N-CSRS 1 d173429dncsrs.htm MASSMUTUAL SELECT FUNDS MassMutual Select Funds
Table of Contents

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                      

     


Table of Contents

Item 1. Reports to Stockholders.


Table of Contents

LOGO


Table of Contents

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.


Table of Contents

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

 

To Our Shareholders

 

LOGO

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 AverageSM (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


Table of Contents

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,

 

LOGO

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


Table of Contents

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


Table of Contents

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


Table of Contents

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
    

 

 

 
 

 

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Table of Contents

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
    

 

 

 
 

 

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Table of Contents

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
    

 

 

 
 

 

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Table of Contents

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


Table of Contents

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
    

 

 

 
 

 

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Table of Contents

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
    

 

 

 
 

 

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Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


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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


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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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


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153


Table of Contents

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


Table of Contents

 

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

    
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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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.

 

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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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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
                  

 

 

      

 

 

 

 

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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.

 

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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   
                   

 

 

 

 

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       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

 

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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

 

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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.

 

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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

 

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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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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

 

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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.

 

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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.

 

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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.

 

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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

 

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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

 

 

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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


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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


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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


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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


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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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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

 

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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         -   

 

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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

 

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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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

Underwriter:

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LOGO

 

©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

LOGO


Table of Contents

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.


Table of Contents

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholder (Unaudited)

 

To Our Shareholders

 

LOGO

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 AverageSM (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


Table of Contents

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,

LOGO

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


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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


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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


Table of Contents

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


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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


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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


Table of Contents

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


Table of Contents

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


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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


Table of Contents

 

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


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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


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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.

 

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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

 

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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

 

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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   
           

 

 

   

 

 

   

 

 

 

 

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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.

 

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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

 

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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   

 

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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

 

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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.

 

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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.

 

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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.

 

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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%.

 

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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   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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    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

 

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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.

 

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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.

 

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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


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Underwriter:

MML Distributors, LLC

100 Bright Meadow Blvd.

Enfield, CT 06082-1981

     LOGO     

 

 

LOGO

 

©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

LOGO


Table of Contents

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 RetireSMARTSM 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.


Table of Contents

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

 

To Our Shareholders

 

LOGO

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 RetireSMARTSM 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 AverageSM (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


Table of Contents

MassMutual RetireSMARTSM 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,

 

LOGO

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


Table of Contents

MassMutual RetireSMARTSM (risk-based) Funds – Portfolio Summaries (Unaudited)

 

What are the investment approaches of the Funds that constitute the MassMutual RetireSMARTSM (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
    

 

 

 
 

 

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Table of Contents

MassMutual RetireSMARTSM (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


Table of Contents

MassMutual RetireSMARTSM (target-date) Funds – Portfolio Summaries (Unaudited)

 

What are the investment approaches of the Funds that constitute the MassMutual RetireSMARTSM (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
    

 

 

 
 

 

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Table of Contents

MassMutual RetireSMARTSM (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
    

 

 

 
 

 

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Table of Contents

MassMutual RetireSMARTSM (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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

 

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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.

 

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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 RetireSMARTSM Conservative Fund (“MM RetireSMART Conservative Fund”)

MassMutual RetireSMARTSM Moderate Fund (“MM RetireSMART Moderate Fund”)

MassMutual RetireSMARTSM Moderate Growth Fund (“MM RetireSMART Moderate Growth Fund”)

MassMutual RetireSMARTSM Growth Fund (“MM RetireSMART Growth Fund”)

MassMutual RetireSMARTSM In Retirement Fund (“MM RetireSMART In Retirement Fund”)

MassMutual RetireSMARTSM 2010 Fund (“MM RetireSMART 2010 Fund”)

MassMutual RetireSMARTSM 2015 Fund (“MM RetireSMART 2015 Fund”)

MassMutual RetireSMARTSM 2020 Fund (“MM RetireSMART 2020 Fund”)

MassMutual RetireSMARTSM 2025 Fund (“MM RetireSMART 2025 Fund”)

MassMutual RetireSMARTSM 2030 Fund (“MM RetireSMART 2030 Fund”)

MassMutual RetireSMARTSM 2035 Fund (“MM RetireSMART 2035 Fund”)

MassMutual RetireSMARTSM 2040 Fund (“MM RetireSMART 2040 Fund”)

MassMutual RetireSMARTSM 2045 Fund (“MM RetireSMART 2045 Fund”)

MassMutual RetireSMARTSM 2050 Fund (“MM RetireSMART 2050 Fund”)

MassMutual RetireSMARTSM 2055 Fund (“MM RetireSMART 2055 Fund”)

MassMutual RetireSMARTSM 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

 

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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.

 

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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.

 

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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.

 

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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%   

 

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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   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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    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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


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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


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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


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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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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


Table of Contents

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

 

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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


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Other Information (Unaudited) (Continued)

 

     Beginning
Value
     Annualized
Expense
Ratio
    Ending
Value (Based
on Actual
Returns and
Expenses)
     Operating
Expenses
Incurred*
     Ending
Value (Based
on
Hypothetical
Returns and
Expenses)
     Operating
Expenses
Incurred*
 
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


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Other Information (Unaudited) (Continued)

 

     Beginning
Value
     Annualized
Expense
Ratio
    Ending
Value (Based
on Actual
Returns and
Expenses)
     Operating
Expenses
Incurred*
     Ending
Value (Based
on
Hypothetical
Returns and
Expenses)
     Operating
Expenses
Incurred*
 
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


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Other Information (Unaudited) (Continued)

 

     Beginning
Value
     Annualized
Expense
Ratio
    Ending
Value (Based
on Actual
Returns and
Expenses)
     Operating
Expenses
Incurred*
     Ending
Value (Based
on
Hypothetical
Returns and
Expenses)
     Operating
Expenses
Incurred*
 
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


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Underwriter:

MML Distributors, LLC

100 Bright Meadow Blvd.

Enfield, CT 06082-1981

   LOGO

 

 

LOGO

 

©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


Table of Contents

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.


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(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.


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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