan TWSE Index, Put, Strike 8,100.70		97,721		52,396
Citibank N.A.		11,780			9/16/16	Apple, Inc., Call, Strike 120.00		27,149		29,470
Citibank N.A.		11,780			9/16/16	Apple, Inc., Put, Strike 90.00		82,460		19,762
Deutsche Bank AG		190			9/21/18	Euro STOXX 50 Index, Put, Strike 2,586.07		69,380		63,487
Deutsche Bank AG		6,808			5/20/16	Gilead Sciences, Inc., Call, Strike 107.50		43,637		682
Deutsche Bank AG		6,808			5/20/16	Gilead Sciences, Inc., Put, Strike 90.00		55,485		18,518
Deutsche Bank AG		12,300			5/20/16	Goldman Sachs Group, Inc., Call, Strike 245.00		41,328		—
Deutsche Bank AG		13,700			5/20/16	Teva Pharmaceutical Industries Ltd., Call, Strike 73.00		19,498		26
Deutsche Bank AG		13,700			5/20/16	Teva Pharmaceutical Industries Ltd., Put, Strike 55.00		45,059		41,627
Deutsche Bank AG		21,360			5/19/17	QUALCOMM, Inc., Call, Strike 70.00		16,020		9,425
Deutsche Bank AG		21,360			5/19/17	QUALCOMM, Inc., Put, Strike 40.00		70,488		48,979
Deutsche Bank AG		51,400			5/20/16	SunTrust Banks, Inc., Call, Strike 51.75		28,270		2
Deutsche Bank AG		51,435			5/20/16	Bank of New York Mellon Corp., Call, Strike 51.25		34,976		1
Deutsche Bank AG		51,435			5/20/16	Morgan Stanley, Call, Strike 46.00		41,148		1
Deutsche Bank AG		51,435			5/20/16	Wells Fargo & Co., Call, Strike 66.00		32,918		1
Deutsche Bank AG		54,954			1/20/17	General Electric Co., Call, Strike 32.50		59,076		79,057
Deutsche Bank AG		68,581			5/20/16	KeyCorp, Call, Strike 17.90		21,260		1
Deutsche Bank AG		12,470,000	*		6/13/16	Interest Rate Swaption USD 5 Year, Call, Strike 1.05		22,446		29,666
Deutsche Bank AG		12,470,000	*		6/13/16	Interest Rate Swaption USD 5 Year, Put, Strike 1.65		52,998		14,871
Goldman Sachs & Co.		14,480			3/09/18	Nikkei 225 Index, Put, Strike 17,974.04		209,255		378,117
JP Morgan Chase Bank N.A.		15,469			6/17/16	SPDR Gold Trust, Call, Strike 140.00		13,922		4,099
JP Morgan Chase Bank N.A.		15,600			9/16/16	SPDR Gold Trust, Call, Strike 140.00		28,080		14,586
Morgan Stanley & Co.		118			3/17/17	Euro STOXX 50 Index, Put, Strike 2,375.00		15,660		12,527
Morgan Stanley & Co.		118			3/17/17	Euro STOXX 50 Index, Put, Strike 2,375.00		15,045		12,256
Morgan Stanley & Co.		5,464			9/20/17	Taiwan TWSE Index, Put, Strike 8,600.00		181,028		163,616
Morgan Stanley & Co.		5,574			12/20/17	Taiwan TWSE Index, Put, Strike 8,600.00		180,845		191,765
Morgan Stanley & Co.		6,050			1/20/17	Prudential Financial, Inc., Put, Strike 77.50		36,482		66,248
Morgan Stanley & Co.		12,100			1/20/17	Prudential Financial, Inc., Call, Strike 93.50		66,329		15,695
Morgan Stanley & Co.		42,235			9/16/16	Gentex Corp., Put, Strike 9.00		9,081		2,217
Morgan Stanley & Co.		44,269			4/15/16	HSBC Holdings PLC, Call, Strike 4.60		2,905		477
Morgan Stanley & Co.		116,800			6/10/16	Topix Index, Put, Strike 1,450.00		59,868		118,253

45

Notes to Consolidated Financial Statements (Unaudited) (Continued)

OTC Counterparty	Units		Expiration Date		Description	Premiums Received		Value
UBS AG		4,950		1/20/17	MetLife, Inc., Put, Strike 46.00	$	16,632	$	27,494
UBS AG		5,420		1/20/17	MetLife, Inc., Put, Strike 45.00		19,099		26,829
UBS AG		9,900		1/20/17	MetLife, Inc., Call, Strike 57.50		20,799		2,673
UBS AG		10,841		1/20/17	MetLife, Inc., Call, Strike 55.00		27,660		5,258
UBS AG		54,900		9/16/16	General Electric Co., Call, Strike 31.00		47,214		98,820
						$	2,095,535	$	1,815,002

* Notional Amount.

Transactions in written option contracts during the period ended March 31, 2016, were as follows:

	Number of Contracts			Premiums Received
Options outstanding at September 30, 2015		45,288,267		$	2,544,496
Options written		142,214,587			2,996,095
Options terminated in closing purchase transactions		(119,063,299	)		(2,808,121	)
Options expired		(42,345,253	)		(429,758	)
Options exercised		(299,007	)		(207,177	)
Options outstanding at March 31, 2016		25,795,295		$	2,095,535

Inflation-Indexed Bonds

The Fund 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 Fund 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

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

46

Notes to Consolidated Financial Statements (Unaudited) (Continued)

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.

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 March 31, 2016, the Fund had no unfunded loan commitments.

Short Sales

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

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, the Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although the Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in the Fund’s portfolio and increase the volatility of the Fund. If the Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Fund records on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Fund records a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

47

Notes to Consolidated 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 Fund determines the classification of distributions received as 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 daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.

Foreign Securities

The Fund invests a significant amount of its assets in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of the Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

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

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

48

Notes to Consolidated Financial Statements (Unaudited) (Continued)

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. Advisory Fee and Other Transactions

Investment Advisory Fee and Investment Subadviser

MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to the Fund. Under an investment advisory agreement between MML Advisers and the Trust on behalf of the Fund, MML Advisers is responsible for providing investment management services for the Fund. In return for these services, MML Advisers receives an advisory fee, based upon the Fund’s average daily net assets, at the annual rate of 0.78% on the first $750 million; and 0.73% on any excess over $750 million.

MML Advisers has also entered into an investment subadvisory agreement with the unaffiliated investment subadviser, BlackRock Investment Management, LLC (“BlackRock”). MML Advisers pays a subadvisory fee to this subadviser based upon the average daily net assets of the Fund.

The Fund’s subadvisory fee is paid by MML Advisers out of the advisory fee previously disclosed above.

BlackRock provides investment advisory services to the Subsidiary pursuant to an investment advisory agreement. The Subsidiary pays an advisory fee to BlackRock based upon the Subsidiary’s average daily net assets. The rate of this fee is equal to the subadvisory fee rate that MML Advisers pays BlackRock in respect to the Fund. The amount of the fee payable by MML Advisers to BlackRock in respect to the Fund for any period is reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock for that period. Under the Fund’s investment advisory agreement, the amount of the advisory fee payable by the Fund to MML Advisers in respect to any period is also reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock in respect to that period. The amount of the reduction to the Fund’s advisory fee is reflected within expenses waived on the Consolidated Statement of Operations.

Administration Fees

Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of the Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Fund, at the following annual rates:

Class I	Class R5	Service Class	Administrative Class	Class A	Class R4	Class R3
None	0.10%	0.15%	0.15%	0.15%	0.20%	0.20%

The Subsidiary also pays certain other expenses, including administrative, accounting services, custodian, and transfer agent fees. In respect to certain (but not all) of these fees, the Fund has entered into offsetting arrangements with its service providers which result in a reduction of certain of the Fund’s expenses with respect to those assets held by the Subsidiary. Certain of these reductions are reflected within expenses waived on the Consolidated Statement of Operations.

49

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to the Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of the Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of the Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to the Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.

The Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of the Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Fund’s investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Fund separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Fund’s investors.

Expense Caps and Waivers

MML Advisers has agreed to cap the fees and expenses of the Fund (other than extraordinary litigation and legal expenses, interest expense, short sale dividend and loan expense, Acquired Fund Fees and Expenses^#, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses) through January 31, 2017 based upon the average daily net assets of the applicable class of shares of the Fund, as follows:

Class I	Class R5	Service Class	Administrative Class	Class A	Class R4	Class R3
0.79%	0.89%	0.99%	1.09%	1.34%	1.24%	1.49%

# Acquired Fund Fees and Expenses are borne indirectly by the Fund through investments in other pooled investment vehicles.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Rebated Brokerage Commissions

The Fund has entered into agreements with certain brokers whereby the brokers will rebate to the Fund, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Fund and are included with realized gain or loss on investment transactions presented in the Consolidated Statement of Operations. For the period ended March 31, 2016, there were no brokerage commissions rebated under these agreements.

Deferred Compensation

Trustees of the Fund who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Fund’s books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Consolidated Statement of Assets and Liabilities.

Other

Certain officers and trustees of the Fund 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 the Fund’s shares by affiliated parties at March 31, 2016 was 9.8%.

50

Notes to Consolidated Financial Statements (Unaudited) (Continued)

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended March 31, 2016, 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
$	106,909,203	$	291,174,958	$	65,147,720	$	336,742,536

5. Capital Share Transactions

Changes in shares outstanding for the Fund were as follows:

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
Class I*
Sold		2,315,146		$	22,972,988			3,148,689		$	34,523,264			53,738,422		$	651,978,089
Issued as reinvestment of dividends		3,671,034			35,719,159			1,347,287			14,079,148			5,952,446			65,213,177
Redeemed		(12,855,737	)		(121,832,345	)		(3,006,867	)		(32,807,789	)		(2,704,342	)		(32,163,436	)
Net increase (decrease)		(6,869,557	)	$	(63,140,198	)		1,489,109		$	15,794,623			56,986,526		$	685,027,830
Class R5
Sold		24,376		$	246,021			60,337		$	664,466			2,021,022		$	23,997,706
Issued as reinvestment of dividends		44,470			438,475			16,217			171,416			141,441			1,567,140
Redeemed		(34,894	)		(345,808	)		(554,638	)		(6,046,921	)		(53,367,656	)		(646,000,618	)
Net increase (decrease)		33,952		$	338,688			(478,084	)	$	(5,211,039	)		(51,205,193	)	$	(620,435,772	)
Service Class
Sold		54,132		$	525,087			778,263		$	8,597,894			98,672		$	1,169,079
Issued as reinvestment of dividends		87,196			847,543			35,405			368,919			111,814			1,223,660
Redeemed		(168,862	)		(1,711,683	)		(381,743	)		(4,190,904	)		(121,139	)		(1,434,706	)
Net increase (decrease)		(27,534	)	$	(339,053	)		431,925		$	4,775,909			89,347		$	958,033
Administrative Class
Sold		32,226		$	323,041			80,637		$	904,988			130,207		$	1,578,608
Issued as reinvestment of dividends		66,276			664,091			30,886			330,792			156,199			1,758,504
Redeemed		(277,648	)		(2,935,776	)		(291,771	)		(3,300,010	)		(333,243	)		(4,040,235	)
Net increase (decrease)		(179,146	)	$	(1,948,644	)		(180,248	)	$	(2,064,230	)		(46,837	)	$	(703,123	)
Class A
Sold		43,625		$	421,038			188,169		$	2,057,533			257,852		$	3,052,045
Issued as reinvestment of dividends		34,543			334,724			19,363			200,411			83,643			912,593
Redeemed		(132,707	)		(1,328,896	)		(330,447	)		(3,489,499	)		(283,509	)		(3,302,747	)
Net increase (decrease)		(54,539	)	$	(573,134	)		(122,915	)	$	(1,231,555	)		57,986		$	661,891
Class R4*
Sold		1,142,060		$	11,001,604			291,984		$	3,197,557			8,534		$	100,100
Issued as reinvestment of dividends		38,436			369,755			6,389			66,066			973			10,583
Redeemed		(65,135	)		(623,822	)		(43,513	)		(466,849	)		-			-
Net increase (decrease)		1,115,361		$	10,747,537			254,860		$	2,796,774			9,507		$	110,683

51

Notes to Consolidated Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares		Amount
Class R3*
Sold		734,493		$	7,211,357			273,360		$	2,945,761			8,544	$	100,200
Issued as reinvestment of dividends		27,011			259,576			3,816			39,379			956		10,394
Redeemed		(301,755	)		(2,989,046	)		(27,429	)		(300,529	)		-		-
Net increase (decrease)		459,749		$	4,481,887			249,747		$	2,684,611			9,500	$	110,594

* Class commenced operations on April 1, 2014.

+ For the period January 1, 2015 through September 30, 2015.

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 March 31, 2016, 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. There were no contingent deferred sales charges imposed during the period ended March 31, 2016.

6. Federal Income Tax Information

At March 31, 2016, 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)
$578,389,931	$31,055,733	$(39,376,310)	$(8,320,577)

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the consolidated financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the period ended September 30, 2015, was as follows:

Ordinary Income	Long Term Capital Gain	Return of Capital
$4,745,118	$10,685,699	$        -

Capital accounts within the consolidated financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2015, temporary book and tax accounting differences were

52

Notes to Consolidated Financial Statements (Unaudited) (Continued)

primarily attributable to investments in forward contracts, futures contracts, swap agreements, premium amortization accruals, passive foreign investment companies, non-taxable dividends, defaulted bond accruals the deferral of wash sale losses, and deferred Trustee compensation.

At September 30, 2015, 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)
$9,817,530	$29,033,683	$(93,855)	$(37,639,898)

The Fund did not have any unrecognized tax benefits at March 31, 2016, 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 March 31, 2016, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.

7. Indemnifications

Under the Fund’s organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Fund, and shareholders are indemnified against personal liability for obligations of the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

8. New Accounting Pronouncements

In May 2015, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2015-07, Fair Value Measurement (Topic 820): “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)” (“ASU 2015-07”) to address the diversity in practice of how investments measured at net asset value with redemption dates in the future (including periodic redemption dates) are categorized within the fair value hierarchy. ASU 2015-07 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2015. Management is currently evaluating the implications of these changes and their impact to the consolidated financial statements.

9. Subsequent Events

In preparation of these consolidated financial statements, management has evaluated the events and transactions subsequent to March 31, 2016, through the date when the consolidated financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Fund’s consolidated financial statements.

53

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that the Fund’s investment adviser and subadviser use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

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 are available on the SEC’s EDGAR database on its 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.

54

Other Information (Unaudited) (Continued)

Fund Expenses March 31, 2016

Expense Examples:

The following information is in regards to expenses for the six months ended March 31, 2016:

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended March 31, 2016.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Class I	$	1,000		0.80	%	$	1,022.80	$	4.05	$	1,021.00	$	4.04
Class R5		1,000		0.90	%		1,022.40		4.55		1,020.50		4.55
Service Class		1,000		1.00	%		1,022.60		5.06		1,020.00		5.05
Administrative Class		1,000		1.10	%		1,022.20		5.56		1,019.50		5.55
Class A		1,000		1.35	%		1,020.40		6.82		1,018.30		6.81
Class R4		1,000		1.25	%		1,021.00		6.32		1,018.80		6.31
Class R3		1,000		1.50	%		1,020.10		7.58		1,017.50		7.57

* Expenses are calculated using the annualized expense ratio for the six months ended March 31, 2016, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 366 days in the year, unless stated otherwise.

55

Underwriter: MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981  

^©2016 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. Investment Adviser: MML Investment Advisers, LLC RS-39570-00

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Portfolio Summaries (Unaudited)	3
Portfolio of Investments (Unaudited)
MassMutual RetireSMARTSM Conservative Fund	8
MassMutual RetireSMARTSM Moderate Fund	9
MassMutual RetireSMARTSM Moderate Growth Fund	10
MassMutual RetireSMARTSM Growth Fund	11
MassMutual RetireSMARTSM In Retirement Fund	12
MassMutual RetireSMARTSM 2010 Fund	13
MassMutual RetireSMARTSM 2015 Fund	14
MassMutual RetireSMARTSM 2020 Fund	15
MassMutual RetireSMARTSM 2025 Fund	16
MassMutual RetireSMARTSM 2030 Fund	17
MassMutual RetireSMARTSM 2035 Fund	18
MassMutual RetireSMARTSM 2040 Fund	19
MassMutual RetireSMARTSM 2045 Fund	20
MassMutual RetireSMARTSM 2050 Fund	21
MassMutual RetireSMARTSM 2055 Fund	22
MassMutual RetireSMARTSM 2060 Fund	23
Statements of Assets and Liabilities (Unaudited)	24
Statements of Operations (Unaudited)	32
Statements of Changes in Net Assets	36
Financial Highlights	47
Notes to Financial Statements (Unaudited)	63
Other Information (Unaudited)
Proxy Voting	103
Quarterly Reporting	103
Trustees’ Approval of Investment Advisory Contracts	103
Fund Expenses	104

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

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“In MassMutual’s view, retirement investors may be well served by maintaining an investment strategy that is suited to how comfortable they are with the markets’ ups and downs, how long they have to save and invest, and what their specific financial goals are.”

March 31, 2016

Welcome to the MassMutual RetireSMART^SM Funds Series of the MassMutual Select Funds Semiannual Report, covering the six months ended March 31, 2016. U.S. stocks, for the most part, outperformed their foreign counterparts, reflecting the ongoing strength of the U.S. economy during the period. Investors continued to closely monitor economic data releases in their vigil over the potential timing for the U.S. Federal Reserve’s (the “Fed”) long-awaited launch of interest rate increases – a source of investor speculation for most of 2015. During the reporting period, low oil prices and China’s continued economic difficulties continued to capture investors’ attention. Against this backdrop, the price of West Texas Intermediate crude oil started the period at nearly $45 per barrel and declined to nearly $37 at the end of March. This masked the extreme volatility of the commodity, however – whose price reached as high as $47.88 on November 3, 2015, and as low as $26.19 on February 11, 2016. Gasoline prices followed a similar pattern, starting out the six-month period at an average of $2.29 – before settling at $2.06 on March 31, 36 cents lower than the same time in 2015. The price of gold also fluctuated over the course of the six months, starting the period at $1,119 per ounce, before finishing the first quarter at $1,237.

Key events that characterized the period

Thanks to a robust October rally, U.S. stocks performed relatively well in the final quarter of 2015 against the backdrop of a somewhat disappointing first three quarters, when several factors had kept share prices from making much upward headway. These included weak commodity prices – especially crude oil, uncertainty about the timing of the Fed’s first interest rate hike since 2006, investor concerns about the strength and durability of the U.S. economic recovery, and worries over China and emerging markets worldwide.

After an extremely volatile third quarter of 2015, share prices recovered strongly in October, with two of the most widely followed U.S. equity benchmarks, the Dow Jones Industrial Average^SM (the “Dow”) and the S&P 500^® Index, turning in their best monthly gains since October 2011. Investor fears about China and crude oil eased, and a weak September payroll number fueled hopes that the Fed might delay raising short-term interest rates; however, the October and November employment reports were considerably stronger. This renewed talk of a rate increase – which, in fact, finally occurred at the mid-December meeting, when the Fed hiked the target range for the federal funds rate – the Fed’s overnight bank lending rate – to 0.25%-0.50% from 0%-0.25%. Elsewhere, crude oil broke to another new low for the year in December and ended 2015 with an annual decline of 31% after falling almost 50% in 2014. These factors led to choppy market action over the final two months of the year.

The U.S. economy continued to improve, although results were mixed. For example, in mid-October, several housing reports yielded generally positive results, whereas later that month, the housing outlook was muddled by new home sales figures that were the lowest since November 2014. On the other hand, there was mostly good news on the employment front, as jobless claims experienced a favorable downward trend during the fourth quarter – and first-time jobless claims dropped to a 42-year low in mid-December. This was despite the October Job Openings and Labor Turnover Survey, which in December showed a decline in job openings from 5.526 million to 5.383 million. Employment news remained largely positive, however, as even the manufacturing sector, which struggled from falling exports due to a strong dollar, posted encouraging results in the fourth quarter of 2015.

After experiencing a steep plunge and vigorous recovery as recently as August and October, respectively, U.S. stocks repeated that scenario in the first quarter of 2016. In both cases, concerns

(Continued)

1

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders (Unaudited) (Continued)

about China’s slowing economy and falling crude oil prices helped to drive weakness in share prices. Adding to these concerns at the start of 2016 was fear of slowing global and domestic economic growth, the latter underscored by initial estimates that U.S. gross domestic product (“GDP”) expanded by a disappointing 0.7% rate in the fourth quarter of 2015, although that number was subsequently revised upward.

Share prices continued to struggle early in February, as global equity markets moved roughly in tandem with the price of oil, which declined early on, but rallied later in the month on hopes that producers would curtail supply. Concerns about the European banking system also worried investors early in February. In the U.S., a weak January employment report stoked fears that a recession could be on the horizon. However, later in the quarter, upward revisions in estimated fourth-quarter U.S. economic growth, first to 1.0% and ultimately to 1.4%, helped the equity markets rebound. The employment picture also brightened, as February’s nonfarm payrolls came in significantly stronger than the previous two months’. At the same time, the payroll numbers for both January and December were revised upward.

The rally in equities continued in March, with the Fed doing its part by reassuring investors that the central bank would be cautious about implementing further hikes in short-term interest rates. Stocks ended March near their highs for the quarter and only a scant few percent off their all-time highs.

The major stock indexes in the U.S. advanced for the six months ended March 31, 2016 – largely, but not entirely – outperforming foreign developed and emerging markets. The blue-chip Dow climbed 10.07% to lead the major market indexes for the period. Next were the large-cap stock S&P 500 Index, which rose 8.49%; and the technology-heavy NASDAQ Composite^® Index, which advanced 6.07%. The Russell 2000^® Index, a benchmark of small-cap stocks, gained a much more modest 2.02% over the six months. In international markets, the MSCI EAFE Index, an indicator of foreign developed-market stocks, posted a mere 1.56% advance, while the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, had a more impressive 6.41% return. Fixed-income investments advanced somewhat during the period, with the Barclays U.S. Aggregate Bond Index returning 2.44%.*

Review and maintain your strategy

MassMutual knows that nothing matters more than the safety and well-being of your loved ones. Because we know that you want to protect those who matter most to you, we’d like to remind you as a retirement investor that it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. Please keep in mind that the financial markets go both up and down – and that it is nearly impossible to predict their future direction. That’s why our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. If you work with a financial professional and haven’t met with him or her recently, this might be a good time to review your retirement investment strategy. MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. And as always, we thank you for your confidence in MassMutual.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investments Services as of 4/1/16 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

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

2

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Summaries (Unaudited)

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (risk-based) Series, and who is the Series’ investment adviser?

The MassMutual (“MM”) RetireSMART (risk-based) Series (the “Series”) comprises four Funds – each of which has a “fund of funds” structure. The four Funds are MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, and MM RetireSMART Growth Fund. All Funds in the Series seek to achieve as high a total return over time as is considered consistent with prudent investment risk, preservation of capital, and recognition of the Funds’ stated asset allocation.

Each Fund seeks to achieve its investment objective by investing in a combination of domestic and international mutual funds sponsored by MML Investment Advisers, LLC (MML Advisers) 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 MML Advisers, Babson Funds, which are advised by Babson Capital Management LLC (Babson Capital), a wholly-owned, indirect subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual), and Oppenheimer Funds, which are advised by OFI Global Asset Management, Inc. (OFI Global Asset Management), 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 MML Advisers.

Each Fund’s assets are allocated among its Underlying Funds according to an asset allocation strategy, as follows:

• MM RetireSMART Conservative Fund: Assets are allocated among Underlying Funds using a conservative asset allocation strategy (relative to the other risk-based MM RetireSMART Funds), with approximately 30% of its assets invested in equity and similar funds and approximately 70% invested in fixed income funds, including money market funds.

• MM RetireSMART Moderate Fund: Assets are allocated among Underlying Funds using a moderate asset allocation strategy (relative to the other risk-based MM RetireSMART Funds), with approximately 60% of its assets invested in equity and similar funds and approximately 40% invested in fixed income funds, including money market funds.

• MM RetireSMART Moderate Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for moderate growth (relative to the other risk-based MM RetireSMART Funds), with approximately 85% of its assets invested in equity and similar funds and approximately 15% invested in fixed income funds, including money market funds.

• MM RetireSMART Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for growth (relative to the other risk-based MM RetireSMART Funds), with approximately 97% of its assets invested in equity and similar funds and approximately 3% invested in fixed income funds, including money market funds.

MassMutual RetireSMART Conservative Fund Asset Allocation (% of Net Assets) on 3/31/16
Fixed Income Funds	70.6	%
Equity Funds	29.5	%
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 3/31/16
Equity Funds	58.0	%
Fixed Income Funds	42.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

3

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Summaries (Unaudited) (Continued)

MassMutual RetireSMART Moderate Growth Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	82.4	%
Fixed Income Funds	17.7	%
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 3/31/16
Equity Funds	95.8	%
Fixed Income Funds	4.2	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

4

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Unaudited)

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 (“MM”) RetireSMART (target-date) Series (the “Series”) comprises 12 Funds – each of which has a “fund of funds” structure. The 12 Funds are MM RetireSMART In Retirement Fund, MM RetireSMART 2010 Fund, MM RetireSMART 2015 Fund, MM RetireSMART 2020 Fund, MM RetireSMART 2025 Fund, MM RetireSMART 2030 Fund, MM RetireSMART 2035 Fund, MM RetireSMART 2040 Fund, MM RetireSMART 2045 Fund, MM RetireSMART 2050 Fund, MM RetireSMART 2055 Fund, and MM RetireSMART 2060 Fund. All Funds in the Series seek to achieve as high a total return over time as is considered consistent with prudent investment risk, preservation of capital, and recognition of the Funds’ current asset allocation.

Each Fund invests in a combination of domestic and international mutual funds sponsored by MML Investment Advisers, LLC (MML Advisers) or its affiliates (“Underlying Funds”) using an asset allocation strategy designed for investors expecting to retire at age 65 around the year specified in the Fund���s name and likely to stop making new investments in the Fund at or around that time (or designed for investors already in retirement for the MM RetireSMART In Retirement Fund). Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by MML Advisers, Babson Funds, which are advised by Babson Capital Management LLC (Babson Capital), a wholly-owned, indirect subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual), and Oppenheimer Funds, which are advised by OFI Global Asset Management, Inc. (OFI Global Asset Management), 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 MML Advisers.

Each Fund’s assets are allocated to its Underlying Funds according to an asset allocation strategy, as follows:

• MM 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.

• MM RetireSMART 2010/2015/2020/2025/2030/2035/2040/2045/2050/2055/2060 Funds: For each Fund, assets are allocated among Underlying Funds according to an asset allocation strategy that becomes increasingly conservative until it reaches approximately 35% in equity and similar funds and 65% in fixed income funds, including money market funds, approximately 15 years after the target retirement date.

MassMutual RetireSMART In Retirement Fund Asset Allocation (% of Net Assets) on 3/31/16
Fixed Income Funds	65.4	%
Equity Funds	34.6	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART 2010 Fund Asset Allocation (% of Net Assets) on 3/31/16
Fixed Income Funds	57.3	%
Equity Funds	42.7	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

5

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Unaudited) (Continued)

MassMutual RetireSMART 2015 Fund Asset Allocation (% of Net Assets) on 3/31/16
Fixed Income Funds	52.2	%
Equity Funds	47.8	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART 2020 Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	62.6	%
Fixed Income Funds	37.5	%
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 3/31/16
Equity Funds	72.8	%
Fixed Income Funds	27.2	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART 2030 Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	79.5	%
Fixed Income Funds	20.6	%
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 3/31/16
Equity Funds	84.2	%
Fixed Income Funds	15.8	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART 2040 Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	85.9	%
Fixed Income Funds	14.1	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART 2045 Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	88.8	%
Fixed Income Funds	11.2	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual RetireSMART 2050 Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	94.0	%
Fixed Income Funds	6.0	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

6

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Unaudited) (Continued)

MassMutual RetireSMART 2055 Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	94.0	%
Fixed Income Funds	5.8	%
Total Long-Term Investments	99.8	%
Other Assets & Liabilities	0.2	%
Net Assets	100.0	%

MassMutual RetireSMART 2060 Fund Asset Allocation (% of Net Assets) on 3/31/16
Equity Funds	92.8	%
Fixed Income Funds	6.1	%
Total Long-Term Investments	98.9	%
Other Assets & Liabilities	1.1	%
Net Assets	100.0	%

7

MassMutual RetireSMART Conservative Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 29.5%
MassMutual Premier Disciplined Growth Fund, Class I (a)		547,394	$	6,174,609
MassMutual Premier Disciplined Value Fund, Class I (a)		408,629		6,170,301
MassMutual Premier International Equity Fund, Class I (a)		204,450		2,392,061
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		326,209		3,206,638
MassMutual Select Blue Chip Growth Fund, Class I (a)		82,636		1,267,633
MassMutual Select Diversified International Fund, Class I (a)		252,882		1,565,342
MassMutual Select Diversified Value Fund, Class I (a)		85,166		1,197,432
MassMutual Select Focused Value Fund, Class I (a)		204,160		3,478,890
MassMutual Select Fundamental Growth Fund, Class I (a)		144,344		1,111,451
MassMutual Select Fundamental Value Fund, Class I (a)		91,973		1,068,729
MassMutual Select Growth Opportunities Fund, Class I (a)		77,662		775,843
MassMutual Select Large Cap Value Fund, Class I (a)		142,993		968,060
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		70,620		1,271,867
MassMutual Select Mid-Cap Value Fund, Class I (a)		138,109		1,731,893
MassMutual Select Overseas Fund, Class I (a)		670,104		5,059,288
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		73,043		854,599
MassMutual Select Small Cap Value Equity Fund, Class I (a)		88,244		1,328,069
MassMutual Select Small Company Value Fund, Class I (a)		54,186		551,616
MM MSCI EAFE International Index Fund, Class I (a)		406,066		4,653,515
MM Russell 2000 Small Cap Index Fund, Class I (a)		120,582		1,338,458
MM S&P Mid Cap Index Fund, Class I (a)		169,126		2,119,145
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,830,222		3,129,679
Oppenheimer Developing Markets Fund, Class I (a)		24,489		756,941
Oppenheimer Global Real Estate Fund, Class I (a)		279,145		3,151,552

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		29,625	$	832,763
				56,156,374
Fixed Income Funds — 70.6%
Babson Global Floating Rate Fund, Class Y (a)		381,503		3,441,153
MassMutual Premier Core Bond Fund, Class I (a)		4,784,875		52,107,293
MassMutual Premier High Yield Fund, Class I (a)		436,157		3,663,722
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,365,299		14,294,684
MassMutual Premier Money Market Fund, Class R5 (a)		2,377,718		2,377,718
MassMutual Premier Short-Duration Bond Fund, Class I (a)		2,251,704		23,034,927
MassMutual Select Strategic Bond Fund, Class I (a)		1,369,651		13,970,436
MassMutual Select Total Return Bond Fund, Class I (a)		1,536,981		15,569,618
Oppenheimer International Bond Fund, Class I (a)		1,087,398		6,187,297
				134,646,848
TOTAL MUTUAL FUNDS (Cost $199,525,926)				190,803,222
TOTAL LONG-TERM INVESTMENTS (Cost $199,525,926)				190,803,222
TOTAL INVESTMENTS — 100.1% (Cost $199,525,926) (c)				190,803,222
Other Assets/(Liabilities) — (0.1)%				(95,695	)
NET ASSETS — 100.0%			$	190,707,527

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 58.0%
MassMutual Premier Disciplined Growth Fund, Class I (a)		1,559,627	$	17,592,589
MassMutual Premier Disciplined Value Fund, Class I (a)		1,164,272		17,580,508
MassMutual Premier International Equity Fund, Class I (a)		736,970		8,622,549
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		837,162		8,229,298
MassMutual Select Blue Chip Growth Fund, Class I (a)		385,339		5,911,093
MassMutual Select Diversified International Fund, Class I (a)		921,975		5,707,027
MassMutual Select Diversified Value Fund, Class I (a)		397,128		5,583,615
MassMutual Select Focused Value Fund, Class I (a)		446,267		7,604,388
MassMutual Select Fundamental Growth Fund, Class I (a)		673,085		5,182,755
MassMutual Select Fundamental Value Fund, Class I (a)		428,864		4,983,405
MassMutual Select Growth Opportunities Fund, Class I (a)		354,784		3,544,292
MassMutual Select Large Cap Value Fund, Class I (a)		666,829		4,514,430
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		278,297		5,012,128
MassMutual Select Mid-Cap Value Fund, Class I (a)		542,834		6,807,138
MassMutual Select Overseas Fund, Class I (a)		2,443,019		18,444,791
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		265,888		3,110,893
MassMutual Select Small Cap Value Equity Fund, Class I (a)		321,070		4,832,110
MassMutual Select Small Company Value Fund, Class I (a)		197,135		2,006,836
MM MSCI EAFE International Index Fund, Class I (a)		1,480,448		16,965,934
MM Russell 2000 Small Cap Index Fund, Class I (a)		438,960		4,872,457
MM S&P Mid Cap Index Fund, Class I (a)		635,016		7,956,753
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		4,507,838		7,708,403
Oppenheimer Developing Markets Fund, Class I (a)		60,206		1,860,959
Oppenheimer Global Real Estate Fund, Class I (a)		716,090		8,084,658

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		74,411	$	2,091,687
				184,810,696
Fixed Income Funds — 42.1%
Babson Global Floating Rate Fund, Class Y (a)		622,481		5,614,779
MassMutual Premier Core Bond Fund, Class I (a)		4,946,993		53,872,754
MassMutual Premier High Yield Fund, Class I (a)		739,925		6,215,371
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,330,425		13,929,553
MassMutual Premier Money Market Fund, Class R5 (a)		570,147		570,147
MassMutual Premier Short-Duration Bond Fund, Class I (a)		1,887,894		19,313,159
MassMutual Select Strategic Bond Fund, Class I (a)		1,229,301		12,538,875
MassMutual Select Total Return Bond Fund, Class I (a)		1,499,309		15,187,999
Oppenheimer International Bond Fund, Class I (a)		1,254,421		7,137,657
				134,380,294
TOTAL MUTUAL FUNDS (Cost $340,467,758)				319,190,990
TOTAL LONG-TERM INVESTMENTS (Cost $340,467,758)				319,190,990
TOTAL INVESTMENTS — 100.1% (Cost $340,467,758) (c)				319,190,990
Other Assets/(Liabilities) — (0.1)%				(191,416	)
NET ASSETS — 100.0%			$	318,999,574

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 Moderate Growth Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 82.4%
MassMutual Premier Disciplined Growth Fund, Class I (a)		1,524,559	$	17,197,031
MassMutual Premier Disciplined Value Fund, Class I (a)		1,134,052		17,124,189
MassMutual Premier International Equity Fund, Class I (a)		932,708		10,912,687
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		985,719		9,689,621
MassMutual Select Blue Chip Growth Fund, Class I (a)		574,452		8,812,089
MassMutual Select Diversified International Fund, Class I (a)		1,177,192		7,286,820
MassMutual Select Diversified Value Fund, Class I (a)		601,686		8,459,698
MassMutual Select Focused Value Fund, Class I (a)		358,465		6,108,250
MassMutual Select Fundamental Growth Fund, Class I (a)		1,019,757		7,852,127
MassMutual Select Fundamental Value Fund, Class I (a)		649,765		7,550,270
MassMutual Select Growth Opportunities Fund, Class I (a)		528,890		5,283,610
MassMutual Select Large Cap Value Fund, Class I (a)		1,010,317		6,839,844
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		296,324		5,336,799
MassMutual Select Mid-Cap Value Fund, Class I (a)		578,220		7,250,875
MassMutual Select Overseas Fund, Class I (a)		3,119,201		23,549,971
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		362,234		4,238,132
MassMutual Select Small Cap Value Equity Fund, Class I (a)		437,430		6,583,328
MassMutual Select Small Company Value Fund, Class I (a)		268,580		2,734,149
MM MSCI EAFE International Index Fund, Class I (a)		1,890,287		21,662,694
MM Russell 2000 Small Cap Index Fund, Class I (a)		598,287		6,640,991
MM S&P Mid Cap Index Fund, Class I (a)		665,537		8,339,173
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		4,936,782		8,441,897
Oppenheimer Developing Markets Fund, Class I (a)		65,008		2,009,394
Oppenheimer Global Real Estate Fund, Class I (a)		787,082		8,886,160

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		80,370	$	2,259,204
				221,049,003
Fixed Income Funds — 17.7%
Babson Global Floating Rate Fund, Class Y (a)		808,291		7,290,786
MassMutual Premier Core Bond Fund, Class I (a)		1,209,548		13,171,978
MassMutual Premier High Yield Fund, Class I (a)		978,725		8,221,293
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		356,471		3,732,250
MassMutual Premier Money Market Fund, Class R5 (a)		28,990		28,990
MassMutual Premier Short-Duration Bond Fund, Class I (a)		440,160		4,502,834
MassMutual Select Strategic Bond Fund, Class I (a)		274,882		2,803,794
MassMutual Select Total Return Bond Fund, Class I (a)		341,754		3,461,964
Oppenheimer International Bond Fund, Class I (a)		760,761		4,328,729
				47,542,618
TOTAL MUTUAL FUNDS (Cost $292,002,757)				268,591,621
TOTAL LONG-TERM INVESTMENTS (Cost $292,002,757)				268,591,621
TOTAL INVESTMENTS — 100.1% (Cost $292,002,757) (c)				268,591,621
Other Assets/(Liabilities) — (0.1)%				(142,552	)
NET ASSETS — 100.0%			$	268,449,069

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 Growth Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 95.8%
MassMutual Premier Disciplined Growth Fund, Class I (a)		480,198	$	5,416,633
MassMutual Premier Disciplined Value Fund, Class I (a)		356,512		5,383,324
MassMutual Premier International Equity Fund, Class I (a)		383,449		4,486,351
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		428,351		4,210,694
MassMutual Select Blue Chip Growth Fund, Class I (a)		289,936		4,447,625
MassMutual Select Diversified International Fund, Class I (a)		484,583		2,999,570
MassMutual Select Diversified Value Fund, Class I (a)		304,754		4,284,842
MassMutual Select Focused Value Fund, Class I (a)		139,980		2,385,256
MassMutual Select Fundamental Growth Fund, Class I (a)		515,493		3,969,295
MassMutual Select Fundamental Value Fund, Class I (a)		330,716		3,842,916
MassMutual Select Growth Opportunities Fund, Class I (a)		267,012		2,667,449
MassMutual Select Large Cap Value Fund, Class I (a)		514,220		3,481,272
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		124,818		2,247,970
MassMutual Select Mid-Cap Value Fund, Class I (a)		242,623		3,042,493
MassMutual Select Overseas Fund, Class I (a)		1,284,039		9,694,495
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		156,393		1,829,795
MassMutual Select Small Cap Value Equity Fund, Class I (a)		188,727		2,840,339
MassMutual Select Small Company Value Fund, Class I (a)		115,878		1,179,640
MM MSCI EAFE International Index Fund, Class I (a)		778,145		8,917,542
MM Russell 2000 Small Cap Index Fund, Class I (a)		258,215		2,866,182
MM S&P Mid Cap Index Fund, Class I (a)		273,228		3,423,544
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,859,172		3,179,183
Oppenheimer Developing Markets Fund, Class I (a)		24,281		750,535
Oppenheimer Global Real Estate Fund, Class I (a)		303,093		3,421,924

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		30,882	$	868,089
				91,836,958
Fixed Income Funds — 4.2%
Babson Global Floating Rate Fund, Class Y (a)		57,156		515,547
MassMutual Premier Core Bond Fund, Class I (a)		111,028		1,209,091
MassMutual Premier High Yield Fund, Class I (a)		74,764		628,017
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		43,566		456,131
MassMutual Premier Money Market Fund, Class R5 (a)		17,249		17,249
MassMutual Premier Short-Duration Bond Fund, Class I (a)		44,541		455,652
MassMutual Select Strategic Bond Fund, Class I (a)		9,572		97,638
MassMutual Select Total Return Bond Fund, Class I (a)		25,201		255,287
Oppenheimer International Bond Fund, Class I (a)		78,385		446,012
				4,080,624
TOTAL MUTUAL FUNDS (Cost $106,791,185)				95,917,582
TOTAL LONG-TERM INVESTMENTS (Cost $106,791,185)				95,917,582
TOTAL INVESTMENTS — 100.0% (Cost $106,791,185) (c)				95,917,582
Other Assets/(Liabilities) — (0.0)%				(20,890	)
NET ASSETS — 100.0%			$	95,896,692

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 In Retirement Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 34.6%
MassMutual Premier Disciplined Growth Fund, Class I (a)		299,690	$	3,380,499
MassMutual Premier Disciplined Value Fund, Class I (a)		223,725		3,378,241
MassMutual Premier International Equity Fund, Class I (a)		104,513		1,222,800
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		191,518		1,882,621
MassMutual Select Blue Chip Growth Fund, Class I (a)		44,100		676,495
MassMutual Select Diversified International Fund, Class I (a)		129,560		801,974
MassMutual Select Diversified Value Fund, Class I (a)		45,451		639,035
MassMutual Select Focused Value Fund, Class I (a)		115,712		1,971,732
MassMutual Select Fundamental Growth Fund, Class I (a)		77,025		593,095
MassMutual Select Fundamental Value Fund, Class I (a)		49,078		570,281
MassMutual Select Growth Opportunities Fund, Class I (a)		41,242		412,007
MassMutual Select Large Cap Value Fund, Class I (a)		76,305		516,586
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		34,152		615,072
MassMutual Select Mid-Cap Value Fund, Class I (a)		66,933		839,336
MassMutual Select Overseas Fund, Class I (a)		343,320		2,592,066
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		36,623		428,494
MassMutual Select Small Cap Value Equity Fund, Class I (a)		44,307		666,819
MassMutual Select Small Company Value Fund, Class I (a)		27,184		276,737
MM MSCI EAFE International Index Fund, Class I (a)		208,047		2,384,217
MM Russell 2000 Small Cap Index Fund, Class I (a)		60,526		671,839
MM S&P Mid Cap Index Fund, Class I (a)		83,170		1,042,114
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,039,600		1,777,715
Oppenheimer Developing Markets Fund, Class I (a)		12,441		384,552
Oppenheimer Global Real Estate Fund, Class I (a)		158,542		1,789,943

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		16,721	$	470,016
				29,984,286
Fixed Income Funds — 65.4%
Babson Global Floating Rate Fund, Class Y (a)		146,405		1,320,575
MassMutual Premier Core Bond Fund, Class I (a)		1,565,239		17,045,456
MassMutual Premier High Yield Fund, Class I (a)		169,662		1,425,160
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,162,848		12,175,023
MassMutual Premier Money Market Fund, Class R5 (a)		1,182,896		1,182,896
MassMutual Premier Short-Duration Bond Fund, Class I (a)		1,007,659		10,308,354
MassMutual Select Strategic Bond Fund, Class I (a)		495,828		5,057,445
MassMutual Select Total Return Bond Fund, Class I (a)		541,996		5,490,424
Oppenheimer International Bond Fund, Class I (a)		450,955		2,565,934
				56,571,267
TOTAL MUTUAL FUNDS (Cost $90,669,612)				86,555,553
TOTAL LONG-TERM INVESTMENTS (Cost $90,669,612)				86,555,553
TOTAL INVESTMENTS — 100.0% (Cost $90,669,612) (c)				86,555,553
Other Assets/(Liabilities) — (0.0)%				(19,411	)
NET ASSETS — 100.0%			$	86,536,142

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2010 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 42.7%
MassMutual Premier Disciplined Growth Fund, Class I (a)		340,349	$	3,839,140
MassMutual Premier Disciplined Value Fund, Class I (a)		254,074		3,836,515
MassMutual Premier International Equity Fund, Class I (a)		145,292		1,699,918
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		189,458		1,862,370
MassMutual Select Blue Chip Growth Fund, Class I (a)		54,391		834,360
MassMutual Select Diversified International Fund, Class I (a)		180,685		1,118,439
MassMutual Select Diversified Value Fund, Class I (a)		56,060		788,205
MassMutual Select Focused Value Fund, Class I (a)		115,179		1,962,658
MassMutual Select Fundamental Growth Fund, Class I (a)		95,007		731,555
MassMutual Select Fundamental Value Fund, Class I (a)		60,539		703,465
MassMutual Select Growth Opportunities Fund, Class I (a)		50,525		504,748
MassMutual Select Large Cap Value Fund, Class I (a)		94,110		637,123
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		54,945		989,559
MassMutual Select Mid-Cap Value Fund, Class I (a)		107,569		1,348,910
MassMutual Select Overseas Fund, Class I (a)		478,826		3,615,135
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		52,802		617,784
MassMutual Select Small Cap Value Equity Fund, Class I (a)		63,943		962,336
MassMutual Select Small Company Value Fund, Class I (a)		39,209		399,147
MM MSCI EAFE International Index Fund, Class I (a)		290,148		3,325,099
MM Russell 2000 Small Cap Index Fund, Class I (a)		87,325		969,305
MM S&P Mid Cap Index Fund, Class I (a)		127,342		1,595,600
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,021,214		1,746,276
Oppenheimer Developing Markets Fund, Class I (a)		13,001		401,848
Oppenheimer Global Real Estate Fund, Class I (a)		159,972		1,806,080

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		16,874	$	474,337
				36,769,912
Fixed Income Funds — 57.3%
Babson Global Floating Rate Fund, Class Y (a)		169,617		1,529,945
MassMutual Premier Core Bond Fund, Class I (a)		1,517,011		16,520,252
MassMutual Premier High Yield Fund, Class I (a)		187,428		1,574,393
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		984,284		10,305,450
MassMutual Premier Money Market Fund, Class R5 (a)		467,903		467,903
MassMutual Premier Short-Duration Bond Fund, Class I (a)		722,946		7,395,741
MassMutual Select Strategic Bond Fund, Class I (a)		416,306		4,246,322
MassMutual Select Total Return Bond Fund, Class I (a)		493,886		5,003,069
Oppenheimer International Bond Fund, Class I (a)		406,461		2,312,763
				49,355,838
TOTAL MUTUAL FUNDS (Cost $90,776,030)				86,125,750
TOTAL LONG-TERM INVESTMENTS (Cost $90,776,030)				86,125,750
TOTAL INVESTMENTS — 100.0% (Cost $90,776,030) (c)				86,125,750
Other Assets/(Liabilities) — (0.0)%				(19,022	)
NET ASSETS — 100.0%			$	86,106,728

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2015 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 47.8%
MassMutual Premier Disciplined Growth Fund, Class I (a)		433,383	$	4,888,555
MassMutual Premier Disciplined Value Fund, Class I (a)		323,524		4,885,215
MassMutual Premier International Equity Fund, Class I (a)		200,924		2,350,814
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		235,309		2,313,090
MassMutual Select Blue Chip Growth Fund, Class I (a)		71,881		1,102,659
MassMutual Select Diversified International Fund, Class I (a)		250,560		1,550,965
MassMutual Select Diversified Value Fund, Class I (a)		74,076		1,041,510
MassMutual Select Focused Value Fund, Class I (a)		137,074		2,335,743
MassMutual Select Fundamental Growth Fund, Class I (a)		125,559		966,806
MassMutual Select Fundamental Value Fund, Class I (a)		79,996		929,548
MassMutual Select Growth Opportunities Fund, Class I (a)		66,593		665,262
MassMutual Select Large Cap Value Fund, Class I (a)		124,392		842,137
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		80,288		1,445,983
MassMutual Select Mid-Cap Value Fund, Class I (a)		156,601		1,963,777
MassMutual Select Overseas Fund, Class I (a)		663,933		5,012,694
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		75,424		882,466
MassMutual Select Small Cap Value Equity Fund, Class I (a)		91,063		1,370,502
MassMutual Select Small Company Value Fund, Class I (a)		55,921		569,278
MM MSCI EAFE International Index Fund, Class I (a)		402,348		4,610,903
MM Russell 2000 Small Cap Index Fund, Class I (a)		124,564		1,382,658
MM S&P Mid Cap Index Fund, Class I (a)		183,660		2,301,263
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,214,196		2,076,276
Oppenheimer Developing Markets Fund, Class I (a)		13,696		423,338
Oppenheimer Global Real Estate Fund, Class I (a)		191,011		2,156,510

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		19,914	$	559,790
				48,627,742
Fixed Income Funds — 52.2%
Babson Global Floating Rate Fund, Class Y (a)		190,457		1,717,918
MassMutual Premier Core Bond Fund, Class I (a)		1,710,908		18,631,788
MassMutual Premier High Yield Fund, Class I (a)		231,116		1,941,376
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,045,562		10,947,033
MassMutual Premier Money Market Fund, Class R5 (a)		259,990		259,990
MassMutual Premier Short-Duration Bond Fund, Class I (a)		706,172		7,224,136
MassMutual Select Strategic Bond Fund, Class I (a)		427,577		4,361,290
MassMutual Select Total Return Bond Fund, Class I (a)		534,614		5,415,644
Oppenheimer International Bond Fund, Class I (a)		440,893		2,508,680
				53,007,855
TOTAL MUTUAL FUNDS (Cost $106,211,741)				101,635,597
TOTAL LONG-TERM INVESTMENTS (Cost $106,211,741)				101,635,597
TOTAL INVESTMENTS — 100.0% (Cost $106,211,741) (c)				101,635,597
Other Assets/(Liabilities) — (0.0)%				(27,117	)
NET ASSETS — 100.0%			$	101,608,480

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2020 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 62.6%
MassMutual Premier Disciplined Growth Fund, Class I (a)		2,775,439	$	31,306,948
MassMutual Premier Disciplined Value Fund, Class I (a)		2,071,879		31,285,370
MassMutual Premier International Equity Fund, Class I (a)		1,320,411		15,448,805
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,578,067		15,512,402
MassMutual Select Blue Chip Growth Fund, Class I (a)		796,889		12,224,284
MassMutual Select Diversified International Fund, Class I (a)		1,655,368		10,246,728
MassMutual Select Diversified Value Fund, Class I (a)		823,028		11,571,775
MassMutual Select Focused Value Fund, Class I (a)		754,686		12,859,851
MassMutual Select Fundamental Growth Fund, Class I (a)		1,394,940		10,741,035
MassMutual Select Fundamental Value Fund, Class I (a)		888,809		10,327,964
MassMutual Select Growth Opportunities Fund, Class I (a)		734,301		7,335,670
MassMutual Select Large Cap Value Fund, Class I (a)		1,381,992		9,356,089
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		485,541		8,744,598
MassMutual Select Mid-Cap Value Fund, Class I (a)		945,243		11,853,349
MassMutual Select Overseas Fund, Class I (a)		4,386,229		33,116,032
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		472,185		5,524,559
MassMutual Select Small Cap Value Equity Fund, Class I (a)		568,848		8,561,164
MassMutual Select Small Company Value Fund, Class I (a)		349,504		3,557,952
MM MSCI EAFE International Index Fund, Class I (a)		2,658,078		30,461,569
MM Russell 2000 Small Cap Index Fund, Class I (a)		778,700		8,643,574
MM S&P Mid Cap Index Fund, Class I (a)		1,109,128		13,897,372
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		8,192,521		14,009,210
Oppenheimer Developing Markets Fund, Class I (a)		98,532		3,045,632
Oppenheimer Global Real Estate Fund, Class I (a)		1,301,813		14,697,465

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		134,117	$	3,770,015
				338,099,412
Fixed Income Funds — 37.5%
Babson Global Floating Rate Fund, Class Y (a)		996,906		8,992,091
MassMutual Premier Core Bond Fund, Class I (a)		5,974,859		65,066,217
MassMutual Premier High Yield Fund, Class I (a)		1,265,193		10,627,625
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		4,026,709		42,159,648
MassMutual Premier Money Market Fund, Class R5 (a)		851,974		851,974
MassMutual Premier Short-Duration Bond Fund, Class I (a)		2,925,651		29,929,413
MassMutual Select Strategic Bond Fund, Class I (a)		1,452,159		14,812,024
MassMutual Select Total Return Bond Fund, Class I (a)		1,839,859		18,637,774
Oppenheimer International Bond Fund, Class I (a)		1,982,453		11,280,156
				202,356,922
TOTAL MUTUAL FUNDS (Cost $582,342,719)				540,456,334
TOTAL LONG-TERM INVESTMENTS (Cost $582,342,719)				540,456,334
TOTAL INVESTMENTS — 100.1% (Cost $582,342,719) (c)				540,456,334
Other Assets/(Liabilities) — (0.1)%				(353,815	)
NET ASSETS — 100.0%			$	540,102,519

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2025 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 72.8%
MassMutual Premier Disciplined Growth Fund, Class I (a)		1,173,737	$	13,239,755
MassMutual Premier Disciplined Value Fund, Class I (a)		873,987		13,197,211
MassMutual Premier International Equity Fund, Class I (a)		628,040		7,348,069
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		736,442		7,239,222
MassMutual Select Blue Chip Growth Fund, Class I (a)		387,629		5,946,231
MassMutual Select Diversified International Fund, Class I (a)		790,658		4,894,173
MassMutual Select Diversified Value Fund, Class I (a)		403,082		5,667,328
MassMutual Select Focused Value Fund, Class I (a)		298,002		5,077,949
MassMutual Select Fundamental Growth Fund, Class I (a)		683,160		5,260,335
MassMutual Select Fundamental Value Fund, Class I (a)		435,294		5,058,112
MassMutual Select Growth Opportunities Fund, Class I (a)		357,318		3,569,604
MassMutual Select Large Cap Value Fund, Class I (a)		676,833		4,582,162
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		215,421		3,879,727
MassMutual Select Mid-Cap Value Fund, Class I (a)		418,844		5,252,304
MassMutual Select Overseas Fund, Class I (a)		2,094,935		15,816,757
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		238,360		2,788,813
MassMutual Select Small Cap Value Equity Fund, Class I (a)		286,584		4,313,092
MassMutual Select Small Company Value Fund, Class I (a)		176,144		1,793,147
MM MSCI EAFE International Index Fund, Class I (a)		1,269,594		14,549,549
MM Russell 2000 Small Cap Index Fund, Class I (a)		392,752		4,359,552
MM S&P Mid Cap Index Fund, Class I (a)		489,968		6,139,304
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,629,384		6,206,247
Oppenheimer Developing Markets Fund, Class I (a)		38,335		1,184,933
Oppenheimer Global Real Estate Fund, Class I (a)		575,163		6,493,593

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		58,371	$	1,640,809
				155,497,978
Fixed Income Funds — 27.2%
Babson Global Floating Rate Fund, Class Y (a)		594,482		5,362,230
MassMutual Premier Core Bond Fund, Class I (a)		1,463,854		15,941,366
MassMutual Premier High Yield Fund, Class I (a)		798,600		6,708,236
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,024,403		10,725,501
MassMutual Premier Money Market Fund, Class R5 (a)		138,857		138,857
MassMutual Premier Short-Duration Bond Fund, Class I (a)		699,515		7,156,040
MassMutual Select Strategic Bond Fund, Class I (a)		332,849		3,395,058
MassMutual Select Total Return Bond Fund, Class I (a)		433,624		4,392,612
Oppenheimer International Bond Fund, Class I (a)		748,952		4,261,537
				58,081,437
TOTAL MUTUAL FUNDS (Cost $227,671,999)				213,579,415
TOTAL LONG-TERM INVESTMENTS (Cost $227,671,999)				213,579,415
TOTAL INVESTMENTS — 100.0% (Cost $227,671,999) (c)				213,579,415
Other Assets/(Liabilities) — (0.0)%				(98,539	)
NET ASSETS — 100.0%			$	213,480,876

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2030 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 79.5%
MassMutual Premier Disciplined Growth Fund, Class I (a)		2,953,611	$	33,316,729
MassMutual Premier Disciplined Value Fund, Class I (a)		2,197,535		33,182,772
MassMutual Premier International Equity Fund, Class I (a)		1,805,839		21,128,315
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,953,396		19,201,884
MassMutual Select Blue Chip Growth Fund, Class I (a)		1,114,070		17,089,840
MassMutual Select Diversified International Fund, Class I (a)		2,278,254		14,102,391
MassMutual Select Diversified Value Fund, Class I (a)		1,164,451		16,372,180
MassMutual Select Focused Value Fund, Class I (a)		694,989		11,842,611
MassMutual Select Fundamental Growth Fund, Class I (a)		1,973,574		15,196,519
MassMutual Select Fundamental Value Fund, Class I (a)		1,257,510		14,612,272
MassMutual Select Growth Opportunities Fund, Class I (a)		1,026,748		10,257,212
MassMutual Select Large Cap Value Fund, Class I (a)		1,955,268		13,237,163
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		576,645		10,385,375
MassMutual Select Mid-Cap Value Fund, Class I (a)		1,121,482		14,063,384
MassMutual Select Overseas Fund, Class I (a)		6,036,652		45,576,722
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		712,413		8,335,229
MassMutual Select Small Cap Value Equity Fund, Class I (a)		857,950		12,912,149
MassMutual Select Small Company Value Fund, Class I (a)		527,078		5,365,655
MM MSCI EAFE International Index Fund, Class I (a)		3,658,309		41,924,215
MM Russell 2000 Small Cap Index Fund, Class I (a)		1,174,907		13,041,464
MM S&P Mid Cap Index Fund, Class I (a)		1,299,309		16,280,336
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		9,604,523		16,423,734
Oppenheimer Developing Markets Fund, Class I (a)		117,287		3,625,340
Oppenheimer Global Real Estate Fund, Class I (a)		1,523,268		17,197,694

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		154,417	$	4,340,656
				429,011,841
Fixed Income Funds — 20.6%
Babson Global Floating Rate Fund, Class Y (a)		1,811,351		16,338,387
MassMutual Premier Core Bond Fund, Class I (a)		2,301,370		25,061,923
MassMutual Premier High Yield Fund, Class I (a)		2,324,161		19,522,948
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,675,279		17,540,173
MassMutual Premier Money Market Fund, Class R5 (a)		94,308		94,308
MassMutual Premier Short-Duration Bond Fund, Class I (a)		1,034,319		10,581,082
MassMutual Select Strategic Bond Fund, Class I (a)		505,752		5,158,669
MassMutual Select Total Return Bond Fund, Class I (a)		661,817		6,704,206
Oppenheimer International Bond Fund, Class I (a)		1,785,236		10,157,996
				111,159,692
TOTAL MUTUAL FUNDS (Cost $591,686,482)				540,171,533
TOTAL LONG-TERM INVESTMENTS (Cost $591,686,482)				540,171,533
TOTAL INVESTMENTS — 100.1% (Cost $591,686,482) (c)				540,171,533
Other Assets/(Liabilities) — (0.1)%				(342,242	)
NET ASSETS — 100.0%			$	539,829,291

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2035 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 84.2%
MassMutual Premier Disciplined Growth Fund, Class I (a)		832,490	$	9,390,484
MassMutual Premier Disciplined Value Fund, Class I (a)		619,607		9,356,062
MassMutual Premier International Equity Fund, Class I (a)		552,194		6,460,669
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		611,419		6,010,252
MassMutual Select Blue Chip Growth Fund, Class I (a)		365,838		5,611,952
MassMutual Select Diversified International Fund, Class I (a)		698,340		4,322,722
MassMutual Select Diversified Value Fund, Class I (a)		383,434		5,391,083
MassMutual Select Focused Value Fund, Class I (a)		207,997		3,544,276
MassMutual Select Fundamental Growth Fund, Class I (a)		649,487		5,001,047
MassMutual Select Fundamental Value Fund, Class I (a)		414,071		4,811,510
MassMutual Select Growth Opportunities Fund, Class I (a)		337,431		3,370,933
MassMutual Select Large Cap Value Fund, Class I (a)		643,840		4,358,798
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		177,810		3,202,358
MassMutual Select Mid-Cap Value Fund, Class I (a)		345,063		4,327,095
MassMutual Select Overseas Fund, Class I (a)		1,850,310		13,969,842
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		224,679		2,628,750
MassMutual Select Small Cap Value Equity Fund, Class I (a)		269,694		4,058,895
MassMutual Select Small Company Value Fund, Class I (a)		165,794		1,687,781
MM MSCI EAFE International Index Fund, Class I (a)		1,121,335		12,850,504
MM Russell 2000 Small Cap Index Fund, Class I (a)		369,851		4,105,341
MM S&P Mid Cap Index Fund, Class I (a)		398,790		4,996,833
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		2,864,577		4,898,427
Oppenheimer Developing Markets Fund, Class I (a)		33,189		1,025,873
Oppenheimer Global Real Estate Fund, Class I (a)		454,419		5,130,391

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		45,617	$	1,282,292
				131,794,170
Fixed Income Funds — 15.8%
Babson Global Floating Rate Fund, Class Y (a)		367,033		3,310,635
MassMutual Premier Core Bond Fund, Class I (a)		555,801		6,052,674
MassMutual Premier High Yield Fund, Class I (a)		518,541		4,355,741
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		336,138		3,519,360
MassMutual Premier Money Market Fund, Class R5 (a)		34,002		34,002
MassMutual Premier Short-Duration Bond Fund, Class I (a)		238,964		2,444,605
MassMutual Select Strategic Bond Fund, Class I (a)		110,001		1,122,012
MassMutual Select Total Return Bond Fund, Class I (a)		151,388		1,533,557
Oppenheimer International Bond Fund, Class I (a)		420,239		2,391,160
				24,763,746
TOTAL MUTUAL FUNDS (Cost $168,970,378)				156,557,916
TOTAL LONG-TERM INVESTMENTS (Cost $168,970,378)				156,557,916
TOTAL INVESTMENTS — 100.0% (Cost $168,970,378) (c)				156,557,916
Other Assets/(Liabilities) — (0.0)%				(69,111	)
NET ASSETS — 100.0%			$	156,488,805

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2040 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 85.9%
MassMutual Premier Disciplined Growth Fund, Class I (a)		1,543,176	$	17,407,025
MassMutual Premier Disciplined Value Fund, Class I (a)		1,148,165		17,337,289
MassMutual Premier International Equity Fund, Class I (a)		1,114,588		13,040,685
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,231,754		12,108,142
MassMutual Select Blue Chip Growth Fund, Class I (a)		791,400		12,140,082
MassMutual Select Diversified International Fund, Class I (a)		1,409,136		8,722,551
MassMutual Select Diversified Value Fund, Class I (a)		830,362		11,674,897
MassMutual Select Focused Value Fund, Class I (a)		413,718		7,049,760
MassMutual Select Fundamental Growth Fund, Class I (a)		1,406,187		10,827,641
MassMutual Select Fundamental Value Fund, Class I (a)		896,717		10,419,851
MassMutual Select Growth Opportunities Fund, Class I (a)		729,396		7,286,662
MassMutual Select Large Cap Value Fund, Class I (a)		1,394,290		9,439,347
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		360,322		6,489,407
MassMutual Select Mid-Cap Value Fund, Class I (a)		700,221		8,780,774
MassMutual Select Overseas Fund, Class I (a)		3,733,696		28,189,402
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		453,397		5,304,741
MassMutual Select Small Cap Value Equity Fund, Class I (a)		546,074		8,218,420
MassMutual Select Small Company Value Fund, Class I (a)		335,506		3,415,448
MM MSCI EAFE International Index Fund, Class I (a)		2,262,703		25,930,575
MM Russell 2000 Small Cap Index Fund, Class I (a)		747,792		8,300,488
MM S&P Mid Cap Index Fund, Class I (a)		799,118		10,012,943
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		5,588,957		9,557,116
Oppenheimer Developing Markets Fund, Class I (a)		71,021		2,195,252
Oppenheimer Global Real Estate Fund, Class I (a)		901,564		10,178,663

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		91,022	$	2,558,629
				266,585,790
Fixed Income Funds — 14.1%
Babson Global Floating Rate Fund, Class Y (a)		630,244		5,684,805
MassMutual Premier Core Bond Fund, Class I (a)		1,062,872		11,574,679
MassMutual Premier High Yield Fund, Class I (a)		848,729		7,129,323
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		521,062		5,455,517
MassMutual Premier Money Market Fund, Class R5 (a)		44,984		44,984
MassMutual Premier Short-Duration Bond Fund, Class I (a)		438,413		4,484,966
MassMutual Select Strategic Bond Fund, Class I (a)		208,318		2,124,843
MassMutual Select Total Return Bond Fund, Class I (a)		289,780		2,935,470
Oppenheimer International Bond Fund, Class I (a)		772,393		4,394,919
				43,829,506
TOTAL MUTUAL FUNDS (Cost $340,867,907)				310,415,296
TOTAL LONG-TERM INVESTMENTS (Cost $340,867,907)				310,415,296
TOTAL INVESTMENTS — 100.0% (Cost $340,867,907) (c)				310,415,296
Other Assets/(Liabilities) — (0.0)%				(140,889	)
NET ASSETS — 100.0%			$	310,274,407

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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 2045 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 88.8%
MassMutual Premier Disciplined Growth Fund, Class I (a)		407,036	$	4,591,366
MassMutual Premier Disciplined Value Fund, Class I (a)		303,062		4,576,239
MassMutual Premier International Equity Fund, Class I (a)		323,039		3,779,560
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		367,103		3,608,622
MassMutual Select Blue Chip Growth Fund, Class I (a)		245,471		3,765,521
MassMutual Select Diversified International Fund, Class I (a)		409,210		2,533,008
MassMutual Select Diversified Value Fund, Class I (a)		257,714		3,623,456
MassMutual Select Focused Value Fund, Class I (a)		118,640		2,021,627
MassMutual Select Fundamental Growth Fund, Class I (a)		435,402		3,352,596
MassMutual Select Fundamental Value Fund, Class I (a)		278,352		3,234,445
MassMutual Select Growth Opportunities Fund, Class I (a)		226,648		2,264,216
MassMutual Select Large Cap Value Fund, Class I (a)		432,773		2,929,874
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		105,888		1,907,034
MassMutual Select Mid-Cap Value Fund, Class I (a)		205,204		2,573,259
MassMutual Select Overseas Fund, Class I (a)		1,084,279		8,186,304
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		137,249		1,605,810
MassMutual Select Small Cap Value Equity Fund, Class I (a)		164,221		2,471,527
MassMutual Select Small Company Value Fund, Class I (a)		101,081		1,029,005
MM MSCI EAFE International Index Fund, Class I (a)		657,089		7,530,236
MM Russell 2000 Small Cap Index Fund, Class I (a)		225,615		2,504,331
MM S&P Mid Cap Index Fund, Class I (a)		235,516		2,951,018
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,585,569		2,711,324
Oppenheimer Developing Markets Fund, Class I (a)		19,050		588,822
Oppenheimer Global Real Estate Fund, Class I (a)		251,441		2,838,771

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		25,231	$	709,232
				77,887,203
Fixed Income Funds — 11.2%
Babson Global Floating Rate Fund, Class Y (a)		119,671		1,079,431
MassMutual Premier Core Bond Fund, Class I (a)		258,199		2,811,783
MassMutual Premier High Yield Fund, Class I (a)		190,129		1,597,083
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		103,501		1,083,660
MassMutual Premier Money Market Fund, Class R5 (a)		17,244		17,244
MassMutual Premier Short-Duration Bond Fund, Class I (a)		104,877		1,072,890
MassMutual Select Strategic Bond Fund, Class I (a)		44,697		455,914
MassMutual Select Total Return Bond Fund, Class I (a)		67,200		680,741
Oppenheimer International Bond Fund, Class I (a)		180,369		1,026,302
				9,825,048
TOTAL MUTUAL FUNDS (Cost $94,643,965)				87,712,251
TOTAL LONG-TERM INVESTMENTS (Cost $94,643,965)				87,712,251
TOTAL INVESTMENTS — 100.0% (Cost $94,643,965) (c)				87,712,251
Other Assets/(Liabilities) — (0.0)%				(11,645	)
NET ASSETS — 100.0%			$	87,700,606

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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

MassMutual RetireSMART 2050 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 94.0%
MassMutual Premier Disciplined Growth Fund, Class I (a)		651,207	$	7,345,620
MassMutual Premier Disciplined Value Fund, Class I (a)		483,567		7,301,868
MassMutual Premier International Equity Fund, Class I (a)		518,846		6,070,504
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		583,357		5,734,400
MassMutual Select Blue Chip Growth Fund, Class I (a)		393,192		6,031,569
MassMutual Select Diversified International Fund, Class I (a)		656,523		4,063,880
MassMutual Select Diversified Value Fund, Class I (a)		412,866		5,804,903
MassMutual Select Focused Value Fund, Class I (a)		190,062		3,238,664
MassMutual Select Fundamental Growth Fund, Class I (a)		698,069		5,375,129
MassMutual Select Fundamental Value Fund, Class I (a)		448,067		5,206,533
MassMutual Select Growth Opportunities Fund, Class I (a)		362,771		3,624,084
MassMutual Select Large Cap Value Fund, Class I (a)		696,685		4,716,560
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		170,507		3,070,835
MassMutual Select Mid-Cap Value Fund, Class I (a)		329,753		4,135,100
MassMutual Select Overseas Fund, Class I (a)		1,739,646		13,134,330
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		217,115		2,540,249
MassMutual Select Small Cap Value Equity Fund, Class I (a)		260,459		3,919,908
MassMutual Select Small Company Value Fund, Class I (a)		160,153		1,630,356
MM MSCI EAFE International Index Fund, Class I (a)		1,054,253		12,081,737
MM Russell 2000 Small Cap Index Fund, Class I (a)		357,315		3,966,202
MM S&P Mid Cap Index Fund, Class I (a)		375,320		4,702,753
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		2,539,975		4,343,356
Oppenheimer Developing Markets Fund, Class I (a)		32,028		989,987
Oppenheimer Global Real Estate Fund, Class I (a)		408,787		4,615,209

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		41,009	$	1,152,755
				124,796,491
Fixed Income Funds — 6.0%
Babson Global Floating Rate Fund, Class Y (a)		103,173		930,618
MassMutual Premier Core Bond Fund, Class I (a)		214,124		2,331,806
MassMutual Premier High Yield Fund, Class I (a)		156,787		1,317,010
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		85,650		896,755
MassMutual Premier Money Market Fund, Class R5 (a)		30,243		30,243
MassMutual Premier Short-Duration Bond Fund, Class I (a)		87,556		895,696
MassMutual Select Strategic Bond Fund, Class I (a)		15,773		160,889
MassMutual Select Total Return Bond Fund, Class I (a)		47,047		476,585
Oppenheimer International Bond Fund, Class I (a)		151,583		862,509
				7,902,111
TOTAL MUTUAL FUNDS (Cost $145,992,545)				132,698,602
TOTAL LONG-TERM INVESTMENTS (Cost $145,992,545)				132,698,602
TOTAL INVESTMENTS — 100.0% (Cost $145,992,545) (c)				132,698,602
Other Assets/(Liabilities) — (0.0)%				(12,435	)
NET ASSETS — 100.0%			$	132,686,167

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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.

21

MassMutual RetireSMART 2055 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 99.8%
Equity Funds — 94.0%
MassMutual Premier Disciplined Growth Fund, Class I (a)		94,856	$	1,069,979
MassMutual Premier Disciplined Value Fund, Class I (a)		70,452		1,063,830
MassMutual Premier International Equity Fund, Class I (a)		75,491		883,244
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		86,493		850,229
MassMutual Select Blue Chip Growth Fund, Class I (a)		57,230		877,913
MassMutual Select Diversified International Fund, Class I (a)		95,688		592,308
MassMutual Select Diversified Value Fund, Class I (a)		60,077		844,683
MassMutual Select Focused Value Fund, Class I (a)		27,714		472,253
MassMutual Select Fundamental Growth Fund, Class I (a)		101,526		781,750
MassMutual Select Fundamental Value Fund, Class I (a)		65,302		758,810
MassMutual Select Growth Opportunities Fund, Class I (a)		52,814		527,613
MassMutual Select Large Cap Value Fund, Class I (a)		101,535		687,390
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		24,943		449,223
MassMutual Select Mid-Cap Value Fund, Class I (a)		48,124		603,477
MassMutual Select Overseas Fund, Class I (a)		253,540		1,914,226
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		32,151		376,164
MassMutual Select Small Cap Value Equity Fund, Class I (a)		38,482		579,159
MassMutual Select Small Company Value Fund, Class I (a)		23,669		240,949
MM MSCI EAFE International Index Fund, Class I (a)		153,636		1,760,670
MM Russell 2000 Small Cap Index Fund, Class I (a)		52,848		586,607
MM S&P Mid Cap Index Fund, Class I (a)		55,225		691,965
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		371,775		635,735
Oppenheimer Developing Markets Fund, Class I (a)		4,200		129,823
Oppenheimer Global Real Estate Fund, Class I (a)		58,591		661,493

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		5,876	$	165,178
				18,204,671
Fixed Income Funds — 5.8%
Babson Global Floating Rate Fund, Class Y (a)		13,979		126,087
MassMutual Premier Core Bond Fund, Class I (a)		30,631		333,573
MassMutual Premier High Yield Fund, Class I (a)		24,243		203,638
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		12,534		131,226
MassMutual Premier Money Market Fund, Class R5 (a)		4,716		4,716
MassMutual Premier Short-Duration Bond Fund, Class I (a)		12,827		131,224
MassMutual Select Strategic Bond Fund, Class I (a)		1,105		11,273
MassMutual Select Total Return Bond Fund, Class I (a)		6,136		62,162
Oppenheimer International Bond Fund, Class I (a)		21,763		123,832
				1,127,731
TOTAL MUTUAL FUNDS (Cost $20,621,287)				19,332,402
TOTAL LONG-TERM INVESTMENTS (Cost $20,621,287)				19,332,402
TOTAL INVESTMENTS — 99.8% (Cost $20,621,287) (c)				19,332,402
Other Assets/(Liabilities) — 0.2%				42,646
NET ASSETS — 100.0%			$	19,375,048

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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.

22

MassMutual RetireSMART 2060 Fund – Portfolio of Investments

March 31, 2016 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 98.9%
Equity Funds — 92.8%
MassMutual Premier Disciplined Growth Fund, Class I (a)		47,160	$	531,959
MassMutual Premier Disciplined Value Fund, Class I (a)		35,019		528,786
MassMutual Premier International Equity Fund, Class I (a)		37,638		440,370
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		40,268		395,832
MassMutual Select Blue Chip Growth Fund, Class I (a)		28,464		436,645
MassMutual Select Diversified International Fund, Class I (a)		47,530		294,214
MassMutual Select Diversified Value Fund, Class I (a)		29,931		420,829
MassMutual Select Focused Value Fund, Class I (a)		13,742		234,156
MassMutual Select Fundamental Growth Fund, Class I (a)		50,563		389,334
MassMutual Select Fundamental Value Fund, Class I (a)		32,447		377,037
MassMutual Select Growth Opportunities Fund, Class I (a)		26,213		261,868
MassMutual Select Large Cap Value Fund, Class I (a)		50,448		341,535
MassMutual Select Mid Cap Growth Equity II Fund, Class I (a)		12,261		220,817
MassMutual Select Mid-Cap Value Fund, Class I (a)		23,821		298,715
MassMutual Select Overseas Fund, Class I (a)		125,970		951,070
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		15,406		180,248
MassMutual Select Small Cap Value Equity Fund, Class I (a)		18,577		279,579
MassMutual Select Small Company Value Fund, Class I (a)		11,415		116,206
MM MSCI EAFE International Index Fund, Class I (a)		76,333		874,782
MM Russell 2000 Small Cap Index Fund, Class I (a)		25,422		282,188
MM S&P Mid Cap Index Fund, Class I (a)		26,884		336,857
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		182,936		312,821
Oppenheimer Developing Markets Fund, Class I (a)		2,828		87,427
Oppenheimer Global Real Estate Fund, Class I (a)		29,729		335,639

	Number of Shares		Value
Oppenheimer Real Estate Fund, Class I (a)		3,027	$	85,084
				9,013,998
Fixed Income Funds — 6.1%
Babson Global Floating Rate Fund, Class Y (a)		8,065		72,747
MassMutual Premier Core Bond Fund, Class I (a)		15,762		171,649
MassMutual Premier High Yield Fund, Class I (a)		10,740		90,213
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		6,208		64,994
MassMutual Premier Money Market Fund, Class R5 (a)		1,776		1,776
MassMutual Premier Short-Duration Bond Fund, Class I (a)		6,349		64,953
MassMutual Select Strategic Bond Fund, Class I (a)		2,283		23,283
MassMutual Select Total Return Bond Fund, Class I (a)		4,049		41,017
Oppenheimer International Bond Fund, Class I (a)		11,147		63,429
				594,061
TOTAL MUTUAL FUNDS (Cost $10,429,825)				9,608,059
TOTAL LONG-TERM INVESTMENTS (Cost $10,429,825)				9,608,059
TOTAL INVESTMENTS — 98.9% (Cost $10,429,825) (c)				9,608,059
Other Assets/(Liabilities) — 1.1%				111,681
NET ASSETS — 100.0%			$	9,719,740

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) 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.

23

MassMutual RetireSMART Funds – Financial Statements

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Assets:
Investments, at value — affiliated issuers (Note 2 & 7) (a)	$	190,803,222		$	319,190,990
Total investments		190,803,222			319,190,990
Cash		-			-
Receivables from:
Investments sold		216,017			2,331
Investment adviser (Note 3)		17,568			11,154
Fund shares sold		111,230			381,924
Prepaid expenses		57,591			57,590
Total assets		191,205,628			319,643,989
Liabilities:
Payables for:
Investments purchased		16,665			123,683
Fund shares repurchased		132,036			97,825
Trustees’ fees and expenses (Note 3)		25,322			49,945
Affiliates (Note 3):
Administration fees		31,836			47,464
Service fees		70,314			100,154
Shareholder service fees		21,212			33,565
Distribution fees		1,836			3,918
Due to custodian		177,624			161,109
Accrued expense and other liabilities		21,256			26,752
Total liabilities		498,101			644,415
Net assets	$	190,707,527		$	318,999,574
Net assets consist of:
Paid-in capital	$	203,832,695		$	343,815,331
Undistributed (accumulated) net investment income (loss)		-			-
Distributions in excess of net investment income		(739,863	)		(1,245,676	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(3,662,601	)		(2,293,313	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		(8,722,704	)		(21,276,768	)
Net assets	$	190,707,527		$	318,999,574
(a)        Cost of investments — affiliated issuers:	$	199,525,926		$	340,467,758

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			MassMutual RetireSMART 2020 Fund
$	268,591,621		$	95,917,582		$	86,555,553		$	86,125,750		$	101,635,597		$	540,456,334
	268,591,621			95,917,582			86,555,553			86,125,750			101,635,597			540,456,334
	-			-			6,388			-			-			43,498
	181,370			142,622			77,061			375,623			148,826			12,023
	12,423			14,402			16,319			17,846			14,967			6,506
	162,858			136,894			25,398			26,087			576,028			1,547,993
	57,590			57,092			64,594			64,314			66,182			67,232
	269,005,862			96,268,592			86,745,313			86,609,620			102,441,600			542,133,586
	35,269			2,494			6,388			7,409			9,389			237,232
	160,393			100,350			102,042			304,701			625,903			1,377,560
	39,025			10,703			26,817			25,928			4,246			94,643
	41,498			19,510			19,099			19,121			22,065			79,257
	76,216			32,614			23,512			24,160			43,022			131,171
	29,388			10,416			7,050			6,198			4,291			34,403
	3,249			1,641			7,098			6,376			18,952			46,798
	147,211			176,364			-			91,329			89,085			-
	24,544			17,808			17,165			17,670			16,167			30,003
	556,793			371,900			209,171			502,892			833,120			2,031,067
$	268,449,069		$	95,896,692		$	86,536,142		$	86,106,728		$	101,608,480		$	540,102,519
$	291,750,538		$	106,122,279		$	106,515,124		$	108,138,544		$	107,860,016		$	585,210,810
	-			-			1,472,622			1,558,884			-			-
	(894,083	)		(367,990	)		-			-			(359,085	)		(1,838,628	)
	1,003,750			1,016,006			(17,337,545	)		(18,940,420	)		(1,316,307	)		(1,383,278	)
	(23,411,136	)		(10,873,603	)		(4,114,059	)		(4,650,280	)		(4,576,144	)		(41,886,385	)
$	268,449,069		$	95,896,692		$	86,536,142		$	86,106,728		$	101,608,480		$	540,102,519
$	292,002,757		$	106,791,185		$	90,669,612		$	90,776,030		$	106,211,741		$	582,342,719

25

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual RetireSMART Conservative Fund		MassMutual RetireSMART Moderate Fund
Class I shares:
Net assets	$	98,309	$	95,046
Shares outstanding (a)		10,558		10,496
Net asset value, offering price and redemption price per share	$	9.31	$	9.06
Class R5 shares:
Net assets	$	10,606,181	$	34,552,233
Shares outstanding (a)		1,140,359		3,816,853
Net asset value, offering price and redemption price per share	$	9.30	$	9.05
Service Class shares:
Net assets	$	7,469,589	$	10,546,707
Shares outstanding (a)		803,332		1,161,317
Net asset value, offering price and redemption price per share	$	9.30	$	9.08
Administrative Class shares:
Net assets	$	55,680,065	$	108,634,138
Shares outstanding (a)		5,983,371		11,968,341
Net asset value, offering price and redemption price per share	$	9.31	$	9.08
Class A shares:
Net assets	$	110,102,460	$	155,437,268
Shares outstanding (a)		11,828,661		17,093,877
Net asset value and redemption price per share	$	9.31	$	9.09
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	9.88	$	9.64
Class R4 shares:
Net assets	$	3,101,837	$	3,282,874
Shares outstanding (a)		335,064		362,791
Net asset value, offering price and redemption price per share	$	9.26	$	9.05
Class R3 shares:
Net assets	$	3,649,086	$	6,451,308
Shares outstanding (a)		394,930		714,278
Net asset value, offering price and redemption price per share	$	9.24	$	9.03

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

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

26

MassMutual RetireSMART Moderate Growth Fund		MassMutual RetireSMART Growth Fund		MassMutual RetireSMART In Retirement Fund		MassMutual RetireSMART 2010 Fund		MassMutual RetireSMART 2015 Fund		MassMutual RetireSMART 2020 Fund
$	92,077	$	90,230	$	588,724	$	545,838	$	3,808,512	$	8,735,075
	10,230		9,514		55,222		48,616		348,460		766,026
$	9.00	$	9.48	$	10.66	$	11.23	$	10.93	$	11.40
$	17,704,140	$	6,676,266	$	3,571,942	$	2,794,238	$	1,402,059	$	19,850,782
	1,966,859		703,377		334,713		247,023		128,337		1,741,642
$	9.00	$	9.49	$	10.67	$	11.31	$	10.92	$	11.40
$	11,772,691	$	879,586	$	14,931,518	$	25,888,122	$	11,381,989	$	155,928,567
	1,307,186		92,578		1,397,290		2,283,549		1,040,817		13,645,604
$	9.01	$	9.50	$	10.69	$	11.34	$	10.94	$	11.43
$	111,171,277	$	33,039,906	$	28,837,538	$	17,132,443	$	13,473,813	$	130,385,087
	12,332,167		3,480,701		2,699,381		1,515,132		1,235,981		11,432,139
$	9.01	$	9.49	$	10.68	$	11.31	$	10.90	$	11.41
$	119,562,176	$	50,185,078	$	21,049,393	$	22,883,206	$	16,375,619	$	91,996,037
	13,232,846		5,293,908		1,983,103		2,038,346		1,511,746		8,110,639
$	9.04	$	9.48	$	10.61	$	11.23	$	10.83	$	11.34
$	9.59	$	10.06	$	11.26	$	11.92	$	11.49	$	12.03
$	2,443,006	$	2,131,490	$	6,011,778	$	5,943,969	$	22,474,588	$	49,863,513
	272,043		226,024		570,377		533,184		2,083,496		4,446,818
$	8.98	$	9.43	$	10.54	$	11.15	$	10.79	$	11.21
$	5,703,702	$	2,894,136	$	11,545,249	$	10,918,912	$	32,691,900	$	83,343,458
	635,972		307,422		1,102,237		989,457		3,034,261		7,536,845
$	8.97	$	9.41	$	10.47	$	11.04	$	10.77	$	11.06

27

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual RetireSMART 2025 Fund			MassMutual RetireSMART 2030 Fund
Assets:
Investments, at value — affiliated issuers (Note 2 & 7) (a)	$	213,579,415		$	540,171,533
Total investments		213,579,415			540,171,533
Cash		-			79,036
Receivables from:
Investments sold		1,656			1,072,132
Investment adviser (Note 3)		19,132			6,230
Fund shares sold		484,954			224,636
Prepaid expenses		66,683			66,246
Total assets		214,151,840			541,619,813
Liabilities:
Payables for:
Investments purchased		346,950			79,036
Fund shares repurchased		62,563			1,305,021
Trustees’ fees and expenses (Note 3)		7,386			79,961
Affiliates (Note 3):
Administration fees		37,767			80,241
Service fees		82,715			131,451
Shareholder service fees		9,433			32,795
Distribution fees		36,404			52,425
Due to custodian		69,963			-
Accrued expense and other liabilities		17,783			29,592
Total liabilities		670,964			1,790,522
Net assets	$	213,480,876		$	539,829,291
Net assets consist of:
Paid-in capital	$	228,058,779		$	590,575,248
Distributions in excess of net investment income		(601,082	)		(1,567,890	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		115,763			2,336,882
Net unrealized appreciation (depreciation) on investments and foreign currency translations		(14,092,584	)		(51,514,949	)
Net assets	$	213,480,876		$	539,829,291
(a)        Cost of investments — affiliated issuers:	$	227,671,999		$	591,686,482

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

28

MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund			MassMutual RetireSMART 2050 Fund			MassMutual RetireSMART 2055 Fund			MassMutual RetireSMART 2060 Fund
$	156,557,916		$	310,415,296		$	87,712,251		$	132,698,602		$	19,332,402		$	9,608,059
	156,557,916			310,415,296			87,712,251			132,698,602			19,332,402			9,608,059
	-			-			-			-			-			352
	21,743			657,366			1,226,982			1,971			381,737			44
	13,991			12,152			18,405			18,781			19,443			37,447
	234,667			429,185			139,216			250,933			34,086			-
	66,183			66,297			65,725			64,847			61,241			80,078
	156,894,500			311,580,296			89,162,579			133,035,134			19,828,909			9,725,980
	18,031			27,500			5,221			102,204			610			352
	162,563			981,311			236,074			53,704			5,038			-
	5,518			48,721			3,016			11,099			422			96
	29,573			48,890			20,053			25,078			10,131			5,503
	61,473			69,252			35,203			31,877			8,009			172
	7,080			20,725			3,850			7,401			741			28
	25,579			22,309			15,542			12,369			4,221			57
	79,025			63,330			1,127,278			87,412			410,094			-
	16,853			23,851			15,736			17,823			14,595			32
	405,695			1,305,889			1,461,973			348,967			453,861			6,240
$	156,488,805		$	310,274,407		$	87,700,606		$	132,686,167		$	19,375,048		$	9,719,740
$	167,534,857		$	340,891,974		$	93,605,589		$	144,866,858		$	20,412,539		$	10,148,782
	(461,693	)		(1,000,349	)		(267,032	)		(412,937	)		(58,154	)		(22,738	)
	1,828,103			835,393			1,293,763			1,526,188			309,548			415,462
	(12,412,462	)		(30,452,611	)		(6,931,714	)		(13,293,942	)		(1,288,885	)		(821,766	)
$	156,488,805		$	310,274,407		$	87,700,606		$	132,686,167		$	19,375,048		$	9,719,740
$	168,970,378		$	340,867,907		$	94,643,965		$	145,992,545		$	20,621,287		$	10,429,825

29

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)

	MassMutual RetireSMART 2025 Fund		MassMutual RetireSMART 2030 Fund
Class I shares:
Net assets	$	7,696,378	$	6,381,592
Shares outstanding (a)		674,915		567,225
Net asset value, offering price and redemption price per share	$	11.40	$	11.25
Class R5 shares:
Net assets	$	3,491,374	$	22,658,173
Shares outstanding (a)		306,489		2,017,408
Net asset value, offering price and redemption price per share	$	11.39	$	11.23
Service Class shares:
Net assets	$	25,059,475	$	158,509,481
Shares outstanding (a)		2,197,188		14,086,579
Net asset value, offering price and redemption price per share	$	11.41	$	11.25
Administrative Class shares:
Net assets	$	32,739,261	$	125,131,487
Shares outstanding (a)		2,875,762		11,130,002
Net asset value, offering price and redemption price per share	$	11.38	$	11.24
Class A shares:
Net assets	$	34,437,841	$	85,046,536
Shares outstanding (a)		3,048,549		7,610,260
Net asset value and redemption price per share	$	11.30	$	11.18
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	11.99	$	11.86
Class R4 shares:
Net assets	$	44,831,815	$	50,453,239
Shares outstanding (a)		3,980,513		4,538,458
Net asset value, offering price and redemption price per share	$	11.26	$	11.12
Class R3 shares:
Net assets	$	65,224,732	$	91,648,783
Shares outstanding (a)		5,801,862		8,343,883
Net asset value, offering price and redemption price per share	$	11.24	$	10.98

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

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

30

MassMutual RetireSMART 2035 Fund		MassMutual RetireSMART 2040 Fund		MassMutual RetireSMART 2045 Fund		MassMutual RetireSMART 2050 Fund		MassMutual RetireSMART 2055 Fund		MassMutual RetireSMART 2060 Fund
$	4,772,962	$	2,547,038	$	1,497,379	$	1,263,521	$	529,850	$	9,137,296
	413,430		231,989		129,087		157,598		54,683		954,607
$	11.54	$	10.98	$	11.60	$	8.02	$	9.69	$	9.57
$	2,793,091	$	10,772,252	$	1,556,599	$	7,396,801	$	436,661	$	97,171
	242,147		981,183		134,298		923,016		45,042		10,154
$	11.53	$	10.98	$	11.59	$	8.01	$	9.69	$	9.57
$	17,771,842	$	89,456,239	$	9,240,213	$	36,449,083	$	2,107,418	$	97,137
	1,525,094		8,137,565		796,680		4,545,735		216,929		10,153
$	11.65	$	10.99	$	11.60	$	8.02	$	9.71	$	9.57
$	22,801,614	$	85,453,481	$	11,435,783	$	29,569,635	$	1,616,818	$	97,102
	1,961,527		7,793,437		987,815		3,688,860		166,957		10,152
$	11.62	$	10.96	$	11.58	$	8.02	$	9.68	$	9.56
$	28,275,007	$	51,079,548	$	15,995,070	$	18,268,798	$	3,421,510	$	97,017
	2,451,139		4,688,416		1,392,231		2,293,424		353,863		10,149
$	11.54	$	10.89	$	11.49	$	7.97	$	9.67	$	9.56
$	12.24	$	11.55	$	12.19	$	8.46	$	10.26	$	10.14
$	33,772,916	$	30,162,413	$	18,671,146	$	16,913,385	$	3,227,944	$	97,051
	2,935,978		2,784,477		1,631,138		2,130,140		334,369		10,150
$	11.50	$	10.83	$	11.45	$	7.94	$	9.65	$	9.56
$	46,301,373	$	40,803,436	$	29,304,416	$	22,824,944	$	8,034,847	$	96,966
	4,032,391		3,815,280		2,563,405		2,890,703		834,401		10,148
$	11.48	$	10.69	$	11.43	$	7.90	$	9.63	$	9.56

31

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	4,337,965		$	6,417,603
Total investment income		4,337,965			6,417,603
Expenses (Note 3):
Custody fees		18,196			18,392
Audit fees		14,802			14,854
Legal fees		526			993
Accounting & Administration fees		35,884			36,423
Proxy fees		518			518
Shareholder reporting fees		6,227			8,332
Trustees’ fees		5,985			10,795
Registration and filing fees		46,936			46,945
Transfer agent fees		1,501			1,501
		130,575			138,753
Administration fees:
Class R5		4,711			15,656
Service Class		9,841			13,420
Administrative Class		44,412			88,339
Class A		82,764			119,351
Class R4		2,645			2,414
Class R3		2,375			6,168
Distribution fees:
Class R3		2,969			7,710
Service fees:
Class A		137,940			198,919
Class R4		3,306			3,017
Class R3		2,969			7,710
Shareholder service fees:
Service Class		3,280			4,473
Administrative Class		44,412			88,339
Class A		82,764			119,351
Total expenses		554,963			813,620
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(73	)		(79	)
Class R5 fees reimbursed by adviser		(5,298	)		(6,730	)
Service Class fees reimbursed by adviser		(7,366	)		(3,810	)
Administrative Class fees reimbursed by adviser		(33,264	)		(25,155	)
Class A fees reimbursed by adviser		(62,025	)		(34,108	)
Class R4 fees reimbursed by adviser		(1,488	)		(526	)
Class R3 fees reimbursed by adviser		(1,335	)		(1,329	)
Net expenses		444,114			741,883
Net investment income (loss)		3,893,851			5,675,720
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		(3,844,249	)		(6,070,985	)
Realized gain distributions — affiliated issuers (Note 7)		3,760,422			11,041,953
Net realized gain (loss)		(83,827	)		4,970,968
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		(71,603	)		(2,164,723	)
Net change in unrealized appreciation (depreciation)		(71,603	)		(2,164,723	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		(155,430	)		2,806,245
Net increase (decrease) in net assets resulting from operations	$	3,738,421		$	8,481,965

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

32

MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund			MassMutual RetireSMART In Retirement Fund			MassMutual RetireSMART 2010 Fund			MassMutual RetireSMART 2015 Fund			MassMutual RetireSMART 2020 Fund
$	4,444,059		$	1,302,542		$	1,706,147		$	1,782,750		$	1,920,458		$	9,320,067
	4,444,059			1,302,542			1,706,147			1,782,750			1,920,458			9,320,067
	18,444			18,280			18,125			18,084			18,231			18,850
	14,833			14,771			14,766			14,768			14,764			14,905
	809			275			217			254			355			1,546
	36,202			35,564			35,442			35,470			35,387			36,869
	518			518			518			518			518			518
	7,508			4,935			4,604			4,754			4,606			10,557
	8,961			3,114			2,533			2,753			2,527			15,914
	46,945			46,716			48,777			49,311			44,887			50,319
	1,501			1,501			1,501			1,500			1,501			1,501
	135,721			125,674			126,483			127,412			122,776			150,979
	7,919			2,675			1,006			1,221			785			6,579
	11,968			1,705			13,212			21,810			8,410			123,439
	89,072			26,659			22,355			13,788			10,190			98,381
	90,543			37,321			15,228			17,309			12,959			70,116
	2,090			2,450			5,907			5,656			21,764			44,247
	4,876			2,228			10,501			10,052			28,295			71,691
	6,095			2,785			13,126			12,565			35,368			89,613
	150,905			62,202			25,380			28,849			21,598			116,859
	2,612			3,062			7,384			7,071			27,205			55,309
	6,095			2,785			13,126			12,565			35,368			89,613
	3,989			568			4,404			7,270			2,803			41,146
	89,073			26,659			22,355			13,788			10,190			98,381
	90,543			37,321			15,228			17,309			12,959			70,116
	691,501			334,094			295,695			296,665			350,670			1,126,469
	(58	)		(248	)		(702	)		(661	)		(3,655	)		(753	)
	(4,549	)		(5,001	)		(2,314	)		(3,002	)		(1,506	)		(1,250	)
	(4,585	)		(2,119	)		(20,418	)		(35,692	)		(10,766	)		(13,987	)
	(34,086	)		(33,184	)		(34,515	)		(22,572	)		(13,039	)		(11,311	)
	(34,736	)		(46,491	)		(23,510	)		(28,338	)		(16,592	)		(8,048	)
	(605	)		(2,286	)		(6,840	)		(6,947	)		(20,859	)		(3,902	)
	(1,412	)		(2,088	)		(12,157	)		(12,354	)		(27,105	)		(6,318	)
	611,470			242,677			195,239			187,099			257,148			1,080,900
	3,832,589			1,059,865			1,510,908			1,595,651			1,663,310			8,239,167
	(5,347,654	)		(1,890,484	)		(1,523,572	)		(2,043,960	)		(2,397,198	)		(8,186,209	)
	12,320,414			5,215,761			1,756,846			2,234,004			2,678,459			18,586,254
	6,972,760			3,325,277			233,274			190,044			281,261			10,400,045
	(2,879,245	)		(1,189,940	)		167,445			127,576			57,937			(4,983,675	)
	(2,879,245	)		(1,189,940	)		167,445			127,576			57,937			(4,983,675	)
	4,093,515			2,135,337			400,719			317,620			339,198			5,416,370
$	7,926,104		$	3,195,202		$	1,911,627		$	1,913,271		$	2,002,508		$	13,655,537

33

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)

	MassMutual RetireSMART 2025 Fund			MassMutual RetireSMART 2030 Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	3,187,443		$	8,400,288
Total investment income		3,187,443			8,400,288
Expenses (Note 3):
Custody fees		18,256			19,347
Audit fees		14,789			14,903
Legal fees		671			1,652
Accounting & Administration fees		35,641			36,836
Proxy fees		518			518
Shareholder reporting fees		5,630			10,226
Trustees’ fees		4,995			15,646
Registration and filing fees		45,693			50,012
Transfer agent fees		1,500			1,501
		127,693			150,641
Administration fees:
Class R5		2,111			6,909
Service Class		17,254			127,152
Administrative Class		24,014			93,218
Class A		24,686			62,163
Class R4		39,768			42,511
Class R3		53,641			81,847
Distribution fees:
Class R3		67,051			102,309
Service fees:
Class A		41,143			103,605
Class R4		49,710			53,138
Class R3		67,051			102,309
Shareholder service fees:
Service Class		5,751			42,384
Administrative Class		24,014			93,218
Class A		24,686			62,163
Total expenses		568,573			1,123,567
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(4,516	)		(553	)
Class R5 fees reimbursed by adviser		(2,584	)		(1,380	)
Service Class fees reimbursed by adviser		(14,067	)		(14,846	)
Administrative Class fees reimbursed by adviser		(19,641	)		(11,013	)
Class A fees reimbursed by adviser		(20,143	)		(7,366	)
Class R4 fees reimbursed by adviser		(24,295	)		(3,880	)
Class R3 fees reimbursed by adviser		(32,800	)		(7,386	)
Net expenses		450,527			1,077,143
Net investment income (loss)		2,736,916			7,323,145
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		(4,835,440	)		(9,164,817	)
Realized gain distributions — affiliated issuers (Note 7)		7,471,096			22,081,425
Net realized gain (loss)		2,635,656			12,916,608
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		(313,018	)		(5,829,370	)
Net change in unrealized appreciation (depreciation)		(313,018	)		(5,829,370	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		2,322,638			7,087,238
Net increase (decrease) in net assets resulting from operations	$	5,059,554		$	14,410,383

+ Fund commenced operations on November 23, 2015.

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

34

MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund			MassMutual RetireSMART 2050 Fund			MassMutual RetireSMART 2055 Fund			MassMutual RetireSMART 2060 Fund+
$	2,115,778		$	4,535,249		$	1,080,152		$	1,611,064		$	210,103		$	126,807
	2,115,778			4,535,249			1,080,152			1,611,064			210,103			126,807
	18,161			18,816			18,139			18,482			18,062			9,617
	14,775			14,836			14,757			14,775			14,741			12,218
	488			900			268			380			39			23
	35,506			36,167			35,335			35,551			35,257			23,507
	518			518			518			518			518			497
	5,055			7,499			4,349			5,020			3,712			17,288
	3,691			9,302			1,999			3,548			341			170
	45,217			49,815			44,852			48,329			44,876			27,885
	1,500			1,501			1,501			1,501			1,501			1,106
	124,911			139,354			121,718			128,104			119,047			92,311
	1,738			3,111			851			1,859			198			33
	12,020			73,622			7,076			28,300			1,310			50
	15,751			63,848			7,325			21,146			1,148			50
	19,888			36,740			11,134			12,819			2,441			50
	29,797			26,393			15,833			13,882			2,541			66
	38,499			33,461			23,051			18,406			5,860			66
	48,124			41,826			28,814			23,007			7,325			83
	33,147			61,234			18,557			21,366			4,068			83
	37,245			32,991			19,790			17,353			3,176			83
	48,124			41,826			28,814			23,007			7,325			83
	4,007			24,541			2,359			9,433			437			16
	15,751			63,848			7,325			21,146			1,148			50
	19,888			36,740			11,134			12,819			2,440			50
	448,890			679,535			303,781			352,647			158,464			93,074
	(2,962	)		(660	)		(2,168	)		(1,130	)		(3,722	)		(86,777	)
	(2,237	)		(1,626	)		(2,565	)		(3,545	)		(2,984	)		(923	)
	(10,320	)		(25,863	)		(14,191	)		(36,509	)		(13,142	)		(923	)
	(13,556	)		(22,412	)		(14,634	)		(27,251	)		(11,516	)		(921	)
	(17,082	)		(12,884	)		(22,334	)		(16,509	)		(24,487	)		(922	)
	(19,103	)		(6,940	)		(23,734	)		(13,398	)		(19,118	)		(923	)
	(24,675	)		(8,798	)		(34,486	)		(17,741	)		(44,077	)		(922	)
	358,955			600,352			189,669			236,564			39,418			763
	1,756,823			3,934,897			890,483			1,374,500			170,685			126,044
	(2,721,819	)		(6,609,232	)		(1,561,021	)		(2,134,331	)		(340,199	)		(67,034	)
	6,259,324			14,278,768			3,699,980			6,163,705			800,413			482,496
	3,537,505			7,669,536			2,138,959			4,029,374			460,214			415,462
	(1,521,180	)		(2,836,923	)		(612,531	)		(1,591,588	)		(155,248	)		(821,766	)
	(1,521,180	)		(2,836,923	)		(612,531	)		(1,591,588	)		(155,248	)		(821,766	)
	2,016,325			4,832,613			1,526,428			2,437,786			304,966			(406,304	)
$	3,773,148		$	8,767,510		$	2,416,911		$	3,812,286		$	475,651		$	(280,260	)

35

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Conservative Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	3,893,851		$	(297,130	)	$	4,365,036
Net realized gain (loss) on investment transactions		(83,827	)		(572,364	)		10,211,221
Net change in unrealized appreciation (depreciation) on investments		(71,603	)		(4,062,997	)		(6,588,374	)
Net increase (decrease) in net assets resulting from operations		3,738,421			(4,932,491	)		7,987,883
Distributions to shareholders (Note 2):
From net investment income:
Class I*		(4,184	)		-			(5,781	)
Class R5		(246,745	)		-			(106,126	)
Service Class		(354,563	)		-			(577,477	)
Administrative Class		(1,505,377	)		-			(1,625,210	)
Class A		(2,359,020	)		-			(2,965,531	)
Class R4*		(82,585	)		-			(2,577	)
Class R3*		(50,555	)		-			(2,384	)
Total distributions from net investment income		(4,603,029	)		-			(5,285,086	)
From net realized gains:
Class I*		(452	)		(2,450	)		(7,429	)
Class R5		(27,235	)		(58,573	)		(161,105	)
Service Class		(42,369	)		(267,771	)		(864,969	)
Administrative Class		(184,040	)		(920,419	)		(2,659,331	)
Class A		(326,577	)		(1,662,941	)		(5,519,000	)
Class R4*		(9,298	)		(10,202	)		(4,325	)
Class R3*		(6,076	)		(15,856	)		(4,321	)
Total distributions from net realized gains		(596,047	)		(2,938,212	)		(9,220,480	)
Net fund share transactions (Note 5):
Class I*		(69,974	)		(27,709	)		215,473
Class R5		6,570,098			386,303			971,623
Service Class		(11,486,049	)		(1,749,146	)		9,595,181
Administrative Class		(5,942,262	)		2,319,249			2,432,237
Class A		(3,057,729	)		(7,238,800	)		(2,875,411	)
Class R4*		1,660,984			1,427,951			107,002
Class R3*		2,313,864			1,256,454			106,705
Increase (decrease) in net assets from fund share transactions		(10,011,068	)		(3,625,698	)		10,552,810
Total increase (decrease) in net assets		(11,471,723	)		(11,496,401	)		4,035,127
Net assets
Beginning of period		202,179,250			213,675,651			209,640,524
End of period	$	190,707,527		$	202,179,250		$	213,675,651
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	-		$	(30,685	)	$	-
Distributions in excess of net investment income included in net assets at end of period	$	(739,863	)	$	-		$	(617	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

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

36

MassMutual RetireSMART Moderate Fund									MassMutual RetireSMART Moderate Growth Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	5,675,720		$	(293,972	)��	$	7,537,415		$	3,832,589		$	29,513		$	5,386,892
	4,970,968			1,602,514			41,158,512			6,972,760			3,441,262			46,078,664
	(2,164,723	)		(16,730,125	)		(32,833,992	)		(2,879,245	)		(21,173,438	)		(40,495,971	)
	8,481,965			(15,421,583	)		15,861,935			7,926,104			(17,702,663	)		10,969,585
	(14,322	)		-			(20,479	)		(6,252	)		-			(8,710	)
	(750,627	)		-			(662,843	)		(343,553	)		-			(263,126	)
	(384,625	)		-			(1,311,867	)		(299,539	)		-			(741,792	)
	(2,639,382	)		-			(3,598,318	)		(2,217,395	)		-			(3,385,517	)
	(2,893,630	)		-			(4,591,017	)		(1,737,925	)		-			(3,480,392	)
	(46,908	)		-			(2,547	)		(40,960	)		-			(2,455	)
	(130,631	)		-			(2,352	)		(82,660	)		-			(2,261	)
	(6,860,125	)		-			(10,189,423	)		(4,728,284	)		-			(7,884,253	)
	(6,983	)		(19,085	)		(49,649	)		(5,878	)		(12,265	)		(32,178	)
	(378,683	)		(633,533	)		(2,057,321	)		(334,033	)		(364,060	)		(1,197,944	)
	(222,294	)		(1,056,939	)		(4,528,612	)		(327,426	)		(973,066	)		(3,600,715	)
	(1,490,047	)		(3,960,072	)		(12,593,588	)		(2,475,840	)		(5,303,227	)		(16,883,776	)
	(1,908,018	)		(5,087,070	)		(18,110,223	)		(2,373,086	)		(5,217,965	)		(20,273,277	)
	(25,109	)		(41,202	)		(9,043	)		(41,746	)		(53,191	)		(12,596	)
	(71,605	)		(80,871	)		(9,037	)		(91,341	)		(128,582	)		(12,587	)
	(4,102,739	)		(10,878,772	)		(37,357,473	)		(5,649,350	)		(12,052,356	)		(42,013,073	)
	(532,356	)		(38,402	)		801,339			(200,114	)		12,005			360,535
	13,822,483			(1,372,435	)		8,561,105			9,307,263			(368,671	)		6,457,124
	(25,824,131	)		(10,563,962	)		21,784,241			(13,753,640	)		(907,222	)		14,524,346
	(19,202,085	)		45,767			(1,577,332	)		(14,595,312	)		5,165,642			19,998,297
	(8,763,325	)		(22,475,842	)		(1,211,211	)		(4,401,218	)		(19,812,669	)		(8,032,034	)
	1,573,501			1,718,684			111,691			978,676			1,545,547			115,152
	1,395,994			5,300,086			111,589			1,986,137			4,064,704			114,948
	(37,529,919	)		(27,386,104	)		28,581,422			(20,678,208	)		(10,300,664	)		33,538,368
	(40,010,818	)		(53,686,459	)		(3,103,539	)		(23,129,738	)		(40,055,683	)		(5,389,373	)
	359,010,392			412,696,851			415,800,390			291,578,807			331,634,490			337,023,863
$	318,999,574		$	359,010,392		$	412,696,851		$	268,449,069		$	291,578,807		$	331,634,490
$	-		$	(61,271	)	$	11,774		$	-		$	1,612		$	46,512
$	(1,245,676	)	$	-		$	-		$	(894,083	)	$	-		$	-

37

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Growth Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,059,865		$	(70,209	)	$	1,480,778
Net realized gain (loss) on investment transactions		3,325,277			1,909,014			16,131,895
Net change in unrealized appreciation (depreciation) on investments		(1,189,940	)		(9,088,482	)		(14,001,197	)
Net increase (decrease) in net assets resulting from operations		3,195,202			(7,249,677	)		3,611,476
Distributions to shareholders (Note 2):
From net investment income:
Class I*		(7,928	)		-			(7,476	)
Class R5		(97,383	)		-			(129,949	)
Service Class		(37,038	)		-			(133,738	)
Administrative Class		(563,752	)		-			(879,198	)
Class L		-			-			-
Class A		(630,458	)		-			(1,174,417	)
Class R4*		(49,392	)		-			(2,158	)
Class R3		(29,372	)		-			(1,964	)*
Total distributions from net investment income		(1,415,323	)		-			(2,328,900	)
From net realized gains:
Class I*		(12,455	)		(11,624	)		(30,649	)
Class R5		(161,101	)		(172,854	)		(696,100	)
Service Class		(72,782	)		(237,486	)		(716,306	)
Administrative Class		(1,085,361	)		(2,002,303	)		(4,969,620	)
Class A		(1,475,606	)		(2,477,496	)		(7,513,295	)
Class R4*		(86,266	)		(106,251	)		(12,537	)
Class R3		(54,956	)		(65,600	)		(12,529	)*
Total distributions from net realized gains		(2,948,527	)		(5,073,614	)		(13,951,036	)
Net fund share transactions (Note 5):
Class I*		(292,645	)		123,170			348,381
Class R5		3,231,487			(1,582,856	)		1,986,478
Service Class		(3,491,123	)		(1,009,850	)		3,102,085
Administrative Class		(5,822,390	)		4,085,730			9,349,154
Class L		-			-			-
Class A		640,006			(4,225,479	)		5,824,208
Class R4*		92,590			2,375,984			114,797
Class R3		1,325,129			1,600,641			114,693	*
Increase (decrease) in net assets from fund share transactions		(4,316,946	)		1,367,340			20,839,796
Total increase (decrease) in net assets		(5,485,594	)		(10,955,951	)		8,171,336
Net assets
Beginning of period		101,382,286			112,338,237			104,166,901
End of period	$	95,896,692		$	101,382,286		$	112,338,237
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	-		$	(12,532	)	$	523
Distributions in excess of net investment income included in net assets at end of period	$	(367,990	)	$	-		$	-

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

*** Class L shares merged into Administrative Class shares on March 14, 2014.

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

38

MassMutual RetireSMART In Retirement Fund									MassMutual RetireSMART 2010 Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	1,510,908		$	(99,754	)	$	1,715,159		$	1,595,651		$	(76,752	)	$	1,924,922
	233,274			(419,684	)		5,010,817			190,044			(345,587	)		8,642,570
	167,445			(1,858,959	)		(3,732,101	)		127,576			(2,237,494	)		(6,322,365	)
	1,911,627			(2,378,397	)		2,993,875			1,913,271			(2,659,833	)		4,245,127
	-			(18,091	)		(117,788	)		-			(22,681	)		(320,644	)
	-			(20,063	)		(2,570	)*		-			(56,263	)		(3,036	)*
	-			(501,647	)		(497,033	)		-			(802,865	)		(913,758	)
	-			(765,142	)		(845,297	)		-			(528,443	)		(616,051	)
	-			-			-	***		-			-			-	***
	-			(458,259	)		(418,614	)		-			(648,843	)		(587,758	)
	-			(106,699	)		(37,529	)		-			(64,810	)		(59,476	)
	-			(167,521	)		(74,994	)		-			(256,710	)		(208,865	)
	-			(2,037,422	)		(1,993,825	)		-			(2,380,615	)		(2,709,588	)
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	-			-			-			-			-			-
	(23,624	)		(3,992,697	)		4,751,162			(77,859	)		(10,809,753	)		11,700,658
	2,728,226			(160,211	)		953,538	*		876,722			410,630			1,565,758	*
	(5,308,416	)		(1,140,026	)		(4,960,780	)		(3,214,212	)		(1,322,562	)		(32,964,754	)
	(2,238,387	)		(1,666,666	)		16,113,112			(1,680,757	)		(4,444,497	)		12,989,063
	-			-			(19,982,035	)***		-			-			(10,487,566	)***
	349,514			612,614			(257,611	)		(1,942,676	)		3,941,889			(991,646	)
	1,585,980			2,844,000			1,795,829			3,165,885			937,932			1,984,492
	3,021,382			3,622,429			5,076,219			1,720,719			1,608,396			7,151,902
	114,675			119,443			3,489,434			(1,152,178	)		(9,677,965	)		(9,052,093	)
	2,026,302			(4,296,376	)		4,489,484			761,093			(14,718,413	)		(7,516,554	)
	84,509,840			88,806,216			84,316,732			85,345,635			100,064,048			107,580,602
$	86,536,142		$	84,509,840		$	88,806,216		$	86,106,728		$	85,345,635		$	100,064,048
$	1,472,622		$	(38,286	)	$	2,067,351		$	1,558,884		$	(36,767	)	$	2,417,274
$	-		$	-		$	-		$	-		$	-		$	-

39

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2015 Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,663,310		$	(95,403	)	$	1,085,830
Net realized gain (loss) on investment transactions		281,261			(780,136	)		2,254,302
Net change in unrealized appreciation (depreciation) on investments		57,937			(2,286,885	)		(2,480,490	)
Net increase (decrease) in net assets resulting from operations		2,002,508			(3,162,424	)		859,642
Distributions to shareholders (Note 2):
From net investment income:
Class I*		(88,437	)		-			(162,562	)
Class R5*		(34,600	)		-			(33,358	)
Service Class		(259,056	)		-			(207,145	)
Administrative Class		(288,377	)		-			(278,088	)
Class L***		-			-			-
Class A		(297,450	)		-			(225,888	)
Class R4*		(506,944	)		-			(263,006	)
Class R3		(543,522	)		-			(247,325	)*
Total distributions from net investment income		(2,018,386	)		-			(1,417,372	)
From net realized gains:
Class I*		(16,511	)		(64,252	)		(131,614	)
Class R5*		(6,766	)		(26,151	)		(17,358	)
Service Class		(52,262	)		(159,611	)		(208,058	)
Administrative Class		(59,853	)		(140,813	)		(255,567	)
Class L***		-			-			-
Class A		(76,465	)		(342,266	)		(235,778	)
Class R4*		(107,501	)		(226,876	)		(260,433	)
Class R3		(125,962	)		(339,749	)		(250,601	)*
Total distributions from net realized gains		(445,320	)		(1,299,718	)		(1,359,409	)
Net fund share transactions (Note 5):
Class I*		(68,233	)		(2,025,649	)		6,402,167
Class R5*		(183,627	)		498,885			1,235,259
Service Class		1,684,326			1,857,396			(2,242,791	)
Administrative Class		3,080,256			(204,832	)		11,246,090
Class L***		-			-			(3,534,346	)
Class A		(2,450,207	)		9,790,903			4,391,600
Class R4*		8,582,573			3,757,765			11,745,598
Class R3		11,503,643			10,863,431			12,156,710	*
Increase (decrease) in net assets from fund share transactions		22,148,731			24,537,899			41,400,287
Total increase (decrease) in net assets		21,687,533			20,075,757			39,483,148
Net assets
Beginning of period		79,920,947			59,845,190			20,362,042
End of period	$	101,608,480		$	79,920,947		$	59,845,190
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	-		$	(4,009	)	$	4,565
Distributions in excess of net investment income included in net assets at end of period	$	(359,085	)	$	-		$	-

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

*** Class L shares merged into Administrative Class shares on March 14, 2014.

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

40

MassMutual RetireSMART 2020 Fund									MassMutual RetireSMART 2025 Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	8,239,167		$	(95,741	)	$	9,480,980		$	2,736,916		$	44,378		$	1,831,779
	10,400,045			3,787,807			57,944,604			2,635,656			(940,044	)		5,117,085
	(4,983,675	)		(27,180,775	)		(49,347,063	)		(313,018	)		(8,209,566	)		(6,151,367	)
	13,655,537			(23,488,709	)		18,078,521			5,059,554			(9,105,232	)		797,497
	(192,463	)		(238,640	)		(923,254	)		(153,250	)		-			(374,741	)
	(168,417	)		(220,162	)		(2,533	)		(83,863	)		-			(119,272	)
	(3,363,800	)		(4,361,683	)		(4,217,250	)		(421,708	)		-			(245,928	)
	(2,507,982	)		(3,383,595	)		(3,197,654	)		(581,026	)		-			(629,140	)
	-			-			-			-			-			-
	(1,528,338	)		(2,257,123	)		(1,961,413	)		(486,142	)		-			(382,284	)
	(942,181	)		(756,557	)		(353,136	)		(785,828	)		-			(368,593	)
	(1,245,035	)		(1,553,156	)		(1,024,492	)		(874,148	)		-			(436,673	)*
	(9,948,216	)		(12,770,916	)		(11,679,732	)		(3,385,965	)		-			(2,556,631	)
	(128,609	)		-			-			(48,936	)		(133,615	)		(332,873	)
	(117,161	)		-			-			(28,134	)		(79,637	)		(69,378	)
	(2,495,422	)		-			-			(146,857	)		(382,732	)		(224,103	)
	(1,956,670	)		-			-			(214,292	)		(538,705	)		(629,674	)
	-			-			-			-			-			-
	(1,400,874	)		-			-			(215,240	)		(667,376	)		(386,670	)
	(718,058	)		-			-			(286,100	)		(383,137	)		(341,266	)
	(1,109,098	)		-			-			(357,371	)		(783,374	)		(428,587	)*
	(7,925,892	)		-			-			(1,296,930	)		(2,968,576	)		(2,412,551	)
	203,897			(37,556,746	)		47,460,119			460,360			(6,605,288	)		14,950,622
	11,615,642			3,993,232			4,675,140			(684,428	)		115,692			4,592,788
	(11,095,696	)		(8,853,148	)		(47,990,477	)		4,617,434			11,621,044			(1,370,191	)
	(226,751	)		(1,412,930	)		98,051,234			2,683,219			5,620,852			26,619,717
	-			-			(89,483,969	)		-			-			(7,277,306	)
	(2,903,110	)		14,788,536			(5,927,912	)		719,215			19,107,578			10,380,395
	22,618,697			12,955,381			18,004,634			24,099,484			6,414,329			17,294,014
	22,838,632			16,582,960			47,258,238			22,963,477			26,461,617			19,970,607	*
	43,051,311			497,285			72,047,007			54,858,761			62,735,824			85,160,646
	38,832,740			(35,762,340	)		78,445,796			55,235,420			50,662,016			80,988,961
	501,269,779			537,032,119			458,586,323			158,245,456			107,583,440			26,594,479
$	540,102,519		$	501,269,779		$	537,032,119		$	213,480,876		$	158,245,456		$	107,583,440
$	-		$	(129,579	)	$	12,933,714		$	-		$	47,967		$	17,087
$	(1,838,628	)	$	-		$	-		$	(601,082	)	$	-		$	-

41

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2030 Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	7,323,145		$	327,889		$	8,947,459
Net realized gain (loss) on investment transactions		12,916,608			8,090,065			62,162,574
Net change in unrealized appreciation (depreciation) on investments		(5,829,370	)		(35,999,791	)		(55,964,303	)
Net increase (decrease) in net assets resulting from operations		14,410,383			(27,581,837	)		15,145,730
Distributions to shareholders (Note 2):
From net investment income:
Class I*		(130,057	)		-			(2,175,304	)
Class R5*		(142,864	)		-			(116,978	)
Service Class		(3,307,406	)		-			(7,601,321	)
Administrative Class		(2,228,854	)		-			(5,220,216	)
Class L***		-			-			-
Class A		(1,261,811	)		-			(3,028,054	)
Class R4*		(783,935	)		-			(712,810	)
Class R3		(1,282,800	)		-			(2,223,599	)
Total distributions from net investment income		(9,137,727	)		-			(21,078,282	)
From net realized gains:
Class I*		(162,216	)		(204,551	)		(131,039	)
Class R5*		(186,180	)		(264,925	)		(10,601	)
Service Class		(4,595,478	)		(6,152,806	)		(457,063	)
Administrative Class		(3,281,431	)		(4,490,101	)		(325,433	)
Class L***		-			-			-
Class A		(2,183,509	)		(3,058,421	)		(185,017	)
Class R4*		(1,123,306	)		(819,514	)		(43,204	)
Class R3		(2,202,648	)		(2,385,918	)		(144,098	)
Total distributions from net realized gains		(13,734,768	)		(17,376,236	)		(1,296,455	)
Net fund share transactions (Note 5):
Class I*		394,654			(47,461,912	)		55,860,111
Class R5*		14,833,755			3,997,746			4,491,249
Service Class		(11,365,472	)		1,314,866			(22,932,383	)
Administrative Class		287,501			4,407,029			88,658,829
Class L***		-			-			(73,642,028	)
Class A		2,852,604			18,396,163			(4,335,541	)
Class R4*		28,930,573			6,946,428			18,892,276
Class R3		24,453,383			17,788,856			56,129,770
Increase (decrease) in net assets from fund share transactions		60,386,998			5,389,176			123,122,283
Total increase (decrease) in net assets		51,924,886			(39,568,897	)		115,893,276
Net assets
Beginning of period		487,904,405			527,473,302			411,580,026
End of period	$	539,829,291		$	487,904,405		$	527,473,302
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	-		$	246,692		$	27,920
Distributions in excess of net investment income included in net assets at end of period	$	(1,567,890	)	$	-		$	-

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

*** Class L shares merged into Administrative Class shares on March 14, 2014.

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

42

MassMutual RetireSMART 2035 Fund									MassMutual RetireSMART 2040 Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	1,756,823		$	6,981		$	1,188,027		$	3,934,897		$	163,977		$	5,135,358
	3,537,505			(481,043	)		4,528,709			7,669,536			6,920,705			40,371,078
	(1,521,180	)		(7,006,214	)		(4,796,808	)		(2,836,923	)		(23,680,036	)		(35,358,199	)
	3,773,148			(7,480,276	)		919,928			8,767,510			(16,595,354	)		10,148,237
	(88,508	)		-			(286,746	)		(49,974	)		-			(1,671,092	)
	(64,067	)		-			(70,437	)		(53,996	)		-			(46,756	)
	(277,932	)		-			(159,824	)		(1,780,997	)		-			(4,127,853	)
	(336,893	)		-			(426,599	)		(1,470,800	)		-			(3,026,329	)
	-			-			-			-			-			-
	(362,800	)		-			(249,986	)		(704,889	)		-			(1,547,925	)
	(547,434	)		-			(182,471	)		(485,765	)		-			(434,195	)
	(549,809	)		-			(342,716	)*		(502,852	)		-			(690,600	)
	(2,227,443	)		-			(1,718,779	)		(5,049,273	)		-			(11,544,750	)
	(34,535	)		(94,983	)		(366,251	)		(85,682	)		(98,697	)		(1,272,067	)
	(26,312	)		(77,406	)		(60,953	)		(96,321	)		(109,388	)		(50,240	)
	(118,666	)		(292,394	)		(214,174	)		(3,418,143	)		(4,115,618	)		(3,175,407	)
	(154,959	)		(417,126	)		(572,686	)		(2,967,873	)		(3,426,895	)		(2,405,757	)
	-			-			-			-			-			-
	(198,405	)		(614,400	)		(373,417	)		(1,695,493	)		(2,070,850	)		(1,235,311	)
	(242,387	)		(310,856	)		(244,667	)		(964,844	)		(659,266	)		(337,421	)
	(291,259	)		(668,358	)		(495,270	)*		(1,173,105	)		(1,069,339	)		(607,271	)
	(1,066,523	)		(2,475,523	)		(2,327,418	)		(10,401,461	)		(11,550,053	)		(9,083,474	)
	273,236			(6,843,103	)		12,160,626			(13,778	)		(43,358,418	)		48,492,693
	(681,680	)		965,012			2,970,316			7,909,820			1,254,429			1,886,371
	4,029,829			7,691,810			(2,470,886	)		(9,799,030	)		(3,965,732	)		(22,243,011	)
	2,479,640			3,270,719			17,816,693			1,543,321			8,678,553			60,491,759
	-			-			(4,821,324	)		-			-			(49,444,833	)
	2,343,214			16,028,796			6,030,011			3,131,267			11,133,295			(3,128,362	)
	20,307,322			6,630,891			9,167,391			14,733,312			6,168,932			12,753,693
	15,126,465			17,831,463			16,906,823	*		14,821,355			7,913,751			19,215,508
	43,878,026			45,575,588			57,759,650			32,326,267			(12,175,190	)		68,023,818
	44,357,208			35,619,789			54,633,381			25,643,043			(40,320,597	)		57,543,831
	112,131,597			76,511,808			21,878,427			284,631,364			324,951,961			267,408,130
	$156,488,805		$	112,131,597		$	76,511,808		$	310,274,407		$	284,631,364		$	324,951,961
$	-		$	8,927		$	3,703		$	-		$	114,027		$	-
$	(461,693	)	$	-		$	-		$	(1,000,349	)	$	-		$	(5,535	)

43

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2045 Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	890,483		$	1,641		$	597,530
Net realized gain (loss) on investment transactions		2,138,959			(116,735	)		2,652,699
Net change in unrealized appreciation (depreciation) on investments		(612,531	)		(4,148,940	)		(2,813,190	)
Net increase (decrease) in net assets resulting from operations		2,416,911			(4,264,034	)		437,039
Distributions to shareholders (Note 2):
From net investment income:
Class I*		(26,649	)		-			(158,695	)
Class R5*		(30,186	)		-			(40,020	)
Service Class		(157,829	)		-			(117,304	)
Administrative Class		(148,496	)		-			(138,816	)
Class L***		-			-			-
Class A		(194,202	)		-			(142,448	)
Class R4*		(274,397	)		-			(91,143	)
Class R3		(328,441	)		-			(193,328	)*
Total distributions from net investment income		(1,160,200	)		-			(881,754	)
From net realized gains:
Class I*		(12,005	)		(30,267	)		(221,767	)
Class R5*		(14,382	)		(41,589	)		(38,504	)
Service Class		(78,505	)		(205,140	)		(173,726	)
Administrative Class		(78,466	)		(211,038	)		(204,530	)
Class L***		-			-			-
Class A		(123,648	)		(372,444	)		(227,829	)
Class R4*		(143,313	)		(231,649	)		(132,241	)
Class R3		(197,731	)		(404,060	)		(293,553	)*
Total distributions from net realized gains		(648,050	)		(1,496,187	)		(1,292,150	)
Net fund share transactions (Note 5):
Class I*		88,508			(5,239,009	)		6,990,844
Class R5*		(89,703	)		116,480			1,768,264
Service Class		898,473			3,718,615			(125,215	)
Administrative Class		1,890,776			3,789,847			6,220,485
Class L***		-			-			(1,439,247	)
Class A		1,684,123			8,324,046			3,836,142
Class R4*		9,536,831			4,859,081			5,566,091
Class R3		11,726,495			9,450,620			10,158,576	*
Increase (decrease) in net assets from fund share transactions		25,735,503			25,019,680			32,975,940
Total increase (decrease) in net assets		26,344,164			19,259,459			31,239,075
Net assets
Beginning of period		61,356,442			42,096,983			10,857,908
End of period	$	87,700,606		$	61,356,442		$	42,096,983
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	-		$	2,685		$	-
Distributions in excess of net investment income included in net assets at end of period	$	(267,032	)	$	-		$	(114	)

* Class commenced operations on April 1, 2014.

** For the period January 1, 2015 through September 30, 2015.

*** Class L shares merged into Administrative Class shares on March 14, 2014.

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

44

MassMutual RetireSMART 2050 Fund									MassMutual RetireSMART 2055 Fund
Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014			Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015**			Year Ended December 31, 2014
$	1,374,500		$	54,824		$	1,659,110		$	170,685		$	3,039		$	68,861
	4,029,374			746,000			13,270,996			460,214			(48,289	)		244,026
	(1,591,588	)		(7,796,463	)		(11,461,939	)		(155,248	)		(857,499	)		(289,073	)
	3,812,286			(6,995,639	)		3,468,167			475,651			(902,749	)		23,814
	(21,477	)		-			(482,529	)		(8,635	)		-			(2,705	)
	(19,346	)		-			(19,742	)		(6,684	)		-			(6,304	)
	(660,963	)		-			(829,072	)		(28,632	)		-			(22,101	)
	(444,359	)		-			(520,786	)		(24,145	)		-			(17,227	)
	-			-			-			-			-			-
	(227,842	)		-			(230,895	)		(44,962	)		-			(12,819	)
	(222,618	)		-			(155,371	)		(41,489	)		-			(15,420	)
	(239,873	)		-			(234,218	)		(77,575	)		-			(26,060	)*
	(1,836,478	)		-			(2,472,613	)		(232,122	)		-			(102,636	)
	(25,528	)		(38,452	)		(1,814,609	)		(2,907	)		(5,178	)		(2,260	)
	(24,083	)		(34,511	)		(55,857	)		(2,262	)		(5,674	)		(3,852	)
	(879,806	)		(1,541,806	)		(3,626,240	)		(10,124	)		(23,124	)		(21,434	)
	(626,177	)		(1,114,496	)		(2,205,837	)		(8,996	)		(18,774	)		(15,575	)
	-			-			-			-			-			-
	(379,522	)		(679,185	)		(1,236,814	)		(19,355	)		(51,824	)		(10,236	)
	(316,995	)		(392,689	)		(679,951	)		(16,077	)		(13,711	)		(8,796	)
	(401,766	)		(566,090	)		(1,026,123	)		(33,501	)		(54,151	)		(22,146	)*
	(2,653,877	)		(4,367,229	)		(10,645,431	)		(93,222	)		(172,436	)		(84,299	)
	147,418			(19,152,987	)		22,265,641			58,873			396,559			105,068
	6,269,317			287,042			870,555			74,084			118,100			277,766
	(1,052,891	)		3,660,761			(9,555,379	)		644,899			500,818			332,349
	2,347,701			6,591,472			16,101,237			317,956			617,709			689,997
	-			-			(8,827,755	)		-			-			(107,383	)
	1,823,670			6,375,904			3,412,933			260,183			2,805,436			550,435
	7,583,445			3,504,051			7,907,827			2,361,526			257,626			751,803
	8,649,891			3,927,537			10,507,368			4,115,866			2,895,514			1,361,431	*
	25,768,551			5,193,780			42,682,427			7,833,387			7,591,762			3,961,466
	25,090,482			(6,169,088	)		33,032,550			7,983,694			6,516,577			3,798,345
	107,595,685			113,764,773			80,732,223			11,391,354			4,874,777			1,076,432
$	132,686,167		$	107,595,685		$	113,764,773		$	19,375,048		$	11,391,354		$	4,874,777
$	-		$	49,041		$	-		$	-		$	3,283		$	114
$	(412,937	)	$	-		$	(1,896	)	$	(58,154	)	$	-		$	-

45

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2060 Fund
	Period Ended March 31, 2016 (Unaudited)+
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	126,044
Net realized gain (loss) on investment transactions		415,462
Net change in unrealized appreciation (depreciation) on investments		(821,766	)
Net increase (decrease) in net assets resulting from operations		(280,260	)
Distributions to shareholders (Note 2):
From net investment income:
Class I		(140,081	)
Class R5		(1,480	)
Service Class		(1,469	)
Administrative Class		(1,459	)
Class A		(1,433	)
Class R4		(1,443	)
Class R3		(1,417	)
Total distributions from net investment income		(148,782	)
Net fund share transactions (Note 5):
Class I		9,540,081
Class R5		101,480
Service Class		101,469
Administrative Class		101,459
Class A		101,433
Class R4		101,443
Class R3		101,417
Increase (decrease) in net assets from fund share transactions		10,148,782
Total increase (decrease) in net assets		9,719,740
Net assets
Beginning of period		-
End of period	$	9,719,740
Distributions in excess of net investment income included in net assets at end of period	$	(22,738	)

+ Fund commenced operations on November 23, 2015.

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

46

MassMutual RetireSMART Conservative Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	9.40	$	0.23		$	(0.03	)	$	0.20		$	(0.26	)	$	(0.03	)	$	(0.29	)	$	9.31		2.16%	b	$	98		0.13%	a		0.02%	a		5.01%	a
09/30/15i		9.73		0.02			(0.21	)		(0.19	)		-			(0.14	)		(0.14	)		9.40		(2.01%	)b		170		0.12%	a		0.02%	a		0.24%	a
12/31/14h		10.19		0.34			(0.07	)		0.27			(0.29	)		(0.44	)		(0.73	)		9.73		2.62%	b		204		0.09%	a		0.02%	a		4.32%	a
Class R5
03/31/16r	$	9.39	$	0.19		$	0.00	d	$	0.19		$	(0.25	)	$	(0.03	)	$	(0.28	)	$	9.30		2.10%	b	$	10,606		0.23%	a		0.12%	a		4.10%	a
09/30/15i		9.73		0.01			(0.21	)		(0.20	)		-			(0.14	)		(0.14	)		9.39		(2.11%	)b		4,154		0.22%	a		0.12%	a		0.15%	a
12/31/14		10.03		0.25			0.17			0.42			(0.28	)		(0.44	)		(0.72	)		9.73		4.15%			3,921		0.18%			0.13%			2.44%
12/31/13		10.14		0.34			0.29			0.63			(0.29	)		(0.45	)		(0.74	)		10.03		6.29%			3,073		0.15%			N/A			3.23%
12/31/12		9.70		0.25			0.63			0.88			(0.27	)		(0.17	)		(0.44	)		10.14		9.14%			2,774		0.13%			N/A			2.46%
12/31/11g		10.00		0.24			(0.21	)		0.03			(0.31	)		(0.02	)		(0.33	)		9.70		0.33%	b		100		0.14%	a		N/A			4.44%	a
Service Class
03/31/16r	$	9.37	$	0.21		$	(0.02	)	$	0.19		$	(0.23	)	$	(0.03	)	$	(0.26	)	$	9.30		2.11%	b	$	7,470		0.33%	a		0.22%	a		4.47%	a
09/30/15i		9.72		0.00	d		(0.21	)		(0.21	)		-			(0.14	)		(0.14	)		9.37		(2.22%	)b		19,160		0.32%	a		0.22%	a		0.04%	a
12/31/14		10.03		0.29			0.12			0.41			(0.28	)		(0.44	)		(0.72	)		9.72		3.99%			21,586		0.27%			0.21%			2.84%
12/31/13		10.14		0.49			0.14			0.63			(0.29	)		(0.45	)		(0.74	)		10.03		6.29%			12,812		0.19%			N/A			4.64%
12/31/12		9.69		0.23			0.66			0.89			(0.27	)		(0.17	)		(0.44	)		10.14		9.21%			3,110		0.17%			N/A			2.29%
12/31/11g		10.00		1.42			(1.40	)		0.02			(0.31	)		(0.02	)		(0.33	)		9.69		0.24%	b		2,684		0.18%	a		N/A			26.89%	a
Administrative Class
03/31/16r	$	9.38	$	0.19		$	(0.00	)d	$	0.19		$	(0.23	)	$	(0.03	)	$	(0.26	)	$	9.31		2.05%	b	$	55,680		0.43%	a		0.32%	a		4.20%	a
09/30/15i		9.73		(0.00	)d		(0.21	)		(0.21	)		-			(0.14	)		(0.14	)		9.38		(2.21%	)b		62,204		0.42%	a		0.32%	a		(0.05%	)a
12/31/14		10.04		0.22			0.17			0.39			(0.26	)		(0.44	)		(0.70	)		9.73		3.87%			62,351		0.36%			0.31%			2.19%
12/31/13		10.14		0.18			0.44			0.62			(0.27	)		(0.45	)		(0.72	)		10.04		6.22%			61,817		0.27%			N/A			1.78%
12/31/12		9.70		0.21			0.66			0.87			(0.26	)		(0.17	)		(0.43	)		10.14		9.01%			73,765		0.25%			N/A			2.10%
12/31/11g		10.00		0.23			(0.21	)		0.02			(0.30	)		(0.02	)		(0.32	)		9.70		0.26%	b		97,539		0.26%	a		N/A			4.26%	a
Class A
03/31/16r	$	9.36	$	0.17		$	0.01		$	0.18		$	(0.20	)	$	(0.03	)	$	(0.23	)	$	9.31		1.97%	b	$	110,102		0.68%	a		0.57%	a		3.74%	a
09/30/15i		9.74		(0.02	)		(0.22	)		(0.24	)		-			(0.14	)		(0.14	)		9.36		(2.52%	)b		113,693		0.67%	a		0.57%	a		(0.31%	)a
12/31/14		10.04		0.19			0.19			0.38			(0.24	)		(0.44	)		(0.68	)		9.74		3.69%			125,410		0.61%			0.56%			1.83%
12/31/13		10.14		0.16			0.43			0.59			(0.24	)		(0.45	)		(0.69	)		10.04		5.92%			131,939		0.52%			N/A			1.51%
12/31/12		9.70		0.18			0.67			0.85			(0.24	)		(0.17	)		(0.41	)		10.14		8.73%			163,625		0.50%			N/A			1.75%
12/31/11g		10.00		0.22			(0.21	)		0.01			(0.29	)		(0.02	)		(0.31	)		9.70		0.14%	b		166,103		0.51%	a		N/A			4.17%	a
Class R4
03/31/16r	$	9.36	$	0.21		$	(0.03	)	$	0.18		$	(0.25	)	$	(0.03	)	$	(0.28	)	$	9.26		1.95%	b	$	3,102		0.58%	a		0.47%	a		4.51%	a
09/30/15i		9.72		0.00	d		(0.22	)		(0.22	)		-			(0.14	)		(0.14	)		9.36		(2.32%	)b		1,496		0.57%	a		0.47%	a		0.04%	a
12/31/14h		10.18		0.21			0.03			0.24			(0.26	)		(0.44	)		(0.70	)		9.72		2.29%	b		102		0.54%	a		0.47%	a		2.76%	a
Class R3
03/31/16r	$	9.33	$	0.14		$	0.03		$	0.17		$	(0.23	)	$	(0.03	)	$	(0.26	)	$	9.24		1.88%	b	$	3,649		0.83%	a		0.72%	a		3.03%	a
09/30/15i		9.72		(0.02	)		(0.23	)		(0.25	)		-			(0.14	)		(0.14	)		9.33		(2.63%	)b		1,302		0.82%	a		0.72%	a		(0.23%	)a
12/31/14h		10.18		0.19			0.03			0.22			(0.24	)		(0.44	)		(0.68	)		9.72		2.10%	b		102		0.79%	a		0.72%	a		2.51%	a

	Six month ended March 31, 2016b,r	Period ended September 30, 2015b			Year ended December 31
					2014			2013			2012			2011
Portfolio turnover rate	20%		27	%		31	%		37	%		37	%		20	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

47

MassMutual RetireSMART Moderate Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	9.14	$	0.26		$	0.00	d	$	0.26		$	(0.23	)	$	(0.11	)	$	(0.34	)	$	9.06		2.85%	b	$	95		0.08%	a		0.04%	a		5.63%	a
09/30/15i		9.79		0.02			(0.39	)		(0.37	)		-			(0.28	)		(0.28	)		9.14		(3.85%	)b		642		0.07%	a		0.04%	a		0.30%	a
12/31/14h		10.76		0.42			(0.12	)		0.30			(0.31	)		(0.96	)		(1.27	)		9.79		2.65%	b		725		0.06%	a		0.04%	a		5.19%	a
Class R5
03/31/16r	$	9.13	$	0.16		$	0.09		$	0.25		$	(0.22	)	$	(0.11	)	$	(0.33	)	$	9.05		2.76%	b	$	34,552		0.18%	a		0.14%	a		3.63%	a
09/30/15i		9.79		0.01			(0.39	)		(0.38	)		-			(0.28	)		(0.28	)		9.13		(3.95%	)b		21,120		0.17%	a		0.14%	a		0.19%	a
12/31/14		10.61		0.26			0.18			0.44			(0.30	)		(0.96	)		(1.26	)		9.79		4.01%			24,005		0.16%			0.15%			2.38%
12/31/13		10.25		0.45			1.02			1.47			(0.32	)		(0.79	)		(1.11	)		10.61		14.56%			17,345		0.17%			N/A			4.07%
12/31/12		9.51		0.33			0.86			1.19			(0.24	)		(0.21	)		(0.45	)		10.25		12.48%			2,649		0.13%			N/A			3.22%
12/31/11g		10.00		0.20			(0.43	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.28%	)b		98		0.13%	a		N/A			3.82%	a
Service Class
03/31/16r	$	9.14	$	0.16		$	0.08		$	0.24		$	(0.19	)	$	(0.11	)	$	(0.30	)	$	9.08		2.67%	b	$	10,547		0.28%	a		0.24%	a		3.62%	a
09/30/15i		9.81		0.01			(0.40	)		(0.39	)		-			(0.28	)		(0.28	)		9.14		(4.05%	)b		36,457		0.27%	a		0.24%	a		0.09%	a
12/31/14		10.62		0.24			0.19			0.43			(0.28	)		(0.96	)		(1.24	)		9.81		4.01%			49,324		0.25%			0.23%			2.24%
12/31/13		10.26		0.50			0.97			1.47			(0.32	)		(0.79	)		(1.11	)		10.62		14.53%			31,677		0.21%			N/A			4.47%
12/31/12		9.51		0.21			0.98			1.19			(0.23	)		(0.21	)		(0.44	)		10.26		12.53%			4,549		0.17%			N/A			2.10%
12/31/11g		10.00		0.83			(1.06	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.26%	)b		3,395		0.17%	a		N/A			16.08%	a
Administrative Class
03/31/16r	$	9.14	$	0.16		$	0.09		$	0.25		$	(0.20	)	$	(0.11	)	$	(0.31	)	$	9.08		2.72%	b	$	108,634		0.38%	a		0.34%	a		3.63%	a
09/30/15i		9.82		0.00	d		(0.40	)		(0.40	)		-			(0.28	)		(0.28	)		9.14		(4.15%	)b		128,868		0.37%	a		0.34%	a		0.01%	a
12/31/14		10.63		0.20			0.22			0.42			(0.27	)		(0.96	)		(1.23	)		9.82		3.89%			138,574		0.34%			0.33%			1.83%
12/31/13		10.26		0.18			1.28			1.46			(0.30	)		(0.79	)		(1.09	)		10.63		14.44%			150,710		0.29%			N/A			1.66%
12/31/12		9.51		0.18			1.00			1.18			(0.22	)		(0.21	)		(0.43	)		10.26		12.43%			147,873		0.25%			N/A			1.81%
12/31/11g		10.00		0.18			(0.42	)		(0.24	)		(0.24	)		(0.01	)		(0.25	)		9.51		(2.35%	)b		144,705		0.25%	a		N/A			3.53%	a
Class A
03/31/16r	$	9.14	$	0.14		$	0.09		$	0.23		$	(0.17	)	$	(0.11	)	$	(0.28	)	$	9.09		2.51%	b	$	155,437		0.63%	a		0.59%	a		3.16%	a
09/30/15i		9.84		(0.02	)		(0.40	)		(0.42	)		-			(0.28	)		(0.28	)		9.14		(4.34%	)b		165,092		0.62%	a		0.59%	a		(0.26%	)a
12/31/14		10.65		0.17			0.22			0.39			(0.24	)		(0.96	)		(1.20	)		9.84		3.62%			199,865		0.59%			0.58%			1.53%
12/31/13		10.26		0.11			1.33			1.44			(0.26	)		(0.79	)		(1.05	)		10.65		14.21%			216,068		0.53%			N/A			0.99%
12/31/12		9.51		0.14			1.01			1.15			(0.19	)		(0.21	)		(0.40	)		10.26		12.13%			324,049		0.50%			N/A			1.42%
12/31/11g		10.00		0.18			(0.43	)		(0.25	)		(0.23	)		(0.01	)		(0.24	)		9.51		(2.47%	)b		366,492		0.50%	a		N/A			3.41%	a
Class R4
03/31/16r	$	9.13	$	0.12		$	0.12		$	0.24		$	(0.21	)	$	(0.11	)	$	(0.32	)	$	9.05		2.62%	b	$	3,283		0.53%	a		0.49%	a		2.74%	a
09/30/15i		9.82		0.01			(0.42	)		(0.41	)		-			(0.28	)		(0.28	)		9.13		(4.25%	)b		1,693		0.52%	a		0.49%	a		0.17%	a
12/31/14h		10.79		0.20			0.06			0.26			(0.27	)		(0.96	)		(1.23	)		9.82		2.29%	b		102		0.51%	a		0.49%	a		2.43%	a
Class R3
03/31/16r	$	9.12	$	0.13		$	0.09		$	0.22		$	(0.20	)	$	(0.11	)	$	(0.31	)	$	9.03		2.45%	b	$	6,451		0.78%	a		0.74%	a		2.99%	a
09/30/15i		9.82		0.01			(0.43	)		(0.42	)		-			(0.28	)		(0.28	)		9.12		(4.35%	)b		5,138		0.77%	a		0.74%	a		0.11%	a
12/31/14h		10.79		0.18			0.06			0.24			(0.25	)		(0.96	)		(1.21	)		9.82		2.11%	b		102		0.76%	a		0.74%	a		2.18%	a

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011
Portfolio turnover rate		15	%b,r		17	%		28	%		37	%		39	%		19	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 21% including securities received from subscriptions in-kind.

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

48

MassMutual RetireSMART Moderate Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	9.10	$	0.20		$	0.08		$	0.28		$	(0.20	)	$	(0.18	)	$	(0.38	)	$	9.00		3.09%	b	$	92		0.10%	a		0.04%	a		4.43%	a
09/30/15i		10.02		0.03			(0.57	)		(0.54	)		-			(0.38	)		(0.38	)		9.10		(5.46%	)b		300		0.08%	a		0.04%	a		0.42%	a
12/31/14h		11.45		0.34			(0.05	)		0.29			(0.31	)		(1.41	)		(1.72	)		10.02		2.39%	b		318		0.06%	a		0.04%	a		4.02%	a
Class R5
03/31/16r	$	9.09	$	0.14		$	0.14		$	0.28		$	(0.19	)	$	(0.18	)	$	(0.37	)	$	9.00		3.13%	b	$	17,704		0.20%	a		0.14%	a		3.18%	a
09/30/15i		10.02		0.02			(0.57	)		(0.55	)		-			(0.38	)		(0.38	)		9.09		(5.57%	)b		8,746		0.18%	a		0.14%	a		0.31%	a
12/31/14		11.31		0.22			0.20			0.42			(0.30	)		(1.41	)		(1.71	)		10.02		3.57%			9,970		0.17%			0.15%			1.96%
12/31/13		10.33		0.21			2.01			2.22			(0.33	)		(0.91	)		(1.24	)		11.31		21.91%			4,663		0.19%			N/A			1.88%
12/31/12		9.36		0.21			1.21			1.42			(0.19	)		(0.26	)		(0.45	)		10.33		15.21%			7,085		0.14%			N/A			2.10%
12/31/11g		10.00		0.16			(0.62	)		(0.46	)		(0.18	)		-			(0.18	)		9.36		(4.55%	)b		96		0.14%	a		N/A			3.14%	a
Service Class
03/31/16r	$	9.09	$	0.13		$	0.14		$	0.27		$	(0.17	)	$	(0.18	)	$	(0.35	)	$	9.01		3.01%	b	$	11,773		0.30%	a		0.24%	a		2.97%	a
09/30/15i		10.02		0.02			(0.57	)		(0.55	)		-			(0.38	)		(0.38	)		9.09		(5.56%	)b		25,552		0.28%	a		0.24%	a		0.21%	a
12/31/14		11.31		0.25			0.16			0.41			(0.29	)		(1.41	)		(1.70	)		10.02		3.49%			28,779		0.26%			0.24%			2.19%
12/31/13		10.33		0.44			1.79			2.23			(0.34	)		(0.91	)		(1.25	)		11.31		21.93%			18,053		0.23%			N/A			3.78%
12/31/12		9.36		0.18			1.24			1.42			(0.19	)		(0.26	)		(0.45	)		10.33		15.17%			1,816		0.18%			N/A			1.75%
12/31/11g		10.00		0.80			(1.25	)		(0.45	)		(0.19	)		-			(0.19	)		9.36		(4.53%	)b		1,847		0.18%	a		N/A			15.80%	a
Administrative Class
03/31/16r	$	9.09	$	0.13		$	0.13		$	0.26		$	(0.16	)	$	(0.18	)	$	(0.34	)	$	9.01		2.96%	b	$	111,171		0.40%	a		0.34%	a		2.94%	a
09/30/15i		10.04		0.01			(0.58	)		(0.57	)		-			(0.38	)		(0.38	)		9.09		(5.76%	)b		127,157		0.38%	a		0.34%	a		0.12%	a
12/31/14		11.32		0.20			0.21			0.41			(0.28	)		(1.41	)		(1.69	)		10.04		3.46%			135,163		0.35%			0.33%			1.74%
12/31/13		10.33		0.16			2.06			2.22			(0.32	)		(0.91	)		(1.23	)		11.32		21.84%			130,738		0.31%			N/A			1.44%
12/31/12		9.36		0.16			1.25			1.41			(0.18	)		(0.26	)		(0.44	)		10.33		15.07%			117,574		0.26%			N/A			1.61%
12/31/11g		10.00		0.15			(0.61	)		(0.46	)		(0.18	)		-			(0.18	)		9.36		(4.61%	)b		119,858		0.26%	a		N/A			2.96%	a
Class A
03/31/16r	$	9.10	$	0.11		$	0.14		$	0.25		$	(0.13	)	$	(0.18	)	$	(0.31	)	$	9.04		2.85%	b	$	119,562		0.65%	a		0.59%	a		2.50%	a
09/30/15i		10.06		(0.01	)		(0.57	)		(0.58	)		-			(0.38	)		(0.38	)		9.10		(5.84%	)b		124,585		0.63%	a		0.59%	a		(0.15%	)a
12/31/14		11.34		0.15			0.23			0.38			(0.25	)		(1.41	)		(1.66	)		10.06		3.16%			157,201		0.60%			0.58%			1.33%
12/31/13		10.34		0.10			2.09			2.19			(0.28	)		(0.91	)		(1.19	)		11.34		21.49%			183,571		0.56%			N/A			0.86%
12/31/12		9.36		0.12			1.27			1.39			(0.15	)		(0.26	)		(0.41	)		10.34		14.88%			236,688		0.51%			N/A			1.23%
12/31/11g		10.00		0.14			(0.61	)		(0.47	)		(0.17	)		-			(0.17	)		9.36		(4.75%	)b		251,598		0.51%	a		N/A			2.71%	a
Class R4
03/31/16r	$	9.08	$	0.12		$	0.14		$	0.26		$	(0.18	)	$	(0.18	)	$	(0.36	)	$	8.98		2.92%	b	$	2,443		0.55%	a		0.49%	a		2.64%	a
09/30/15i		10.04		0.07			(0.65	)		(0.58	)		-			(0.38	)		(0.38	)		9.08		(5.86%	)b		1,481		0.53%	a		0.49%	a		0.96%	a
12/31/14h		11.47		0.19			0.06			0.25			(0.27	)		(1.41	)		(1.68	)		10.04		2.05%	b		102		0.51%	a		0.49%	a		2.20%	a
Class R3
03/31/16r	$	9.07	$	0.10		$	0.15		$	0.25		$	(0.17	)	$	(0.18	)	$	(0.35	)	$	8.97		2.77%	b	$	5,704		0.80%	a		0.74%	a		2.35%	a
09/30/15i		10.04		0.03			(0.62	)		(0.59	)		-			(0.38	)		(0.38	)		9.07		(5.96%	)b		3,758		0.78%	a		0.74%	a		0.40%	a
12/31/14h		11.47		0.17			0.06			0.23			(0.25	)		(1.41	)		(1.66	)		10.04		1.86%	b		102		0.76%	a		0.74%	a		1.98%	a

	Six month  ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011
Portfolio turnover rate		15	%		20	%		28	%		36	%		49	%		13	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 15% including securities received from subscriptions in-kind.

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

49

MassMutual RetireSMART Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	9.63	$	0.19		$	0.13		$	0.32		$	(0.18	)	$	(0.29	)	$	(0.47	)	$	9.48		3.33%	b	$	90		0.26%	a		0.07%	a		3.90%	a
09/30/15i		10.79		0.03			(0.69	)		(0.66	)		-			(0.50	)		(0.50	)		9.63		(6.28%	)b		398		0.22%	a		0.07%	a		0.31%	a
12/31/14h		12.25		0.31			0.03			0.34			(0.30	)		(1.50	)		(1.80	)		10.79		2.55%	b		309		0.16%	a		0.07%	a		3.45%	a
Class R5
03/31/16r	$	9.63	$	0.12		$	0.20		$	0.32		$	(0.17	)	$	(0.29	)	$	(0.46	)	$	9.49		3.34%	b	$	6,676		0.36%	a		0.17%	a		2.53%	a
09/30/15i		10.80		0.01			(0.68	)		(0.67	)		-			(0.50	)		(0.50	)		9.63		(6.37%	)b		3,534		0.32%	a		0.17%	a		0.14%	a
12/31/14		12.12		0.20			0.26			0.46			(0.28	)		(1.50	)		(1.78	)		10.80		3.62%			5,507		0.25%			0.17%			1.60%
12/31/13		10.35		0.24			2.41			2.65			(0.31	)		(0.57	)		(0.88	)		12.12		25.93%			4,132		0.25%			0.19%			2.04%
12/31/12		9.28		0.30			1.21			1.51			(0.15	)		(0.29	)		(0.44	)		10.35		16.42%			1,698		0.23%			0.15%			2.97%
12/31/11g		10.00		0.14			(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.51%	)b		95		0.27%	a		0.13%	a		2.75%	a
Service Class
03/31/16r	$	9.62	$	0.12		$	0.20		$	0.32		$	(0.15	)	$	(0.29	)	$	(0.44	)	$	9.50		3.27%	b	$	880		0.46%	a		0.27%	a		2.54%	a
09/30/15i		10.80		0.01			(0.69	)		(0.68	)		-			(0.50	)		(0.50	)		9.62		(6.46%	)b		4,389		0.42%	a		0.27%	a		0.13%	a
12/31/14		12.12		0.23			0.23			0.46			(0.28	)		(1.50	)		(1.78	)		10.80		3.57%			5,925		0.34%			0.26%			1.91%
12/31/13		10.36		0.36			2.28			2.64			(0.31	)		(0.57	)		(0.88	)		12.12		25.82%			3,545		0.29%			0.23%			3.01%
12/31/12		9.28		0.14			1.38			1.52			(0.15	)		(0.29	)		(0.44	)		10.36		16.46%			110		0.26%			0.18%			1.37%
12/31/11g		10.00		0.14			(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.53%	)b		95		0.31%	a		0.17%	a		2.70%	a
Administrative Class
03/31/16r	$	9.62	$	0.11		$	0.20		$	0.31		$	(0.15	)	$	(0.29	)	$	(0.44	)	$	9.49		3.19%	b	$	33,040		0.56%	a		0.37%	a		2.35%	a
09/30/15i		10.81		0.00	d		(0.69	)		(0.69	)		-			(0.50	)		(0.50	)		9.62		(6.55%	)b		39,361		0.52%	a		0.37%	a		0.04%	a
12/31/14		12.13		0.18			0.26			0.44			(0.26	)		(1.50	)		(1.76	)		10.81		3.45%			40,211		0.43%			0.36%			1.48%
12/31/13		10.36		0.14			2.49			2.63			(0.29	)		(0.57	)		(0.86	)		12.13		25.73%			35,398		0.37%			0.31%			1.19%
12/31/12		9.28		0.13			1.38			1.51			(0.14	)		(0.29	)		(0.43	)		10.36		16.38%			26,623		0.33%			0.26%			1.27%
12/31/11g		10.00		0.13			(0.69	)		(0.56	)		(0.14	)		(0.02	)		(0.16	)		9.28		(5.58%	)b		22,366		0.39%	a		0.25%	a		2.57%	a
Class A
03/31/16r	$	9.59	$	0.09		$	0.21		$	0.30		$	(0.12	)	$	(0.29	)	$	(0.41	)	$	9.48		3.13%	b	$	50,185		0.81%	a		0.62%	a		1.98%	a
09/30/15i		10.80		(0.02	)		(0.69	)		(0.71	)		-			(0.50	)		(0.50	)		9.59		(6.74%	)b		50,015		0.77%	a		0.62%	a		(0.23%	)a
12/31/14		12.12		0.14			0.27			0.41			(0.23	)		(1.50	)		(1.73	)		10.80		3.20%			60,183		0.68%			0.61%			1.18%
12/31/13		10.35		0.11			2.50			2.61			(0.27	)		(0.57	)		(0.84	)		12.12		25.48%			61,092		0.62%			0.56%			0.94%
12/31/12		9.28		0.11			1.37			1.48			(0.12	)		(0.29	)		(0.41	)		10.35		16.01%			47,226		0.59%			0.51%			1.09%
12/31/11g		10.00		0.12			(0.69	)		(0.57	)		(0.13	)		(0.02	)		(0.15	)		9.28		(5.70%	)b		39,019		0.64%	a		0.50%	a		2.36%	a
Class R4
03/31/16r	$	9.58	$	0.12		$	0.19		$	0.31		$	(0.17	)	$	(0.29	)	$	(0.46	)	$	9.43		3.15%	b	$	2,131		0.71%	a		0.52%	a		2.54%	a
09/30/15i		10.78		0.05			(0.75	)		(0.70	)		-			(0.50	)		(0.50	)		9.58		(6.66%	)b		2,155		0.67%	a		0.52%	a		0.64%	a
12/31/14h		12.24		0.17			0.13			0.30			(0.26	)		(1.50	)		(1.76	)		10.78		2.22%	b		102		0.61%	a		0.52%	a		1.82%	a
Class R3
03/31/16r	$	9.57	$	0.07		$	0.21		$	0.28		$	(0.15	)	$	(0.29	)	$	(0.44	)	$	9.41		2.93%	b	$	2,894		0.96%	a		0.77%	a		1.41%	a
09/30/15i		10.78		0.03			(0.74	)		(0.71	)		-			(0.50	)		(0.50	)		9.57		(6.75%	)b		1,531		0.92%	a		0.77%	a		0.43%	a
12/31/14h		12.24		0.14			0.13			0.27			(0.23	)		(1.50	)		(1.73	)		10.78		2.03%	b		102		0.86%	a		0.77%	a		1.57%	a

	Six month ended March 31, 2016b,r	Period ended September 30, 2015b			Year ended December 31
					2014			2013			2012			2011
Portfolio turnover rate	18%		26	%		32	%		36	%		57	%		14	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 15% including securities received from subscriptions in-kind.

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

50

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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	10.40	$	0.20		$	0.06		$	0.26		$	-		$	-		$	10.66		2.50	%b	$	589		0.29	%a		0.06	%a		3.91	%a
09/30/15i		11.02		0.01			(0.30	)		(0.29	)		(0.33	)		(0.33	)		10.40		(2.68	%)b		598		0.26	%a		0.06	%a		0.07	%a
12/31/14h		11.03		0.48			(0.21	)		0.27			(0.28	)		(0.28	)		11.02		2.45	%b		4,609		0.19	%a		0.06	%a		5.71	%a
Class R5
03/31/16r	$	10.42	$	0.07		$	0.18		$	0.25		$	-		$	-		$	10.67		2.40	%b	$	3,572		0.39	%a		0.16	%a		1.40	%a
09/30/15i		11.00		0.01			(0.30	)		(0.29	)		(0.29	)		(0.29	)		10.42		(2.68	%)b		757		0.36	%a		0.16	%a		0.09	%a
12/31/14h		11.03		0.57			(0.32	)		0.25			(0.28	)		(0.28	)		11.00		2.27	%b		953		0.29	%a		0.16	%a		6.82	%a
Service Class
03/31/16r	$	10.44	$	0.21		$	0.04		$	0.25		$	-		$	-		$	10.69		2.39	%b	$	14,932		0.49	%a		0.26	%a		4.01	%a
09/30/15i		11.01		0.00	d		(0.29	)		(0.29	)		(0.28	)		(0.28	)		10.44		(2.70	%)b		19,899		0.46	%a		0.26	%a		0.00	%a,e
12/31/14		10.88		0.20			0.20			0.40			(0.27	)		(0.27	)		11.01		3.63	%		22,029		0.35	%		0.26	%		1.80	%
12/31/13		10.45		0.20			0.52			0.72			(0.29	)		(0.29	)		10.88		6.93	%		26,414		0.26	%		0.25	%		1.91	%
12/31/12		9.84		0.26			0.67			0.93			(0.32	)		(0.32	)		10.45		9.64	%		24,199		0.17	%		0.17	%k		2.55	%
12/31/11		9.86		0.26			0.01			0.27			(0.29	)		(0.29	)		9.84		2.78	%		15,610		0.15	%		N/A			2.62	%
12/31/10		9.22		0.18			0.73			0.91			(0.27	)		(0.27	)		9.86		10.04	%		13,462		0.15	%		N/A			1.92	%
Administrative Class
03/31/16r	$	10.44	$	0.19		$	0.05		$	0.24		$	-		$	-		$	10.68		2.30	%b	$	28,838		0.59	%a		0.36	%a		3.56	%a
09/30/15i		11.02		(0.01	)		(0.30	)		(0.31	)		(0.27	)		(0.27	)		10.44		(2.86	%)b		30,387		0.56	%a		0.36	%a		(0.09	%)a
12/31/14		10.89		0.24			0.16			0.40			(0.27	)		(0.27	)		11.02		3.68	%		33,673		0.46	%		0.35	%		2.13	%
12/31/13		10.47		0.22			0.48			0.70			(0.28	)		(0.28	)		10.89		6.83	%		17,286		0.32	%		0.32	%k		2.06	%
12/31/12		9.85		0.17			0.76			0.93			(0.31	)		(0.31	)		10.47		9.53	%		13,720		0.23	%		0.23	%k		1.63	%
12/31/11		9.88		0.25			0.01			0.26			(0.29	)		(0.29	)		9.85		2.66	%		20,601		0.20	%		N/A			2.47	%
12/31/10		9.23		0.24			0.67			0.91			(0.26	)		(0.26	)		9.88		10.09	%		19,112		0.17	%		N/A			2.51	%
Class A
03/31/16r	$	10.39	$	0.17		$	0.05		$	0.22		$	-		$	-		$	10.61		2.12	%b	$	21,049		0.84	%a		0.61	%a		3.26	%a
09/30/15i		10.95		(0.03	)		(0.29	)		(0.32	)		(0.24	)		(0.24	)		10.39		(2.96	%)b		20,228		0.81	%a		0.61	%a		(0.34	%)a
12/31/14		10.81		0.19			0.17			0.36			(0.22	)		(0.22	)		10.95		3.34	%		20,689		0.72	%		0.63	%		1.70	%
12/31/13		10.38		0.15			0.52			0.67			(0.24	)		(0.24	)		10.81		6.52	%		20,693		0.67	%		0.67	%k		1.44	%
12/31/12		9.76		0.17			0.71			0.88			(0.26	)		(0.26	)		10.38		9.13	%		24,982		0.58	%		0.58	%k		1.65	%
12/31/11		9.79		0.17			0.05			0.22			(0.25	)		(0.25	)		9.76		2.27	%		28,693		0.55	%		N/A			1.68	%
12/31/10		9.15		0.19			0.68			0.87			(0.23	)		(0.23	)		9.79		9.67	%		35,125		0.52	%		N/A			1.99	%
Class R4
03/31/16r	$	10.31	$	0.18		$	0.05		$	0.23		$	-		$	-		$	10.54		2.23	%b	$	6,012		0.74	%a		0.51	%a		3.54	%a
09/30/15i		10.90		(0.02	)		(0.29	)		(0.31	)		(0.28	)		(0.28	)		10.31		(2.88	%)b		4,325		0.71	%a		0.51	%a		(0.19	%)a
12/31/14h		10.96		0.30			(0.08	)		0.22			(0.28	)		(0.28	)		10.90		2.01	%b		1,753		0.64	%a		0.51	%a		3.61	%a
Class R3
03/31/16r	$	10.26	$	0.16		$	0.05		$	0.21		$	-		$	-		$	10.47		2.05	%b	$	11,545		0.99	%a		0.76	%a		3.17	%a
09/30/15i		10.86		(0.04	)		(0.29	)		(0.33	)		(0.27	)		(0.27	)		10.26		(3.07	%)b		8,315		0.96	%a		0.76	%a		(0.47	%)a
12/31/14		10.79		0.50			(0.15	)		0.35			(0.28	)		(0.28	)		10.86		3.21	%		5,099		0.89	%		0.76	%		4.60	%
12/31/13		10.37		0.12			0.51			0.63			(0.21	)		(0.21	)		10.79		6.13	%		111		0.97	%		0.97	%k		1.10	%
12/31/12		9.76		0.15			0.71			0.86			(0.25	)		(0.25	)		10.37		8.89	%		124		0.88	%		0.88	%k		1.45	%
12/31/11		9.80		0.17			0.02			0.19			(0.23	)		(0.23	)		9.76		1.95	%		112		0.85	%		N/A			1.68	%
12/31/10		9.16		0.16			0.69			0.85			(0.21	)		(0.21	)		9.80		9.40	%		104		0.82	%		N/A			1.66	%

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		24	%		37	%		44	%		41	%		40	%		111	%		32	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

51

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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	10.94	$	0.21		$	0.08		$	0.29		$	-		$	-		$	11.23		2.65	%b	$	546		0.29	%a		0.04	%a		3.74	%a
09/30/15i		11.74		0.01			(0.36	)		(0.35	)		(0.45	)		(0.45	)		10.94		(3.03	%)b		607		0.23	%a		0.04	%a		0.07	%a
12/31/14h		11.80		0.53			(0.23	)		0.30			(0.36	)		(0.36	)		11.74		2.49	%b		11,342		0.16	%a		0.04	%a		5.96	%a
Class R5
03/31/16r	$	11.02	$	0.16		$	0.13		$	0.29		$	-		$	-		$	11.31		2.63	%b	$	2,794		0.39	%a		0.14	%a		2.81	%a
09/30/15i		11.73		0.02			(0.38	)		(0.36	)		(0.35	)		(0.35	)		11.02		(3.15	%)b		1,836		0.33	%a		0.14	%a		0.20	%a
12/31/14h		11.80		1.82			(1.53	)		0.29			(0.36	)		(0.36	)		11.73		2.40	%b		1,553		0.26	%a		0.14	%a		20.54	%a
Service Class
03/31/16r	$	11.06	$	0.21		$	0.07		$	0.28		$	-		$	-		$	11.34		2.53	%b	$	25,888		0.49	%a		0.24	%a		3.81	%a
09/30/15i		11.75		0.01			(0.37	)		(0.36	)		(0.33	)		(0.33	)		11.06		(3.13	%)b		28,488		0.43	%a		0.24	%a		0.06	%a
12/31/14		11.63		0.15			0.30			0.45			(0.33	)		(0.33	)		11.75		3.84	%		31,431		0.33	%		0.24	%		1.28	%
12/31/13		10.80		0.22			0.89			1.11			(0.28	)		(0.28	)		11.63		10.46	%		62,732		0.26	%		0.25	%		1.91	%
12/31/12		9.96		0.27			0.84			1.11			(0.27	)		(0.27	)		10.80		11.19	%		57,999		0.16	%		0.16	%k		2.54	%
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	%
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	%
Administrative Class
03/31/16r	$	11.03	$	0.20		$	0.08		$	0.28		$	-		$	-		$	11.31		2.54	%b	$	17,132		0.59	%a		0.34	%a		3.65	%a
09/30/15i		11.73		(0.00	)d		(0.38	)		(0.38	)		(0.32	)		(0.32	)		11.03		(3.25	%)b		18,408		0.53	%a		0.34	%a		(0.05	%)a
12/31/14		11.64		0.28			0.16			0.44			(0.35	)		(0.35	)		11.73		3.71	%		23,920		0.44	%		0.34	%		2.37	%
12/31/13		10.80		0.22			0.88			1.10			(0.26	)		(0.26	)		11.64		10.36	%		10,809		0.35	%		0.34	%		1.92	%
12/31/12		9.94		0.10			1.00			1.10			(0.24	)		(0.24	)		10.80		11.10	%		8,852		0.24	%		0.24	%k		0.92	%
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	%
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	%
Class A
03/31/16r	$	10.97	$	0.18		$	0.08		$	0.26		$	-		$	-		$	11.23		2.37	%b	$	22,883		0.84	%a		0.59	%a		3.32	%a
09/30/15i		11.66		(0.03	)		(0.36	)		(0.39	)		(0.30	)		(0.30	)		10.97		(3.42	%)b		24,300		0.78	%a		0.59	%a		(0.28	%)a
12/31/14		11.55		0.18			0.22			0.40			(0.29	)		(0.29	)		11.66		3.43	%		21,871		0.71	%		0.62	%		1.54	%
12/31/13		10.72		0.15			0.91			1.06			(0.23	)		(0.23	)		11.55		9.99	%		22,595		0.70	%		0.69	%		1.31	%
12/31/12		9.88		0.16			0.89			1.05			(0.21	)		(0.21	)		10.72		10.74	%		25,903		0.60	%		0.60	%k		1.53	%
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	%
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	%
Class R4
03/31/16r	$	10.89	$	0.22		$	0.04		$	0.26		$	-		$	-		$	11.15		2.39	%b	$	5,944		0.74	%a		0.49	%a		3.98	%a
09/30/15i		11.60		(0.01	)		(0.37	)		(0.38	)		(0.33	)		(0.33	)		10.89		(3.34	%)b		2,708		0.68	%a		0.49	%a		(0.15	%)a
12/31/14h		11.70		0.30			(0.04	)		0.26			(0.36	)		(0.36	)		11.60		2.17	%b		1,925		0.61	%a		0.49	%a		3.38	%a
Class R3
03/31/16r	$	10.79	$	0.18		$	0.07		$	0.25		$	-		$	-		$	11.04		2.32	%b	$	10,919		0.99	%a		0.74	%a		3.29	%a
09/30/15i		11.50		(0.04	)		(0.36	)		(0.40	)		(0.31	)		(0.31	)		10.79		(3.50	%)b		8,999		0.93	%a		0.74	%a		(0.42	%)a
12/31/14		11.47		0.33			0.04			0.37			(0.34	)		(0.34	)		11.50		3.20	%		8,023		0.87	%		0.75	%		2.83	%
12/31/13		10.63		0.11			0.90			1.01			(0.17	)		(0.17	)		11.47		9.65	%		1,045		1.00	%		0.99	%		1.00	%
12/31/12		9.82		0.13			0.89			1.02			(0.21	)		(0.21	)		10.63		10.47	%		1,275		0.90	%		0.90	%k		1.23	%
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	%
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	%

	Six month  ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		25	%		39	%		53	%		47	%		49	%		108	%		38	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

52

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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	10.94	$	0.20		$	0.10		$	0.30		$	(0.26	)	$	(0.05	)	$	(0.31	)	$	10.93		2.75%	b	$	3,809		0.25%	a		0.06%	a		3.74%	a
09/30/15i		11.50		0.01			(0.39	)		(0.38	)		-			(0.18	)		(0.18	)		10.94		(3.31%	)b		3,874		0.29%	a		0.06%	a		0.16%	a
12/31/14h		11.81		0.54			(0.24	)		0.30			(0.32	)		(0.29	)		(0.61	)		11.50		2.48%	b		6,116		0.32%	a		0.06%	a		6.05%	a
Class R5
03/31/16r	$	10.93	$	0.20		$	0.09		$	0.29		$	(0.25	)	$	(0.05	)	$	(0.30	)	$	10.92		2.65%	b	$	1,402		0.35%	a		0.16%	a		3.61%	a
09/30/15i		11.50		0.01			(0.40	)		(0.39	)		-			(0.18	)		(0.18	)		10.93		(3.39%	)b		1,583		0.39%	a		0.16%	a		0.17%	a
12/31/14h		11.81		1.24			(0.94	)		0.30			(0.32	)		(0.29	)		(0.61	)		11.50		2.48%	b		1,179		0.42%	a		0.16%	a		13.89%	a
Service Class
03/31/16r	$	10.93	$	0.21		$	0.09		$	0.30		$	(0.24	)	$	(0.05	)	$	(0.29	)	$	10.94		2.76%	b	$	11,382		0.45%	a		0.26%	a		3.83%	a
09/30/15i		11.52		0.01			(0.42	)		(0.41	)		-			(0.18	)		(0.18	)		10.93		(3.56%	)b		9,799		0.49%	a		0.26%	a		0.07%	a
12/31/14		11.64		0.18			0.28			0.46			(0.29	)		(0.29	)		(0.58	)		11.52		3.92%			8,470		0.52%			0.25%			1.52%
12/31/13		11.02		0.25			1.27			1.52			(0.34	)		(0.56	)		(0.90	)		11.64		13.87%			10,699		0.70%			0.18%			2.08%
12/31/12		10.25		0.37			0.95			1.32			(0.24	)		(0.31	)		(0.55	)		11.02		12.94%			5,926		1.70%			0.10%			3.36%
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%
12/31/10g		10.00		0.20			0.75			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.54%	b		767		4.82%	a		0.10%	a		2.60%	a
Administrative Class
03/31/16r	$	10.90	$	0.19		$	0.09		$	0.28		$	(0.23	)	$	(0.05	)	$	(0.28	)	$	10.90		2.61%	b	$	13,474		0.55%	a		0.36%	a		3.45%	a
09/30/15i		11.49		(0.01	)		(0.40	)		(0.41	)		-			(0.18	)		(0.18	)		10.90		(3.57%	)b		10,451		0.59%	a		0.36%	a		(0.06%	)a
12/31/14		11.64		0.43			0.01			0.44			(0.30	)		(0.29	)		(0.59	)		11.49		3.73%			11,084		0.62%			0.36%			3.56%
12/31/13		11.02		0.29			1.22			1.51			(0.33	)		(0.56	)		(0.89	)		11.64		13.84%			261		0.79%			0.24%			2.48%
12/31/12		10.25		0.17			1.15			1.32			(0.24	)		(0.31	)		(0.55	)		11.02		12.86%			123		1.77%			0.15%			1.52%
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%
12/31/10g		10.00		0.19			0.76			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.52%	b		143		4.87%	a		0.15%	a		2.53%	a
Class A
03/31/16r	$	10.80	$	0.18		$	0.09		$	0.27		$	(0.19	)	$	(0.05	)	$	(0.24	)	$	10.83		2.49%	b	$	16,376		0.80%	a		0.61%	a		3.38%	a
09/30/15i		11.41		(0.02	)		(0.41	)		(0.43	)		-			(0.18	)		(0.18	)		10.80		(3.77%	)b		18,792		0.84%	a		0.61%	a		(0.28%	)a
12/31/14		11.56		0.21			0.20			0.41			(0.27	)		(0.29	)		(0.56	)		11.41		3.45%			10,113		0.89%			0.61%			1.82%
12/31/13		10.97		0.37			1.10			1.47			(0.32	)		(0.56	)		(0.88	)		11.56		13.48%			5,884		1.14%			0.59%			3.17%
12/31/12		10.22		0.25			1.02			1.27			(0.21	)		(0.31	)		(0.52	)		10.97		12.46%			1,066		2.14%			0.50%			2.24%
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%
12/31/10g		10.00		0.31			0.61			0.92			(0.20	)		(0.01	)		(0.21	)		10.71		9.17%	b		302		5.22%	a		0.50%	a		4.01%	a
Class R4
03/31/16r	$	10.79	$	0.19		$	0.09		$	0.28		$	(0.23	)	$	(0.05	)	$	(0.28	)	$	10.79		2.59%	b	$	22,475		0.70%	a		0.51%	a		3.60%	a
09/30/15i		11.39		(0.01	)		(0.41	)		(0.42	)		-			(0.18	)		(0.18	)		10.79		(3.69%	)b		14,210		0.74%	a		0.51%	a		(0.17%	)a
12/31/14h		11.71		0.30			(0.04	)		0.26			(0.29	)		(0.29	)		(0.58	)		11.39		2.17%	b		11,207		0.77%	a		0.51%	a		3.41%	a
Class R3
03/31/16r	$	10.77	$	0.16		$	0.10		$	0.26		$	(0.21	)	$	(0.05	)	$	(0.26	)	$	10.77		2.41%	b	$	32,692		0.95%	a		0.76%	a		3.05%	a
09/30/15i		11.39		(0.03	)		(0.41	)		(0.44	)		-			(0.18	)		(0.18	)		10.77		(3.87%	)b		21,211		0.99%	a		0.76%	a		(0.37%	)a
12/31/14h		11.71		0.28			(0.04	)		0.24			(0.27	)		(0.29	)		(0.56	)		11.39		2.03%	b		11,676		1.02%	a		0.76%	a		3.15%	a

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		21	%		44	%		41	%		67	%		82	%		82	%		12	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

53

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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.48	$	0.20		$	0.15		$	0.35		$	(0.26	)	$	(0.17	)	$	(0.43	)	$	11.40		3.06	%b	$	8,735		0.06	%a		0.04	%a		3.43	%a
09/30/15i		12.34		0.01			(0.54	)		(0.53	)		(0.33	)		-			(0.33	)		11.48		(4.32	%)b		8,593		0.05	%a		0.04	%a		0.09	%a
12/31/14h		12.33		0.53			(0.21	)		0.32			(0.31	)		-			(0.31	)		12.34		2.58	%b		46,447		0.05	%a		0.04	%a		5.68	%a
Class R5
03/31/16r	$	11.47	$	0.11		$	0.24		$	0.35		$	(0.25	)	$	(0.17	)	$	(0.42	)	$	11.40		3.07	%b	$	19,851		0.16	%a		0.14	%a		2.00	%a
09/30/15i		12.33		0.03			(0.56	)		(0.53	)		(0.33	)		-			(0.33	)		11.47		(4.35	%)b		7,984		0.15	%a		0.14	%a		0.32	%a
12/31/14h		12.33		0.97			(0.66	)		0.31			(0.31	)		-			(0.31	)		12.33		2.49	%b		4,649		0.15	%a		0.14	%a		10.47	%a
Service Class
03/31/16r	$	11.49	$	0.20		$	0.14		$	0.34		$	(0.23	)	$	(0.17	)	$	(0.40	)	$	11.43		3.01	%b	$	155,929		0.26	%a		0.24	%a		3.47	%a
09/30/15i		12.34		0.01			(0.56	)		(0.55	)		(0.30	)		-			(0.30	)		11.49		(4.48	%)b		168,632		0.25	%a		0.24	%a		0.12	%a
12/31/14		12.16		0.20			0.27			0.47			(0.29	)		-			(0.29	)		12.34		3.84	%		189,123		0.24	%		0.24	%k		1.61	%
12/31/13		10.55		0.21			1.62			1.83			(0.22	)		-			(0.22	)		12.16		17.50	%		231,681		0.23	%		0.23	%k		1.80	%
12/31/12		9.43		0.23			1.10			1.33			(0.21	)		-			(0.21	)		10.55		14.14	%		178,323		0.13	%		0.12	%		2.23	%
12/31/11		9.79		0.19			(0.37	)		(0.18	)		(0.18	)		-			(0.18	)		9.43		(1.78	%)		114,389		0.11	%		N/A			1.96	%
12/31/10		8.74		0.14			1.07			1.21			(0.16	)		-			(0.16	)		9.79		14.18	%		104,532		0.11	%		N/A			1.56	%
Administrative Class
03/31/16r	$	11.47	$	0.18		$	0.15		$	0.33		$	(0.22	)	$	(0.17	)	$	(0.39	)	$	11.41		2.92	%b	$	130,385		0.36	%a		0.34	%a		3.14	%a
09/30/15i		12.32		0.00	d		(0.55	)		(0.55	)		(0.30	)		-			(0.30	)		11.47		(4.51	%)b		131,451		0.35	%a		0.34	%a		0.03	%a
12/31/14		12.17		0.27			0.18			0.45			(0.30	)		-			(0.30	)		12.32		3.69	%		142,437		0.34	%		0.34	%k		2.19	%
12/31/13		10.55		0.22			1.60			1.82			(0.20	)		-			(0.20	)		12.17		17.47	%		42,621		0.32	%		0.32	%k		1.89	%
12/31/12		9.41		0.11			1.21			1.32			(0.18	)		-			(0.18	)		10.55		14.09	%		27,380		0.21	%		0.20	%		1.05	%
12/31/11		9.77		0.17			(0.35	)		(0.18	)		(0.18	)		-			(0.18	)		9.41		(1.83	%)		60,388		0.18	%		N/A			1.76	%
12/31/10		8.73		0.15			1.05			1.20			(0.16	)		-			(0.16	)		9.77		14.01	%		67,560		0.16	%		N/A			1.72	%
Class A
03/31/16r	$	11.39	$	0.17		$	0.14		$	0.31		$	(0.19	)	$	(0.17	)	$	(0.36	)	$	11.34		2.73	%b	$	91,996		0.61	%a		0.59	%a		2.93	%a
09/30/15i		12.22		(0.02	)		(0.54	)		(0.56	)		(0.27	)		-			(0.27	)		11.39		(4.64	%)b		95,333		0.60	%a		0.59	%a		(0.23	%)a
12/31/14		12.05		0.17			0.24			0.41			(0.24	)		-			(0.24	)		12.22		3.41	%		87,478		0.61	%		0.61	%k		1.37	%
12/31/13		10.45		0.13			1.64			1.77			(0.17	)		-			(0.17	)		12.05		17.08	%		92,034		0.67	%		0.67	%k		1.17	%
12/31/12		9.34		0.14			1.13			1.27			(0.16	)		-			(0.16	)		10.45		13.66	%		89,321		0.56	%		0.56	%k		1.42	%
12/31/11		9.70		0.14			(0.36	)		(0.22	)		(0.14	)		-			(0.14	)		9.34		(2.22	%)		86,264		0.53	%		N/A			1.43	%
12/31/10		8.67		0.11			1.05			1.16			(0.13	)		-			(0.13	)		9.70		13.61	%		94,230		0.51	%		N/A			1.25	%
Class R4
03/31/16r	$	11.30	$	0.18		$	0.12		$	0.30		$	(0.22	)	$	(0.17	)	$	(0.39	)	$	11.21		2.74	%b	$	49,864		0.51	%a		0.49	%a		3.18	%a
09/30/15i		12.16		(0.01	)		(0.53	)		(0.54	)		(0.32	)		-			(0.32	)		11.30		(4.53	%)b		28,251		0.50	%a		0.49	%a		(0.07	%)a
12/31/14h		12.20		0.33			(0.06	)		0.27			(0.31	)		-			(0.31	)		12.16		2.19	%b		17,613		0.50	%a		0.49	%a		3.51	%a
Class R3
03/31/16r	$	11.12	$	0.15		$	0.15		$	0.30		$	(0.19	)	$	(0.17	)	$	(0.36	)	$	11.06		2.66	%b	$	83,343		0.76	%a		0.74	%a		2.72	%a
09/30/15i		11.99		(0.03	)		(0.54	)		(0.57	)		(0.30	)		-			(0.30	)		11.12		(4.75	%)b		61,026		0.75	%a		0.74	%a		(0.34	%)a
12/31/14		11.90		0.37			0.02			0.39			(0.30	)		-			(0.30	)		11.99		3.27	%		49,284		0.75	%		0.75	%k		3.07	%
12/31/13		10.32		0.09			1.62			1.71			(0.13	)		-			(0.13	)		11.90		16.66	%		2,938		0.97	%		0.97	%k		0.83	%
12/31/12		9.26		0.13			1.10			1.23			(0.17	)		-			(0.17	)		10.32		13.31	%		3,188		0.86	%		0.86	%k		1.29	%
12/31/11		9.67		0.26			(0.50	)		(0.24	)		(0.17	)		-			(0.17	)		9.26		(2.45	%)		2,584		0.84	%		N/A			2.76	%
12/31/10		8.64		0.08			1.05			1.13			(0.10	)		-			(0.10	)		9.67		13.31	%		586		0.81	%		N/A			0.94	%

	Six month ended March 31, 2016b,r	Period ended September 30, 2015b			Year ended December 31
					2014			2013			2012			2011			2010
Portfolio turnover rate	15%		31	%		33	%		45	%		54	%		80	%		32	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

54

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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.37	$	0.19		$	0.16		$	0.35		$	(0.24	)	$	(0.08	)	$	(0.32	)	$	11.40		3.07%	b	$	7,696		0.13%	a		0.01%	a		3.32%	a
09/30/15i		12.18		0.02			(0.61	)		(0.59	)		-			(0.22	)		(0.22	)		11.37		(4.86%	)b		7,212		0.16%	a		0.01%	a		0.22%	a
12/31/14h		12.52		0.53			(0.21	)		0.32			(0.34	)		(0.32	)		(0.66	)		12.18		2.46%	b		14,248		0.21%	a		0.01%	a		5.58%	a
Class R5
03/31/16r	$	11.35	$	0.18		$	0.17		$	0.35		$	(0.23	)	$	(0.08	)	$	(0.31	)	$	11.39		3.06%	b	$	3,491		0.23%	a		0.11%	a		3.21%	a
09/30/15i		12.17		0.03			(0.63	)		(0.60	)		-			(0.22	)		(0.22	)		11.35		(4.95%	)b		4,161		0.26%	a		0.11%	a		0.34%	a
12/31/14h		12.52		1.68			(1.37	)		0.31			(0.34	)		(0.32	)		(0.66	)		12.17		2.38%	b		4,359		0.31%	a		0.11%	a		17.75%	a
Service Class
03/31/16r	$	11.36	$	0.17		$	0.18		$	0.35		$	(0.22	)	$	(0.08	)	$	(0.30	)	$	11.41		3.07%	b	$	25,059		0.33%	a		0.21%	a		3.07%	a
09/30/15i		12.19		0.03			(0.64	)		(0.61	)		-			(0.22	)		(0.22	)		11.36		(5.03%	)b		20,250		0.36%	a		0.21%	a		0.29%	a
12/31/14		12.36		0.18			0.28			0.46			(0.31	)		(0.32	)		(0.63	)		12.19		3.64%			10,205		0.41%			0.21%			1.44%
12/31/13		10.96		0.32			1.90			2.22			(0.36	)		(0.46	)		(0.82	)		12.36		20.38%			11,732		0.68%			0.20%			2.60%
12/31/12		9.97		0.27			1.22			1.49			(0.21	)		(0.29	)		(0.50	)		10.96		15.02%			2,165		2.05%			0.10%			2.47%
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%
12/31/10g		10.00		0.16			0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.25%	b		772		5.04%	a		0.10%	a		2.13%	a
Administrative Class
03/31/16r	$	11.33	$	0.17		$	0.17		$	0.34		$	(0.21	)	$	(0.08	)	$	(0.29	)	$	11.38		2.97%	b	$	32,739		0.43%	a		0.31%	a		3.02%	a
09/30/15i		12.17		0.01			(0.63	)		(0.62	)		-			(0.22	)		(0.22	)		11.33		(5.12%	)b		29,905		0.46%	a		0.31%	a		0.13%	a
12/31/14		12.36		0.38			0.06			0.44			(0.31	)		(0.32	)		(0.63	)		12.17		3.52%			26,413		0.51%			0.31%			2.98%
12/31/13		10.96		0.31			1.90			2.21			(0.35	)		(0.46	)		(0.81	)		12.36		20.33%			778		0.77%			0.25%			2.50%
12/31/12		9.97		0.23			1.26			1.49			(0.21	)		(0.29	)		(0.50	)		10.96		14.97%			198		2.13%			0.15%			2.08%
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%
12/31/10g		10.00		0.16			0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.21%	b		110		5.09%	a		0.15%	a		2.09%	a
Class A
03/31/16r	$	11.23	$	0.15		$	0.17		$	0.32		$	(0.17	)	$	(0.08	)	$	(0.25	)	$	11.30		2.86%	b	$	34,438		0.68%	a		0.56%	a		2.67%	a
09/30/15i		12.08		(0.01	)		(0.62	)		(0.63	)		-			(0.22	)		(0.22	)		11.23		(5.24%	)b		33,389		0.71%	a		0.56%	a		(0.11%	)a
12/31/14		12.28		0.25			0.16			0.41			(0.29	)		(0.32	)		(0.61	)		12.08		3.24%			16,826		0.78%			0.57%			2.00%
12/31/13		10.92		0.34			1.81			2.15			(0.33	)		(0.46	)		(0.79	)		12.28		19.87%			6,827		1.12%			0.59%			2.81%
12/31/12		9.95		0.22			1.22			1.44			(0.18	)		(0.29	)		(0.47	)		10.92		14.53%			1,604		2.49%			0.50%			2.04%
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%
12/31/10g		10.00		0.24			0.76			1.00			(0.16	)		-			(0.16	)		10.84		9.98%	b		249		5.44%	a		0.50%	a		3.10%	a
Class R4
03/31/16r	$	11.22	$	0.17		$	0.16		$	0.33		$	(0.21	)	$	(0.08	)	$	(0.29	)	$	11.26		2.93%	b	$	44,832		0.58%	a		0.46%	a		3.04%	a
09/30/15i		12.07		(0.00	)d		(0.63	)		(0.63	)		-			(0.22	)		(0.22	)		11.22		(5.24%	)b		21,377		0.61%	a		0.46%	a		(0.01%	)a
12/31/14h		12.43		0.35			(0.08	)		0.27			(0.31	)		(0.32	)		(0.63	)		12.07		2.10%	b		16,483		0.66%	a		0.46%	a		3.67%	a
Class R3
03/31/16r	$	11.20	$	0.14		$	0.17		$	0.31		$	(0.19	)	$	(0.08	)	$	(0.27	)	$	11.24		2.73%	b	$	65,225		0.83%	a		0.71%	a		2.49%	a
09/30/15i		12.06		(0.01	)		(0.63	)		(0.64	)		-			(0.22	)		(0.22	)		11.20		(5.33%	)b		41,950		0.86%	a		0.71%	a		(0.14%	)a
12/31/14h		12.43		0.33			(0.09	)		0.24			(0.29	)		(0.32	)		(0.61	)		12.06		1.90%	b		19,049		0.91%	a		0.71%	a		3.51%	a

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		15	%		34	%		35	%		55	%		55	%		66	%		11	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

55

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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.44	$	0.18		$	0.17		$	0.35		$	(0.24	)	$	(0.30	)	$	(0.54	)	$	11.25		3.13	%b	$	6,382		0.06	%a		0.04	%a		3.16	%a
09/30/15i		12.51		0.01			(0.66	)		(0.65	)		-			(0.42	)		(0.42	)		11.44		(5.28	%)b		6,087		0.05	%a		0.04	%a		0.10	%a
12/31/14h		12.80		0.53			(0.22	)		0.31			(0.57	)		(0.03	)		(0.60	)		12.51		2.35	%b		53,370		0.05	%a		0.04	%a		5.46	%a
Class R5
03/31/16r	$	11.42	$	0.09		$	0.25		$	0.34		$	(0.23	)	$	(0.30	)	$	(0.53	)	$	11.23		3.05	%b	$	22,658		0.16	%a		0.14	%a		1.55	%a
09/30/15i		12.50		0.04			(0.70	)		(0.66	)		-			(0.42	)		(0.42	)		11.42		(5.36	%)b		7,510		0.15	%a		0.14	%a		0.46	%a
12/31/14h		12.80		1.10			(0.81	)		0.29			(0.56	)		(0.03	)		(0.59	)		12.50		2.26	%b		4,324		0.15	%a		0.14	%a		11.40	%a
Service Class
03/31/16r	$	11.43	$	0.18		$	0.16		$	0.34		$	(0.22	)	$	(0.30	)	$	(0.52	)	$	11.25		3.01	%b	$	158,509		0.26	%a		0.24	%a		3.19	%a
09/30/15i		12.52		0.02			(0.69	)		(0.67	)		-			(0.42	)		(0.42	)		11.43		(5.44	%)b		173,384		0.25	%a		0.24	%a		0.23	%a
12/31/14		12.64		0.20			0.25			0.45			(0.54	)		(0.03	)		(0.57	)		12.52		3.51	%		187,396		0.24	%		0.24	%k		1.59	%
12/31/13		10.61		0.19			2.11			2.30			(0.27	)		-			(0.27	)		12.64		21.84	%		209,824		0.23	%		0.23	%k		1.61	%
12/31/12		9.34		0.21			1.23			1.44			(0.17	)		-			(0.17	)		10.61		15.55	%		155,213		0.13	%		0.12	%		2.05	%
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	%
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	%
Administrative Class
03/31/16r	$	11.41	$	0.16		$	0.18		$	0.34		$	(0.21	)	$	(0.30	)	$	(0.51	)	$	11.24		2.99	%b	$	125,131		0.36	%a		0.34	%a		2.87	%a
09/30/15i		12.51		0.01			(0.69	)		(0.68	)		-			(0.42	)		(0.42	)		11.41		(5.52	%)b		126,584		0.35	%a		0.34	%a		0.13	%a
12/31/14		12.64		0.28			0.15			0.43			(0.53	)		(0.03	)		(0.56	)		12.51		3.40	%		133,982		0.34	%		0.34	%k		2.14	%
12/31/13		10.60		0.20			2.09			2.29			(0.25	)		-			(0.25	)		12.64		21.77	%		46,490		0.32	%		0.32	%k		1.70	%
12/31/12		9.32		0.11			1.32			1.43			(0.15	)		-			(0.15	)		10.60		15.44	%		29,056		0.21	%		0.21	%k		1.10	%
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	%
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	%
Class A
03/31/16r	$	11.33	$	0.15		$	0.18		$	0.33		$	(0.18	)	$	(0.30	)	$	(0.48	)	$	11.18		2.91	%b	$	85,047		0.61	%a		0.59	%a		2.59	%a
09/30/15i		12.45		(0.01	)		(0.69	)		(0.70	)		-			(0.42	)		(0.42	)		11.33		(5.71	%)b		83,067		0.60	%a		0.59	%a		(0.11	%)a
12/31/14		12.57		0.16			0.24			0.40			(0.49	)		(0.03	)		(0.52	)		12.45		3.12	%		72,857		0.62	%		0.61	%		1.29	%
12/31/13		10.51		0.12			2.10			2.22			(0.16	)		-			(0.16	)		12.57		21.31	%		77,892		0.67	%		0.67	%k		1.06	%
12/31/12		9.26		0.13			1.25			1.38			(0.13	)		-			(0.13	)		10.51		14.96	%		71,053		0.56	%		0.56	%k		1.25	%
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	%
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	%
Class R4
03/31/16r	$	11.30	$	0.15		$	0.18		$	0.33		$	(0.21	)	$	(0.30	)	$	(0.51	)	$	11.12		2.98	%b	$	50,453		0.51	%a		0.49	%a		2.71	%a
09/30/15i		12.41		0.00	d		(0.69	)		(0.69	)		-			(0.42	)		(0.42	)		11.30		(5.65	%)b		22,738		0.50	%a		0.49	%a		0.03	%a
12/31/14h		12.72		0.32			(0.07	)		0.25			(0.53	)		(0.03	)		(0.56	)		12.41		1.96	%b		18,075		0.50	%a		0.49	%a		3.26	%a
Class R3
03/31/16r	$	11.16	$	0.13		$	0.17		$	0.30		$	(0.18	)	$	(0.30	)	$	(0.48	)	$	10.98		2.70	%b	$	91,649		0.76	%a		0.74	%a		2.39	%a
09/30/15i		12.28		(0.02	)		(0.68	)		(0.70	)		-			(0.42	)		(0.42	)		11.16		(5.79	%)b		68,535		0.75	%a		0.74	%a		(0.24	%)a
12/31/14		12.45		0.36			0.02			0.38			(0.52	)		(0.03	)		(0.55	)		12.28		2.98	%		57,469		0.76	%		0.75	%		2.81	%
12/31/13		10.39		0.09			2.08			2.17			(0.11	)		-			(0.11	)		12.45		20.98	%		3,573		0.97	%		0.97	%k		0.77	%
12/31/12		9.19		0.10			1.24			1.34			(0.14	)		-			(0.14	)		10.39		14.64	%		3,101		0.86	%		0.86	%k		0.98	%
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	%
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	%

	Six month ended March 31, 2016b,r	Period ended September 30, 2015b			Year ended December 31
					2014			2013			2012			2011			2010
Portfolio turnover rate	14%		34	%		31	%		43	%		55	%		74	%		29	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

56

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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.49	$	0.17		$	0.20		$	0.37		$	(0.23	)	$	(0.09	)	$	(0.32	)	$	11.54		3.18%	b	$	4,773		0.18%	a		0.05%	a		2.97%	a
09/30/15i		12.44		0.01			(0.70	)		(0.69	)		-			(0.26	)		(0.26	)		11.49		(5.58%	)b		4,474		0.21%	a		0.05%	a		0.14%	a
12/31/14h		12.89		0.51			(0.19	)		0.32			(0.33	)		(0.44	)		(0.77	)		12.44		2.37%	b		11,523		0.28%	a		0.05%	a		5.19%	a
Class R5
03/31/16r	$	11.48	$	0.17		$	0.19		$	0.36		$	(0.22	)	$	(0.09	)	$	(0.31	)	$	11.53		3.09%	b	$	2,793		0.28%	a		0.15%	a		2.88%	a
09/30/15i		12.44		0.03			(0.73	)		(0.70	)		-			(0.26	)		(0.26	)		11.48		(5.65%	)b		3,459		0.31%	a		0.15%	a		0.35%	a
12/31/14h		12.89		1.15			(0.83	)		0.32			(0.33	)		(0.44	)		(0.77	)		12.44		2.36%	b		2,815		0.38%	a		0.15%	a		11.85%	a
Service Class
03/31/16r	$	11.59	$	0.16		$	0.20		$	0.36		$	(0.21	)	$	(0.09	)	$	(0.30	)	$	11.65		3.07%	b	$	17,772		0.38%	a		0.25%	a		2.71%	a
09/30/15i		12.56		0.03			(0.74	)		(0.71	)		-			(0.26	)		(0.26	)		11.59		(5.68%	)b		13,635		0.41%	a		0.25%	a		0.27%	a
12/31/14		12.83		0.14			0.33			0.47			(0.30	)		(0.44	)		(0.74	)		12.56		3.53%			7,127		0.48%			0.24%			1.09%
12/31/13		11.00		0.30			2.20			2.50			(0.34	)		(0.33	)		(0.67	)		12.83		22.88%			9,582		0.79%			0.20%			2.42%
12/31/12		9.96		0.26			1.29			1.55			(0.19	)		(0.32	)		(0.51	)		11.00		15.64%			2,042		2.42%			0.10%			2.41%
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%
12/31/10g		10.00		0.14			0.91			1.05			(0.16	)		-			(0.16	)		10.89		10.46%	b		773		5.11%	a		0.10%	a		1.92%	a
Administrative Class
03/31/16r	$	11.55	$	0.15		$	0.20		$	0.35		$	(0.19	)	$	(0.09	)	$	(0.28	)	$	11.62		3.04%	b	$	22,802		0.48%	a		0.35%	a		2.62%	a
09/30/15i		12.53		0.01			(0.73	)		(0.72	)		-			(0.26	)		(0.26	)		11.55		(5.78%	)b		19,970		0.51%	a		0.35%	a		0.11%	a
12/31/14		12.83		0.39			0.06			0.45			(0.31	)		(0.44	)		(0.75	)		12.53		3.38%			18,330		0.58%			0.35%			2.95%
12/31/13		11.00		0.32			2.18			2.50			(0.34	)		(0.33	)		(0.67	)		12.83		22.85%			1,215		0.88%			0.26%			2.53%
12/31/12		9.96		0.19			1.35			1.54			(0.18	)		(0.32	)		(0.50	)		11.00		15.58%			245		2.51%			0.15%			1.79%
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%
12/31/10g		10.00		0.14			0.90			1.04			(0.15	)		-			(0.15	)		10.89		10.42%	b		111		5.16%	a		0.15%	a		1.87%	a
Class A
03/31/16r	$	11.45	$	0.14		$	0.20		$	0.34		$	(0.16	)	$	(0.09	)	$	(0.25	)	$	11.54		2.97%	b	$	28,275		0.73%	a		0.60%	a		2.38%	a
09/30/15i		12.45		(0.01	)		(0.73	)		(0.74	)		-			(0.26	)		(0.26	)		11.45		(5.97%	)b		25,646		0.76%	a		0.60%	a		(0.11%	)a
12/31/14		12.75		0.21			0.20			0.41			(0.27	)		(0.44	)		(0.71	)		12.45		3.13%			11,968		0.85%			0.61%			1.64%
12/31/13		10.96		0.30			2.14			2.44			(0.32	)		(0.33	)		(0.65	)		12.75		22.38%			6,248		1.23%			0.59%			2.44%
12/31/12		9.94		0.21			1.29			1.50			(0.16	)		(0.32	)		(0.48	)		10.96		15.18%			1,335		2.86%			0.50%			1.97%
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%
12/31/10g		10.00		0.13			0.88			1.01			(0.13	)		-			(0.13	)		10.88		10.10%	b		146		5.51%	a		0.50%	a		1.78%	a
Class R4
03/31/16r	$	11.45	$	0.16		$	0.18		$	0.34		$	(0.20	)	$	(0.09	)	$	(0.29	)	$	11.50		2.96%	b	$	33,773		0.63%	a		0.50%	a		2.77%	a
09/30/15i		12.44		0.00	d		(0.73	)		(0.73	)		-			(0.26	)		(0.26	)		11.45		(5.90%	)b		14,047		0.66%	a		0.50%	a		0.03%	a
12/31/14h		12.89		0.32			(0.03	)		0.29			(0.30	)		(0.44	)		(0.74	)		12.44		2.15%	b		8,687		0.73%	a		0.50%	a		3.30%	a
Class R3
03/31/16r	$	11.41	$	0.12		$	0.21		$	0.33		$	(0.17	)	$	(0.09	)	$	(0.26	)	$	11.48		2.85%	b	$	46,301		0.88%	a		0.75%	a		2.17%	a
09/30/15i		12.42		(0.02	)		(0.73	)		(0.75	)		-			(0.26	)		(0.26	)		11.41		(6.07%	)b		30,900		0.91%	a		0.75%	a		(0.20%	)a
12/31/14h		12.89		0.28			(0.03	)		0.25			(0.28	)		(0.44	)		(0.72	)		12.42		1.86%	b		16,061		0.98%	a		0.75%	a		2.89%	a

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		12	%		35	%		31	%		36	%		52	%		63	%		10	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

57

MassMutual 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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.24	$	0.16		$	0.20		$	0.36		$	(0.23	)	$	(0.39	)	$	(0.62	)	$	10.98		3.22	%b	$	2,547		0.09	%a		0.04	%a		2.91	%a
09/30/15i		12.41		0.00	d		(0.69	)		(0.69	)		-			(0.48	)		(0.48	)		11.24		(5.70	%)b		2,611		0.08	%a		0.04	%a		0.05	%a
12/31/14h		12.96		0.51			(0.18	)		0.33			(0.51	)		(0.37	)		(0.88	)		12.41		2.49	%b		45,481		0.07	%a		0.04	%a		5.19	%a
Class R5
03/31/16r	$	11.23	$	0.07		$	0.29		$	0.36		$	(0.22	)	$	(0.39	)	$	(0.61	)	$	10.98		3.23	%b	$	10,772		0.19	%a		0.14	%a		1.22	%a
09/30/15i		12.40		0.04			(0.73	)		(0.69	)		-			(0.48	)		(0.48	)		11.23		(5.71	%)b		2,715		0.18	%a		0.14	%a		0.42	%a
12/31/14h		12.96		0.97			(0.65	)		0.32			(0.51	)		(0.37	)		(0.88	)		12.40		2.39	%b		1,772		0.17	%a		0.14	%a		9.89	%a
Service Class
03/31/16r	$	11.24	$	0.16		$	0.18		$	0.34		$	(0.20	)	$	(0.39	)	$	(0.59	)	$	10.99		3.08	%b	$	89,456		0.29	%a		0.24	%a		2.96	%a
09/30/15i		12.42		0.02			(0.72	)		(0.70	)		-			(0.48	)		(0.48	)		11.24		(5.78	%)b		101,768		0.28	%a		0.24	%a		0.19	%a
12/31/14		12.81		0.18			0.28			0.46			(0.48	)		(0.37	)		(0.85	)		12.42		3.54	%		115,397		0.26	%		0.24	%		1.38	%
12/31/13		10.66		0.17			2.28			2.45			(0.30	)		-			(0.30	)		12.81		23.20	%		139,155		0.24	%		0.24	%k		1.44	%
12/31/12		9.35		0.19			1.27			1.46			(0.15	)		-			(0.15	)		10.66		15.69	%		108,556		0.13	%		0.13	%k		1.91	%
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	%
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	%
Administrative Class
03/31/16r	$	11.21	$	0.15		$	0.18		$	0.33		$	(0.19	)	$	(0.39	)	$	(0.58	)	$	10.96		3.00	%b	$	85,453		0.39	%a		0.34	%a		2.65	%a
09/30/15i		12.40		0.01			(0.72	)		(0.71	)		-			(0.48	)		(0.48	)		11.21		(5.87	%)b		85,749		0.38	%a		0.34	%a		0.11	%a
12/31/14		12.80		0.26			0.19			0.45			(0.48	)		(0.37	)		(0.85	)		12.40		3.44	%		85,857		0.36	%		0.34	%		1.98	%
12/31/13		10.65		0.20			2.24			2.44			(0.29	)		-			(0.29	)		12.80		23.07	%		27,838		0.33	%		0.33	%k		1.67	%
12/31/12		9.33		0.11			1.34			1.45			(0.13	)		-			(0.13	)		10.65		15.60	%		14,301		0.21	%		0.21	%k		1.08	%
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	%
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	%
Class A
03/31/16r	$	11.12	$	0.13		$	0.20		$	0.33		$	(0.16	)	$	(0.39	)	$	(0.56	)	$	10.89		2.92	%b	$	51,080		0.64	%a		0.59	%a		2.36	%a
09/30/15i		12.33		(0.01	)		(0.72	)		(0.73	)		-			(0.48	)		(0.48	)		11.12		(6.07	%)b		48,822		0.63	%a		0.59	%a		(0.13	%)a
12/31/14		12.72		0.15			0.26			0.41			(0.43	)		(0.37	)		(0.80	)		12.33		3.15	%		42,940		0.63	%		0.61	%		1.14	%
12/31/13		10.55		0.11			2.26			2.37			(0.20	)		-			(0.20	)		12.72		22.60	%		47,265		0.68	%		0.68	%k		0.91	%
12/31/12		9.25		0.12			1.29			1.41			(0.11	)		-			(0.11	)		10.55		15.28	%		45,264		0.57	%		0.56	%		1.17	%
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	%
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	%
Class R4
03/31/16r	$	11.09	$	0.14		$	0.19		$	0.33		$	(0.20	)	$	(0.39	)	$	(0.59	)	$	10.83		2.97	%b	$	30,162		0.54	%a		0.49	%a		2.60	%a
09/30/15i		12.28		0.00	d		(0.71	)		(0.71	)		-			(0.48	)		(0.48	)		11.09		(5.93	%)b		16,356		0.53	%a		0.49	%a		0.02	%a
12/31/14h		12.85		0.29			(0.01	)		0.28			(0.48	)		(0.37	)		(0.85	)		12.28		2.10	%b		11,987		0.52	%a		0.49	%a		2.91	%a
Class R3
03/31/16r	$	10.94	$	0.11		$	0.20		$	0.31		$	(0.17	)	$	(0.39	)	$	(0.56	)	$	10.69		2.83	%b	$	40,803		0.79	%a		0.74	%a		2.13	%a
09/30/15i		12.15		(0.02	)		(0.71	)		(0.73	)		-			(0.48	)		(0.48	)		10.94		(6.16	%)b		26,610		0.78	%a		0.74	%a		(0.25	%)a
12/31/14		12.60		0.33			0.05			0.38			(0.46	)		(0.37	)		(0.83	)		12.15		2.95	%		21,517		0.78	%		0.76	%		2.57	%
12/31/13		10.44		0.09			2.21			2.30			(0.14	)		-			(0.14	)		12.60		22.20	%		3,531		0.98	%		0.98	%k		0.74	%
12/31/12		9.19		0.09			1.28			1.37			(0.12	)		-			(0.12	)		10.44		14.91	%		2,816		0.87	%		0.86	%		0.91	%
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	%
12/31/10		8.57		0.05			1.18			1.23			(0.06	)		-			(0.06	)		9.74		14.52	%		286		0.81	%		N/A			0.55	%

	Six month  ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		15	%		35	%		30	%		45	%		55	%		75	%		32	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

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

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

58

MassMutual 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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	11.53	$	0.16		$	0.23		$	0.39		$	(0.22	)	$	(0.10	)	$	(0.32	)	$	11.60		3.37%	b	$	1,497		0.32%	a		0.02%	a		2.81%	a
09/30/15i		12.55		0.01			(0.73	)		(0.72	)		-			(0.30	)		(0.30	)		11.53		(5.85%	)b		1,399		0.37%	a		0.02%	a		0.09%	a
12/31/14h		12.98		0.47			(0.13	)		0.34			(0.32	)		(0.45	)		(0.77	)		12.55		2.57%	b		6,636		0.51%	a		0.02%	a		4.80%	a
Class R5
03/31/16r	$	11.52	$	0.16		$	0.22		$	0.38		$	(0.21	)	$	(0.10	)	$	(0.31	)	$	11.59		3.27%	b	$	1,557		0.42%	a		0.12%	a		2.74%	a
09/30/15i		12.55		0.03			(0.76	)		(0.73	)		-			(0.30	)		(0.30	)		11.52		(5.93%	)b		1,637		0.47%	a		0.12%	a		0.32%	a
12/31/14h		12.98		1.17			(0.83	)		0.34			(0.32	)		(0.45	)		(0.77	)		12.55		2.56%	b		1,673		0.61%	a		0.12%	a		11.87%	a
Service Class
03/31/16r	$	11.52	$	0.15		$	0.23		$	0.38		$	(0.20	)	$	(0.10	)	$	(0.30	)	$	11.60		3.28%	b	$	9,240		0.52%	a		0.22%	a		2.69%	a
09/30/15i		12.56		0.02			(0.76	)		(0.74	)		-			(0.30	)		(0.30	)		11.52		(6.00%	)b		8,282		0.57%	a		0.22%	a		0.26%	a
12/31/14		12.83		0.15			0.32			0.47			(0.29	)		(0.45	)		(0.74	)		12.56		3.62%			5,342		0.72%			0.22%			1.17%
12/31/13		10.85		0.24			2.48			2.72			(0.32	)		(0.42	)		(0.74	)		12.83		25.33%			5,499		1.28%			0.19%			1.92%
12/31/12		9.86		0.21			1.41			1.62			(0.16	)		(0.47	)		(0.63	)		10.85		16.48%			1,408		3.75%			0.10%			1.95%
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%
12/31/10g		10.00		0.13			0.96			1.09			(0.13	)		-			(0.13	)		10.96		10.94%	b		777		5.15%	a		0.10%	a		1.69%	a
Administrative Class
03/31/16r	$	11.50	$	0.14		$	0.23		$	0.37		$	(0.19	)	$	(0.10	)	$	(0.29	)	$	11.58		3.18%	b	$	11,436		0.62%	a		0.32%	a		2.40%	a
09/30/15i		12.54		0.01			(0.75	)		(0.74	)		-			(0.30	)		(0.30	)		11.50		(6.01%	)b		9,250		0.67%	a		0.32%	a		0.15%	a
12/31/14		12.83		0.36			0.10			0.46			(0.30	)		(0.45	)		(0.75	)		12.54		3.52%			6,304		0.81%			0.32%			2.76%
12/31/13		10.85		0.23			2.49			2.72			(0.32	)		(0.42	)		(0.74	)		12.83		25.29%			322		1.37%			0.24%			1.86%
12/31/12		9.87		0.15			1.45			1.60			(0.15	)		(0.47	)		(0.62	)		10.85		16.30%			127		3.84%			0.15%			1.40%
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%
12/31/10g		10.00		0.12			0.97			1.09			(0.13	)		-			(0.13	)		10.96		10.90%	b		111		5.20%	a		0.15%	a		1.64%	a
Class A
03/31/16r	$	11.40	$	0.13		$	0.22		$	0.35		$	(0.16	)	$	(0.10	)	$	(0.26	)	$	11.49		3.02%	b	$	15,995		0.87%	a		0.57%	a		2.22%	a
09/30/15i		12.46		(0.01	)		(0.75	)		(0.76	)		-			(0.30	)		(0.30	)		11.40		(6.21%	)b		14,156		0.92%	a		0.57%	a		(0.11%	)a
12/31/14		12.75		0.21			0.21			0.42			(0.26	)		(0.45	)		(0.71	)		12.46		3.28%			7,199		1.08%			0.58%			1.58%
12/31/13		10.81		0.22			2.44			2.66			(0.30	)		(0.42	)		(0.72	)		12.75		24.79%			3,589		1.72%			0.59%			1.77%
12/31/12		9.84		0.18			1.39			1.57			(0.13	)		(0.47	)		(0.60	)		10.81		16.02%			779		4.20%			0.50%			1.65%
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%
12/31/10g		10.00		0.11			0.95			1.06			(0.11	)		-			(0.11	)		10.95		10.58%	b		139		5.55%	a		0.50%	a		1.51%	a
Class R4
03/31/16r	$	11.38	$	0.14		$	0.22		$	0.36		$	(0.19	)	$	(0.10	)	$	(0.29	)	$	11.45		3.15%	b	$	18,671		0.77%	a		0.47%	a		2.49%	a
09/30/15i		12.43		0.00	d		(0.75	)		(0.75	)		-			(0.30	)		(0.30	)		11.38		(6.15%	)b		9,264		0.82%	a		0.47%	a		0.04%	a
12/31/14h		12.88		0.30			(0.01	)		0.29			(0.29	)		(0.45	)		(0.74	)		12.43		2.22%	b		5,315		0.96%	a		0.47%	a		3.10%	a
Class R3
03/31/16r	$	11.36	$	0.12		$	0.21		$	0.33		$	(0.16	)	$	(0.10	)	$	(0.26	)	$	11.43		2.93%	b	$	29,304		1.02%	a		0.72%	a		2.09%	a
09/30/15i		12.43		(0.02	)		(0.75	)		(0.77	)		-			(0.30	)		(0.30	)		11.36		(6.31%	)b		17,369		1.07%	a		0.72%	a		(0.21%	)a
12/31/14h		12.88		0.29			(0.02	)		0.27			(0.27	)		(0.45	)		(0.72	)		12.43		2.10%	b		9,628		1.21%	a		0.72%	a		2.25%	a

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		12	%		32	%		26	%		39	%		68	%		56	%		8	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

59

MassMutual 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)c ,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	8.08	$	0.11		$	0.16		$	0.27		$	(0.15	)	$	(0.18	)	$	(0.33	)	$	8.02		3.37%	b	$	1,264		0.21%	a		0.02%	a		2.65%	a
09/30/15i		8.96		0.00	d		(0.53	)		(0.53	)		-			(0.35	)		(0.35	)		8.08		(6.07%	)b		1,123		0.20%	a		0.02%	a		0.03%	a
12/31/14h		9.90		0.36			(0.09	)		0.27			(0.24	)		(0.97	)		(1.21	)		8.96		2.57%	b		19,990		0.16%	a		0.02%	a		4.93%	a
Class R5
03/31/16r	$	8.07	$	0.03		$	0.24		$	0.27		$	(0.15	)	$	(0.18	)	$	(0.33	)	$	8.01		3.29%	b	$	7,397		0.31%	a		0.12%	a		0.70%	a
09/30/15i		8.96		0.02			(0.56	)		(0.54	)		-			(0.35	)		(0.35	)		8.07		(6.19%	)b		974		0.30%	a		0.12%	a		0.33%	a
12/31/14h		9.90		0.60			(0.33	)		0.27			(0.24	)		(0.97	)		(1.21	)		8.96		2.56%	b		790		0.26%	a		0.12%	a		8.13%	a
Service Class
03/31/16r	$	8.07	$	0.11		$	0.16		$	0.27		$	(0.14	)	$	(0.18	)	$	(0.32	)	$	8.02		3.29%	b	$	36,449		0.41%	a		0.22%	a		2.66%	a
09/30/15i		8.97		0.01			(0.56	)		(0.55	)		-			(0.35	)		(0.35	)		8.07		(6.30%	)b		37,899		0.40%	a		0.22%	a		0.21%	a
12/31/14		9.79		0.12			0.25			0.37			(0.22	)		(0.97	)		(1.19	)		8.97		3.59%			38,141		0.34%			0.22%			1.19%
12/31/13		8.48		0.14			1.99			2.13			(0.25	)		(0.57	)		(0.82	)		9.79		25.48%			49,996		0.32%			0.18%			1.49%
12/31/12		7.71		0.16			1.08			1.24			(0.13	)		(0.34	)		(0.47	)		8.48		16.22%			29,840		0.26%			0.10%			1.87%
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%
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%
Administrative Class
03/31/16r	$	8.06	$	0.10		$	0.17		$	0.27		$	(0.13	)	$	(0.18	)	$	(0.31	)	$	8.02		3.33%	b	$	29,570		0.51%	a		0.32%	a		2.38%	a
09/30/15i		8.97		0.01			(0.57	)		(0.56	)		-			(0.35	)		(0.35	)		8.06		(6.41%	)b		27,378		0.50%	a		0.32%	a		0.13%	a
12/31/14		9.80		0.18			0.18			0.36			(0.22	)		(0.97	)		(1.19	)		8.97		3.49%			23,872		0.45%			0.31%			1.81%
12/31/13		8.49		0.16			1.97			2.13			(0.25	)		(0.57	)		(0.82	)		9.80		25.42%			9,648		0.41%			0.24%			1.64%
12/31/12		7.71		0.08			1.17			1.25			(0.13	)		(0.34	)		(0.47	)		8.49		16.27%			3,994		0.34%			0.15%			0.93%
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%
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%
Class A
03/31/16r	$	8.01	$	0.08		$	0.17		$	0.25		$	(0.11	)	$	(0.18	)	$	(0.29	)	$	7.97		3.10%	b	$	18,269		0.76%	a		0.57%	a		2.10%	a
09/30/15i		8.92		(0.01	)		(0.55	)		(0.56	)		-			(0.35	)		(0.35	)		8.01		(6.44%	)b		16,516		0.75%	a		0.57%	a		(0.12%	)a
12/31/14		9.75		0.12			0.20			0.32			(0.18	)		(0.97	)		(1.15	)		8.92		3.18%			12,039		0.71%			0.58%			1.25%
12/31/13		8.45		0.08			2.00			2.08			(0.21	)		(0.57	)		(0.78	)		9.75		24.92%			9,721		0.76%			0.58%			0.80%
12/31/12		7.68		0.10			1.11			1.21			(0.10	)		(0.34	)		(0.44	)		8.45		15.74%			8,644		0.70%			0.50%			1.23%
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%
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%
Class R4
03/31/16r	$	8.00	$	0.09		$	0.16		$	0.25		$	(0.13	)	$	(0.18	)	$	(0.31	)	$	7.94		3.09%	b	$	16,913		0.66%	a		0.47%	a		2.28%	a
09/30/15i		8.91		0.00	d		(0.56	)		(0.56	)		-			(0.35	)		(0.35	)		8.00		(6.45%	)b		9,533		0.65%	a		0.47%	a		0.02%	a
12/31/14h		9.85		0.19			0.05			0.24			(0.21	)		(0.97	)		(1.18	)		8.91		2.35%	b		7,133		0.61%	a		0.47%	a		2.57%	a
Class R3
03/31/16r	$	7.94	$	0.07		$	0.18		$	0.25		$	(0.11	)	$	(0.18	)	$	(0.29	)	$	7.90		3.12%	b	$	22,825		0.91%	a		0.72%	a		1.86%	a
09/30/15i		8.87		(0.02	)		(0.56	)		(0.58	)		-			(0.35	)		(0.35	)		7.94		(6.71%	)b		14,173		0.90%	a		0.72%	a		(0.26%	)a
12/31/14		9.73		0.22			0.09			0.31			(0.20	)		(0.97	)		(1.17	)		8.87		3.03%			11,800		0.88%			0.74%			2.24%
12/31/13		8.44		0.07			1.98			2.05			(0.19	)		(0.57	)		(0.76	)		9.73		24.60%			2,487		1.06%			0.88%			0.71%
12/31/12		7.68		0.08			1.10			1.18			(0.08	)		(0.34	)		(0.42	)		8.44		15.47%			1,767		1.00%			0.80%			0.93%
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%
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%

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013			2012			2011			2010
Portfolio turnover rate		10	%		47	%		37	%		45	%		87	%		80	%		41	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

60

MassMutual RetireSMART 2055 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less Distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16r	$	9.59	$	0.13		$	0.20		$	0.33		$	(0.17	)	$	(0.06	)	$	(0.23	)	$	9.69		3.41%	b	$	530		1.50%	a		0.00%	a,e		2.71%	a
09/30/15i		10.38		0.04			(0.67	)		(0.63	)		-			(0.16	)		(0.16	)		9.59		(6.11%	)b		466		2.58%	a		0.00%	a,e		0.54%	a
12/31/14h		10.62		0.19			0.09			0.28			(0.28	)		(0.24	)		(0.52	)		10.38		2.60%	b		103		4.83%	a		0.00%	a,e		2.34%	a
Class R5
03/31/16r	$	9.60	$	0.12		$	0.20		$	0.32		$	(0.17	)	$	(0.06	)	$	(0.23	)	$	9.69		3.30%	b	$	437		1.60%	a		0.10%	a		2.53%	a
09/30/15i		10.40		0.03			(0.67	)		(0.64	)		-			(0.16	)		(0.16	)		9.60		(6.20%	)b		357		2.68%	a		0.10%	a		0.40%	a
12/31/14h		10.62		0.38			(0.10	)		0.28			(0.26	)		(0.24	)		(0.50	)		10.40		2.54%	b		268		4.93%	a		0.10%	a		4.65%	a
Service Class
03/31/16r	$	9.62	$	0.12		$	0.19		$	0.31		$	(0.16	)	$	(0.06	)	$	(0.22	)	$	9.71		3.21%	b	$	2,107		1.70%	a		0.20%	a		2.44%	a
09/30/15i		10.43		0.02			(0.67	)		(0.65	)		-			(0.16	)		(0.16	)		9.62		(6.28%	)b		1,442		2.78%	a		0.20%	a		0.27%	a
12/31/14		10.50		0.20			0.20			0.40			(0.23	)		(0.24	)		(0.47	)		10.43		3.71%			1,069		4.78%			0.21%			1.89%
12/31/13g		10.00		0.12			0.64			0.76			(0.25	)		(0.01	)		(0.26	)		10.50		7.56%	b		753		13.64%	a		0.23%	a		4.00%	a
Administrative Class
03/31/16r	$	9.58	$	0.11		$	0.20		$	0.31		$	(0.15	)	$	(0.06	)	$	(0.21	)	$	9.68		3.24%	b	$	1,617		1.80%	a		0.30%	a		2.31%	a
09/30/15i		10.40		0.02			(0.68	)		(0.66	)		-			(0.16	)		(0.16	)		9.58		(6.39%	)b		1,281		2.88%	a		0.30%	a		0.19%	a
12/31/14		10.50		0.32			0.06			0.38			(0.24	)		(0.24	)		(0.48	)		10.40		3.52%			774		5.04%			0.30%			2.99%
12/31/13g		10.00		0.12			0.64			0.76			(0.25	)		(0.01	)		(0.26	)		10.50		7.58%	b		108		13.74%	a		0.28%	a		3.95%	a
Class A
03/31/16r	$	9.56	$	0.10		$	0.20		$	0.30		$	(0.13	)	$	(0.06	)	$	(0.19	)	$	9.67		3.14%	b	$	3,422		2.05%	a		0.55%	a		2.15%	a
09/30/15i		10.39		(0.00	)d		(0.67	)		(0.67	)		-			(0.16	)		(0.16	)		9.56		(6.49%	)b		3,109		3.13%	a		0.55%	a		(0.01%	)a
12/31/14		10.50		0.27			0.08			0.35			(0.22	)		(0.24	)		(0.46	)		10.39		3.24%			638		5.26%			0.56%			2.52%
12/31/13g		10.00		0.11			0.64			0.75			(0.24	)		(0.01	)		(0.25	)		10.50		7.47%	b		108		14.09%	a		0.63%	a		3.60%	a
Class R4
03/31/16r	$	9.55	$	0.12		$	0.19		$	0.31		$	(0.15	)	$	(0.06	)	$	(0.21	)	$	9.65		3.19%	b	$	3,228		1.95%	a		0.45%	a		2.42%	a
09/30/15i		10.38		0.00	d		(0.67	)		(0.67	)		-			(0.16	)		(0.16	)		9.55		(6.50%	)b		894		3.03%	a		0.45%	a		0.05%	a
12/31/14h		10.61		0.29			(0.04	)		0.25			(0.24	)		(0.24	)		(0.48	)		10.38		2.28%	b		720		5.28%	a		0.45%	a		3.59%	a
Class R3
03/31/16r	$	9.53	$	0.09		$	0.20		$	0.29		$	(0.13	)	$	(0.06	)	$	(0.19	)	$	9.63		3.04%	b	$	8,035		2.20%	a		0.70%	a		1.85%	a
09/30/15i		10.37		(0.01	)		(0.67	)		(0.68	)		-			(0.16	)		(0.16	)		9.53		(6.60%	)b		3,842		3.28%	a		0.70%	a		(0.16%	)a
12/31/14h		10.61		0.25			(0.02	)		0.23			(0.23	)		(0.24	)		(0.47	)		10.37		2.10%	b		1,302		5.53%	a		0.70%	a		3.12%	a

	Six month ended March 31, 2016b,r			Period ended September 30, 2015b			Year ended December 31
							2014			2013
Portfolio turnover rate		12	%		32	%		26	%		4	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

g For the period September 17, 2013 (commencement of operations) through December 31, 2013.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

61

MassMutual RetireSMART 2060 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
03/31/16g,r	$	10.00	$	0.13	$	(0.41	)	$	(0.28	)	$	(0.15	)	$	(0.15	)	$	9.57		(2.91%	)b	$	9,137		2.78%	a		0.00%a,e			3.82%	a
Class R5
03/31/16g,r	$	10.00	$	0.12	$	(0.40	)	$	(0.28	)	$	(0.15	)	$	(0.15	)	$	9.57		(3.03%	)b	$	97		2.88%	a		0.10%	a		3.72%	a
Service Class
03/31/16g,r	$	10.00	$	0.12	$	(0.40	)	$	(0.28	)	$	(0.15	)	$	(0.15	)	$	9.57		(3.04%	)b	$	97		2.98%	a		0.20%	a		3.63%	a
Administrative Class
03/31/16g,r	$	10.00	$	0.12	$	(0.41	)	$	(0.29	)	$	(0.15	)	$	(0.15	)	$	9.56		(3.05%	)b	$	97		3.08%	a		0.30%	a		3.52%	a
Class A
03/31/16g,r	$	10.00	$	0.11	$	(0.41	)	$	(0.30	)	$	(0.14	)	$	(0.14	)	$	9.56		(3.17%	)b	$	97		3.33%	a		0.55%	a		3.27%	a
Class R4
03/31/16g,r	$	10.00	$	0.11	$	(0.41	)	$	(0.30	)	$	(0.14	)	$	(0.14	)	$	9.56		(3.06%	)b	$	97		3.23%	a		0.45%	a		3.38%	a
Class R3
03/31/16g,r	$	10.00	$	0.10	$	(0.40	)	$	(0.30	)	$	(0.14	)	$	(0.14	)	$	9.56		(3.19%	)b	$	97		3.48%	a		0.70%	a		3.13%	a

	Period ended March 31,  2016b,r
Portfolio turnover rate for all share classes		5	%

a Annualized.

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

c Per share amount calculated on the average shares method.

e Amount is less than 0.005%.

g For the period November 23, 2015 (commencement of operations) through March 31, 2016.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

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

r Unaudited.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

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

62

Notes to Financial Statements (Unaudited)

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 16 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual RetireSMART^SM Conservative Fund (“MM RetireSMART Conservative Fund”)

MassMutual RetireSMART^SM Moderate Fund (“MM RetireSMART Moderate Fund”)

MassMutual RetireSMART^SM Moderate Growth Fund (“MM RetireSMART Moderate Growth Fund”)

MassMutual RetireSMART^SM Growth Fund (“MM RetireSMART Growth Fund”)

MassMutual RetireSMART^SM In Retirement Fund (“MM RetireSMART In Retirement Fund”)

MassMutual RetireSMART^SM 2010 Fund (“MM RetireSMART 2010 Fund”)

MassMutual RetireSMART^SM 2015 Fund (“MM RetireSMART 2015 Fund”)

MassMutual RetireSMART^SM 2020 Fund (“MM RetireSMART 2020 Fund”)

MassMutual RetireSMART^SM 2025 Fund (“MM RetireSMART 2025 Fund”)

MassMutual RetireSMART^SM 2030 Fund (“MM RetireSMART 2030 Fund”)

MassMutual RetireSMART^SM 2035 Fund (“MM RetireSMART 2035 Fund”)

MassMutual RetireSMART^SM 2040 Fund (“MM RetireSMART 2040 Fund”)

MassMutual RetireSMART^SM 2045 Fund (“MM RetireSMART 2045 Fund”)

MassMutual RetireSMART^SM 2050 Fund (“MM RetireSMART 2050 Fund”)

MassMutual RetireSMART^SM 2055 Fund (“MM RetireSMART 2055 Fund”)

MassMutual RetireSMART^SM 2060 Fund (“MM RetireSMART 2060 Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

On May 13, 2015, the Board of Trustees (“Trustees”) approved a change in the fiscal year end of the Funds from December 31 to September 30. Accordingly, the Funds’ financial statements and related notes include information as of the nine month period ended September 30, 2015, and the year ended December 31, 2014.

Effective March 14, 2014, Class L shares of the MM RetireSMART In Retirement Fund, MM RetireSMART 2010 Fund, MM RetireSMART 2015 Fund, MM RetireSMART 2020 Fund, MM RetireSMART 2025 Fund, MM RetireSMART 2030 Fund, MM RetireSMART 2035 Fund, MM RetireSMART 2040 Fund, MM Retire SMART 2045 Fund, MM RetireSMART 2050 Fund, and MM RetireSMART 2055 Fund merged into Class Y shares (now known as Administrative Class shares).

Effective April 1, 2014, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, and Class L shares were renamed Administrative Class shares for the MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, and MM RetireSMART Growth Fund. Effective April 1, 2014, Class S shares were renamed Service Class shares, and Class Y shares were renamed Administrative Class shares for the MM RetireSMART In Retirement Fund, MM RetireSMART 2010 Fund, MM RetireSMART 2015 Fund, MM RetireSMART 2020 Fund, MM RetireSMART 2025 Fund, MM RetireSMART 2030 Fund, MM RetireSMART 2035 Fund, MM RetireSMART 2040 Fund, MM RetireSMART 2045 Fund, MM RetireSMART 2050 Fund, and MM RetireSMART 2055 Fund. Effective April 1, 2014, Class N shares were renamed Class R3 shares for the MM RetireSMART In Retirement Fund, MM RetireSMART 2010 Fund, MM RetireSMART 2020 Fund, MM RetireSMART 2030 Fund, MM RetireSMART 2040 Fund, and MM RetireSMART 2050 Fund.

The Funds invest all of their investable assets in shares of various funds advised by MML Investment Advisers, LLC (“MML Advisers”) or its affiliates. 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 MML Advisers), Babson Funds (which are advised by Babson Capital Management LLC, a wholly-owned, indirect subsidiary of Massachusetts

63

Notes to Financial Statements (Unaudited) (Continued)

Mutual Life Insurance Company (“MassMutual”)) and Oppenheimer Funds (which are advised by OFI Global Asset Management, 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 website at http://www.sec.gov or by calling MML Advisers at 1-888-309-3539. The assets of each Fund are diversified and a shareholder’s interest is limited to the Select, Premier, Babson, or Oppenheimer Funds in which the shares are invested.

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

The net asset value of each Fund is based upon the net asset value(s) of its corresponding underlying funds. Shares of the underlying funds are valued at their closing net asset values as reported on each business day.

Certain underlying funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the 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’s EDGAR database on its website at http://www.sec.gov.

Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

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

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

Each Fund characterized all investments at Level 1, as of March 31, 2016. For each Fund, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The due to custodian amounts shown in the Statements of Assets and Liabilities approximate fair value, which would be categorized at Level 2, as of March 31, 2016.

The Funds had no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period ended March 31, 2016. The Funds recognize transfers between the Levels as of the beginning of the year.

64

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 distributions including realized gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.

Allocation of Operating Activity

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

In addition, each Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and each Fund may own different proportions of underlying funds at different times, the amount of fees and expenses indirectly incurred by each Fund will vary.

Foreign Securities

Certain underlying funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (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.

65

Notes to Financial Statements (Unaudited) (Continued)

3. Advisory Fees and Other Transactions

Investment Advisory Fees

MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. MML Advisers does not receive advisory fees in return for these services.

Administration Fees

Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

��

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
MM RetireSMART Conservative Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART Moderate Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART Moderate Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART In Retirement Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2010 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2015 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2020 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2025 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2030 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2035 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2040 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2045 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2050 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2055 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART 2060 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as a distributor to each Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.

The Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of each Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Funds’ investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Funds separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Funds’ investors.

66

Notes to Financial Statements (Unaudited) (Continued)

Expense Caps and Waivers

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

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
MM RetireSMART Conservative Fund*		0.02%		0.12%		0.22%		0.32%		0.57%		0.47%		0.72%
MM RetireSMART Moderate Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART Moderate Growth Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART Growth Fund*		0.07%		0.17%		0.27%		0.37%		0.62%		0.52%		0.77%
MM RetireSMART In Retirement Fund*		0.06%		0.16%		0.26%		0.36%		0.61%		0.51%		0.76%
MM RetireSMART 2010 Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART 2015 Fund*		0.06%		0.16%		0.26%		0.36%		0.61%		0.51%		0.76%
MM RetireSMART 2020 Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART 2025 Fund*		0.01%		0.11%		0.21%		0.31%		0.56%		0.46%		0.71%
MM RetireSMART 2030 Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART 2035 Fund*		0.05%		0.15%		0.25%		0.35%		0.60%		0.50%		0.75%
MM RetireSMART 2040 Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART 2045 Fund*		0.02%		0.12%		0.22%		0.32%		0.57%		0.47%		0.72%
MM RetireSMART 2050 Fund*		0.02%		0.12%		0.22%		0.32%		0.57%		0.47%		0.72%
MM RetireSMART 2055 Fund*		0.00%		0.10%		0.20%		0.30%		0.55%		0.45%		0.70%
MM RetireSMART 2060 Fund*		0.00%		0.10%		0.20%		0.30%		0.55%		0.45%		0.70%

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

* Expense caps in effect through January 31, 2017.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Deferred Compensation

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds 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 March 31, 2016:

	Total % of Ownership by Related Party
MM RetireSMART Conservative Fund		92.8%
MM RetireSMART Moderate Fund		85.8%
MM RetireSMART Moderate Growth Fund		91.7%
MM RetireSMART Growth Fund		81.9%
MM RetireSMART In Retirement Fund		56.2%

67

Notes to Financial Statements (Unaudited) (Continued)

	Total % of Ownership by Related Party
MM RetireSMART 2010 Fund		57.0%
MM RetireSMART 2015 Fund		64.9%
MM RetireSMART 2020 Fund		68.8%
MM RetireSMART 2025 Fund		60.4%
MM RetireSMART 2030 Fund		71.3%
MM RetireSMART 2035 Fund		58.4%
MM RetireSMART 2040 Fund		71.4%
MM RetireSMART 2045 Fund		62.1%
MM RetireSMART 2050 Fund		65.8%
MM RetireSMART 2055 Fund		62.8%
MM RetireSMART 2060 Fund		100.0%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales or investments in underlying funds (excluding short-term investments) for the period ended March 31, 2016, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
MM RetireSMART Conservative Fund	$	-	$	39,763,488	$	-	$	47,354,457
MM RetireSMART Moderate Fund		-		50,342,983		-		82,181,411
MM RetireSMART Moderate Growth Fund		-		41,773,007		-		56,727,795
MM RetireSMART Growth Fund		-		18,091,222		-		20,523,762
MM RetireSMART In Retirement Fund		-		24,494,633		-		21,149,658
MM RetireSMART 2010 Fund		-		24,689,292		-		22,055,288
MM RetireSMART 2015 Fund		-		44,052,282		-		20,488,451
MM RetireSMART 2020 Fund		-		131,966,474		-		80,011,207
MM RetireSMART 2025 Fund		-		89,232,241		-		28,836,840
MM RetireSMART 2030 Fund		-		140,125,553		-		73,232,989
MM RetireSMART 2035 Fund		-		65,056,416		-		16,458,214
MM RetireSMART 2040 Fund		-		81,176,628		-		46,119,776
MM RetireSMART 2045 Fund		-		37,286,119		-		8,783,240
MM RetireSMART 2050 Fund		-		41,246,890		-		12,450,808
MM RetireSMART 2055 Fund		-		10,297,166		-		1,835,493
MM RetireSMART 2060 Fund		-		11,007,442		-		510,583

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART Conservative Fund Class I*
Sold		91		$	865			226		$	2,211			21,403		$	220,703
Issued as reinvestment of dividends		175			1,600			107			1,015			1,345			13,210
Redeemed		(7,844	)		(72,439	)		(3,153	)		(30,935	)		(1,792	)		(18,440	)
Net increase (decrease)		(7,578	)	$	(69,974	)		(2,820	)	$	(27,709	)		20,956		$	215,473

68

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART Conservative Fund Class R5
Sold		874,530		$	8,177,068			111,739		$	1,098,728			176,459		$	1,799,054
Issued as reinvestment of dividends		30,009			273,980			6,179			58,573			27,116			267,231
Redeemed		(206,676	)		(1,880,950	)		(78,388	)		(770,998	)		(106,831	)		(1,094,662	)
Net increase (decrease)		697,863		$	6,570,098			39,530		$	386,303			96,744		$	971,623
MM RetireSMART Conservative Fund Service Class
Sold		82,252		$	759,957			447,486		$	4,366,605			1,283,149		$	13,174,679
Issued as reinvestment of dividends		43,428			396,932			28,276			267,771			146,666			1,442,446
Redeemed		(1,366,688	)		(12,642,938	)		(651,841	)		(6,383,522	)		(487,083	)		(5,021,944	)
Net increase (decrease)		(1,241,008	)	$	(11,486,049	)		(176,079	)	$	(1,749,146	)		942,732		$	9,595,181
MM RetireSMART Conservative Fund Administrative Class
Sold		411,768		$	3,783,714			1,493,160		$	14,645,478			1,050,901		$	10,778,318
Issued as reinvestment of dividends		184,838			1,689,417			97,193			920,419			434,603			4,284,541
Redeemed		(1,248,033	)		(11,415,393	)		(1,362,201	)		(13,246,648	)		(1,238,202	)		(12,630,622	)
Net increase (decrease)		(651,427	)	$	(5,942,262	)		228,152		$	2,319,249			247,302		$	2,432,237
MM RetireSMART Conservative Fund Class A
Sold		744,856		$	6,892,435			1,252,870		$	12,248,059			1,764,653		$	18,080,578
Issued as reinvestment of dividends		293,508			2,685,597			175,787			1,662,941			859,177			8,484,531
Redeemed		(1,353,062	)		(12,635,761	)		(2,165,043	)		(21,149,800	)		(2,886,450	)		(29,440,520	)
Net increase (decrease)		(314,698	)	$	(3,057,729	)		(736,386	)	$	(7,238,800	)		(262,620	)	$	(2,875,411	)
MM RetireSMART Conservative Fund Class R4*
Sold		208,381		$	1,960,779			154,332		$	1,475,615			9,833		$	100,104
Issued as reinvestment of dividends		9,776			88,966			927			8,770			701			6,902
Redeemed		(42,968	)		(388,761	)		(5,918	)		(56,434	)		-	++		(4	)
Net increase (decrease)		175,189		$	1,660,984			149,341		$	1,427,951			10,534		$	107,002
MM RetireSMART Conservative Fund Class R3*
Sold		283,725		$	2,573,591			150,187		$	1,460,877			9,823		$	100,002
Issued as reinvestment of dividends		5,928			53,885			1,530			14,427			681			6,705
Redeemed		(34,227	)		(313,612	)		(22,717	)		(218,850	)		-	++		(2	)
Net increase (decrease)		255,426		$	2,313,864			129,000		$	1,256,454			10,504		$	106,705
MM RetireSMART Moderate Fund Class I*
Sold		112		$	1,177			945		$	9,076			72,031		$	786,271
Issued as reinvestment of dividends		1,987			17,783			1,734			16,165			7,096			70,128
Redeemed		(61,905	)		(551,316	)		(6,352	)		(63,643	)		(5,152	)		(55,060	)
Net increase (decrease)		(59,806	)	$	(532,356	)		(3,673	)	$	(38,402	)		73,975		$	801,339
MM RetireSMART Moderate Fund Class R5
Sold		2,220,219		$	20,228,274			178,421		$	1,770,581			918,085		$	9,870,276
Issued as reinvestment of dividends		126,180			1,129,310			68,049			633,533			271,406			2,720,164
Redeemed		(842,848	)		(7,535,101	)		(384,094	)		(3,776,549	)		(373,629	)		(4,029,335	)
Net increase (decrease)		1,503,551		$	13,822,483			(137,624	)	$	(1,372,435	)		815,862		$	8,561,105

69

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART Moderate Fund Service Class
Sold		103,845		$	935,121			601,278		$	5,782,450			2,480,903		$	26,849,361
Issued as reinvestment of dividends		67,511			606,919			113,406			1,056,939			579,596			5,840,479
Redeemed		(3,000,886	)		(27,366,171	)		(1,752,913	)		(17,403,351	)		(1,014,251	)		(10,905,599	)
Net increase (decrease)		(2,829,530	)	$	(25,824,131	)		(1,038,229	)	$	(10,563,962	)		2,046,248		$	21,784,241
MM RetireSMART Moderate Fund Administrative Class
Sold		639,358		$	5,693,811			2,049,736		$	20,407,393			1,785,050		$	19,297,390
Issued as reinvestment of dividends		459,847			4,129,429			424,445			3,960,072			1,606,447			16,191,906
Redeemed		(3,229,177	)		(29,025,325	)		(2,487,460	)		(24,321,698	)		(3,456,747	)		(37,066,628	)
Net increase (decrease)		(2,129,972	)	$	(19,202,085	)		(13,279	)	$	45,767			(65,250	)	$	(1,577,332	)
MM RetireSMART Moderate Fund Class A
Sold		742,015		$	6,665,083			1,414,820		$	13,979,756			2,335,154		$	25,076,427
Issued as reinvestment of dividends		533,516			4,801,648			545,238			5,087,070			2,248,364			22,701,240
Redeemed		(2,243,461	)		(20,230,056	)		(4,213,645	)		(41,542,668	)		(4,560,724	)		(48,988,878	)
Net increase (decrease)		(967,930	)	$	(8,763,325	)		(2,253,587	)	$	(22,475,842	)		22,794		$	(1,211,211	)
MM RetireSMART Moderate Fund Class R4*
Sold		209,567		$	1,858,920			185,256		$	1,825,943			9,278		$	100,101
Issued as reinvestment of dividends		7,670			68,728			4,110			38,302			1,149			11,590
Redeemed		(39,806	)		(354,147	)		(14,433	)		(145,561	)		-			-
Net increase (decrease)		177,431		$	1,573,501			174,933		$	1,718,684			10,427		$	111,691
MM RetireSMART Moderate Fund Class R3*
Sold		204,101		$	1,878,207			583,508		$	5,598,730			9,288		$	100,200
Issued as reinvestment of dividends		22,235			199,003			8,375			77,976			1,130			11,389
Redeemed		(75,424	)		(681,216	)		(38,935	)		(376,620	)		-			-
Net increase (decrease)		150,912		$	1,395,994			552,948		$	5,300,086			10,418		$	111,589
MM RetireSMART Moderate Growth Fund Class I*
Sold		141		$	1,439			404		$	4,088			28,935		$	333,845
Issued as reinvestment of dividends		918			8,247			892			8,349			4,007			40,888
Redeemed		(23,781	)		(209,800	)		(42	)		(432	)		(1,244	)		(14,198	)
Net increase (decrease)		(22,722	)	$	(200,114	)		1,254		$	12,005			31,698		$	360,535
MM RetireSMART Moderate Growth Fund Class R5
Sold		1,561,465		$	14,248,520			128,053		$	1,292,385			622,895		$	7,068,893
Issued as reinvestment of dividends		75,455			677,586			38,895			364,060			140,965			1,461,070
Redeemed		(631,753	)		(5,618,843	)		(199,929	)		(2,025,116	)		(181,477	)		(2,072,839	)
Net increase (decrease)		1,005,167		$	9,307,263			(32,981	)	$	(368,671	)		582,383		$	6,457,124
MM RetireSMART Moderate Growth Fund Service Class
Sold		92,929		$	826,393			480,227		$	4,651,136			1,260,511		$	14,743,606
Issued as reinvestment of dividends		69,740			626,965			104,072			973,066			417,801			4,342,507
Redeemed		(1,667,527	)		(15,206,998	)		(643,720	)		(6,531,424	)		(403,107	)		(4,561,767	)
Net increase (decrease)		(1,504,858	)	$	(13,753,640	)		(59,421	)	$	(907,222	)		1,275,205		$	14,524,346

70

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART Moderate Growth Fund Administrative Class
Sold		547,597		$	4,909,676			1,963,821		$	19,924,085			2,231,233		$	25,482,726
Issued as reinvestment of dividends		521,471			4,693,235			566,584			5,303,227			1,949,335			20,269,293
Redeemed		(2,720,111	)		(24,198,223	)		(2,013,105	)		(20,061,670	)		(2,262,041	)		(25,753,722	)
Net increase (decrease)		(1,651,043	)	$	(14,595,312	)		517,300		$	5,165,642			1,918,527		$	19,998,297
MM RetireSMART Moderate Growth Fund Class A
Sold		956,220		$	8,552,567			912,847		$	9,273,963			1,166,541		$	13,324,823
Issued as reinvestment of dividends		455,766			4,111,011			556,880			5,217,965			2,274,337			23,753,669
Redeemed		(1,876,190	)		(17,064,796	)		(3,401,915	)		(34,304,597	)		(4,003,034	)		(45,110,526	)
Net increase (decrease)		(464,204	)	$	(4,401,218	)		(1,932,188	)	$	(19,812,669	)		(562,156	)	$	(8,032,034	)
MM RetireSMART Moderate Growth Fund Class R4*
Sold		146,288		$	1,312,183			153,169		$	1,553,391			8,728		$	100,105
Issued as reinvestment of dividends		8,807			78,998			5,273			49,297			1,447			15,051
Redeemed		(46,130	)		(412,505	)		(5,538	)		(57,141	)		(1	)		(4	)
Net increase (decrease)		108,965		$	978,676			152,904		$	1,545,547			10,174		$	115,152
MM RetireSMART Moderate Growth Fund Class R3*
Sold		259,272		$	2,332,897			400,762		$	4,033,027			8,728		$	100,100
Issued as reinvestment of dividends		19,022			170,442			13,351			124,694			1,427			14,848
Redeemed		(56,689	)		(517,202	)		(9,901	)		(93,017	)		-			-
Net increase (decrease)		221,605		$	1,986,137			404,212		$	4,064,704			10,155		$	114,948
MM RetireSMART Growth Fund Class I*
Sold		2,487		$	24,909			18,261		$	184,577			26,443		$	326,092
Issued as reinvestment of dividends		1,671			15,895			692			6,884			3,463			38,125
Redeemed		(35,972	)		(333,449	)		(6,225	)		(68,291	)		(1,306	)		(15,836	)
Net increase (decrease)		(31,814	)	$	(292,645	)		12,728		$	123,170			28,600		$	348,381
MM RetireSMART Growth Fund Class R5
Sold		537,048		$	5,113,271			80,578		$	885,472			199,372		$	2,422,317
Issued as reinvestment of dividends		27,152			258,484			17,355			172,854			73,576			826,049
Redeemed		(227,726	)		(2,140,268	)		(240,785	)		(2,641,182	)		(104,128	)		(1,261,888	)
Net increase (decrease)		336,474		$	3,231,487			(142,852	)	$	(1,582,856	)		168,820		$	1,986,478
MM RetireSMART Growth Fund Service Class
Sold		16,406		$	159,758			90,908		$	983,533			303,598		$	3,757,132
Issued as reinvestment of dividends		11,524			109,820			23,868			237,486			75,870			850,044
Redeemed		(391,640	)		(3,760,701	)		(207,175	)		(2,230,869	)		(123,273	)		(1,505,091	)
Net increase (decrease)		(363,710	)	$	(3,491,123	)		(92,399	)	$	(1,009,850	)		256,195		$	3,102,085
MM RetireSMART Growth Fund Administrative Class
Sold		336,551		$	3,218,743			936,432		$	10,241,008			1,039,641		$	12,704,374
Issued as reinvestment of dividends		173,045			1,649,113			201,236			2,002,303			521,391			5,848,818
Redeemed		(1,120,930	)		(10,690,246	)		(766,257	)		(8,157,581	)		(759,278	)		(9,204,038	)
Net increase (decrease)		(611,334	)	$	(5,822,390	)		371,411		$	4,085,730			801,754		$	9,349,154

71

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART Growth Fund Class A
Sold		521,909		$	4,925,311			695,322		$	7,568,409			1,169,791		$	14,051,356
Issued as reinvestment of dividends		221,225			2,106,064			249,748			2,477,496			775,099			8,687,712
Redeemed		(663,201	)		(6,391,369	)		(1,303,807	)		(14,271,384	)		(1,412,795	)		(16,914,860	)
Net increase (decrease)		79,933		$	640,006			(358,737	)	$	(4,225,479	)		532,095		$	5,824,208
MM RetireSMART Growth Fund Class R4*
Sold		107,701		$	1,067,408			211,384		$	2,335,558			8,178		$	100,106
Issued as reinvestment of dividends		13,870			131,355			10,244			101,521			1,313			14,695
Redeemed		(120,452	)		(1,106,173	)		(6,214	)		(61,095	)		-	++		(4	)
Net increase (decrease)		1,119		$	92,590			215,414		$	2,375,984			9,491		$	114,797
MM RetireSMART Growth Fund Class R3*
Sold		190,195		$	1,696,948			149,330		$	1,592,248			8,188		$	100,202
Issued as reinvestment of dividends		8,471			80,136			6,149			60,879			1,295			14,493
Redeemed		(51,295	)		(451,955	)		(4,911	)		(52,486	)		-	++		(2	)
Net increase (decrease)		147,371		$	1,325,129			150,568		$	1,600,641			9,483		$	114,693
MM RetireSMART In Retirement Fund Class I*
Sold		4,031		$	42,497			234,860		$	2,631,701			471,270		$	5,331,349
Issued as reinvestment of dividends		-			-			1,718			18,091			10,583			117,788
Redeemed		(6,269	)		(66,121	)		(597,548	)		(6,642,489	)		(63,423	)		(697,975	)
Net increase (decrease)		(2,238	)	$	(23,624	)		(360,970	)	$	(3,992,697	)		418,430		$	4,751,162
MM RetireSMART In Retirement Fund Class R5*
Sold		269,170		$	2,802,053			39,350		$	438,721			96,542		$	1,062,851
Issued as reinvestment of dividends		-			-			1,902			20,063			231			2,570
Redeemed		(7,106	)		(73,827	)		(55,254	)		(618,995	)		(10,122	)		(111,883	)
Net increase (decrease)		262,064		$	2,728,226			(14,002	)	$	(160,211	)		86,651		$	953,538
MM RetireSMART In Retirement Fund Service Class
Sold		198,974		$	2,102,995			489,252		$	5,404,862			1,198,977		$	13,371,616
Issued as reinvestment of dividends		-			-			47,460			501,647			44,617			497,033
Redeemed		(707,710	)		(7,411,411	)		(630,768	)		(7,046,535	)		(1,672,038	)		(18,829,429	)
Net increase (decrease)		(508,736	)	$	(5,308,416	)		(94,056	)	$	(1,140,026	)		(428,444	)	$	(4,960,780	)
MM RetireSMART In Retirement Fund Administrative Class**
Sold		145,666		$	1,521,360			236,758		$	2,633,996			820,253		$	9,145,815
Issued — merger		-			-			-			-			1,674,318			18,400,755
Issued as reinvestment of dividends		-			-			72,388			765,142			75,879			845,297
Redeemed		(356,419	)		(3,759,747	)		(455,868	)		(5,065,804	)		(1,100,437	)		(12,278,755	)
Net increase (decrease)		(210,753	)	$	(2,238,387	)		(146,722	)	$	(1,666,666	)		1,470,013		$	16,113,112

72

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART In Retirement Fund Class L**
Sold														71,884		$	781,884
Issued as reinvestment of dividends														-			-
Redeemed														(215,489	)		(2,363,164	)
Redemptions-merger														(1,675,201	)		(18,400,755	)
Net increase (decrease)														(1,818,806	)	$	(19,982,035	)
MM RetireSMART In Retirement Fund Class A
Sold		191,683		$	1,977,431			335,693		$	3,698,050			330,578		$	3,636,848
Issued as reinvestment of dividends		-			-			43,561			458,259			37,747			418,614
Redeemed		(155,843	)		(1,627,917	)		(321,271	)		(3,543,695	)		(392,887	)		(4,313,073	)
Net increase (decrease)		35,840		$	349,514			57,983		$	612,614			(24,562	)	$	(257,611	)
MM RetireSMART In Retirement Fund Class R4*
Sold		572,352		$	5,978,037			379,054		$	4,174,334			203,464		$	2,262,293
Issued as reinvestment of dividends		-			-			10,220			106,699			3,402			37,529
Redeemed		(421,584	)		(4,392,057	)		(130,465	)		(1,437,033	)		(46,066	)		(503,993	)
Net increase (decrease)		150,768		$	1,585,980			258,809		$	2,844,000			160,800		$	1,795,829
MM RetireSMART In Retirement Fund Class R3
Sold		609,181		$	6,290,513			399,190		$	4,255,798			750,328		$	8,271,678
Issued as reinvestment of dividends		-			-			16,123			167,521			6,563			72,198
Redeemed		(317,477	)		(3,269,131	)		(74,314	)		(800,890	)		(297,685	)		(3,267,657	)
Net increase (decrease)		291,704		$	3,021,382			340,999		$	3,622,429			459,206		$	5,076,219
MM RetireSMART 2010 Fund Class I*
Sold		2,192		$	24,065			120,065		$	1,438,019			984,318		$	11,912,199
Issued as reinvestment of dividends		-			-			2,041			22,681			27,013			320,644
Redeemed		(9,052	)		(101,924	)		(1,032,712	)		(12,270,453	)		(45,249	)		(532,185	)
Net increase (decrease)		(6,860	)	$	(77,859	)		(910,606	)	$	(10,809,753	)		966,082		$	11,700,658
															��
MM RetireSMART 2010 Fund Class R5*
Sold		130,830		$	1,442,918			65,405		$	780,414			196,048		$	2,315,218
Issued as reinvestment of dividends		-			-			4,753			53,238			256			3,036
Redeemed		(50,375	)		(566,196	)		(35,961	)		(423,022	)		(63,933	)		(752,496	)
Net increase (decrease)		80,455		$	876,722			34,197		$	410,630			132,371		$	1,565,758
MM RetireSMART 2010 Fund Service Class
Sold		376,181		$	4,232,426			913,123		$	10,788,781			1,133,566		$	13,504,306
Issued as reinvestment of dividends		-			-			71,493			802,865			76,851			913,758
Redeemed		(669,404	)		(7,446,638	)		(1,081,985	)		(12,914,208	)		(3,930,146	)		(47,382,818	)
Net increase (decrease)		(293,223	)	$	(3,214,212	)		(97,369	)	$	(1,322,562	)		(2,719,729	)	$	(32,964,754	)

73

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2010 Fund Administrative Class**
Sold		185,545		$	2,082,823			131,120		$	1,552,609			1,267,479		$	15,070,147
Issued — merger		-			-			-			-			693,198			8,124,286
Issued as reinvestment of dividends		-			-			47,140			528,443			51,856			616,051
Redeemed		(338,825	)		(3,763,580	)		(548,383	)		(6,525,549	)		(902,623	)		(10,821,421	)
Net increase (decrease)		(153,280	)	$	(1,680,757	)		(370,123	)	$	(4,444,497	)		1,109,910		$	12,989,063
MM RetireSMART 2010 Fund Class L**
Sold														42,085		$	484,737
Issued as reinvestment of dividends														-			-
Redeemed														(242,600	)		(2,848,017	)
Redemptions-merger														(695,084	)		(8,124,286	)
Net increase (decrease)														(895,599	)	$	(10,487,566	)
MM RetireSMART 2010 Fund Class A
Sold		153,322		$	1,673,000			938,774		$	10,968,928			656,545		$	7,640,087
Issued as reinvestment of dividends		-			-			58,244			648,843			49,768			587,758
Redeemed		(330,555	)		(3,615,676	)		(657,302	)		(7,675,882	)		(787,384	)		(9,219,491	)
Net increase (decrease)		(177,233	)	$	(1,942,676	)		339,716		$	3,941,889			(81,071	)	$	(991,646	)
MM RetireSMART 2010 Fund Class R4*
Sold		555,243		$	6,159,656			98,121		$	1,118,929			176,158		$	2,103,886
Issued as reinvestment of dividends		-			-			5,860			64,810			5,061			59,476
Redeemed		(270,785	)		(2,993,771	)		(21,234	)		(245,807	)		(15,240	)		(178,870	)
Net increase (decrease)		284,458		$	3,165,885			82,747		$	937,932			165,979		$	1,984,492
MM RetireSMART 2010 Fund Class R3
Sold		323,122		$	3,515,462			560,075		$	6,531,866			823,840		$	9,674,436
Issued as reinvestment of dividends		-			-			23,423			256,710			17,913			208,865
Redeemed		(167,681	)		(1,794,743	)		(446,822	)		(5,180,180	)		(235,529	)		(2,731,399	)
Net increase (decrease)		155,441		$	1,720,719			136,676		$	1,608,396			606,224		$	7,151,902
MM RetireSMART 2015 Fund Class I*
Sold		17,687		$	193,284			470,066		$	5,546,598			555,197		$	6,688,553
Issued as reinvestment of dividends		9,754			104,948			5,773			64,252			25,237			294,176
Redeemed		(33,241	)		(366,465	)		(653,323	)		(7,636,499	)		(48,690	)		(580,562	)
Net increase (decrease)		(5,800	)	$	(68,233	)		(177,484	)	$	(2,025,649	)		531,744		$	6,402,167
MM RetireSMART 2015 Fund Class R5*
Sold		7,549		$	80,812			85,513		$	1,001,768			125,450		$	1,499,716
Issued as reinvestment of dividends		3,600			38,738			2,205			24,521			4,383			50,716
Redeemed		(27,742	)		(303,177	)		(45,337	)		(527,404	)		(27,284	)		(315,173	)
Net increase (decrease)		(16,593	)	$	(183,627	)		42,381		$	498,885			102,549		$	1,235,259
MM RetireSMART 2015 Fund Service Class
Sold		382,603		$	4,252,899			427,645		$	4,991,932			505,670		$	6,059,319
Issued as reinvestment of dividends		28,879			311,318			14,341			159,611			35,478			415,203
Redeemed		(266,843	)		(2,879,891	)		(281,300	)		(3,294,147	)		(724,564	)		(8,717,313	)
Net increase (decrease)		144,639		$	1,684,326			160,686		$	1,857,396			(183,416	)	$	(2,242,791	)

74

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2015 Fund Administrative Class**
Sold		564,508		$	6,190,478			251,844		$	2,812,508			828,050		$	9,992,648
Issued — merger		-			-			-			-			325,521			3,805,341
Issued as reinvestment of dividends		32,424			348,230			12,697			140,813			45,764			533,655
Redeemed		(319,814	)		(3,458,452	)		(270,478	)		(3,158,153	)		(256,988	)		(3,085,554	)
Net increase (decrease)		277,118		$	3,080,256			(5,937	)	$	(204,832	)		942,347		$	11,246,090
MM RetireSMART 2015 Fund Class L**
Sold														30,758		$	357,694
Issued as reinvestment of dividends														-			-
Redeemed														(7,396	)		(86,699	)
Redemptions-merger														(326,267	)		(3,805,341	)
Net increase (decrease)														(302,905	)	$	(3,534,346	)
MM RetireSMART 2015 Fund Class A
Sold		136,366		$	1,436,573			1,566,546		$	17,950,840			496,455		$	5,813,922
Issued as reinvestment of dividends		35,010			373,915			31,143			342,266			39,850			461,666
Redeemed		(399,512	)		(4,260,695	)		(744,206	)		(8,502,203	)		(158,941	)		(1,883,988	)
Net increase (decrease)		(228,136	)	$	(2,450,207	)		853,483		$	9,790,903			377,364		$	4,391,600
MM RetireSMART 2015 Fund Class R4*
Sold		1,367,283		$	15,050,021			706,524		$	8,040,315			1,031,610		$	12,333,565
Issued as reinvestment of dividends		57,749			614,445			20,644			226,876			45,236			523,439
Redeemed		(658,500	)		(7,081,893	)		(393,988	)		(4,509,426	)		(93,062	)		(1,111,406	)
Net increase (decrease)		766,532		$	8,582,573			333,180		$	3,757,765			983,784		$	11,745,598
MM RetireSMART 2015 Fund Class R3*
Sold		1,373,686		$	14,762,980			1,326,833		$	15,292,419			1,156,365		$	13,734,336
Issued as reinvestment of dividends		62,981			669,484			30,971			339,749			43,053			497,926
Redeemed		(371,479	)		(3,928,821	)		(413,826	)		(4,768,737	)		(174,323	)		(2,075,552	)
Net increase (decrease)		1,065,188		$	11,503,643			943,978		$	10,863,431			1,025,095		$	12,156,710
MM RetireSMART 2020 Fund Class I*
Sold		34,870		$	398,291			1,229,719		$	15,554,850			3,981,550		$	50,168,191
Issued as reinvestment of dividends		28,439			321,072			20,327			238,640			73,742			923,254
Redeemed		(45,471	)		(515,466	)		(4,265,744	)		(53,350,236	)		(291,406	)		(3,631,326	)
Net increase (decrease)		17,838		$	203,897			(3,015,698	)	$	(37,556,746	)		3,763,886		$	47,460,119
MM RetireSMART 2020 Fund Class R5*
Sold		1,121,325		$	12,457,767			376,669		$	4,726,542			395,370		$	4,903,153
Issued as reinvestment of dividends		25,317			285,578			18,769			220,162			202			2,533
Redeemed		(100,837	)		(1,127,703	)		(76,495	)		(953,472	)		(18,678	)		(230,546	)
Net increase (decrease)		1,045,805		$	11,615,642			318,943		$	3,993,232			376,894		$	4,675,140
MM RetireSMART 2020 Fund Service Class
Sold		2,116,770		$	24,203,150			2,760,420		$	34,476,712			5,847,266		$	73,016,945
Issued as reinvestment of dividends		517,599			5,859,222			371,207			4,361,683			336,572			4,217,250
Redeemed		(3,659,504	)		(41,158,068	)		(3,789,775	)		(47,691,543	)		(9,906,530	)		(125,224,672	)
Net increase (decrease)		(1,025,135	)	$	(11,095,696	)		(658,148	)	$	(8,853,148	)		(3,722,692	)	$	(47,990,477	)

75

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2020 Fund Administrative Class**
Sold		1,220,056		$	13,929,550			1,403,001		$	17,447,917			4,192,203		$	52,043,174
Issued — merger		-			-			-			-			7,060,577			85,997,834
Issued as reinvestment of dividends		395,102			4,464,652			288,457			3,383,595			255,608			3,197,654
Redeemed		(1,645,640	)		(18,620,953	)		(1,794,471	)		(22,244,442	)		(3,446,104	)		(43,187,428	)
Net increase (decrease)		(30,482	)	$	(226,751	)		(103,013	)	$	(1,412,930	)		8,062,284		$	98,051,234
MM RetireSMART 2020 Fund Class L**
Sold														294,436		$	3,578,099
Issued as reinvestment of dividends														-			-
Redeemed														(576,688	)		(7,064,234	)
Redemptions-merger														(7,062,534	)		(85,997,834	)
Net increase (decrease)														(7,344,786	)	$	(89,483,969	)
MM RetireSMART 2020 Fund Class A
Sold		657,784		$	7,271,826			2,572,369		$	31,543,056			1,848,898		$	22,546,263
Issued as reinvestment of dividends		260,606			2,929,212			193,744			2,257,123			157,924			1,961,413
Redeemed		(1,178,346	)		(13,104,148	)		(1,553,190	)		(19,011,643	)		(2,487,819	)		(30,435,588	)
Net increase (decrease)		(259,956	)	$	(2,903,110	)		1,212,923		$	14,788,536			(480,997	)	$	(5,927,912	)
MM RetireSMART 2020 Fund Class R4*
Sold		2,737,780		$	31,405,890			1,430,477		$	17,629,953			1,514,712		$	18,810,236
Issued as reinvestment of dividends		149,436			1,660,239			65,503			756,557			28,571			353,136
Redeemed		(941,582	)		(10,447,432	)		(442,968	)		(5,431,129	)		(95,111	)		(1,158,738	)
Net increase (decrease)		1,945,634		$	22,618,697			1,053,012		$	12,955,381			1,448,172		$	18,004,634
MM RetireSMART 2020 Fund Class R3
Sold		2,640,609		$	29,388,396			2,462,985		$	29,801,714			4,215,823		$	51,477,606
Issued as reinvestment of dividends		214,597			2,354,133			136,481			1,553,156			84,044			1,024,492
Redeemed		(803,883	)		(8,903,897	)		(1,225,151	)		(14,771,910	)		(435,489	)		(5,243,860	)
Net increase (decrease)		2,051,323		$	22,838,632			1,374,315		$	16,582,960			3,864,378		$	47,258,238
MM RetireSMART 2025 Fund Class I*
Sold		43,555		$	492,864			1,126,325		$	14,095,303			1,174,937		$	15,025,196
Issued as reinvestment of dividends		17,845			202,186			11,459			133,615			57,185			707,614
Redeemed		(21,039	)		(234,690	)		(1,673,449	)		(20,834,206	)		(61,903	)		(782,188	)
Net increase (decrease)		40,361		$	460,360			(535,665	)	$	(6,605,288	)		1,170,219		$	14,950,622
MM RetireSMART 2025 Fund Class R5*
Sold		16,026		$	180,236			87,892		$	1,097,727			370,632		$	4,749,576
Issued as reinvestment of dividends		9,667			109,428			6,680			77,760			15,383			188,650
Redeemed		(85,903	)		(974,092	)		(86,083	)		(1,059,795	)		(27,805	)		(345,438	)
Net increase (decrease)		(60,210	)	$	(684,428	)		8,489		$	115,692			358,210		$	4,592,788
MM RetireSMART 2025 Fund Service Class
Sold		949,464		$	10,676,904			1,226,119		$	15,138,621			1,456,698		$	18,575,778
Issued as reinvestment of dividends		50,138			568,565			32,824			382,732			37,998			470,031
Redeemed		(584,992	)		(6,628,035	)		(313,539	)		(3,900,309	)		(1,607,037	)		(20,416,000	)
Net increase (decrease)		414,610		$	4,617,434			945,404		$	11,621,044			(112,341	)	$	(1,370,191	)

76

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2025 Fund Administrative Class**
Sold		690,039		$	7,620,854			568,333		$	6,894,887			1,660,843		$	21,189,430
Issued — merger		-			-			-			-			694,885			8,581,825
Issued as reinvestment of dividends		70,258			795,318			46,320			538,705			101,695			1,258,814
Redeemed		(523,601	)		(5,732,953	)		(146,141	)		(1,812,740	)		(349,840	)		(4,410,352	)
Net increase (decrease)		236,696		$	2,683,219			468,512		$	5,620,852			2,107,583		$	26,619,717
MM RetireSMART 2025 Fund Class L**
Sold														110,292		$	1,334,271
Issued as reinvestment of dividends														-			-
Redeemed														(2,443	)		(29,752	)
Redemptions-merger														(696,463	)		(8,581,825	)
Net increase (decrease)														(588,614	)	$	(7,277,306	)
MM RetireSMART 2025 Fund Class A
Sold		644,676		$	6,988,464			2,264,366		$	27,471,110			973,194		$	12,078,753
Issued as reinvestment of dividends		62,401			701,382			57,932			667,376			62,670			768,954
Redeemed		(632,588	)		(6,970,631	)		(741,225	)		(9,030,908	)		(198,930	)		(2,467,312	)
Net increase (decrease)		74,489		$	719,215			1,581,073		$	19,107,578			836,934		$	10,380,395
MM RetireSMART 2025 Fund Class R4*
Sold		3,060,910		$	35,090,254			1,127,262		$	13,680,157			1,357,552		$	17,219,117
Issued as reinvestment of dividends		95,708			1,071,928			33,259			383,137			57,918			709,859
Redeemed		(1,080,724	)		(12,062,698	)		(621,777	)		(7,648,965	)		(49,595	)		(634,962	)
Net increase (decrease)		2,075,894		$	24,099,484			538,744		$	6,414,329			1,365,875		$	17,294,014
MM RetireSMART 2025 Fund Class R3*
Sold		2,525,365		$	28,265,566			2,596,975		$	31,764,268			1,777,283		$	22,513,617
Issued as reinvestment of dividends		110,055			1,231,519			68,179			783,374			70,626			865,260
Redeemed		(580,526	)		(6,533,608	)		(497,492	)		(6,086,025	)		(268,603	)		(3,408,270	)
Net increase (decrease)		2,054,894		$	22,963,477			2,167,662		$	26,461,617			1,579,306		$	19,970,607
MM RetireSMART 2030 Fund Class I*
Sold		35,717		$	400,929			1,055,855		$	13,559,976			4,370,280		$	57,233,373
Issued as reinvestment of dividends		26,072			292,273			17,379			204,551			180,564			2,306,343
Redeemed		(26,598	)		(298,548	)		(4,806,399	)		(61,226,439	)		(285,645	)		(3,679,605	)
Net increase (decrease)		35,191		$	394,654			(3,733,165	)	$	(47,461,912	)		4,265,199		$	55,860,111
MM RetireSMART 2030 Fund Class R5*
Sold		1,473,221		$	16,119,112			340,582		$	4,386,355			365,976		$	4,749,759
Issued as reinvestment of dividends		29,405			329,044			22,566			264,925			10,120			127,579
Redeemed		(142,988	)		(1,614,401	)		(51,361	)		(653,534	)		(30,113	)		(386,089	)
Net increase (decrease)		1,359,638		$	14,833,755			311,787		$	3,997,746			345,983		$	4,491,249
MM RetireSMART 2030 Fund Service Class
Sold		2,033,393		$	23,325,938			3,477,291		$	44,190,338			6,795,051		$	87,735,356
Issued as reinvestment of dividends		704,985			7,902,884			523,198			6,152,806			629,640			8,058,384
Redeemed		(3,821,719	)		(42,594,294	)		(3,799,080	)		(49,028,278	)		(9,051,023	)		(118,726,123	)
Net increase (decrease)		(1,083,341	)	$	(11,365,472	)		201,409		$	1,314,866			(1,626,332	)	$	(22,932,383	)

77

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2030 Fund Administrative Class**
Sold		923,560		$	10,082,500			1,604,758		$	20,286,961			3,957,649		$	51,156,732
Issued — merger		-			-			-			-			5,823,603			73,493,866
Issued as reinvestment of dividends		491,551			5,510,285			382,462			4,490,101			433,771			5,545,649
Redeemed		(1,375,742	)		(15,305,284	)		(1,604,507	)		(20,370,033	)		(3,184,462	)		(41,537,418	)
Net increase (decrease)		39,369		$	287,501			382,713		$	4,407,029			7,030,561		$	88,658,829
MM RetireSMART 2030 Fund Class L**
Sold														250,553		$	3,170,966
Issued as reinvestment of dividends														-			-
Redeemed														(261,550	)		(3,319,128	)
Redemptions-merger														(5,814,810	)		(73,493,866	)
Net increase (decrease)														(5,825,807	)	$	(73,642,028	)
MM RetireSMART 2030 Fund Class A
Sold		789,471		$	8,550,782			2,210,586		$	27,670,869			1,554,151		$	19,761,588
Issued as reinvestment of dividends		308,997			3,445,320			262,300			3,058,421			251,882			3,213,071
Redeemed		(818,630	)		(9,143,498	)		(994,994	)		(12,333,127	)		(2,148,979	)		(27,310,200	)
Net increase (decrease)		279,838		$	2,852,604			1,477,892		$	18,396,163			(342,946	)	$	(4,335,541	)
MM RetireSMART 2030 Fund Class R4*
Sold		3,076,221		$	35,132,566			911,977		$	11,475,822			1,492,591		$	19,368,323
Issued as reinvestment of dividends		171,978			1,907,241			70,466			819,514			59,562			756,014
Redeemed		(721,109	)		(8,109,234	)		(427,317	)		(5,348,908	)		(95,911	)		(1,232,061	)
Net increase (decrease)		2,527,090		$	28,930,573			555,126		$	6,946,428			1,456,242		$	18,892,276
MM RetireSMART 2030 Fund Class R3
Sold		2,656,341		$	29,501,051			2,547,575		$	31,440,769			4,660,267		$	59,457,723
Issued as reinvestment of dividends		318,015			3,485,448			207,833			2,385,918			188,602			2,367,697
Redeemed		(774,200	)		(8,533,116	)		(1,293,330	)		(16,037,831	)		(454,165	)		(5,695,650	)
Net increase (decrease)		2,200,156		$	24,453,383			1,462,078		$	17,788,856			4,394,704		$	56,129,770
MM RetireSMART 2035 Fund Class I*
Sold		28,394		$	324,603			800,918		$	10,216,055			928,143		$	12,209,460
Issued as reinvestment of dividends		10,681			123,043			8,022			94,983			51,489			652,997
Redeemed		(14,960	)		(174,410	)		(1,345,687	)		(17,154,141	)		(53,570	)		(701,831	)
Net increase (decrease)		24,115		$	273,236			(536,747	)	$	(6,843,103	)		926,062		$	12,160,626
MM RetireSMART 2035 Fund Class R5*
Sold		13,636		$	154,721			96,637		$	1,238,968			236,048		$	3,101,524
Issued as reinvestment of dividends		7,635			87,880			6,364			75,232			10,472			131,390
Redeemed		(80,558	)		(924,281	)		(27,941	)		(349,188	)		(20,146	)		(262,598	)
Net increase (decrease)		(59,287	)	$	(681,680	)		75,060		$	965,012			226,374		$	2,970,316
MM RetireSMART 2035 Fund Service Class
Sold		555,454		$	6,440,203			704,166		$	8,919,096			800,799		$	10,518,456
Issued as reinvestment of dividends		34,101			396,598			24,489			292,394			29,250			373,998
Redeemed		(241,065	)		(2,806,972	)		(119,328	)		(1,519,680	)		(1,009,639	)		(13,363,340	)
Net increase (decrease)		348,490		$	4,029,829			609,327		$	7,691,810			(179,590	)	$	(2,470,886	)

78

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2035 Fund Administrative Class**
Sold		472,131		$	5,215,001			391,500		$	4,896,297			1,274,914		$	16,813,493
Issued — merger		-			-			-			-			414,049			5,295,683
Issued as reinvestment of dividends		42,365			491,852			35,053			417,126			78,251			999,285
Redeemed		(281,672	)		(3,227,213	)		(160,215	)		(2,042,704	)		(399,508	)		(5,291,768	)
Net increase (decrease)		232,824		$	2,479,640			266,338		$	3,270,719			1,367,706		$	17,816,693
MM RetireSMART 2035 Fund Class L**
Sold														39,625		$	502,861
Issued as reinvestment of dividends														-			-
Redeemed														(2,225	)		(28,502	)
Redemptions-merger														(414,727	)		(5,295,683	)
Net increase (decrease)														(377,327	)	$	(4,821,324	)
MM RetireSMART 2035 Fund Class A
Sold		384,522		$	4,285,316			1,674,859		$	20,949,208			550,187		$	7,068,807
Issued as reinvestment of dividends		48,673			561,205			52,067			614,400			49,169			623,403
Redeemed		(221,821	)		(2,503,307	)		(448,504	)		(5,534,812	)		(128,181	)		(1,662,199	)
Net increase (decrease)		211,374		$	2,343,214			1,278,422		$	16,028,796			471,175		$	6,030,011
MM RetireSMART 2035 Fund Class R4*
Sold		2,317,216		$	27,375,738			715,011		$	8,999,741			750,604		$	9,835,639
Issued as reinvestment of dividends		68,740			789,821			26,344			310,856			33,730			427,138
Redeemed		(676,930	)		(7,858,237	)		(212,751	)		(2,679,706	)		(85,986	)		(1,095,386	)
Net increase (decrease)		1,709,026		$	20,307,322			528,604		$	6,630,891			698,348		$	9,167,391
MM RetireSMART 2035 Fund Class R3*
Sold		1,498,518		$	17,062,040			1,809,088		$	22,875,013			1,395,865		$	18,264,021
Issued as reinvestment of dividends		73,264			841,068			56,833			668,358			66,192			837,986
Redeemed		(247,083	)		(2,776,643	)		(451,151	)		(5,711,908	)		(169,135	)		(2,195,184	)
Net increase (decrease)		1,324,699		$	15,126,465			1,414,770		$	17,831,463			1,292,922		$	16,906,823
MM RetireSMART 2040 Fund Class I*
Sold		18,630		$	204,638			682,714		$	8,713,187			3,569,356		$	47,314,057
Issued as reinvestment of dividends		12,366			135,656			8,523			98,697			232,701			2,943,159
Redeemed		(31,350	)		(354,072	)		(4,124,699	)		(52,170,302	)		(136,252	)		(1,764,523	)
Net increase (decrease)		(354	)	$	(13,778	)		(3,433,462	)	$	(43,358,418	)		3,665,805		$	48,492,693
MM RetireSMART 2040 Fund Class R5*
Sold		786,928		$	8,417,274			126,912		$	1,621,583			151,233		$	1,995,766
Issued as reinvestment of dividends		13,242			145,263			9,114			105,454			7,747			96,996
Redeemed		(60,761	)		(652,717	)		(37,157	)		(472,608	)		(16,075	)		(206,391	)
Net increase (decrease)		739,409		$	7,909,820			98,869		$	1,254,429			142,905		$	1,886,371
MM RetireSMART 2040 Fund Service Class
Sold		1,179,029		$	13,100,721			2,138,340		$	26,917,478			4,179,556		$	54,462,658
Issued as reinvestment of dividends		473,079			5,199,140			355,407			4,115,618			576,055			7,303,260
Redeemed		(2,570,586	)		(28,098,891	)		(2,729,581	)		(34,998,828	)		(6,330,373	)		(84,008,929	)
Net increase (decrease)		(918,478	)	$	(9,799,030	)		(235,834	)	$	(3,965,732	)		(1,574,762	)	$	(22,243,011	)

79

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2040 Fund Administrative Class**
Sold		786,981		$	8,403,014			1,346,773		$	16,752,348			2,175,004		$	28,469,137
Issued — merger		-			-			-			-			3,924,472			50,037,014
Issued as reinvestment of dividends		404,988			4,438,673			296,701			3,426,895			429,456			5,432,086
Redeemed		(1,050,388	)		(11,298,366	)		(917,597	)		(11,500,690	)		(1,778,187	)		(23,446,478	)
Net increase (decrease)		141,581		$	1,543,321			725,877		$	8,678,553			4,750,745		$	60,491,759
MM RetireSMART 2040 Fund Class L**
Sold														166,098		$	2,120,369
Issued as reinvestment of dividends														-			-
Redeemed														(119,565	)		(1,528,188	)
Redemptions-merger														(3,915,733	)		(50,037,014	)
Net increase (decrease)														(3,869,200	)	$	(49,444,833	)
MM RetireSMART 2040 Fund Class A
Sold		575,703		$	6,233,153			1,458,956		$	18,064,608			1,021,327		$	13,116,004
Issued as reinvestment of dividends		220,219			2,400,382			180,545			2,070,850			220,613			2,783,236
Redeemed		(497,399	)		(5,502,268	)		(732,592	)		(9,002,163	)		(1,475,825	)		(19,027,602	)
Net increase (decrease)		298,523		$	3,131,267			906,909		$	11,133,295			(233,885	)	$	(3,128,362	)
MM RetireSMART 2040 Fund Class R4*
Sold		1,692,815		$	18,967,486			595,428		$	7,410,573			994,719		$	13,025,828
Issued as reinvestment of dividends		133,944			1,450,609			57,679			659,266			61,500			771,616
Redeemed		(517,268	)		(5,684,783	)		(153,881	)		(1,900,907	)		(80,459	)		(1,043,751	)
Net increase (decrease)		1,309,491		$	14,733,312			499,226		$	6,168,932			975,760		$	12,753,693
MM RetireSMART 2040 Fund Class R3
Sold		1,477,645		$	15,887,295			1,231,587		$	15,100,044			1,634,107		$	21,089,577
Issued as reinvestment of dividends		156,631			1,675,957			94,800			1,069,339			104,833			1,297,871
Redeemed		(251,266	)		(2,741,897	)		(665,193	)		(8,255,632	)		(248,174	)		(3,171,940	)
Net increase (decrease)		1,383,010		$	14,821,355			661,194		$	7,913,751			1,490,766		$	19,215,508
MM RetireSMART 2045 Fund Class I*
Sold		12,979		$	149,007			387,532		$	5,005,012			550,476		$	7,289,859
Issued as reinvestment of dividends		3,332			38,654			2,543			30,267			29,732			380,462
Redeemed		(8,514	)		(99,153	)		(797,424	)		(10,274,288	)		(51,569	)		(679,477	)
Net increase (decrease)		7,797		$	88,508			(407,349	)	$	(5,239,009	)		528,639		$	6,990,844
MM RetireSMART 2045 Fund Class R5*
Sold		9,237		$	106,229			41,467		$	533,814			133,041		$	1,766,770
Issued as reinvestment of dividends		3,626			42,063			3,295			39,178			6,197			78,524
Redeemed		(20,686	)		(237,995	)		(36,025	)		(456,512	)		(5,854	)		(77,030	)
Net increase (decrease)		(7,823	)	$	(89,703	)		8,737		$	116,480			133,384		$	1,768,264
MM RetireSMART 2045 Fund Service Class
Sold		227,288		$	2,630,172			350,851		$	4,456,782			610,678		$	8,019,079
Issued as reinvestment of dividends		18,065			209,737			15,038			178,796			22,744			291,030
Redeemed		(167,347	)		(1,941,436	)		(72,516	)		(916,963	)		(636,630	)		(8,435,324	)
Net increase (decrease)		78,006		$	898,473			293,373		$	3,718,615			(3,208	)	$	(125,215	)

80

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2045 Fund Administrative Class**
Sold		322,998		$	3,507,982			349,174		$	4,393,363			388,098		$	5,112,717
Issued — merger		-			-			-			-			145,213			1,854,376
Issued as reinvestment of dividends		19,583			226,962			17,794			211,038			26,860			343,346
Redeemed		(159,368	)		(1,844,168	)		(65,011	)		(814,554	)		(82,585	)		(1,089,954	)
Net increase (decrease)		183,213		$	1,890,776			301,957		$	3,789,847			477,586		$	6,220,485
MM RetireSMART 2045 Fund Class L**
Sold														36,108		$	461,415
Issued as reinvestment of dividends														-			-
Redeemed														(3,631	)		(46,286	)
Redemptions-merger														(145,543	)		(1,854,376	)
Net increase (decrease)														(113,066	)	$	(1,439,247	)
MM RetireSMART 2045 Fund Class A
Sold		286,349		$	3,241,940			842,166		$	10,549,087			377,934		$	4,888,460
Issued as reinvestment of dividends		27,615			317,850			31,670			372,444			29,176			370,277
Redeemed		(163,990	)		(1,875,667	)		(209,512	)		(2,597,485	)		(110,602	)		(1,422,595	)
Net increase (decrease)		149,974		$	1,684,123			664,324		$	8,324,046			296,508		$	3,836,142
MM RetireSMART 2045 Fund Class R4*
Sold		1,046,143		$	12,192,269			496,537		$	6,257,088			435,857		$	5,680,020
Issued as reinvestment of dividends		36,449			417,710			19,715			231,649			17,643			223,384
Redeemed		(265,420	)		(3,073,148	)		(129,838	)		(1,629,656	)		(25,948	)		(337,313	)
Net increase (decrease)		817,172		$	9,536,831			386,414		$	4,859,081			427,552		$	5,566,091
MM RetireSMART 2045 Fund Class R3*
Sold		1,068,186		$	12,088,450			984,612		$	12,378,891			844,851		$	11,093,165
Issued as reinvestment of dividends		45,914			526,172			34,476			404,060			38,453			486,881
Redeemed		(80,127	)		(888,127	)		(264,306	)		(3,332,331	)		(108,654	)		(1,421,470	)
Net increase (decrease)		1,033,973		$	11,726,495			754,782		$	9,450,620			774,650		$	10,158,576
MM RetireSMART 2050 Fund Class I*
Sold		23,495		$	186,516			803,562		$	7,381,119			2,067,880		$	20,806,638
Issued as reinvestment of dividends		5,854			47,005			4,611			38,452			248,101			2,297,138
Redeemed		(10,816	)		(86,103	)		(2,898,880	)		(26,572,558	)		(86,209	)		(838,135	)
Net increase (decrease)		18,533		$	147,418			(2,090,707	)	$	(19,152,987	)		2,229,772		$	22,265,641
MM RetireSMART 2050 Fund Class R5*
Sold		859,634		$	6,712,506			51,192		$	458,123			90,115		$	892,199
Issued as reinvestment of dividends		4,944			39,698			3,667			30,544			8,326			75,599
Redeemed		(62,275	)		(482,887	)		(22,281	)		(201,625	)		(10,306	)		(97,243	)
Net increase (decrease)		802,303		$	6,269,317			32,578		$	287,042			88,135		$	870,555
MM RetireSMART 2050 Fund Service Class
Sold		829,702		$	6,685,620			1,765,583		$	16,080,646			2,592,437		$	25,865,486
Issued as reinvestment of dividends		191,638			1,540,769			184,869			1,541,806			479,786			4,455,312
Redeemed		(1,171,963	)		(9,279,280	)		(1,506,807	)		(13,961,691	)		(3,927,392	)		(39,876,177	)
Net increase (decrease)		(150,623	)	$	(1,052,891	)		443,645		$	3,660,761			(855,169	)	$	(9,555,379	)

81

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2050 Fund Administrative Class**
Sold		620,181		$	4,894,576			1,084,000		$	9,850,726			1,281,848		$	12,700,750
Issued — merger		-			-			-			-			921,585			8,985,455
Issued as reinvestment of dividends		133,151			1,070,536			133,793			1,114,496			294,038			2,726,623
Redeemed		(459,815	)		(3,617,411	)		(483,977	)		(4,373,750	)		(820,796	)		(8,311,591	)
Net increase (decrease)		293,517		$	2,347,701			733,816		$	6,591,472			1,676,675		$	16,101,237
MM RetireSMART 2050 Fund Class L**
Sold														68,629		$	664,609
Issued as reinvestment of dividends														-			-
Redeemed														(52,964	)		(506,909	)
Redemptions-merger														(924,850	)		(8,985,455	)
Net increase (decrease)														(909,185	)	$	(8,827,755	)
MM RetireSMART 2050 Fund Class A
Sold		474,011		$	3,738,765			1,003,651		$	9,046,127			708,408		$	6,934,601
Issued as reinvestment of dividends		76,016			607,364			82,126			679,185			158,258			1,467,709
Redeemed		(319,697	)		(2,522,459	)		(371,691	)		(3,349,408	)		(514,667	)		(4,989,377	)
Net increase (decrease)		230,330		$	1,823,670			714,086		$	6,375,904			351,999		$	3,412,933
MM RetireSMART 2050 Fund Class R4*
Sold		1,072,294		$	8,674,885			440,163		$	3,966,731			763,147		$	7,589,792
Issued as reinvestment of dividends		67,790			539,613			47,541			392,689			90,548			835,322
Redeemed		(202,325	)		(1,631,053	)		(96,249	)		(855,369	)		(52,769	)		(517,287	)
Net increase (decrease)		937,759		$	7,583,445			391,455		$	3,504,051			800,926		$	7,907,827
MM RetireSMART 2050 Fund Class R3
Sold		1,244,844		$	9,770,232			921,101		$	8,269,359			1,115,244		$	10,988,832
Issued as reinvestment of dividends		80,913			641,639			68,951			566,090			137,793			1,260,341
Redeemed		(219,267	)		(1,761,980	)		(536,381	)		(4,907,912	)		(178,157	)		(1,741,805	)
Net increase (decrease)		1,106,490		$	8,649,891			453,671		$	3,927,537			1,074,880		$	10,507,368
MM RetireSMART 2055 Fund Class I*
Sold		11,081		$	106,388			48,242		$	499,004			9,434		$	100,197
Issued as reinvestment of dividends		957			9,292			362			3,591			469			4,965
Redeemed		(5,937	)		(56,807	)		(9,916	)		(106,036	)		(9	)		(94	)
Net increase (decrease)		6,101		$	58,873			38,688		$	396,559			9,894		$	105,068
MM RetireSMART 2055 Fund Class R5*
Sold		9,098		$	86,514			14,328		$	148,887			25,068		$	270,158
Issued as reinvestment of dividends		691			6,710			412			4,091			962			10,156
Redeemed		(1,957	)		(19,140	)		(3,324	)		(34,878	)		(236	)		(2,548	)
Net increase (decrease)		7,832		$	74,084			11,416		$	118,100			25,794		$	277,766
MM RetireSMART 2055 Fund Service Class***
Sold		77,782		$	749,078			53,097		$	562,292			30,548		$	330,336
Issued as reinvestment of dividends		2,292			22,321			1,117			11,106			4,096			43,535
Redeemed		(13,093	)		(126,500	)		(6,828	)		(72,580	)		(3,797	)		(41,522	)
Net increase (decrease)		66,981		$	644,899			47,386		$	500,818			30,847		$	332,349

82

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016						Period Ended September 30, 2015+						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount
MM RetireSMART 2055 Fund Administrative Class**,***
Sold		61,376		$	589,222			72,276		$	755,863			56,952		$	616,160
Issued — merger		-			-			-			-			11,596			121,060
Issued as reinvestment of dividends		3,180			30,879			1,723			17,055			3,094			32,802
Redeemed		(31,256	)		(302,145	)		(14,796	)		(155,209	)		(7,444	)		(80,025	)
Net increase (decrease)		33,300		$	317,956			59,203		$	617,709			64,198		$	689,997
MM RetireSMART 2055 Fund Class L**,***
Sold														1,311		$	13,677
Issued as reinvestment of dividends														-			-
Redemptions-merger														(11,594	)		(121,060	)
Net increase (decrease)														(10,283	)	$	(107,383	)
MM RetireSMART 2055 Fund Class A***
Sold		68,547		$	646,625			328,983		$	3,499,507			59,164		$	635,109
Issued as reinvestment of dividends		6,421			62,282			5,072			50,110			2,183			23,055
Redeemed		(46,332	)		(448,724	)		(70,233	)		(744,181	)		(10,188	)		(107,729	)
Net increase (decrease)		28,636		$	260,183			263,822		$	2,805,436			51,159		$	550,435
MM RetireSMART 2055 Fund Class R4*
Sold		291,917		$	2,853,665			79,303		$	834,435			67,151		$	728,486
Issued as reinvestment of dividends		5,738			55,543			1,229			12,129			2,303			24,216
Redeemed		(56,879	)		(547,682	)		(56,308	)		(588,938	)		(85	)		(899	)
Net increase (decrease)		240,776		$	2,361,526			24,224		$	257,626			69,369		$	751,803
MM RetireSMART 2055 Fund Class R3*
Sold		462,281		$	4,405,862			352,608		$	3,687,429			142,804		$	1,546,877
Issued as reinvestment of dividends		11,498			111,076			5,498			54,151			4,564			48,206
Redeemed		(42,563	)		(401,072	)		(80,426	)		(846,066	)		(21,863	)		(233,652	)
Net increase (decrease)		431,216		$	4,115,866			277,680		$	2,895,514			125,505		$	1,361,431
MM RetireSMART 2060 Fund Class I****
Sold		940,000		$	9,400,000
Issued as reinvestment of dividends		14,607			140,081
Redeemed		-			-
Net increase (decrease)		954,607		$	9,540,081
MM RetireSMART 2060 Fund Class R5****
Sold		10,000		$	100,000
Issued as reinvestment of dividends		154			1,480
Redeemed		-			-
Net increase (decrease)		10,154		$	101,480
MM RetireSMART 2060 Fund Service Class****
Sold		10,000		$	100,000
Issued as reinvestment of dividends		153			1,469
Redeemed		-			-
Net increase (decrease)		10,153		$	101,469

83

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended March 31, 2016
	Shares		Amount
MM RetireSMART 2060 Fund Administrative Class****
Sold		10,000	$	100,000
Issued as reinvestment of dividends		152		1,459
Redeemed		-		-
Net increase (decrease)		10,152	$	101,459
MM RetireSMART 2060 Fund Class A****
Sold		10,000	$	100,000
Issued as reinvestment of dividends		149		1,433
Redeemed		-		-
Net increase (decrease)		10,149	$	101,433
MM RetireSMART 2060 Fund Class R4****
Sold		10,000	$	100,000
Issued as reinvestment of dividends		150		1,443
Redeemed		-		-
Net increase (decrease)		10,150	$	101,443
MM RetireSMART 2060 Fund Class R3****
Sold		10,000	$	100,000
Issued as reinvestment of dividends		148		1,417
Redeemed		-		-
Net increase (decrease)		10,148	$	101,417

* Class commenced operations on April 1, 2014.

** Class L shares merged into Administrative Class shares on March 14, 2014.

*** Fund commenced operations on September 17, 2013.

**** Fund commenced operations on November 23, 2015.

+ For the period January 1, 2015 through September 30, 2015.

++ Amount is less than 0.5 shares.

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 March 31, 2016, 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. Prior to April 1, 2014, redemptions or exchanges of Class R3 shares made within eighteen months of purchase were 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 March 31, 2016, were waived for any redemptions or exchanges subject to such a charge.

84

Notes to Financial Statements (Unaudited) (Continued)

6. Federal Income Tax Information

At March 31, 2016, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
MM RetireSMART Conservative Fund	$	199,525,926	$	222,071	$	(8,944,775	)	$	(8,722,704	)
MM RetireSMART Moderate Fund		340,467,758		556,709		(21,833,477	)		(21,276,768	)
MM RetireSMART Moderate Growth Fund		292,002,757		607,579		(24,018,715	)		(23,411,136	)
MM RetireSMART Growth Fund		106,791,185		216,695		(11,090,298	)		(10,873,603	)
MM RetireSMART In Retirement Fund		90,669,612		81,682		(4,195,741	)		(4,114,059	)
MM RetireSMART 2010 Fund		90,776,030		90,907		(4,741,187	)		(4,650,280	)
MM RetireSMART 2015 Fund		106,211,741		225,038		(4,801,182	)		(4,576,144	)
MM RetireSMART 2020 Fund		582,342,719		653,629		(42,540,014	)		(41,886,385	)
MM RetireSMART 2025 Fund		227,671,999		379,967		(14,472,551	)		(14,092,584	)
MM RetireSMART 2030 Fund		591,686,482		808,776		(52,323,725	)		(51,514,949	)
MM RetireSMART 2035 Fund		168,970,378		225,553		(12,638,015	)		(12,412,462	)
MM RetireSMART 2040 Fund		340,867,907		505,232		(30,957,843	)		(30,452,611	)
MM RetireSMART 2045 Fund		94,643,965		127,691		(7,059,405	)		(6,931,714	)
MM RetireSMART 2050 Fund		145,992,545		204,638		(13,498,581	)		(13,293,943	)
MM RetireSMART 2055 Fund		20,621,287		31,705		(1,320,590	)		(1,288,885	)
MM RetireSMART 2060 Fund		10,429,825		14,127		(835,893	)		(821,766	)

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At September 30, 2015, the following Fund(s) had available, for federal income tax purposes, unused capital losses:

	Expiring 2016		Expiring 2017		Expiring 2018
MM RetireSMART In Retirement Fund	$	-	$	15,312,688	$	-
MM RetireSMART 2010 Fund		-		15,571,571		865,289

Net capital loss carryforwards for the Fund(s) shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

85

Notes to Financial Statements (Unaudited) (Continued)

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the period ended September 30, 2015, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
MM RetireSMART Conservative Fund	$	-	$	2,938,212	$	-
MM RetireSMART Moderate Fund		79,031		10,799,741		-
MM RetireSMART Moderate Growth Fund		210,575		11,841,781		-
MM RetireSMART Growth Fund		124,804		4,948,810		-
MM RetireSMART In Retirement Fund		2,037,422		-		-
MM RetireSMART 2010 Fund		2,380,615		-		-
MM RetireSMART 2015 Fund		59,710		1,240,008		-
MM RetireSMART 2020 Fund		12,770,916		-		-
MM RetireSMART 2025 Fund		-		2,968,576		-
MM RetireSMART 2030 Fund		-		17,376,236		-
MM RetireSMART 2035 Fund		-		2,475,523		-
MM RetireSMART 2040 Fund		-		11,550,053		-
MM RetireSMART 2045 Fund		-		1,496,187		-
MM RetireSMART 2050 Fund		-		4,367,229		-
MM RetireSMART 2055 Fund		-		172,436		-

The Funds may elect to pass-through to shareholders the income tax credit for taxes paid to foreign countries. If elected, the passthrough of the foreign tax credit will affect only those persons who are shareholders on the dividend record date in December 2015. These shareholders will receive more detailed information along with their 2015 Form 1099-DIV.

Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2015, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, non-taxable dividend basis adjustments, and deferred Trustee compensation.

At September 30, 2015, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
MM RetireSMART Conservative Fund	$	-	$	485,222		$	(30,685	)	$	(12,119,050	)
MM RetireSMART Moderate Fund		-		3,849,169			(61,271	)		(26,122,756	)
MM RetireSMART Moderate Growth Fund		68,423		5,290,825			(47,479	)		(26,161,708	)
MM RetireSMART Growth Fund		-		2,777,784			(12,532	)		(11,822,191	)
MM RetireSMART In Retirement Fund		-		(15,312,688	)		(38,288	)		(6,539,633	)
MM RetireSMART 2010 Fund		-		(16,436,860	)		(36,768	)		(7,471,459	)
MM RetireSMART 2015 Fund		46,245		292,809			(4,009	)		(6,125,383	)
MM RetireSMART 2020 Fund		-		7,163,376			(129,579	)		(47,923,517	)
MM RetireSMART 2025 Fund		206,286		1,055,647			(6,524	)		(16,209,971	)
MM RetireSMART 2030 Fund		653,420		12,927,292			(107,704	)		(55,756,853	)
MM RetireSMART 2035 Fund		100,936		908,538			(4,908	)		(12,529,800	)
MM RetireSMART 2040 Fund		295,601		9,953,897			(65,780	)		(34,118,061	)
MM RetireSMART 2045 Fund		40,659		575,211			(2,692	)		(7,126,822	)
MM RetireSMART 2050 Fund		138,116		2,513,299			(12,712	)		(14,141,325	)
MM RetireSMART 2055 Fund		16,188		78,577			(331	)		(1,282,232	)

86

Notes to Financial Statements (Unaudited) (Continued)

The Funds did not have any unrecognized tax benefits at March 31, 2016, 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 March 31, 2016, 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 March 31, 2016, was as follows:

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART Conservative Fund
Babson Global Floating Rate Fund, Class Y*		286,687		134,966		40,150		381,503	$	3,441,153	$	81,399	$	-	$	(18,450	)
MassMutual Premier Core Bond Fund, Class I		5,705,711		573,777		1,494,613		4,784,875		52,107,293		1,885,080		847,135		(1,070,290	)
MassMutual Premier Disciplined Growth Fund, Class I		567,613		100,636		120,855		547,394		6,174,609		76,641		461,771		(106,743	)
MassMutual Premier Disciplined Value Fund, Class I		437,084		57,094		85,549		408,629		6,170,301		136,010		121,164		(21,603	)
MassMutual Premier High Yield Fund, Class I		312,950		224,801		101,594		436,157		3,663,722		169,585		-		(141,908	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		1,349,435		256,577		240,713		1,365,299		14,294,684		177,186		-		(376,799	)
MassMutual Premier International Equity Fund, Class I		224,977		28,881		49,408		204,450		2,392,061		28,361		90,818		(184,099	)
MassMutual Premier Money Market Fund, Class R5		6,986,795		448,631		5,057,708		2,377,718		2,377,718		230		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		1,978,846		576,967		304,109		2,251,704		23,034,927		512,956		-		(76,483	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		315,883		56,504		46,178		326,209		3,206,638		26,636		-		(62,577	)
MassMutual Select Blue Chip Growth Fund, Class I		69,770		27,372		14,506		82,636		1,267,633		7,339		206,363		(10,268	)
MassMutual Select Diversified International Fund, Class I		264,902		33,263		45,283		252,882		1,565,342		2,106		-		(59,501	)
MassMutual Select Diversified Value Fund, Class I		88,062		14,394		17,290		85,166		1,197,432		18,866		-		(421	)
MassMutual Select Focused Value Fund, Class I		178,516		61,768		36,124		204,160		3,478,890		66,881		543,701		(50,817	)
MassMutual Select Fundamental Growth Fund, Class I		147,453		33,251		36,360		144,344		1,111,451		11,611		124,597		(20,830	)
MassMutual Select Fundamental Value Fund, Class I		82,790		28,936		19,753		91,973		1,068,729		19,852		116,658		(20,991	)
MassMutual Select Growth Opportunities Fund, Class I		67,234		20,896		10,468		77,662		775,843		-		86,827		3,949
MassMutual Select Large Cap Value Fund, Class I		124,921		46,123		28,051		142,993		968,060		29,113		116,657		(77,989	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		84,072		12,262		25,714		70,620		1,271,867		-		122,982		(24,743	)
MassMutual Select Mid-Cap Value Fund, Class I		132,929		37,052		31,872		138,109		1,731,893		26,569		268,288		(30,707	)
MassMutual Select Overseas Fund, Class I		705,142		95,975		131,013		670,104		5,059,288		85,106		-		137,655
MassMutual Select Small Cap Growth Equity Fund, Class I		66,993		25,387		19,337		73,043		854,599		-		218,140		(106,543	)
MassMutual Select Small Cap Value Equity Fund, Class I		102,329		11,811		25,896		88,244		1,328,069		8,778		49,937		(29,480	)
MassMutual Select Small Company Value Fund, Class I		51,900		18,046		15,760		54,186		551,616		4,323		144,220		(65,094	)
MassMutual Select Strategic Bond Fund, Class I		1,079,555		485,555		195,459		1,369,651		13,970,436		314,704		-		3,283
MassMutual Select Total Return Bond Fund, Class I		1,530,075		333,904		326,998		1,536,981		15,569,618		330,152		41,666		(272,182	)

87

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART Conservative Fund (Continued)
MM MSCI EAFE International Index Fund, Class I		399,445		91,392		84,771		406,066	$	4,653,515	$	111,579	$	11,730	$	(45,762	)
MM Russell 2000 Small Cap Index Fund, Class I		141,583		15,960		36,961		120,582		1,338,458		18,743		38,767		(21,239	)
MM S&P Mid Cap Index Fund, Class I		178,303		28,585		37,762		169,126		2,119,145		29,995		94,576		(44,361	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		2,388,406		143,640		701,824		1,830,222		3,129,679		-		-		(949,042	)
Oppenheimer Developing Markets Fund, Class I**		32,213		1,190		8,914		24,489		756,941		9,104		-		(67,754	)
Oppenheimer Global Real Estate Fund, Class I**		275,521		70,120		66,496		279,145		3,151,552		36,996		3,358		63,786
Oppenheimer International Bond Fund, Class I**		852,245		433,376		198,223		1,087,398		6,187,297		103,460		-		(100,653	)
Oppenheimer Real Estate Fund, Class I**		33,509		7,824		11,708		29,625		832,763		8,604		51,067		4,407
									$	190,803,222	$	4,337,965	$	3,760,422	$	(3,844,249	)
MM RetireSMART Moderate Fund
Babson Global Floating Rate Fund, Class Y*		540,958		161,319		79,796		622,481	$	5,614,779	$	143,035	$	-	$	(79,694	)
MassMutual Premier Core Bond Fund, Class I		6,175,442		432,787		1,661,236		4,946,993		53,872,754		1,951,541		877,003		(1,007,238	)
MassMutual Premier Disciplined Growth Fund, Class I		1,702,881		219,923		363,177		1,559,627		17,592,589		220,898		1,330,941		(329,737	)
MassMutual Premier Disciplined Value Fund, Class I		1,311,088		111,456		258,272		1,164,272		17,580,508		392,014		349,223		(77,455	)
MassMutual Premier High Yield Fund, Class I		599,065		358,206		217,346		739,925		6,215,371		306,813		-		(310,244	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		1,415,116		243,141		327,832		1,330,425		13,929,553		179,023		-		(272,367	)
MassMutual Premier International Equity Fund, Class I		827,490		71,157		161,677		736,970		8,622,549		105,695		338,461		(634,704	)
MassMutual Premier Money Market Fund, Class R5		3,284,294		130,321		2,844,468		570,147		570,147		104		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		1,896,722		330,441		339,269		1,887,894		19,313,159		476,110		-		(85,480	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		854,078		123,695		140,611		837,162		8,229,298		69,853		-		(372,896	)
MassMutual Select Blue Chip Growth Fund, Class I		358,741		98,014		71,416		385,339		5,911,093		34,754		977,244		(39,062	)
MassMutual Select Diversified International Fund, Class I		980,527		99,854		158,406		921,975		5,707,027		7,858		-		(209,306	)
MassMutual Select Diversified Value Fund, Class I		448,788		37,046		88,706		397,128		5,583,615		89,337		-		(2,468	)
MassMutual Select Focused Value Fund, Class I		416,827		118,843		89,403		446,267		7,604,388		144,622		1,175,682		(138,372	)
MassMutual Select Fundamental Growth Fund, Class I		754,183		102,944		184,042		673,085		5,182,755		54,912		589,232		(107,870	)
MassMutual Select Fundamental Value Fund, Class I		421,989		103,301		96,426		428,864		4,983,405		94,004		552,398		88,925
MassMutual Select Growth Opportunities Fund, Class I		344,018		71,224		60,458		354,784		3,544,292		-		411,154		124,290
MassMutual Select Large Cap Value Fund, Class I		636,612		166,840		136,623		666,829		4,514,430		137,861		552,413		(372,900	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		357,799		35,567		115,069		278,297		5,012,128		-		496,093		177,336
MassMutual Select Mid-Cap Value Fund, Class I		565,329		120,155		142,650		542,834		6,807,138		107,180		1,082,259		200,077
MassMutual Select Overseas Fund, Class I		2,617,880		270,284		445,145		2,443,019		18,444,791		317,739		-		602,693
MassMutual Select Small Cap Growth Equity Fund, Class I		267,899		79,986		81,997		265,888		3,110,893		-		822,076		(491,790	)
MassMutual Select Small Cap Value Equity Fund, Class I		405,271		25,668		109,869		321,070		4,832,110		33,077		188,172		(125,828	)
MassMutual Select Small Company Value Fund, Class I		206,031		61,094		69,990		197,135		2,006,836		16,287		543,321		(309,780	)
MassMutual Select Strategic Bond Fund, Class I		1,172,527		283,264		226,490		1,229,301		12,538,875		326,125		-		9,838
MassMutual Select Total Return Bond Fund, Class I		1,684,265		199,743		384,699		1,499,309		15,187,999		340,991		43,034		(287,876	)
MM MSCI EAFE International Index Fund, Class I		1,541,631		213,509		274,692		1,480,448		16,965,934		413,389		43,460		122,650
MM Russell 2000 Small Cap Index Fund, Class I		557,847		36,613		155,500		438,960		4,872,457		70,628		146,086		65,976

88

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART Moderate Fund (Continued)
MM S&P Mid Cap Index Fund, Class I		752,263		84,578		201,825		635,016	$	7,956,753	$	120,994	$	381,498	$	134,965
Oppenheimer Commodity Strategy Total Return Fund, Class I**		5,759,067		191,895		1,443,124		4,507,838		7,708,403		-		-		(2,042,176	)
Oppenheimer Developing Markets Fund, Class I**		88,270		3,441		31,505		60,206		1,860,959		24,387		-		(326,893	)
Oppenheimer Global Real Estate Fund, Class I**		728,535		152,158		164,603		716,090		8,084,658		95,544		8,763		136,011
Oppenheimer International Bond Fund, Class I**		959,724		577,162		282,465		1,254,421		7,137,657		120,655		-		(141,839	)
Oppenheimer Real Estate Fund, Class I**		83,626		17,179		26,394		74,411		2,091,687		22,173		133,440		32,229
									$	319,190,990	$	6,417,603	$	11,041,953	$	(6,070,985	)
MM RetireSMART Moderate Growth Fund
Babson Global Floating Rate Fund, Class Y*		692,566		189,587		73,862		808,291	$	7,290,786	$	188,088	$	-	$	(77,333	)
MassMutual Premier Core Bond Fund, Class I		1,444,558		118,204		353,214		1,209,548		13,171,978		456,630		205,205		(67,256	)
MassMutual Premier Disciplined Growth Fund, Class I		1,627,275		182,970		285,686		1,524,559		17,197,031		212,332		1,279,332		(252,981	)
MassMutual Premier Disciplined Value Fund, Class I		1,252,900		84,470		203,318		1,134,052		17,124,189		132,618		424,677		(620,825	)
MassMutual Premier High Yield Fund, Class I		807,680		418,137		247,092		978,725		8,221,293		412,774		-		(372,541	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		375,379		79,257		98,165		356,471		3,732,250		48,560		-		(23,024	)
MassMutual Premier International Equity Fund, Class I		1,006,874		79,420		153,586		932,708		10,912,687		376,807		335,675		(60,043	)
MassMutual Premier Money Market Fund, Class R5		1,433,624		56,437		1,461,071		28,990		28,990		46		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		397,422		128,322		85,584		440,160		4,502,834		101,391		-		(17,358	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		963,524		153,546		131,351		985,719		9,689,621		79,947		-		(843,157	)
MassMutual Select Blue Chip Growth Fund, Class I		536,616		125,387		87,551		574,452		8,812,089		51,509		1,448,385		(52,336	)
MassMutual Select Diversified International Fund, Class I		1,200,122		138,667		161,597		1,177,192		7,286,820		9,865		-		(215,482	)
MassMutual Select Diversified Value Fund, Class I		668,962		48,060		115,336		601,686		8,459,698		132,408		-		5,224
MassMutual Select Focused Value Fund, Class I		329,734		88,463		59,732		358,465		6,108,250		113,283		920,913		(96,591	)
MassMutual Select Fundamental Growth Fund, Class I		1,125,235		155,256		260,734		1,019,757		7,852,127		81,235		871,696		(148,179	)
MassMutual Select Fundamental Value Fund, Class I		629,329		132,800		112,364		649,765		7,550,270		139,334		818,770		105,844
MassMutual Select Growth Opportunities Fund, Class I		513,797		88,513		73,420		528,890		5,283,610		-		609,421		148,963
MassMutual Select Large Cap Value Fund, Class I		949,132		213,625		152,440		1,010,317		6,839,844		204,327		818,743		(421,251	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		376,665		40,142		120,483		296,324		5,336,799		-		522,073		327,833
MassMutual Select Mid-Cap Value Fund, Class I		595,239		123,056		140,075		578,220		7,250,875		112,780		1,138,807		168,304
MassMutual Select Overseas Fund, Class I		3,201,170		358,783		440,752		3,119,201		23,549,971		398,903		-		256,511
MassMutual Select Small Cap Growth Equity Fund, Class I		364,458		106,974		109,198		362,234		4,238,132		-		1,115,855		(696,558	)
MassMutual Select Small Cap Value Equity Fund, Class I		549,446		37,673		149,689		437,430		6,583,328		44,900		255,436		(186,397	)
MassMutual Select Small Company Value Fund, Class I		279,532		86,438		97,390		268,580		2,734,149		22,113		737,701		(414,716	)
MassMutual Select Strategic Bond Fund, Class I		268,768		50,731		44,617		274,882		2,803,794		76,208		-		2,159
MassMutual Select Total Return Bond Fund, Class I		419,246		27,360		104,852		341,754		3,461,964		79,121		9,985		(26,436	)
MM MSCI EAFE International Index Fund, Class I		1,922,202		236,392		268,307		1,890,287		21,662,694		516,437		54,293		95,641
MM Russell 2000 Small Cap Index Fund, Class I		754,647		49,768		206,128		598,287		6,640,991		95,873		198,302		70,822
MM S&P Mid Cap Index Fund, Class I		789,691		88,546		212,700		665,537		8,339,173		127,324		401,458		189,735
Oppenheimer Commodity Strategy Total Return Fund, Class I**		5,824,240		317,404		1,204,862		4,936,782		8,441,897		-		-		(1,859,647	)

89

Notes to Financial Statements (Unaudited) (Continued)

		Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART Moderate Growth Fund (Continued)
Oppenheimer Developing Markets Fund, Class I**			100,449		2,107		37,548		65,008	$	2,009,394	$	27,681	$	-	$	(339,296	)
Oppenheimer Global Real Estate Fund, Class I**			767,220		157,879		138,017		787,082		8,886,160		103,012		9,443		113,907
Oppenheimer International Bond Fund, Class I**			602,000		311,619		152,858		760,761		4,328,729		74,589		-		(77,200	)
Oppenheimer Real Estate Fund, Class I**			85,322		17,671		22,623		80,370		2,259,204		23,964		144,244		36,010
										$	268,591,621	$	4,444,059	$	12,320,414	$	(5,347,654	)
MM RetireSMART Growth Fund
Babson Global Floating Rate Fund, Class Y*			40,276		26,487		9,607		57,156	$	515,547	$	11,231	$	-	$	(3,714	)
MassMutual Premier Core Bond Fund, Class I			96,401		42,623		27,996		111,028		1,209,091		27,604		12,405		(7,049	)
MassMutual Premier Disciplined Growth Fund, Class I			505,472		69,683		94,957		480,198		5,416,633		65,709		395,907		(68,045	)
MassMutual Premier Disciplined Value Fund, Class I			389,296		36,273		69,057		356,512		5,383,324		116,618		103,888		(7,960	)
MassMutual Premier High Yield Fund, Class I			41,605		47,049		13,890		74,764		628,017		20,996		-		(4,866	)
MassMutual Premier Inflation-Protected and Income Fund, Class I			28,764		19,109		4,307		43,566		456,131		4,125		-		(1,798	)
MassMutual Premier International Equity Fund, Class I	��		402,840		43,755		63,146		383,449		4,486,351		53,595		171,624		(249,010	)
MassMutual Premier Money Market Fund, Class R5			123,386		8,128		114,265		17,249		17,249		4		-		-
MassMutual Premier Short-Duration Bond Fund, Class I			28,049		34,029		17,537		44,541		455,652		7,125		-		(3,532	)
MassMutual Premier Strategic Emerging Markets Fund, Class I			397,990		79,802		49,441		428,351		4,210,694		33,406		-		(68,442	)
MassMutual Select Blue Chip Growth Fund, Class I			269,391		68,619		48,074		289,936		4,447,625		25,650		721,259		(5,891	)
MassMutual Select Diversified International Fund, Class I			481,437		71,492		68,346		484,583		2,999,570		3,988		-		(85,298	)
MassMutual Select Diversified Value Fund, Class I			335,556		31,015		61,817		304,754		4,284,842		65,951		-		13,266
MassMutual Select Focused Value Fund, Class I			127,097		37,231		24,348		139,980		2,385,256		43,253		351,614		(45,490	)
MassMutual Select Fundamental Growth Fund, Class I			564,086		91,014		139,607		515,493		3,969,295		40,415		433,670		(65,078	)
MassMutual Select Fundamental Value Fund, Class I			315,790		73,287		58,361		330,716		3,842,916		69,400		407,816		(21,843	)
MassMutual Select Growth Opportunities Fund, Class I			257,853		50,176		41,017		267,012		2,667,449		-		303,556		43,026
MassMutual Select Large Cap Value Fund, Class I			476,192		117,587		79,559		514,220		3,481,272		101,772		407,803		(199,712	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I			154,760		20,517		50,459		124,818		2,247,970		-		214,680		28,093
MassMutual Select Mid-Cap Value Fund, Class I			244,763		57,677		59,817		242,623		3,042,493		46,385		468,381		86,255
MassMutual Select Overseas Fund, Class I			1,283,076		183,137		182,174		1,284,039		9,694,495		161,255		-		174,649
MassMutual Select Small Cap Growth Equity Fund, Class I			154,435		50,665		48,707		156,393		1,829,795		-		472,792		(306,565	)
MassMutual Select Small Cap Value Equity Fund, Class I			232,725		22,278		66,276		188,727		2,840,339		19,027		108,243		(73,147	)
MassMutual Select Small Company Value Fund, Class I			118,359		40,436		42,917		115,878		1,179,640		9,371		312,614		(182,610	)
MassMutual Select Strategic Bond Fund, Class I			15,105		10,304		15,837		9,572		97,638		4,629		-		(1,673	)
MassMutual Select Total Return Bond Fund, Class I			38,702		11,819		25,320		25,201		255,287		4,904		619		(349	)
MM MSCI EAFE International Index Fund, Class I			775,589		115,263		112,707		778,145		8,917,542		207,936		21,861		70,558
MM Russell 2000 Small Cap Index Fund, Class I			319,343		29,826		90,954		258,215		2,866,182		40,625		84,028		(101,999	)
MM S&P Mid Cap Index Fund, Class I			324,503		46,220		97,495		273,228		3,423,544		52,366		165,111		(34,680	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**			2,024,804		288,475		454,107		1,859,172		3,179,183		-		-		(653,310	)
Oppenheimer Developing Markets Fund, Class I**			41,519		428		17,666		24,281		750,535		11,216		-		(154,141	)
Oppenheimer Global Real Estate Fund, Class I**			266,407		76,081		39,395		303,093		3,421,924		39,096		3,568		35,263
Oppenheimer International Bond Fund, Class I**			9,470		81,406		12,491		78,385		446,012		5,802		-		(1,630	)
Oppenheimer Real Estate Fund, Class I**			29,809		6,950		5,877		30,882		868,089		9,088		54,322		6,238
										$	95,917,582	$	1,302,542	$	5,215,761	$	(1,890,484	)

90

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART In Retirement Fund
Babson Global Floating Rate Fund, Class Y*		96,886		59,689		10,170		146,405	$	1,320,575	$	29,630	$	-	$	(5,281	)
MassMutual Premier Core Bond Fund, Class I		1,815,604		327,728		578,093		1,565,239		17,045,456		610,772		274,476		(198,607	)
MassMutual Premier Disciplined Growth Fund, Class I		289,223		75,244		64,777		299,690		3,380,499		40,291		242,760		(51,313	)
MassMutual Premier Disciplined Value Fund, Class I		222,875		46,820		45,970		223,725		3,378,241		71,504		63,699		(6,868	)
MassMutual Premier High Yield Fund, Class I		111,747		96,843		38,928		169,662		1,425,160		61,227		-		(51,057	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		1,060,668		281,088		178,908		1,162,848		12,175,023		143,015		-		(47,028	)
MassMutual Premier International Equity Fund, Class I		105,426		22,639		23,552		104,513		1,222,800		13,877		44,439		(79,819	)
MassMutual Premier Money Market Fund, Class R5		3,142,007		455,728		2,414,839		1,182,896		1,182,896		108		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		797,866		323,116		113,323		1,007,659		10,308,354		214,696		-		(23,996	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		166,029		50,864		25,375		191,518		1,882,621		14,648		-		(66,411	)
MassMutual Select Blue Chip Growth Fund, Class I		35,203		16,477		7,580		44,100		676,495		3,785		106,435		(4,511	)
MassMutual Select Diversified International Fund, Class I		124,485		26,944		21,869		129,560		801,974		1,037		-		(28,160	)
MassMutual Select Diversified Value Fund, Class I		44,244		10,260		9,053		45,451		639,035		9,734		-		336
MassMutual Select Focused Value Fund, Class I		96,273		40,514		21,075		115,712		1,971,732		36,951		300,386		(96,335	)
MassMutual Select Fundamental Growth Fund, Class I		73,933		22,256		19,164		77,025		593,095		5,982		64,186		(10,415	)
MassMutual Select Fundamental Value Fund, Class I		41,650		17,768		10,340		49,078		570,281		10,244		60,200		(16,826	)
MassMutual Select Growth Opportunities Fund, Class I		33,885		13,113		5,756		41,242		412,007		-		44,791		(4,398	)
MassMutual Select Large Cap Value Fund, Class I		62,890		28,061		14,646		76,305		516,586		15,018		60,178		(39,584	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		37,932		8,755		12,535		34,152		615,072		-		57,528		(19,562	)
MassMutual Select Mid-Cap Value Fund, Class I		60,167		22,213		15,447		66,933		839,336		12,429		125,506		(24,237	)
MassMutual Select Overseas Fund, Class I		331,447		74,782		62,909		343,320		2,592,066		41,938		-		(16,306	)
MassMutual Select Small Cap Growth Equity Fund, Class I		31,410		15,144		9,931		36,623		428,494		-		105,847		(56,581	)
MassMutual Select Small Cap Value Equity Fund, Class I		47,913		9,598		13,204		44,307		666,819		4,259		24,229		(14,092	)
MassMutual Select Small Company Value Fund, Class I		24,264		11,045		8,125		27,184		276,737		2,098		69,990		(32,231	)
MassMutual Select Strategic Bond Fund, Class I		347,700		223,393		75,265		495,828		5,057,445		103,086		-		3,884
MassMutual Select Total Return Bond Fund, Class I		502,567		157,704		118,275		541,996		5,490,424		110,168		13,903		(25,062	)
MM MSCI EAFE International Index Fund, Class I		189,134		55,087		36,174		208,047		2,384,217		55,082		5,791		(49,637	)
MM Russell 2000 Small Cap Index Fund, Class I		66,082		13,389		18,945		60,526		671,839		9,092		18,805		(36,555	)
MM S&P Mid Cap Index Fund, Class I		80,458		20,188		17,476		83,170		1,042,114		14,032		44,242		(15,527	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		1,207,584		175,154		343,138		1,039,600		1,777,715		-		-		(446,938	)
Oppenheimer Developing Markets Fund, Class I**		16,456		1,231		5,246		12,441		384,552		4,730		-		(39,144	)
Oppenheimer Global Real Estate Fund, Class I**		142,682		50,787		34,927		158,542		1,789,943		20,347		1,822		32,551
Oppenheimer International Bond Fund, Class I**		318,517		216,894		84,456		450,955		2,565,934		41,621		-		(46,655	)
Oppenheimer Real Estate Fund, Class I**		16,614		5,477		5,370		16,721		470,016		4,746		27,633		(7,207	)
									$	86,555,553	$	1,706,147	$	1,756,846	$	(1,523,572	)
MM RetireSMART 2010 Fund
Babson Global Floating Rate Fund, Class Y*		119,364		58,768		8,515		169,617	$	1,529,945	$	36,075	$	-	$	(5,188	)
MassMutual Premier Core Bond Fund, Class I		1,718,765		338,120		539,874		1,517,011		16,520,252		604,169		271,507		(132,839	)
MassMutual Premier Disciplined Growth Fund, Class I		329,075		91,591		80,317		340,349		3,839,140		47,945		288,878		(67,736	)

91

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2010 Fund (Continued)
MassMutual Premier Disciplined Value Fund, Class I		253,641		57,616		57,183		254,074	$	3,836,515	$	85,097	$	75,808	$	(15,673	)
MassMutual Premier High Yield Fund, Class I		136,418		107,125		56,115		187,428		1,574,393		79,852		-		(74,972	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		907,815		267,544		191,075		984,284		10,305,450		128,463		-		(98,562	)
MassMutual Premier International Equity Fund, Class I		148,057		31,842		34,607		145,292		1,699,918		20,667		66,182		(113,432	)
MassMutual Premier Money Market Fund, Class R5		1,485,156		282,358		1,299,611		467,903		467,903		54		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		603,836		221,704		102,594		722,946		7,395,741		171,384		-		(9,931	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		167,848		51,128		29,518		189,458		1,862,370		15,592		-		(66,381	)
MassMutual Select Blue Chip Growth Fund, Class I		44,188		20,617		10,414		54,391		834,360		4,915		138,216		(6,261	)
MassMutual Select Diversified International Fund, Class I		175,007		37,901		32,223		180,685		1,118,439		1,550		-		(44,179	)
MassMutual Select Diversified Value Fund, Class I		55,168		13,194		12,302		56,060		788,205		12,641		-		(389	)
MassMutual Select Focused Value Fund, Class I		93,853		43,729		22,403		115,179		1,962,658		37,737		306,772		(122,196	)
MassMutual Select Fundamental Growth Fund, Class I		92,742		27,795		25,530		95,007		731,555		7,760		83,269		(13,907	)
MassMutual Select Fundamental Value Fund, Class I		52,126		22,400		13,987		60,539		703,465		13,304		78,176		(28,635	)
MassMutual Select Growth Opportunities Fund, Class I		41,888		16,989		8,352		50,525		504,748		-		58,152		(8,776	)
MassMutual Select Large Cap Value Fund, Class I		78,387		35,688		19,965		94,110		637,123		19,506		78,160		(56,982	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		63,398		14,893		23,346		54,945		989,559		-		99,294		(36,801	)
MassMutual Select Mid-Cap Value Fund, Class I		100,448		36,556		29,435		107,569		1,348,910		21,459		216,684		(76,328	)
MassMutual Select Overseas Fund, Class I		466,511		105,163		92,848		478,826		3,615,135		62,667		-		(103,968	)
MassMutual Select Small Cap Growth Equity Fund, Class I		47,712		22,312		17,222		52,802		617,784		-		165,756		(86,423	)
MassMutual Select Small Cap Value Equity Fund, Class I		72,661		14,403		23,121		63,943		962,336		6,671		37,948		(22,819	)
MassMutual Select Small Company Value Fund, Class I		37,329		16,971		15,091		39,209		399,147		3,287		109,654		(55,252	)
MassMutual Select Strategic Bond Fund, Class I		329,264		156,434		69,392		416,306		4,246,322		102,266		-		289
MassMutual Select Total Return Bond Fund, Class I		477,116		129,012		112,242		493,886		5,003,069		109,125		13,772		(29,873	)
MM MSCI EAFE International Index Fund, Class I		270,840		73,585		54,277		290,148		3,325,099		82,030		8,624		(99,497	)
MM Russell 2000 Small Cap Index Fund, Class I		99,723		19,634		32,032		87,325		969,305		14,240		29,454		(66,629	)
MM S&P Mid Cap Index Fund, Class I		134,135		32,880		39,673		127,342		1,595,600		24,223		76,376		(18,314	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		1,210,422		181,764		370,972		1,021,214		1,746,276		-		-		(510,708	)
Oppenheimer Developing Markets Fund, Class I**		17,273		1,416		5,688		13,001		401,848		5,162		-		(44,498	)
Oppenheimer Global Real Estate Fund, Class I**		147,056		52,549		39,633		159,972		1,806,080		21,358		1,941		22,785
Oppenheimer International Bond Fund, Class I**		278,934		211,614		84,087		406,461		2,312,763		38,599		-		(38,762	)
Oppenheimer Real Estate Fund, Class I**		16,997		5,632		5,755		16,874		474,337		4,952		29,381		(11,123	)
									$	86,125,750	$	1,782,750	$	2,234,004	$	(2,043,960	)
MM RetireSMART 2015 Fund
Babson Global Floating Rate Fund, Class Y*		111,965		86,394		7,902		190,457	$	1,717,918	$	38,529	$	-	$	(4,980	)
MassMutual Premier Core Bond Fund, Class I		1,487,870		667,314		444,276		1,710,908		18,631,788		621,006		279,074		(255,625	)
MassMutual Premier Disciplined Growth Fund, Class I		336,564		181,283		84,464		433,383		4,888,555		56,282		339,109		(124,831	)
MassMutual Premier Disciplined Value Fund, Class I		259,351		123,776		59,603		323,524		4,885,215		99,913		89,006		(50,577	)
MassMutual Premier High Yield Fund, Class I		134,463		161,070		64,417		231,116		1,941,376		94,612		-		(33,072	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		763,446		444,681		162,565		1,045,562		10,947,033		126,292		-		(94,815	)

92

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2015 Fund (Continued)
MassMutual Premier International Equity Fund, Class I		163,337		75,485		37,898		200,924	$	2,350,814	$	26,545	$	85,005	$	(95,680	)
MassMutual Premier Money Market Fund, Class R5		843,916		357,802		941,728		259,990		259,990		36		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		482,576		295,918		72,322		706,172		7,224,136		160,427		-		(15,030	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		166,574		98,554		29,819		235,309		2,313,090		17,607		-		(81,592	)
MassMutual Select Blue Chip Growth Fund, Class I		48,799		35,324		12,242		71,881		1,102,659		5,964		167,694		(14,878	)
MassMutual Select Diversified International Fund, Class I		193,736		91,736		34,912		250,560		1,550,965		1,976		-		(54,114	)
MassMutual Select Diversified Value Fund, Class I		60,938		29,424		16,286		74,076		1,041,510		15,334		-		(9,767	)
MassMutual Select Focused Value Fund, Class I		88,732		67,313		18,971		137,074		2,335,743		40,460		328,910		(139,793	)
MassMutual Select Fundamental Growth Fund, Class I		102,074		53,385		29,900		125,559		966,806		9,382		100,672		(16,484	)
MassMutual Select Fundamental Value Fund, Class I		57,494		39,521		17,019		79,996		929,548		16,151		94,907		(40,844	)
MassMutual Select Growth Opportunities Fund, Class I		46,667		29,880		9,954		66,593		665,262		-		70,554		(11,137	)
MassMutual Select Large Cap Value Fund, Class I		86,659		61,295		23,562		124,392		842,137		23,663		94,817		(42,103	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		73,703		36,478		29,893		80,288		1,445,983		-		132,551		(39,744	)
MassMutual Select Mid-Cap Value Fund, Class I		116,908		75,209		35,516		156,601		1,963,777		28,642		289,216		(109,832	)
MassMutual Select Overseas Fund, Class I		516,623		248,740		101,430		663,933		5,012,694		79,933		-		(170,536	)
MassMutual Select Small Cap Growth Equity Fund, Class I		54,128		42,857		21,561		75,424		882,466		-		215,553		(105,509	)
MassMutual Select Small Cap Value Equity Fund, Class I		82,153		38,234		29,324		91,063		1,370,502		8,669		49,319		(25,419	)
MassMutual Select Small Company Value Fund, Class I		41,838		32,475		18,392		55,921		569,278		4,275		142,617		(64,132	)
MassMutual Select Strategic Bond Fund, Class I		283,714		195,722		51,859		427,577		4,361,290		104,233		-		(14,852	)
MassMutual Select Total Return Bond Fund, Class I		412,466		208,270		86,122		534,614		5,415,644		110,928		13,999		(38,789	)
MM MSCI EAFE International Index Fund, Class I		302,374		156,795		56,821		402,348		4,610,903		104,491		10,985		(145,651	)
MM Russell 2000 Small Cap Index Fund, Class I		112,803		51,887		40,126		124,564		1,382,658		18,502		38,270		(77,334	)
MM S&P Mid Cap Index Fund, Class I		155,866		79,298		51,504		183,660		2,301,263		32,336		101,958		(73,901	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		1,146,499		443,148		375,451		1,214,196		2,076,276		-		-		(374,238	)
Oppenheimer Developing Markets Fund, Class I**		16,000		3,431		5,735		13,696		423,338		5,281		-		(45,159	)
Oppenheimer Global Real Estate Fund, Class I**		141,913		86,206		37,108		191,011		2,156,510		24,042		2,149		2,201
Oppenheimer International Bond Fund, Class I**		238,572		272,298		69,977		440,893		2,508,680		39,394		-		(22,754	)
Oppenheimer Real Estate Fund, Class I**		16,372		8,995		5,453		19,914		559,790		5,553		32,094		(6,227	)
									$	101,635,597	$	1,920,458	$	2,678,459	$	(2,397,198	)
MM RetireSMART 2020 Fund
Babson Global Floating Rate Fund, Class Y*		755,230		329,220		87,544		996,906	$	8,992,091	$	215,917	$	-	$	(57,909	)
MassMutual Premier Core Bond Fund, Class I		6,027,819		1,110,550		1,163,510		5,974,859		65,066,217		2,135,387		959,620		(541,793	)
MassMutual Premier Disciplined Growth Fund, Class I		2,544,950		596,915		366,426		2,775,439		31,306,948		365,409		2,201,638		(325,644	)
MassMutual Premier Disciplined Value Fund, Class I		1,961,041		359,769		248,931		2,071,879		31,285,370		648,522		577,730		(82,481	)
MassMutual Premier High Yield Fund, Class I		875,517		665,200		275,524		1,265,193		10,627,625		488,365		-		(291,997	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		3,448,625		1,104,880		526,796		4,026,709		42,159,648		489,450		-		(186,513	)
MassMutual Premier International Equity Fund, Class I		1,242,225		242,094		163,908		1,320,411		15,448,805		175,800		562,956		(645,293	)

93

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2020 Fund (Continued)
MassMutual Premier Money Market Fund, Class R5		4,092,239		679,574		3,919,839		851,974	$	851,974	$	147	$	-	$	-
MassMutual Premier Short-Duration Bond Fund, Class I		2,335,004		787,914		197,267		2,925,651		29,929,413		673,190		-		(65,590	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		1,302,647		396,875		121,455		1,578,067		15,512,402		119,545		-		(216,876	)
MassMutual Select Blue Chip Growth Fund, Class I		646,010		230,364		79,485		796,889		12,224,284		68,889		1,937,081		(61,806	)
MassMutual Select Diversified International Fund, Class I		1,475,423		315,309		135,364		1,655,368		10,246,728		13,158		-		(192,935	)
MassMutual Select Diversified Value Fund, Class I		807,904		132,578		117,454		823,028		11,571,775		177,149		-		(804	)
MassMutual Select Focused Value Fund, Class I		590,706		245,100		81,120		754,686		12,859,851		227,789		1,851,767		(367,463	)
MassMutual Select Fundamental Growth Fund, Class I		1,355,559		338,080		298,699		1,394,940		10,741,035		108,538		1,164,672		(205,663	)
MassMutual Select Fundamental Value Fund, Class I		760,110		245,772		117,073		888,809		10,327,964		186,439		1,095,575		(200,440	)
MassMutual Select Growth Opportunities Fund, Class I		619,710		177,294		62,703		734,301		7,335,670		-		815,038		(50,658	)
MassMutual Select Large Cap Value Fund, Class I		1,147,610		391,837		157,455		1,381,992		9,356,089		273,312		1,095,166		(457,234	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		521,073		113,874		149,406		485,541		8,744,598		-		801,293		(161,620	)
MassMutual Select Mid-Cap Value Fund, Class I		824,625		278,491		157,873		945,243		11,853,349		173,128		1,748,182		78,805
MassMutual Select Overseas Fund, Class I		3,936,842		844,285		394,898		4,386,229		33,116,032		532,162		-		410,037
MassMutual Select Small Cap Growth Equity Fund, Class I		398,860		176,406		103,081		472,185		5,524,559		-		1,353,166		(702,674	)
MassMutual Select Small Cap Value Equity Fund, Class I		604,064		109,386		144,602		568,848		8,561,164		54,441		309,712		(193,403	)
MassMutual Select Small Company Value Fund, Class I		306,741		137,519		94,756		349,504		3,557,952		26,826		894,924		(388,520	)
MassMutual Select Strategic Bond Fund, Class I		1,155,538		440,828		144,207		1,452,159		14,812,024		360,464		-		7,375
MassMutual Select Total Return Bond Fund, Class I		1,708,885		368,855		237,881		1,839,859		18,637,774		383,180		48,358		(49,477	)
MM MSCI EAFE International Index Fund, Class I		2,330,596		562,933		235,451		2,658,078		30,461,569		690,437		72,586		66,809
MM Russell 2000 Small Cap Index Fund, Class I		830,028		148,549		199,877		778,700		8,643,574		116,236		240,420		(347,644	)
MM S&P Mid Cap Index Fund, Class I		1,096,129		249,064		236,065		1,109,128		13,897,372		195,467		616,315		(287,479	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		8,566,698		1,272,152		1,646,329		8,192,521		14,009,210		-		-		(2,171,926	)
Oppenheimer Developing Markets Fund, Class I**		135,233		6,348		43,049		98,532		3,045,632		39,782		-		(482,330	)
Oppenheimer Global Real Estate Fund, Class I**		1,104,458		373,832		176,477		1,301,813		14,697,465		163,712		14,788		161,393
Oppenheimer International Bond Fund, Class I**		1,247,079		996,735		261,361		1,982,453		11,280,156		179,043		-		(147,875	)
Oppenheimer Real Estate Fund, Class I**		125,114		40,127		31,124		134,117		3,770,015		38,183		225,267		(26,581	)
									$	540,456,334	$	9,320,067	$	18,586,254	$	(8,186,209	)
MM RetireSMART 2025 Fund
Babson Global Floating Rate Fund, Class Y*		365,423		253,709		24,650		594,482	$	5,362,230	$	124,849	$	-	$	(29,378	)
MassMutual Premier Core Bond Fund, Class I		1,173,142		532,989		242,277		1,463,854		15,941,366		468,508		210,543		(142,720	)
MassMutual Premier Disciplined Growth Fund, Class I		853,869		449,970		130,102		1,173,737		13,239,755		138,181		832,558		(172,465	)
MassMutual Premier Disciplined Value Fund, Class I		658,116		306,009		90,138		873,987		13,197,211		245,279		218,505		(68,076	)
MassMutual Premier High Yield Fund, Class I		468,309		524,523		194,232		798,600		6,708,236		303,812		-		(155,992	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		714,327		451,256		141,180		1,024,403		10,725,501		113,954		-		(78,402	)
MassMutual Premier International Equity Fund, Class I		468,702		220,823		61,485		628,040		7,348,069		75,679		242,344		(209,047	)
MassMutual Premier Money Market Fund, Class R5		1,078,450		465,467		1,405,060		138,857		138,857		44		-		-

94

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2025 Fund (Continued)
MassMutual Premier Short-Duration Bond Fund, Class I		429,337		313,144		42,966		699,515	$	7,156,040	$	140,032	$	-	$	(11,466	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		476,187		305,614		45,359		736,442		7,239,222		49,378		-		(151,225	)
MassMutual Select Blue Chip Growth Fund, Class I		248,319		173,687		34,377		387,629		5,946,231		29,673		834,377		(33,951	)
MassMutual Select Diversified International Fund, Class I		559,281		290,433		59,056		790,658		4,894,173		5,672		-		(94,092	)
MassMutual Select Diversified Value Fund, Class I		310,146		142,136		49,200		403,082		5,667,328		76,323		-		(21,737	)
MassMutual Select Focused Value Fund, Class I		186,792		141,843		30,633		298,002		5,077,949		80,729		656,271		(228,752	)
MassMutual Select Fundamental Growth Fund, Class I		518,616		270,872		106,328		683,160		5,260,335		46,622		500,282		(85,375	)
MassMutual Select Fundamental Value Fund, Class I		291,623		193,617		49,946		435,294		5,058,112		80,334		472,066		(134,650	)
MassMutual Select Growth Opportunities Fund, Class I		239,284		147,573		29,539		357,318		3,569,604		-		350,999		(42,172	)
MassMutual Select Large Cap Value Fund, Class I		440,494		301,323		64,984		676,833		4,582,162		117,718		471,697		(190,119	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		185,478		93,127		63,184		215,421		3,879,727		-		321,325		(122,686	)
MassMutual Select Mid-Cap Value Fund, Class I		294,407		191,930		67,493		418,844		5,252,304		69,424		701,020		(233,981	)
MassMutual Select Overseas Fund, Class I		1,490,710		777,959		173,734		2,094,935		15,816,757		229,408		-		(302,144	)
MassMutual Select Small Cap Growth Equity Fund, Class I		161,572		130,985		54,197		238,360		2,788,813		-		616,998		(290,792	)
MassMutual Select Small Cap Value Equity Fund, Class I		244,165		115,311		72,892		286,584		4,313,092		24,820		141,200		(73,343	)
MassMutual Select Small Company Value Fund, Class I		123,162		99,187		46,205		176,144		1,793,147		12,241		408,349		(176,508	)
MassMutual Select Strategic Bond Fund, Class I		221,891		137,780		26,822		332,849		3,395,058		79,091		-		(7,613	)
MassMutual Select Total Return Bond Fund, Class I		337,311		145,380		49,067		433,624		4,392,612		83,826		10,579		(20,607	)
MM MSCI EAFE International Index Fund, Class I		890,523		477,224		98,153		1,269,594		14,549,549		297,451		31,271		(256,953	)
MM Russell 2000 Small Cap Index Fund, Class I		335,145		159,525		101,918		392,752		4,359,552		52,986		109,596		(241,816	)
MM S&P Mid Cap Index Fund, Class I		390,516		206,885		107,433		489,968		6,139,304		78,375		247,118		(176,226	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		2,954,634		1,296,486		621,736		3,629,384		6,206,247		-		-		(863,020	)
Oppenheimer Developing Markets Fund, Class I**		47,101		8,493		17,259		38,335		1,184,933		15,178		-		(161,624	)
Oppenheimer Global Real Estate Fund, Class I**		384,725		249,710		59,272		575,163		6,493,593		66,567		5,847		(5,934	)
Oppenheimer International Bond Fund, Class I**		419,190		429,301		99,539		748,952		4,261,537		65,738		-		(32,834	)
Oppenheimer Real Estate Fund, Class I**		43,037		25,861		10,527		58,371		1,640,809		15,551		88,151		(19,740	)
									$	213,579,415	$	3,187,443	$	7,471,096	$	(4,835,440	)
MM RetireSMART 2030 Fund
Babson Global Floating Rate Fund, Class Y*		1,321,271		565,185		75,105		1,811,351	$	16,338,387	$	403,654	$	-	$	(90,061	)
MassMutual Premier Core Bond Fund, Class I		2,269,259		456,482		424,371		2,301,370		25,061,923		790,050		355,040		(183,093	)
MassMutual Premier Disciplined Growth Fund, Class I		2,611,518		659,947		317,854		2,953,611		33,316,729		375,955		2,265,185		(246,617	)
MassMutual Premier Disciplined Value Fund, Class I		2,013,100		404,035		219,600		2,197,535		33,182,772		667,163		594,336		(44,497	)
MassMutual Premier High Yield Fund, Class I		1,617,147		1,109,320		402,306		2,324,161		19,522,948		950,730		-		(501,330	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		1,472,225		522,386		319,332		1,675,279		17,540,173		209,437		-		(178,152	)
MassMutual Premier International Equity Fund, Class I		1,631,848		334,009		160,018		1,805,839		21,128,315		236,216		756,422		(639,183	)
MassMutual Premier Money Market Fund, Class R5		2,812,347		490,263		3,208,302		94,308		94,308		102		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		760,069		424,703		150,453		1,034,319		10,581,082		217,496		-		(38,231	)

95

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2030 Fund (Continued)
MassMutual Premier Strategic Emerging Markets Fund, Class I		1,558,839		521,563		127,006		1,953,396	$	19,201,884	$	143,356	$	-	$	(269,914	)
MassMutual Select Blue Chip Growth Fund, Class I		872,898		339,598		98,426		1,114,070		17,089,840		92,671		2,605,821		(63,649	)
MassMutual Select Diversified International Fund, Class I		1,947,277		491,709		160,732		2,278,254		14,102,391		17,734		-		(221,727	)
MassMutual Select Diversified Value Fund, Class I		1,089,633		215,154		140,336		1,164,451		16,372,180		238,269		-		20,048
MassMutual Select Focused Value Fund, Class I		528,574		235,888		69,473		694,989		11,842,611		201,823		1,640,685		(376,859	)
MassMutual Select Fundamental Growth Fund, Class I		1,828,161		479,372		333,959		1,973,574		15,196,519		145,813		1,564,655		(183,196	)
MassMutual Select Fundamental Value Fund, Class I		1,024,867		370,044		137,401		1,257,510		14,612,272		250,753		1,473,506		(280,918	)
MassMutual Select Growth Opportunities Fund, Class I		837,667		267,166		78,085		1,026,748		10,257,212		-		1,096,291		(48,876	)
MassMutual Select Large Cap Value Fund, Class I		1,547,837		585,207		177,776		1,955,268		13,237,163		367,604		1,472,998		(506,901	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		608,317		142,036		173,708		576,645		10,385,375		-		935,475		(214,360	)
MassMutual Select Mid-Cap Value Fund, Class I		963,752		339,671		181,941		1,121,482		14,063,384		202,096		2,040,683		52,836
MassMutual Select Overseas Fund, Class I		5,190,155		1,295,916		449,419		6,036,652		45,576,722		717,200		-		395,733
MassMutual Select Small Cap Growth Equity Fund, Class I		592,419		278,485		158,491		712,413		8,335,229		-		2,017,517		(1,095,509	)
MassMutual Select Small Cap Value Equity Fund, Class I		895,102		176,390		213,542		857,950		12,912,149		81,170		461,770		(290,027	)
MassMutual Select Small Company Value Fund, Class I		453,486		216,464		142,872		527,078		5,365,655		39,993		1,334,186		(585,983	)
MassMutual Select Strategic Bond Fund, Class I		425,777		150,024		70,049		505,752		5,158,669		133,723		-		(15,066	)
MassMutual Select Total Return Bond Fund, Class I		678,359		113,724		130,266		661,817		6,704,206		141,820		17,898		(48,338	)
MM MSCI EAFE International Index Fund, Class I		3,114,841		803,399		259,931		3,658,309		41,924,215		928,555		97,620		111,860
MM Russell 2000 Small Cap Index Fund, Class I		1,227,537		240,795		293,425		1,174,907		13,041,464		173,281		358,412		(544,170	)
MM S&P Mid Cap Index Fund, Class I		1,278,230		313,845		292,766		1,299,309		16,280,336		228,164		719,410		(458,441	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		9,475,667		1,654,923		1,526,067		9,604,523		16,423,734		-		-		(2,066,634	)
Oppenheimer Developing Markets Fund, Class I**		161,683		7,045		51,441		117,287		3,625,340		47,834		-		(540,670	)
Oppenheimer Global Real Estate Fund, Class I**		1,238,574		442,270		157,576		1,523,268		17,197,694		186,530		16,753		143,073
Oppenheimer International Bond Fund, Class I**		1,233,819		780,139		228,722		1,785,236		10,157,996		167,350		-		(129,852	)
Oppenheimer Real Estate Fund, Class I**		137,895		47,045		30,523		154,417		4,340,656		43,746		256,762		(26,113	)
									$	540,171,533	$	8,400,288	$	22,081,425	$	(9,164,817	)
MM RetireSMART 2035 Fund
Babson Global Floating Rate Fund, Class Y*		216,195		166,054		15,216		367,033	$	3,310,635	$	76,372	$	-	$	(15,142	)
MassMutual Premier Core Bond Fund, Class I		427,358		195,931		67,488		555,801		6,052,674		171,412		77,031		(23,962	)
MassMutual Premier Disciplined Growth Fund, Class I		586,126		311,338		64,974		832,490		9,390,484		97,165		585,434		(63,358	)
MassMutual Premier Disciplined Value Fund, Class I		451,657		211,536		43,586		619,607		9,356,062		172,476		153,649		(17,100	)
MassMutual Premier High Yield Fund, Class I		268,380		340,853		90,692		518,541		4,355,741		184,340		-		(73,669	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		230,310		153,139		47,311		336,138		3,519,360		37,807		-		(22,385	)
MassMutual Premier International Equity Fund, Class I		393,751		189,415		30,972		552,194		6,460,669		66,009		211,377		(109,790	)
MassMutual Premier Money Market Fund, Class R5		556,108		242,741		764,847		34,002		34,002		23		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		140,474		132,818		34,328		238,964		2,444,605		46,138		-		(5,024	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		384,022		250,783		23,386		611,419		6,010,252		40,888		-		(66,715	)

96

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2035 Fund (Continued)
MassMutual Select Blue Chip Growth Fund, Class I		228,642		160,041		22,845		365,838	$	5,611,952	$	27,768	$	780,817	$	(3,850	)
MassMutual Select Diversified International Fund, Class I		470,664		259,613		31,937		698,340		4,322,722		4,935		-		(45,618	)
MassMutual Select Diversified Value Fund, Class I		285,433		130,484		32,483		383,434		5,391,083		71,432		-		(3,880	)
MassMutual Select Focused Value Fund, Class I		126,809		96,877		15,689		207,997		3,544,276		55,414		450,479		(102,268	)
MassMutual Select Fundamental Growth Fund, Class I		478,129		250,929		79,571		649,487		5,001,047		43,629		468,161		(43,184	)
MassMutual Select Fundamental Value Fund, Class I		268,296		177,984		32,209		414,071		4,811,510		75,187		441,825		(76,783	)
MassMutual Select Growth Opportunities Fund, Class I		220,017		136,502		19,088		337,431		3,370,933		-		328,459		(17,238	)
MassMutual Select Large Cap Value Fund, Class I		405,396		277,438		38,994		643,840		4,358,798		110,180		441,492		(108,937	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		148,466		74,631		45,287		177,810		3,202,358		-		262,067		(88,462	)
MassMutual Select Mid-Cap Value Fund, Class I		235,485		154,461		44,883		345,063		4,327,095		56,627		571,797		(150,023	)
MassMutual Select Overseas Fund, Class I		1,253,605		690,514		93,809		1,850,310		13,969,842		199,595		-		(149,518	)
MassMutual Select Small Cap Growth Equity Fund, Class I		145,779		119,973		41,073		224,679		2,628,750		-		570,773		(222,246	)
MassMutual Select Small Cap Value Equity Fund, Class I		220,213		104,598		55,117		269,694		4,058,895		22,965		130,647		(49,816	)
MassMutual Select Small Company Value Fund, Class I		111,290		90,486		35,982		165,794		1,687,781		11,322		377,708		(123,291	)
MassMutual Select Strategic Bond Fund, Class I		79,018		58,870		27,887		110,001		1,122,012		28,860		-		(3,950	)
MassMutual Select Total Return Bond Fund, Class I		129,528		52,054		30,194		151,388		1,533,557		30,545		3,855		(3,752	)
MM MSCI EAFE International Index Fund, Class I		754,268		418,604		51,537		1,121,335		12,850,504		258,146		27,139		(118,403	)
MM Russell 2000 Small Cap Index Fund, Class I		302,125		144,442		76,716		369,851		4,105,341		49,025		101,402		(177,048	)
MM S&P Mid Cap Index Fund, Class I		312,159		166,532		79,901		398,790		4,996,833		63,936		201,592		(124,858	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		2,191,242		1,052,801		379,466		2,864,577		4,898,427		-		-		(550,287	)
Oppenheimer Developing Markets Fund, Class I**		38,546		7,541		12,898		33,189		1,025,873		12,913		-		(137,198	)
Oppenheimer Global Real Estate Fund, Class I**		286,878		190,518		22,977		454,419		5,130,391		52,132		4,581		(1,379	)
Oppenheimer International Bond Fund, Class I**		219,339		243,883		42,983		420,239		2,391,160		36,361		-		(12,812	)
Oppenheimer Real Estate Fund, Class I**		31,884		19,489		5,756		45,617		1,282,292		12,176		69,039		(9,873	)
									$	156,557,916	$	2,115,778	$	6,259,324	$	(2,721,819	)
MM RetireSMART 2040 Fund
Babson Global Floating Rate Fund, Class Y*		461,714		194,668		26,138		630,244	$	5,684,805	$	138,531	$	-	$	(31,591	)
MassMutual Premier Core Bond Fund, Class I		1,031,928		206,710		175,766		1,062,872		11,574,679		355,393		159,710		(70,306	)
MassMutual Premier Disciplined Growth Fund, Class I		1,387,125		346,369		190,318		1,543,176		17,407,025		199,006		1,199,037		(160,774	)
MassMutual Premier Disciplined Value Fund, Class I		1,069,348		211,661		132,844		1,148,165		17,337,289		353,178		314,626		(35,513	)
MassMutual Premier High Yield Fund, Class I		561,371		444,396		157,038		848,729		7,129,323		326,429		-		(216,761	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		457,862		163,095		99,895		521,062		5,455,517		64,930		-		(68,185	)
MassMutual Premier International Equity Fund, Class I		1,013,810		208,114		107,336		1,114,588		13,040,685		147,397		472,001		(434,969	)
MassMutual Premier Money Market Fund, Class R5		1,396,893		229,034		1,580,943		44,984		44,984		50		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		333,056		208,647		103,290		438,413		4,484,966		93,702		-		(15,777	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		990,736		334,076		93,058		1,231,754		12,108,142		91,275		-		(248,587	)
MassMutual Select Blue Chip Growth Fund, Class I		632,413		242,265		83,278		791,400		12,140,082		66,584		1,872,274		(59,568	)

97

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2040 Fund (Continued)
MassMutual Select Diversified International Fund, Class I		1,211,997		316,009		118,870		1,409,136	$	8,722,551	$	11,036	$	-	$	(166,242	)
MassMutual Select Diversified Value Fund, Class I		789,658		152,500		111,796		830,362		11,674,897		171,217		-		11,609
MassMutual Select Focused Value Fund, Class I		322,426		139,500		48,208		413,718		7,049,760		122,016		991,908		(283,042	)
MassMutual Select Fundamental Growth Fund, Class I		1,323,867		344,891		262,571		1,406,187		10,827,641		104,699		1,123,474		(148,924	)
MassMutual Select Fundamental Value Fund, Class I		742,512		263,917		109,712		896,717		10,419,851		180,205		1,058,944		(241,853	)
MassMutual Select Growth Opportunities Fund, Class I		607,325		190,943		68,872		729,396		7,286,662		-		787,643		(36,825	)
MassMutual Select Large Cap Value Fund, Class I		1,122,131		417,489		145,330		1,394,290		9,439,347		264,153		1,058,467		(412,063	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		385,518		89,802		114,998		360,322		6,489,407		-		590,392		(148,748	)
MassMutual Select Mid-Cap Value Fund, Class I		611,200		214,739		125,718		700,221		8,780,774		127,556		1,288,009		(3,442	)
MassMutual Select Overseas Fund, Class I		3,226,990		836,160		329,454		3,733,696		28,189,402		446,363		-		51,355
MassMutual Select Small Cap Growth Equity Fund, Class I		380,990		178,572		106,165		453,397		5,304,741		-		1,294,358		(732,850	)
MassMutual Select Small Cap Value Equity Fund, Class I		576,371		113,188		143,485		546,074		8,218,420		52,083		296,297		(192,825	)
MassMutual Select Small Company Value Fund, Class I		291,916		139,095		95,505		335,506		3,415,448		25,669		856,327		(394,784	)
MassMutual Select Strategic Bond Fund, Class I		190,934		82,717		65,333		208,318		2,124,843		59,961		-		(15,703	)
MassMutual Select Total Return Bond Fund, Class I		317,907		58,037		86,164		289,780		2,935,470		63,516		8,016		(23,636	)
MM MSCI EAFE International Index Fund, Class I		1,943,084		512,426		192,807		2,262,703		25,930,575		576,425		60,600		(51,598	)
MM Russell 2000 Small Cap Index Fund, Class I		790,014		154,858		197,080		747,792		8,300,488		111,196		229,997		(433,466	)
MM S&P Mid Cap Index Fund, Class I		809,975		198,884		209,741		799,118		10,012,943		144,016		454,089		(318,974	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		5,454,483		1,117,842		983,368		5,588,957		9,557,116		-		-		(1,346,884	)
Oppenheimer Developing Markets Fund, Class I**		101,818		4,819		35,616		71,021		2,195,252		30,212		-		(365,366	)
Oppenheimer Global Real Estate Fund, Class I **		707,812		272,342		78,590		901,564		10,178,663		110,991		10,007		61,054
Oppenheimer International Bond Fund, Class I**		508,717		374,891		111,215		772,393		4,394,919		71,540		-		(58,752	)
Oppenheimer Real Estate Fund, Class I**		78,982		27,387		15,347		91,022		2,558,629		25,920		152,592		(15,242	)
									$	310,415,296	$	4,535,249	$	14,278,768	$	(6,609,232	)
MM RetireSMART 2045 Fund
Babson Global Floating Rate Fund, Class Y*		65,889		58,743		4,961		119,671	$	1,079,431	$	24,002	$	-	$	(3,125	)
MassMutual Premier Core Bond Fund, Class I		169,488		107,371		18,660		258,199		2,811,783		71,293		32,038		(8,229	)
MassMutual Premier Disciplined Growth Fund, Class I		284,773		156,624		34,361		407,036		4,591,366		46,152		278,069		(33,224	)
MassMutual Premier Disciplined Value Fund, Class I		219,478		106,735		23,151		303,062		4,576,239		81,926		72,983		(7,703	)
MassMutual Premier High Yield Fund, Class I		81,974		128,038		19,883		190,129		1,597,083		59,470		-		(19,379	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		60,730		50,676		7,905		103,501		1,083,660		10,575		-		(2,022	)
MassMutual Premier International Equity Fund, Class I		227,087		113,922		17,970		323,039		3,779,560		37,520		120,149		(64,773	)
MassMutual Premier Money Market Fund, Class R5		236,659		125,549		344,964		17,244		17,244		10		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		53,783		61,973		10,879		104,877		1,072,890		18,492		-		(1,918	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		227,830		154,678		15,405		367,103		3,608,622		23,793		-		(44,946	)
MassMutual Select Blue Chip Growth Fund, Class I		151,515		109,886		15,930		245,471		3,765,521		18,073		508,188		(3,628	)
MassMutual Select Diversified International Fund, Class I		271,628		156,226		18,644		409,210		2,533,008		2,803		-		(26,351	)
MassMutual Select Diversified Value Fund, Class I		188,825		90,606		21,717		257,714		3,623,456		46,489		-		(1,415	)
MassMutual Select Focused Value Fund, Class I		71,636		56,597		9,593		118,640		2,021,627		30,618		248,901		(60,921	)
MassMutual Select Fundamental Growth Fund, Class I		316,301		173,003		53,902		435,402		3,352,596		28,344		304,142		(30,748	)
MassMutual Select Fundamental Value Fund, Class I		177,855		121,821		21,324		278,352		3,234,445		48,944		287,611		(49,430	)
MassMutual Select Growth Opportunities Fund, Class I		145,426		94,590		13,368		226,648		2,264,216		-		213,780		(12,492	)

98

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2045 Fund (Continued)
MassMutual Select Large Cap Value Fund, Class I		268,405		190,960		26,592		432,773	$	2,929,874	$	71,710	$	287,343	$	(73,166	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		86,925		45,848		26,885		105,888		1,907,034		-		151,066		(53,638	)
MassMutual Select Mid-Cap Value Fund, Class I		138,015		94,598		27,409		205,204		2,573,259		32,644		329,631		(90,934	)
MassMutual Select Overseas Fund, Class I		723,451		411,774		50,946		1,084,279		8,186,304		113,399		-		(80,186	)
MassMutual Select Small Cap Growth Equity Fund, Class I		86,847		75,345		24,943		137,249		1,605,810		-		334,973		(137,883	)
MassMutual Select Small Cap Value Equity Fund, Class I		131,283		65,533		32,595		164,221		2,471,527		13,474		76,656		(30,583	)
MassMutual Select Small Company Value Fund, Class I		66,453		56,730		22,102		101,081		1,029,005		6,648		221,784		(85,713	)
MassMutual Select Strategic Bond Fund, Class I		30,464		32,832		18,599		44,697		455,914		11,987		-		(2,581	)
MassMutual Select Total Return Bond Fund, Class I		53,379		28,868		15,047		67,200		680,741		12,661		1,598		(2,274	)
MM MSCI EAFE International Index Fund, Class I		436,302		252,034		31,247		657,089		7,530,236		146,323		15,384		(71,126	)
MM Russell 2000 Small Cap Index Fund, Class I		179,822		91,274		45,481		225,615		2,504,331		28,770		59,508		(105,359	)
MM S&P Mid Cap Index Fund, Class I		183,022		102,477		49,983		235,516		2,951,018		36,858		116,215		(75,475	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		1,168,034		619,647		202,112		1,585,569		2,711,324		-		-		(301,119	)
Oppenheimer Developing Markets Fund, Class I**		22,120		3,732		6,802		19,050		588,822		7,263		-		(72,192	)
Oppenheimer Global Real Estate Fund, Class I**		151,546		111,507		11,612		251,441		2,838,771		28,509		2,482		252
Oppenheimer International Bond Fund, Class I**		76,242		121,554		17,427		180,369		1,026,302		14,719		-		(4,720	)
Oppenheimer Real Estate Fund, Class I**		16,934		10,815		2,518		25,231		709,232		6,683		37,479		(4,020	)
									$	87,712,251	$	1,080,152	$	3,699,980	$	(1,561,021	)
MM RetireSMART 2050 Fund
Babson Global Floating Rate Fund, Class Y*		65,429		44,345		6,601		103,173	$	930,618	$	20,545	$	-	$	(3,371	)
MassMutual Premier Core Bond Fund, Class I		164,278		77,119		27,273		214,124		2,331,806		56,243		25,275		(7,810	)
MassMutual Premier Disciplined Growth Fund, Class I		525,620		174,630		49,043		651,207		7,345,620		77,269		465,557		(25,179	)
MassMutual Premier Disciplined Value Fund, Class I		405,247		112,305		33,985		483,567		7,301,868		137,147		122,177		(2,024	)
MassMutual Premier High Yield Fund, Class I		76,145		98,284		17,642		156,787		1,317,010		45,241		-		(8,524	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		54,621		33,845		2,816		85,650		896,755		8,365		-		(814	)
MassMutual Premier International Equity Fund, Class I		416,552		126,636		24,342		518,846		6,070,504		62,910		201,454		(103,559	)
MassMutual Premier Money Market Fund, Class R5		221,292		54,753		245,802		30,243		30,243		8		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		50,292		61,957		24,693		87,556		895,696		14,560		-		(5,837	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		414,561		190,396		21,600		583,357		5,734,400		39,540		-		(45,529	)
MassMutual Select Blue Chip Growth Fund, Class I		279,398		136,355		22,561		393,192		6,031,569		30,265		851,010		(4,708	)
MassMutual Select Diversified International Fund, Class I		499,111		183,865		26,453		656,523		4,063,880		4,698		-		(36,947	)
MassMutual Select Diversified Value Fund, Class I		348,981		97,615		33,730		412,866		5,804,903		77,832		-		7,846
MassMutual Select Focused Value Fund, Class I		132,088		70,997		13,023		190,062		3,238,664		51,167		415,953		(64,943	)
MassMutual Select Fundamental Growth Fund, Class I		584,315		198,923		85,169		698,069		5,375,129		47,539		510,122		(26,912	)
MassMutual Select Fundamental Value Fund, Class I		327,962		149,838		29,733		448,067		5,206,533		81,919		481,383		(45,498	)
MassMutual Select Growth Opportunities Fund, Class I		268,928		111,791		17,948		362,771		3,624,084		-		357,975		(8,218	)
MassMutual Select Large Cap Value Fund, Class I		496,099		235,831		35,245		696,685		4,716,560		120,057		481,072		(92,157	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		160,581		50,713		40,787		170,507		3,070,835		-		253,095		(79,726	)
MassMutual Select Mid-Cap Value Fund, Class I		254,908		113,445		38,600		329,753		4,135,100		54,677		552,104		(102,459	)
MassMutual Select Overseas Fund, Class I		1,327,387		482,831		70,572		1,739,646		13,134,330		190,038		-		(93,532	)
MassMutual Select Small Cap Growth Equity Fund, Class I		159,912		93,666		36,463		217,115		2,540,249		-		559,607		(250,256	)

99

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income			Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2050 Fund (Continued)
MassMutual Select Small Cap Value Equity Fund, Class I		241,907		68,144		49,592		260,459	$	3,919,908	$	22,515		$	128,087	$	(58,458	)
MassMutual Select Small Company Value Fund, Class I		122,156		71,739		33,742		160,153		1,630,356		11,096			370,180		(130,366	)
MassMutual Select Strategic Bond Fund, Class I		27,575		18,435		30,237		15,773		160,889		9,460			-		(2,987	)
MassMutual Select Total Return Bond Fund, Class I		57,476		21,081		31,510		47,047		476,585		9,997			1,262		(873	)
MM MSCI EAFE International Index Fund, Class I		802,797		294,322		42,866		1,054,253		12,081,737		245,203			25,778		(97,910	)
MM Russell 2000 Small Cap Index Fund, Class I		331,450		96,012		70,147		357,315		3,966,202		48,065			99,416		(163,650	)
MM S&P Mid Cap Index Fund, Class I		337,597		114,823		77,100		375,320		4,702,753		61,742			194,676		(71,563	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		2,116,174		716,540		292,739		2,539,975		4,343,356		-			-		(462,555	)
Oppenheimer Developing Markets Fund, Class I**		41,846		3,225		13,043		32,028		989,987		12,777			-		(140,545	)
Oppenheimer Global Real Estate Fund, Class I**		278,969		143,507		13,689		408,787		4,615,209		47,279			4,173		6,120
Oppenheimer International Bond Fund, Class I**		49,928		115,353		13,698		151,583		862,509		11,834			-		(2,000	)
Oppenheimer Real Estate Fund, Class I**		30,937		13,867		3,795		41,009		1,152,755		11,076			63,349		(9,387	)
									$	132,698,602	$	1,611,064		$	6,163,705	$	(2,134,331	)
MM RetireSMART 2055 Fund
Babson Global Floating Rate Fund, Class Y*		6,444		8,111		576		13,979	$	126,087	$	2,538		$	-	$	(358	)
MassMutual Premier Core Bond Fund, Class I		17,126		16,922		3,417		30,631		333,573		7,356			3,306		(1,110	)
MassMutual Premier Disciplined Growth Fund, Class I		55,368		46,304		6,816		94,856		1,069,979		10,126			61,013		(10,700	)
MassMutual Premier Disciplined Value Fund, Class I		42,673		32,578		4,799		70,452		1,063,830		17,982			16,019		(3,670	)
MassMutual Premier High Yield Fund, Class I		8,404		19,275		3,436		24,243		203,638		6,476			-		(748	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		5,758		7,266		490		12,534		131,226		1,085			-		(124	)
MassMutual Premier International Equity Fund, Class I		44,123		35,209		3,841		75,491		883,244		8,218			26,318		(11,072	)
MassMutual Premier Money Market Fund, Class R5		23,312		16,887		35,483		4,716		4,716		-	†		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		5,304		10,967		3,444		12,827		131,224		1,915			-		(891	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		45,398		45,813		4,718		86,493		850,229		5,296			-		(15,136	)
MassMutual Select Blue Chip Growth Fund, Class I		29,554		31,245		3,569		57,230		877,913		3,922			110,287		(5,686	)
MassMutual Select Diversified International Fund, Class I		52,886		47,416		4,614		95,688		592,308		608			-		(6,242	)
MassMutual Select Diversified Value Fund, Class I		36,761		27,848		4,532		60,077		844,683		10,095			-		(1,904	)
MassMutual Select Focused Value Fund, Class I		14,011		15,904		2,201		27,714		472,253		6,662			54,156		(15,465	)
MassMutual Select Fundamental Growth Fund, Class I		61,321		50,245		10,040		101,526		781,750		6,131			65,790		(8,806	)
MassMutual Select Fundamental Value Fund, Class I		34,633		35,123		4,454		65,302		758,810		10,627			62,451		(11,489	)
MassMutual Select Growth Opportunities Fund, Class I		28,498		27,484		3,168		52,814		527,613		-			46,362		(3,500	)
MassMutual Select Large Cap Value Fund, Class I		52,240		54,712		5,417		101,535		687,390		15,561			62,352		(15,265	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		16,862		13,610		5,529		24,943		449,223		-			32,766		(10,378	)
MassMutual Select Mid-Cap Value Fund, Class I		26,828		26,875		5,579		48,124		603,477		7,080			71,492		(19,078	)
MassMutual Select Overseas Fund, Class I		140,887		124,942		12,289		253,540		1,914,226		24,600			-		(16,950	)
MassMutual Select Small Cap Growth Equity Fund, Class I		16,944		20,827		5,620		32,151		376,164		-			72,895		(32,307	)
MassMutual Select Small Cap Value Equity Fund, Class I		25,550		19,995		7,063		38,482		579,159		2,932			16,683		(8,884	)
MassMutual Select Small Company Value Fund, Class I		12,843		15,513		4,687		23,669		240,949		1,447			48,281		(19,409	)
MassMutual Select Strategic Bond Fund, Class I		2,906		3,697		5,498		1,105		11,273		1,222			-		54
MassMutual Select Total Return Bond Fund, Class I		5,856		4,593		4,313		6,136		62,162		1,286			162		(136	)
MM MSCI EAFE International Index Fund, Class I		85,098		76,009		7,471		153,636		1,760,670		31,779			3,341		(17,691	)
MM Russell 2000 Small Cap Index Fund, Class I		35,011		28,099		10,262		52,848		586,607		6,258			12,945		(20,322	)

100

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 09/30/15		Purchases		Sales		Number of Shares Held as of 03/31/16		Value as of 03/31/16		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
MM RetireSMART 2055 Fund (Continued)
MM S&P Mid Cap Index Fund, Class I		35,588		30,718		11,081		55,225	$	691,965	$	7,998	$	25,217	$	(18,708	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		223,578		195,426		47,229		371,775		635,735		-		-		(54,275	)
Oppenheimer Developing Markets Fund, Class I**		4,102		1,083		985		4,200		129,823		1,471		-		(8,877	)
Oppenheimer Global Real Estate Fund, Class I**		29,153		31,756		2,318		58,591		661,493		6,348		542		(108	)
Oppenheimer International Bond Fund, Class I**		5,543		18,373		2,153		21,763		123,832		1,602		-		(249	)
Oppenheimer Real Estate Fund, Class I**		3,252		3,121		497		5,876		165,178		1,482		8,035		(715	)
									$	19,332,402	$	210,103	$	800,413	$	(340,199	)
MM RetireSMART 2060 Fund
Babson Global Floating Rate Fund, Class Y*		-		8,497		432		8,065	$	72,747	$	1,280	$	-	$	(76	)
MassMutual Premier Core Bond Fund, Class I		-		16,478		716		15,762		171,649		4,534		2,038		(223	)
MassMutual Premier Disciplined Growth Fund, Class I		-		47,922		762		47,160		531,959		6,087		36,677		(433	)
MassMutual Premier Disciplined Value Fund, Class I		-		35,609		590		35,019		528,786		10,851		9,666		(257	)
MassMutual Premier High Yield Fund, Class I		-		10,835		95		10,740		90,213		3,497		-		(26	)
MassMutual Premier Inflation-Protected and Income Fund, Class I		-		6,294		86		6,208		64,994		665		-		(2	)
MassMutual Premier International Equity Fund, Class I		-		38,667		1,029		37,638		440,370		4,996		15,997		(633	)
MassMutual Premier Money Market Fund, Class R5		-		20,110		18,334		1,776		1,776		1		-		-
MassMutual Premier Short-Duration Bond Fund, Class I		-		8,980		2,631		6,349		64,953		1,154		-		(724	)
MassMutual Premier Strategic Emerging Markets Fund, Class I		-		40,968		700		40,268		395,832		3,106		-		(261	)
MassMutual Select Blue Chip Growth Fund, Class I		-		28,894		430		28,464		436,645		2,361		66,389		(740	)
MassMutual Select Diversified International Fund, Class I		-		48,253		723		47,530		294,214		373		-		(109	)
MassMutual Select Diversified Value Fund, Class I		-		30,425		494		29,931		420,829		6,125		-		(176	)
MassMutual Select Focused Value Fund, Class I		-		14,108		366		13,742		234,156		4,155		33,776		(1,047	)
MassMutual Select Fundamental Growth Fund, Class I		-		51,358		795		50,563		389,334		3,556		38,159		(416	)
MassMutual Select Fundamental Value Fund, Class I		-		33,518		1,071		32,447		377,037		6,475		38,051		(1,496	)
MassMutual Select Growth Opportunities Fund, Class I		-		26,627		414		26,213		261,868		-		27,942		(347	)
MassMutual Select Large Cap Value Fund, Class I		-		51,418		970		50,448		341,535		9,393		37,639		(751	)
MassMutual Select Mid Cap Growth Equity II Fund, Class I		-		14,488		2,227		12,261		220,817		-		19,764		(7,287	)
MassMutual Select Mid-Cap Value Fund, Class I		-		25,940		2,119		23,821		298,715		4,283		43,247		(6,450	)
MassMutual Select Overseas Fund, Class I		-		127,886		1,916		125,970		951,070		15,185		-		(356	)
MassMutual Select Small Cap Growth Equity Fund, Class I		-		17,523		2,117		15,406		180,248		-		43,581		(10,085	)
MassMutual Select Small Cap Value Equity Fund, Class I		-		21,017		2,440		18,577		279,579		1,754		9,981		(5,713	)
MassMutual Select Small Company Value Fund, Class I		-		12,823		1,408		11,415		116,206		870		29,035		(6,300	)
MassMutual Select Strategic Bond Fund, Class I		-		3,346		1,063		2,283		23,283		736		-		(75	)
MassMutual Select Total Return Bond Fund, Class I		-		4,623		574		4,049		41,017		765		97		(18	)
MM MSCI EAFE International Index Fund, Class I		-		77,496		1,163		76,333		874,782		19,726		2,074		(373	)
MM Russell 2000 Small Cap Index Fund, Class I		-		28,587		3,165		25,422		282,188		3,720		7,695		(5,513	)
MM S&P Mid Cap Index Fund, Class I		-		31,759		4,875		26,884		336,857		4,846		15,279		(9,111	)
Oppenheimer Commodity Strategy Total Return Fund, Class I**		-		219,353		36,417		182,936		312,821		-		-		(5,916	)
Oppenheimer Developing Markets Fund, Class I**		-		3,471		643		2,828		87,427		1,003		-		(2,204	)
Oppenheimer Global Real Estate Fund, Class I**		-		30,604		875		29,729		335,639		3,730		337		62
Oppenheimer International Bond Fund, Class I**		-		11,868		721		11,147		63,429		717		-		55
Oppenheimer Real Estate Fund, Class I**		-		3,070		43		3,027		85,084		863		5,072		(33	)
									$	9,608,059	$	126,807	$	482,496	$	(67,034	)

* Fund advised by Babson Capital Management LLC.

** Fund advised by OFI Global Asset Management, Inc.

† Amount is less than $0.50.

101

Notes to Financial Statements (Unaudited) (Continued)

8. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

9. New Accounting Pronouncements

In May 2015, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2015-07, Fair Value Measurement (Topic 820): “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)” (“ASU 2015-07”) to address the diversity in practice of how investments measured at net asset value with redemption dates in the future (including periodic redemption dates) are categorized within the fair value hierarchy. ASU 2015-07 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2015. Management is currently evaluating the implications of these changes and their impact to the financial statements.

10. Subsequent Events

In preparation of these financial statements, management has evaluated the events and transactions subsequent to March 31, 2016, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.

102

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser uses to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov 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 meeting in November 2015, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust or MML Advisers (the “Independent Trustees”), reviewed and approved the advisory agreement for one new series of the Trust, the MM RetireSMART 2060 Fund (the “New Fund”), subject to approval by the shareholders of the New Fund of the advisory agreement. In preparation for the meeting, the Trustees requested, and MML Advisers provided in advance, certain materials relevant to the consideration of the advisory agreement (the “Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

In reviewing and approving the advisory agreement, the Trustees considered the Materials and information discussed with representatives of MML Advisers at the meeting relating to MML Advisers and the nature, scope, and quality of services MML Advisers would provide to the New Fund. The Trustees considered a number of factors they believed to be relevant to the interests of shareholders of the New Fund including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the New Fund; (iii) MML Advisers’ ability to provide investment oversight and administrative and shareholder services to the New Fund; (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the New Fund and the needs of the New Fund for administrative and shareholder services; and (v) the proposed advisory fee for the New Fund and comparative information regarding fees paid by peer funds.

The Trustees also reviewed and considered information included in the Materials, or discussed at the meeting, concerning possible economies of scale and potential profitability of MML Advisers’ advisory relationship with the New Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the New Fund and the so-called “fallout benefits” to MML Advisers, such as any reputational value derived from serving as investment adviser to the New Fund.

Prior to the votes being taken to approve the advisory agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of the contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the advisory agreement, including the anticipated level of MML Advisers’ oversight of the New Fund; (ii) MML Advisers’ projected level of profitability from its relationship with the New Fund was not excessive and the advisory fee amount under the advisory agreement and the New Fund’s total expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of MML Advisers would be well suited to the New Fund given its investment objective and policies; and (iv) the terms of the advisory agreement were fair and reasonable with respect to the New Fund and were in the best interests of the New Fund’s shareholders.

The advisory agreement became effective on November 23, 2015

103

Other Information (Unaudited) (Continued)

Fund Expenses March 31, 2016

Expense Examples:

The following information is in regards to expenses for the six months ended March 31, 2016:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended March 31, 2016.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART Conservative Fund
Class I	$	1,000		0.02	%	$	1,021.60	$	0.10	$	1,024.90	$	0.10
Class R5		1,000		0.12	%		1,021.00		0.61		1,024.40		0.61
Service Class		1,000		0.22	%		1,021.10		1.11		1,023.90		1.11
Administrative Class		1,000		0.32	%		1,020.50		1.62		1,023.40		1.62
Class A		1,000		0.57	%		1,019.70		2.88		1,022.20		2.88
Class R4		1,000		0.47	%		1,019.50		2.37		1,022.70		2.38
Class R3		1,000		0.72	%		1,018.80		3.63		1,021.40		3.64

104

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART Moderate Fund
Class I	$	1,000		0.04	%	$	1,028.50	$	0.20	$	1,024.80	$	0.20
Class R5		1,000		0.14	%		1,027.60		0.71		1,024.30		0.71
Service Class		1,000		0.24	%		1,026.70		1.22		1,023.80		1.21
Administrative Class		1,000		0.34	%		1,027.20		1.72		1,023.30		1.72
Class A		1,000		0.59	%		1,025.10		2.99		1,022.10		2.98
Class R4		1,000		0.49	%		1,026.20		2.48		1,022.60		2.48
Class R3		1,000		0.74	%		1,024.50		3.75		1,021.30		3.74
MM RetireSMART Moderate Growth Fund
Class I		1,000		0.04	%		1,030.90		0.20		1,024.80		0.20
Class R5		1,000		0.14	%		1,031.30		0.71		1,024.30		0.71
Service Class		1,000		0.24	%		1,030.10		1.22		1,023.80		1.21
Administrative Class		1,000		0.34	%		1,029.60		1.73		1,023.30		1.72
Class A		1,000		0.59	%		1,028.50		2.99		1,022.10		2.98
Class R4		1,000		0.49	%		1,029.20		2.49		1,022.60		2.48
Class R3		1,000		0.74	%		1,027.70		3.75		1,021.30		3.74
MM RetireSMART Growth Fund
Class I		1,000		0.07	%		1,033.30		0.36		1,024.70		0.35
Class R5		1,000		0.17	%		1,033.40		0.86		1,024.20		0.86
Service Class		1,000		0.27	%		1,032.70		1.37		1,023.70		1.37
Administrative Class		1,000		0.37	%		1,031.90		1.88		1,023.20		1.87
Class A		1,000		0.62	%		1,031.30		3.15		1,021.90		3.13
Class R4		1,000		0.52	%		1,031.50		2.64		1,022.40		2.63
Class R3		1,000		0.77	%		1,029.30		3.91		1,021.20		3.89
MM RetireSMART In Retirement Fund
Class I		1,000		0.06	%		1,025.00		0.30		1,024.70		0.30
Class R5		1,000		0.16	%		1,024.00		0.81		1,024.20		0.81
Service Class		1,000		0.26	%		1,023.90		1.32		1,023.70		1.32
Administrative Class		1,000		0.36	%		1,023.00		1.82		1,023.20		1.82
Class A		1,000		0.61	%		1,021.20		3.08		1,022.00		3.08
Class R4		1,000		0.51	%		1,022.30		2.58		1,022.50		2.58
Class R3		1,000		0.76	%		1,020.50		3.84		1,021.20		3.84
MM RetireSMART 2010 Fund
Class I		1,000		0.04	%		1,026.50		0.20		1,024.80		0.20
Class R5		1,000		0.14	%		1,026.30		0.71		1,024.30		0.71
Service Class		1,000		0.24	%		1,025.30		1.22		1,023.80		1.21
Administrative Class		1,000		0.34	%		1,025.40		1.72		1,023.30		1.72
Class A		1,000		0.59	%		1,023.70		2.98		1,022.10		2.98
Class R4		1,000		0.49	%		1,023.90		2.48		1,022.60		2.48
Class R3		1,000		0.74	%		1,023.20		3.74		1,021.30		3.74
MM RetireSMART 2015 Fund
Class I		1,000		0.06	%		1,027.50		0.30		1,024.70		0.30
Class R5		1,000		0.16	%��		1,026.50		0.81		1,024.20		0.81
Service Class		1,000		0.26	%		1,027.60		1.32		1,023.70		1.32
Administrative Class		1,000		0.36	%		1,026.10		1.82		1,023.20		1.82
Class A		1,000		0.61	%		1,024.90		3.09		1,022.00		3.08
Class R4		1,000		0.51	%		1,025.90		2.58		1,022.50		2.58
Class R3		1,000		0.76	%		1,024.10		3.85		1,021.20		3.84

105

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART 2020 Fund
Class I	$	1,000		0.04	%	$	1,030.60	$	0.20	$	1,024.80	$	0.20
Class R5		1,000		0.14	%		1,030.70		0.71		1,024.30		0.71
Service Class		1,000		0.24	%		1,030.10		1.22		1,023.80		1.21
Administrative Class		1,000		0.34	%		1,029.20		1.72		1,023.30		1.72
Class A		1,000		0.59	%		1,027.30		2.99		1,022.10		2.98
Class R4		1,000		0.49	%		1,027.40		2.48		1,022.60		2.48
Class R3		1,000		0.74	%		1,026.60		3.75		1,021.30		3.74
MM RetireSMART 2025 Fund
Class I		1,000		0.01	%		1,030.70		0.05		1,025.00		0.05
Class R5		1,000		0.11	%		1,030.60		0.56		1,024.50		0.56
Service Class		1,000		0.21	%		1,030.70		1.07		1,024.00		1.06
Administrative Class		1,000		0.31	%		1,029.70		1.57		1,023.50		1.57
Class A		1,000		0.56	%		1,028.60		2.84		1,022.20		2.83
Class R4		1,000		0.46	%		1,029.30		2.33		1,022.70		2.33
Class R3		1,000		0.71	%		1,027.30		3.60		1,021.50		3.59
MM RetireSMART 2030 Fund
Class I		1,000		0.04	%		1,031.30		0.20		1,024.80		0.20
Class R5		1,000		0.14	%		1,030.50		0.71		1,024.30		0.71
Service Class		1,000		0.24	%		1,030.10		1.22		1,023.80		1.21
Administrative Class		1,000		0.34	%		1,029.90		1.73		1,023.30		1.72
Class A		1,000		0.59	%		1,029.10		2.99		1,022.10		2.98
Class R4		1,000		0.49	%		1,029.80		2.49		1,022.60		2.48
Class R3		1,000		0.74	%		1,027.00		3.75		1,021.30		3.74
MM RetireSMART 2035 Fund
Class I		1,000		0.05	%		1,031.80		0.25		1,024.80		0.25
Class R5		1,000		0.15	%		1,030.90		0.76		1,024.30		0.76
Service Class		1,000		0.25	%		1,030.70		1.27		1,023.80		1.26
Administrative Class		1,000		0.35	%		1,030.40		1.78		1,023.30		1.77
Class A		1,000		0.60	%		1,029.70		3.04		1,022.00		3.03
Class R4		1,000		0.50	%		1,029.60		2.54		1,022.50		2.53
Class R3		1,000		0.75	%		1,028.50		3.80		1,021.30		3.79
MM RetireSMART 2040 Fund
Class I		1,000		0.04	%		1,032.20		0.20		1,024.80		0.20
Class R5		1,000		0.14	%		1,032.30		0.71		1,024.30		0.71
Service Class		1,000		0.24	%		1,030.80		1.22		1,023.80		1.21
Administrative Class		1,000		0.34	%		1,030.00		1.73		1,023.30		1.72
Class A		1,000		0.59	%		1,029.20		2.99		1,022.10		2.98
Class R4		1,000		0.49	%		1,029.70		2.49		1,022.60		2.48
Class R3		1,000		0.74	%		1,028.30		3.75		1,021.30		3.74
MM RetireSMART 2045 Fund
Class I		1,000		0.02	%		1,033.70		0.10		1,024.90		0.10
Class R5		1,000		0.12	%		1,032.70		0.61		1,024.40		0.61
Service Class		1,000		0.22	%		1,032.80		1.12		1,023.90		1.11
Administrative Class		1,000		0.32	%		1,031.80		1.63		1,023.40		1.62
Class A		1,000		0.57	%		1,030.20		2.89		1,022.20		2.88
Class R4		1,000		0.47	%		1,031.50		2.39		1,022.70		2.38
Class R3		1,000		0.72	%		1,029.30		3.65		1,021.40		3.64

106

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART 2050 Fund
Class I	$	1,000		0.02	%	$	1,033.70	$	0.10	$	1,024.90	$	0.10
Class R5		1,000		0.12	%		1,032.90		0.61		1,024.40		0.61
Service Class		1,000		0.22	%		1,032.90		1.12		1,023.90		1.11
Administrative Class		1,000		0.32	%		1,033.30		1.63		1,023.40		1.62
Class A		1,000		0.57	%		1,031.00		2.89		1,022.20		2.88
Class R4		1,000		0.47	%		1,030.90		2.39		1,022.70		2.38
Class R3		1,000		0.72	%		1,031.20		3.66		1,021.40		3.64
MM RetireSMART 2055 Fund
Class I		1,000		0.00	%		1,034.10		0.00		1,025.00		0.00
Class R5		1,000		0.10	%		1,033.00		0.51		1,024.50		0.51
Service Class		1,000		0.20	%		1,032.10		1.02		1,024.00		1.01
Administrative Class		1,000		0.30	%		1,032.40		1.52		1,023.50		1.52
Class A		1,000		0.55	%		1,031.40		2.79		1,022.30		2.78
Class R4		1,000		0.45	%		1,031.90		2.29		1,022.80		2.28
Class R3		1,000		0.70	%		1,030.40		3.55		1,021.50		3.54
MM RetireSMART 2060 Fund**
Class I		1,000		0.00	%		970.90		0.00		1,025.00		0.00
Class R5		1,000		0.10	%		969.70		0.35		1,024.50		0.51
Service Class		1,000		0.20	%		969.60		0.70		1,024.00		1.01
Administrative Class		1,000		0.30	%		969.50		1.05		1,023.50		1.52
Class A		1,000		0.55	%		968.30		1.92		1,022.30		2.78
Class R4		1,000		0.45	%		969.40		1.57		1,022.80		2.28
Class R3		1,000		0.70	%		968.10		2.45		1,021.50		3.54

* Expenses are calculated using the annualized expense ratio for the six months ended March 31, 2016, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 366 days in the year, unless stated otherwise.

** Actual expenses are calculated using the annualized expense ratio multiplied by the average account value over the period from inception of the Fund on November 23, 2015 through March 31, 2016, multiplied by 130 days in the inception period divided by 366 days in the year. Hypothetical expense are calculated using the annualized expense ratio for the six months ended March 31, 2016, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 366 days in the year.

107

Underwriter: MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981

^©2016 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. Investment Adviser: MML Investment Advisers, LLC RS-39569-00

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      5/26/16

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      5/26/16

By (Signature and Title)	/s/ Nicholas H. Palmerino
	Nicholas H. Palmerino, Treasurer and Principal Financial Officer

Date      5/26/16