UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

  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:   9/30/2018                          

  Date of reporting period:   12/31/2017                    

Item 1. Schedule of Investments.

MassMutual Select Total Return Bond Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 98.8%
CORPORATE DEBT — 28.0%
Aerospace & Defense — 0.3%
Northrop Grumman Corp. 3.250% 1/15/28	$	1,375,000	$	1,377,008
United Technologies Corp. STEP 1.778% 5/04/18		1,717,000		1,714,374
				3,091,382
Agriculture — 0.3%
BAT Capital Corp. (a) 2.764% 8/15/22		1,395,000		1,387,403
BAT International Finance PLC (a) 1.850% 6/15/18		1,500,000		1,498,724
				2,886,127
Airlines — 0.9%
America West Airlines, Inc. 8.057% 1/02/22		662,744		743,996
Continental Airlines, Inc. 6.545% 8/02/20		471,255		483,037
Continental Airlines, Inc. 8.048% 5/01/22		1,585,530		1,746,065
Continental Airlines, Inc. 5.983% 10/19/23		3,414,990		3,723,364
US Airways, Inc. 7.125% 4/22/25		1,124,512		1,290,692
				7,987,154
Auto Manufacturers — 0.5%
Ford Motor Credit Co. LLC 2.145% 1/09/18		900,000		900,018
Ford Motor Credit Co. LLC 2.943% 1/08/19		1,000,000		1,006,244
General Motors Co. 3.500% 10/02/18		1,110,000		1,121,546
General Motors Co. 4.875% 10/02/23		150,000		162,326
General Motors Financial Co., Inc. 3.450% 4/10/22		1,400,000		1,418,664
				4,608,798
Auto Parts & Equipment — 0.0%
The Goodyear Tire & Rubber Co. 4.875% 3/15/27		198,000		202,702
Banks — 9.3%
Bank of America Corp. 2.000% 1/11/18		8,100,000		8,100,162
Bank of America Corp. VRN (b) 3.093% 10/01/25		1,395,000		1,391,801
Bank of America Corp. 5.650% 5/01/18		9,815,000		9,932,126

	Principal Amount		Value
Capital One NA 2.350% 8/17/18	$	2,025,000	$	2,028,162
Citigroup, Inc. 1.750% 5/01/18		1,000,000		999,166
Citigroup, Inc. 1.800% 2/05/18		2,000,000		1,999,791
Citigroup, Inc. 2.050% 12/07/18		2,000,000		1,997,908
Citigroup, Inc. 2.150% 7/30/18		3,075,000		3,076,913
Citigroup, Inc. 2.500% 9/26/18		4,500,000		4,512,900
Citigroup, Inc. 2.500% 7/29/19		1,000,000		1,003,069
Discover Bank 2.000% 2/21/18		1,565,000		1,565,109
Discover Bank 4.200% 8/08/23		2,120,000		2,226,258
The Goldman Sachs Group, Inc. 2.375% 1/22/18		1,000,000		1,000,204
The Goldman Sachs Group, Inc. VRN (b) 3.272% 9/29/25		2,320,000		2,310,652
The Goldman Sachs Group, Inc. 3.850% 7/08/24		1,150,000		1,192,857
The Goldman Sachs Group, Inc. 3.850% 1/26/27		4,055,000		4,163,094
The Goldman Sachs Group, Inc. 5.950% 1/18/18		2,000,000		2,003,154
The Goldman Sachs Group, Inc. 6.150% 4/01/18		2,000,000		2,021,049
The Goldman Sachs Group, Inc. 7.500% 2/15/19		1,000,000		1,056,835
JP Morgan Chase & Co. 3 mo. USD LIBOR + 1.155%, VRN 3.220% 3/01/25		1,000,000		1,007,797
JP Morgan Chase & Co. 3 mo. USD LIBOR + 1.337%, VRN 3.782% 2/01/28		2,000,000		2,072,501
JP Morgan Chase & Co. 6.300% 4/23/19		6,900,000		7,264,298
Lloyds Banking Group PLC VRN (b) 2.907% 11/07/23		910,000		902,202
Morgan Stanley 3 mo. USD LIBOR + .930%, FRN 2.293% 7/22/22		3,000,000		3,024,094
Morgan Stanley 5.500% 7/24/20		1,350,000		1,447,444
Santander UK Group Holdings PLC 2.875% 10/16/20		2,000,000		2,006,610
Wachovia Corp. 5.750% 2/01/18		2,000,000		2,006,200
Wells Fargo & Co. 3.000% 4/22/26		1,345,000		1,319,579

The accompanying notes are an integral part of the portfolio of investments.

1

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

	Principal Amount		Value
Wells Fargo & Co. 3.550% 9/29/25	$	75,000	$	76,985
Wells Fargo & Co. 3 mo. USD LIBOR + 1.310%, VRN 3.584% 5/22/28		3,000,000		3,058,371
Wells Fargo Bank NA 1.750% 5/24/19		2,500,000		2,486,108
Wells Fargo Bank NA 2.150% 12/06/19		3,010,000		3,005,357
				82,258,756
Beverages — 0.2%
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		1,440,000		1,668,944
Biotechnology — 0.5%
Amgen, Inc. 4.663% 6/15/51		1,500,000		1,677,757
Celgene Corp. 3.875% 8/15/25		676,000		699,719
Celgene Corp. 4.625% 5/15/44		160,000		170,708
Celgene Corp. 5.000% 8/15/45		500,000		567,295
Gilead Sciences, Inc. 4.150% 3/01/47		1,345,000		1,430,644
				4,546,123
Chemicals — 0.1%
Axalta Coating Systems LLC (a) 4.875% 8/15/24		450,000		472,500
Valvoline, Inc. 5.500% 7/15/24		450,000		478,125
				950,625
Commercial Services — 0.1%
IHS Markit Ltd. (a) 4.000% 3/01/26		94,000		93,882
IHS Markit Ltd. (a) 5.000% 11/01/22		335,000		363,207
				457,089
Cosmetics & Personal Care — 0.1%
First Quality Finance Co., Inc. (a) 4.625% 5/15/21		446,000		449,345
First Quality Finance Co., Inc. (a) 5.000% 7/01/25		190,000		193,800
				643,145
Diversified Financial Services — 1.4%
American Express Co. 7.000% 3/19/18		2,500,000		2,526,776
GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35		2,548,000		2,757,590

	Principal Amount		Value
International Lease Finance Corp. (a) 7.125% 9/01/18	$	3,911,000	$	4,035,637
Protective Life Global Funding 3 mo. USD LIBOR + .550%, FRN (a) 2.073% 6/08/18		2,000,000		2,003,041
Protective Life Global Funding (a) 2.700% 11/25/20		1,495,000		1,501,570
				12,824,614
Electric — 1.6%
AEP Texas, Inc. (a) 3.850% 10/01/25		2,000,000		2,088,541
Ameren Illinois Co. 3.700% 12/01/47		1,250,000		1,279,025
Duke Energy Carolinas LLC 3.700% 12/01/47		1,300,000		1,339,179
Entergy Louisiana LLC 3.780% 4/01/25		1,250,000		1,294,313
FirstEnergy Transmission LLC (a) 5.450% 7/15/44		2,000,000		2,375,640
Metropolitan Edison Co. (a) 4.000% 4/15/25		985,000		1,012,229
MidAmerican Energy Co. 4.400% 10/15/44		1,905,000		2,168,857
NextEra Energy Operating Partners LP (a) 4.500% 9/15/27		275,000		273,625
Oncor Electric Delivery Co. LLC 4.100% 6/01/22		2,000,000		2,106,593
				13,938,002
Electronics — 0.0%
Itron, Inc. (a) 5.000% 1/15/26		270,000		271,012
Entertainment — 0.1%
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26		450,000		482,625
Environmental Controls — 0.1%
Republic Services, Inc. 3.375% 11/15/27		450,000		453,365
Foods — 0.5%
Chobani LLC/Chobani Finance Corp., Inc. (a) 7.500% 4/15/25		79,000		83,740
Kraft Heinz Foods Co. 4.375% 6/01/46		1,000,000		990,550
Kraft Heinz Foods Co. 5.200% 7/15/45		1,750,000		1,925,032
Lamb Weston Holdings, Inc. (a) 4.625% 11/01/24		350,000		360,500
Pilgrim’s Pride Corp. (a) 5.875% 9/30/27		219,000		225,570

The accompanying notes are an integral part of the portfolio of investments.

2

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

	Principal Amount		Value
Post Holdings, Inc. (a) 5.750% 3/01/27	$	445,000	$	452,787
				4,038,179
Gas — 0.2%
KeySpan Gas East Corp. (a) 5.819% 4/01/41		1,337,000		1,754,658
Health Care – Products — 0.1%
Hill-Rom Holdings, Inc. (a) 5.750% 9/01/23		400,000		418,500
Hologic, Inc. (a) 4.375% 10/15/25		450,000		456,750
Teleflex, Inc. 4.625% 11/15/27		226,000		227,932
				1,103,182
Health Care – Services — 1.7%
Aetna, Inc. 1.700% 6/07/18		2,600,000		2,595,914
Anthem, Inc. 3.500% 8/15/24		2,000,000		2,039,078
Centene Corp. 4.750% 1/15/25		710,000		722,425
CHS/Community Health Systems, Inc. 6.250% 3/31/23		250,000		225,000
Cigna Corp. 3.050% 10/15/27		1,395,000		1,370,218
DaVita, Inc. 5.000% 5/01/25		213,000		212,936
Fresenius Medical Care US Finance II, Inc. (a) 5.625% 7/31/19		1,250,000		1,307,621
HCA, Inc. 6.500% 2/15/20		1,500,000		1,590,000
Kaiser Foundation Hospitals 4.150% 5/01/47		1,400,000		1,512,758
Molina Healthcare, Inc. (a) 4.875% 6/15/25		190,000		189,525
Molina Healthcare, Inc. STEP 5.375% 11/15/22		176,000		183,480
Providence St. Joseph Health Obligated Group 2.746% 10/01/26		2,000,000		1,937,435
Tenet Healthcare Corp. 4.375% 10/01/21		180,000		179,550
Tenet Healthcare Corp. (a) 4.625% 7/15/24		240,000		234,000
Tenet Healthcare Corp. (a) 7.500% 1/01/22		180,000		189,000
WellCare Health Plans, Inc. 5.250% 4/01/25		320,000		337,600
				14,826,540

	Principal Amount		Value
Household Products & Wares — 0.1%
Central Garden & Pet Co. 6.125% 11/15/23	$	450,000	$	475,875
Insurance — 1.1%
Farmers Exchange Capital II 3 mo. USD LIBOR + 3.744%, VRN (a) 6.151% 11/01/53		1,750,000		2,004,625
Farmers Exchange Capital III 3 mo. USD LIBOR + 3.454%, VRN (a) 5.454% 10/15/54		3,290,000		3,545,962
Teachers Insurance & Annuity Association of America 3 mo. USD LIBOR + 2.661%, VRN (a) 4.375% 9/15/54		4,000,000		4,058,000
				9,608,587
Internet — 0.2%
Amazon.com, Inc. (a) 2.800% 8/22/24		1,390,000		1,385,775
Zayo Group LLC/Zayo Capital, Inc. (a) 5.750% 1/15/27		200,000		204,000
				1,589,775
Media — 1.0%
Altice US Finance I Corp. (a) 5.375% 7/15/23		600,000		613,500
Altice US Finance I Corp. (a) 5.500% 5/15/26		400,000		407,500
CBS Corp. (a) 3.700% 6/01/28		1,350,000		1,331,340
CCO Holdings LLC/CCO Holdings Capital Corp. (a) 5.000% 2/01/28		514,000		499,865
CCO Holdings LLC/CCO Holdings Capital Corp. (a) 5.125% 5/01/27		424,000		417,640
Charter Communications Operating LLC/Charter Communications Operating Capital 4.908% 7/23/25		3,945,000		4,194,266
CSC Holdings LLC (a) 5.500% 4/15/27		300,000		306,000
CSC Holdings LLC 8.625% 2/15/19		233,000		245,815
DISH DBS Corp. 5.875% 7/15/22		200,000		201,000
DISH DBS Corp. 6.750% 6/01/21		260,000		273,000
				8,489,926
Miscellaneous – Manufacturing — 0.3%
General Electric Co. 5.875% 1/14/38		716,000		925,921

The accompanying notes are an integral part of the portfolio of investments.

3

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

	Principal Amount		Value
Siemens Financierings NV (a) 1.700% 9/15/21	$	1,575,000	$	1,532,136
				2,458,057
Oil & Gas — 0.6%
Anadarko Petroleum Corp. 4.500% 7/15/44		1,000,000		996,514
Canadian Natural Resources Ltd. 3.850% 6/01/27		375,000		382,751
Diamondback Energy, Inc. 4.750% 11/01/24		282,000		283,058
EQT Corp. 3.900% 10/01/27		1,395,000		1,386,814
Newfield Exploration Co. 5.375% 1/01/26		351,000		371,182
Noble Energy, Inc. 3.900% 11/15/24		1,100,000		1,131,002
Parsley Energy LLC/Parsley Finance Corp. (a) 5.250% 8/15/25		180,000		180,450
Parsley Energy LLC/Parsley Finance Corp. (a) 5.625% 10/15/27		270,000		276,075
QEP Resources, Inc. 5.250% 5/01/23		91,000		92,079
QEP Resources, Inc. 5.375% 10/01/22		91,000		93,048
				5,192,973
Packaging & Containers — 0.2%
Crown Americas LLC/Crown Americas Capital Corp. V 4.250% 9/30/26		450,000		443,250
OI European Group BV (a) 4.000% 3/15/23		450,000		450,607
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 3 mo. USD LIBOR + 3.500%, FRN (a) 4.859% 7/15/21		665,000		674,975
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.750% 10/15/20		261,659		265,584
				1,834,416
Pharmaceuticals — 1.0%
AbbVie, Inc. 4.700% 5/14/45		1,000,000		1,121,275
Allergan Funding SCS 2.350% 3/12/18		1,000,000		1,000,792
Allergan Funding SCS 3.800% 3/15/25		1,130,000		1,150,393
AstraZeneca PLC 3.375% 11/16/25		1,200,000		1,220,002

	Principal Amount		Value
Novartis Capital Corp. 4.400% 5/06/44	$	750,000	$	859,882
Shire Acquisitions Investments Ireland DAC 1.900% 9/23/19		2,500,000		2,477,366
Valeant Pharmaceuticals International, Inc. (a) 5.500% 3/01/23		400,000		366,000
Valeant Pharmaceuticals International, Inc. (a) 5.500% 11/01/25		194,000		197,395
Valeant Pharmaceuticals International, Inc. (a) 5.875% 5/15/23		500,000		463,750
Valeant Pharmaceuticals International, Inc. (a) 6.125% 4/15/25		450,000		411,750
				9,268,605
Pipelines — 1.3%
Cheniere Corpus Christi Holdings LLC (a) 5.125% 6/30/27		150,000		155,160
Energy Transfer LP 3.600% 2/01/23		790,000		790,832
Energy Transfer LP 5.950% 10/01/43		750,000		797,422
Florida Gas Transmission Co. LLC (a) 7.900% 5/15/19		800,000		856,619
Kinder Morgan Energy Partners LP 3.500% 9/01/23		2,000,000		2,001,288
Kinder Morgan Energy Partners LP 4.250% 9/01/24		2,000,000		2,071,361
Plains All American Pipeline LP/PAA Finance Corp. 4.650% 10/15/25		1,000,000		1,030,491
Rockies Express Pipeline LLC (a) 6.850% 7/15/18		1,108,000		1,127,390
Sunoco Logistics Partners Operations LP 5.400% 10/01/47		950,000		956,416
Williams Partners LP 3.600% 3/15/22		1,000,000		1,022,911
Williams Partners LP 5.100% 9/15/45		1,000,000		1,099,771
				11,909,661
Real Estate Investment Trusts (REITS) — 2.0%
Alexandria Real Estate Equities, Inc. 4.600% 4/01/22		2,000,000		2,123,760
American Campus Communities Operating Partnership LP 3.350% 10/01/20		3,000,000		3,059,605

The accompanying notes are an integral part of the portfolio of investments.

4

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

	Principal Amount		Value
American Tower Corp. 3.000% 6/15/23	$	720,000	$	718,114
HCP, Inc. 4.000% 12/01/22		500,000		523,543
HCP, Inc. 4.250% 11/15/23		2,570,000		2,697,420
Highwoods Realty LP 7.500% 4/15/18		1,476,000		1,498,335
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 5.625% 5/01/24		450,000		479,250
SBA Communications Corp. (a) 4.000% 10/01/22		424,000		424,530
SBA Communications Corp. 4.875% 9/01/24		283,000		290,783
SL Green Operating Partnership LP 3.250% 10/15/22		1,000,000		996,167
Ventas Realty LP 3.750% 5/01/24		1,050,000		1,078,081
Ventas Realty LP 3.850% 4/01/27		1,000,000		1,018,418
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) 3.250% 10/05/20		1,500,000		1,526,267
Welltower, Inc. 3.750% 3/15/23		1,300,000		1,347,135
				17,781,408
Retail — 0.2%
1011778 BC ULC/New Red Finance, Inc. (a) 4.250% 5/15/24		647,000		645,383
Cumberland Farms, Inc. (a) 6.750% 5/01/25		250,000		265,000
CVS Health Corp. 4.000% 12/05/23		900,000		935,743
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (a) 4.750% 6/01/27		300,000		306,750
				2,152,876
Semiconductors — 0.1%
NXP BV/NXP Funding LLC (a) 4.125% 6/01/21		500,000		510,000
Software — 0.3%
CDK Global, Inc. (a) 4.875% 6/01/27		137,000		138,713
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (a) 5.750% 3/01/25		450,000		450,000
First Data Corp. (a) 5.000% 1/15/24		390,000		401,212

	Principal Amount		Value
Microsoft Corp. 3.750% 2/12/45	$	600,000	$	632,097
MSCI, Inc. (a) 4.750% 8/01/26		180,000		189,000
Quintiles IMS, Inc. (a) 4.875% 5/15/23		446,000		459,380
				2,270,402
Telecommunications — 1.6%
AT&T, Inc. 4.750% 5/15/46		1,400,000		1,369,266
AT&T, Inc. 4.800% 6/15/44		3,050,000		3,016,698
AT&T, Inc. 5.250% 3/01/37		1,875,000		1,983,045
Intelsat Jackson Holdings SA (a) 9.750% 7/15/25		220,000		211,750
Level 3 Financing, Inc. 5.250% 3/15/26		450,000		441,698
Qualitytech LP/QTS Finance Corp. (a) 4.750% 11/15/25		450,000		454,500
SoftBank Group Corp. (a) 4.500% 4/15/20		270,000		275,813
Sprint Communications, Inc. (a) 9.000% 11/15/18		821,000		864,185
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC STEP (a) 3.360% 3/20/23		1,265,625		1,273,535
Verizon Communications, Inc. 4.500% 8/10/33		1,395,000		1,463,117
Verizon Communications, Inc. 4.862% 8/21/46		2,665,000		2,775,925
				14,129,532
TOTAL CORPORATE DEBT (Cost $242,685,399)				246,665,115
MUNICIPAL OBLIGATIONS — 2.2%
City of New York NY 6.271% 12/01/37		1,750,000		2,363,060
Commonwealth of Massachusetts 4.910% 5/01/29		1,250,000		1,467,313
New York City Transitional Finance Authority Future Tax Secured Revenue 5.008% 8/01/27		1,500,000		1,713,435
New York City Water & Sewer System BAB 6.124% 6/15/42		10,000,000		10,883,400
New York State Dormitory Authority 5.051% 9/15/27		600,000		686,148

The accompanying notes are an integral part of the portfolio of investments.

5

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

	Principal Amount		Value
State of California 7.950% 3/01/36	$	2,100,000	$	2,345,112
				19,458,468
TOTAL MUNICIPAL OBLIGATIONS (Cost $18,633,613)				19,458,468
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 14.6%
Commercial MBS — 1.0%
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class A (a) 2.808% 4/10/28		900,000		906,717
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A (a) 3.251% 5/10/35		1,310,000		1,333,018
COMM Mortgage Trust, Series 2016-787S, Class A (a) 3.545% 2/10/36		1,280,000		1,306,480
COMM Mortgage Trust, Series 2014-277P, Class A, VRN (a) (b) 3.611% 8/10/49		1,340,000		1,389,595
COMM Mortgage Trust, Series 2013-300P, Class A1 (a) 4.353% 8/10/30		1,240,000		1,328,532
Liberty Street Trust, Series 2016-225L, Class A (a) 3.597% 2/10/36		1,280,000		1,317,598
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, VRN (a) (b) 3.834% 1/13/32		1,320,000		1,366,042
				8,947,982
Home Equity ABS — 1.9%
Bear Stearns Asset-Backed Securities Trust, Series 2007-HE4, Class 1A2, 1 mo. USD LIBOR + .190%, FRN 1.742% 5/25/37		924,213		975,601
Home Equity Asset Trust, Series 2006-3, Class 1A1, 1 mo. USD LIBOR + .200%, FRN 1.752% 7/25/36		3,403,320		3,375,761
Home Equity Asset Trust, Series 2003-4, Class M1, 1 mo. USD LIBOR + 1.200%, FRN 2.752% 10/25/33		4,226,193		4,129,698
Option One Mortgage Loan Trust, Series 2006-1, Class 1A1, 1 mo. USD LIBOR + .220%, FRN 1.772% 1/25/36		4,269,250		4,211,803

	Principal Amount		Value
Residential Asset Securities Corp., Series 2005-KS11, Class M1, 1 mo. USD LIBOR + .400%, FRN 1.952% 12/25/35	$	3,717,799	$	3,720,377
				16,413,240
Other ABS — 2.1%
Babson CLO Ltd., Series 2013-IA, Class AR, 3 mo. USD LIBOR + .800%, FRN (a) (b) 2.425% 1/20/28		3,650,000		3,649,064
Carrington Mortgage Loan Trust, Series 2006-RFC1, Class A3, 1 mo. USD LIBOR + .150%, FRN 1.702% 5/25/36		524,715		522,000
Countrywide Asset-Backed Certificates, Series 2006-22, Class 2A3, 1 mo. USD LIBOR + .160%, FRN 1.712% 1/25/34		321,161		315,741
Countrywide Asset-Backed Certificates, Series 2004-5, Class M1, 1 mo. USD LIBOR + .855%, FRN 2.407% 8/25/34		816,490		814,828
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .360%, FRN 1.912% 10/25/35		1,302,475		1,264,472
Lehman XS Trust, Series 2005-4, Class 1A3, 1 mo. USD LIBOR + .800%, FRN 2.352% 10/25/35		644,113		630,092
Magnetite CLO Ltd., Series 2015-12A, Class AR, 3 mo. USD LIBOR + 1.330%, FRN (a) 2.689% 4/15/27		3,630,000		3,653,755
Morgan Stanley Capital I, Inc. Trust, Series 2006-NC2, Class A2D, 1 mo. USD LIBOR + .290%, FRN 1.842% 2/25/36		5,692,898		5,409,719
Structured Asset Investment Loan Trust, Series 2005-8, Class A4, 1 mo. USD LIBOR + .720%, FRN 2.272% 10/25/35		2,546,305		2,545,345
				18,805,016
Student Loans ABS — 5.7%
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) 2.252% 7/25/56		3,352,782		3,356,807
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2, 1 mo. USD LIBOR + .800%, FRN (a) 2.352% 4/26/32		4,100,000		4,037,825

The accompanying notes are an integral part of the portfolio of investments.

6

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

	Principal Amount		Value
Goal Capital Funding Trust, Series 2005-2, Class A3, 3 mo. USD LIBOR + .170%, FRN 1.632% 5/28/30	$	2,329,031	$	2,326,099
Navient Student Loan Trust, Series 2014-8, Class A3, 1 mo. USD LIBOR + .600%, FRN 2.152% 5/27/49		7,680,000		7,699,854
Nelnet Student Loan Trust, Series 2015-2A, Class A2, 1 mo. USD LIBOR + .600%, FRN (a) 2.152% 9/25/47		4,567,351		4,529,863
SLC Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .160%, FRN 1.749% 9/15/39		7,720,000		7,332,071
SLC Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .160%, FRN 1.749% 3/15/55		7,380,000		6,917,692
SLM Student Loan Trust, Series 2005-9, Class B, 3 mo. USD LIBOR + .300%, FRN 1.667% 1/25/41		3,002,300		2,755,477
SLM Student Loan Trust, Series 2008-5, Class B, 3 mo. USD LIBOR + 1.850%, FRN 3.217% 7/25/73		3,735,000		3,803,305
SLM Student Loan Trust, Series 2008-9, Class B, 3 mo. USD LIBOR + 2.250%, FRN 3.617% 10/25/83		3,630,000		3,760,472
Wachovia Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .170%, FRN (a) 1.537% 4/25/40		3,300,000		3,179,708
				49,699,173
WL Collateral CMO — 3.9%
Bear Stearns ALT-A Trust, Series 2005-4, Class 25A1, VRN (b) 3.368% 5/25/35		2,903,347		2,784,502
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2, VRN (b) 3.601% 3/25/36		17,410		16,883
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1, VRN (b) 3.270% 11/25/35		4,330,846		4,094,706
HarborView Mortgage Loan Trust, Series 2006-10, Class 1A1A, 1 mo. USD LIBOR + .200%, FRN 1.695% 11/19/36		4,781,096		4,231,335

	Principal Amount		Value
HarborView Mortgage Loan Trust, Series 2007-6, Class 1A1A, 1 mo. LIBOR + .200%, FRN 1.695% 8/19/37	$	4,856,452	$	4,043,969
IndyMac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2, 1 mo. LIBOR + .180%, FRN 1.509% 2/25/37		474,436		472,346
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2, VRN (b) 3.583% 8/25/35		1,275,867		1,280,400
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1, VRN (b) 3.009% 4/25/34		2,107,770		2,115,150
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A, 12 mo. MTA + .750%, FRN (a) 1.752% 6/26/47		4,143,118		4,000,639
RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + .185%, FRN 1.737% 8/25/36		1,291,168		1,148,378
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1A, 1 mo. USD LIBOR + .310%, FRN 1.862% 1/25/45		2,116,626		2,083,931
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7, Class 4CB 7.000% 8/25/35		4,521,567		3,078,589
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR3, Class A4, VRN (b) 3.377% 4/25/37		3,276,319		3,186,294
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1, VRN (b) 3.543% 2/25/34		855,178		879,692
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 5.000% 3/25/36		1,194,060		1,180,347
				34,597,161
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $125,118,151)				128,462,572

The accompanying notes are an integral part of the portfolio of investments.

7

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

	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 31.6%
Collateralized Mortgage Obligations — 1.9%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KJ05, Class A1 1.418% 5/25/21	$	3,600,413	$	3,548,806
Series KS02, Class A 1 mo. LIBOR + .380%, FRN 1.752% 8/25/23		2,764,344		2,766,156
Series K040, Class A2 3.241% 9/25/24		3,345,000		3,464,741
Series S8FX, Class A2 3.291% 3/25/27		3,955,000		4,021,109
Series K151, Class A3 3.511% 4/25/30		2,870,000		2,932,272
				16,733,084
Pass-Through Securities — 29.7%
Federal Home Loan Mortgage Corp. Pool #G18622 2.500% 12/01/31		4,769,927		4,765,082
Pool #G18596 3.000% 4/01/31		1,011,415		1,030,497
Pool #G08715 3.000% 8/01/46		5,043,211		5,050,106
Pool #G08721 3.000% 9/01/46		683,381		684,315
Pool #G08726 3.000% 10/01/46		9,166,386		9,176,054
Pool #G08732 3.000% 11/01/46		6,252,047		6,258,641
Pool #G08741 3.000% 1/01/47		3,797,455		3,800,273
Pool #G08747 3.000% 2/01/47		1,234,410		1,235,326
Pool #G07848 3.500% 4/01/44		9,856,261		10,225,871
Pool #G07924 3.500% 1/01/45		3,943,244		4,078,178
Pool #G60138 3.500% 8/01/45		6,369,461		6,602,345
Pool #G08681 3.500% 12/01/45		5,885,093		6,050,612
Pool #G08698 3.500% 3/01/46		3,521,194		3,620,227
Pool #G08711 3.500% 6/01/46		4,991,528		5,128,795
Pool #G08716 3.500% 8/01/46		7,064,153		7,258,417
Pool #G67703 3.500% 4/01/47		4,763,409		4,920,453

	Principal Amount		Value
Federal Home Loan Mortgage Corp. TBA Pool #648 3.500% 1/01/45 (c)	$	3,470,000	$	3,564,341
Federal National Mortgage Association Pool #AM0359 2.310% 8/01/22		2,200,000		2,182,714
Pool #AN2275 2.680% 8/01/28		2,940,000		2,876,788
Pool #AN1609 2.950% 5/01/31		2,257,643		2,246,658
Pool #MA3029 3.000% 6/01/32		1,104,921		1,126,026
Pool #MA1607 3.000% 10/01/33		4,992,087		5,089,199
Pool #AN1282 3.010% 4/01/28		820,000		825,345
Pool #AN6128 3.270% 7/01/32		1,880,000		1,908,899
Pool #466386 3.430% 10/01/20		2,866,581		2,947,643
Pool #AN0877 3.500% 2/01/31		968,018		1,011,019
Pool #AB4262 3.500% 1/01/32		4,046,765		4,208,319
Pool #MA1148 3.500% 8/01/42		8,828,742		9,066,704
Pool #AM7122 3.610% 11/01/34		1,876,277		1,967,813
Pool #AM4407 3.650% 9/01/23		1,899,337		1,999,372
Pool #MA2995 4.000% 5/01/47		3,339,154		3,494,502
Pool #AS9830 4.000% 6/01/47		2,782,705		2,919,123
Pool #MA3027 4.000% 6/01/47		2,819,190		2,950,348
Pool #AS9972 4.000% 7/01/47		2,404,029		2,521,883
Pool #MA3058 4.000% 7/01/47		4,799,711		5,023,760
Pool #FN0003 4.283% 1/01/21		2,457,593		2,590,003
Pool #468066 4.295% 6/01/21		4,083,016		4,329,562
Pool #AL9106 4.500% 2/01/46		1,104,642		1,176,918
Federal National Mortgage Association TBA Pool #1312 3.000% 8/01/29 (c)		4,835,000		4,925,279
Pool #4241 3.000% 5/01/44 (c)		4,725,000		4,726,108

The accompanying notes are an integral part of the portfolio of investments.

8

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

	Principal Amount		Value
Pool #1963 3.500% 10/01/44 (c)	$	17,795,000	$	18,277,412
Pool #9174 4.000% 3/01/44 (c)		2,950,000		3,085,516
Pool #18718 4.500% 11/01/41 (c)		15,725,000		16,729,925
Government National Mortgage Association Pool #MA4719 3.500% 9/20/47		8,677,275		8,986,064
Pool #MA4838 4.000% 11/20/47		2,733,895		2,867,920
Pool #MA4264 4.500% 2/20/47		1,180,178		1,239,233
Pool #MA4512 4.500% 6/20/47		12,984,423		13,640,239
Pool #MA3666 5.000% 5/20/46		125,689		134,149
Pool #MA3806 5.000% 7/20/46		790,526		858,061
Pool #MA4072 5.000% 11/20/46		154,878		168,539
Government National Mortgage Association II Pool #MA4126 3.000% 12/20/46		6,662,229		6,729,112
Pool #MA3663 3.500% 5/20/46		2,965,376		3,068,817
Pool #MA4127 3.500% 12/20/46		4,432,698		4,587,323
Pool #MA4382 3.500% 4/20/47		945,619		978,605
Pool #MA4454 5.000% 5/20/47		4,872,743		5,240,292
Government National Mortgage Association II TBA Pool #188 3.000% 4/01/45 (c)		5,045,000		5,091,509
Pool #207 3.500% 5/01/45 (c)		5,545,000		5,734,743
Pool #232 4.000% 12/01/44 (c)		2,575,000		2,684,840
Pool #872 4.500% 7/01/42 (c)		5,840,000		6,127,438
				261,793,255
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $281,344,209)				278,526,339

	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 22.4%
U.S. Treasury Bonds & Notes — 22.4%
U.S. Treasury Bond 2.750% 11/15/47	$	43,470,000	$	43,541,317
U.S. Treasury Inflation Index 0.125% 4/15/22		5,599,046		5,559,617
U.S. Treasury Inflation Index 0.125% 7/15/26		6,972,220		6,812,493
U.S. Treasury Inflation Index 0.375% 7/15/27		4,210,154		4,187,737
U.S. Treasury Inflation Index 0.875% 2/15/47		9,391,261		9,758,892
U.S. Treasury Note 2.000% 10/31/22		18,305,000		18,146,261
U.S. Treasury Note 2.000% 11/30/22		59,785,000		59,247,868
U.S. Treasury Note 2.125% 12/31/22		30,430,000		30,302,812
U.S. Treasury Note 2.250% 11/15/27		20,550,000		20,262,621
				197,819,618
TOTAL U.S. TREASURY OBLIGATIONS (Cost $197,030,311)				197,819,618
TOTAL BONDS & NOTES (Cost $864,811,683)				870,932,112
TOTAL LONG-TERM INVESTMENTS (Cost $864,811,683)				870,932,112
SHORT-TERM INVESTMENTS — 13.7%
Repurchase Agreement — 6.4%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (d)		56,824,776		56,824,776
Sovereign Debt Obligations — 4.8%
Japan Treasury Discount Bill JPY (e) 0.000% 1/10/18		1,765,000,000		15,664,851
Japan Treasury Discount Bill JPY (e) 0.000% 1/29/18		405,000,000		3,594,782
Japan Treasury Discount Bill JPY (e) 0.000% 3/26/18		1,525,000,000		13,539,009
Japan Treasury Discount Bill JPY (e) 0.000% 2/26/18		1,100,000,000		9,764,720
				42,563,362

The accompanying notes are an integral part of the portfolio of investments.

9

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

	Principal Amount		Value
Time Deposit — 0.0%
Euro Time Deposit 0.120% 1/02/18	$	16,915	$	16,915
U.S. Treasury Bill — 2.5%
U.S. Treasury Bill (f) 1.210% 3/01/18		708,000		706,548
U.S. Treasury Bill 1.370% 4/19/18		21,138,000		21,050,357
				21,756,905
TOTAL SHORT-TERM INVESTMENTS (Cost $121,266,139)				121,161,958
TOTAL INVESTMENTS — 112.5% (Cost $986,077,822) (g)				992,094,070
Other Assets/(Liabilities) — (12.5)%				(110,289,587	)
NET ASSETS — 100.0%			$	881,804,483

Abbreviation Legend

ABS Asset-Backed Security

BAB Build America Bonds

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

MBS Mortgage-Backed Security

MTA Monthly Treasury Average Index

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) 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 December 31, 2017, these securities amounted to a value of $88,910,982 or 10.08% of net assets.

(b) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2017.

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

(d) Maturity value of $56,828,186. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $57,964,077.

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

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

(g) See Note 3 for aggregate cost for federal tax purposes.

The Fund had the following open Forward contracts at December 31, 2017:

Forward Contracts

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Deliver
JPY	1,765,000,000	Goldman Sachs International	1/10/18	$	15,736,027	$	67,533
JPY	405,000,000	Goldman Sachs International	1/29/18		3,618,818		20,179
JPY	1,100,000,000	Goldman Sachs International	2/26/18		9,862,131		74,781
JPY	1,525,000,000	Goldman Sachs International	3/26/18		13,656,798		65,833
				$	42,873,774	$	228,326

The accompanying notes are an integral part of the portfolio of investments.

10

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

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date	Number of Contracts		Notional Amount			Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Long
U.S. Treasury Ultra Long Bond	3/20/18		22	$	3,621,842		$	66,596
U.S. Treasury Note 2 Year	3/29/18		493		105,742,528			(186,606	)
U.S. Treasury Note 5 Year	3/29/18		384		44,757,267			(150,267	)
							$	(270,277	)
Futures Contract — Short
Euro-BOBL	3/08/18		117	$	(18,538,149	)	$	62,426

Currency Legend

JPY Japanese Yen

USD U.S. Dollar

The accompanying notes are an integral part of the portfolio of investments.

11

MassMutual Select Strategic Bond Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 0.0%
PREFERRED STOCK — 0.0%
Financial — 0.0%
Banks — 0.0%
Citigroup Capital XIII 7.542%, 3 mo. USD LIBOR + 6.370%, VRN 7.750%		4,650	$	127,782
TOTAL PREFERRED STOCK (Cost $125,608)				127,782
TOTAL EQUITIES (Cost $125,608)				127,782
	Principal Amount
BONDS & NOTES — 103.5%
BANK LOANS — 5.8%
Airlines — 0.1%
American Airlines, Inc., 2017 Incremental Term Loan 1 mo. LIBOR + 2.000%, VRN 3.477% 12/14/23	$	128,700		128,475
American Airlines, Inc., 2017 Term Loan B 1 mo. LIBOR + 2.000%, VRN 3.552% 6/26/20		610,197		610,325
				738,800
Auto Parts & Equipment — 0.1%
American Axle and Manufacturing, Inc., Term Loan B 3 mo. LIBOR + 2.250%, VRN 3.713% 4/06/24		340,137		341,201
Building Materials — 0.4%
American Builders & Contractors Supply Co., Inc., 2017 Term Loan B 1 mo. LIBOR + 2.500%, VRN 4.069% 10/31/23		733,988		736,601
Beacon Roofing Supply, Inc., 2017 Term Loan B 2.250% 1/02/25		744,000		745,548
Quikrete Holdings, Inc., 2016 1st Lien Term Loan 1 mo. LIBOR + 2.750%, VRN 4.319% 11/15/23		748,653		749,589
				2,231,738
Commercial Services — 0.6%
Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2 1 mo. LIBOR + 2.250%, VRN 3.751% 4/03/22		736,824		730,907

	Principal Amount		Value
Brickman Group Ltd., 1st Lien Term Loan 1 mo. LIBOR + 3.000%, VRN 4.430% 12/18/20	$	124,140	$	124,719
Jaguar Holding Co. II, 2017 Term Loan 1 mo. LIBOR + 2.750%, VRN 4.384% 8/18/22		737,115		737,785
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan 1 mo. LIBOR + 2.750%, VRN 4.319% 5/02/22		736,153		741,063
Trans Union LLC, Term Loan B3 1 mo. LIBOR + 2.000%, VRN 3.569% 4/10/23		668,325		670,584
				3,005,058
Computers — 0.1%
Dell, Inc., 2017 Term Loan A2 1 mo. LIBOR + 1.750%, VRN 3.320% 9/07/21		385,000		384,784
Dell, Inc., 2017 1st Lien Term Loan 1 mo. LIBOR + 2.000%, VRN 3.570% 9/07/23		390,000		389,692
				774,476
Electric — 0.2%
Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan 1 mo. LIBOR + 3.000%, VRN 4.567% 6/30/18		910,000		911,947
Entertainment — 0.2%
Aristocrat Leisure Ltd., 2017 Term Loan B 3 mo. LIBOR + 2.000%, VRN 3.363% 10/20/21		35,514		35,655
Scientific Games International, Inc., 2017 Term Loan B4 1 mo. LIBOR + 3.250%, VRN 4.704% 8/14/24		770,756		776,537
				812,192
Food Service — 0.1%
Aramark Services, Inc., 2017 Term Loan B1 2.000% 3/11/25		380,000		381,782
Foods — 0.1%
Post Holdings, Inc., 2017 Series A Incremental Term Loan 1 mo. LIBOR + 2.250%, VRN 3.820% 5/24/24		786,180		788,570
Health Care – Services — 0.3%
DaVita HealthCare Partners, Inc., Term Loan B 1 mo. LIBOR + 2.750%, VRN 4.319% 6/24/21		306,036		308,426

The accompanying notes are an integral part of the portfolio of investments.

12

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

	Principal Amount		Value
HCA, Inc., Term Loan B8 1 mo. LIBOR + 2.250%, VRN 3.819% 2/15/24	$	410,346	$	412,718
MPH Acquisition Holdings LLC, 2016 Term Loan B 3 mo. LIBOR + 3.000%, VRN 4.693% 6/07/23		721,339		722,342
				1,443,486
Investment Companies — 0.0%
RPI Finance Trust, Term Loan B6 3 mo. LIBOR + 2.000%, VRN 3.693% 3/27/23		33,947		34,079
Lodging — 0.5%
Boyd Gaming Corp., Term Loan B3 1 Week LIBOR + 2.500%, VRN 3.975% 9/15/23		333,642		335,310
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B 2.750% 12/22/24		361,000		362,419
CityCenter Holdings LLC, 2017 Term Loan B 1 mo. LIBOR + 2.500%, VRN 4.069% 4/18/24		66,433		66,699
Four Seasons Hotels Ltd., New 1st Lien Term Loan 1 mo. LIBOR + 2.500%, VRN 4.069% 11/30/23		297,000		298,532
Golden Nugget, Inc., 2017 Incremental Term Loan 2 mo. LIBOR + 3.250%, VRN 4.770% 10/04/23		698,179		702,983
Hilton Worldwide Finance LLC, Term Loan B2 1 mo. LIBOR + 2.000%, VRN 3.552% 10/25/23		734,855		738,250
				2,504,193
Media — 0.8%
CBS Radio, Inc., 2017 Term Loan B 3 mo. LIBOR + 2.750%, VRN 4.172% 11/17/24		766,000		769,508
Charter Communications Operating LLC, 2017 Term Loan B 2.000% 4/30/25		633,492		633,721
CSC Holdings LLC, 2017 1st Lien Term Loan 1 mo. LIBOR + 2.250%, VRN 3.741% 7/17/25		65,461		65,153
Numericable Group SA, USD Term Loan B12 3 mo. LIBOR + 3.000%, VRN 4.349% 1/31/26		551,000		529,820
Sinclair Television Group, Inc., 2017 Term Loan B 2.500% 12/12/24		380,000		379,289

	Principal Amount		Value
Unitymedia Finance LLC, USD Term Loan D 2.250% 1/15/26	$	460,000	$	458,721
Univision Communications, Inc., Term Loan C5 1 mo. LIBOR + 2.750%, VRN 4.319% 3/15/24		757,395		754,449
Ziggo Secured Finance Partnership, USD Term Loan E 1 mo. LIBOR + 2.500%, VRN 3.977% 4/15/25		298,250		295,640
				3,886,301
Packaging & Containers — 0.3%
Berry Plastics Group, Inc., Term Loan N 1 mo. LIBOR + 2.250%, VRN 3.682% 1/19/24		347,375		348,678
Berry Plastics Group, Inc., Term Loan M 1 mo. LIBOR + 2.250%, VRN 3.765% 10/01/22		720,629		723,151
Reynolds Group Holdings, Inc., USD 2017 Term Loan 1 mo. LIBOR + 2.750%, VRN 4.319% 2/05/23		706,127		709,057
				1,780,886
Pharmaceuticals — 0.2%
Catalent Pharma Solutions, Inc., USD Term Loan B 1 mo. LIBOR + 2.250%, VRN 3.819% 5/20/24		480,556		481,983
Change Healthcare Holdings, Inc., 2017 Term Loan B 1 mo. LIBOR + 2.750%, VRN 4.319% 3/01/24		255,028		255,380
Valeant Pharmaceuticals International, Inc., Term Loan B Series F4 1 mo. LIBOR + 3.500%, VRN 4.940% 4/01/22		129,390		131,139
				868,502
Real Estate Investment Trusts (REITS) — 0.1%
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B 1 mo. LIBOR + 2.250%, VRN 3.819% 4/25/23		724,656		727,113
Retail — 0.7%
1011778 B.C. ULC, Term Loan B3 3 mo. LIBOR + 2.250%, VRN 3.868% 2/16/24		740,320		739,921
Academy, Ltd., 2015 Term Loan B 3 mo. LIBOR + 4.000%, VRN 5.546% 7/01/22		303,657		238,295
Albertsons LLC, USD 2017 Term Loan B4 1 mo. LIBOR + 2.750%, VRN 4.319% 8/25/21		438,306		429,189

The accompanying notes are an integral part of the portfolio of investments.

13

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

	Principal Amount		Value
Albertsons LLC, USD 2017 Term Loan B6 3 mo. LIBOR + 3.000%, VRN 4.462% 6/22/23	$	407,005	$	398,185
Michaels Stores, Inc., 2016 Term Loan B1 1 mo. LIBOR + 2.750%, VRN 4.288% 1/30/23		648,083		647,849
Party City Holdings, Inc., 2016 Term Loan 3 mo. LIBOR + 3.000%, VRN 4.456% 8/19/22		354,339		355,385
Petco Animal Supplies, Inc., 2017 Term Loan B 3 mo. LIBOR + 3.000%, VRN 4.380% 1/26/23		276,283		207,817
PetSmart, Inc., Term Loan B2 1 mo. LIBOR + 3.000%, VRN 4.570% 3/11/22		439,792		350,598
Staples, Inc., 2017 Term Loan B 3 mo. LIBOR + 4.000%, VRN 5.489% 9/12/24		265,207		259,770
				3,627,009
Semiconductors — 0.1%
ON Semiconductor Corp., 2017 1st Lien Term Loan 2.000% 3/31/23		385,456		387,083
Software — 0.2%
First Data Corp., 2024 USD Term Loan 1 mo. LIBOR + 2.250%, VRN 3.802% 4/26/24		723,624		723,754
MA FinanceCo. LLC, USD Term Loan B3 1 mo. LIBOR + 2.750%, VRN 4.319% 6/21/24		11,995		11,995
Seattle Spinco, Inc., USD Term Loan B3 1 mo. LIBOR + 2.750%, VRN 4.319% 6/21/24		81,005		81,005
				816,754
Telecommunications — 0.5%
CenturyLink, Inc., 2017 Term Loan B 1 mo. LIBOR + 2.750%, VRN 4.319% 1/31/25		590,000		568,430
Level 3 Financing, Inc., 2017 Term Loan B 3 mo. LIBOR + 2.250%, VRN 3.696% 2/22/24		740,000		740,000
Sprint Communications, Inc., 1st Lien Term Loan B 1 mo. LIBOR + 2.500%, VRN 4.125% 2/02/24		141,643		141,537
UPC Financing Partnership, USD Term Loan AR 1 mo. LIBOR + 2.500%, VRN 3.977% 1/15/26		590,000		589,510
Virgin Media Bristol LLC, 2017 USD Term Loan 2.500% 1/15/26		518,737		518,415
				2,557,892

	Principal Amount		Value
Transportation — 0.2%
Air Medical Group Holdings, Inc., Term Loan B 3 mo. LIBOR + 3.250%, VRN 4.943% 4/28/22	$	156,000	$	155,304
Air Medical Group Holdings, Inc., Term Loan B1 3 mo. LIBOR + 4.000%, VRN 5.675% 4/28/22		229,420		229,248
Flying Fortress, Inc., 2017 Term Loan 3 mo. LIBOR + 2.000%, VRN 3.693% 10/30/22		350,000		352,436
XPO Logistics, Inc., 2017 Term Loan B 3 mo. LIBOR + 2.250%, VRN 3.599% 11/01/21		566,076		569,077
				1,306,065
TOTAL BANK LOANS (Cost $30,269,100)				29,925,127
CORPORATE DEBT — 26.7%
Advertising — 0.0%
WPP Finance 2010 5.125% 9/07/42		60,000		64,673
Aerospace & Defense — 0.3%
Boeing Capital Corp. 4.700% 10/27/19		150,000		156,710
The Boeing Co. 4.875% 2/15/20		10,000		10,562
The Boeing Co. 6.000% 3/15/19		130,000		135,979
Harris Corp. 5.054% 4/27/45		80,000		94,090
Lockheed Martin Corp. 3.550% 1/15/26		350,000		363,431
Lockheed Martin Corp. 4.500% 5/15/36		60,000		67,278
Northrop Grumman Corp. 3.250% 1/15/28		730,000		731,066
Raytheon Co. 3.125% 10/15/20		120,000		122,757
United Technologies Corp. 4.500% 6/01/42		100,000		110,837
				1,792,710
Agriculture — 0.8%
Altria Group, Inc. 2.850% 8/09/22		160,000		161,050
Altria Group, Inc. 4.750% 5/05/21		290,000		310,991
Altria Group, Inc. 9.250% 8/06/19		180,000		199,557
BAT Capital Corp. (a) 3.557% 8/15/27		1,220,000		1,221,582

The accompanying notes are an integral part of the portfolio of investments.

14

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

	Principal Amount		Value
BAT Capital Corp. (a) 4.540% 8/15/47	$	520,000	$	547,512
Philip Morris International, Inc. 1.875% 11/01/19		610,000		606,270
Philip Morris International, Inc. 2.500% 8/22/22		80,000		79,266
Philip Morris International, Inc. 2.500% 11/02/22		350,000		346,886
Philip Morris International, Inc. 2.900% 11/15/21		240,000		242,921
Philip Morris International, Inc. 4.500% 3/20/42		80,000		87,057
Reynolds American, Inc. 3.250% 6/12/20		65,000		66,046
Reynolds American, Inc. 5.850% 8/15/45		190,000		237,266
Reynolds American, Inc. 8.125% 6/23/19		10,000		10,817
				4,117,221
Airlines — 0.0%
Delta Air Lines, Inc., Series 2007-1 Class A 6.821% 2/10/24		169,497		192,803
Auto Manufacturers — 0.3%
Fiat Chrysler Automobiles NV 4.500% 4/15/20		200,000		205,170
Ford Motor Co. 4.750% 1/15/43		140,000		141,978
Ford Motor Credit Co. LLC 8.125% 1/15/20		420,000		465,242
General Motors Co. 6.250% 10/02/43		300,000		355,341
General Motors Financial Co., Inc. 3.250% 5/15/18		20,000		20,075
General Motors Financial Co., Inc. 3.450% 4/10/22		30,000		30,400
General Motors Financial Co., Inc. 4.250% 5/15/23		10,000		10,460
General Motors Financial Co., Inc. 4.350% 1/17/27		60,000		62,403
General Motors Financial Co., Inc. 4.375% 9/25/21		80,000		84,151
				1,375,220
Auto Parts & Equipment — 0.1%
American Axle & Manufacturing, Inc. 6.625% 10/15/22		210,000		217,875
The Goodyear Tire & Rubber Co. 5.125% 11/15/23		90,000		93,905
The Goodyear Tire & Rubber Co. 5.000% 5/31/26		80,000		82,488
				394,268

	Principal Amount		Value
Banks — 6.1%
Bank of America Corp. VRN (a) (b) 3.004% 12/20/23	$	270,000	$	270,693
Bank of America Corp. 3.300% 1/11/23		90,000		92,070
Bank of America Corp. VRN (a) (b) 3.419% 12/20/28		770,000		770,165
Bank of America Corp. 3.500% 4/19/26		290,000		296,497
Bank of America Corp. 3 mo. USD LIBOR + 1.370%, VRN 3.593% 7/21/28		1,920,000		1,951,591
Bank of America Corp. 4.000% 4/01/24		270,000		285,424
Bank of America Corp. 4.000% 1/22/25		270,000		280,898
Bank of America Corp. 4.125% 1/22/24		290,000		308,431
Bank of America Corp. 4.200% 8/26/24		380,000		400,167
Bank of America Corp. 4.450% 3/03/26		50,000		53,370
Bank of America Corp. 5.000% 1/21/44		510,000		616,070
Bank of America Corp. 5.650% 5/01/18		90,000		91,074
Bank of America Corp. 3 mo. USD LIBOR + 3.705%, VRN 6.250% 9/29/49		200,000		221,010
Bank of America Corp. 6.875% 4/25/18		110,000		111,680
BNP Paribas SA (a) 4.625% 3/13/27		260,000		277,363
Citigroup, Inc. 4.125% 7/25/28		360,000		371,036
Citigroup, Inc. 4.300% 11/20/26		1,070,000		1,118,921
Citigroup, Inc. 4.400% 6/10/25		340,000		358,882
Citigroup, Inc. 4.450% 9/29/27		610,000		645,809
Citigroup, Inc. 4.650% 7/30/45		441,000		501,933
Citigroup, Inc. 4.750% 5/18/46		40,000		44,094
Citigroup, Inc. 5.300% 5/06/44		16,000		18,891
Citigroup, Inc. 3 mo. USD LIBOR + 3.466%, VRN 5.350% 12/31/49		100,000		102,250
Citigroup, Inc. 5.500% 9/13/25		170,000		191,512

The accompanying notes are an integral part of the portfolio of investments.

15

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

	Principal Amount		Value
Citigroup, Inc. 3 mo. USD LIBOR + 4.230%, VRN 5.900% 12/29/49	$	40,000	$	42,600
Citigroup, Inc. 3 mo. USD LIBOR + 4.068%, VRN 5.950% 7/29/49		100,000		106,375
Citigroup, Inc. 3 mo. USD LIBOR + 3.905%, VRN 5.950% 12/29/49		500,000		532,500
Citigroup, Inc. 3 mo. USD LIBOR + 3.423%, VRN 6.300% 12/29/49		150,000		160,688
Citigroup, Inc. 6.625% 6/15/32		20,000		25,487
Citigroup, Inc. 8.125% 7/15/39		10,000		15,989
Commonwealth Bank of Australia (a) 3.900% 7/12/47		400,000		408,904
Commonwealth Bank of Australia (a) 5.000% 10/15/19		70,000		73,226
Cooperatieve Rabobank UA 4.375% 8/04/25		280,000		295,569
Cooperatieve Rabobank UA 4.625% 12/01/23		250,000		267,988
Cooperatieve Rabobank UA 5.250% 8/04/45		295,000		355,039
Cooperatieve Rabobank UA 3 mo. USD LIBOR + 10.868%, VRN (a) 11.000% 12/29/49		210,000		234,675
Credit Agricole SA 3 mo. USD LIBOR + 6.982%, VRN (a) 8.375% 10/29/49		480,000		523,200
Credit Suisse Group Funding Guernsey Ltd. 4.875% 5/15/45		260,000		299,270
Goldman Sachs Capital II 3 mo. USD LIBOR + .768%, VRN 4.000% 12/29/49		18,000		15,912
The Goldman Sachs Group, Inc. 2.375% 1/22/18		70,000		70,014
The Goldman Sachs Group, Inc. 3.500% 11/16/26		200,000		201,171
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.510%, VRN 3.691% 6/05/28		2,140,000		2,170,940
The Goldman Sachs Group, Inc. 3.850% 7/08/24		90,000		93,354
The Goldman Sachs Group, Inc. 4.000% 3/03/24		100,000		104,914
The Goldman Sachs Group, Inc. 4.250% 10/21/25		260,000		271,734
The Goldman Sachs Group, Inc. 4.750% 10/21/45		180,000		206,192

	Principal Amount		Value
The Goldman Sachs Group, Inc. 5.150% 5/22/45	$	490,000	$	568,226
The Goldman Sachs Group, Inc. 5.250% 7/27/21		100,000		108,379
The Goldman Sachs Group, Inc. 6.000% 6/15/20		290,000		313,553
The Goldman Sachs Group, Inc. 6.250% 2/01/41		770,000		1,037,651
The Goldman Sachs Group, Inc. 6.750% 10/01/37		80,000		107,091
HSBC Holdings PLC 3.400% 3/08/21		490,000		500,828
HSBC Holdings PLC 3.900% 5/25/26		370,000		383,742
HSBC Holdings PLC 4.250% 8/18/25		330,000		342,219
HSBC Holdings PLC 6.500% 9/15/37		300,000		394,524
ING Bank NV (a) 5.800% 9/25/23		210,000		235,669
Intesa Sanpaolo SpA (a) 3.125% 7/14/22		300,000		297,837
Intesa Sanpaolo SpA (a) 3.875% 7/14/27		580,000		579,729
Intesa Sanpaolo SpA (a) 5.017% 6/26/24		450,000		460,765
Intesa Sanpaolo SpA (a) 5.710% 1/15/26		200,000		210,697
JP Morgan Chase & Co. 3.625% 5/13/24		80,000		83,185
JP Morgan Chase & Co. 3.875% 9/10/24		300,000		312,937
JP Morgan Chase & Co. 4.250% 10/01/27		70,000		74,400
JP Morgan Chase & Co. 4.350% 8/15/21		40,000		42,425
JP Morgan Chase & Co. 4.950% 6/01/45		290,000		337,054
Lloyds Banking Group PLC VRN (b) 3.574% 11/07/28		200,000		198,119
Mitsubishi UFJ Financial Group, Inc. 2.998% 2/22/22		160,000		161,016
Morgan Stanley 5.500% 7/24/20		200,000		214,436
Nordea Bank AB (a) 4.875% 5/13/21		390,000		413,697
Royal Bank of Scotland Group PLC 6.000% 12/19/23		240,000		264,341
Royal Bank of Scotland Group PLC 6.100% 6/10/23		210,000		231,244
Royal Bank of Scotland Group PLC 6.125% 12/15/22		110,000		120,569

The accompanying notes are an integral part of the portfolio of investments.

16

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

	Principal Amount		Value
Santander Holdings USA, Inc. 4.500% 7/17/25	$	50,000	$	52,153
Standard Chartered PLC (a) 5.700% 3/26/44		470,000		570,059
State Street Corp. STEP 4.956% 3/15/18		280,000		281,602
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		230,000		225,403
UBS Group Funding Switzerland AG (a) 3.491% 5/23/23		500,000		507,957
UBS Group Funding Switzerland AG (a) 4.125% 9/24/25		210,000		220,385
UBS Group Funding Switzerland AG (a) 4.253% 3/23/28		700,000		737,582
Wachovia Capital Trust III 3 mo. USD LIBOR + .930%, VRN 5.570% 3/29/49		630,000		634,725
Wells Fargo & Co. 3.000% 10/23/26		350,000		343,055
Wells Fargo & Co. 3.450% 2/13/23		120,000		122,286
Wells Fargo & Co. 4.300% 7/22/27		660,000		702,771
Wells Fargo & Co. 4.400% 6/14/46		180,000		189,835
Wells Fargo & Co. 4.480% 1/16/24		991,000		1,065,111
Wells Fargo & Co. 4.600% 4/01/21		40,000		42,508
Wells Fargo & Co. 4.650% 11/04/44		100,000		109,049
Wells Fargo & Co. 4.750% 12/07/46		890,000		994,699
Wells Fargo & Co. 4.900% 11/17/45		290,000		328,217
Wells Fargo & Co. 5.375% 11/02/43		110,000		130,987
Wells Fargo & Co. 3 mo. USD LIBOR + 3.990%, VRN 5.875% 12/29/49		70,000		77,529
				31,185,818
Beverages — 0.7%
Anheuser-Busch InBev Finance, Inc. 2.650% 2/01/21		190,000		190,953
Anheuser-Busch InBev Finance, Inc. 3.300% 2/01/23		210,000		214,892
Anheuser-Busch InBev Finance, Inc. 3.650% 2/01/26		490,000		505,669
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		900,000		1,043,090
Anheuser-Busch InBev Worldwide, Inc. 2.500% 7/15/22		240,000		238,180

	Principal Amount		Value
Anheuser-Busch InBev Worldwide, Inc. 5.000% 4/15/20	$	100,000	$	106,108
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		260,000		275,811
Cott Holdings, Inc. (a) 5.500% 4/01/25		150,000		154,125
Diageo Capital PLC 4.828% 7/15/20		200,000		212,536
Diageo Investment Corp. 2.875% 5/11/22		150,000		152,258
Molson Coors Brewing Co. 3.000% 7/15/26		190,000		185,968
Molson Coors Brewing Co. 3.500% 5/01/22		30,000		30,813
PepsiCo, Inc. 4.000% 3/05/42		50,000		53,002
Pernod Ricard SA (a) 4.450% 1/15/22		250,000		265,557
				3,628,962
Biotechnology — 0.2%
Amgen, Inc. 3.625% 5/22/24		30,000		31,170
Amgen, Inc. 4.663% 6/15/51		34,000		38,029
Celgene Corp. 3.550% 8/15/22		40,000		41,201
Celgene Corp. 3.625% 5/15/24		40,000		41,138
Celgene Corp. 3.875% 8/15/25		10,000		10,351
Celgene Corp. 5.000% 8/15/45		210,000		238,264
Celgene Corp. 5.250% 8/15/43		70,000		80,818
Gilead Sciences, Inc. 3.700% 4/01/24		210,000		219,700
Gilead Sciences, Inc. 4.500% 2/01/45		10,000		11,114
Gilead Sciences, Inc. 4.750% 3/01/46		200,000		231,348
				943,133
Chemicals — 0.1%
Equate Petrochemical BV (a) 4.250% 11/03/26		230,000		234,025
OCP SA (a) 4.500% 10/22/25		330,000		330,236
Potash Corp. of Saskatchewan, Inc. 4.875% 3/30/20		50,000		52,350
Westlake Chemical Corp. 4.625% 2/15/21		40,000		41,000

The accompanying notes are an integral part of the portfolio of investments.

17

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

	Principal Amount		Value
Westlake Chemical Corp. 4.875% 5/15/23	$	90,000	$	92,700
				750,311
Commercial Services — 0.1%
Ecolab, Inc. 4.350% 12/08/21		41,000		43,641
UBM PLC (a) 5.750% 11/03/20		110,000		114,209
United Rentals North America, Inc. 4.875% 1/15/28		30,000		30,150
United Rentals North America, Inc. 5.500% 7/15/25		110,000		116,600
United Rentals North America, Inc. 5.875% 9/15/26		90,000		96,300
				400,900
Computers — 0.3%
Apple, Inc. 2.000% 11/13/20		270,000		268,294
Apple, Inc. 2.450% 8/04/26		370,000		354,625
Dell International LLC/EMC Corp. (a) 3.480% 6/01/19		630,000		637,892
Dell International LLC/EMC Corp. (a) 4.420% 6/15/21		400,000		416,808
				1,677,619
Diversified Financial Services — 5.2%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.750% 5/15/19		150,000		152,374
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		160,000		168,035
Ally Financial, Inc. 3.500% 1/27/19		80,000		80,400
Ally Financial, Inc. 7.500% 9/15/20		236,000		261,370
Federal Home Loan Banks 0.875% 6/29/18		10,000,000		9,966,468
Federal Home Loan Mortgage Corp. 0.750% 4/09/18		12,280,000		12,254,260
Federal National Mortgage Association 0.010% 10/09/19		1,460,000		1,405,367
Federal National Mortgage Association FRN (b) 4.548% 10/25/57		1,331,054		241,808
GE Capital International Funding Co. Unlimited Co. 2.342% 11/15/20		215,000		214,009
GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35		380,000		411,257

	Principal Amount		Value
HSBC Finance Corp. 6.676% 1/15/21	$	133,000	$	147,870
ILFC E-Capital Trust II VRN (a) (b) 4.620% 12/21/65		10,000		9,650
International Lease Finance Corp. 5.875% 8/15/22		70,000		77,551
International Lease Finance Corp. 8.625% 1/15/22		180,000		216,780
KKR Group Finance Co. II LLC (a) 5.500% 2/01/43		20,000		23,241
Quicken Loans, Inc. (a) 5.750% 5/01/25		90,000		93,151
Synchrony Financial 2.700% 2/03/20		200,000		200,500
Visa, Inc. 3.150% 12/14/25		490,000		500,926
Visa, Inc. 4.300% 12/14/45		260,000		295,862
				26,720,879
Electric — 0.8%
AES Corp. 4.875% 5/15/23		130,000		132,438
AES Corp. 5.500% 3/15/24		10,000		10,400
AES Corp. 5.500% 4/15/25		90,000		94,500
Duke Energy Corp. 3.750% 4/15/24		100,000		104,440
Duke Energy Corp. 3.950% 8/15/47		70,000		71,935
Exelon Corp. 5.625% 6/15/35		290,000		356,408
FirstEnergy Corp. 3.900% 7/15/27		520,000		532,816
FirstEnergy Corp. 4.250% 3/15/23		310,000		323,782
FirstEnergy Corp. Series C 7.375% 11/15/31		630,000		849,681
Majapahit Holding BV (c) 7.750% 1/20/20		370,000		404,706
Pacific Gas & Electric Co. (a) 3.300% 12/01/27		420,000		416,071
Pacific Gas & Electric Co. 5.800% 3/01/37		110,000		137,271
Pacific Gas & Electric Co. 6.050% 3/01/34		520,000		655,429
Pacific Gas & Electric Co. 8.250% 10/15/18		25,000		26,159
				4,116,036
Engineering & Construction — 0.0%
ABB Finance USA, Inc. 4.375% 5/08/42		20,000		21,572

The accompanying notes are an integral part of the portfolio of investments.

18

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

	Principal Amount		Value
Entertainment — 0.0%
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26	$	40,000	$	42,900
Environmental Controls — 0.0%
Waste Management, Inc. 3.500% 5/15/24		90,000		93,185
Waste Management, Inc. 4.600% 3/01/21		30,000		31,857
Waste Management, Inc. 7.375% 5/15/29		50,000		66,146
				191,188
Foods — 0.5%
Danone SA (a) 2.077% 11/02/21		250,000		244,550
Danone SA (a) 2.589% 11/02/23		310,000		302,314
Danone SA (a) 2.947% 11/02/26		550,000		535,536
Kraft Heinz Foods Co. 3.500% 6/06/22		150,000		153,489
Kraft Heinz Foods Co. 5.375% 2/10/20		136,000		144,091
Kraft Heinz Foods Co. 3.000% 6/01/26		20,000		19,246
Kraft Heinz Foods Co. 3.950% 7/15/25		100,000		103,287
Kraft Heinz Foods Co. 4.375% 6/01/46		300,000		297,165
Kraft Heinz Foods Co. (a) 4.875% 2/15/25		122,000		129,340
Kraft Heinz Foods Co. 5.000% 7/15/35		80,000		87,342
Kraft Heinz Foods Co. 5.000% 6/04/42		40,000		42,921
Kraft Heinz Foods Co. 5.200% 7/15/45		70,000		77,001
Lamb Weston Holdings, Inc. (a) 4.625% 11/01/24		120,000		123,600
WM Wrigley Jr. Co. (a) 2.400% 10/21/18		40,000		40,114
WM Wrigley Jr. Co. (a) 2.900% 10/21/19		130,000		131,209
WM Wrigley Jr. Co. (a) 3.375% 10/21/20		10,000		10,241
				2,441,446
Health Care – Products — 0.4%
Abbott Laboratories 3.750% 11/30/26		210,000		215,642
Abbott Laboratories 4.750% 11/30/36		140,000		157,304
Abbott Laboratories 4.900% 11/30/46		160,000		183,439

	Principal Amount		Value
Becton Dickinson & Co. 3.363% 6/06/24	$	450,000	$	451,257
Becton Dickinson & Co. 3.734% 12/15/24		65,000		66,573
Becton Dickinson & Co. 4.685% 12/15/44		50,000		54,675
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (a) 5.500% 4/15/25		10,000		8,150
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (a) 5.625% 10/15/23		40,000		34,000
Medtronic, Inc. 3.125% 3/15/22		180,000		183,964
Medtronic, Inc. 3.500% 3/15/25		260,000		269,710
Medtronic, Inc. 4.625% 3/15/45		190,000		221,360
				1,846,074
Health Care – Services — 0.5%
Aetna, Inc. 2.800% 6/15/23		40,000		39,367
Anthem, Inc. 2.950% 12/01/22		330,000		330,138
Anthem, Inc. 3.125% 5/15/22		50,000		50,442
Anthem, Inc. 3.350% 12/01/24		120,000		121,743
Anthem, Inc. 3.650% 12/01/27		210,000		214,059
Anthem, Inc. 3.700% 8/15/21		70,000		72,156
Catholic Health Initiatives 4.350% 11/01/42		20,000		19,308
Centene Corp. 4.750% 5/15/22		110,000		114,125
Centene Corp. 4.750% 1/15/25		80,000		81,400
Centene Corp. 6.125% 2/15/24		50,000		52,875
Fresenius Medical Care US Finance II, Inc. (a) 4.125% 10/15/20		50,000		51,500
Fresenius Medical Care US Finance II, Inc. (a) 4.750% 10/15/24		70,000		74,659
Fresenius Medical Care US Finance II, Inc. (a) 5.875% 1/31/22		50,000		55,042
HCA, Inc. 5.250% 6/15/26		70,000		74,200
HCA, Inc. 5.500% 6/15/47		60,000		59,850

The accompanying notes are an integral part of the portfolio of investments.

19

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

	Principal Amount		Value
HCA, Inc. 5.875% 3/15/22	$	250,000	$	267,500
HCA, Inc. 5.875% 5/01/23		80,000		85,400
HCA, Inc. 7.500% 2/15/22		40,000		45,000
Humana, Inc. 3.150% 12/01/22		40,000		40,266
Humana, Inc. 3.950% 3/15/27		190,000		196,723
Humana, Inc. 4.625% 12/01/42		70,000		76,379
Humana, Inc. 4.800% 3/15/47		10,000		11,275
Humana, Inc. 4.950% 10/01/44		60,000		69,106
Tenet Healthcare Corp. 8.125% 4/01/22		150,000		152,625
UnitedHealth Group, Inc. 3.750% 7/15/25		50,000		52,701
UnitedHealth Group, Inc. 5.800% 3/15/36		70,000		91,023
				2,498,862
Home Builders — 0.1%
Lennar Corp. 4.500% 4/30/24		120,000		123,036
NVR, Inc. 3.950% 9/15/22		100,000		104,392
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) 5.250% 4/15/21		120,000		122,400
				349,828
Household Products & Wares — 0.0%
Spectrum Brands, Inc. 5.750% 7/15/25		60,000		63,150
Housewares — 0.1%
Newell Brands, Inc. 3.150% 4/01/21		80,000		80,895
Newell Brands, Inc. 3.850% 4/01/23		170,000		175,909
Newell Brands, Inc. 4.200% 4/01/26		140,000		146,217
				403,021
Insurance — 0.3%
American International Group, Inc. 3 mo. USD LIBOR + 2.056%, VRN 6.250% 3/15/87		234,000		255,060
Brighthouse Financial, Inc. (a) 4.700% 6/22/47		70,000		71,409
Chubb INA Holdings, Inc. 2.300% 11/03/20		70,000		69,889

	Principal Amount		Value
Chubb INA Holdings, Inc. 4.350% 11/03/45	$	230,000	$	259,692
MetLife Capital Trust IV (a) 7.875% 12/15/67		200,000		266,500
MetLife, Inc. 6.400% 12/15/66		190,000		218,559
Teachers Insurance & Annuity Association of America (a) 4.900% 9/15/44		200,000		228,775
Teachers Insurance & Annuity Association of America (a) 6.850% 12/16/39		22,000		31,082
Voya Financial, Inc. STEP 2.900% 2/15/18		14,000		14,014
Voya Financial, Inc. 5.700% 7/15/43		160,000		195,960
				1,610,940
Internet — 0.2%
Amazon.com, Inc. (a) 3.150% 8/22/27		470,000		470,708
Amazon.com, Inc. (a) 3.875% 8/22/37		160,000		169,776
Amazon.com, Inc. (a) 4.050% 8/22/47		210,000		226,320
Amazon.com, Inc. 4.950% 12/05/44		180,000		218,802
Netflix, Inc. 5.875% 2/15/25		50,000		53,125
				1,138,731
Iron & Steel — 0.1%
ArcelorMittal STEP 6.750% 2/25/22		50,000		55,625
ArcelorMittal STEP 7.500% 10/15/39		60,000		76,800
Vale Overseas Ltd. 6.875% 11/21/36		361,000		442,225
				574,650
Leisure Time — 0.0%
NCL Corp. Ltd. (a) 4.750% 12/15/21		40,000		41,400
Lodging — 0.0%
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/01/27		190,000		198,788
Machinery – Diversified — 0.0%
John Deere Capital Corp. 1.700% 1/15/20		40,000		39,610
John Deere Capital Corp. 2.250% 4/17/19		100,000		100,120
				139,730

The accompanying notes are an integral part of the portfolio of investments.

20

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

	Principal Amount		Value
Media — 0.9%
21st Century Fox America, Inc. 6.200% 12/15/34	$	20,000	$	25,827
21st Century Fox America, Inc. 6.650% 11/15/37		30,000		41,262
Altice Financing SA (a) 6.625% 2/15/23		200,000		209,420
CCO Holdings LLC/CCO Holdings Capital Corp. (a) 5.125% 5/01/27		110,000		108,350
Charter Communications Operating LLC/Charter Communications Operating Capital 4.200% 3/15/28		270,000		267,994
Charter Communications Operating LLC/Charter Communications Operating Capital 4.908% 7/23/25		340,000		361,483
Charter Communications Operating LLC/Charter Communications Operating Capital 6.484% 10/23/45		160,000		186,549
Comcast Corp. 3.375% 8/15/25		170,000		174,468
Comcast Corp. 3.999% 11/01/49		55,000		56,321
Comcast Corp. 4.200% 8/15/34		160,000		170,958
Comcast Corp. 4.250% 1/15/33		20,000		21,799
DISH DBS Corp. 5.875% 7/15/22		80,000		80,400
DISH DBS Corp. 5.875% 11/15/24		410,000		399,237
Myriad International Holdings B.V. (a) 4.850% 7/06/27		430,000		445,874
NBCUniversal Media LLC 4.375% 4/01/21		170,000		180,180
SFR Group SA (a) 7.375% 5/01/26		320,000		328,400
Time Warner Cable, Inc. 4.125% 2/15/21		140,000		144,170
Time Warner Cable, Inc. 5.875% 11/15/40		200,000		216,998
Time Warner Cable, Inc. 6.550% 5/01/37		10,000		11,761
Time Warner Cable, Inc. 6.750% 6/15/39		120,000		143,985
Time Warner Cable, Inc. 7.300% 7/01/38		210,000		263,227
Time Warner Cable, Inc. 8.250% 4/01/19		230,000		245,821

	Principal Amount		Value
Time Warner Entertainment Co. LP 8.375% 7/15/33	$	20,000	$	27,518
Time Warner, Inc. 4.750% 3/29/21		200,000		212,880
Time Warner, Inc. 6.250% 3/29/41		20,000		24,700
Viacom, Inc. 3.875% 4/01/24		30,000		29,932
Viacom, Inc. 4.250% 9/01/23		50,000		51,049
				4,430,563
Mining — 0.9%
Alcoa Nederland Holding BV (a) 6.750% 9/30/24		240,000		261,600
Anglo American Capital PLC (a) 3.625% 9/11/24		560,000		557,318
Anglo American Capital PLC (a) 3.750% 4/10/22		200,000		203,232
Barrick Gold Corp. 5.250% 4/01/42		80,000		92,232
Barrick North America Finance LLC 4.400% 5/30/21		44,000		46,575
Barrick North America Finance LLC 5.700% 5/30/41		180,000		221,174
Barrick North America Finance LLC 5.750% 5/01/43		210,000		263,712
BHP Billiton Finance USA Ltd. 2.875% 2/24/22		20,000		20,231
BHP Billiton Finance USA Ltd. 5.000% 9/30/43		300,000		367,814
BHP Billiton Finance USA Ltd. 5 year USD Swap + 5.093%, VRN (a) 6.750% 10/19/75		500,000		583,795
FMG Resources August 2006 Property Ltd. (a) 9.750% 3/01/22		30,000		33,195
Freeport-McMoRan, Inc. 4.000% 11/14/21		170,000		170,000
Freeport-McMoRan, Inc. 5.450% 3/15/43		96,000		95,880
Freeport-McMoRan, Inc. 6.875% 2/15/23		20,000		21,800
Glencore Funding LLC (a) 4.000% 3/27/27		290,000		291,165
Glencore Funding LLC (a) 4.125% 5/30/23		170,000		175,865
Southern Copper Corp. 5.250% 11/08/42		870,000		971,815
				4,377,403
Miscellaneous – Manufacturing — 0.2%
Eaton Corp. 2.750% 11/02/22		570,000		571,667

The accompanying notes are an integral part of the portfolio of investments.

21

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

	Principal Amount		Value
General Electric Co. 4.375% 9/16/20	$	10,000	$	10,504
General Electric Co. 5.300% 2/11/21		75,000		80,985
General Electric Co. 4.650% 10/17/21		170,000		183,028
General Electric Co. 5.875% 1/14/38		86,000		111,214
General Electric Co. 6.875% 1/10/39		156,000		224,795
General Electric Co. 4.500% 3/11/44		60,000		66,466
				1,248,659
Oil & Gas — 3.5%
Anadarko Petroleum Corp. 4.850% 3/15/21		390,000		411,854
Anadarko Petroleum Corp. 5.550% 3/15/26		20,000		22,440
Anadarko Petroleum Corp. 6.450% 9/15/36		60,000		73,489
Anadarko Petroleum Corp. 6.600% 3/15/46		430,000		553,100
Antero Resources Corp. 5.375% 11/01/21		10,000		10,250
Apache Corp. 4.250% 1/15/44		370,000		358,446
Apache Corp. 4.750% 4/15/43		90,000		92,496
Apache Corp. 5.100% 9/01/40		460,000		490,077
Apache Corp. 6.000% 1/15/37		30,000		35,483
BP Capital Markets PLC 3.119% 5/04/26		290,000		293,110
BP Capital Markets PLC 3.216% 11/28/23		300,000		306,454
BP Capital Markets PLC 3.506% 3/17/25		220,000		227,573
BP Capital Markets PLC 3.561% 11/01/21		20,000		20,788
BP Capital Markets PLC 3.588% 4/14/27		330,000		341,506
Chesapeake Energy Corp. 5.750% 3/15/23		10,000		9,250
Chesapeake Energy Corp. (a) 8.000% 12/15/22		8,000		8,630
Chevron Corp. 2.954% 5/16/26		380,000		379,877
Cimarex Energy Co. 3.900% 5/15/27		290,000		296,530
CNOOC Finance USA LLC 3.500% 5/05/25		1,040,000		1,048,223

	Principal Amount		Value
ConocoPhillips Holding Co. 6.950% 4/15/29	$	125,000	$	164,176
Continental Resources, Inc. (a) 4.375% 1/15/28		110,000		108,592
Continental Resources, Inc. 4.500% 4/15/23		10,000		10,200
Devon Energy Corp. 3.250% 5/15/22		100,000		101,719
Devon Energy Corp. 5.000% 6/15/45		330,000		368,130
Devon Energy Corp. 5.600% 7/15/41		400,000		471,469
Devon Energy Corp. 5.850% 12/15/25		170,000		198,505
Devon Financing Co. LLC 7.875% 9/30/31		60,000		82,368
Ecopetrol SA 5.875% 5/28/45		1,300,000		1,327,300
Ensco PLC 8.000% 1/31/24		115,000		115,287
EOG Resources, Inc. 4.150% 1/15/26		120,000		127,716
Exxon Mobil Corp. 3.043% 3/01/26		210,000		213,243
Exxon Mobil Corp. 4.114% 3/01/46		520,000		582,003
Kerr-McGee Corp. 6.950% 7/01/24		230,000		271,119
Kerr-McGee Corp. 7.875% 9/15/31		160,000		212,585
Noble Energy, Inc. 3.850% 1/15/28		240,000		240,734
Noble Energy, Inc. 4.950% 8/15/47		120,000		128,419
Noble Energy, Inc. 5.250% 11/15/43		120,000		132,812
Occidental Petroleum Corp. 3.000% 2/15/27		130,000		129,240
Occidental Petroleum Corp. 3.125% 2/15/22		120,000		123,025
Occidental Petroleum Corp. 3.400% 4/15/26		170,000		174,100
Occidental Petroleum Corp. 4.100% 2/15/47		170,000		180,707
Occidental Petroleum Corp. 4.400% 4/15/46		50,000		55,348
Occidental Petroleum Corp. 4.625% 6/15/45		80,000		90,690
Petrobras Global Finance BV (a) 5.299% 1/27/25		2,191,000		2,197,573
Petrobras Global Finance BV (a) 5.999% 1/27/28		900,000		902,250

The accompanying notes are an integral part of the portfolio of investments.

22

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

	Principal Amount		Value
Petrobras Global Finance BV 6.125% 1/17/22	$	260,000	$	275,925
Petrobras Global Finance BV 6.250% 3/17/24		332,000		352,252
Petrobras Global Finance BV 7.375% 1/17/27		260,000		286,260
Petroleos Mexicanos 6.375% 1/23/45		220,000		221,177
Petroleos Mexicanos 6.625% 6/15/35		763,000		815,143
Petroleos Mexicanos 6.875% 8/04/26		160,000		181,400
QEP Resources, Inc. 6.875% 3/01/21		170,000		183,600
Range Resources Corp. 4.875% 5/15/25		30,000		28,950
Range Resources Corp. 5.000% 3/15/23		200,000		199,000
Range Resources Corp. 5.875% 7/01/22		10,000		10,200
Shell International Finance BV 2.875% 5/10/26		380,000		380,003
Shell International Finance BV 4.000% 5/10/46		300,000		319,515
Shell International Finance BV 4.375% 3/25/20		210,000		219,593
Shell International Finance BV 4.375% 5/11/45		190,000		213,631
Shell International Finance BV 4.550% 8/12/43		100,000		113,739
Sinopec Group Overseas Development 2014 Ltd. (a) 4.375% 4/10/24		330,000		350,069
Whiting Petroleum Corp. 6.250% 4/01/23		210,000		215,512
WPX Energy, Inc. 8.250% 8/01/23		30,000		34,050
				18,088,905
Oil & Gas Services — 0.2%
Baker Hughes, Inc. 3.200% 8/15/21		55,000		56,175
Halliburton Co. 3.800% 11/15/25		240,000		249,424
Halliburton Co. 4.850% 11/15/35		30,000		33,655
Halliburton Co. 5.000% 11/15/45		500,000		574,180
Schlumberger Holdings Corp. (a) 3.000% 12/21/20		190,000		192,461
Schlumberger Holdings Corp. (a) 4.000% 12/21/25		150,000		157,626

	Principal Amount		Value
Schlumberger Norge AS (a) 4.200% 1/15/21	$	10,000	$	10,450
				1,273,971
Packaging & Containers — 0.1%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC 5.750% 10/15/20		9,691		9,837
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC STEP 6.875% 2/15/21		97,220		98,557
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (a) 5.125% 7/15/23		60,000		62,100
WestRock RKT Co. 3.500% 3/01/20		80,000		81,390
WestRock RKT Co. 4.000% 3/01/23		30,000		31,088
				282,972
Pharmaceuticals — 0.6%
AbbVie, Inc. 2.900% 11/06/22		80,000		80,233
AbbVie, Inc. 3.600% 5/14/25		130,000		133,650
Allergan Funding SCS 3.450% 3/15/22		30,000		30,482
Allergan Funding SCS 3.800% 3/15/25		180,000		183,248
Allergan Funding SCS 4.550% 3/15/35		150,000		158,725
Allergan Funding SCS 4.750% 3/15/45		101,000		107,520
Cardinal Health, Inc. 2.616% 6/15/22		130,000		127,827
Cardinal Health, Inc. 3.079% 6/15/24		170,000		167,350
Eli Lilly & Co. 3.100% 5/15/27		140,000		142,106
GlaxoSmithKline Capital PLC 2.850% 5/08/22		180,000		182,703
Johnson & Johnson 3.625% 3/03/37		690,000		728,972
Merck & Co., Inc. 2.750% 2/10/25		120,000		119,514
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22		100,000		89,515
Teva Pharmaceutical Finance Netherlands III BV 1.400% 7/20/18		90,000		89,401
Teva Pharmaceutical Finance Netherlands III BV 1.700% 7/19/19		100,000		97,160

The accompanying notes are an integral part of the portfolio of investments.

23

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

	Principal Amount		Value
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21	$	50,000	$	45,673
Teva Pharmaceutical Finance Netherlands III BV 2.800% 7/21/23		40,000		34,832
Teva Pharmaceutical Finance Netherlands III BV 3.150% 10/01/26		100,000		82,565
Valeant Pharmaceuticals International, Inc. (a) 5.375% 3/15/20		29,000		29,036
Valeant Pharmaceuticals International, Inc. (a) 6.500% 3/15/22		50,000		52,500
Valeant Pharmaceuticals International, Inc. (a) 7.000% 3/15/24		120,000		128,400
Valeant Pharmaceuticals International, Inc. (a) 7.500% 7/15/21		270,000		274,725
Valeant Pharmaceuticals International, Inc. (a) 9.000% 12/15/25		210,000		218,862
				3,304,999
Pipelines — 0.4%
Cheniere Corpus Christi Holdings LLC 5.125% 6/30/27		150,000		155,160
El Paso Natural Gas Co. LLC 8.375% 6/15/32		289,000		379,612
Energy Transfer LP/Regency Energy Finance Corp. 4.500% 11/01/23		30,000		31,018
Energy Transfer LP/Regency Energy Finance Corp. 5.875% 3/01/22		100,000		109,326
Enterprise Products Operating LLC 5.700% 2/15/42		40,000		48,373
Kinder Morgan Energy Partners LP 3.500% 9/01/23		120,000		120,077
Kinder Morgan, Inc. 5.300% 12/01/34		90,000		96,009
MPLX LP 4.875% 12/01/24		150,000		161,685
MPLX LP 4.875% 6/01/25		140,000		150,041
Southern Natural Gas Co. LLC 8.000% 3/01/32		5,000		6,779
Transcontinental Gas Pipe Line Co. LLC 7.850% 2/01/26		280,000		357,887
The Williams Cos., Inc. 7.500% 1/15/31		240,000		293,400

	Principal Amount		Value
Williams Partners LP/ACMP Finance Corp. 4.875% 3/15/24	$	70,000	$	73,150
				1,982,517
Real Estate Investment Trusts (REITS) — 0.1%
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) 3.750% 9/17/24		220,000		226,910
WEA Finance LLC/Westfield UK & Europe Finance PLC (a) 4.750% 9/17/44		250,000		272,568
				499,478
Retail — 0.4%
1011778 BC ULC/New Red Finance, Inc. (a) 5.000% 10/15/25		150,000		151,125
Beacon Escrow Corp. (a) 4.875% 11/01/25		90,000		90,338
CVS Health Corp. 2.750% 12/01/22		120,000		118,210
CVS Health Corp. 3.875% 7/20/25		124,000		127,704
CVS Health Corp. 5.125% 7/20/45		350,000		401,133
CVS Pass-Through Trust (a) 5.298% 1/11/27		8,938		9,499
CVS Pass-Through Trust 5.880% 1/10/28		98,600		108,111
CVS Pass-Through Trust 6.036% 12/10/28		85,366		94,900
CVS Pass-Through Trust 6.943% 1/10/30		72,486		84,769
Dollar Tree, Inc. 5.750% 3/01/23		130,000		136,175
McDonald’s Corp. 3.500% 3/01/27		320,000		329,096
McDonald’s Corp. 3.700% 1/30/26		200,000		208,477
QVC, Inc. 5.950% 3/15/43		10,000		10,078
The TJX Cos., Inc. 2.250% 9/15/26		30,000		28,153
Wal-Mart Stores, Inc. 6.200% 4/15/38		50,000		70,613
Walgreens Boots Alliance, Inc. 3.450% 6/01/26		260,000		257,103
				2,225,484
Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd. (a) 3.125% 1/15/25		200,000		191,193

The accompanying notes are an integral part of the portfolio of investments.

24

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

	Principal Amount		Value
Broadcom Corp./Broadcom Cayman Finance Ltd. (a) 3.875% 1/15/27	$	40,000	$	39,362
Intel Corp. 3.700% 7/29/25		70,000		73,902
Intel Corp. (a) 3.734% 12/08/47		54,000		56,076
				360,533
Software — 0.5%
First Data Corp. (a) 5.000% 1/15/24		280,000		288,050
First Data Corp. (a) 7.000% 12/01/23		20,000		21,150
Microsoft Corp. 2.400% 8/08/26		620,000		597,907
Microsoft Corp. 2.700% 2/12/25		100,000		99,846
Microsoft Corp. 2.875% 2/06/24		380,000		385,501
Microsoft Corp. 3.300% 2/06/27		690,000		711,736
Microsoft Corp. 3.950% 8/08/56		100,000		106,739
Microsoft Corp. 4.100% 2/06/37		170,000		189,806
				2,400,735
Telecommunications — 1.3%
America Movil SAB de CV 5.000% 3/30/20		330,000		347,800
AT&T, Inc. 3.000% 2/15/22		60,000		60,122
AT&T, Inc. 3.400% 5/15/25		580,000		570,227
AT&T, Inc. 3.900% 8/14/27		570,000		573,809
AT&T, Inc. 4.250% 3/01/27		350,000		356,796
AT&T, Inc. 4.350% 6/15/45		150,000		138,390
AT&T, Inc. 4.500% 3/09/48		166,000		155,539
AT&T, Inc. 4.900% 8/14/37		140,000		141,763
AT&T, Inc. 5.500% 2/01/18		30,000		30,086
AT&T, Inc. 5.800% 2/15/19		200,000		207,547
Bharti Airtel Ltd. (a) 4.375% 6/10/25		440,000		447,707
CommScope Technologies LLC (a) 5.000% 3/15/27		90,000		90,000

	Principal Amount		Value
Qwest Corp. 6.875% 9/15/33	$	85,000	$	81,487
Rogers Communications, Inc. 6.800% 8/15/18		120,000		123,525
Sprint Capital Corp. 8.750% 3/15/32		40,000		45,400
Sprint Corp. 7.250% 9/15/21		80,000		84,700
Sprint Corp. 7.625% 2/15/25		420,000		439,950
Sprint Corp. 7.875% 9/15/23		30,000		31,950
Telefonica Emisiones SAU 5.213% 3/08/47		150,000		170,228
Telefonica Emisiones SAU 5.877% 7/15/19		80,000		84,104
Verizon Communications, Inc. 2.625% 8/15/26		230,000		216,634
Verizon Communications, Inc. (a) 3.376% 2/15/25		100,000		100,378
Verizon Communications, Inc. 3.500% 11/01/24		300,000		305,378
Verizon Communications, Inc. 4.125% 3/16/27		1,290,000		1,345,100
Verizon Communications, Inc. 4.522% 9/15/48		230,000		226,469
Verizon Communications, Inc. 4.862% 8/21/46		130,000		135,411
Verizon Communications, Inc. 5.250% 3/16/37		170,000		186,946
Verizon Communications, Inc. 5.500% 3/16/47		100,000		113,941
West Corp. (a) 4.750% 7/15/21		60,000		60,750
				6,872,137
Textiles — 0.1%
Cintas Corp. No 2 2.900% 4/01/22		160,000		161,433
Cintas Corp. No 2 3.700% 4/01/27		260,000		270,536
				431,969
Transportation — 0.1%
United Parcel Service, Inc. 2.500% 4/01/23		120,000		119,332
United Parcel Service, Inc. 3.050% 11/15/27		190,000		190,014
				309,346
Trucking & Leasing — 0.1%
DAE Funding LLC (a) 4.500% 8/01/22		80,000		78,600
DAE Funding LLC (a) 5.000% 8/01/24		80,000		79,000

The accompanying notes are an integral part of the portfolio of investments.

25

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

	Principal Amount		Value
Park Aerospace Holdings Ltd. (a) 5.250% 8/15/22	$	50,000	$	49,687
Park Aerospace Holdings Ltd. (a) 5.500% 2/15/24		80,000		79,400
				286,687
TOTAL CORPORATE DEBT (Cost $131,979,200)				137,299,191
MUNICIPAL OBLIGATIONS — 0.0%
Northeast Ohio Regional Sewer District 5.000% 11/15/43		50,000		57,927
State of California 5.000% 4/01/42		70,000		78,381
State of California 5.000% 11/01/43		50,000		57,558
				193,866
TOTAL MUNICIPAL OBLIGATIONS (Cost $173,256)				193,866
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 13.6%
Automobile ABS — 0.3%
Hertz Vehicle Financing II LP, Series 2015-1A, Class A (a) 2.730% 3/25/21		250,000		249,701
Hertz Vehicle Financing II LP, Series 2017-1A, Class A (a) 2.960% 10/25/21		750,000		748,613
Hertz Vehicle Financing II LP, Series 2015-1A, Class C (a) 4.350% 3/25/21		250,000		248,203
Hertz Vehicle Financing LC, Series 2013-1A, Class A2 (a) 1.830% 8/25/19		120,000		119,843
				1,366,360
Commercial MBS — 5.5%
Banc of America Commercial Mortgage Trust, Series 2007-2, Class AJ, VRN (b) 5.676% 4/10/49		70,210		54,923
Banc of America Merrill Lynch Trust, Series 2016-GG10, Class AJA, VRN (a) (b) 5.814% 8/10/45		790,404		633,497
BANK, 2017-BNK4, Class XA, VRN (b) 1.456% 5/15/50		3,760,590		359,940
BANK, 2017-BNK7, Class A5 3.435% 9/15/60		500,000		510,110

	Principal Amount		Value
BBCCRE Trust, Series 2015-GTP, Class E, VRN (a) (b) 4.563% 8/10/33	$	1,020,000	$	865,208
BX Trust, Series 2017-APPL, Class A, 1 mo. LIBOR + .880%, FRN (a) 2.357% 7/15/34		480,000		480,293
BX Trust, Series 2017-APPL, Class B, 1 mo. LIBOR + 1.150%, FRN (a) 2.627% 7/15/34		480,000		480,308
BX Trust, Series 2017-IMC, Class F, FRN (a) (b) 5.500% 10/15/32		1,000,000		1,001,573
CD Mortgage Trust, Series 2017-CD3, Class A4 3.631% 2/10/50		400,000		418,599
CHT Mortgage Trust, Series 2017-CSMO, Class A, FRN (a) (b) 2.310% 11/15/36		560,000		560,879
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class D (a) 3.110% 4/10/48		400,000		300,381
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class A4 3.465% 9/15/50		500,000		512,176
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class AS 3.571% 2/10/48		390,000		394,346
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5, VRN (b) 3.720% 12/10/49		310,000		324,216
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class E, VRN (a) (b) 4.401% 3/10/47		270,000		209,763
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D, VRN (a) (b) 4.428% 2/10/48		740,000		626,562
Cold Storage Trust, Series 2017-ICE3, Class B, 1 mo. LIBOR + 1.250%, FRN (a) 2.727% 4/15/36		740,000		741,415
COMM Mortgage Trust, Series 2012-CR1, Class XA, VRN (b) 1.878% 5/15/45		1,838,963		121,642
COMM Mortgage Trust, Series 2013-LC13, Class E, VRN (a) (b) 3.719% 8/10/46		440,000		300,320
COMM Mortgage Trust, Series 2013-CR9, Class E, VRN (a) (b) 4.254% 7/10/45		280,000		199,799

The accompanying notes are an integral part of the portfolio of investments.

26

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

	Principal Amount		Value
COMM Mortgage Trust, Series 2015-LC19, Class C, VRN (b) 4.261% 2/10/48	$	120,000	$	122,220
Credit Suisse Mortgage Trust, Series 2015-GLPA, Class A (a) 3.881% 11/15/37		140,000		146,355
Credit Suisse Mortgage Trust, Series 2014-USA, Class A2 (a) 3.953% 9/15/37		190,000		196,067
Credit Suisse Mortgage Trust, Series 2014-USA, Class E (a) 4.373% 9/15/37		240,000		214,123
Credit Suisse Mortgage Trust, Series 2014-USA, Class F (a) 4.373% 9/15/37		230,000		194,580
Credit Suisse Mortgage Trust, Series 2006-C5, Class AJ 5.373% 12/15/39		143,915		125,433
Credit Suisse Mortgage Trust, Series 2015, Class TF, 1 mo. LIBOR + 4.143%, FRN (a) 5.620% 3/15/28		270,000		268,788
Credit Suisse Mortgage Trust, Series 2007-C5, Class AM, VRN (b) 5.869% 9/15/40		38,507		36,397
Credit Suisse Mortgage Trust, Series 2015, Class F, 1 mo. LIBOR + 4.500%, FRN (a) 5.977% 3/15/28		260,000		260,327
CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C, VRN (b) 4.358% 8/15/48		430,000		429,975
CSMC Trust, Series 2017-LSTK, Class A (a) 2.761% 4/05/33		430,000		429,454
CSMC Trust, Series 2017-CHOP, Class G, 1 mo. LIBOR + 5.620%, FRN (a) 7.097% 7/15/32		1,700,000		1,729,750
FREMF Mortgage Trust, Series 2012-K20, Class X2A (a) 0.200% 5/25/45		3,363,410		23,466
GE Business Loan Trust, Series 2006-2A, Class D, 1 mo. LIBOR + .750%, FRN (a) 2.227% 11/15/34		147,170		132,567
GE Commercial Mortgage Corp., Series 2007-C1, Class AJ, VRN (b) 5.677% 12/10/49		60,000		32,856
GS Mortgage Securities Corp. II, Series 2015-GC30, Class D 3.384% 5/10/50		310,000		235,699

	Principal Amount		Value
GS Mortgage Securities Corp. II, Series 2015-GC30, Class AS, VRN (b) 3.777% 5/10/50	$	280,000	$	286,812
GS Mortgage Securities Corp. Trust, Series 2017-485L, Class A (a) 3.721% 2/10/37		330,000		341,883
GS Mortgage Securities Trust, Series 2017-GS5, Class C, VRN (b) 4.299% 3/10/50		370,000		381,780
GS Mortgage Securities Trust, Series 2015-GC28, Class C, VRN (b) 4.327% 2/10/48		270,000		258,814
GS Mortgage Securities Trust, Series 2006-GG8, Class AJ 5.622% 11/10/39		125,086		116,041
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A (a) 2.835% 8/10/38		320,000		312,253
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class A5 2.870% 8/15/49		460,000		451,593
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class A4, VRN (b) 3.648% 12/15/49		310,000		322,592
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AM 5.372% 5/15/47		98,755		99,153
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class AJ 5.411% 5/15/47		540,000		381,254
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJFX (a) 5.438% 1/15/49		600,000		159,937
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class AJ, VRN (b) 5.502% 6/12/47		370,000		300,749
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJ, VRN (b) 5.503% 1/15/49		520,000		132,817
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class XA, VRN (b) 1.139% 4/15/47		2,481,649		67,198
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3 3.801% 8/15/48		60,000		62,835

The accompanying notes are an integral part of the portfolio of investments.

27

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

	Principal Amount		Value
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class AS 3.997% 8/15/47	$	250,000	$	259,838
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class D, VRN (b) 4.168% 11/15/48		610,000		464,205
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class C, VRN (b) 4.618% 8/15/48		70,000		69,378
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class B, VRN (b) 4.618% 8/15/48		160,000		166,528
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B, VRN (b) 4.881% 1/15/47		30,000		31,716
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class XA, VRN (b) 0.919% 10/15/50		7,982,876		530,848
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5 3.409% 10/15/50		1,260,000		1,285,930
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A2, VRN (a) (b) 2.729% 4/20/48		538,418		536,281
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A3, VRN (a) (b) 3.113% 4/20/48		707,000		700,922
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ, VRN (b) 6.079% 9/12/49		142,981		116,991
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class E (a) 3.012% 3/15/48		390,000		251,180
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class A5 3.102% 11/15/49		320,000		318,175
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4 3.306% 4/15/48		420,000		427,531
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E, VRN (a) (b) 4.575% 11/15/45		150,000		142,610

	Principal Amount		Value
Morgan Stanley Capital I Trust, Series 2016-BNK2, Class A4 3.049% 11/15/49	$	350,000	$	347,875
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class AJ 5.399% 12/15/43		136,178		106,240
Morgan Stanley Capital I Trust, Series 2007-IQ13, Class AJ 5.438% 3/15/44		389,847		375,152
One Market Plaza Trust, Series 2017-1MKT, Class A (a) 3.614% 2/10/32		850,000		869,566
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 3.460% 6/15/50		170,000		173,791
UBS Commercial Mortgage Trust, Series 2017-C2, Class A4 3.487% 8/15/50		570,000		584,431
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A, VRN (a) (b) 4.104% 9/14/22		323,467		316,975
Wells Fargo Commercial Mortgage Trust, Series 2015-LC20, Class A5 3.184% 4/15/50		430,000		434,341
Wells Fargo Commercial Mortgage Trust, Series 2015-NXSI, Class AS 3.406% 5/15/48		330,000		330,194
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class B, VRN (b) 3.658% 5/15/48		290,000		292,999
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class C 4.118% 9/15/50		500,000		493,389
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class C, VRN (b) 4.176% 7/15/48		370,000		369,832
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, VRN (b) 4.291% 7/15/46		140,000		143,672
Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class C, VRN (b) 4.494% 12/15/49		320,000		327,654
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS 3.931% 11/15/47		190,000		198,829
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, VRN (b) 4.204% 11/15/47		190,000		193,285
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C, VRN (b) 4.290% 11/15/47		190,000		180,019
				28,390,095

The accompanying notes are an integral part of the portfolio of investments.

28

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

	Principal Amount		Value
Home Equity ABS — 1.5%
ACE Securities Corp., Series 2005-HE3, Class M4, 1 mo. USD LIBOR + .945%, FRN 2.497% 5/25/35	$	1,020,000	$	880,935
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE6, Class A3B, 1 mo. USD LIBOR + .960%, FRN 2.512% 11/25/33		1,249,236		1,203,461
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE7, Class 2A3, 1 mo. USD LIBOR + .250%, FRN 1.802% 8/25/36		1,760,294		1,369,892
GSAA Home Equity Trust, Series 2006-19, Class A3A, 1 mo. USD LIBOR + .240%, FRN 1.792% 12/25/36		818,174		490,286
GSAA Home Equity Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .270%, FRN 1.822% 3/25/36		578,362		395,440
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4, STEP 5.860% 1/25/37		1,930,000		1,931,367
RBSSP Resecuritization Trust, Series 2010-4, Class 6A2, STEP (a) 5.825% 2/26/36		1,382,122		1,326,935
				7,598,316
Manufactured Housing ABS — 0.4%
Conseco Finance Corp., Series 1996-4, Class M1, VRN (b) 7.750% 6/15/27		1,797,632		1,845,004
Greenpoint Manufactured Housing, Series 2001-2, Class IA2, Auction Rate, FRN 4.736% 2/20/32		150,000		141,939
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2, Auction Rate, FRN 4.746% 3/13/32		200,000		188,905
				2,175,848
Other ABS — 1.6%
Ameriquest Mortgage Securities, Inc., Series 2004-R7, Class M3, 1 mo. USD LIBOR + 1.020%, FRN 2.572% 8/25/34		645,369		636,638
Community Funding CLO Ltd., Series 2015-1A, Class A, (Acquired 9/30/15, Cost $690,000), STEP (a) (d) (e) 5.750% 11/01/27		690,000		681,209

	Principal Amount		Value
HSI Asset Securitization Corp., Series 2005-II, Class 2A4, 1 mo. USD LIBOR + .390%, FRN 1.942% 11/25/35	$	2,400,000	$	2,112,202
PFCA Home Equity Investment Trust, Series 2003-IFC6, Class A, VRN (a) (b) 5.500% 4/22/35		1,289,043		1,295,656
Popular ABS Mortgage Pass-Through Trust, Series 2005-2, Class M2, STEP 5.717% 4/25/35		1,642,149		1,251,723
Structured Asset Investment Loan Trust, Series 2004-8, Class A9, 1 mo. USD LIBOR + 1.000%, FRN 2.552% 9/25/34		1,292,532		1,293,661
Upstart Securitization Trust, Series 2017-1, Class A (a) 2.639% 6/20/24		776,942		776,703
				8,047,792
Student Loans ABS — 1.3%
AccessLex Institute, Series 2007-1, Class A4, 3 mo. USD LIBOR + .060%, FRN 1.427% 1/25/23		1,962,166	$	1,930,476
National Collegiate Student Loan, Series 2007-4, Class A3L, 1 mo. USD LIBOR + .850%, FRN 2.402% 3/25/38		1,773,434		1,208,081
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (a) 2.602% 7/26/66		500,000		513,067
SLM Private Credit Student Loan Trust, Series 2005-A, Class A4, 3 mo. USD LIBOR + .310%, FRN 1.899% 12/15/38		1,210,000		1,133,447
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 (a) 3.500% 10/28/29		72,613		71,100
SLM Student Loan Trust, Series 2006-1, Class A5, 3 mo. USD LIBOR + .110%, FRN 1.477% 7/26/21		815,641		804,994
SLM Student Loan Trust, Series 2008-6, Class A4, 3 mo. USD LIBOR + 1.100%, FRN 2.467% 7/25/23		590,000		597,399
SLM Student Loan Trust, Series 2008-5, Class A4, 3 mo. USD LIBOR + 1.700%, FRN 3.067% 7/25/23		499,078		514,851
				6,773,415

The accompanying notes are an integral part of the portfolio of investments.

29

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

	Principal Amount		Value
WL Collateral CMO — 3.0%
Alternative Loan Trust, Series 2005-36, Class 3A1, VRN (b) 3.428% 8/25/35	$	455,379	$	422,168
Alternative Loan Trust, Series 2004-28CB, Class 2A7 5.750% 1/25/35		124,095		125,185
Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1, VRN (a) (b) 3.000% 3/28/57		878,573		885,742
BCAP LLC Trust, Series 2010-RR6, Class 1212 (a) 5.500% 2/26/35		18,545		18,606
Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1, VRN (b) 3.509% 8/25/34		138,468		140,449
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650%, FRN 6.098% 11/25/35		1,129,926		327,756
Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. USD LIBOR + .350%, FRN 1.902% 5/25/37		2,473,673		1,326,397
Credit Suisse Mortgage Capital Certificates, Series 2015-2R, Class 3A2, VRN (a) (b) 1.448% 4/27/36		1,290,000		1,008,318
Credit Suisse Mortgage Capital Certificates, Series 2015-4R, Class 3A3, 1 mo. USD LIBOR + .310%, FRN (a) 1.639% 10/27/36		880,000		489,567
Credit Suisse Mortgage Capital Certificates, Series 2015-2R, Class 7A2, VRN (a) (b) 2.728% 8/27/36		2,450,501		2,148,938
GSMSC Resecuritization Trust, Series 2014-2R, Class 3B, 1 mo. USD LIBOR + .610%, FRN (a) 1.938% 11/26/37		1,220,000		1,015,444
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, VRN (b) 3.593% 10/25/35		114,463		102,084
HarborView Mortgage Loan Trust, Series 2006-2, Class 1A, VRN (b) 3.665% 2/25/36		75,918		60,748
Morgan Stanley Resecuritization Trust, Series 2015-R6, Class 1B, 1 mo. USD LIBOR + .260%, FRN (a) 1.589% 7/26/45		408,530		219,369

	Principal Amount		Value
Morgan Stanley Resecuritization Trust, Series 2015-R3, Class 7A2, 12 mo. MTA + .770%, FRN (a) 1.772% 4/26/47	$	300,000	$	267,681
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1, VRN (a) (b) 4.000% 4/25/57		914,607		942,233
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1, VRN (a) (b) 4.000% 5/25/57		945,723		974,502
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (a) 5.500% 5/25/35		60,166		60,339
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (a) 6.000% 5/25/35		893,333		695,316
RBSSP Resecuritization Trust, Series 2013-4, Class 1A2, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 12/26/37		1,960,965		1,515,447
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1, VRN (b) 3.643% 8/25/36		415,329		358,997
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150%, FRN 3.213% 3/25/46		407,540		402,772
Towd Point Mortgage Funding Vantage PLC, Series 2016-V1A, Class A1, 3 mo. GBP LIBOR + 1.200%, FRN GBP (a) (f) 1.726% 2/20/54		395,801		538,506
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1, 1 mo. USD LIBOR + .260%, FRN 1.812% 11/25/45		146,283		144,946
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1B, 12 mo. MTA + 1.000%, FRN 2.063% 2/25/46		1,272,296		1,192,647
				15,384,157
WL Collateral PAC — 0.0%
Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. USD LIBOR + 28.600%, FRN 22.392% 7/25/36		80,873		114,128
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $67,953,047)				69,850,111

The accompanying notes are an integral part of the portfolio of investments.

30

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

	Principal Amount		Value
SOVEREIGN DEBT OBLIGATIONS — 6.0%
Abu Dhabi Government International Bond (a) 2.500% 10/11/22	$	670,000	$	656,600
Argentina POM Politica Monetaria, FRN ARS (b) (f) 28.750% 6/21/20		1,030,000		59,173
Argentine Bonos del Tesoro ARS (f) 18.200% 10/03/21		12,970,000		746,863
Argentine Bonos del Tesoro ARS (f) 21.200% 9/19/18		210,000		11,642
Argentine Republic Government International Bond 5.625% 1/26/22		770,000		812,350
Argentine Republic Government International Bond 6.875% 4/22/21		220,000		239,580
Argentine Republic Government International Bond 7.125% 7/06/36		220,000		238,370
Argentine Republic Government International Bond 7.500% 4/22/26		610,000		690,612
Brazil Government International Bond 5.000% 1/27/45		200,000		186,400
Brazil Government International Bond 5.625% 1/07/41		1,050,000		1,072,575
Brazil Notas do Tesouro Nacional Serie F BRL (f) 10.000% 1/01/21		6,558,000		1,939,803
Brazil Notas do Tesouro Nacional Serie F BRL (f) 10.000% 1/01/23		13,781,000		4,002,407
Brazil Notas do Tesouro Nacional Serie F BRL (f) 10.000% 1/01/27		483,000		136,493
Colombia Government International Bond 5.625% 2/26/44		520,000		595,400
Indonesia Government International Bond 3.500% 1/11/28		400,000		398,629
Indonesia Government International Bond (a) 3.750% 4/25/22		430,000		442,723
Indonesia Government International Bond 4.350% 1/11/48		450,000		456,539
Indonesia Government International Bond (c) 5.125% 1/15/45		760,000		840,030
Indonesia Government International Bond (a) 5.125% 1/15/45		200,000		221,061

	Principal Amount		Value
Kuwait International Government Bond (a) 3.500% 3/20/27	$	530,000	$	538,274
Mexican Bonos MXN (f) 6.500% 6/09/22		92,558,000		4,505,909
Mexican Bonos MXN (f) 7.750% 11/13/42		26,885,600		1,359,150
Mexican Bonos MXN (f) 8.000% 11/07/47		18,820,000		976,544
Mexican Bonos MXN (f) 8.500% 11/18/38		30,070,000		1,639,417
Mexico Government International Bond 4.750% 3/08/44		1,220,000		1,233,420
Nigeria Government International Bond (a) 6.500% 11/28/27		200,000		208,405
Peruvian Government International Bond 5.625% 11/18/50		250,000		320,750
Peruvian Government International Bond 6.550% 3/14/37		430,000		581,575
Provincia de Buenos Aires (a) 6.500% 2/15/23		170,000		182,631
Provincia de Buenos Aires (a) 7.875% 6/15/27		160,000		177,571
Republic of Poland Government International Bond 4.000% 1/22/24		490,000		522,526
Russian Federal Bond — OFZ RUB (f) 7.000% 8/16/23		27,320,000		474,100
Russian Federal Bond — OFZ RUB (f) 7.050% 1/19/28		211,836,000		3,573,917
Russian Federal Bond — OFZ RUB (f) 7.750% 9/16/26		8,260,000		146,652
Russian Federal Bond — OFZ RUB (f) 8.150% 2/03/27		36,350,000		664,235
				30,852,326
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $32,295,226)				30,852,326
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 26.7%
Collateralized Mortgage Obligations — 1.3%
Federal Home Loan Mortgage Corp.
Series 3422, Class AI STEP 0.250% 1/15/38		22,886		160

The accompanying notes are an integral part of the portfolio of investments.

31

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

	Principal Amount		Value
Series 4092, Class AI 3.000% 9/15/31	$	848,961	$	81,291
Series 334, Class S7 1 mo. LIBOR + 6.100%, FRN 4.623% 8/15/44		285,235		56,140
Series 3621, Class SB 1 mo. LIBOR + 6.230%, FRN 4.753% 1/15/40		59,365		10,175
Series 4203, Class PS 1 mo. LIBOR + 6.250%, FRN 4.773% 9/15/42		308,429		47,181
Series 3973, Class SA 1 mo. LIBOR + 6.490%, FRN 5.013% 12/15/41		378,412		72,444
Series R007, Class ZA 6.000% 5/15/36		165,157		185,504
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
Series K007, Class X1 VRN 1.219% 4/25/20 (b)		333,300		6,433
Series K712, Class X1 VRN 1.333% 11/25/19 (b)		896,736		17,082
Series K015, Class X1 VRN 1.595% 7/25/21 (b)		364,594		17,281
Federal Home Loan Mortgage Corp. Strips Series 353, Class S1 1 mo. LIBOR + 6.000%, FRN 4.523% 12/15/46		552,380		111,344
Federal National Mortgage Association
Series 2005-88, Class IP 1.348% 10/25/35		74,035		5,143
Series 2006-88, Class IP 1.465% 4/25/36		102,402		5,993
Series 2006-118, Class IP2 1.591% 12/25/36		134,152		8,117
Series 2006-118, Class IP1 2.118% 12/25/36		196,817		15,848
Series 2006-59, Class IP 2.131% 7/25/36		166,722		13,505
Series 409, Class C2 3.000% 4/25/27		196,911		17,384
Series 2013-1, Class YI 3.000% 2/25/33		1,855,744		244,780
Series 409, Class C13 3.500% 11/25/41		197,786		35,308
Series 409, Class C18 4.000% 4/25/42		215,655		44,007
Series 2013-124, Class SB 1 mo. LIBOR + 5.950%, FRN 4.398% 12/25/43		648,051		124,424
Series 409, Class C22 4.500% 11/25/39		125,100		24,297

	Principal Amount		Value
Series 2016-61, Class BS 1 mo. LIBOR + 6.100%, FRN 4.548% 9/25/46	$	223,900	$	36,041
Series 2016-60, Class QS 1 mo. LIBOR + 6.100%, FRN 4.548% 9/25/46		466,807		75,800
Series 2012-134, Class SK 1 mo. LIBOR + 6.150%, FRN 4.598% 12/25/42		397,223		75,040
Series 2012-133, Class CS 1 mo. LIBOR + 6.150%, FRN 4.598% 12/25/42		211,203		38,227
Series 2013-54, Class BS 1 mo. LIBOR + 6.150%, FRN 4.598% 6/25/43		526,797		106,411
Series 2017-85, Class SC FRN 4.648% 11/25/47 (b)		384,591		70,187
Series 2012-35, Class SC 1 mo. LIBOR + 6.500%, FRN 4.948% 4/25/42		180,928		35,170
Series 2011-87, Class SG 1 mo. LIBOR + 6.550%, FRN 4.998% 4/25/40		359,859		46,245
Series 2011-96, Class SA 1 mo. LIBOR + 6.550%, FRN 4.998% 10/25/41		383,023		64,767
Series 2012-74, Class SA 1 mo. LIBOR + 6.650%, FRN 5.098% 3/25/42		101,144		15,659
Series 2011-59, Class NZ 5.500% 7/25/41		714,292		784,288
Series 2013-9, Class CB 5.500% 4/25/42		615,482		678,861
Series 2012-46, Class BA 6.000% 5/25/42		170,165		191,572
Series 2012-28, Class B 6.500% 6/25/39		48,598		52,531
Series 2013-9, Class BC 6.500% 7/25/42		181,986		206,968
Series 2012-51, Class B 7.000% 5/25/42		139,532		159,063
Federal National Mortgage Association ACES
Series 2014-M4, Class X2 VRN 0.255% 3/25/24 (b)		5,180,497		75,782
Series 2016-M7, Class A1 2.037% 9/25/26		235,314		228,777
Series 2015-M4, Class ABV2 2.369% 7/25/22		40,715		40,001
Series 2015-M13, Class A2 VRN 2.712% 6/25/25 (b)		90,000		89,718
Series 20175-M15, Class ATS2 VRN 3.136% 11/25/27 (b)		60,000		60,493

The accompanying notes are an integral part of the portfolio of investments.

32

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

	Principal Amount		Value
Government National Mortgage Association
Series 2012-144, Class IO VRN 0.467% 1/16/53 (b)	$	7,285,760	$	241,105
Series 2012-135, Class IO VRN 0.603% 1/16/53 (b)		5,911,297		211,478
Series 2014-186, Class IO VRN 0.781% 8/16/54 (b)		2,835,408		144,267
Series 2014-22, Class IA VRN 0.847% 11/20/42 (b)		59,573		2,148
Series 2017-H18, Class BI VRN 1.630% 9/20/67 (b)		5,030,281		517,176
Series 2010-H28, Class FE 1 mo. USD LIBOR + .400%, FRN 1.643% 12/20/60		199,303		198,741
Series 2011-H08, Class FG 1 mo. USD LIBOR + .480%, FRN 1.723% 3/20/61		190,843		190,747
Series 2011-H09, Class AF 1 mo. USD LIBOR + .500%, FRN 1.743% 3/20/61		132,678		132,685
Series 2012-H27, Class AI VRN 1.763% 10/20/62 (b)		1,000,753		68,645
Series 2017-H20, Class IB VRN 1.963% 10/20/67 (b)		100,066		12,908
Series 2017-H15, Class KI VRN 2.157% 7/20/67 (b)		202,133		28,056
Series 2012-66, Class CI 3.500% 2/20/38		190,452		15,881
Series 2013-53, Class OI 3.500% 4/20/43		1,271,613		196,739
Series 2014-176, Class IA 4.000% 11/20/44		142,252		23,596
Series 2015-167, Class OI 4.000% 4/16/45		143,804		32,694
Series 2014-117, Class SJ 1 mo. LIBOR + 5.600%, FRN 4.099% 8/20/44		104,277		14,829
Series 2016-84, Class IG 4.500% 11/16/45		675,877		130,290
Series 2016-135, Class SB 1 mo. LIBOR + 6.100%, FRN 4.609% 10/16/46		178,036		40,751
Series 2016-21, Class ST 1 mo. LIBOR + 6.150%, FRN 4.649% 2/20/46		154,025		30,199
Series 2010-31, Class GS 1 mo. LIBOR + 6.500%, FRN 4.999% 3/20/39		18,799		1,112
Series 2010-85, Class HS 1 mo. LIBOR + 6.650%, FRN 5.149% 1/20/40		69,634		7,871
				6,517,360

	Principal Amount		Value
Pass-Through Securities — 24.2%
Federal Home Loan Mortgage Corp.
Pool #U90245 3.500% 10/01/42	$	132,000	$	135,526
Pool #U99045 3.500% 3/01/43		601,086		617,146
Pool #U99114 3.500% 2/01/44		72,791		74,736
Pool #U99124 3.500% 3/01/45		653,454		670,913
Pool #G14492 4.000% 10/01/25		375,292		390,477
Pool #U90316 4.000% 10/01/42		59,347		62,535
Pool #U91254 4.000% 4/01/43		142,735		150,535
Pool #Q19135 4.000% 6/01/43		63,851		67,530
Pool #Q19236 4.000% 6/01/43		57,356		60,956
Pool #U99054 4.000% 6/01/43		1,542,288		1,626,571
Pool #Q19615 4.000% 7/01/43		63,332		66,981
Pool #Q19985 4.000% 7/01/43		1,728,327		1,827,909
Pool #U95137 4.000% 8/01/43		74,265		78,324
Pool #C09071 4.000% 2/01/45		941,724		985,095
Pool #Q40459 4.000% 3/01/46		1,400,432		1,469,086
Pool #G08771 4.000% 7/01/47		1,331,364		1,393,511
Pool #V83342 4.000% 8/01/47		388,925		407,080
Pool #G08793 4.000% 12/01/47		2,394,018		2,508,762
Pool #U99076 4.500% 12/01/43		503,187		540,926
Pool #U92272 4.500% 12/01/43		72,772		78,275
Pool #U99084 4.500% 2/01/44		448,892		482,840
Pool #U99091 4.500% 3/01/44		151,085		162,510
Pool #Q26207 4.500% 5/01/44		58,121		62,090
Pool #G08683 4.500% 12/01/45		59,375		63,253
Pool #Q47940 4.500% 2/01/47		883,870		941,045

The accompanying notes are an integral part of the portfolio of investments.

33

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

	Principal Amount		Value
Pool #V83157 4.500% 4/01/47	$	3,724,140	$	3,963,882
Pool #Q49177 4.500% 6/01/47		691,771		736,736
Pool #G06496 5.000% 6/01/41		101,992		110,402
Pool #G06875 5.500% 12/01/38		13,169		14,632
Pool #G06669 6.500% 9/01/39		26,509		30,477
Pool #G07509 6.500% 9/01/39		24,473		27,877
Pool #G07335 7.000% 3/01/39		61,885		71,210
Federal Home Loan Mortgage Corp. TBA
Pool #3395 3.000% 9/01/44 (g)		6,800,000		6,801,859
Pool #648 3.500% 1/01/45 (g)		5,900,000		6,060,406
Pool #4200 4.000% 5/01/44 (g)		3,100,000		3,242,406
Federal National Mortgage Association
Pool #AP9633 2.500% 10/01/42		123,664		120,428
Pool #AM8674 2.810% 4/01/25		50,000		50,053
Pool #AN5723 2.940% 7/01/27		600,000		596,483
Pool #AQ7306 3.000% 1/01/43		66,265		66,311
Pool #AR1202 3.000% 1/01/43		66,891		66,938
Pool #AS8359 3.000% 11/01/46		1,002,589		1,003,608
Pool #BE0072 3.000% 11/01/46		1,618,672		1,622,593
Pool #MA1177 3.500% 9/01/42		61,511		63,169
Pool #MA1213 3.500% 10/01/42		379,929		390,169
Pool #AS6340 3.500% 12/01/45		253,644		261,868
Pool #AS6328 3.500% 12/01/45		1,662,517		1,708,885
Pool #AS6541 3.500% 1/01/46		255,963		264,581
Pool #AS6562 3.500% 1/01/46		256,569		264,887
Pool #BF0145 3.500% 3/01/57		3,178,865		3,260,075
Pool #AK8441 4.000% 4/01/42		54,888		57,844

	Principal Amount		Value
Pool #AO2711 4.000% 5/01/42	$	52,065	$	54,870
Pool #AO6086 4.000% 6/01/42		51,921		54,718
Pool #AP0692 4.000% 7/01/42		42,226		44,501
Pool #AP5333 4.000% 7/01/42		166,744		175,883
Pool #AP2530 4.000% 8/01/42		41,833		44,086
Pool #AP2958 4.000% 8/01/42		37,247		39,254
Pool #AP4903 4.000% 9/01/42		52,084		54,914
Pool #AP7399 4.000% 9/01/42		113,687		119,811
Pool #MA1217 4.000% 10/01/42		304,535		320,891
Pool #AP9229 4.000% 10/01/42		45,411		47,857
Pool #AP9766 4.000% 10/01/42		245,457		258,640
Pool #MA1253 4.000% 11/01/42		181,657		191,414
Pool #AQ3599 4.000% 11/01/42		38,168		40,242
Pool #AQ4555 4.000% 12/01/42		92,288		97,389
Pool #AQ7003 4.000% 12/01/42		92,296		97,253
Pool #AQ7082 4.000% 1/01/43		122,368		128,941
Pool #AL3508 4.000% 4/01/43		60,846		64,362
Pool #AQ4078 4.000% 6/01/43		59,417		62,869
Pool #AQ4080 4.000% 6/01/43		57,893		61,138
Pool #AT8394 4.000% 6/01/43		60,461		63,973
Pool #AB9683 4.000% 6/01/43		112,023		118,040
Pool #AT9637 4.000% 7/01/43		190,074		200,728
Pool #AT9653 4.000% 7/01/43		127,182		134,570
Pool #AT9657 4.000% 7/01/43		106,753		112,486
Pool #AS0070 4.000% 8/01/43		69,417		73,210
Pool #MA1547 4.000% 8/01/43		72,416		76,373

The accompanying notes are an integral part of the portfolio of investments.

34

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

	Principal Amount		Value
Pool #AS4347 4.000% 1/01/45	$	133,655	$	141,231
Pool #AS9453 4.000% 4/01/47		1,413,648		1,488,251
Pool #AS9588 4.000% 5/01/47		384,349		404,632
Pool #BH2623 4.000% 8/01/47		4,109,537		4,301,369
Pool #MA0706 4.500% 4/01/31		38,599		41,077
Pool #MA0734 4.500% 5/01/31		126,051		134,141
Pool #MA0776 4.500% 6/01/31		41,844		44,530
Pool #MA0913 4.500% 11/01/31		31,040		33,032
Pool #MA0939 4.500% 12/01/31		36,511		38,854
Pool #993117 4.500% 1/01/39		9,110		9,783
Pool #AA0856 4.500% 1/01/39		16,195		17,392
Pool #AA2450 4.500% 2/01/39		5,127		5,505
Pool #AA3495 4.500% 2/01/39		18,841		20,232
Pool #935520 4.500% 8/01/39		41,449		44,511
Pool #AD5481 4.500% 5/01/40		755,281		810,835
Pool #AD6914 4.500% 6/01/40		84,284		90,483
Pool #AD8685 4.500% 8/01/40		198,545		213,087
Pool #MA1591 4.500% 9/01/43		133,121		143,037
Pool #MA1629 4.500% 10/01/43		138,913		149,261
Pool #AL4341 4.500% 10/01/43		12,450		13,316
Pool #AU6423 4.500% 10/01/43		300,307		321,176
Pool #MA1664 4.500% 11/01/43		72,236		77,662
Pool #MA1711 4.500% 12/01/43		139,392		149,863
Pool #AL4741 4.500% 1/01/44		66,386		71,331
Pool #AW0318 4.500% 2/01/44		324,260		346,490
Pool #AL5562 4.500% 4/01/44		35,320		37,741

	Principal Amount		Value
Pool #AL5540 4.500% 7/01/44	$	121,513	$	131,344
Pool #890604 4.500% 10/01/44		640,658		691,285
Pool #AS4271 4.500% 1/01/45		69,001		75,209
Pool #AS8577 4.500% 12/01/46		2,067,115		2,201,074
Pool #BF0148 4.500% 4/01/56		4,169,190		4,503,214
Pool #915154 5.000% 4/01/37		82,190		89,260
Pool #974965 5.000% 4/01/38		239,095		259,512
Pool #983077 5.000% 5/01/38		68,080		73,893
Pool #310088 5.000% 6/01/38		65,277		70,852
Pool #AE2266 5.000% 3/01/40		116,936		126,739
Pool #937948 5.500% 6/01/37		9,002		9,994
Pool #995072 5.500% 8/01/38		32,574		36,187
Pool #BF0141 5.500% 9/01/56		993,421		1,105,453
Pool #481473 6.000% 2/01/29		54		60
Pool #867557 6.000% 2/01/36		2,502		2,793
Pool #AE0469 6.000% 12/01/39		240,673		271,061
Pool #AL4324 6.500% 5/01/40		162,591		185,034
Pool #AE0758 7.000% 2/01/39		91,224		103,018
Federal National Mortgage Association TBA
Pool #1312 3.000% 8/01/29 (g)		7,500,000		7,640,039
Pool #4241 3.000% 5/01/44 (g)		9,000,000		9,002,110
Pool #1963 3.500% 10/01/44 (g)		14,300,000		14,687,664
Pool #9174 4.000% 3/01/44 (g)		1,800,000		1,882,688
Pool #29800 5.000% 5/01/37 (g)		2,300,000		2,471,602
Government National Mortgage Association
Pool #487588 6.000% 4/15/29		2,611		2,913

The accompanying notes are an integral part of the portfolio of investments.

35

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

	Principal Amount		Value
Pool #595077 6.000% 10/15/32	$	490	$	557
Pool #596620 6.000% 10/15/32		416		463
Pool #604706 6.000% 10/15/33		68,943		78,554
Pool #636251 6.000% 3/15/35		6,769		7,809
Pool #782034 6.000% 1/15/36		73,235		85,364
Pool #658029 6.000% 7/15/36		31,274		35,625
Government National Mortgage Association I TBA Pool #5610 3.500% 7/01/42 (g)		700,000		724,391
Government National Mortgage Association II
Pool #MA4836 3.000% 11/20/47		698,251		705,261
Pool #BD0384 3.500% 10/20/47		497,256		514,874
Pool #BC4732 3.500% 10/20/47		697,756		722,477
Pool #MA4837 3.500% 11/20/47		99,784		103,350
Pool #MA4653 4.000% 8/20/47		2,448,271		2,559,304
Pool #783298 4.500% 4/20/41		298,301		320,522
Pool #783368 4.500% 7/20/41		40,660		43,292
Pool #4747 5.000% 7/20/40		178,448		194,187
Government National Mortgage Association II TBA
Pool #188 3.000% 4/01/45 (g)		1,500,000		1,513,828
Pool #207 3.500% 5/01/45 (g)		8,400,000		8,687,438
Pool #232 4.000% 12/01/44 (g)		4,900,000		5,109,015
				124,698,935
Whole Loans — 1.2%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2017-DNA1, Class M2 1 mo. USD LIBOR + 3.250%, FRN 4.802% 7/25/29		3,130,000		3,344,959
Series 2015-HQ1, Class M3 1 mo. USD LIBOR + 3.800%, FRN 5.352% 3/25/25		1,170,000		1,264,555

	Principal Amount		Value
Series 2017-DNA1, Class B1 1 mo. USD LIBOR + 4.950%, FRN 6.502% 7/25/29	$	1,450,000	$	1,599,740
				6,209,254
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $138,003,552)				137,425,549
U.S. TREASURY OBLIGATIONS — 24.7%
U.S. Treasury Bonds & Notes — 24.7%
U.S. Treasury Bond 2.750% 11/15/47		7,140,000		7,151,714
U.S. Treasury Bond 3.000% 2/15/47		10,200,000		10,725,938
U.S. Treasury Bond 3.000% 5/15/47		3,050,000		3,207,027
U.S. Treasury Bond 3.750% 11/15/43		30,880,000		36,797,862
U.S. Treasury Inflation Index 0.125% 4/15/22		7,455,252		7,402,752
U.S. Treasury Inflation Index 0.375% 1/15/27		3,747,767		3,720,762
U.S. Treasury Inflation Index 0.625% 2/15/43		1,308,975		1,280,815
U.S. Treasury Inflation Index 0.750% 2/15/42		786,017		793,667
U.S. Treasury Inflation Index 0.750% 2/15/45		701,859		705,378
U.S. Treasury Inflation Index 1.375% 2/15/44		2,646,100		3,054,775
U.S. Treasury Inflation Index 2.125% 2/15/40		388,039		504,927
U.S. Treasury Note 1.000% 11/30/18		4,000,000		3,971,719
U.S. Treasury Note 1.125% 9/30/21		140,000		135,089
U.S. Treasury Note 1.250% 12/31/18		10,000,000		9,944,141
U.S. Treasury Note 1.375% 4/30/21		3,420,000		3,345,989
U.S. Treasury Note 1.375% 5/31/21		7,440,000		7,272,600
U.S. Treasury Note 1.500% 12/31/18		250,000		249,199
U.S. Treasury Note 1.500% 2/28/23		6,630,000		6,397,691
U.S. Treasury Note 1.625% 7/31/19		270,000		269,003
U.S. Treasury Note 1.625% 4/30/23		1,510,000		1,463,874

The accompanying notes are an integral part of the portfolio of investments.

36

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

	Principal Amount		Value
U.S. Treasury Note 1.875% 3/31/22	$	20,000	$	19,772
U.S. Treasury Note 1.875% 4/30/22		850,000		839,840
U.S. Treasury Note 2.000% 5/31/24		4,250,000		4,170,644
U.S. Treasury Note 2.000% 2/15/25		930,000		909,111
U.S. Treasury Note 2.125% 3/31/24		9,760,000		9,660,112
U.S. Treasury Note 2.250% 11/15/25		2,640,000		2,616,694
U.S. Treasury Note 2.250% 11/15/27		420,000		414,127
				127,025,222
TOTAL U.S. TREASURY OBLIGATIONS (Cost $125,606,383)				127,025,222
TOTAL BONDS & NOTES (Cost $526,279,764)				532,571,392
TOTAL PURCHASED OPTIONS (#) — 0.1% (Cost $330,670)				304,625
TOTAL LONG-TERM INVESTMENTS (Cost $526,736,042)				533,003,799
SHORT-TERM INVESTMENTS — 10.7%
Discount Notes — 7.7%
Federal Home Loan Bank Discount Notes, 1.115%, due 2/01/18		40,000,000		39,956,000
Repurchase Agreement — 2.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (h)		14,834,061		14,834,061
Time Deposit — 0.1%
Euro Time Deposit 0.120% 1/02/18		307,492		307,492
TOTAL SHORT-TERM INVESTMENTS (Cost $55,101,403)				55,097,553
TOTAL INVESTMENTS — 114.3% (Cost $581,837,445) (i)				588,101,352
Other Assets/(Liabilities) — (14.3)%				(73,499,485	)
NET ASSETS — 100.0%			$	514,601,867

Abbreviation Legend

ABS Asset-Backed Security

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

DIP Debtor In Possession

FRN Floating Rate Note

MBS Mortgage-Backed Security

MTA Monthly Treasury Average Index

PAC Planned Amortization Class

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) 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 December 31, 2017, these securities amounted to a value of $57,713,953 or 11.22% of net assets.

(b) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2017.

(c) 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 December 31, 2017, these securities amounted to a value of $1,244,736 or 0.24% of net assets.

(d) Investment was valued using significant unobservable inputs.

(e) Restricted security. Certain securities are restricted as to resale. At December 31, 2017, these securities amounted to a value of $681,209 or 0.13% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

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

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

(h) Maturity value of $14,834,951. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $15,135,237.

(i) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

37

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

(#) The Fund had the following open Purchased Options contracts at December 31, 2017:

Purchased Options

	Units	Notional Amount			Expiration Date	Description	Premiums Purchased		Value		Unrealized Appreciation/ (Depreciation)
Call
	364		USD	42,406,000	1/26/18	U.S. Treasury Note 5 Year Future, Strike 116.50	$	105,491	$	45,500	$	(59,991	)
Put
	21		USD	3,192,000	1/26/18	U.S. Treasury Bond Future, Strike 152.00	$	25,507	$	17,391	$	(8,116	)
	191		USD	29,223,000	1/26/18	U.S. Treasury Bond Future, Strike 153.00		199,672		241,734		42,062
								225,179		259,125		33,946
							$	330,670	$	304,625	$	(26,045	)

The Fund had the following open Forward contracts at December 31, 2017:

Forward Contracts

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy
IDR	20,021,260,000	Bank of America N.A.	1/19/18	$	1,460,340	$	13,245
CAD	5,354,670	Barclays Bank PLC	1/19/18		4,284,086		(22,917	)
INR	165,360,000	Barclays Bank PLC	1/19/18		2,508,305		77,745
JPY	137,670,000	Barclays Bank PLC	1/19/18		1,221,128		1,552
					8,013,519		56,380
BRL	15,548,900	Citibank N.A.	1/19/18		4,841,481		(162,387	)
EUR	1,330,000	Citibank N.A.	1/19/18		1,581,966		15,317
IDR	31,676,380,000	Citibank N.A.	1/19/18		2,328,101		3,313
JPY	435,200,000	Citibank N.A.	1/19/18		3,857,971		7,143
MXN	39,378,320	Citibank N.A.	1/19/18		2,108,273		(111,418	)
					14,717,792		(248,032	)
				$	24,191,651	$	(178,407	)
Contracts to Deliver
JPY	582,746,225	Bank of America N.A	1/19/18		5,212,119		36,612
CNY	40,663,913	Barclays Bank PLC	1/19/18		6,077,404		(161,766	)
GBP	478,770	Barclays Bank PLC	1/19/18		638,253		(8,488	)
PHP	257,796,000	Barclays Bank PLC	1/19/18		4,953,614		(207,050	)
					11,669,271		(377,304	)
CNH	5,420,000	Citibank N.A.	1/19/18		810,649		(20,833	)
EUR	2,131,359	Citibank N.A.	1/19/18		2,530,691		(28,996	)
					3,341,340		(49,829	)
				$	20,222,730	$	(390,521	)

The accompanying notes are an integral part of the portfolio of investments.

38

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

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date		Number of Contracts		Notional Amount			Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Long
Euro-BTP		3/08/18		46	$	7,639,614		$	(125,630	)
U.S. Treasury Note 10 Year		3/20/18		489		60,812,946			(154,024	)
U.S. Treasury Ultra Long Bond		3/20/18		152		25,260,100			223,650
U.S. Treasury Note 5 Year		3/29/18		1,303		151,946,338			(584,564	)
								$	(640,568	)
Futures Contracts — Short
Euro Bund		3/08/18		267	$	(52,090,101	)	$	294,335
Japanese Government Bond 10 Year		3/13/18		6		(8,032,795	)		3,685
90 Day Eurodollar		3/19/18		411		(101,096,510	)		154,910
Euro FX		3/19/18		5		(740,460	)		(14,259	)
U.S. Treasury Long Bond		3/20/18		94		(14,395,993	)		13,993
U.S. Treasury Ultra 10 Year		3/20/18		78		(10,426,861	)		8,986
U.S. Treasury Note 2 Year		3/29/18		7		(1,501,487	)		2,721
90 Day Eurodollar		6/18/18		260		(63,780,745	)		31,995
90 Day Eurodollar		12/17/18		133		(32,573,836	)		37,048
90 Day Eurodollar		12/16/19		72		(17,565,066	)		(15,534	)
								$	517,880

The Fund had the following open Swap agreements at December 31, 2017:

Swaps

Counterparty	Currency	Notional Amount		Expiration Date	Payment Frequency	Receive (Pay) Fixed Rate			Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Credit Default Swaps — Buy Protection
Centrally Cleared Swaps
	USD		4,740,000	12/20/22	Quarterly		(5.000	)%	CDX.NA.HY.29†	$	(37,706	)	$	(353,148	)	$	(390,854	)
Credit Default Swaps — Sell Protection††
Centrally Cleared Swaps
	USD		14,980,000	12/20/22	Quarterly		1.000%		CDX.NA.IG.29† (Ratings: BBB+)*	$	27,439		$	328,040		$	355,479

The accompanying notes are an integral part of the portfolio of investments.

39

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

Counterparty	Currency	Notional Amount		Expiration Date	Payment Frequency	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
Interest Rate Swaps
Centrally Cleared Swaps
	EUR		2,389,800	8/23/47	Annually/ Semi-Annually	Fixed 1.498%	6-Month EURIBOR	$	(2,703	)	$	2,439		$	(264	)
	USD		12,987,000	5/31/22	Quarterly/ Semi-Annually	3-Month USD-LIBOR-BBA	Fixed 2.250%		(32,747	)		24,117			(8,630	)
	USD		1,740,000	11/15/43	Semi-Annually/ Quarterly	Fixed 2.630%	3-Month USD-LIBOR-BBA		(9,493	)		(10,294	)		(19,787	)
	USD		18,919,000	11/15/43	Semi-Annually/ Quarterly	Fixed 2.474%	3-Month USD-LIBOR-BBA		(34,476	)		400,103			365,627
								$	(79,419	)	$	416,365		$	336,946

Collateral for swap agreements held by Goldman Sachs International amounted to $820,454 in cash at December 31, 2017.

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

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

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

Currency Legend

ARS Argentinean Peso

BRL Brazilian Real

CAD Canadian Dollar

CNH Offshore Chinese Yuan

CNY Chinese Yuan Renminbi

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

INR Indian Rupee

JPY Japanese Yen

MXN Mexican Peso

PHP Philippine Peso

RUB Russian Ruble

USD U.S. Dollar

The accompanying notes are an integral part of the portfolio of investments.

40

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 57.3%
COMMON STOCK — 55.3%
Australia — 0.0%
The AGL Energy Ltd.		106	$	2,012
Amcor Ltd.		137		1,646
AMP Ltd.		530		2,141
BHP Billiton Ltd.		408		9,392
National Australia Bank Ltd.		178		4,095
Rio Tinto Ltd.		136		8,026
Stockland		1,217		4,257
Telstra Corp. Ltd.		595		1,684
Wesfarmers Ltd.		100		3,463
Woolworths Ltd.		487		10,366
				47,082
Belgium — 0.4%
Anheuser-Busch InBev SA/NV		21,897		2,442,453
UCB SA		15		1,189
				2,443,642
Bermuda — 0.4%
Axalta Coating Systems Ltd. (a)		37,370		1,209,293
Brilliance China Automotive Holdings Ltd.		204,000		541,995
CK Infrastructure Holdings Ltd.		21,500		184,569
Credicorp Ltd.		9		1,867
Hongkong Land Holdings Ltd.		900		6,329
Jardine Matheson Holdings Ltd.		3,000		182,144
				2,126,197
Brazil — 0.2%
Azul SA (a)		50,502		1,203,463
Banco Bradesco SA		100		954
Banco do Brasil SA		735		7,023
JBS SA		1,706		5,040
Vale SA		476		5,802
				1,222,282
Canada — 0.4%
Agrium, Inc.		46		5,291
Bank of Montreal		6		480
The Bank of Nova Scotia		164		10,584
Barrick Gold Corp.		187		2,705
Canadian National Railway Co.		114		9,400
Encana Corp.		194,764		2,596,204
Magna International, Inc.		279		15,812
Platinum Group Metals Ltd. (a)		107,503		32,681
Platinum Group Metals Ltd. (a)		15,842		4,789
Royal Bank of Canada		186		15,189
Suncor Energy, Inc.		9		330
Teck Resources Ltd.		362		9,466
Thomson Reuters Corp.		355		15,474

	Number of Shares		Value
The Toronto-Dominion Bank		67	$	3,926
				2,722,331
Cayman Islands — 0.2%
Alibaba Group Holding Ltd. Sponsored ADR (a)		6,325		1,090,620
Longfor Properties Co. Ltd.		1,000		2,506
New Oriental Education & Technology Group, Inc. Sponsored ADR		131		12,314
Tencent Holdings Ltd.		100		5,169
Want Want China Holdings Ltd.		184,000		153,947
WH Group Ltd. (b)		9,500		10,708
Wharf Real Estate Investment Co. Ltd. (a)		28,000		186,360
				1,461,624
China — 0.0%
Agricultural Bank of China Ltd. Class H		22,000		10,238
Bank of China Ltd. Class H		17,000		8,342
Bank of Communications Co. Ltd. Class H		4,000		2,965
China Construction Bank Corp. Class H		18,000		16,557
China Telecom Corp. Ltd. Class H		8,000		3,806
Dongfeng Motor Group Co. Ltd. Class H		4,000		4,842
Industrial & Commercial Bank of China Ltd. Class H		11,000		8,821
				55,571
Czech Republic — 0.0%
CEZ AS		10,721		249,975
Denmark — 0.0%
AP Moeller — Maersk A/S Class B		4		6,971
AP Moller — Maersk A/S Class A		2		3,333
Carlsberg A/S Class B		5		599
Danske Bank A/S		287		11,157
				22,060
Finland — 0.2%
Nokia OYJ		311,043		1,452,830
France — 2.7%
AXA SA		47,900		1,419,681
BNP Paribas SA		131		9,769
Cie de Saint-Gobain		15,937		877,104
Cie Generale des Etablissements Michelin		6,130		878,088
Danone SA		56,402		4,728,606
Dassault Aviation SA		655		1,018,260
Engie		65		1,117
LVMH Moet Hennessy Louis Vuitton SE		7		2,056

The accompanying notes are an integral part of the consolidated portfolio of investments.

41

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Safran SA		13,976	$	1,437,144
Sanofi		18,864		1,624,258
Societe Generale SA		143		7,373
Sodexo SA		7,575		1,017,064
Thales SA		27		2,905
TOTAL SA		24,681		1,361,781
TOTAL SA Sponsored ADR		959		53,013
Unibail-Rodamco SE		3,762		947,748
Vinci SA		9,320		950,892
Vivendi SA		68		1,829
				16,338,688
Germany — 1.9%
adidas AG		23		4,591
Allianz SE		70		16,031
BASF SE		139		15,255
Bayer AG		29,173		3,628,393
Deutsche Post AG		354		16,817
Deutsche Telekom AG		49,295		874,228
E.ON SE		1,171		12,697
Evonik Industries AG		21,421		803,643
GEA Group AG		14,941		716,407
Innogy SE (b)		89,323		3,480,953
Muenchener Rueckversicherungs AG Registered		4		867
SAP SE		162		18,165
Siemens AG		5,397		748,828
Vonovia SE		21,177		1,048,264
				11,385,139
Hong Kong — 0.7%
AIA Group Ltd.		200		1,706
China Mobile Ltd.		2,000		20,245
China Resources Power Holdings Co. Ltd.		4,000		7,447
CLP Holdings Ltd.		22,000		225,133
CNOOC Ltd.		10,000		14,376
Hang Lung Properties Ltd.		45,000		109,816
HKT Trust & HKT Ltd.		117,000		149,202
Hong Kong Exchanges & Clearing Ltd.		100		3,054
I-CABLE Communications Ltd. (a)		22,228		654
Link REIT		27,000		250,198
Power Assets Holdings Ltd.		19,000		160,346
Sino Land Co. Ltd.		82,000		145,178
Sun Hung Kai Properties Ltd.		162,250		2,702,734
Swire Pacific Ltd. Class A		17,500		161,977
Swire Properties Ltd.		1,000		3,225
The Wharf Holdings Ltd.		28,000		96,822
				4,052,113
India — 1.5%
Coal India Ltd.		37,292		153,663
GAIL India Ltd.		472		3,694

	Number of Shares		Value
HCL Technologies Ltd.		288	$	4,043
Hero MotoCorp Ltd.		3,863		230,318
Hindustan Petroleum Corp. Ltd.		603		3,956
Hindustan Unilever Ltd.		330		7,029
Housing Development Finance Corp. Ltd.		11,599		310,448
Indian Oil Corp. Ltd.		470		2,864
Infosys Ltd.		129,642		2,112,214
Kotak Mahindra Bank Ltd.		69,517		1,098,599
Maruti Suzuki India Ltd.		6,312		961,206
Oil & Natural Gas Corp. Ltd.		55,004		168,025
Reliance Industries Ltd.		184,672		2,661,432
SBI Life Insurance Co. Ltd. (a) (b)		6,799		74,150
State Bank of India		139,883		677,865
Tata Motors Ltd. (a)		728		2,760
Tata Motors Ltd. (a)		126		846
Tech Mahindra Ltd.		473		3,730
Vedanta Ltd.		782		4,039
Yes Bank Ltd.		70,798		348,910
				8,829,791
Indonesia — 0.1%
Siloam International Hospitals Tbk PT (a)		878,525		619,651
Ireland — 0.1%
Accenture PLC Class A		748		114,511
Allergan PLC		12		1,963
Eaton Corp. PLC		191		15,091
Ingersoll-Rand PLC		124		11,060
Medtronic PLC		2,199		177,569
				320,194
Israel — 0.0%
Check Point Software Technologies Ltd. (a)		155		16,061
Italy — 1.0%
Atlantia SpA		66		2,082
Ei Towers SpA		17,818		1,142,913
Enel SpA		247,429		1,520,848
Luxottica Group SpA		18,403		1,127,763
RAI Way SpA (b)		122,341		746,861
Snam SpA		21,833		106,899
Telecom Italia SpA (a)		1,162,280		1,003,353
Telecom Italia SpA (a)		524,075		454,129
Telecom Italia SpA – RSP		43,239		30,884
				6,135,732
Japan — 8.4%
Aisin Seiki Co. Ltd.		13,440		755,180
Ajinomoto Co., Inc.		67,700		1,275,775
Alfresa Holdings Corp.		6,000		140,823
Alpine Electronics, Inc.		4,100		84,929
Asahi Glass Co. Ltd.		200		8,651
Asahi Kasei Corp.		76,100		980,322

The accompanying notes are an integral part of the consolidated portfolio of investments.

42

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Astellas Pharma, Inc.		103,350	$	1,312,659
Bridgestone Corp.		49,400		2,297,396
Canon Marketing Japan, Inc.		5,100		137,660
COMSYS Holdings Corp.		6,100		176,583
Daicel Corp.		22,300		253,772
Daikin Industries Ltd.		6,900		816,907
Denso Corp.		32,370		1,943,433
Dowa Holdings Co. Ltd.		2,800		114,354
East Japan Railway Co.		29,853		2,910,401
Exedy Corp.		3,600		111,385
Fujitsu		3,000		21,264
GS Yuasa Corp.		24,000		119,542
Hino Motors Ltd.		10,400		134,909
Hitachi Chemical Co. Ltd.		22,600		580,680
Hitachi Ltd.		3,000		23,337
Hoya Corp.		26,220		1,310,158
Japan Airlines Co. Ltd.		59,400		2,324,318
Japan Aviation Electronics Industry Ltd.		7,000		118,517
Japan Tobacco, Inc.		100		3,221
Kamigumi Co. Ltd.		5,500		121,562
Kao Corp.		100		6,764
KDDI Corp.		8,100		201,668
Keyence Corp.		500		279,183
Kinden Corp.		18,200		296,263
Kintetsu Group Holdings Co. Ltd.		100		3,824
Kirin Holdings Co. Ltd.		200		5,032
Koito Manufacturing Co. Ltd.		7,300		513,314
Komatsu Ltd.		40,800		1,477,916
Kubota Corp.		42,720		836,531
Kuraray Co. Ltd.		7,500		141,561
Kyudenko Corp.		3,000		144,609
Kyushu Railway Co.		17,600		544,565
Mabuchi Motor Co. Ltd.		4,300		232,127
Maeda Road Construction Co. Ltd.		7,000		160,485
Marubeni Corp.		1,000		7,261
Mazda Motor Corp.		800		10,734
Medipal Holdings Corp.		6,700		131,210
Mitsubishi Electric Corp.		135,600		2,253,098
Mitsubishi Tanabe Pharma Corp.		200		4,123
Mitsubishi UFJ Financial Group, Inc.		900		6,604
MS&AD Insurance Group Holdings, Inc.		100		3,386
Murata Manufacturing Co. Ltd.		9,470		1,265,708
Nichias Corp.		8,000		106,484
Nippo Corp.		7,000		163,558
Nippon Telegraph & Telephone Corp.		4,140		194,810
Nippon Television Holdings, Inc.		13,600		232,997
Nitto Denko Corp.		11,700		1,039,950
Okumura Corp.		6,646		273,449
Olympus Corp.		100		3,829
Otsuka Holdings Co. Ltd.		3,000		131,379
Panasonic Corp.		500		7,322

	Number of Shares		Value
Rakuten, Inc. (a)		200	$	1,829
Renesas Electronics Corp. (a)		41,800		483,843
Resona Holdings, Inc.		1,100		6,574
Rohm Co. Ltd.		16,860		1,857,440
Seino Holdings Co. Ltd.		7,900		125,110
Seven & i Holdings Co. Ltd.		2,000		83,069
Shimamura Co. Ltd.		1,000		109,992
Shin-Etsu Chemical Co. Ltd.		26,788		2,716,967
Shionogi & Co. Ltd.		300		16,220
Sony Corp.		400		17,968
Stanley Electric Co. Ltd.		3,500		142,153
Subaru Corp.		27,030		855,793
Sumitomo Electric Industries Ltd.		44,300		747,529
Sumitomo Mitsui Financial Group, Inc.		60,230		2,601,333
Suzuken Co. Ltd.		3,000		123,441
Suzuki Motor Corp.		53,837		3,118,244
Taisei Corp.		100		4,974
Toagosei Co. Ltd.		7,300		92,590
Toda Corp.		32,200		258,093
Toho Co. Ltd.		4,500		155,868
Tokio Marine Holdings, Inc.		28,275		1,290,511
Tokyo Gas Co. Ltd.		86,297		1,970,728
Tokyo Steel Manufacturing Co. Ltd.		20,900		187,579
Toray Industries, Inc.		82,000		773,445
Toshiba Corp. (a)		6,000		16,866
Toyota Industries Corp.		36,521		2,347,510
TV Asahi Holdings Corp.		10,000		200,737
Ube Industries Ltd.		20,860		613,951
Unicharm Corp.		300		7,798
West Japan Railway Co.		11,400		831,666
Yamato Kogyo Co. Ltd.		4,200		121,736
				50,639,039
Liberia — 0.0%
Royal Caribbean Cruises Ltd.		470		56,062
Mexico — 0.0%
Cemex SAB de CV (a)		23,403		17,508
Grupo Financiero Banorte SAB de CV Class O		309		1,696
				19,204
Netherlands — 1.4%
ABN AMRO Group NV CVA (b)		43,269		1,392,315
ING Groep NV		109,491		2,014,722
Koninklijke Ahold Delhaize NV		17		373
Koninklijke Philips NV		109,273		4,133,951
LyondellBasell Industries NV Class A		115		12,687
Randstad Holding NV		12,095		742,100
Unilever NV		235		13,203
				8,309,351

The accompanying notes are an integral part of the consolidated portfolio of investments.

43

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Netherlands Antilles — 0.1%
Schlumberger Ltd.		13,420	$	904,374
Norway — 0.0%
DnB ASA		293		5,417
Telenor ASA		151		3,235
				8,652
Panama — 0.0%
Carnival Corp.		328		21,769
Poland — 0.0%
PGE Polska Grupa Energetyczna SA (a)		2,548		8,819
Polski Koncern Naftowy ORLEN SA		63		1,913
Polskie Gornictwo Naftowe i Gazownictwo SA		1,752		3,160
				13,892
Portugal — 0.1%
Jeronimo Martins SGPS SA		4,202		81,604
NOS SGPS SA		78,384		515,381
				596,985
Republic of Korea — 0.6%
Amorepacific Corp.		1,948		553,269
Coway Co. Ltd.		2,153		196,157
Doosan Bobcat, Inc.		29,363		982,084
Hana Financial Group, Inc.		138		6,421
Hotel Shilla Co. Ltd.		2,429		192,282
KT&G Corp.		7,411		799,707
LG Chem Ltd. (a)		806		304,584
LG Display Co. Ltd. (a)		87		2,430
LG Household & Health Care Ltd.		261		289,353
Lotte Chemical Corp.		9		3,087
POSCO		773		240,017
Samsung Electronics Co. Ltd.		13		30,886
SK Hynix, Inc. (a)		106		7,485
SK Innovation Co. Ltd.		46		8,759
SK Telecom Co. Ltd.		939		234,275
Woori Bank		207		3,044
				3,853,840
Singapore — 0.3%
Broadcom Ltd.		3		771
CapitaLand Ltd.		438,100		1,154,223
ComfortDelGro Corp. Ltd.		97,100		143,589
Genting Singapore PLC		14,800		14,462
Singapore Telecommunications Ltd.		96,800		258,373
Wilmar International Ltd.		1,300		2,997
				1,574,415
South Africa — 0.0%
Barclays Africa Group Ltd.		367		5,398
MTN Group Ltd.		37		409
RMB Holdings Ltd.		505		3,214

	Number of Shares		Value
Tiger Brands Ltd.		200	$	7,432
				16,453
Spain — 0.4%
Aena SME SA (b)		95		19,232
Amadeus IT Group SA		17		1,224
CaixaBank SA		1,530		7,116
Cellnex Telecom SA (b)		74,730		1,912,680
Gas Natural SDG SA		18,477		426,325
Repsol SA		77		1,361
Telefonica SA		737		7,176
				2,375,114
Sweden — 0.2%
Nordea Bank AB		380		4,599
Sandvik AB		241		4,213
Skandinaviska Enskilda Banken AB Class A		474		5,553
SKF AB		48,231		1,069,503
Swedbank AB Class A		20		481
Volvo AB Class B		660		12,280
				1,096,629
Switzerland — 1.5%
ABB Ltd. Registered		225		6,017
Chubb Ltd.		10,369		1,515,222
Nestle SA		46,621		4,006,242
Novartis AG		146		12,343
Roche Holding AG		100		25,294
SGS SA Registered		4		10,427
The Swatch Group AG Registered		113		8,637
Swiss Re Ltd.		22		2,059
UBS Group AG		184,937		3,398,071
Zurich Financial Services AG		51		15,511
				8,999,823
Taiwan — 0.6%
Cathay Financial Holding Co. Ltd.		110,000		197,234
Cheng Shin Rubber Industry Co. Ltd.		75,211		132,676
Chunghwa Telecom Co. Ltd.		290,000		1,032,653
Far EasTone Telecommunications Co. Ltd.		163,000		402,539
Formosa Chemicals & Fibre Corp.		47,000		162,567
Formosa Petrochemical Corp.		33,000		127,903
Formosa Plastics Corp.		50,000		165,655
Fubon Financial Holding Co. Ltd.		116,000		197,355
Hon Hai Precision Industry Co. Ltd.		59,100		188,261
Innolux Corp.		9,000		3,742
Nan Ya Plastics Corp.		63,000		164,835
Pegatron Corp.		5,000		12,084
Taiwan Mobile Co. Ltd.		143,000		516,471
Taiwan Semiconductor Manufacturing Co. Ltd.		25,000		192,102
Uni-President Enterprises Corp.		123,000		272,632
				3,768,709

The accompanying notes are an integral part of the consolidated portfolio of investments.

44

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Thailand — 0.2%
Advanced Info Service PCL		13,600	$	79,694
Advanced Info Service PCL		34,900		204,538
Intouch Holdings PCL		123,400		212,041
PTT Global Chemical PCL		93,300		243,342
PTT Global Chemical PCL		9,400		24,490
The Siam Cement PCL		2,200		33,026
The Siam Cement PCL NVDR		13,400		198,814
Thai Oil PCL		4,300		13,656
Thai Oil PCL		43,300		137,513
				1,147,114
Turkey — 0.0%
Eregli Demir ve Celik Fabrikalari TAS		826		2,182
Tupras Turkiye Petrol Rafineriileri AS		340		10,898
				13,080
United Kingdom — 3.8%
Anglo American PLC		51		1,066
Aon PLC		113		15,142
Associated British Foods PLC		133		5,056
Aviva PLC		396		2,706
BAE Systems PLC		107,334		825,534
Barclays PLC		2,881		7,855
Berkeley Group Holdings PLC		16,053		909,019
BP PLC		77,546		546,894
BP PLC Sponsored ADR		48,107		2,021,937
Centrica PLC		2,601		4,816
Compass Group PLC		25		541
Diageo PLC		63		2,306
Experian PLC		41		901
GlaxoSmithKline PLC		93,723		1,657,758
GW Pharmaceuticals PLC ADR (a)		3,535		466,655
HSBC Holdings PLC		315,257		3,251,263
Imperial Brands PLC		248		10,598
Legal & General Group PLC		2,455		9,037
Liberty Global PLC Series A (a)		16,361		586,378
Liberty Global PLC Series C (a)		94		3,181
Lloyds Banking Group PLC		20,897		19,135
Meggitt PLC		105,197		681,153
National Grid PLC		5,390		63,316
NMC Health PLC		57,904		2,255,191
Prudential PLC		75		1,928
Reckitt Benckiser Group PLC		46		4,297
Rio Tinto PLC		148		7,811
Royal Dutch Shell PLC Class A		99		3,314
Royal Dutch Shell PLC Class A		55,321		1,844,895
Royal Dutch Shell PLC Class A Sponsored ADR		35,460		2,365,537
Royal Dutch Shell PLC Class B		610		20,573
Smiths Group PLC		43,122		862,662
SSE PLC		422		7,518
Vodafone Group PLC		1,088,973		3,440,143

	Number of Shares		Value
Vodafone Group PLC Sponsored ADR		29,175	$	930,683
				22,836,799
United States — 27.9%
3M Co.		350		82,380
AbbVie, Inc.		1,196		115,665
Acadia Healthcare Co., Inc. (a)		26,298		858,104
Activision Blizzard, Inc.		14,489		917,444
Adobe Systems, Inc. (a)		798		139,842
Aetna, Inc.		759		136,916
Agilent Technologies, Inc.		78		5,224
Air Products & Chemicals, Inc.		22,181		3,639,459
Alliance Data Systems Corp.		223		56,526
The Allstate Corp.		15,210		1,592,639
Ally Financial, Inc.		1,564		45,606
Alphabet, Inc. Class A (a)		35		36,869
Alphabet, Inc. Class C (a)		5,998		6,276,307
Amazon.com, Inc. (a)		5,277		6,171,293
Amdocs Ltd.		1,578		103,327
American Express Co.		130		12,910
American International Group, Inc.		75		4,469
American Tower Corp.		918		130,971
Ameriprise Financial, Inc.		457		77,448
Amgen, Inc.		800		139,120
Anadarko Petroleum Corp.		50,854		2,727,809
Anthem, Inc.		8,041		1,809,305
Apple, Inc.		47,772		8,084,456
Applied Materials, Inc.		378		19,323
AT&T, Inc.		276		10,731
Autodesk, Inc. (a)		12		1,258
Automatic Data Processing, Inc.		25		2,930
Bank of America Corp.		213,420		6,300,158
The Bank of New York Mellon Corp.		1,237		66,625
Baxter International, Inc.		4,598		297,215
Berkshire Hathaway, Inc. Class B (a)		1,311		259,866
Biogen, Inc. (a)		871		277,474
The Boeing Co.		523		154,238
Boston Scientific Corp. (a)		222		5,503
Bristol-Myers Squibb Co.		34		2,084
Brown-Forman Corp. Class B		15		1,030
CA, Inc.		486		16,174
Capital One Financial Corp.		828		82,452
Caterpillar, Inc.		372		58,620
Celgene Corp. (a)		164		17,115
CenterPoint Energy, Inc.		1,194		33,862
The Charles Schwab Corp.		41,968		2,155,896
Charter Communications, Inc. Class A (a)		6,304		2,117,892
Chevron Corp.		492		61,594
Cisco Systems, Inc.		192		7,354
Citigroup, Inc.		46,684		3,473,756
Cloudera, Inc. (a)		80,749		1,333,974

The accompanying notes are an integral part of the consolidated portfolio of investments.

45

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
The Coca-Cola Co.		390	$	17,893
Cognizant Technology Solutions Corp. Class A		67		4,758
Colgate-Palmolive Co.		2,185		164,858
Comcast Corp. Class A		142,035		5,688,502
CommScope Holding Co., Inc. (a)		48,015		1,816,407
ConAgra Foods, Inc.		508		19,136
ConocoPhillips		155		8,508
Constellation Brands, Inc. Class A		525		119,999
Corning, Inc.		175		5,598
Costco Wholesale Corp.		51		9,492
Crown Holdings, Inc. (a)		1,145		64,406
CSX Corp.		47		2,585
Cummins, Inc.		305		53,875
CVS Health Corp.		26,334		1,909,215
Dell Technologies ,Inc. Class V (a)		147		11,948
Delta Air Lines, Inc.		1,028		57,568
Discover Financial Services		1,046		80,458
DISH Network Corp. Class A (a)		12,426		593,342
Dominion Energy, Inc.		3,039		246,341
DowDuPont, Inc.		66,826		4,759,348
DXC Technology Co.		85		8,067
eBay, Inc. (a)		430		16,228
Edgewell Personal Care Co. (a)		28,129		1,670,581
Electronic Arts, Inc. (a)		8,845		929,256
Emerson Electric Co.		35		2,439
EQT Corp.		14,116		803,483
Equity Residential		206		13,137
Expedia, Inc.		217		25,990
Express Scripts Holding Co. (a)		317		23,661
Exxon Mobil Corp.		500		41,820
Facebook, Inc. Class A (a)		22,222		3,921,294
Fifth Third Bancorp		2,184		66,263
FirstEnergy Corp.		19		582
FleetCor Technologies, Inc. (a)		13,635		2,623,783
Ford Motor Co.		345		4,309
Fortune Brands Home & Security, Inc.		15,576		1,066,021
Franklin Resources, Inc.		47		2,037
General Dynamics Corp.		457		92,977
General Electric Co.		135,384		2,362,451
General Motors Co.		105		4,304
Gilead Sciences, Inc.		35,678		2,555,972
Global Payments, Inc.		9,588		961,101
The Goldman Sachs Group, Inc.		7,982		2,033,494
The Goodyear Tire & Rubber Co.		1,075		34,733
Halliburton Co.		123		6,011
The Hartford Financial Services Group, Inc.		3,351		188,594
HCA Healthcare, Inc. (a)		35,925		3,155,652
HCP, Inc.		284		7,407
Helmerich & Payne, Inc.		877		56,689
Hewlett Packard Enterprise Co.		624		8,961
Hilton Worldwide Holdings, Inc.		87		6,948

	Number of Shares		Value
The Home Depot, Inc.		901	$	170,767
HP, Inc.		961		20,191
Huntsman Corp.		1,118		37,218
Illinois Tool Works, Inc.		484		80,755
Illumina, Inc. (a)		20		4,370
Intel Corp.		2,466		113,831
International Business Machines Corp.		11,168		1,713,395
International Paper Co.		1,586		91,893
Intuit, Inc.		848		133,797
IQVIA Holdings, Inc. (a)		20		1,958
Jawbone Health Hub, Inc. (c) (d)		19,705		26,870
Johnson & Johnson		1,919		268,123
JP Morgan Chase & Co.		20,187		2,158,798
Kansas City Southern		18,152		1,909,953
Kimberly-Clark Corp.		56		6,757
Kinder Morgan, Inc.		303		5,475
KLA-Tencor Corp.		817		85,842
Kohl’s Corp.		639		34,653
Lam Research Corp.		66		12,149
Las Vegas Sands Corp.		312		21,681
Lear Corp.		465		82,147
Liberty Broadband Corp. Class A (a)		3,803		323,445
Liberty Broadband Corp. Class C (a)		12,043		1,025,582
Liberty Media Corp-Liberty SiriusXM Class A (a)		13,970		554,050
Liberty Media Corp-Liberty SiriusXM Class C (a)		22,848		906,152
Lookout, Inc. (c) (d)		3,711		779
Lowe’s Cos., Inc.		3,251		302,148
ManpowerGroup, Inc.		427		53,849
Marathon Petroleum Corp.		28,508		1,880,958
Marsh & McLennan Cos., Inc.		14,964		1,217,920
Masco Corp.		2,789		122,549
Mastercard, Inc. Class A		8,050		1,218,448
McDonald’s Corp.		858		147,679
McKesson Corp.		273		42,574
Merck & Co., Inc.		130		7,315
MetLife, Inc.		36,388		1,839,777
MGM Resorts International		41,708		1,392,630
Micron Technology, Inc. (a)		239		9,828
Microsoft Corp.		126,266		10,800,794
Mohawk Industries, Inc. (a)		7,666		2,115,049
Mondelez International Inc. Class A		4,421		189,219
Monsanto Co.		179		20,904
Moody’s Corp.		56		8,266
Morgan Stanley		78,297		4,108,244
Motorola Solutions, Inc.		26		2,349
NextEra Energy Partners LP		20,389		878,970
NextEra Energy, Inc.		19,207		2,999,941
Norfolk Southern Corp.		30		4,347
Northern Trust Corp.		78		7,791
Northrop Grumman Corp.		389		119,388

The accompanying notes are an integral part of the consolidated portfolio of investments.

46

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
NVIDIA Corp.		10	$	1,935
O’Reilly Automotive, Inc. (a)		11,424		2,747,929
ONEOK, Inc.		72		3,848
Oracle Corp.		448		21,181
PACCAR, Inc.		181		12,865
Packaging Corporation of America		993		119,706
PepsiCo, Inc.		2,216		265,743
Pfizer, Inc.		114,056		4,131,108
PG&E Corp.		150		6,725
Philip Morris International, Inc.		196		20,707
Phillips 66		866		87,596
Pioneer Natural Resources Co.		14,043		2,427,333
Praxair, Inc.		32		4,950
The Priceline Group, Inc. (a)		10		17,377
The Procter & Gamble Co.		373		34,271
The Progressive Corp.		17		957
Prudential Financial, Inc.		731		84,050
Pure Storage, Inc. Class A (a)		65,913		1,045,380
PVH Corp.		353		48,435
QUALCOMM, Inc.		78,361		5,016,671
Raytheon Co.		443		83,218
Reinsurance Group of America, Inc.		530		82,643
Republic Services, Inc.		40		2,704
Rockwell Automation, Inc.		404		79,325
Ross Stores, Inc.		472		37,878
Sempra Energy		10,064		1,076,043
Snap, Inc. Class A (a)		56,800		829,848
State Street Corp.		489		47,731
Stryker Corp.		1,205		186,582
SunTrust Banks, Inc.		15,015		969,819
Symantec Corp.		48		1,347
Sysco Corp.		10		607
Target Corp.		18,551		1,210,453
Tenet Healthcare Corp. (a)		45,383		688,006
TESARO, Inc. (a)		6,001		497,303
Texas Instruments, Inc.		195		20,366
The St. Joe Co. (a)		61,477		1,109,660
Thermo Fisher Scientific, Inc.		1,048		198,994
Time Warner, Inc.		105		9,604
The TJX Cos., Inc.		12,271		938,241
The Travelers Cos., Inc.		1,759		238,591
TripAdvisor, Inc. (a)		24,360		839,446
Tyson Foods, Inc. Class A		759		61,532
Union Pacific Corp.		40		5,364
United Continental Holdings, Inc. (a)		40,651		2,739,877
United Rentals, Inc. (a)		638		109,679
United Technologies Corp.		22		2,807
UnitedHealth Group, Inc.		1,429		315,037
Valero Energy Corp.		1,951		179,316
VeriSign, Inc. (a)		972		111,236
Verizon Communications, Inc.		33,153		1,754,788
Visa, Inc. Class A		10,305		1,174,976
Vistra Energy Corp. (a)		15,478		283,557

	Number of Shares		Value
VMware, Inc. Class A (a)		7,825	$	980,629
Vornado Realty Trust		72		5,629
WABCO Holdings, Inc. (a)		493		70,746
Wal-Mart Stores, Inc.		168		16,590
Walgreens Boots Alliance, Inc.		218		15,831
Waste Management, Inc.		84		7,249
Wells Fargo & Co.		38		2,305
Western Digital Corp.		751		59,727
WestRock Co.		16,365		1,034,432
Weyerhaeuser Co.		215		7,581
The Williams Cos., Inc.		137,862		4,203,412
Williams-Sonoma, Inc.		17,036		880,761
Wyndham Worldwide Corp.		976		113,089
Wynn Resorts Ltd.		574		96,771
Yum China Holdings, Inc.		102		4,082
Zimmer Biomet Holdings, Inc.		18,477		2,229,620
				169,245,062
TOTAL COMMON STOCK (Cost $275,836,540)				334,997,329
PREFERRED STOCK — 2.0%
Brazil — 0.0%
Banco Bradesco SA (a)		303		3,108
Itau Unibanco Holding SA 3.000%		452		5,854
Petroleo Brasileiro SA BRL (a)		517		2,529
				11,491
Republic of Korea — 0.0%
Samsung Electronics Co. Ltd. 1.530%		7		13,646
United States — 2.0%
Anthem, Inc. 5.250%		22,600		1,265,599
Citigroup Capital XIII, 3 mo. USD LIBOR + 6.370%, VRN 7.750%		20,248		556,415
Crown Castle International Corp., Convertible 6.875%		757		794,540
Dominion Energy, Inc. 6.750%		18,358		948,374
Domo, Inc. Series D-2, Convertible (a) (c) (d)		153,010		959,373
Dropbox, Inc. Series C, Convertible (a) (c) (d)		87,114		1,237,019
GMAC Capital Trust I, 3 mo. USD LIBOR + 5.785%, FRN 7.201%		22,474		583,200
Grand Rounds, Inc. Series C, Convertible (a) (c) (d)		121,323		345,771
Lookout, Inc. Series F (a) (c) (d)		55,056		513,672

The accompanying notes are an integral part of the consolidated portfolio of investments.

47

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Mandatory Exchangeable Trust (b) 5.750%		8,901	$	1,733,559
Palantir Technologies, Inc. Series I (a) (c) (d)		107,092		607,212
Uber Technologies, Inc., Series D (a) (c) (d)		65,060		2,145,028
Wells Fargo & Co. 7.500%		182		238,418
Welltower, Inc. 6.500%		8,617		515,900
				12,444,080
TOTAL PREFERRED STOCK (Cost $10,996,904)				12,469,217
TOTAL EQUITIES (Cost $286,833,444)				347,466,546
	Principal Amount
BONDS & NOTES — 29.4%
BANK LOANS — 0.4%
United States — 0.4%
Fieldwood Energy LLC, New 1st Lien Term Loan, VRN 3 mo. LIBOR + 7.000% 8.693% 8/31/20	$	130,182		117,164
Fieldwood Energy LLC, 1st Lien Last Out Term Loan, VRN 3 mo. LIBOR + 7.125% 8.818% 9/30/20		175,746		120,680
Fieldwood Energy LLC, 2nd Lien Term Loan, VRN 3 mo. LIBOR + 7.125% 8.818% 9/30/20		295,787		94,897
Hilton Worldwide Finance LLC, Term Loan B2, VRN 1 mo. LIBOR + 2.000% 3.552% 10/25/23		767,626		771,172
Seadrill Partners Finco LLC, Term Loan B, VRN 3 mo. LIBOR + 3.000% 4.693% 2/21/21		616,537		496,312
Sheridan Investment Partners II, L.P., Term Loan B, VRN 3 mo. LIBOR + 3.500% 4.980% 12/16/20		681,088		588,004
Sheridan Investment Partners II, L.P., Term Loan A, VRN 3 mo. LIBOR + 3.500% 4.980% 12/16/20		94,720		81,775

	Principal Amount		Value
Sheridan Investment Partners II, L.P., Term Loan M, VRN 3 mo. LIBOR + 3.500% 4.980% 12/16/20	$	35,328	$	30,500
				2,300,504
TOTAL BANK LOANS (Cost $2,703,715)				2,300,504
CORPORATE DEBT — 4.4%
Australia — 0.2%
Quintis Ltd. (Acquired 7/20/16, Cost $1,525,000) (b) (c) (e) (f) 8.750% 8/01/23		1,525,000		1,067,501
Cayman Islands — 0.0%
Odebrecht Finance Ltd. (b) 4.375% 4/25/25		200,000		59,000
Chile — 0.0%
Inversiones Alsacia SA (Acquired 3/26/15, Cost $107,380) (b) (c) (e) (f) 8.000% 12/31/18		437,771		10,944
France — 0.1%
Danone SA (b) 2.589% 11/02/23		490,000		477,851
India — 0.0%
REI Agro Ltd., Convertible, (Acquired 11/12/15, Cost $616,798) (b) (c) (d) (e) (f) 5.500% 11/13/14		618,000		-
Italy — 0.1%
Telecom Italia SpA (b) 5.303% 5/30/24		487,000		519,873
Luxembourg — 0.2%
Allergan Funding SCS 3.450% 3/15/22		420,000		426,743
Intelsat Jackson Holdings SA 7.500% 4/01/21		372,000		338,520
Intelsat Jackson Holdings SA (b) 8.000% 2/15/24		125,000		131,562
				896,825
Mexico — 0.3%
Petroleos Mexicanos 4.625% 9/21/23		1,097,000		1,128,539
Petroleos Mexicanos 3 mo. USD LIBOR + 3.650%, FRN (b) 5.186% 3/11/22		471,000		517,155
Trust F/1401 (b) 5.250% 12/15/24		270,000		286,537
				1,932,231

The accompanying notes are an integral part of the consolidated portfolio of investments.

48

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Netherlands — 0.5%
Bayer Capital Corp. B.V. EUR (b) 5.625% 11/22/19	$	900,000	$	1,213,562
Bio City Development Co. B.V., Convertible , (Acquired 7/05/11, Cost $1,400,000) (b) (c) (d) (e) (f) 8.000% 7/06/18		1,400,000		366,660
Cooperatieve Rabobank UA 3.950% 11/09/22		251,000		261,692
ING Groep NV 5 year USD Swap + 4.445%, VRN 6.000% 12/29/49		280,000		290,220
Petrobras Global Finance BV 6.125% 1/17/22		415,000		440,419
Petrobras Global Finance BV 7.375% 1/17/27		484,000		532,884
				3,105,437
Singapore — 0.1%
CapitaLand Ltd. SGD (b) 1.950% 10/17/23		500,000		376,650
United Arab Emirates — 0.1%
Dana Gas Sukuk Ltd., Convertible (Acquired 5/08/13, Cost $1,116,826) (b) (c) (e) (f) 7.000% 10/31/17		1,019,810		836,244
United Kingdom — 0.4%
HSBC Holdings PLC 5 year USD ICE Swap + 3.705%, VRN 6.375% 12/29/49		905,000		963,825
Lloyds Bank PLC 5 Year UK Gilt + 13.400%, VRN GBP 13.000% 1/29/49		465,000		1,176,221
UBS Group Funding Switzerland AG (b) 4.125% 9/24/25		220,000		230,880
				2,370,926
United States — 2.4%
Activision Blizzard, Inc. (b) 2.300% 9/15/21		120,000		118,425
AliphCom, Inc., Convertible (c) (d) (f) 4/28/20		191,000		783
AliphCom, Inc., Convertible (c) (d) (f) 4/28/20		2,617,000		10,730
Ally Financial, Inc. 3.500% 1/27/19		287,000		288,435
American Express Co. 3 mo. USD LIBOR + 3.285%, VRN 4.900% 12/29/49		287,000		292,740
Apple, Inc. 3.200% 5/11/27		729,000		738,258
Apple, Inc. 3.350% 2/09/27		759,000		777,500

	Principal Amount		Value
AT&T, Inc. 2.850% 2/14/23	$	665,000	$	667,637
AT&T, Inc. 3.000% 6/30/22		681,000		682,210
AT&T, Inc. 3.400% 8/14/24		1,201,000		1,207,166
AT&T, Inc. 4.450% 4/01/24		109,000		115,301
Bank of America Corp. 3.300% 1/11/23		487,000		498,201
Bank of America Corp. 4.000% 1/22/25		232,000		241,364
Becton Dickinson & Co. 3.363% 6/06/24		193,000		193,539
Becton Dickinson and Co. 2.894% 6/06/22		355,000		352,779
Becton Dickinson and Co. 3.125% 11/08/21		427,000		430,600
Citigroup, Inc. 2.700% 3/30/21		446,000		447,355
Citigroup, Inc. 2.900% 12/08/21		209,000		210,375
Citigroup, Inc. 3 mo. USD LIBOR + 4.059%, VRN 5.875% 12/29/49		540,000		560,250
eBay, Inc. 2.750% 1/30/23		230,000		227,759
Edgewell Personal Care Co 4.700% 5/24/22		218,000		223,450
Edgewell Personal Care Co. 4.700% 5/19/21		251,000		259,158
Forest Laboratories, Inc. (b) 5.000% 12/15/21		212,000		226,729
General Electric Co. 3 mo. USD LIBOR + 3.330%, VRN 5.000% 12/29/49		459,000		473,045
General Motors Financial Co., Inc. 3.450% 4/10/22		183,000		185,440
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 3.922%, VRN 5.375% 12/29/49		470,000		484,100
Hughes Satellite Systems Corp. 7.625% 6/15/21		78,000		86,190
JP Morgan Chase & Co. 3 mo. USD LIBOR + 1.000%, FRN 2.359% 1/15/23		508,000		514,835
JP Morgan Chase & Co. 4.350% 8/15/21		195,000		206,820
Morgan Stanley 3 mo. USD LIBOR + 3.610%, VRN 5.450% 12/31/49		326,000		334,639
NBCUniversal Enterprise, Inc. (b) 5.250% 12/31/49		300,000		318,750

The accompanying notes are an integral part of the consolidated portfolio of investments.

49

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920%, VRN 5.625% 6/15/43	$	169,000	$	183,027
Prudential Financial, Inc. 3 mo. USD LIBOR + 4.175%, VRN 5.875% 9/15/42		254,000		277,495
Santander Holdings USA, Inc. (b) 3.700% 3/28/22		125,000		126,504
The Sherwin-Williams Co. 2.750% 6/01/22		165,000		164,360
Synchrony Financial 3.750% 8/15/21		121,000		124,075
USB Capital IX 3 mo. USD LIBOR + 1.020%, VRN 3.500% 10/29/49		122,000		110,410
Verizon Communications, Inc. 2.625% 8/15/26		219,000		206,274
Verizon Communications, Inc. 3.125% 3/16/22		2,201,000		2,231,607
				14,798,315
TOTAL CORPORATE DEBT (Cost $30,447,728)				26,451,797
PASS-THROUGH SECURITIES — 0.1%
United Kingdom — 0.1%
Logistics GBP (Acquired 9/04/15, Cost $373,518) 3 Mo. GBP LIBOR + 3.600% FRN GBP (b) (c) (e) 4.126% 8/20/25		389,000		525,696
TOTAL PASS-THROUGH SECURITIES (Cost $582,072)				525,696
SOVEREIGN DEBT OBLIGATIONS — 9.4%
Argentina — 0.8%
Argentine Republic Government International Bond EUR (g) 3.375% 1/15/23		595,000		727,789
Argentine Republic Government International Bond EUR (g) (h) 3.875% 1/15/22		285,000		359,920
Argentine Republic Government International Bond 5.625% 1/26/22		1,151,000		1,214,305
Argentine Republic Government International Bond 6.875% 4/22/21		591,000		643,599
Argentine Republic Government International Bond 6.875% 1/26/27		740,000		808,450

	Principal Amount		Value
Argentine Republic Government International Bond 7.500% 4/22/26	$	1,047,000	$	1,185,361
				4,939,424
Australia — 2.0%
Australia Government Bond AUD (g) (h) 2.750% 4/21/24		7,292,000		5,782,325
Australia Government Bond AUD (g) (h) 3.000% 3/21/47		1,852,000		1,348,297
Australia Government Bond AUD (g) (h) 5.500% 4/21/23		3,045,000		2,742,510
Australia Government Bond AUD (g) (h) 5.750% 5/15/21		2,774,000		2,413,326
				12,286,458
Brazil — 1.6%
Brazil Government International Bond 5.000% 1/27/45		1,178,000		1,097,896
Brazil Notas do Tesouro Nacional Serie B BRL (g) 6.000% 8/15/22		1,674,000		1,613,635
Brazil Notas do Tesouro Nacional Serie F BRL (g) 10.000% 1/01/23		10,107,000		2,935,369
Brazil Notas do Tesouro Nacional Serie F BRL (g) 10.000% 1/01/27		7,210,000		2,037,504
Brazilian Government International Bond 4.625% 1/13/28		1,549,000		1,555,970
Brazilian Government International Bond 5.625% 2/21/47		499,000		509,729
				9,750,103
Canada — 1.0%
Canadian Government Bond CAD (g) 0.500% 8/01/18		5,852,000		4,633,043
Canadian Government Bond CAD (g) 0.750% 3/01/21		1,456,000		1,121,908
				5,754,951
Germany — 0.5%
Bundesrepublik Deutschland EUR (g) (h) 0.010% 8/15/26		2,497,928		2,923,647

The accompanying notes are an integral part of the consolidated portfolio of investments.

50

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Hungary — 0.2%
Hungary Government International Bond 6.375% 3/29/21	$	1,250,000	$	1,387,600
Indonesia — 0.0%
Indonesia Government International Bond (b) 3.700% 1/08/22		205,000		210,692
Italy — 0.2%
Italy Buoni Poliennali Del Tesoro EUR (g) 1.850% 5/15/24		761,000		944,726
Japan — 1.0%
Japan Government Two Year Bond JPY (g) 0.100% 3/15/18		312,950,000		2,778,791
Japan Government Two Year Bond JPY (g) 0.100% 10/15/18		384,150,000		3,415,943
				6,194,734
Mexico — 0.7%
Mexican Bonos MXN (g) 6.500% 6/09/22		41,319,800		2,011,531
Mexican Bonos MXN (g) 8.500% 12/13/18		41,795,300		2,140,663
				4,152,194
Poland — 1.3%
Poland Government Bond PLN (g) 2.500% 7/25/26		5,404,000		1,468,307
Poland Government Bond PLN (g) 2.500% 7/25/27		17,863,000		4,800,982
Poland Government Bond PLN (g) 3.250% 7/25/25		5,371,000		1,555,931
Poland Government Bond PLN (g) 5.000% 3/23/22		200,000		219,000
				8,044,220
Republic of Korea — 0.1%
Export-Import Bank of Korea 2.625% 12/30/20		298,000		295,368
Export-Import Bank of Korea 2.875% 9/17/18		200,000		200,510
				495,878
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $56,545,133)				57,084,627

	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 15.1%
United States — 15.1%
U.S. Treasury Note (i) 1.125% 7/31/21	$	1,247,900	$	1,206,904
U.S. Treasury Note (j) 1.250% 12/15/18		1,500,000		1,492,090
U.S. Treasury Note 2.000% 10/31/22		19,262,500		19,095,458
U.S. Treasury Note 2.000% 11/30/22		20,342,400		20,159,636
U.S. Treasury Note 2.125% 9/30/24		14,727,100		14,541,285
U.S. Treasury Note 2.250% 10/31/24		15,294,000		15,222,907
U.S. Treasury Note 2.250% 11/15/27		19,982,700		19,703,254
				91,421,534
TOTAL U.S. TREASURY OBLIGATIONS (Cost $91,949,451)				91,421,534
TOTAL BONDS & NOTES (Cost $182,228,099)				177,784,158
	Number of Shares
MUTUAL FUNDS — 3.8%
Diversified Financial Services — 3.8%
United States — 3.8%
ETFS Physical Palladium Shares (j)		4,767		484,089
ETFS Physical Platinum Shares (j)		3,939		348,483
ETFS Physical Swiss Gold Shares (j)		14,400		1,816,272
iShares Gold Trust (a) (j)		157,258		1,967,298
SPDR Gold Shares (j)		148,690		18,385,518
				23,001,660
TOTAL MUTUAL FUNDS (Cost $23,985,258)				23,001,660
TOTAL PURCHASED OPTIONS (#) — 0.4% (Cost $2,026,942)				2,400,189

The accompanying notes are an integral part of the consolidated portfolio of investments.

51

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
WARRANTS — 0.0%
Australia — 0.0%
TFS Corp. Ltd. AUD, Expires 7/15/18, Strike 1.28 (a) (g)		222,000	$	4,064
TOTAL WARRANTS (Cost $0)				4,064
TOTAL LONG-TERM INVESTMENTS (Cost $495,073,743)				550,656,617
	Principal Amount
SHORT-TERM INVESTMENTS — 8.9%
U.S. Treasury Bill — 8.9%
U.S. Treasury Bill 0.000% 1/02/18	$	32,000,000		32,000,000
U.S. Treasury Bill 0.000% 1/04/18		3,000,000		2,999,811
U.S. Treasury Bill 0.000% 1/11/18		4,000,000		3,998,823
U.S. Treasury Bill 0.000% 1/18/18		5,000,000		4,997,247
U.S. Treasury Bill 0.000% 2/01/18		10,000,000		9,989,455
				53,985,336
TOTAL SHORT-TERM INVESTMENTS (Cost $53,980,510)				53,985,336
TOTAL INVESTMENTS — 99.8% (Cost $549,054,253) (k)				604,641,953
Other Assets/(Liabilities) — 0.2%				1,423,570
NET ASSETS — 100.0%			$	606,065,523

Abbreviation Legend

ADR American Depositary Receipt

ETFS Exchange-Traded Fund Securities

FRN Floating Rate Note

REIT Real Estate Investment Trust

VRN Variable Rate Note

Notes to Consolidated Portfolio of Investments

Percentages are stated as a percent of net assets.

(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 December 31, 2017, these securities amounted to a value of $16,991,673 or 2.80% of net assets.

(c) Investment was valued using significant unobservable inputs.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2017, these securities amounted to a value of $6,213,897 or 1.03% of net assets.

(e) Restricted security. Certain securities are restricted as to resale. At December 31, 2017, these securities amounted to a value of $2,807,045 or 0.46% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(f) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At December 31, 2017, these securities amounted to a value of $2,292,862 or 0.38% of net assets.

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

(h) 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 December 31, 2017, these securities amounted to a value of $15,570,025 or 2.57% of net assets.

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

(j) All or a portion of this security is held by a wholly owned subsidiary. See Note 1 of the Notes to Consolidated Portfolio of Investments for details on the wholly owned subsidiary.

(k) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the consolidated portfolio of investments.

52

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

(#) The Fund had the following open Purchased Options contracts at December 31, 2017:

Purchased Options

OTC Counterparty	Units		Notional Amount			Expiration Date	Description	Premiums Purchased		Value		Unrealized Appreciation/ (Depreciation)
Call
Bank of America N.A.		1,314		USD	3,514,950	3/16/18	S&P 500 Index, Strike 2,675.00	$	55,661	$	60,450	$	4,789
Barclays Bank PLC		7,441,607		EUR	7,441,607	5/18/18	EUR Call USD Put, Strike 1.19		119,245		248,515		129,270
BNP Paribas SA		2,314		USD	6,224,660	2/16/18	S&P 500 Index, Strike 2,690.00		51,375		56,206		4,831
Citibank N.A.		138,811		JPY	247,777,635	2/09/18	Topix Index, Strike 1,785.00		49,489		66,505		17,016
Citibank N.A.		772		USD	2,084,400	4/20/18	S&P 500 Index, Strike 2,700.00		38,214		38,485		271
Deutsche Bank AG		1,928		USD	5,176,680	1/19/18	S&P 500 Index, Strike 2,685.00		35,475		24,862		(10,613	)
Deutsche Bank AG		190		EUR	651,045	9/21/18	Euro STOXX 50 Index, Strike 3,426.55		69,379		37,487		(31,892	)
Goldman Sachs International		16,689		USD	584,115	1/19/18	Synchrony Financial, Strike 35.00		21,137		64,253		43,116
Goldman Sachs International		15,068		USD	678,060	1/19/18	Franklin Resources, Inc., Strike 45.00		16,729		2,637		(14,092	)
Goldman Sachs International		6,010		USD	811,350	1/19/18	Travelers Com., Strike 135.00		23,060		13,372		(9,688	)
Morgan Stanley & Co. LLC		189,232		JPY	337,779,120	1/12/18	Topix Index, Strike 1,785.00		51,015		66,184		15,169
Morgan Stanley & Co. LLC		7,821		USD	977,625	1/19/18	SPDR Gold Shares, Strike 125.00 (j)		9,224		5,032		(4,192	)
Morgan Stanley & Co. LLC		7,822		USD	985,572	1/19/18	SPDR Gold Shares, Strike 126.00 (j)		7,067		3,040		(4,027	)
Morgan Stanley & Co. LLC		19,305		USD	2,509,650	2/16/18	SPDR Gold Shares, Strike 130.00 (j)		48,959		4,028		(44,931	)
Morgan Stanley & Co. LLC		154,349		JPY	277,828,200	3/09/18	Topix Index, Strike 1,800.00		54,981		75,873		20,892
Morgan Stanley & Co. LLC		19,326		USD	2,454,402	3/16/18	SPDR Gold Shares, Strike 127.00 (j)		45,416		20,339		(25,077	)
Morgan Stanley & Co. LLC		675		USD	1,819,125	4/20/18	S&P 500 Index, Strike 2,695.00		33,270		35,693		2,423
Societe Generale		924		USD	2,471,700	3/29/18	S&P 500 Index, Strike 2,675.00		41,515		50,810		9,295
UBS AG		14,682,708		EUR	14,682,708	3/27/18	EUR Call USD Put, Strike 1.20		164,720		300,247		135,527
UBS AG		1,311		USD	3,500,370	3/16/18	S&P 500 Index, Strike 2,670.00		56,577		64,633		8,056
UBS AG		32,937		USD	1,152,795	1/18/19	Suncor Energy Inc., Strike 35.00		67,191		135,865		68,674
UBS AG		48,919		USD	1,956,760	1/18/19	BP PLC, Strike 40.00		47,451		173,662		126,211
UBS AG		25,788		USD	1,353,870	1/18/19	ConocoPhillips, Strike 52.50		78,499		152,794		74,295
UBS AG		33,637		USD	2,018,220	1/18/19	Total SA, Strike 60.00		50,456		56,342		5,886
UBS AG		27,924		USD	1,675,440	1/18/19	Royal Dutch Shell PLC, Strike 60.00		56,354		213,619		157,265
UBS AG		22,664		USD	1,699,800	1/18/19	Occidental Petroleum Corp., Strike 75.00		52,807		120,686		67,879
UBS AG		15,266		USD	1,373,940	1/18/19	Schlumberger Ltd., Strike 90.00		61,522		8,167		(53,355	)
UBS AG		10,546		USD	1,001,870	1/18/19	Exxon Mobil Corp., Strike 95.00		18,982		12,022		(6,960	)
UBS AG		15,512		USD	1,939,000	1/18/19	Chevron Corp., Strike 125.00		46,226		139,220		92,994
									1,471,996		2,251,028		779,032
Put
BNP Paribas SA		7,732,507		USD	7,732,507	1/12/18	USD Put JPY Call, Strike 111.75	$	136,865	$	14,792	$	(122,073	)
Citibank N.A.		15,643		USD	1,830,231	1/19/18	SPDR Gold Shares, Strike 117.00 (j)		4,237		1,468		(2,769	)
									141,102		16,260		(124,842	)
								$	1,613,098	$	2,267,288	$	654,190

The accompanying notes are an integral part of the consolidated portfolio of investments.

53

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

(#) The Fund had the following open Purchased Swaptions contracts at December 31, 2017:

Purchased Swaptions

OTC Counterparty	Units	Notional Amount			Expiration Date	Pay/Receive Exercise Rate	Description	Premiums Purchased		Value		Unrealized Appreciation/ (Depreciation)
Call
Goldman Sachs International	39,065,271		USD	39,065,271	4/24/18	Receive	3-Month USD LIBOR BBA 5 Year Swaption, Underlying swap terminates 4/26/23, Strike 2.15	$	268,770	$	107,431	$	(161,339	)
Put
Deutsche Bank AG	143,913,000		JPY	143,913,000	4/04/18	Pay	6-Month JPY LIBOR BBA 5 Year Swaption, Underlying swap terminates 4/06/23, Strike 1.07	$	29,739	$	3	$	(29,736	)
Goldman Sachs International	7,809,297		USD	7,809,297	1/04/18	Pay	3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 1/08/28, Strike 2.46		29,808		3,102		(26,706	)
Goldman Sachs International	1,759,152		USD	1,759,152	5/02/18	Pay	6-Month USD LIBOR BBA 30 Year Swaption, Underlying swap terminates 5/04/48, Strike 2.75		85,525		22,365		(63,160	)
									145,072		25,470		(119,602	)
								$	413,842	$	132,901	$	(280,941	)

The Fund had the following open Written Options contracts at December 31, 2017:

Written Options

OTC Counterparty	Units		Notional Amount			Expiration Date	Description	Premiums Received		Value		Unrealized Appreciation/ (Depreciation)
Call
Bank of America N.A.		16,689		USD	584,115	1/19/18	Synchrony Financial, Strike 35.00	$	32,376	$	62,624	$	(30,248	)
Barclays Bank PLC		1,923		USD	346,140	1/18/19	FleetCor Technologies Inc., Strike 180.00		29,999		55,159		(25,160	)
BNP Paribas SA		7,732,507		USD	7,732,507	1/12/18	USD Call JPY Put, Strike 115.00		50,338		1,407		48,931
BNP Paribas SA		1,938,302		USD	1,938,302	1/26/18	USD Call ZAR Put, Strike 15.25		34,511		60		34,451
Deutsche Bank AG		5,267		USD	395,025	1/18/19	United Continental Holdings Inc., Strike 75.00		25,103		32,806		(7,703	)
Morgan Stanley & Co. LLC		19,326		USD	2,705,640	3/16/18	SPDR Gold Shares, Strike 140.00 (j)		10,823		1,120		9,703
UBS AG		4,067		USD	671,055	1/18/19	Pioneer Natural Resources Co., Strike 165.00		65,601		112,717		(47,116	)
									248,751		265,893		(17,142	)
Put
BNP Paribas SA		7,732,507		USD	7,732,507	1/12/18	USD Put JPY Call, Strike 108.00	$	53,355	$	240	$	53,115
BNP Paribas SA		1,157		USD	2,834,650	2/16/18	S&P 500 Index, Strike 2,450.00		13,653		5,946		7,707
Citibank N.A.		15,643		USD	1,877,160	1/19/18	SPDR Gold Shares, Strike 120.00 (j)		11,704		3,982		7,722
Citibank N.A.		138,811		JPY	232,508,425	2/09/18	Topix Index, Strike 1,675.00		26,736		5,485		21,251
Deutsche Bank AG		964		USD	2,410,000	1/19/18	S&P 500 Index, Strike 2,500.00		3,807		2,017		1,790
Deutsche Bank AG		190		EUR	491,353	9/21/18	Euro STOXX 50 Index, Strike 2,586.07		69,380		4,354		65,026
Morgan Stanley & Co. LLC		13,464		USD	1,548,360	2/16/18	SPDR Gold Shares, Strike 115.00 (j)		8,124		2,251		5,873
Morgan Stanley & Co. LLC		154,349		JPY	254,675,850	3/09/18	Topix Index, Strike 1,650.00		32,948		10,698		22,250
Morgan Stanley & Co. LLC		8,089		USD	930,235	3/16/18	SPDR Gold Shares, Strike 115.00 (j)		9,221		2,426		6,795
UBS AG		48,919		USD	1,222,975	1/18/19	BP PLC, Strike 25.00		54,789		9,784		45,005
UBS AG		32,937		USD	823,425	1/18/19	Suncor Energy Inc., Strike 25.00		63,733		17,292		46,441
UBS AG		25,788		USD	902,580	1/18/19	ConocoPhillips, Strike 35.00		56,059		17,536		38,523
UBS AG		27,924		USD	1,116,960	1/18/19	Royal Dutch Shell PLC, Strike 40.00		58,641		4,887		53,754
UBS AG		33,637		USD	1,345,480	1/18/19	Total SA, Strike 40.00		75,684		15,978		59,706

The accompanying notes are an integral part of the consolidated portfolio of investments.

54

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

OTC Counterparty	Units		Notional Amount			Expiration Date	Description	Premiums Received		Value		Unrealized Appreciation/ (Depreciation)
Put (Continued)
UBS AG		22,664		USD	1,019,880	1/18/19	Occidental Petroleum Corp., Strike 45.00	$	49,860	$	14,278	$	35,582
UBS AG		15,266		USD	915,960	1/18/19	Schlumberger Ltd., Strike 60.00		49,615		51,523		(1,908	)
UBS AG		10,546		USD	632,760	1/18/19	Exxon Mobil Corp., Strike 60.00		16,874		7,224		9,650
UBS AG		15,512		USD	1,240,960	1/18/19	Chevron Corp., Strike 80.00		50,414		11,556		38,858
									704,597		187,457		517,140
								$	953,348	$	453,350	$	499,998

The Fund had the following open Written Swaptions contracts at December 31, 2017:

Written Swaptions

OTC Counterparty	Units	Notional Amount			Expiration Date	Pay/Receive Exercise Rate	Description	Premiums Received		Value		Unrealized Appreciation/ (Depreciation)
Call
Goldman Sachs International	39,065,271		USD	39,065,271	4/24/18	Pay	3-Month USD LIBOR BBA 5 Year Swaption, Underlying swap terminates 4/26/23, Strike 1.90	$	114,852	$	26,338	$	88,514
Put
Goldman Sachs International	7,809,297		USD	7,809,297	1/04/18	Receive	3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 1/08/28, Strike 2.61		5,208		3		5,205
Goldman Sachs International	19,532,635		USD	19,532,635	4/24/18	Receive	3-Month USD LIBOR BBA 5 Year Swaption, Underlying swap terminates 4/26/23, Strike 2.40		95,319		63,615		31,704
Goldman Sachs International	8,047,184		USD	8,047,184	5/02/18	Receive	3-Month USD LIBOR BBA 5 Year Swaption, Underlying swap terminates 5/04/23, Strike 2.50		59,886		17,490		42,396
									160,413		81,108		79,305
								$	275,265	$	107,446	$	167,819

The Fund had the following open Forward contracts at December 31, 2017:

Forward Contracts

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy
JPY	167,909,000	Barclays Bank PLC	3/08/18	$	1,495,949	$	(1,180	)
JPY	200,900,000	Goldman Sachs International	3/15/18		1,779,328		9,904
GBP	1,149,000	JP Morgan Chase Bank N.A.	2/08/18		1,511,107		42,014
GBP	1,149,000	JP Morgan Chase Bank N.A.	2/16/18		1,511,452		42,054
GBP	1,145,000	JP Morgan Chase Bank N.A.	2/23/18		1,506,505		41,927
NZD	1,925,000	JP Morgan Chase Bank N.A.	2/22/18		1,326,566		36,820
					5,855,630		162,815

The accompanying notes are an integral part of the consolidated portfolio of investments.

55

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy (Continued)
NOK	9,693,000	Morgan Stanley & Co. LLC	1/26/18		$	1,214,601	$	(33,270	)
EUR	2,366,000	UBS AG	3/15/18			2,793,300		57,517
EUR	1,824,000	UBS AG	3/16/18			2,159,698		38,210
EUR	2,373,000	UBS AG	4/12/18			2,807,022		57,729
						7,760,020		153,456
					$	18,105,528	$	291,725
Contracts to Deliver
AUD	800,000	Citibank N.A.	4/06/18		$	622,096	$	(1,982	)
AUD	2,025,000	Deutsche Bank AG	4/13/18			1,540,033		(39,648	)
MXN	22,912,800	Deutsche Bank AG	1/18/18			1,200,000		37,896
						2,740,033		(1,752	)
AUD	4,500,000	Goldman Sachs International	1/25/18			3,523,433		12,273
NZD	1,925,000	JP Morgan Chase Bank N.A.	2/22/18			1,376,779		13,394
EUR	400,000	UBS AG	2/26/18			474,340		(7,093	)
MXN	27,726,880	UBS AG	1/11/18			1,492,000		83,974
						1,966,340		76,881
					$	10,228,681	$	98,814
Cross Currency Forwards
SEK	12,698,760	BNP Paribas SA	3/29/18	EUR		1,284,000	$	7,530
EUR	1,273,000	Deutsche Bank AG	3/16/18	PLN		5,395,865		(16,478	)
SEK	12,694,266	Deutsche Bank AG	3/22/18	EUR		1,284,000		7,007
								(9,471	)
							$	(1,941	)

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date		Number of Contracts			Notional Amount			Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Short
Yen Denom Nikkei		3/08/18		(5	)	$	(499,124	)	$	(4,537	)
Euro Stoxx 50 Index		3/16/18		(10	)		(427,726	)		8,618
Nasdaq 100 E Mini Index		3/16/18		(10	)		(1,277,507	)		(4,243	)
S&P 500 E Mini Index		3/16/18		(5	)		(666,576	)		(2,424	)
									$	(2,586	)

The accompanying notes are an integral part of the consolidated portfolio of investments.

56

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

The Fund had the following open Swap agreements at December 31, 2017:

Swaps

Counterparty	Currency	Notional Amount		Expiration Date		Payment Frequency	Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
Credit Default Swaps — Buy Protection
OTC Swaps
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	Airbus SE, 5.500%, 9/25/18	$	(818	)	$	(14,058	)	$	(14,876	)
Barclays Bank PLC	EUR		192,400		6/20/22	Quarterly	(1.000%)	Airbus SE, 5.500%, 9/25/18		-			(7,458	)		(7,458	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	Akzo Nobel NV, 4.000%, 12/17/18		(1,441	)		(9,586	)		(11,027	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	BASF SE, 1.375%, 1/22/19		(553	)		(15,188	)		(15,741	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	Bayer AG, 5.625%, 5/23/18		(389	)		(13,607	)		(13,996	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	BP Capital Markets PLC, 4.200%, 6/15/18		(2,951	)		(9,586	)		(12,537	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	Cie de Saint-Gobain, 4.000%, 10/08/18		(1,413	)		(11,812	)		(13,225	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	Royal Dutch Shell PLC, -99% FLOAT, 9/15/19		(2,809	)		(12,260	)		(15,069	)
Barclays Bank PLC	EUR		192,400		6/20/22	Quarterly	(1.000%)	Royal Dutch Shell PLC, -99% FLOAT, 9/15/19		(896	)		(6,660	)		(7,556	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	Statoil ASA, 2.000%, 9/10/20		(2,544	)		(15,414	)		(17,958	)
Barclays Bank PLC	EUR		383,747		6/20/22	Quarterly	(1.000%)	Volkswagen AG, 5.375%, 5/22/18		(2,982	)		(8,258	)		(11,240	)
										(16,796	)		(123,887	)		(140,683	)
Centrally Cleared Swaps
	USD		447,715		12/20/22	Quarterly	(5.000%)	CDX.NA.HY.29.V1	$	(3,707	)	$	(33,384	)	$	(37,091	)

Counterparty	Currency	Notional Amount		Expiration Date		Payment Frequency	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)		Value
Interest Rate Swaps
Centrally Cleared Swaps
	EUR		6,478,731		3/07/23	Annually/ Semi-Annually	Fixed 0.415%	6-Month EURIBOR	$	(23,344	)	$	-	$	(23,344	)
	EUR		6,645,684		6/14/23	Annually/ Semi-Annually	Fixed 0.340%	6-Month EURIBOR		34,571			94		34,665
	EUR		2,500,805		8/15/26	Annually/ Semi-Annually	Fixed 0.373%	6-Month EURIBOR		93,992			52		94,044
	USD		7,320,599		3/07/23	Quarterly/ Semi-Annually	3-Month USD-LIBOR-BBA	Fixed 2.403%		41,019			-		41,019
	USD		8,287,559		6/14/23	Quarterly/Semi-Annually	3-Month USD-LIBOR-BBA	Fixed 2.330%		3,248			100		3,348
										149,486			246		149,732
Total Return Swaps
OTC Swaps
BNP Paribas SA	EUR		900		12/20/19	Maturity	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount	$	29,480		$	-	$	29,480
BNP Paribas SA	EUR		1,900		12/20/19	Maturity	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount		60,868			-		60,868
BNP Paribas SA	EUR		1,700		12/20/19	Maturity	Notional amount at expiration date × Strike Price	Gross dividends on Euro STOXX 50 Index x notional amount		53,237			-		53,237

The accompanying notes are an integral part of the consolidated portfolio of investments.

57

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Counterparty

Currency

Notional Amount

Expiration Date

Payment Frequency

Payments Made by Fund

Payments Received by Fund

Unrealized Appreciation (Depreciation)

Premium Received (Paid)

Value

Total Return Swaps (Continued)

OTC Swaps (Continued)

BNP Paribas SA

EUR

1,400

12/27/19

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

$

42,163

$

-

$

42,163

BNP Paribas SA

EUR

1,400

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

33,092

-

33,092

BNP Paribas SA

EUR

1,000

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

36,355

-

36,355

BNP Paribas SA

EUR

500

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

18,118

-

18,118

BNP Paribas SA

EUR

500

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

18,238

-

18,238

BNP Paribas SA

EUR

400

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

14,686

-

14,686

BNP Paribas SA

EUR

500

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

17,758

-

17,758

BNP Paribas SA

EUR

1,600

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

56,825

-

56,825

BNP Paribas SA

EUR

700

12/17/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

16,798

-

16,798

BNP Paribas SA

EUR

400

12/17/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

1,200

-

1,200

BNP Paribas SA

EUR

700

12/17/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

8,735

-

8,735

BNP Paribas SA

EUR

700

12/17/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

13,858

-

13,858

BNP Paribas SA

EUR

800

12/17/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

3,648

-

3,648

BNP Paribas SA

EUR

700

12/16/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

7,307

-

7,307

BNP Paribas SA

EUR

400

12/16/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

4,799

-

4,799

BNP Paribas SA

EUR

1,500

12/16/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

7,919

-

7,919

BNP Paribas SA

EUR

800

12/21/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

10,175

-

10,175

BNP Paribas SA

EUR

1,100

12/15/23

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on Euro STOXX 50 Index x notional amount

1,716

-

1,716

BNP Paribas SA

JPY

90,000

4/02/18

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

31,783

-

31,783

The accompanying notes are an integral part of the consolidated portfolio of investments.

58

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Counterparty

Currency

Notional Amount

Expiration Date

Payment Frequency

Payments Made by Fund

Payments Received by Fund

Unrealized Appreciation (Depreciation)

Premium Received (Paid)

Value

Total Return Swaps (Continued)

OTC Swaps (Continued)

BNP Paribas SA

JPY

90,000

4/02/18

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

$

29,195

$

-

$

29,195

BNP Paribas SA

JPY

40,000

3/29/19

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

30,477

-

30,477

BNP Paribas SA

JPY

90,000

3/29/19

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

70,051

-

70,051

BNP Paribas SA

JPY

50,000

3/29/19

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

34,435

-

34,435

BNP Paribas SA

JPY

70,000

3/21/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

79,334

-

79,334

BNP Paribas SA

JPY

60,000

3/31/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

63,208

-

63,208

BNP Paribas SA

JPY

50,000

3/31/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

52,407

-

52,407

BNP Paribas SA

JPY

20,000

3/31/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

11,005

-

11,005

BNP Paribas SA

JPY

30,000

3/31/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

26,825

-

26,825

BNP Paribas SA

JPY

10,000

3/31/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

8,476

-

8,476

BNP Paribas SA

JPY

10,000

3/31/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

8,698

-

8,698

BNP Paribas SA

JPY

60,000

4/01/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

50,854

-

50,854

BNP Paribas SA

JPY

20,000

3/31/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

12,379

(806

)

11,573

BNP Paribas SA

JPY

20,000

3/31/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

16,454

-

16,454

BNP Paribas SA

JPY

30,000

3/31/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

24,948

-

24,948

BNP Paribas SA

JPY

60,000

4/01/22

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

52,292

-

52,292

BNP Paribas SA

JPY

20,000

3/31/23

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

13,401

-

13,401

BNP Paribas SA

USD

8,000

12/21/18

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on S&P 500 Annual Dividend Index x notional amount

44,400

-

44,400

BNP Paribas SA

USD

4,000

12/17/21

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on S&P 500 Annual Dividend Index x notional amount

48,800

-

48,800

The accompanying notes are an integral part of the consolidated portfolio of investments.

59

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Counterparty

Currency

Notional Amount

Expiration Date

Payment Frequency

Payments Made by Fund

Payments Received by Fund

Unrealized Appreciation (Depreciation)

Premium Received (Paid)

Value

Total Return Swaps (Continued)

OTC Swaps (Continued)

Goldman Sachs International

USD

3,250

12/18/20

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on S&P 500 Annual Dividend Index x notional amount

$

33,231

$

-

$

33,231

JP Morgan Chase Bank N.A.

JPY

20,000

4/03/23

Maturity

Notional amount at expiration date × Strike Price

Gross dividends on NIKKEI 225 Index x notional amount

12,514

-

12,514

1,212,142

(806

)

1,211,336

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
	124,400,006	JPY	1,111,614	USD	3/15/18	Bank of America N.A.	Sell	Notional Amount x 0.10%	Notional Amount x 1.84%	$	13,759	$	-		$	13,759
	188,550,005	JPY	1,672,043	USD	3/15/18	Bank of America N.A.	Sell	Notional Amount x 0.10%	Notional Amount x 1.96%		9,017		-			9,017
	384,149,987	JPY	3,740,553	USD	10/15/18	Bank of America N.A.	Sell	Notional Amount x 0.10%	Notional Amount x 2.01%		339,342		(317	)		339,025
											362,118		(317	)		361,801

Collateral for swap agreements held by Bank of America N.A. amounted to $274,000 in cash at December 31, 2017. A portion of the cash collateral received from Bank of America N.A., Goldman Sachs International, JP Morgan Chase Bank N.A., and BNP Paribas SA in the amount $310,000, $140,058, $10,000, and $1,230,000, respectively, was related to swap agreements at December 31, 2017.

Currency Legend

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

GBP British Pound

JPY Japanese Yen

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

PLN Polish Zloty

SEK Swedish Krona

SGD Singapore Dollar

USD U.S. Dollar

The accompanying notes are an integral part of the consolidated portfolio of investments.

60

MassMutual Select Diversified Value Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 97.8%
Basic Materials — 3.8%
Chemicals — 3.2%
Ashland Global Holdings, Inc.		800	$	56,960
Celanese Corp. Series A		2,500		267,700
CF Industries Holdings, Inc.		39,300		1,671,822
DowDuPont, Inc.		54,259		3,864,326
Eastman Chemical Co.		2,600		240,864
Huntsman Corp.		4,100		136,489
LyondellBasell Industries NV Class A		8,700		959,784
PPG Industries, Inc.		4,300		502,326
RPM International, Inc.		2,100		110,082
Westlake Chemical Corp.		2,300		245,019
				8,055,372
Forest Products & Paper — 0.2%
International Paper Co.		7,400		428,756
Iron & Steel — 0.3%
Nucor Corp.		5,700		362,406
Reliance Steel & Aluminum Co.		1,000		85,790
Steel Dynamics, Inc.		4,400		189,772
				637,968
Mining — 0.1%
Newmont Mining Corp.		6,300		236,376
				9,358,472
Communications — 11.0%
Internet — 0.1%
CDW Corp.		2,800		194,572
Media — 5.9%
Comcast Corp. Class A		135,508		5,427,095
News Corp. Class A		6,800		110,228
Time Warner, Inc.		21,900		2,003,193
Twenty-First Century Fox, Inc. Class A		18,700		645,711
Twenty-First Century Fox, Inc. Class B		106,400		3,630,368
The Walt Disney Co.		28,000		3,010,280
				14,826,875
Telecommunications — 5.0%
ARRIS International PLC (a)		3,200		82,208
Cisco Systems, Inc.		151,624		5,807,199
Juniper Networks, Inc.		6,800		193,800
Motorola Solutions, Inc.		3,000		271,020
Verizon Communications, Inc.		117,964		6,243,835
				12,598,062
				27,619,509

	Number of Shares		Value
Consumer, Cyclical — 9.0%
Airlines — 0.8%
American Airlines Group, Inc.		8,900	$	463,067
Delta Air Lines, Inc.		13,200		739,200
JetBlue Airways Corp. (a)		5,500		122,870
Southwest Airlines Co.		10,800		706,860
				2,031,997
Apparel — 0.2%
Carter’s, Inc.		800		93,992
Hanesbrands, Inc.		6,200		129,642
Michael Kors Holdings Ltd. (a)		2,000		125,900
Ralph Lauren Corp.		900		93,321
				442,855
Auto Manufacturers — 0.9%
Ford Motor Co.		66,700		833,083
General Motors Co.		27,000		1,106,730
PACCAR, Inc.		6,200		440,696
				2,380,509
Auto Parts & Equipment — 0.5%
Adient PLC		1,200		94,440
Allison Transmission Holdings, Inc.		2,400		103,368
Aptiv PLC		4,900		415,667
BorgWarner, Inc.		3,800		194,142
The Goodyear Tire & Rubber Co.		4,600		148,626
Lear Corp.		1,200		211,992
				1,168,235
Entertainment — 0.0%
The Madison Square Garden Co. Class A (a)		400		84,340
Home Builders — 0.3%
NVR, Inc. (a)		60		210,493
PulteGroup, Inc.		5,600		186,200
Thor Industries, Inc.		900		135,648
Toll Brothers, Inc.		3,100		148,862
				681,203
Home Furnishing — 0.1%
Leggett & Platt, Inc.		2,300		109,779
Whirlpool Corp.		1,100		185,504
				295,283
Leisure Time — 0.6%
Brunswick Corp.		1,500		82,830
Carnival Corp.		9,700		643,789
Norwegian Cruise Line Holdings Ltd. (a)		4,200		223,650
Royal Caribbean Cruises Ltd.		4,000		477,120
				1,427,389
Lodging — 0.6%
Hyatt Hotels Corp. Class A (a)		700		51,478

The accompanying notes are an integral part of the portfolio of investments.

61

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

	Number of Shares		Value
Las Vegas Sands Corp.		17,600	$	1,223,024
Wyndham Worldwide Corp.		1,900		220,153
				1,494,655
Retail — 4.8%
AutoNation, Inc. (a)		1,200		61,596
Best Buy Co., Inc.		5,100		349,197
CarMax, Inc. (a)		3,400		218,042
CVS Health Corp.		12,200		884,500
Dollar General Corp.		4,700		437,147
The Gap, Inc.		5,100		173,706
Genuine Parts Co.		1,900		180,519
Kohl’s Corp.		2,900		157,267
L Brands, Inc.		1,280		77,082
Lowe’s Cos., Inc.		14,200		1,319,748
Nordstrom, Inc.		2,200		104,236
PVH Corp.		1,400		192,094
Target Corp.		7,100		463,275
Tractor Supply Co.		1,700		127,075
Wal-Mart Stores, Inc.		72,900		7,198,875
Williams-Sonoma, Inc.		1,600		82,720
				12,027,079
Textiles — 0.1%
Mohawk Industries, Inc. (a)		1,400		386,260
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		2,100		190,869
				22,610,674
Consumer, Non-cyclical — 16.3%
Beverages — 0.7%
Dr. Pepper Snapple Group, Inc.		2,200		213,532
PepsiCo, Inc.		11,680		1,400,666
				1,614,198
Biotechnology — 2.6%
Amgen, Inc.		12,600		2,191,140
Biogen, Inc. (a)		3,900		1,242,423
Gilead Sciences, Inc.		41,900		3,001,716
				6,435,279
Commercial Services — 0.4%
AMERCO		300		113,373
Booz Allen Hamilton Holding Corp.		2,500		95,325
H&R Block, Inc.		3,700		97,014
ManpowerGroup, Inc.		1,200		151,332
Robert Half International, Inc.		2,300		127,742
United Rentals, Inc. (a)		1,600		275,056
The Western Union Co.		8,100		153,981
				1,013,823
Foods — 0.8%
Ingredion, Inc.		1,200		167,760
Pilgrim’s Pride Corp. (a)		4,500		139,770

	Number of Shares		Value
Tyson Foods, Inc. Class A		22,100	$	1,791,647
				2,099,177
Health Care – Products — 0.9%
Becton, Dickinson & Co.		10,686		2,287,445
Health Care – Services — 3.1%
Aetna, Inc.		5,900		1,064,301
Anthem, Inc.		19,387		4,362,269
Cigna Corp.		4,600		934,214
DaVita, Inc. (a)		3,600		260,100
HCA Healthcare, Inc. (a)		6,600		579,744
Laboratory Corp. of America Holdings (a)		1,900		303,069
Quest Diagnostics, Inc.		2,400		236,376
				7,740,073
Household Products & Wares — 0.7%
Kimberly-Clark Corp.		14,700		1,773,702
Pharmaceuticals — 7.1%
AbbVie, Inc.		28,600		2,765,906
AmerisourceBergen Corp.		2,900		266,278
Bristol-Myers Squibb Co.		21,500		1,317,520
GlaxoSmithKline PLC Sponsored ADR		6,000		212,820
Herbalife Ltd. (a)		1,700		115,124
Johnson & Johnson		61,700		8,620,724
McKesson Corp.		3,600		561,420
Perrigo Co. PLC		2,400		209,184
Pfizer, Inc.		101,900		3,690,818
				17,759,794
				40,723,491
Energy — 6.7%
Oil & Gas — 6.7%
Chevron Corp.		33,800		4,231,422
ConocoPhillips		22,100		1,213,069
Energen Corp. (a)		1,700		97,869
Hess Corp.		49,864		2,367,044
HollyFrontier Corp.		3,100		158,782
Marathon Oil Corp.		11,200		189,616
Marathon Petroleum Corp.		9,500		626,810
Occidental Petroleum Corp.		28,600		2,106,676
Phillips 66		9,300		940,695
Total SA		74,555		4,113,594
Valero Energy Corp.		8,000		735,280
				16,780,857
Financial — 28.2%
Banks — 17.5%
The Bank of New York Mellon Corp.		18,500		996,410
BB&T Corp.		13,500		671,220
BOK Financial Corp.		1,100		101,552
Capital One Financial Corp.		8,700		866,346
CIT Group, Inc.		2,200		108,306

The accompanying notes are an integral part of the portfolio of investments.

62

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

	Number of Shares		Value
Citigroup, Inc.		49,000	$	3,646,090
Citizens Financial Group, Inc.		9,100		382,018
Comerica, Inc.		2,700		234,387
Commerce Bancshares, Inc.		1,895		105,817
Cullen/Frost Bankers, Inc.		1,100		104,115
East West Bancorp, Inc.		2,500		152,075
Fifth Third Bancorp		55,535		1,684,932
The Goldman Sachs Group, Inc.		7,100		1,808,796
Huntington Bancshares, Inc.		14,200		206,752
JP Morgan Chase & Co.		98,099		10,490,707
KeyCorp		18,400		371,128
M&T Bank Corp.		2,800		478,772
Morgan Stanley		103,600		5,435,892
Northern Trust Corp.		3,700		369,593
The PNC Financial Services Group, Inc.		8,700		1,255,323
Prosperity Bancshares, Inc.		1,200		84,084
Regions Financial Corp.		21,500		371,520
State Street Corp.		34,137		3,332,112
SunTrust Banks, Inc.		8,700		561,933
Synovus Financial Corp.		2,200		105,468
US Bancorp		30,200		1,618,116
Wells Fargo & Co.		133,398		8,093,257
Western Alliance Bancorp (a)		1,400		79,268
Zions Bancorp		3,700		188,071
				43,904,060
Diversified Financial Services — 2.9%
Alliance Data Systems Corp.		700		177,436
Ally Financial, Inc.		8,300		242,028
American Express Co.		16,000		1,588,960
Ameriprise Financial, Inc.		10,475		1,775,199
Credit Acceptance Corp. (a)		300		97,044
Discover Financial Services		7,300		561,516
E*TRADE Financial Corp. (a)		4,900		242,893
FNF Group		4,300		168,732
Franklin Resources, Inc.		10,100		437,633
Invesco Ltd.		7,300		266,742
Lazard Ltd. Class A		2,200		115,500
Nasdaq, Inc.		2,500		192,075
Raymond James Financial, Inc.		2,400		214,320
Santander Consumer USA Holdings, Inc.		6,200		115,444
Synchrony Financial		14,425		556,949
T. Rowe Price Group, Inc.		4,400		461,692
				7,214,163
Insurance — 7.2%
Aflac, Inc.		7,200		632,016
Alleghany Corp. (a)		300		178,827
The Allstate Corp.		7,000		732,970
American Financial Group, Inc.		3,100		336,474
American International Group, Inc.		46,500		2,770,470
Assurant, Inc.		1,000		100,840

	Number of Shares		Value
Brighthouse Financial, Inc. (a)		15,200	$	891,328
Chubb Ltd.		7,900		1,154,427
Cincinnati Financial Corp.		2,800		209,916
Everest Re Group Ltd.		700		154,882
The Hartford Financial Services Group, Inc.		6,600		371,448
Lincoln National Corp.		3,900		299,793
Loews Corp.		62,700		3,136,881
Markel Corp. (a)		300		341,739
MetLife, Inc.		41,363		2,091,313
Old Republic International Corp.		4,800		102,624
Principal Financial Group, Inc.		5,200		366,912
Prudential Financial, Inc.		7,700		885,346
Reinsurance Group of America, Inc.		1,200		187,116
Torchmark Corp.		5,300		480,763
The Travelers Cos., Inc.		11,900		1,614,116
Unum Group		4,200		230,538
Voya Financial, Inc.		3,500		173,145
W.R. Berkley Corp.		2,200		157,630
Willis Towers Watson PLC		2,300		346,587
XL Group Ltd.		4,800		168,768
				18,116,869
Real Estate — 0.1%
Jones Lang LaSalle, Inc.		800		119,144
Real Estate Investment Trusts (REITS) — 0.5%
Equity Residential		17,400		1,109,598
Savings & Loans — 0.0%
Investors Bancorp, Inc.		5,300		73,564
				70,537,398
Industrial — 9.0%
Aerospace & Defense — 3.4%
The Boeing Co.		7,936		2,340,406
General Dynamics Corp.		5,700		1,159,665
Harris Corp.		19,668		2,785,972
L3 Technologies, Inc.		1,400		276,990
Spirit AeroSystems Holdings, Inc. Class A		2,200		191,950
United Technologies Corp.		14,200		1,811,494
				8,566,477
Building Materials — 1.2%
Johnson Controls International PLC		69,260		2,639,498
Owens Corning		2,100		193,074
USG Corp. (a)		2,500		96,400
				2,928,972
Electrical Components & Equipment — 0.4%
Emerson Electric Co.		12,800		892,032
Hubbell, Inc.		700		94,738
				986,770
Electronics — 1.3%
Arrow Electronics, Inc. (a)		1,500		120,615

The accompanying notes are an integral part of the portfolio of investments.

63

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

	Number of Shares		Value
Corning, Inc.		21,900	$	700,581
Garmin Ltd.		3,500		208,495
Gentex Corp.		5,200		108,940
Honeywell International, Inc.		13,600		2,085,696
Jabil, Inc.		3,000		78,750
SYNNEX Corp.		500		67,975
				3,371,052
Engineering & Construction — 0.1%
Jacobs Engineering Group, Inc.		2,100		138,516
Hand & Machine Tools — 0.1%
Snap-on, Inc.		1,000		174,300
Machinery – Diversified — 0.2%
AGCO Corp.		1,400		100,002
Cummins, Inc.		3,100		547,584
				647,586
Miscellaneous – Manufacturing — 0.7%
Carlisle Cos., Inc.		1,100		125,015
Eaton Corp. PLC		8,000		632,080
Ingersoll-Rand PLC		4,300		383,517
Pentair PLC		2,700		190,674
Textron, Inc.		4,900		277,291
Trinity Industries, Inc.		2,600		97,396
				1,705,973
Packaging & Containers — 0.2%
Crown Holdings, Inc. (a)		2,400		135,000
Packaging Corp. of America		1,600		192,880
Sonoco Products Co.		1,800		95,652
				423,532
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc.		800		188,560
Transportation — 1.3%
FedEx Corp.		700		174,678
Norfolk Southern Corp.		3,500		507,150
United Parcel Service, Inc. Class B		22,100		2,633,215
				3,315,043
				22,446,781
Technology — 10.4%
Computers — 4.5%
Apple, Inc.		46,400		7,852,272
CSRA, Inc.		2,100		62,832
HP, Inc.		30,200		634,502
International Business Machines Corp.		15,900		2,439,378
NetApp, Inc.		3,500		193,620
				11,182,604
Office & Business Equipment — 0.1%
Xerox Corp.		4,650		135,547

	Number of Shares		Value
Semiconductors — 3.3%
Applied Materials, Inc.		17,300	$	884,376
Intel Corp.		83,700		3,863,592
KLA-Tencor Corp.		2,700		283,689
Marvell Technology Group Ltd.		9,100		195,377
Qorvo, Inc. (a)		2,300		153,180
QUALCOMM, Inc.		40,940		2,620,979
Skyworks Solutions, Inc.		3,200		303,840
Teradyne, Inc.		2,600		108,862
				8,413,895
Software — 2.5%
CA, Inc.		7,200		239,616
Microsoft Corp.		31,116		2,661,663
Oracle Corp.		73,000		3,451,440
				6,352,719
				26,084,765
Utilities — 3.4%
Electric — 3.3%
AES Corp.		4,200		45,486
Ameren Corp.		4,400		259,556
American Electric Power Co., Inc.		8,900		654,773
DTE Energy Co.		3,400		372,164
Duke Energy Corp.		10,400		874,744
Edison International		640		40,474
Entergy Corp.		3,400		276,726
Eversource Energy		5,700		360,126
Exelon Corp.		18,073		712,257
OGE Energy Corp.		3,700		121,767
PG&E Corp.		27,750		1,244,032
Pinnacle West Capital Corp.		2,100		178,878
Public Service Enterprise Group, Inc.		9,100		468,650
The Southern Co.		45,000		2,164,050
Westar Energy, Inc.		2,400		126,720
Xcel Energy, Inc.		8,200		394,502
				8,294,905
Gas — 0.1%
National Fuel Gas Co.		1,500		82,365
UGI Corp.		3,000		140,850
				223,215
				8,518,120
TOTAL COMMON STOCK (Cost $200,965,593)				244,680,067

The accompanying notes are an integral part of the portfolio of investments.

64

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

	Number of Shares		Value
PREFERRED STOCK — 0.2%
Consumer, Non-cyclical — 0.2%
Health Care – Products — 0.2%
Becton Dickinson and Co. 6.125%		10,850	$	628,215
TOTAL PREFERRED STOCK (Cost $593,530)				628,215
TOTAL EQUITIES (Cost $201,559,123)				245,308,282
MUTUAL FUNDS — 1.1%
Diversified Financial Services — 1.1%
iShares Russell 1000 Value Index Fund		22,900		2,847,386
T. Rowe Price Reserve Investment Fund		1,003		1,003
				2,848,389
TOTAL MUTUAL FUNDS (Cost $2,785,780)				2,848,389
TOTAL LONG-TERM INVESTMENTS (Cost $204,344,903)				248,156,671
	Principal Amount
SHORT-TERM INVESTMENTS — 1.2%
Repurchase Agreement — 1.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (b)	$	2,882,461		2,882,461
TOTAL SHORT-TERM INVESTMENTS (Cost $2,882,461)				2,882,461
TOTAL INVESTMENTS — 100.3% (Cost $207,227,364) (c)				251,039,132
Other Assets/(Liabilities) — (0.3)%				(776,555	)
NET ASSETS — 100.0%			$	250,262,577

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $2,882,634. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.750%, maturity dates ranging from 2/15/24 – 4/30/24, and an aggregate market value, including accrued interest, of $2,941,947.

(c) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

65

MassMutual Select Fundamental Value Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 98.0%
Basic Materials — 3.6%
Chemicals — 2.6%
Celanese Corp. Series A		51,773	$	5,543,853
DowDuPont, Inc.		389,238		27,721,530
				33,265,383
Forest Products & Paper — 1.0%
International Paper Co.		207,690		12,033,559
				45,298,942
Communications — 7.5%
Internet — 0.6%
eBay, Inc. (a)		211,530		7,983,142
Media — 2.1%
CBS Corp. Class B		120,320		7,098,880
Comcast Corp. Class A		249,610		9,996,880
Thomson Reuters Corp.		96,500		4,206,435
Viacom, Inc. Class B		177,850		5,479,559
				26,781,754
Telecommunications — 4.8%
AT&T, Inc.		173,943		6,762,904
Cisco Systems, Inc.		648,120		24,822,996
Nokia OYJ Sponsored ADR		1,145,520		5,338,123
Verizon Communications, Inc.		430,904		22,807,749
				59,731,772
				94,496,668
Consumer, Cyclical — 7.6%
Airlines — 0.4%
Southwest Airlines Co.		64,741		4,237,298
Auto Parts & Equipment — 0.4%
Adient PLC		63,521		4,999,103
Home Builders — 0.7%
PulteGroup, Inc.		258,730		8,602,773
Home Furnishing — 0.4%
Whirlpool Corp.		28,427		4,793,929
Leisure Time — 0.6%
Norwegian Cruise Line Holdings Ltd. (a)		146,290		7,789,943
Lodging — 0.8%
Hilton Worldwide Holdings, Inc.		131,096		10,469,327
Retail — 4.3%
The Home Depot, Inc.		49,250		9,334,352
L Brands, Inc.		138,260		8,326,017
Liberty Interactive Corp. QVC Group Class A (a)		382,190		9,333,080
Target Corp.		75,505		4,926,701
The TJX Cos., Inc.		116,900		8,938,174

	Number of Shares		Value
Wal-Mart Stores, Inc.		134,653	$	13,296,984
				54,155,308
				95,047,681
Consumer, Non-cyclical — 16.7%
Agriculture — 3.3%
Altria Group, Inc.		142,901		10,204,560
British American Tobacco PLC		123,634		8,344,117
Philip Morris International, Inc.		220,665		23,313,257
				41,861,934
Biotechnology — 0.6%
Amgen, Inc.		45,780		7,961,142
Commercial Services — 0.4%
Nielsen Holdings PLC		147,650		5,374,460
Cosmetics & Personal Care — 0.5%
Unilever NV NY Shares		117,390		6,611,405
Foods — 1.5%
The Kraft Heinz Co.		73,636		5,725,935
Mondelez International, Inc. Class A		183,500		7,853,800
Tyson Foods, Inc. Class A		61,086		4,952,242
				18,531,977
Health Care – Products — 1.3%
Medtronic PLC		150,797		12,176,858
Zimmer Biomet Holdings, Inc.		36,400		4,392,388
				16,569,246
Health Care – Services — 1.1%
UnitedHealth Group, Inc.		60,180		13,267,283
Pharmaceuticals — 8.0%
Allergan PLC		57,940		9,477,825
AstraZeneca PLC Sponsored ADR		259,430		9,002,221
Bristol-Myers Squibb Co.		189,050		11,584,984
Johnson & Johnson		105,010		14,671,997
Merck & Co., Inc.		462,442		26,021,612
Pfizer, Inc.		324,337		11,747,486
Roche Holding AG		48,843		12,354,506
Sanofi ADR		129,806		5,581,658
				100,442,289
				210,619,736
Energy — 11.6%
Oil & Gas — 10.7%
BP PLC Sponsored ADR		332,316		13,967,241
Canadian Natural Resources Ltd.		279,780		9,993,742
Chevron Corp.		228,312		28,582,379
ConocoPhillips		202,029		11,089,372
EOG Resources, Inc.		119,860		12,934,093
Exxon Mobil Corp.		130,150		10,885,746
Marathon Oil Corp.		565,591		9,575,456
Occidental Petroleum Corp.		195,266		14,383,293

The accompanying notes are an integral part of the portfolio of investments.

66

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

	Number of Shares		Value
Phillips 66		131,004	$	13,251,055
Pioneer Natural Resources Co.		46,820		8,092,837
Southwestern Energy Co. (a)		329,340		1,837,717
				134,592,931
Oil & Gas Services — 0.9%
Halliburton Co.		222,080		10,853,049
				145,445,980
Financial — 28.3%
Banks — 17.2%
Bank of America Corp.		1,206,090		35,603,777
Citigroup, Inc.		398,127		29,624,630
The Goldman Sachs Group, Inc.		43,030		10,962,323
JP Morgan Chase & Co.		495,496		52,988,342
KeyCorp		270,140		5,448,724
M&T Bank Corp.		69,050		11,806,860
The PNC Financial Services Group, Inc.		148,870		21,480,452
State Street Corp.		67,282		6,567,396
Wells Fargo & Co.		694,544		42,137,984
				216,620,488
Diversified Financial Services — 3.6%
American Express Co.		143,657		14,266,576
BlackRock, Inc.		21,090		10,834,144
Invesco Ltd.		298,020		10,889,651
Nasdaq, Inc.		118,660		9,116,648
				45,107,019
Insurance — 6.4%
American International Group, Inc.		127,650		7,605,387
Chubb Ltd.		98,860		14,446,412
Loews Corp.		284,754		14,246,243
Marsh & McLennan Cos., Inc.		125,890		10,246,187
MetLife, Inc.		181,820		9,192,819
Principal Financial Group, Inc.		73,608		5,193,780
Unum Group		115,840		6,358,458
XL Group Ltd.		376,674		13,243,858
				80,533,144
Real Estate Investment Trusts (REITS) — 1.1%
HCP, Inc.		170,206		4,438,972
Park Hotels & Resorts, Inc.		308,274		8,862,878
				13,301,850
				355,562,501
Industrial — 11.6%
Aerospace & Defense — 2.5%
Raytheon Co.		20,226		3,799,454
Triumph Group, Inc.		118,690		3,228,368
United Technologies Corp.		187,570		23,928,305
				30,956,127

	Number of Shares		Value
Building Materials — 1.6%
Fortune Brands Home & Security, Inc.		136,310	$	9,329,056
Johnson Controls International PLC		276,826		10,549,839
				19,878,895
Hand & Machine Tools — 0.8%
Stanley Black & Decker, Inc.		63,794		10,825,204
Machinery – Construction & Mining — 0.8%
Caterpillar, Inc.		61,030		9,617,107
Miscellaneous – Manufacturing — 3.9%
3M Co.		37,960		8,934,645
Eaton Corp. PLC		174,840		13,814,108
General Electric Co.		785,517		13,707,272
Ingersoll-Rand PLC		142,310		12,692,629
				49,148,654
Transportation — 2.0%
Norfolk Southern Corp.		44,812		6,493,259
Schneider National, Inc. Class B		217,960		6,224,938
Union Pacific Corp.		93,710		12,566,511
				25,284,708
				145,710,695
Technology — 7.9%
Computers — 2.2%
Cognizant Technology Solutions Corp. Class A		118,580		8,421,552
International Business Machines Corp.		55,169		8,464,028
NetApp, Inc.		186,480		10,316,073
				27,201,653
Semiconductors — 4.4%
Analog Devices, Inc.		63,240		5,630,257
Intel Corp.		497,250		22,953,060
Maxim Integrated Products, Inc.		151,320		7,911,010
QUALCOMM, Inc.		300,914		19,264,514
				55,758,841
Software — 1.3%
Microsoft Corp.		112,930		9,660,032
Oracle Corp.		150,028		7,093,324
				16,753,356
				99,713,850
Utilities — 3.2%
Electric — 3.2%
Dominion Energy, Inc.		65,980		5,348,339
Edison International		122,840		7,768,402
Entergy Corp.		125,646		10,226,328
Eversource Energy		166,170		10,498,620

The accompanying notes are an integral part of the portfolio of investments.

67

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

	Number of Shares		Value
NextEra Energy, Inc.		39,130	$	6,111,715
				39,953,404
TOTAL COMMON STOCK (Cost $952,196,729)				1,231,849,457
TOTAL EQUITIES (Cost $952,196,729)				1,231,849,457
TOTAL LONG-TERM INVESTMENTS (Cost $952,196,729)				1,231,849,457
	Principal Amount
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (b)	$	33,312,698		33,312,698
TOTAL SHORT-TERM INVESTMENTS (Cost $33,312,698)				33,312,698
TOTAL INVESTMENTS — 100.6% (Cost $985,509,427) (c)				1,265,162,155
Other Assets/(Liabilities) — (0.6)%				(7,773,220	)
NET ASSETS — 100.0%			$	1,257,388,935

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $33,314,697. Collateralized by U.S. Government Agency obligations with rates ranging from 0.125% – 2.750%, maturity dates ranging from 4/15/19 – 2/15/24, and an aggregate market value, including accrued interest, of $33,979,567.

(c) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

68

MassMutual Select Large Cap Value Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.3%
COMMON STOCK — 96.3%
Basic Materials — 3.3%
Chemicals — 3.1%
BASF SE Sponsored ADR		29,924	$	822,012
Celanese Corp. Series A		14,600		1,563,368
DowDuPont, Inc.		53,408		3,803,718
				6,189,098
Iron & Steel — 0.2%
Carpenter Technology Corp.		7,221		368,199
				6,557,297
Communications — 3.4%
Media — 0.6%
Time Warner, Inc.		14,400		1,317,168
Telecommunications — 2.8%
ARRIS International PLC (a)		13,300		341,677
AT&T, Inc.		48,808		1,897,655
Verizon Communications, Inc.		53,069		2,808,942
Vodafone Group PLC Sponsored ADR		13,672		436,137
				5,484,411
				6,801,579
Consumer, Cyclical — 8.5%
Airlines — 0.6%
Southwest Airlines Co.		18,449		1,207,487
Auto Parts & Equipment — 0.7%
Adient PLC		18,058		1,421,164
Entertainment — 0.3%
Regal Entertainment Group Class A		27,800		639,678
Home Builders — 0.5%
Lennar Corp. Class B		17,209		889,361
Home Furnishing — 0.7%
Whirlpool Corp.		8,000		1,349,120
Housewares — 0.9%
Tupperware Brands Corp.		26,771		1,678,542
Retail — 4.8%
The Home Depot, Inc.		6,500		1,231,945
Target Corp.		21,859		1,426,300
Wal-Mart Stores, Inc.		69,960		6,908,550
				9,566,795
				16,752,147
Consumer, Non-cyclical — 17.1%
Agriculture — 4.6%
Altria Group, Inc.		40,259		2,874,895
Philip Morris International, Inc.		57,960		6,123,474
				8,998,369

	Number of Shares		Value
Foods — 2.2%
Conagra Brands, Inc.		24,700	$	930,449
Lamb Weston Holdings, Inc.		8,633		487,333
Tyson Foods, Inc. Class A		36,900		2,991,483
				4,409,265
Pharmaceuticals — 10.3%
Allergan PLC		3,800		621,604
Eli Lilly & Co.		32,464		2,741,909
Johnson & Johnson		32,574		4,551,239
Merck & Co., Inc.		82,300		4,631,021
Pfizer, Inc.		172,166		6,235,853
Sanofi ADR		36,500		1,569,500
				20,351,126
				33,758,760
Energy — 10.3%
Oil & Gas — 10.3%
BP PLC Sponsored ADR		125,722		5,284,096
Chesapeake Energy Corp. (a)		31,600		125,136
Chevron Corp.		17,900		2,240,901
ConocoPhillips		64,918		3,563,349
Ensco PLC Class A		164,200		970,422
Occidental Petroleum Corp.		34,823		2,565,062
Phillips 66		37,079		3,750,541
Royal Dutch Shell PLC A Shares Sponsored ADR		27,400		1,827,854
				20,327,361
				20,327,361
Financial — 25.4%
Banks — 16.6%
Bank of America Corp.		291,696		8,610,866
Citigroup, Inc.		79,226		5,895,207
JP Morgan Chase & Co.		72,758		7,780,740
KeyCorp		90,900		1,833,453
State Street Corp.		19,093		1,863,668
SunTrust Banks, Inc.		22,672		1,464,384
Wells Fargo & Co.		88,540		5,371,722
				32,820,040
Diversified Financial Services — 3.1%
Ally Financial, Inc.		25,906		755,419
American Express Co.		40,699		4,041,818
Mastercard, Inc. Class A		8,600		1,301,696
				6,098,933
Insurance — 5.1%
American International Group, Inc.		11,700		697,086
CNO Financial Group, Inc.		111,577		2,754,836
Loews Corp.		82,718		4,138,382
Voya Financial, Inc.		14,147		699,852
XL Group Ltd.		48,800		1,715,808
				10,005,964

The accompanying notes are an integral part of the portfolio of investments.

69

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

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 0.6%
HCP, Inc.		48,100	$	1,254,448
				50,179,385
Industrial — 15.9%
Aerospace & Defense — 5.0%
Arconic, Inc.		77,467		2,110,976
Northrop Grumman Corp.		10,800		3,314,628
Raytheon Co.		6,881		1,292,596
United Technologies Corp.		24,100		3,074,437
				9,792,637
Building Materials — 1.5%
Johnson Controls International PLC		78,085		2,975,820
Electronics — 0.2%
TE Connectivity Ltd.		4,500		427,680
Engineering & Construction — 3.2%
Fluor Corp.		10,500		542,325
KBR, Inc.		291,500		5,780,445
				6,322,770
Hand & Machine Tools — 1.6%
Stanley Black & Decker, Inc.		18,099		3,071,219
Machinery – Diversified — 0.2%
Flowserve Corp.		9,500		400,235
Miscellaneous – Manufacturing — 1.0%
General Electric Co.		118,000		2,059,100
Transportation — 3.2%
Euronav NV (a)		141,515		1,309,014
FedEx Corp.		7,600		1,896,504
Golar LNG Partners LP (b)		57,875		1,319,550
Norfolk Southern Corp.		12,785		1,852,546
				6,377,614
				31,427,075
Technology — 8.6%
Computers — 2.0%
DXC Technology Co.		3,135		297,511
Hewlett Packard Enterprise Co.		60,100		863,036
HP, Inc.		21,200		445,412
International Business Machines Corp.		15,500		2,378,010
				3,983,969
Semiconductors — 1.0%
QUALCOMM, Inc.		30,900		1,978,218
Software — 5.6%
CA, Inc.		94,100		3,131,648
Microsoft Corp.		43,200		3,695,328
Oracle Corp.		89,000		4,207,920
				11,034,896
				16,997,083

	Number of Shares		Value
Utilities — 3.8%
Electric — 3.8%
American Electric Power Co., Inc.		5,500	$	404,635
Entergy Corp.		51,573		4,197,527
Exelon Corp.		60,600		2,388,246
NextEra Energy, Inc.		2,800		437,332
				7,427,740
TOTAL COMMON STOCK (Cost $151,192,041)				190,228,427
TOTAL EQUITIES (Cost $151,192,041)				190,228,427
RIGHTS — 0.0%
Consumer, Non-cyclical — 0.0%
Pharmaceuticals — 0.0%
Herbalife Ltd. CVR (a) (c) (d)		7,000		-
TOTAL RIGHTS (Cost $0)				-
TOTAL LONG-TERM INVESTMENTS (Cost $151,192,041)				190,228,427
	Principal Amount
SHORT-TERM INVESTMENTS — 4.0%
Repurchase Agreement — 4.0%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (e)	$	7,869,744		7,869,744
Time Deposit — 0.0%
Euro Time Deposit 0.120% 1/02/18		75,234		75,234
TOTAL SHORT-TERM INVESTMENTS (Cost $7,944,978)				7,944,978
TOTAL INVESTMENTS — 100.3% (Cost $159,137,019) (f)				198,173,405
Other Assets/(Liabilities) — (0.3)%				(672,329	)
NET ASSETS — 100.0%			$	197,501,076

Abbreviation Legend

ADR American Depositary Receipt

CVR Contingent Value Rights

The accompanying notes are an integral part of the portfolio of investments.

70

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Security is a Master Limited Partnership.

(c) Investment was valued using significant unobservable inputs.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2017, these securities amounted to a value of $0 or 0.00% of net assets.

(e) Maturity value of $7,870,216. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $8,030,731.

(f) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

71

MM S&P 500 Index Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.7%
COMMON STOCK — 98.7%
Basic Materials — 2.4%
Chemicals — 2.0%
Air Products & Chemicals, Inc.		30,273	$	4,967,194
Albemarle Corp.		15,358		1,964,135
CF Industries Holdings, Inc.		32,787		1,394,759
DowDuPont, Inc.		325,343		23,170,929
Eastman Chemical Co.		20,099		1,861,971
FMC Corp.		18,982		1,796,836
International Flavors & Fragrances, Inc.		11,173		1,705,112
LyondellBasell Industries NV Class A		44,941		4,957,891
Monsanto Co.		60,949		7,117,624
The Mosaic Co.		49,789		1,277,586
PPG Industries, Inc.		35,351		4,129,704
Praxair, Inc.		39,783		6,153,634
The Sherwin-Williams Co.		11,435		4,688,807
				65,186,182
Forest Products & Paper — 0.1%
International Paper Co.		57,005		3,302,870
Iron & Steel — 0.1%
Nucor Corp.		44,739		2,844,505
Mining — 0.2%
Freeport-McMoRan, Inc. (a)		187,183		3,548,990
Newmont Mining Corp.		74,102		2,780,307
				6,329,297
				77,662,854
Communications — 13.4%
Advertising — 0.1%
The Interpublic Group of Cos., Inc.		53,382		1,076,181
Omnicom Group, Inc.		32,110		2,338,572
				3,414,753
Internet — 7.7%
Alphabet, Inc. Class A (a)		41,447		43,660,270
Alphabet, Inc. Class C (a)		41,977		43,924,733
Amazon.com, Inc. (a)		55,618		65,043,582
eBay, Inc. (a)		135,139		5,100,146
Expedia, Inc.		16,985		2,034,293
F5 Networks, Inc. (a)		8,793		1,153,817
Facebook, Inc. Class A (a)		331,626		58,518,724
Netflix, Inc. (a)		60,224		11,560,599
The Priceline Group, Inc. (a)		6,789		11,797,517
Symantec Corp.		85,792		2,407,324
TripAdvisor, Inc. (a)		14,245		490,883
VeriSign, Inc. (a)		11,626		1,330,479
				247,022,367

	Number of Shares		Value
Media — 2.6%
CBS Corp. Class B		49,937	$	2,946,283
Charter Communications, Inc. Class A (a)		26,986		9,066,217
Comcast Corp. Class A		648,710		25,980,835
Discovery Communications, Inc. Class A (a)		21,704		485,735
Discovery Communications, Inc. Class C (a)		27,159		574,956
DISH Network Corp. Class A (a)		32,166		1,535,926
News Corp. Class A		52,253		847,021
News Corp. Class B		15,275		253,565
Scripps Networks Interactive, Inc. Class A		13,805		1,178,671
Time Warner, Inc.		108,331		9,909,037
Twenty-First Century Fox, Inc. Class A		146,652		5,063,894
Twenty-First Century Fox, Inc. Class B		60,948		2,079,546
Viacom, Inc. Class B		49,079		1,512,124
The Walt Disney Co.		210,070		22,584,626
				84,018,436
Telecommunications — 3.0%
AT&T, Inc.		853,938		33,201,110
CenturyLink, Inc.		134,052		2,235,987
Cisco Systems, Inc.		687,468		26,330,024
Juniper Networks, Inc.		51,484		1,467,294
Motorola Solutions, Inc.		22,591		2,040,871
Verizon Communications, Inc.		567,314		30,027,930
				95,303,216
				429,758,772
Consumer, Cyclical — 8.8%
Airlines — 0.5%
Alaska Air Group, Inc.		17,073		1,255,036
American Airlines Group, Inc.		59,387		3,089,906
Delta Air Lines, Inc.		91,303		5,112,968
Southwest Airlines Co.		76,021		4,975,575
United Continental Holdings, Inc. (a)		34,591		2,331,433
				16,764,918
Apparel — 0.6%
Hanesbrands, Inc.		52,128		1,089,997
Michael Kors Holdings Ltd. (a)		20,885		1,314,711
NIKE, Inc. Class B		182,613		11,422,443
Ralph Lauren Corp.		7,886		817,699
Under Armour, Inc. Class A (a)		25,801		372,308
Under Armour, Inc. Class C (a)		24,002		319,707
VF Corp.		45,526		3,368,924
				18,705,789

The accompanying notes are an integral part of the portfolio of investments.

72

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

	Number of Shares		Value
Auto Manufacturers — 0.5%
Ford Motor Co.		542,836	$	6,780,021
General Motors Co.		177,778		7,287,120
PACCAR, Inc.		48,535		3,449,868
				17,517,009
Auto Parts & Equipment — 0.2%
Aptiv PLC		36,889		3,129,294
BorgWarner, Inc.		27,895		1,425,156
The Goodyear Tire & Rubber Co.		33,804		1,092,207
				5,646,657
Distribution & Wholesale — 0.2%
Fastenal Co.		40,172		2,197,007
LKQ Corp. (a)		43,631		1,774,473
W.W. Grainger, Inc.		7,245		1,711,631
				5,683,111
Home Builders — 0.1%
D.R. Horton, Inc.		47,199		2,410,453
Lennar Corp. Class A		27,924		1,765,914
PulteGroup, Inc.		37,911		1,260,540
				5,436,907
Home Furnishing — 0.1%
Leggett & Platt, Inc.		18,291		873,029
Whirlpool Corp.		10,090		1,701,578
				2,574,607
Housewares — 0.1%
Newell Brands, Inc.		68,144		2,105,649
Leisure Time — 0.3%
Carnival Corp.		56,555		3,753,555
Harley-Davidson, Inc.		23,913		1,216,694
Norwegian Cruise Line Holdings Ltd. (a)		25,256		1,344,882
Royal Caribbean Cruises Ltd.		23,632		2,818,825
				9,133,956
Lodging — 0.4%
Hilton Worldwide Holdings, Inc.		28,503		2,276,250
Marriott International, Inc. Class A		42,539		5,773,819
MGM Resorts International		71,610		2,391,058
Wyndham Worldwide Corp.		14,143		1,638,749
Wynn Resorts Ltd.		10,970		1,849,432
				13,929,308
Retail — 5.6%
Advance Auto Parts, Inc.		10,356		1,032,390
AutoZone, Inc. (a)		3,815		2,713,877
Best Buy Co., Inc.		35,025		2,398,162
CarMax, Inc. (a)		25,293		1,622,040
Chipotle Mexican Grill, Inc. (a)		3,554		1,027,213
Costco Wholesale Corp.		60,774		11,311,257
CVS Health Corp.		140,915		10,216,337
Darden Restaurants, Inc.		17,384		1,669,212

	Number of Shares		Value
Dollar General Corp.		36,587	$	3,402,957
Dollar Tree, Inc. (a)		32,727		3,511,934
Foot Locker, Inc.		17,010		797,429
The Gap, Inc.		30,335		1,033,210
Genuine Parts Co.		20,353		1,933,739
The Home Depot, Inc.		162,388		30,777,398
Kohl’s Corp.		22,978		1,246,097
L Brands, Inc.		34,459		2,075,121
Lowe’s Cos., Inc.		115,859		10,767,935
Macy’s, Inc.		42,453		1,069,391
McDonald’s Corp.		110,769		19,065,560
Nordstrom, Inc.		16,196		767,366
O’Reilly Automotive, Inc. (a)		11,805		2,839,575
PVH Corp.		10,931		1,499,843
Ross Stores, Inc.		53,687		4,308,382
Signet Jewelers Ltd.		7,977		451,099
Starbucks Corp.		197,736		11,355,978
Tapestry, Inc.		39,687		1,755,356
Target Corp.		75,692		4,938,903
Tiffany & Co.		14,024		1,457,795
The TJX Cos., Inc.		88,559		6,771,221
Tractor Supply Co.		17,322		1,294,820
Ulta Salon Cosmetics & Fragrance, Inc. (a)		8,264		1,848,326
Wal-Mart Stores, Inc.		203,510		20,096,612
Walgreens Boots Alliance, Inc.		120,807		8,773,004
Yum! Brands, Inc.		46,763		3,816,328
				179,645,867
Textiles — 0.1%
Mohawk Industries, Inc. (a)		8,857		2,443,646
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		15,760		1,432,426
Mattel, Inc.		46,667		717,739
				2,150,165
				281,737,589
Consumer, Non-cyclical — 21.5%
Agriculture — 1.4%
Altria Group, Inc.		265,232		18,940,217
Archer-Daniels-Midland Co.		77,533		3,107,523
Philip Morris International, Inc.		215,963		22,816,491
				44,864,231
Beverages — 2.0%
Brown-Forman Corp. Class B		27,200		1,867,824
The Coca-Cola Co.		533,179		24,462,252
Constellation Brands, Inc. Class A		23,956		5,475,623
Dr. Pepper Snapple Group, Inc.		25,144		2,440,477
Molson Coors Brewing Co. Class B		25,740		2,112,482
Monster Beverage Corp. (a)		57,245		3,623,036
PepsiCo, Inc.		197,730		23,711,782
				63,693,476

The accompanying notes are an integral part of the portfolio of investments.

73

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

	Number of Shares		Value
Biotechnology — 2.2%
Alexion Pharmaceuticals, Inc. (a)		30,871	$	3,691,863
Amgen, Inc.		100,959		17,556,770
Biogen, Inc. (a)		29,411		9,369,462
Celgene Corp. (a)		109,519		11,429,403
Gilead Sciences, Inc.		181,683		13,015,770
Illumina, Inc. (a)		20,293		4,433,818
Incyte Corp. (a)		24,216		2,293,497
Regeneron Pharmaceuticals, Inc. (a)		10,670		4,011,493
Vertex Pharmaceuticals, Inc. (a)		35,185		5,272,824
				71,074,900
Commercial Services — 1.7%
Automatic Data Processing, Inc.		61,699		7,230,506
Cintas Corp.		11,840		1,845,027
Ecolab, Inc.		36,070		4,839,873
Equifax, Inc.		16,741		1,974,099
Gartner, Inc. (a)		12,728		1,567,453
Global Payments, Inc.		21,907		2,195,958
H&R Block, Inc.		30,206		792,001
IHS Markit Ltd. (a)		50,005		2,257,726
Moody’s Corp.		22,969		3,390,454
Nielsen Holdings PLC		46,026		1,675,346
PayPal Holdings, Inc. (a)		157,139		11,568,573
Quanta Services, Inc. (a)		21,882		855,805
Robert Half International, Inc.		17,481		970,895
S&P Global, Inc.		35,409		5,998,285
Total System Services, Inc.		23,456		1,855,135
United Rentals, Inc. (a)		11,599		1,993,984
Verisk Analytics, Inc. (a)		21,353		2,049,888
The Western Union Co.		65,114		1,237,817
				54,298,825
Cosmetics & Personal Care — 1.4%
Colgate-Palmolive Co.		122,030		9,207,163
Coty, Inc. Class A		64,474		1,282,388
The Estee Lauder Cos., Inc. Class A		31,062		3,952,329
The Procter & Gamble Co.		354,140		32,538,383
				46,980,263
Foods — 1.4%
Campbell Soup Co.		26,514		1,275,589
Conagra Brands, Inc.		56,313		2,121,311
General Mills, Inc.		79,242		4,698,258
The Hershey Co.		19,554		2,219,575
Hormel Foods Corp.		37,312		1,357,784
The J.M. Smucker Co.		16,023		1,990,697
Kellogg Co.		34,531		2,347,417
The Kraft Heinz Co.		83,123		6,463,644
The Kroger Co.		123,848		3,399,628
McCormick & Co., Inc.		16,527		1,684,267
Mondelez International, Inc. Class A		207,979		8,901,501
Sysco Corp.		66,414		4,033,322
Tyson Foods, Inc. Class A		41,377		3,354,433
				43,847,426

	Number of Shares		Value
Health Care – Products — 3.0%
Abbott Laboratories		242,036	$	13,812,994
Align Technology, Inc. (a)		10,002		2,222,344
Baxter International, Inc.		69,690		4,504,762
Becton, Dickinson & Co.		36,848		7,887,755
Boston Scientific Corp. (a)		191,050		4,736,129
The Cooper Cos., Inc.		6,939		1,511,869
Danaher Corp.		85,105		7,899,446
DENTSPLY SIRONA, Inc.		31,894		2,099,582
Edwards Lifesciences Corp. (a)		29,452		3,319,535
Henry Schein, Inc. (a)		21,654		1,513,182
Hologic, Inc. (a)		37,897		1,620,097
IDEXX Laboratories, Inc. (a)		12,118		1,895,013
Intuitive Surgical, Inc. (a)		15,577		5,684,670
Medtronic PLC		188,237		15,200,138
Patterson Cos., Inc.		10,997		397,322
ResMed, Inc.		19,980		1,692,106
Stryker Corp.		44,753		6,929,555
Thermo Fisher Scientific, Inc.		55,732		10,582,392
Varian Medical Systems, Inc. (a)		12,797		1,422,387
Zimmer Biomet Holdings, Inc.		27,893		3,365,848
				98,297,126
Health Care – Services — 2.3%
Aetna, Inc.		45,347		8,180,145
Anthem, Inc.		35,699		8,032,632
Centene Corp. (a)		23,992		2,420,313
Cigna Corp.		34,273		6,960,504
DaVita, Inc. (a)		20,720		1,497,020
Envision Healthcare Corp. (a)		16,421		567,510
HCA Healthcare, Inc. (a)		39,271		3,449,565
Humana, Inc.		19,868		4,928,655
IQVIA Holdings, Inc. (a)		20,112		1,968,965
Laboratory Corp. of America Holdings (a)		14,244		2,272,060
Quest Diagnostics, Inc.		19,003		1,871,605
UnitedHealth Group, Inc.		134,724		29,701,253
Universal Health Services, Inc. Class B		12,409		1,406,560
				73,256,787
Household Products & Wares — 0.4%
Avery Dennison Corp.		12,150		1,395,549
Church & Dwight Co., Inc.		35,340		1,773,008
The Clorox Co.		18,053		2,685,203
Kimberly-Clark Corp.		48,923		5,903,049
				11,756,809
Pharmaceuticals — 5.7%
AbbVie, Inc.		221,683		21,438,963
Allergan PLC		46,291		7,572,282
AmerisourceBergen Corp.		22,727		2,086,793
Bristol-Myers Squibb Co.		227,605		13,947,634
Cardinal Health, Inc.		43,809		2,684,178

The accompanying notes are an integral part of the portfolio of investments.

74

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

	Number of Shares		Value
Eli Lilly & Co.		134,709	$	11,377,522
Express Scripts Holding Co. (a)		78,779		5,880,065
Johnson & Johnson		373,517		52,187,795
McKesson Corp.		28,997		4,522,082
Merck & Co., Inc.		380,349		21,402,238
Mylan NV (a)		74,620		3,157,172
Perrigo Co. PLC		18,266		1,592,065
Pfizer, Inc.		828,673		30,014,536
Zoetis, Inc.		67,776		4,882,583
				182,745,908
				690,815,751
Diversified — 0.0%
Holding Company – Diversified — 0.0%
Leucadia National Corp.		43,755		1,159,070
Energy — 6.0%
Oil & Gas — 4.9%
Anadarko Petroleum Corp.		76,386		4,097,345
Andeavor		20,093		2,297,434
Apache Corp.		53,102		2,241,966
Cabot Oil & Gas Corp.		63,950		1,828,970
Chesapeake Energy Corp. (a)		122,688		485,844
Chevron Corp.		264,127		33,066,059
Cimarex Energy Co.		13,344		1,628,101
Concho Resources, Inc. (a)		20,740		3,115,563
ConocoPhillips		166,475		9,137,813
Devon Energy Corp.		73,377		3,037,808
EOG Resources, Inc.		80,576		8,694,956
EQT Corp.		34,318		1,953,380
Exxon Mobil Corp.		589,184		49,279,350
Helmerich & Payne, Inc.		15,626		1,010,065
Hess Corp.		37,078		1,760,093
Marathon Oil Corp.		116,764		1,976,814
Marathon Petroleum Corp.		67,959		4,483,935
Newfield Exploration Co. (a)		27,352		862,409
Noble Energy, Inc.		67,696		1,972,661
Occidental Petroleum Corp.		106,524		7,846,558
Phillips 66		59,772		6,045,938
Pioneer Natural Resources Co.		23,598		4,078,914
Range Resources Corp.		30,184		514,939
Valero Energy Corp.		60,870		5,594,562
				157,011,477
Oil & Gas Services — 0.8%
Baker Hughes a GE Co.		58,874		1,862,773
Halliburton Co.		121,596		5,942,397
National Oilwell Varco, Inc.		52,350		1,885,647
Schlumberger Ltd.		192,679		12,984,638
TechnipFMC PLC		61,019		1,910,505
				24,585,960
Pipelines — 0.3%
Kinder Morgan, Inc.		267,247		4,829,153
ONEOK, Inc.		53,075		2,836,859

	Number of Shares		Value
The Williams Cos., Inc.		114,196	$	3,481,836
				11,147,848
				192,745,285
Financial — 18.7%
Banks — 7.9%
Bank of America Corp.		1,348,648		39,812,089
The Bank of New York Mellon Corp.		142,221		7,660,023
BB&T Corp.		109,692		5,453,886
Capital One Financial Corp.		67,497		6,721,351
Citigroup, Inc.		367,594		27,352,670
Citizens Financial Group, Inc.		68,556		2,877,981
Comerica, Inc.		24,497		2,126,585
Fifth Third Bancorp		97,990		2,973,017
The Goldman Sachs Group, Inc.		48,782		12,427,702
Huntington Bancshares, Inc.		152,143		2,215,202
JP Morgan Chase & Co.		482,333		51,580,691
KeyCorp		149,556		3,016,544
M&T Bank Corp.		20,941		3,580,702
Morgan Stanley		193,528		10,154,414
Northern Trust Corp.		31,860		3,182,495
The PNC Financial Services Group, Inc.		66,075		9,533,962
Regions Financial Corp.		160,799		2,778,607
State Street Corp.		51,543		5,031,112
SunTrust Banks, Inc.		66,211		4,276,568
US Bancorp		219,028		11,735,520
Wells Fargo & Co.		616,179		37,383,580
Zions Bancorp		27,790		1,412,566
				253,287,267
Diversified Financial Services — 3.6%
Affiliated Managers Group, Inc.		7,553		1,550,253
Alliance Data Systems Corp.		6,671		1,690,965
American Express Co.		100,178		9,948,677
Ameriprise Financial, Inc.		20,531		3,479,389
BlackRock, Inc.		17,144		8,807,044
Cboe Global Markets, Inc.		15,631		1,947,466
The Charles Schwab Corp.		165,833		8,518,841
CME Group, Inc.		47,257		6,901,885
Discover Financial Services		50,664		3,897,075
E*TRADE Financial Corp. (a)		37,746		1,871,069
Franklin Resources, Inc.		45,645		1,977,798
Intercontinental Exchange, Inc.		81,311		5,737,304
Invesco Ltd.		56,438		2,062,245
Mastercard, Inc. Class A		129,142		19,546,933
Nasdaq, Inc.		16,456		1,264,315
Navient Corp.		35,142		468,092
Raymond James Financial, Inc.		18,004		1,607,757
Synchrony Financial		101,970		3,937,062
T. Rowe Price Group, Inc.		33,627		3,528,481
Visa, Inc. Class A		252,163		28,751,625
				117,494,276

The accompanying notes are an integral part of the portfolio of investments.

75

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

	Number of Shares		Value
Insurance — 4.3%
Aflac, Inc.		54,582	$	4,791,208
The Allstate Corp.		49,842		5,218,956
American International Group, Inc.		125,178		7,458,105
Aon PLC		34,752		4,656,768
Arthur J Gallagher & Co.		25,278		1,599,592
Assurant, Inc.		7,302		736,334
Berkshire Hathaway, Inc. Class B (a)		267,418		53,007,596
Brighthouse Financial, Inc. (a)		13,415		786,656
Chubb Ltd.		64,541		9,431,376
Cincinnati Financial Corp.		20,360		1,526,389
Everest Re Group Ltd.		5,747		1,271,581
The Hartford Financial Services Group, Inc.		49,955		2,811,467
Lincoln National Corp.		30,659		2,356,757
Loews Corp.		38,282		1,915,248
Marsh & McLennan Cos., Inc.		70,940		5,773,807
MetLife, Inc.		146,344		7,399,153
Principal Financial Group, Inc.		37,610		2,653,762
The Progressive Corp.		80,800		4,550,656
Prudential Financial, Inc.		58,955		6,778,646
Torchmark Corp.		14,837		1,345,864
The Travelers Cos., Inc.		38,068		5,163,544
Unum Group		31,137		1,709,110
Willis Towers Watson PLC		18,383		2,770,134
XL Group Ltd.		34,807		1,223,814
				136,936,523
Real Estate — 0.1%
CBRE Group, Inc. Class A (a)		42,616		1,845,699
Real Estate Investment Trusts (REITS) — 2.8%
Alexandria Real Estate Equities, Inc.		13,388		1,748,339
American Tower Corp.		59,605		8,503,845
Apartment Investment & Management Co. Class A		22,110		966,428
AvalonBay Communities, Inc.		19,047		3,398,175
Boston Properties, Inc.		21,463		2,790,834
Crown Castle International Corp.		56,460		6,267,625
Digital Realty Trust, Inc.		28,584		3,255,718
Duke Realty Corp.		49,829		1,355,847
Equinix, Inc.		10,871		4,926,955
Equity Residential		50,604		3,227,017
Essex Property Trust, Inc.		9,177		2,215,052
Extra Space Storage, Inc.		17,605		1,539,557
Federal Realty Investment Trust		9,873		1,311,233
GGP, Inc.		87,903		2,056,051
HCP, Inc.		64,236		1,675,275
Host Hotels & Resorts, Inc.		102,769		2,039,965
Iron Mountain, Inc.		39,871		1,504,333
Kimco Realty Corp.		60,717		1,102,013
The Macerich Co.		15,373		1,009,699

	Number of Shares		Value
Mid-America Apartment Communities, Inc.		16,086	$	1,617,608
Prologis, Inc.		73,878		4,765,870
Public Storage		20,793		4,345,737
Realty Income Corp.		38,969		2,222,012
Regency Centers Corp.		20,285		1,403,316
SBA Communications Corp. (a)		16,463		2,689,396
Simon Property Group, Inc.		43,239		7,425,866
SL Green Realty Corp.		13,547		1,367,299
UDR, Inc.		37,574		1,447,350
Ventas, Inc.		49,485		2,969,595
Vornado Realty Trust		23,759		1,857,479
Welltower, Inc.		51,484		3,283,135
Weyerhaeuser Co.		104,835		3,696,482
				89,985,106
Savings & Loans — 0.0%
People’s United Financial, Inc.		47,642		890,905
				600,439,776
Industrial — 10.0%
Aerospace & Defense — 2.5%
Arconic, Inc.		60,041		1,636,117
The Boeing Co.		77,838		22,955,205
General Dynamics Corp.		38,620		7,857,239
Harris Corp.		16,605		2,352,098
L3 Technologies, Inc.		10,840		2,144,694
Lockheed Martin Corp.		34,677		11,133,051
Northrop Grumman Corp.		24,191		7,424,460
Raytheon Co.		40,191		7,549,879
Rockwell Collins, Inc.		22,655		3,072,471
TransDigm Group, Inc.		6,698		1,839,405
United Technologies Corp.		103,279		13,175,302
				81,139,921
Building Materials — 0.4%
Fortune Brands Home & Security, Inc.		21,438		1,467,217
Johnson Controls International PLC		128,705		4,904,947
Martin Marietta Materials, Inc.		8,647		1,911,333
Masco Corp.		44,204		1,942,324
Vulcan Materials Co.		18,454		2,368,940
				12,594,761
Electrical Components & Equipment — 0.3%
Acuity Brands, Inc.		5,850		1,029,600
AMETEK, Inc.		32,243		2,336,650
Emerson Electric Co.		89,373		6,228,405
				9,594,655
Electronics — 1.3%
Agilent Technologies, Inc.		45,137		3,022,825
Allegion PLC		13,548		1,077,879
Amphenol Corp. Class A		42,272		3,711,481
Corning, Inc.		121,039		3,872,038

The accompanying notes are an integral part of the portfolio of investments.

76

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

	Number of Shares		Value
FLIR Systems, Inc.		18,686	$	871,141
Fortive Corp.		42,615		3,083,195
Garmin Ltd.		15,910		947,759
Honeywell International, Inc.		105,941		16,247,112
Mettler-Toledo International, Inc. (a)		3,580		2,217,881
PerkinElmer, Inc.		15,475		1,131,532
TE Connectivity Ltd.		49,016		4,658,481
Waters Corp. (a)		11,127		2,149,625
				42,990,949
Engineering & Construction — 0.1%
Fluor Corp.		19,303		997,000
Jacobs Engineering Group, Inc.		16,892		1,114,196
				2,111,196
Environmental Controls — 0.2%
Republic Services, Inc.		31,838		2,152,567
Stericycle, Inc. (a)		11,528		783,789
Waste Management, Inc.		55,582		4,796,727
				7,733,083
Hand & Machine Tools — 0.2%
Snap-on, Inc.		8,029		1,399,455
Stanley Black & Decker, Inc.		21,182		3,594,373
				4,993,828
Machinery – Construction & Mining — 0.4%
Caterpillar, Inc.		82,760		13,041,321
Machinery – Diversified — 0.6%
Cummins, Inc.		21,735		3,839,271
Deere & Co.		44,526		6,968,764
Flowserve Corp.		17,749		747,765
Rockwell Automation, Inc.		17,748		3,484,820
Roper Technologies, Inc.		14,163		3,668,217
Xylem, Inc.		24,525		1,672,605
				20,381,442
Miscellaneous – Manufacturing — 2.1%
3M Co.		82,964		19,527,237
A.O. Smith Corp.		19,945		1,222,230
Dover Corp.		21,674		2,188,857
Eaton Corp. PLC		61,261		4,840,232
General Electric Co.		1,206,183		21,047,893
Illinois Tool Works, Inc.		42,925		7,162,036
Ingersoll-Rand PLC		34,839		3,107,290
Parker-Hannifin Corp.		18,417		3,675,665
Pentair PLC		22,746		1,606,322
Textron, Inc.		36,786		2,081,720
				66,459,482
Packaging & Containers — 0.2%
Ball Corp.		48,580		1,838,753
Packaging Corp. of America		13,254		1,597,769
Sealed Air Corp.		25,276		1,246,107

	Number of Shares		Value
WestRock Co.		35,204	$	2,225,245
				6,907,874
Transportation — 1.7%
C.H. Robinson Worldwide, Inc.		19,156		1,706,608
CSX Corp.		124,371		6,841,649
Expeditors International of Washington, Inc.		24,416		1,579,471
FedEx Corp.		34,336		8,568,205
J.B. Hunt Transport Services, Inc.		11,692		1,344,346
Kansas City Southern		14,398		1,514,958
Norfolk Southern Corp.		39,866		5,776,583
Union Pacific Corp.		109,508		14,685,023
United Parcel Service, Inc. Class B		95,606		11,391,455
				53,408,298
				321,356,810
Technology — 15.0%
Computers — 5.5%
Accenture PLC Class A		85,907		13,151,503
Apple, Inc.		713,941		120,820,236
Cognizant Technology Solutions Corp. Class A		81,997		5,823,427
CSRA, Inc.		22,283		666,707
DXC Technology Co.		39,429		3,741,812
Hewlett Packard Enterprise Co.		221,288		3,177,696
HP, Inc.		232,518		4,885,203
International Business Machines Corp.		119,739		18,370,357
NetApp, Inc.		37,404		2,069,189
Seagate Technology PLC		39,754		1,663,307
Western Digital Corp.		41,188		3,275,682
				177,645,119
Office & Business Equipment — 0.0%
Xerox Corp.		29,887		871,206
Semiconductors — 3.9%
Advanced Micro Devices, Inc. (a)		112,116		1,152,553
Analog Devices, Inc.		51,146		4,553,528
Applied Materials, Inc.		148,471		7,589,838
Broadcom Ltd.		56,560		14,530,264
Intel Corp.		650,813		30,041,528
KLA-Tencor Corp.		21,846		2,295,359
Lam Research Corp.		22,559		4,152,435
Microchip Technology, Inc.		32,588		2,863,833
Micron Technology, Inc. (a)		160,402		6,595,730
NVIDIA Corp.		84,277		16,307,600
Qorvo, Inc. (a)		17,575		1,170,495
QUALCOMM, Inc.		205,055		13,127,621
Skyworks Solutions, Inc.		25,619		2,432,524
Texas Instruments, Inc.		137,103		14,319,037
Xilinx, Inc.		34,626		2,334,485
				123,466,830

The accompanying notes are an integral part of the portfolio of investments.

77

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

	Number of Shares		Value
Software — 5.6%
Activision Blizzard, Inc.		105,240	$	6,663,797
Adobe Systems, Inc. (a)		68,599		12,021,289
Akamai Technologies, Inc. (a)		23,697		1,541,253
ANSYS, Inc. (a)		11,639		1,717,800
Autodesk, Inc. (a)		30,229		3,168,906
CA, Inc.		43,823		1,458,430
Cadence Design Systems, Inc. (a)		38,689		1,617,974
Cerner Corp. (a)		44,019		2,966,440
Citrix Systems, Inc. (a)		19,897		1,750,936
Electronic Arts, Inc. (a)		42,891		4,506,129
Fidelity National Information Services, Inc.		46,523		4,377,349
Fiserv, Inc. (a)		29,041		3,808,146
Intuit, Inc.		33,810		5,334,542
Microsoft Corp.		1,072,785		91,766,029
Oracle Corp.		423,793		20,036,933
Paychex, Inc.		44,852		3,053,524
Red Hat, Inc. (a)		24,391		2,929,359
salesforce.com, Inc. (a)		95,558		9,768,894
Synopsys, Inc. (a)		20,692		1,763,786
				180,251,516
				482,234,671
Utilities — 2.9%
Electric — 2.7%
AES Corp.		93,108		1,008,360
Alliant Energy Corp.		31,773		1,353,848
Ameren Corp.		33,892		1,999,289
American Electric Power Co., Inc.		68,356		5,028,951
CenterPoint Energy, Inc.		60,656		1,720,204
CMS Energy Corp.		39,847		1,884,763
Consolidated Edison, Inc.		42,982		3,651,321
Dominion Energy, Inc.		89,328		7,240,928
DTE Energy Co.		25,217		2,760,253
Duke Energy Corp.		97,349		8,188,024
Edison International		45,845		2,899,238
Entergy Corp.		25,052		2,038,982
Eversource Energy		44,394		2,804,813
Exelon Corp.		133,596		5,265,018
FirstEnergy Corp.		61,644		1,887,539
NextEra Energy, Inc.		65,343		10,205,923
NRG Energy, Inc.		42,553		1,211,909
PG&E Corp.		70,841		3,175,802
Pinnacle West Capital Corp.		15,403		1,312,028
PPL Corp.		94,065		2,911,312
Public Service Enterprise Group, Inc.		70,366		3,623,849
SCANA Corp.		20,267		806,221
The Southern Co.		139,697		6,718,029
WEC Energy Group, Inc.		43,396		2,882,796
Xcel Energy, Inc.		70,223		3,378,429
				85,957,829

	Number of Shares		Value
Gas — 0.1%
NiSource, Inc.		46,630	$	1,196,992
Sempra Energy		34,889		3,730,332
				4,927,324
Water — 0.1%
American Water Works Co., Inc.		24,644		2,254,679
				93,139,832
TOTAL COMMON STOCK (Cost $1,748,980,057)				3,171,050,410
TOTAL EQUITIES (Cost $1,748,980,057)				3,171,050,410
TOTAL LONG-TERM INVESTMENTS (Cost $1,748,980,057)				3,171,050,410
	Principal Amount
SHORT-TERM INVESTMENTS — 0.5%
Repurchase Agreement — 0.4%
Fixed Income Clearing Corp., Repurchase Agreement, Dated 12/29/17, 0.540%, due 1/02/18 (b)	$	12,997,416		12,997,416
U.S. Treasury Bill — 0.1%
U.S. Treasury Bill (c) 0.000% 2/01/18		2,180,000		2,177,702
TOTAL SHORT-TERM INVESTMENTS (Cost $15,175,276)				15,175,118
TOTAL INVESTMENTS — 99.2% (Cost $1,764,155,333) (d)				3,186,225,528
Other Assets/(Liabilities) — 0.8%				26,102,808
NET ASSETS — 100.0%			$	3,212,328,336

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $12,998,196. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $13,262,090.

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

(d) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

78

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

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date	Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contract — Long
S&P 500 E Mini Index	3/16/18		585	$	78,378,149	$	(105,149	)

The accompanying notes are an integral part of the portfolio of investments.

79

MassMutual Select Equity Opportunities Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 97.7%
Basic Materials — 3.4%
Chemicals — 3.4%
CF Industries Holdings, Inc.		102,000	$	4,339,080
DowDuPont, Inc.		139,800		9,956,556
Praxair, Inc.		62,964		9,739,272
				24,034,908
Communications — 4.0%
Media — 2.2%
Comcast Corp. Class A		145,000		5,807,250
Twenty-First Century Fox, Inc. Class B		278,000		9,485,360
				15,292,610
Telecommunications — 1.8%
Cisco Systems, Inc.		165,000		6,319,500
Verizon Communications, Inc.		124,700		6,600,371
				12,919,871
				28,212,481
Consumer, Cyclical — 11.5%
Apparel — 3.9%
NIKE, Inc. Class B		443,532		27,742,927
Lodging — 0.4%
Las Vegas Sands Corp.		45,000		3,127,050
Retail — 7.2%
Costco Wholesale Corp.		76,395		14,218,637
McDonald’s Corp.		69,601		11,979,724
The TJX Cos., Inc.		254,993		19,496,765
Wal-Mart Stores, Inc.		49,200		4,858,500
				50,553,626
				81,423,603
Consumer, Non-cyclical — 25.5%
Beverages — 5.4%
The Coca-Cola Co.		313,055		14,362,963
Diageo PLC		550,450		20,145,558
PepsiCo, Inc.		30,200		3,621,584
				38,130,105
Biotechnology — 0.5%
Gilead Sciences, Inc.		49,900		3,574,836
Cosmetics & Personal Care — 2.4%
Colgate-Palmolive Co.		227,315		17,150,917
Foods — 0.5%
Tyson Foods, Inc. Class A		48,000		3,891,360
Health Care – Products — 3.6%
Becton, Dickinson & Co.		27,800		5,950,868
Medtronic PLC		238,633		19,269,615
				25,220,483

	Number of Shares		Value
Health Care – Services — 3.0%
Anthem, Inc.		38,900	$	8,752,889
UnitedHealth Group, Inc.		54,792		12,079,444
				20,832,333
Household Products & Wares — 0.5%
Kimberly-Clark Corp.		27,000		3,257,820
Pharmaceuticals — 9.6%
Bristol-Myers Squibb Co.		368,822		22,601,412
Cardinal Health, Inc.		241,363		14,788,311
GlaxoSmithKline PLC Sponsored ADR		16,000		567,520
Johnson & Johnson		35,900		5,015,948
McKesson Corp.		97,205		15,159,120
Merck & Co., Inc.		172,508		9,707,025
				67,839,336
				179,897,190
Energy — 3.2%
Oil & Gas — 3.2%
Hess Corp.		130,000		6,171,100
Occidental Petroleum Corp.		73,800		5,436,108
Total SA		195,000		10,759,182
				22,366,390
Financial — 27.0%
Banks — 8.5%
Fifth Third Bancorp		110,000		3,337,400
JP Morgan Chase & Co.		91,200		9,752,928
Morgan Stanley		182,600		9,581,022
The PNC Financial Services Group, Inc.		158,479		22,866,935
State Street Corp.		71,800		7,008,398
Wells Fargo & Co.		115,100		6,983,117
				59,529,800
Diversified Financial Services — 7.7%
American Express Co.		206,160		20,473,750
Ameriprise Financial, Inc.		18,800		3,186,036
BlackRock, Inc.		30,547		15,692,299
Visa, Inc. Class A		133,082		15,174,010
				54,526,095
Insurance — 7.5%
American International Group, Inc.		62,900		3,747,582
Brighthouse Financial, Inc. (a)		38,300		2,245,912
Chubb Ltd.		158,238		23,123,319
Loews Corp.		148,000		7,404,440
Marsh & McLennan Cos., Inc.		169,580		13,802,116
MetLife, Inc.		56,300		2,846,528
				53,169,897
Real Estate Investment Trusts (REITS) — 3.3%
Equity Residential		45,400		2,895,158

The accompanying notes are an integral part of the portfolio of investments.

80

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

	Number of Shares		Value
Public Storage		97,067	$	20,287,003
				23,182,161
				190,407,953
Industrial — 13.2%
Aerospace & Defense — 3.3%
The Boeing Co.		20,500		6,045,655
Harris Corp.		51,600		7,309,140
Lockheed Martin Corp.		30,844		9,902,466
				23,257,261
Building Materials — 1.0%
Johnson Controls International PLC		181,000		6,897,910
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		32,900		2,292,801
Transportation — 8.6%
Canadian National Railway Co.		212,231		17,500,194
Union Pacific Corp.		132,381		17,752,292
United Parcel Service, Inc. Class B		214,761		25,588,773
				60,841,259
				93,289,231
Technology — 8.4%
Computers — 2.5%
Accenture PLC Class A		114,441		17,519,773
Semiconductors — 1.0%
QUALCOMM, Inc.		107,200		6,862,944
Software — 4.9%
Microsoft Corp.		404,662		34,614,787
				58,997,504
Utilities — 1.5%
Electric — 1.5%
Exelon Corp.		47,000		1,852,270
PG&E Corp.		71,274		3,195,213
The Southern Co.		117,000		5,626,530
				10,674,013
TOTAL COMMON STOCK (Cost $605,764,332)				689,303,273
PREFERRED STOCK — 0.3%
Consumer, Non-cyclical — 0.3%
Health Care – Products — 0.3%
Becton Dickinson and Co. 6.125%		28,422		1,645,634
TOTAL PREFERRED STOCK (Cost $1,421,100)				1,645,634
TOTAL EQUITIES (Cost $607,185,432)				690,948,907

	Number of Shares		Value
MUTUAL FUNDS — 0.0%
Diversified Financial Services — 0.0%
T. Rowe Price Reserve Investment Fund		1,006	$	1,006
TOTAL MUTUAL FUNDS (Cost $1,006)				1,006
TOTAL LONG-TERM INVESTMENTS (Cost $607,186,438)				690,949,913
	Principal Amount
SHORT-TERM INVESTMENTS — 2.7%
Repurchase Agreement — 2.7%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (b)	$	19,166,647		19,166,647
TOTAL SHORT-TERM INVESTMENTS (Cost $19,166,647)				19,166,647
TOTAL INVESTMENTS — 100.7% (Cost $626,353,085) (c)				710,116,560
Other Assets/(Liabilities) — (0.7)%				(4,737,188	)
NET ASSETS — 100.0%			$	705,379,372

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $19,167,797. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $19,559,383.

(c) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

81

MassMutual Select Fundamental Growth Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.1%
COMMON STOCK — 100.1%
Basic Materials — 1.9%
Iron & Steel — 0.2%
Cleveland-Cliffs, Inc. (a)		49,349	$	355,805
Mining — 1.7%
Rio Tinto PLC Sponsored ADR (b)		46,267		2,448,913
				2,804,718
Communications — 18.7%
Internet — 18.0%
Alibaba Group Holding Ltd. Sponsored ADR (a)		4,766		821,801
Alphabet, Inc. Class C (a)		8,904		9,317,146
Amazon.com, Inc. (a)		4,163		4,868,504
eBay, Inc. (a)		40,639		1,533,716
Facebook, Inc. Class A (a)		33,403		5,894,293
Okta, Inc. (a)		8,322		213,126
The Priceline Group, Inc. (a)		1,097		1,906,301
VeriSign, Inc. (a) (b)		15,317		1,752,878
Yandex NV Class A (a)		19,532		639,673
				26,947,438
Media — 0.7%
FactSet Research Systems, Inc.		5,328		1,027,025
				27,974,463
Consumer, Cyclical — 4.4%
Lodging — 0.8%
Las Vegas Sands Corp.		17,339		1,204,887
Retail — 3.6%
Domino’s Pizza, Inc.		2,852		538,914
The Home Depot, Inc.		16,883		3,199,835
O’Reilly Automotive, Inc. (a)		1,366		328,578
The TJX Cos., Inc.		16,818		1,285,904
				5,353,231
				6,558,118
Consumer, Non-cyclical — 16.0%
Biotechnology — 3.2%
Amgen, Inc.		8,361		1,453,978
Celgene Corp. (a)		15,396		1,606,726
Gilead Sciences, Inc.		24,098		1,726,381
				4,787,085
Commercial Services — 5.4%
Experian PLC		27,998		615,320
Gartner, Inc. (a)		8,570		1,055,396
Global Payments, Inc.		15,106		1,514,225
IHS Markit Ltd. (a)		29,173		1,317,161
PayPal Holdings, Inc. (a)		25,720		1,893,506
Worldpay, Inc. Class A (a) (b)		22,328		1,642,224
				8,037,832

	Number of Shares		Value
Health Care – Products — 1.5%
Danaher Corp.		10,786	$	1,001,157
Edwards Lifesciences Corp. (a)		11,312		1,274,975
				2,276,132
Health Care – Services — 3.2%
Aetna, Inc.		11,359		2,049,050
Anthem, Inc.		8,543		1,922,261
ICON PLC (a)		8,167		915,929
				4,887,240
Pharmaceuticals — 2.7%
Allergan PLC		3,214		525,746
Bristol-Myers Squibb Co.		18,189		1,114,622
Johnson & Johnson		9,976		1,393,847
McKesson Corp.		6,217		969,541
				4,003,756
				23,992,045
Energy — 3.2%
Oil & Gas — 2.3%
BP PLC Sponsored ADR		34,908		1,467,183
Chevron Corp.		7,652		957,954
Pioneer Natural Resources Co.		5,522		954,478
				3,379,615
Oil & Gas Services — 0.9%
Baker Hughes a GE Co.		21,430		678,045
Schlumberger Ltd.		10,815		728,823
				1,406,868
				4,786,483
Financial — 12.5%
Banks — 3.0%
Bank of America Corp.		53,689		1,584,899
Citigroup, Inc.		23,304		1,734,051
JP Morgan Chase & Co.		10,309		1,102,444
				4,421,394
Diversified Financial Services — 7.8%
Alliance Data Systems Corp.		4,115		1,043,070
American Express Co.		24,015		2,384,930
Intercontinental Exchange, Inc.		23,264		1,641,508
Mastercard, Inc. Class A		18,605		2,816,053
Visa, Inc. Class A		33,355		3,803,137
				11,688,698
Insurance — 0.7%
MetLife, Inc.		19,363		978,993
Real Estate Investment Trusts (REITS) — 1.0%
American Tower Corp.		10,761		1,535,272
				18,624,357

The accompanying notes are an integral part of the portfolio of investments.

82

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

	Number of Shares		Value
Industrial — 10.9%
Electrical Components & Equipment — 1.1%
Emerson Electric Co.		23,091	$	1,609,212
Electronics — 1.7%
Fortive Corp.		19,400		1,403,590
Honeywell International, Inc.		7,639		1,171,517
				2,575,107
Machinery – Construction & Mining — 2.1%
Caterpillar, Inc.		19,790		3,118,508
Machinery – Diversified — 3.5%
Cummins, Inc.		11,135		1,966,886
Rockwell Automation, Inc.		11,279		2,214,632
Roper Technologies, Inc.		3,936		1,019,424
				5,200,942
Miscellaneous – Manufacturing — 2.5%
Dover Corp.		18,968		1,915,578
Parker-Hannifin Corp.		9,337		1,863,479
				3,779,057
				16,282,826
Technology — 32.5%
Computers — 10.0%
Apple, Inc.		62,456		10,569,429
Check Point Software Technologies Ltd. (a)		9,239		957,345
International Business Machines Corp.		12,763		1,958,099
NetApp, Inc.		26,890		1,487,555
				14,972,428
Semiconductors — 7.7%
Analog Devices, Inc.		11,925		1,061,683
Applied Materials, Inc.		36,353		1,858,365
KLA-Tencor Corp.		4,066		427,214
Maxim Integrated Products, Inc.		24,864		1,299,890
QUALCOMM, Inc.		23,394		1,497,684
Teradyne, Inc.		25,624		1,072,877
Texas Instruments, Inc.		29,264		3,056,332
Xilinx, Inc.		17,854		1,203,717
				11,477,762
Software — 14.8%
Adobe Systems, Inc. (a)		8,054		1,411,383
Atlassian Corp. PLC Class A (a)		8,040		365,981
Autodesk, Inc. (a)		7,882		826,270
Electronic Arts, Inc. (a)		8,553		898,578
Fiserv, Inc. (a)		4,571		599,395
Guidewire Software, Inc. (a)		4,055		301,124
Intuit, Inc.		9,034		1,425,384
Microsoft Corp.		109,426		9,360,300
Oracle Corp.		56,699		2,680,729
salesforce.com, Inc. (a)		8,230		841,353

	Number of Shares		Value
ServiceNow, Inc. (a)		8,792	$	1,146,389
SS&C Technologies Holdings, Inc		30,599		1,238,648
Workday, Inc. Class A (a)		10,747		1,093,400
				22,188,934
				48,639,124
TOTAL COMMON STOCK (Cost $117,320,565)				149,662,134
TOTAL EQUITIES (Cost $117,320,565)				149,662,134
MUTUAL FUNDS — 3.2%
Diversified Financial Services — 3.2%
State Street Navigator Securities Lending Prime Portfolio (c)		4,724,422		4,724,422
TOTAL MUTUAL FUNDS (Cost $4,724,422)				4,724,422
TOTAL LONG-TERM INVESTMENTS (Cost $122,044,987)				154,386,556
	Principal Amount
SHORT-TERM INVESTMENTS — 0.1%
Repurchase Agreement — 0.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (d)	$	142,449		142,449
Time Deposit — 0.0%
Euro Time Deposit 0.120% 1/02/18		19,489		19,489
TOTAL SHORT-TERM INVESTMENTS (Cost $161,938)				161,938
TOTAL INVESTMENTS — 103.4% (Cost $122,206,925) (e)				154,548,494
Other Assets/(Liabilities) — (3.4)%				(5,043,846	)
NET ASSETS — 100.0%			$	149,504,648

Abbreviation Legend

ADR American Depositary Receipt

The accompanying notes are an integral part of the portfolio of investments.

83

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $4,626,242 or 3.09% 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 $142,458. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $150,059.

(e) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

84

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.4%
COMMON STOCK — 99.4%
Basic Materials — 0.4%
Chemicals — 0.4%
DowDuPont, Inc.		17,110	$	1,218,574
The Sherwin-Williams Co.		19,200		7,872,768
				9,091,342
Communications — 31.0%
Internet — 28.5%
Alibaba Group Holding Ltd. Sponsored ADR (a)		629,812		108,598,483
Alphabet, Inc. Class A (a)		50,175		52,854,345
Alphabet, Inc. Class C (a)		84,616		88,542,183
Amazon.com, Inc. (a)		163,277		190,947,553
Ctrip.com International Ltd. ADR (a)		83,820		3,696,462
Facebook, Inc. Class A (a)		752,455		132,778,209
Netflix, Inc. (a)		71,200		13,667,552
The Priceline Group, Inc. (a)		30,100		52,305,974
Symantec Corp.		80,100		2,247,606
Tencent Holdings Ltd.		689,400		35,638,521
				681,276,888
Media — 0.6%
FactSet Research Systems, Inc.		80,323		15,483,062
Telecommunications — 1.9%
Cisco Systems, Inc.		1,153,960		44,196,668
				740,956,618
Consumer, Cyclical — 7.1%
Airlines — 1.6%
Alaska Air Group, Inc.		98,400		7,233,384
American Airlines Group, Inc.		461,853		24,030,212
Delta Air Lines, Inc.		94,109		5,270,104
United Continental Holdings, Inc. (a)		12,900		869,460
				37,403,160
Auto Manufacturers — 0.5%
Ferrari NV		36,600		3,837,144
Tesla, Inc. (a)		28,028		8,726,518
				12,563,662
Auto Parts & Equipment — 0.1%
Aptiv PLC		27,600		2,341,308
Leisure Time — 0.4%
Norwegian Cruise Line Holdings Ltd. (a)		21,300		1,134,225
Royal Caribbean Cruises Ltd.		63,800		7,610,064
				8,744,289
Lodging — 0.9%
Hilton Worldwide Holdings, Inc.		60,451		4,827,617

	Number of Shares		Value
Marriott International, Inc. Class A		124,590	$	16,910,600
MGM Resorts International		2,700		90,153
				21,828,370
Retail — 3.6%
Costco Wholesale Corp.		1,000		186,120
Dollar General Corp.		80,800		7,515,208
The Home Depot, Inc.		79,600		15,086,588
Lowe’s Cos., Inc.		5,100		473,994
McDonald’s Corp.		43,100		7,418,372
O’Reilly Automotive, Inc. (a)		670		161,162
Ross Stores, Inc.		147,000		11,796,750
Starbucks Corp.		6,300		361,809
Tapestry, Inc.		7,500		331,725
The TJX Cos., Inc.		6,900		527,574
Ulta Salon Cosmetics & Fragrance, Inc. (a)		2,400		536,784
Yum China Holdings, Inc.		298,894		11,961,738
Yum! Brands, Inc.		371,156		30,290,041
				86,647,865
				169,528,654
Consumer, Non-cyclical — 22.7%
Agriculture — 0.2%
Philip Morris International, Inc.		50,600		5,345,890
Beverages — 2.9%
The Coca-Cola Co.		556,802		25,546,076
Constellation Brands, Inc. Class A		13,100		2,994,267
Monster Beverage Corp. (a)		638,294		40,397,627
				68,937,970
Biotechnology — 3.8%
Alexion Pharmaceuticals, Inc. (a)		123,833		14,809,189
Amgen, Inc.		94,938		16,509,718
Biogen, Inc. (a)		35,900		11,436,663
Celgene Corp. (a)		31,454		3,282,539
Illumina, Inc. (a)		2,191		478,712
Incyte Corp. (a)		9,500		899,745
Regeneron Pharmaceuticals, Inc. (a)		58,624		22,040,279
Vertex Pharmaceuticals, Inc. (a)		152,500		22,853,650
				92,310,495
Commercial Services — 2.3%
Automatic Data Processing, Inc.		69,836		8,184,081
Cintas Corp.		16,200		2,524,446
CoStar Group, Inc. (a)		2,900		861,155
FleetCor Technologies, Inc. (a)		24,600		4,733,778
Global Payments, Inc.		102,700		10,294,648
IHS Markit Ltd. (a)		4,265		192,564
PayPal Holdings, Inc. (a)		269,200		19,818,504
S&P Global, Inc.		26,300		4,455,220
Worldpay, Inc. Class A (a)		46,900		3,449,495
				54,513,891

The accompanying notes are an integral part of the portfolio of investments.

85

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

	Number of Shares		Value
Cosmetics & Personal Care — 1.1%
The Procter & Gamble Co.		279,520	$	25,682,298
Foods — 1.3%
Danone SA Sponsored ADR		1,851,544		31,050,393
Health Care – Products — 4.9%
Becton, Dickinson & Co.		105,110		22,499,847
Danaher Corp.		184,000		17,078,880
Intuitive Surgical, Inc. (a)		54,600		19,925,724
Stryker Corp.		142,000		21,987,280
Thermo Fisher Scientific, Inc.		79,008		15,002,039
Varian Medical Systems, Inc. (a)		189,595		21,073,484
				117,567,254
Health Care – Services — 3.7%
Aetna, Inc.		74,372		13,415,965
Anthem, Inc.		36,800		8,280,368
Cigna Corp.		82,600		16,775,234
Humana, Inc.		35,400		8,781,678
UnitedHealth Group, Inc.		184,700		40,718,962
				87,972,207
Pharmaceuticals — 2.5%
Allergan PLC		593		97,003
Merck & Co., Inc.		167,672		9,434,903
Novartis AG Sponsored ADR		203,969		17,125,237
Novo Nordisk A/S Sponsored ADR		598,052		32,097,451
Shire PLC ADR		1,009		156,516
Zoetis, Inc.		18,800		1,354,352
				60,265,462
				543,645,860
Energy — 1.2%
Oil & Gas Services — 1.2%
Schlumberger Ltd.		424,541		28,609,818
Financial — 13.3%
Banks — 2.5%
The Bank of New York Mellon Corp.		21,100		1,136,446
Citigroup, Inc.		20,600		1,532,846
First Republic Bank		1,622		140,530
JP Morgan Chase & Co.		99,200		10,608,448
Morgan Stanley		642,800		33,727,716
State Street Corp.		126,600		12,357,426
				59,503,412
Diversified Financial Services — 9.3%
American Express Co.		144,709		14,371,051
Ameriprise Financial, Inc.		15,100		2,558,997
The Charles Schwab Corp.		109,800		5,640,426
Intercontinental Exchange, Inc.		212,091		14,965,141
Mastercard, Inc. Class A		254,600		38,536,256
SEI Investments Co.		430,570		30,940,760
TD Ameritrade Holding Corp.		427,509		21,858,535

	Number of Shares		Value
Visa, Inc. Class A		822,705	$	93,804,824
				222,675,990
Insurance — 0.7%
Chubb Ltd.		7,300		1,066,749
Marsh & McLennan Cos., Inc.		30,600		2,490,534
The Progressive Corp.		45,900		2,585,088
Willis Towers Watson PLC		71,572		10,785,185
				16,927,556
Real Estate Investment Trusts (REITS) — 0.8%
American Tower Corp.		86,743		12,375,624
Equinix, Inc.		9,832		4,456,059
SBA Communications Corp. (a)		4,800		784,128
				17,615,811
				316,722,769
Industrial — 7.0%
Aerospace & Defense — 2.1%
The Boeing Co.		143,600		42,349,076
Harris Corp.		21,400		3,031,310
Northrop Grumman Corp.		11,300		3,468,083
Raytheon Co.		900		169,065
				49,017,534
Electronics — 0.9%
Agilent Technologies, Inc.		9,400		629,518
Fortive Corp.		125,150		9,054,603
Honeywell International, Inc.		75,000		11,502,000
				21,186,121
Hand & Machine Tools — 0.2%
Stanley Black & Decker, Inc.		32,400		5,497,956
Machinery – Diversified — 1.5%
Deere & Co.		180,218		28,205,919
Roper Technologies, Inc.		33,600		8,702,400
				36,908,319
Miscellaneous – Manufacturing — 0.0%
Textron, Inc.		2,500		141,475
Packaging & Containers — 0.0%
Ball Corp.		10,234		387,357
Transportation — 2.3%
Canadian Pacific Railway Ltd.		17,100		3,125,196
CSX Corp.		26,300		1,446,763
Expeditors International of Washington, Inc.		418,668		27,083,633
FedEx Corp.		2,100		524,034
Union Pacific Corp.		3,000		402,300
United Parcel Service, Inc. Class B		180,221		21,473,332
				54,055,258
				167,194,020

The accompanying notes are an integral part of the portfolio of investments.

86

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

	Number of Shares		Value
Technology — 16.6%
Computers — 1.3%
Apple, Inc.		190,047	$	32,161,654
Semiconductors — 2.6%
Analog Devices, Inc.		48,032		4,276,289
ASML Holding NV		9,200		1,599,144
Broadcom Ltd.		56,254		14,451,652
Lam Research Corp.		5,900		1,086,013
Microchip Technology, Inc.		48,900		4,297,332
QUALCOMM, Inc.		472,084		30,222,818
Texas Instruments, Inc.		44,500		4,647,580
Xilinx, Inc.		9,051		610,218
				61,191,046
Software — 12.7%
Activision Blizzard, Inc.		44,100		2,792,412
Autodesk, Inc. (a)		297,576		31,194,892
Cerner Corp. (a)		298,617		20,123,800
Electronic Arts, Inc. (a)		69,900		7,343,694
Fidelity National Information Services, Inc.		72,500		6,821,525
Fiserv, Inc. (a)		95,000		12,457,350
Intuit, Inc.		95,570		15,079,035
Microsoft Corp.		1,096,249		93,773,139
Oracle Corp.		947,101		44,778,935
Red Hat, Inc. (a)		88,690		10,651,669
salesforce.com, Inc. (a)		250,900		25,649,507
ServiceNow, Inc. (a)		165,200		21,540,428
VMware, Inc. Class A (a)		23,300		2,919,956
Workday, Inc. Class A (a)		72,669		7,393,344
				302,519,686
				395,872,386
Utilities — 0.1%
Electric — 0.1%
NextEra Energy, Inc.		10,300		1,608,757
Gas — 0.0%
Sempra Energy		10,900		1,165,428
				2,774,185
TOTAL COMMON STOCK (Cost $1,578,278,586)				2,374,395,652
TOTAL EQUITIES (Cost $1,578,278,586)				2,374,395,652

	Number of Shares		Value
MUTUAL FUNDS — 0.0%
Diversified Financial Services — 0.0%
T. Rowe Price Reserve Investment Fund		1,027	$	1,027
TOTAL MUTUAL FUNDS (Cost $1,027)				1,027
TOTAL LONG-TERM INVESTMENTS (Cost $1,578,279,613)				2,374,396,679
	Principal Amount
SHORT-TERM INVESTMENTS — 0.5%
Repurchase Agreement — 0.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (b)	$	4,356,420		4,356,420
Time Deposit — 0.3%
Euro Time Deposit 0.120% 1/02/18		8,298,079		8,298,079
TOTAL SHORT-TERM INVESTMENTS (Cost $12,654,499)				12,654,499
TOTAL INVESTMENTS — 99.9% (Cost $1,590,934,112) (c)				2,387,051,178
Other Assets/(Liabilities) — 0.1%				2,204,648
NET ASSETS — 100.0%			$	2,389,255,826

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $4,356,682. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $4,444,844.

(c) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

87

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.9%
COMMON STOCK — 97.9%
Communications — 32.5%
Internet — 29.6%
Alibaba Group Holding Ltd. Sponsored ADR (a)		137,000	$	23,622,910
Alphabet, Inc. Class A (a)		32,004		33,713,014
Alphabet, Inc. Class C (a)		9,172		9,597,581
Amazon.com, Inc. (a)		25,900		30,289,273
Baidu, Inc. Sponsored ADR (a)		71,800		16,816,278
eBay, Inc. (a)		335,269		12,653,052
Facebook, Inc. Class A (a)		208,760		36,837,789
Netflix, Inc. (a)		96,500		18,524,140
Palo Alto Networks, Inc. (a)		76,500		11,087,910
The Priceline Group, Inc. (a)		9,500		16,508,530
Symantec Corp.		310,068		8,700,508
TripAdvisor, Inc. (a) (b)		206,470		7,114,956
				225,465,941
Media — 1.9%
Liberty Global PLC Series A (a)		78,599		2,816,988
Liberty Global PLC Series C (a)		342,125		11,577,510
				14,394,498
Telecommunications — 1.0%
Arista Networks, Inc. (a)		33,087		7,794,636
				247,655,075
Consumer, Cyclical — 3.7%
Retail — 3.7%
Chipotle Mexican Grill, Inc. (a)		5,415		1,565,097
Dollar General Corp.		91,962		8,553,386
Domino’s Pizza, Inc.		8,598		1,624,678
Liberty Interactive Corp. QVC Group Class A (a)		402,603		9,831,565
Starbucks Corp.		117,000		6,719,310
				28,294,036
Consumer, Non-cyclical — 23.2%
Beverages — 1.6%
Monster Beverage Corp. (a)		197,000		12,468,130
Biotechnology — 12.2%
Alexion Pharmaceuticals, Inc. (a)		88,500		10,583,715
Biogen, Inc. (a)		65,773		20,953,305
BioMarin Pharmaceutical, Inc. (a)		90,500		8,069,885
Celgene Corp. (a)		124,514		12,994,281
Illumina, Inc. (a)		75,961		16,596,719
Incyte Corp. (a)		102,400		9,698,304
Loxo Oncology, Inc. (a) (b)		44,686		3,761,667

	Number of Shares		Value
Regeneron Pharmaceuticals, Inc. (a)		27,500	$	10,338,900
				92,996,776
Commercial Services — 4.5%
CoStar Group, Inc. (a)		28,165		8,363,597
PayPal Holdings, Inc. (a)		347,496		25,582,656
				33,946,253
Health Care – Products — 2.5%
DENTSPLY SIRONA, Inc.		168,235		11,074,910
Edwards Lifesciences Corp. (a)		73,000		8,227,830
				19,302,740
Health Care – Services — 1.6%
IQVIA Holdings, Inc. (a)		121,450		11,889,955
Pharmaceuticals — 0.8%
Allergan PLC		35,414		5,793,022
				176,396,876
Financial — 18.4%
Diversified Financial Services — 15.3%
The Charles Schwab Corp.		494,458		25,400,307
CME Group, Inc.		54,806		8,004,416
Intercontinental Exchange, Inc.		188,610		13,308,322
Mastercard, Inc. Class A		118,282		17,903,163
Visa, Inc. Class A		456,480		52,047,850
				116,664,058
Real Estate Investment Trusts (REITS) — 3.1%
Crown Castle International Corp.		142,742		15,845,789
Equinix, Inc.		16,002		7,252,427
				23,098,216
				139,762,274
Industrial — 1.8%
Transportation — 1.8%
FedEx Corp.		55,050		13,737,177
Technology — 18.3%
Semiconductors — 1.9%
Applied Materials, Inc.		143,427		7,331,988
ASML Holding NV		42,479		7,383,700
				14,715,688
Software — 16.4%
Activision Blizzard, Inc.		121,000		7,661,720
Adobe Systems, Inc. (a)		113,100		19,819,644
Electronic Arts, Inc. (a)		84,538		8,881,562
Microsoft Corp.		263,399		22,531,151
salesforce.com, Inc. (a)		243,000		24,841,890
ServiceNow, Inc. (a)		155,500		20,275,645
Splunk, Inc. (a)		118,500		9,816,540

The accompanying notes are an integral part of the portfolio of investments.

88

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

	Number of Shares		Value
Take-Two Interactive Software, Inc. (a)		99,439	$	10,916,413
				124,744,565
				139,460,253
TOTAL COMMON STOCK (Cost $510,114,299)				745,305,691
TOTAL EQUITIES (Cost $510,114,299)				745,305,691
MUTUAL FUNDS — 1.3%
Diversified Financial Services — 1.3%
State Street Navigator Securities Lending Prime Portfolio (c)		10,399,230		10,399,230
TOTAL MUTUAL FUNDS (Cost $10,399,230)				10,399,230
TOTAL LONG-TERM INVESTMENTS (Cost $520,513,529)				755,704,921
	Principal Amount
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (d)	$	19,599,633		19,599,633
Time Deposit — 0.0%
Euro Time Deposit 0.120% 1/02/18		445		445
TOTAL SHORT-TERM INVESTMENTS (Cost $19,600,078)				19,600,078
TOTAL INVESTMENTS — 101.8% (Cost $540,113,607) (e)				775,304,999
Other Assets/(Liabilities) — (1.8)%				(14,072,868	)
NET ASSETS — 100.0%			$	761,232,131

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $10,170,157 or 1.34% 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 $19,600,808. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $19,994,036.

(e) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

89

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.1%
COMMON STOCK — 98.1%
Basic Materials — 1.7%
Chemicals — 0.7%
Huntsman Corp.		11,720	$	390,159
Venator Materials PLC (a)		12,490		276,279
				666,438
Mining — 1.0%
Alcoa Corp. (a)		7,135		384,362
HudBay Minerals, Inc.		22,815		200,772
Newmont Mining Corp.		8,240		309,165
				894,299
				1,560,737
Communications — 0.8%
Internet — 0.4%
Twitter, Inc. (a)		15,295		367,233
Media — 0.2%
Meredith Corp.		3,115		205,746
Telecommunications — 0.2%
CenturyLink, Inc.		9,839		164,114
				737,093
Consumer, Cyclical — 8.2%
Airlines — 0.4%
JetBlue Airways Corp. (a)		18,290		408,599
Apparel — 0.5%
Ralph Lauren Corp.		1,825		189,234
Wolverine World Wide, Inc.		9,785		311,946
				501,180
Auto Manufacturers — 1.1%
Honda Motor Co. Ltd. Sponsored ADR		20,011		681,975
PACCAR, Inc.		4,309		306,284
				988,259
Auto Parts & Equipment — 0.7%
Aptiv PLC		6,466		548,511
Visteon Corp. (a)		1,011		126,516
				675,027
Distribution & Wholesale — 0.5%
Triton International Ltd.		11,435		428,241
Entertainment — 0.4%
Lions Gate Entertainment Corp. Class B (a)		13,180		418,333
Food Services — 0.2%
Aramark		4,480		191,475
Home Builders — 0.7%
PulteGroup, Inc.		15,426		512,915

	Number of Shares		Value
Toll Brothers, Inc.		2,765	$	132,775
				645,690
Lodging — 0.5%
Caesars Entertainment Corp. (a)		38,720		489,808
Retail — 3.2%
Advance Auto Parts, Inc.		7,559		753,556
Burlington Stores, Inc. (a)		2,095		257,748
The Children’s Place, Inc.		1,885		273,985
Darden Restaurants, Inc.		1,695		162,754
MSC Industrial Direct Co., Inc. Class A		7,644		738,869
PVH Corp.		1,975		270,990
Target Corp.		8,328		543,402
				3,001,304
				7,747,916
Consumer, Non-cyclical — 18.2%
Beverages — 0.7%
Dr. Pepper Snapple Group, Inc.		6,563		637,005
Commercial Services — 0.1%
United Rentals, Inc. (a)		735		126,354
Foods — 8.5%
Conagra Brands, Inc.		33,211		1,251,058
General Mills, Inc.		17,823		1,056,726
The J.M. Smucker Co.		4,811		597,719
Kellogg Co.		13,156		894,345
Mondelez International, Inc. Class A		25,587		1,095,123
Nomad Foods Ltd. (a)		20,385		344,710
Orkla ASA		67,931		720,132
Pinnacle Foods, Inc.		10,070		598,863
Sysco Corp.		15,806		959,898
Tyson Foods, Inc. Class A		1,695		137,414
US Foods Holding Corp. (a)		10,090		322,174
				7,978,162
Health Care – Products — 3.1%
Baxter International, Inc.		3,010		194,566
Henry Schein, Inc. (a)		4,848		338,778
QIAGEN NV		5,705		176,456
STERIS PLC		5,997		524,558
Zimmer Biomet Holdings, Inc.		13,614		1,642,801
				2,877,159
Health Care – Services — 3.0%
Encompass Health Corp.		4,390		216,910
HCA Healthcare, Inc. (a)		8,412		738,910
Humana, Inc.		1,555		385,749
ICON PLC (a)		1,330		149,160
LifePoint Health, Inc. (a)		15,738		783,752
Quest Diagnostics, Inc.		5,806		571,833
				2,846,314

The accompanying notes are an integral part of the portfolio of investments.

90

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

	Number of Shares		Value
Household Products & Wares — 0.1%
Avery Dennison Corp.		1,110	$	127,494
Pharmaceuticals — 2.7%
Cardinal Health, Inc.		14,488		887,680
Express Scripts Holding Co. (a)		8,799		656,757
McKesson Corp.		3,847		599,940
Perrigo Co. PLC		4,495		391,784
				2,536,161
				17,128,649
Energy — 13.0%
Coal — 0.2%
Arch Coal, Inc. Class A		2,495		232,434
Oil & Gas — 9.8%
Anadarko Petroleum Corp.		13,157		705,741
Cimarex Energy Co.		3,174		387,260
Devon Energy Corp.		15,683		649,276
Energen Corp. (a)		12,510		720,201
EQT Corp.		15,943		907,476
Helmerich & Payne, Inc.		7,683		496,629
Hess Corp.		9,075		430,790
Imperial Oil Ltd.		36,820		1,149,124
Marathon Petroleum Corp.		8,714		574,950
Noble Energy, Inc.		31,318		912,606
Occidental Petroleum Corp.		13,323		981,372
Precision Drilling Corp. (a)		114,660		346,273
SM Energy Co.		13,620		300,730
WPX Energy, Inc. (a)		44,260		622,738
				9,185,166
Oil & Gas Services — 2.4%
Baker Hughes a GE Co.		28,117		889,622
Halliburton Co.		8,941		436,947
National Oilwell Varco, Inc.		25,374		913,971
				2,240,540
Pipelines — 0.6%
Spectra Energy Partners LP (b)		9,564		378,161
Targa Resources Corp.		3,595		174,070
				552,231
				12,210,371
Financial — 26.9%
Banks — 9.8%
Bank of Hawaii Corp.		6,084		521,399
BB&T Corp.		23,644		1,175,580
Citizens Financial Group, Inc.		21,225		891,026
Comerica, Inc.		9,924		861,502
Commerce Bancshares, Inc.		11,080		618,707
F.N.B. Corp.		26,050		360,011
KeyCorp		12,585		253,839
M&T Bank Corp.		5,160		882,308
Northern Trust Corp.		17,413		1,739,385

	Number of Shares		Value
The PNC Financial Services Group, Inc.		3,354	$	483,949
SunTrust Banks, Inc.		9,021		582,666
UMB Financial Corp.		3,193		229,641
Westamerica Bancorp.		11,529		686,552
				9,286,565
Diversified Financial Services — 3.7%
Ameriprise Financial, Inc.		5,636		955,133
E*TRADE Financial Corp. (a)		4,295		212,903
Invesco Ltd.		34,342		1,254,857
Lazard Ltd. Class A		9,305		488,512
Synchrony Financial		5,265		203,282
T. Rowe Price Group, Inc.		3,448		361,798
				3,476,485
Insurance — 5.5%
Aflac, Inc.		4,734		415,550
Arthur J Gallagher & Co.		7,114		450,174
Athene Holding Ltd. Class A (a)		5,225		270,185
Brown & Brown, Inc.		6,379		328,263
Chubb Ltd.		7,121		1,040,592
CNA Financial Corp.		2,405		127,585
The Hartford Financial Services Group, Inc.		9,380		527,906
Loews Corp.		6,540		327,196
ProAssurance Corp.		5,123		292,779
Reinsurance Group of America, Inc.		3,261		508,488
Torchmark Corp.		2,646		240,019
The Travelers Cos., Inc.		1,412		191,524
Unum Group		9,265		508,556
				5,228,817
Real Estate — 0.3%
CBRE Group, Inc. Class A (a)		6,486		280,909
Real Estate Investment Trusts (REITS) — 7.0%
American Tower Corp.		4,509		643,299
Boston Properties, Inc.		3,087		401,403
Digital Realty Trust, Inc.		2,343		266,868
Empire State Realty Trust, Inc. Class A		11,066		227,185
EPR Properties		3,145		205,872
Gaming and Leisure Properties, Inc.		8,900		329,300
Host Hotels & Resorts, Inc.		21,895		434,616
Liberty Property Trust		12,005		516,335
Medical Properties Trust, Inc.		36,905		508,551
MGM Growth Properties LLC Class A		14,953		435,880
Piedmont Office Realty Trust, Inc. Class A		44,214		867,036
SL Green Realty Corp.		2,100		211,953
Weyerhaeuser Co.		42,798		1,509,057
				6,557,355

The accompanying notes are an integral part of the portfolio of investments.

91

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

	Number of Shares		Value
Savings & Loans — 0.6%
Capitol Federal Financial, Inc.		40,111	$	537,888
				25,368,019
Industrial — 17.4%
Building Materials — 2.1%
JELD-WEN Holding, Inc. (a)		4,145		163,189
Johnson Controls International PLC		46,398		1,768,228
				1,931,417
Electrical Components & Equipment — 2.7%
Belden, Inc.		6,655		513,566
Emerson Electric Co.		14,068		980,399
Hubbell, Inc.		7,920		1,071,893
				2,565,858
Electronics — 2.0%
Keysight Technologies, Inc. (a)		19,659		817,815
Koninklijke Philips NV		3,220		121,817
Orbotech Ltd. (a)		2,850		143,184
PerkinElmer, Inc.		1,370		100,174
TE Connectivity Ltd.		7,227		686,854
				1,869,844
Engineering & Construction — 0.7%
KBR, Inc.		33,250		659,348
Environmental Controls — 0.5%
Republic Services, Inc.		7,561		511,199
Machinery – Construction & Mining — 1.0%
CNH Industrial NV		32,015		429,001
Terex Corp.		11,550		556,941
				985,942
Machinery – Diversified — 0.7%
Cummins, Inc.		3,677		649,505
Miscellaneous – Manufacturing — 2.4%
Eaton Corp. PLC		8,354		660,050
Ingersoll-Rand PLC		7,175		639,938
Parker-Hannifin Corp.		987		196,986
Textron, Inc.		13,743		777,716
				2,274,690
Packaging & Containers — 3.8%
Bemis Co., Inc.		10,003		478,043
Graphic Packaging Holding Co.		57,687		891,264
Sonoco Products Co.		12,893		685,134
WestRock Co.		24,041		1,519,632
				3,574,073
Transportation — 1.3%
Atlas Air Worldwide Holdings, Inc. (a)		2,190		128,443
Heartland Express, Inc.		29,440		687,130
Norfolk Southern Corp.		2,587		374,856
				1,190,429

	Number of Shares		Value
Trucking & Leasing — 0.2%
GATX Corp.		3,200	$	198,912
				16,411,217
Technology — 5.2%
Computers — 0.5%
Leidos Holdings, Inc.		3,670		236,972
NetApp, Inc.		4,925		272,451
				509,423
Semiconductors — 4.1%
Applied Materials, Inc.		15,129		773,394
Lam Research Corp.		3,024		556,628
Maxim Integrated Products, Inc.		18,274		955,365
Micron Technology, Inc. (a)		4,210		173,115
Microsemi Corp. (a)		9,065		468,207
Teradyne, Inc.		20,057		839,787
Xilinx, Inc.		1,230		82,927
				3,849,423
Software — 0.6%
Allscripts Healthcare Solutions, Inc. (a)		20,850		303,367
Verint Systems, Inc. (a)		5,475		229,129
				532,496
				4,891,342
Utilities — 6.7%
Electric — 5.7%
Ameren Corp.		5,678		334,945
Edison International		7,921		500,924
Entergy Corp.		7,225		588,043
Eversource Energy		4,972		314,131
Exelon Corp.		9,940		391,735
NorthWestern Corp.		11,404		680,819
PG&E Corp.		4,124		184,879
Pinnacle West Capital Corp.		5,896		502,221
Public Service Enterprise Group, Inc.		13,735		707,353
Vistra Energy Corp. (a)		10,800		197,856
Xcel Energy, Inc.		20,813		1,001,313
				5,404,219
Gas — 1.0%
Atmos Energy Corp.		4,804		412,616
Spire, Inc.		6,803		511,245
				923,861
				6,328,080
TOTAL COMMON STOCK (Cost $81,859,582)				92,383,424
TOTAL EQUITIES (Cost $81,859,582)				92,383,424

The accompanying notes are an integral part of the portfolio of investments.

92

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

	Number of Shares		Value
MUTUAL FUNDS — 1.4%
Diversified Financial Services — 1.4%
iShares Russell Mid-Cap Value ETF		15,044	$	1,341,172
TOTAL MUTUAL FUNDS (Cost $1,279,808)				1,341,172
TOTAL LONG-TERM INVESTMENTS (Cost $83,139,390)				93,724,596
	Principal Amount
SHORT-TERM INVESTMENTS — 3.1%
Repurchase Agreement — 3.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (c)	$	2,929,290		2,929,290
TOTAL SHORT-TERM INVESTMENTS (Cost $2,929,290)				2,929,290
TOTAL INVESTMENTS — 102.6% (Cost $86,068,680) (d)				96,653,886
Other Assets/(Liabilities) — (2.6)%				(2,418,432	)
NET ASSETS — 100.0%			$	94,235,454

Abbreviation Legend

ADR American Depositary Receipt

ETF Exchange-Traded Fund

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Security is a Master Limited Partnership.

(c) Maturity value of $2,929,465. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $2,996,001.

(d) See Note 3 for aggregate cost for federal tax purposes.

The Fund had the following open Forward contracts at December 31, 2017:

Forward Contracts

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Deliver
JPY	45,366,978	Credit Suisse International	3/30/18	$	405,316	$	901
NOK	4,985,966	JP Morgan Chase Bank N.A.	3/28/18		596,813		(11,873	)
CAD	1,203,057	Morgan Stanley & Co. LLC	3/29/18		936,674		(21,488	)
EUR	87,447	UBS AG	3/29/18		103,622		(1,847	)
				$	2,042,425	$	(34,307	)

Currency Legend

CAD Canadian Dollar

EUR Euro

JPY Japanese Yen

NOK Norwegian Krone

The accompanying notes are an integral part of the portfolio of investments.

93

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.2%
COMMON STOCK — 97.2%
Basic Materials — 9.0%
Chemicals — 3.0%
Orion Engineered Carbons SA		69,440	$	1,777,664
PolyOne Corp.		58,419		2,541,226
Sensient Technologies Corp.		18,060		1,321,089
				5,639,979
Forest Products & Paper — 1.4%
Deltic Timber Corp.		16,100		1,473,955
Neenah Paper, Inc.		12,170		1,103,211
				2,577,166
Iron & Steel — 1.7%
Allegheny Technologies, Inc. (a)		131,000		3,162,340
Mining — 2.9%
Ferroglobe PLC		210,500		3,410,100
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c)		234,800		-
Luxfer Holdings PLC		65,522		1,035,248
Materion Corp.		23,200		1,127,520
				5,572,868
				16,952,353
Consumer, Cyclical — 5.6%
Auto Parts & Equipment — 1.4%
American Axle & Manufacturing Holdings, Inc. (a)		152,579		2,598,420
Distribution & Wholesale — 0.6%
Essendant, Inc.		41,470		384,427
ScanSource, Inc. (a)		18,580		665,164
				1,049,591
Home Builders — 0.7%
TRI Pointe Group, Inc. (a)		77,030		1,380,378
Home Furnishing — 0.8%
Whirlpool Corp.		9,053		1,526,698
Office Furnishings — 0.5%
Steelcase, Inc. Class A		55,460		842,992
Retail — 0.8%
The Cato Corp. Class A		29,630		471,710
Dave & Buster’s Entertainment, Inc. (a)		14,830		818,171
Fred’s, Inc. Class A		69,330		280,786
				1,570,667
Storage & Warehousing — 0.8%
Mobile Mini, Inc.		46,071		1,589,449
				10,558,195

	Number of Shares		Value
Consumer, Non-cyclical — 14.4%
Beverages — 0.6%
C&C Group PLC		310,971	$	1,067,573
Commercial Services — 4.3%
AMN Healthcare Services, Inc. (a)		12,600		620,550
Forrester Research, Inc.		26,320		1,163,344
FTI Consulting, Inc. (a)		44,370		1,906,135
Huron Consulting Group, Inc. (a)		30,640		1,239,388
ICF International, Inc. (a)		16,460		864,150
Matthews International Corp. Class A		22,570		1,191,696
Navigant Consulting, Inc. (a)		33,540		651,011
SEACOR Marine Holdings, Inc. (a)		32,474		379,946
				8,016,220
Foods — 3.4%
Cranswick PLC		33,774		1,521,022
Darling Ingredients, Inc. (a)		127,900		2,318,827
Post Holdings, Inc. (a)		18,590		1,472,886
Smart & Final Stores, Inc. (a)		132,450		1,132,447
				6,445,182
Health Care – Products — 3.3%
Haemonetics Corp. (a)		22,820		1,325,386
ICU Medical, Inc. (a)		3,370		727,920
Invacare Corp.		74,900		1,262,065
Natus Medical, Inc. (a)		16,840		643,288
STERIS PLC		26,550		2,322,328
				6,280,987
Health Care – Services — 1.8%
Encompass Health Corp.		41,688		2,059,804
Envision Healthcare Corp. (a)		37,713		1,303,361
				3,363,165
Household Products & Wares — 1.0%
Acco Brands Corp. (a)		109,330		1,333,826
Helen of Troy Ltd. (a)		6,570		633,020
				1,966,846
				27,139,973
Energy — 4.0%
Oil & Gas — 2.4%
Callon Petroleum Co. (a)		171,500		2,083,725
Diamondback Energy, Inc. (a)		4,210		531,512
Resolute Energy Corp. (a)		30,280		952,912
RSP Permian, Inc. (a)		20,818		846,876
				4,415,025
Oil & Gas Services — 1.6%
Era Group, Inc. (a)		33,000		354,750
Flotek Industries, Inc. (a)		77,200		359,752
SEACOR Holdings, Inc. (a)		18,990		877,718
Thermon Group Holdings, Inc. (a)		62,430		1,477,718
				3,069,938
				7,484,963

The accompanying notes are an integral part of the portfolio of investments.

94

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

	Number of Shares		Value
Financial — 21.6%
Banks — 11.2%
1st Source Corp.		19,140	$	946,473
FCB Financial Holdings, Inc. Class A (a)		17,550		891,540
First Midwest Bancorp, Inc.		62,760		1,506,868
Great Western Bancorp, Inc.		38,930		1,549,414
Hancock Holding Co.		44,600		2,207,700
International Bancshares Corp.		43,830		1,740,051
MB Financial, Inc.		37,650		1,676,178
Prosperity Bancshares, Inc.		33,758		2,365,423
Texas Capital Bancshares, Inc. (a)		40,036		3,559,200
UMB Financial Corp.		31,900		2,294,248
Union Bankshares Corp.		17,050		616,699
Webster Financial Corp.		31,540		1,771,286
				21,125,080
Diversified Financial Services — 0.3%
PRA Group, Inc. (a)		19,300		640,760
Insurance — 5.8%
Alleghany Corp. (a)		3,118		1,858,609
Assured Guaranty Ltd.		25,090		849,798
Kemper Corp.		30,070		2,071,823
MGIC Investment Corp. (a)		194,800		2,748,628
Reinsurance Group of America, Inc.		12,690		1,978,752
White Mountains Insurance Group Ltd.		1,630		1,387,586
				10,895,196
Real Estate Investment Trusts (REITS) — 3.0%
Corporate Office Properties Trust		31,150		909,580
DiamondRock Hospitality Co.		72,914		823,199
Education Realty Trust, Inc.		36,033		1,258,273
Ramco-Gershenson Properties Trust		107,870		1,588,925
Summit Hotel Properties, Inc.		62,940		958,576
				5,538,553
Savings & Loans — 1.3%
Banc of California, Inc.		46,680		963,942
Northwest Bancshares, Inc.		87,480		1,463,540
				2,427,482
				40,627,071
Industrial — 33.6%
Aerospace & Defense — 1.2%
Astronics Corp. (a)		10,750		445,803
Cubic Corp.		30,960		1,825,092
				2,270,895
Building Materials — 4.4%
Gibraltar Industries, Inc. (a)		41,528		1,370,424
Simpson Manufacturing Co., Inc.		44,209		2,538,039
Trex Co., Inc. (a)		24,921		2,701,187
Tyman PLC		348,254		1,709,414
				8,319,064

	Number of Shares		Value
Electrical Components & Equipment — 2.1%
Belden, Inc.		31,290	$	2,414,649
Encore Wire Corp.		32,300		1,571,395
				3,986,044
Electronics — 8.9%
CTS Corp.		40,900		1,053,175
ESCO Technologies, Inc.		22,660		1,365,265
FARO Technologies, Inc. (a)		38,393		1,804,471
II-VI, Inc. (a)		80,728		3,790,180
Keysight Technologies, Inc. (a)		41,090		1,709,344
Park Electrochemical Corp.		31,370		616,420
Plexus Corp. (a)		45,682		2,773,811
Vishay Intertechnology, Inc.		178,397		3,701,738
				16,814,404
Engineering & Construction — 3.2%
Comfort Systems USA, Inc.		45,013		1,964,818
Mistras Group, Inc. (a)		48,640		1,141,581
Primoris Services Corp.		108,470		2,949,299
				6,055,698
Environmental Controls — 0.5%
Clean Harbors, Inc. (a)		17,160		930,072
Machinery – Construction & Mining — 1.4%
Terex Corp.		54,822		2,643,517
Machinery – Diversified — 1.1%
Albany International Corp. Class A		34,480		2,118,796
Metal Fabricate & Hardware — 2.7%
CIRCOR International, Inc.		19,810		964,351
Mueller Industries, Inc.		52,080		1,845,194
TriMas Corp. (a)		86,060		2,302,105
				5,111,650
Miscellaneous – Manufacturing — 3.9%
Actuant Corp. Class A		55,800		1,411,740
Barnes Group, Inc.		27,390		1,732,965
Colfax Corp. (a)		48,400		1,917,608
Federal Signal Corp.		115,500		2,320,395
				7,382,708
Packaging & Containers — 1.1%
Greif, Inc. Class A		32,140		1,947,041
Transportation — 2.4%
Air Transport Services Group, Inc. (a)		85,967		1,989,276
Dorian LPG Ltd. (a)		58,287		479,119
Forward Air Corp.		20,260		1,163,735
Scorpio Tankers, Inc.		248,140		756,827
				4,388,957
Trucking & Leasing — 0.7%
GATX Corp.		21,340		1,326,494
				63,295,340

The accompanying notes are an integral part of the portfolio of investments.

95

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

	Number of Shares		Value
Technology — 6.8%
Computers — 2.1%
Diebold Nixdorf, Inc.		34,850	$	569,797
MTS Systems Corp.		31,800		1,707,660
WNS Holdings Ltd. ADR (a)		40,230		1,614,430
				3,891,887
Semiconductors — 3.8%
Brooks Automation, Inc.		110,261		2,629,725
Diodes, Inc. (a)		82,708		2,371,238
Photronics, Inc. (a)		139,028		1,185,214
Xcerra Corp. (a)		96,830		947,966
				7,134,143
Software — 0.9%
Allscripts Healthcare Solutions, Inc. (a)		117,610		1,711,226
				12,737,256
Utilities — 2.2%
Electric — 0.3%
Westar Energy, Inc.		11,670		616,176
Gas — 1.9%
New Jersey Resources Corp.		14,200		570,840
Spire, Inc.		10,400		781,560
UGI Corp.		29,525		1,386,199
WGL Holdings, Inc.		9,180		788,011
				3,526,610
				4,142,786
TOTAL COMMON STOCK (Cost $138,126,227)				182,937,937
TOTAL EQUITIES (Cost $138,126,227)				182,937,937
TOTAL LONG-TERM INVESTMENTS (Cost $138,126,227)				182,937,937

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.9%
Repurchase Agreement — 2.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (d)	$	5,474,668	$	5,474,668
TOTAL SHORT-TERM INVESTMENTS (Cost $5,474,668)				5,474,668
TOTAL INVESTMENTS — 100.1% (Cost $143,600,895) (e)				188,412,605
Other Assets/(Liabilities) — (0.1)%				(97,671	)
NET ASSETS — 100.0%			$	188,314,934

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Investment was valued using significant unobservable inputs.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2017, these securities amounted to a value of $0 or 0.00% of net assets.

(d) Maturity value of $5,474,996. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $5,588,395.

(e) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

96

MassMutual Select Small Company Value Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.6%
COMMON STOCK — 98.6%
Basic Materials — 3.7%
Chemicals — 1.3%
American Vanguard Corp.		15,000	$	294,750
Innospec, Inc.		3,222		227,473
KMG Chemicals, Inc.		11,099		733,422
Koppers Holdings, Inc. (a)		3,500		178,150
Kronos Worldwide, Inc.		31,600		814,332
Minerals Technologies, Inc.		6,700		461,295
OMNOVA Solutions, Inc. (a)		5,300		53,000
PQ Group Holdings, Inc. (a)		24,725		406,726
Valhi, Inc.		9,700		59,849
				3,228,997
Forest Products & Paper — 0.4%
Clearwater Paper Corp. (a)		11,300		513,020
Mercer International, Inc.		6,700		95,810
Verso Corp. Class A (a)		14,400		253,008
				861,838
Iron & Steel — 1.4%
Carpenter Technology Corp.		51,085		2,604,824
Commercial Metals Co.		26,665		568,498
Reliance Steel & Aluminum Co.		4,100		351,739
				3,525,061
Mining — 0.6%
Constellium NV Class A (a)		18,300		204,045
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c)		49,975		-
New Gold, Inc. (a)		48,800		160,552
Tahoe Resources, Inc.		60,000		287,400
US Silica Holdings, Inc. (d)		27,255		887,423
				1,539,420
				9,155,316
Communications — 4.3%
Internet — 0.5%
Blucora, Inc. (a)		16,200		358,020
Cargurus, Inc. (a) (d)		965		28,931
Internap Corp. (a)		18,650		292,991
PC-Tel, Inc.		16,100		118,657
QuinStreet, Inc. (a)		45,700		382,966
TechTarget, Inc. (a)		3,500		48,720
				1,230,285
Media — 2.0%
Beasley Broadcasting Group, Inc. Class A		16,100		215,740
Cable One, Inc. (d)		693		487,422
Gray Television, Inc. (a)		55,175		924,181
MSG Networks, Inc. Class A (a)		6,200		125,550

	Number of Shares		Value
Nexstar Media Group, Inc. Class A (d)		18,410	$	1,439,662
Scholastic Corp.		5,700		228,627
Sinclair Broadcast Group, Inc. Class A (d)		39,540		1,496,589
				4,917,771
Telecommunications — 1.8%
Ciena Corp. (a)		43,645		913,490
Comtech Telecommunications Corp.		24,100		533,092
Extreme Networks, Inc. (a)		40,900		512,068
GTT Communications, Inc. (a) (d)		5,100		239,445
Harmonic, Inc. (a)		86,306		362,485
Intelsat SA (a)		108,900		369,171
ORBCOMM, Inc. (a)		53,325		542,849
RigNet, Inc. (a)		15,500		231,725
Vonage Holdings Corp. (a)		67,490		686,373
				4,390,698
				10,538,754
Consumer, Cyclical — 9.8%
Airlines — 0.2%
Copa Holdings SA Class A		3,600		482,616
Apparel — 0.8%
Crocs, Inc. (a)		96,050		1,214,072
Deckers Outdoor Corp. (a)		1,600		128,400
Perry Ellis International, Inc. (a)		6,100		152,744
Steven Madden Ltd. (a)		11,000		513,700
				2,008,916
Auto Manufacturers — 0.8%
Blue Bird Corp. (a) (d)		11,900		236,810
Wabash National Corp. (d)		76,700		1,664,390
				1,901,200
Auto Parts & Equipment — 1.0%
Commercial Vehicle Group, Inc. (a)		27,700		296,113
Dorman Products, Inc. (a)		7,800		476,892
Meritor, Inc. (a)		28,800		675,648
Tenneco, Inc.		17,180		1,005,717
Tower International, Inc.		1,100		33,605
				2,487,975
Distribution & Wholesale — 1.1%
Beacon Roofing Supply, Inc. (a)		11,100		707,736
H&E Equipment Services, Inc.		14,600		593,490
Pool Corp.		4,900		635,285
Systemax, Inc.		10,100		336,027
Titan Machinery, Inc. (a)		20,200		427,634
				2,700,172
Entertainment — 0.4%
Penn National Gaming, Inc. (a)		11,200		350,896

The accompanying notes are an integral part of the portfolio of investments.

97

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

	Number of Shares		Value
Scientific Games Corp. Class A (a)		12,700	$	651,510
				1,002,406
Home Builders — 0.3%
Beazer Homes USA, Inc. (a)		12,600		242,046
Cavco Industries, Inc. (a)		4,000		610,400
PICO Holdings, Inc.		2,700		34,560
				887,006
Home Furnishing — 0.1%
Sleep Number Corp. (a)		8,400		315,756
Leisure Time — 0.4%
LCI Industries		6,000		780,000
Liberty TripAdvisor Holdings, Inc. Class A (a)		5,100		48,068
Town Sports International Holdings, Inc. (a)		25,300		140,415
				968,483
Lodging — 0.2%
ILG, Inc.		15,000		427,200
Retail — 3.7%
Asbury Automotive Group, Inc. (a)		19,540		1,250,560
Big Lots, Inc. (d)		18,510		1,039,337
Caleres, Inc.		31,300		1,047,924
Conn’s, Inc. (a) (d)		11,000		391,050
Express, Inc. (a)		24,000		243,600
Lumber Liquidators Holdings, Inc. (a) (d)		17,375		545,401
Party City Holdco, Inc. (a) (d)		21,249		296,424
PetMed Express, Inc.		4,000		182,000
Pier 1 Imports, Inc.		24,000		99,360
PriceSmart, Inc.		4,900		421,890
Red Robin Gourmet Burgers, Inc. (a) (d)		5,000		282,000
RH (a) (d)		6,300		543,123
Rush Enterprises, Inc. Class A (a)		21,900		1,112,739
Sportsman’s Warehouse Holdings, Inc. (a) (d)		27,327		180,631
Tailored Brands, Inc.		45,400		991,082
Tilly’s, Inc. Class A		29,400		433,944
				9,061,065
Textiles — 0.8%
Culp, Inc.		10,900		365,150
UniFirst Corp.		9,575		1,578,917
				1,944,067
				24,186,862
Consumer, Non-cyclical — 14.8%
Agriculture — 0.1%
Alliance One International, Inc. (a)		8,900		117,925
Vector Group Ltd. (d)		10,337		231,342
				349,267

	Number of Shares		Value
Beverages — 0.6%
The Boston Beer Co., Inc. Class A (a) (d)		600	$	114,660
Cott Corp.		54,080		900,973
National Beverage Corp. (d)		5,200		506,688
				1,522,321
Biotechnology — 2.0%
Assembly Biosciences, Inc. (a)		1,200		54,300
CytomX Therapeutics, Inc. (a)		5,900		124,549
Emergent BioSolutions, Inc. (a)		23,975		1,114,118
ImmunoGen, Inc. (a)		82,000		525,620
Innoviva, Inc. (a)		9,000		127,710
Myriad Genetics, Inc. (a)		31,000		1,064,695
Puma Biotechnology, Inc. (a)		7,750		766,088
Sangamo Therapeutics, Inc. (a)		37,600		616,640
Spectrum Pharmaceuticals, Inc. (a)		13,500		255,825
Verastem, Inc. (a)		9,300		28,551
XOMA Corp. (a) (d)		7,400		263,440
				4,941,536
Commercial Services — 5.3%
Aaron’s, Inc.		43,100		1,717,535
Acacia Research Corp. (a)		32,000		129,600
Adtalem Global Education, Inc.		38,925		1,636,796
American Public Education, Inc. (a)		11,700		293,085
ARC Document Solutions, Inc. (a)		41,800		106,590
CAI International, Inc. (a)		11,500		325,680
Cambium Learning Group, Inc. (a)		33,100		188,008
Capella Education Co.		7,190		556,506
Care.com, Inc. (a)		3,700		66,748
Ennis, Inc.		23,600		489,700
Everi Holdings, Inc. (a)		63,200		476,528
EVERTEC, Inc.		38,670		527,846
FTI Consulting, Inc. (a)		8,800		378,048
Green Dot Corp. Class A (a)		24,700		1,488,422
K12, Inc. (a)		5,200		82,680
Liberty Tax, Inc.		8,700		95,700
Matthews International Corp. Class A		3,900		205,920
McGrath RentCorp		10,176		478,068
Navigant Consulting, Inc. (a)		21,000		407,610
Quad/Graphics, Inc.		34,000		768,400
RPX Corp.		46,300		622,272
Textainer Group Holdings Ltd. (a)		35,300		758,950
Vectrus, Inc. (a)		9,900		305,415
Weight Watchers International, Inc. (a) (d)		21,500		952,020
				13,058,127
Foods — 1.9%
The Chefs’ Warehouse, Inc. (a) (d)		14,300		293,150
Hostess Brands, Inc. (a) (d)		40,575		600,916
Nomad Foods Ltd. (a)		50,700		857,337
Pinnacle Foods, Inc.		5,900		350,873

The accompanying notes are an integral part of the portfolio of investments.

98

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

	Number of Shares		Value
Post Holdings, Inc. (a)		4,800	$	380,304
Sanderson Farms, Inc.		8,050		1,117,179
The Simply Good Foods Co. (a) (d)		59,175		843,835
SpartanNash Co.		12,400		330,832
				4,774,426
Health Care – Products — 3.0%
Analogic Corp.		3,500		293,125
Atrion Corp.		1,428		900,497
Cutera, Inc. (a)		10,600		480,710
Haemonetics Corp. (a)		7,800		453,024
Halyard Health, Inc. (a)		14,900		688,082
Intersect ENT, Inc. (a)		12,100		392,040
Lantheus Holdings, Inc. (a)		33,100		676,895
LivaNova PLC (a)		8,555		683,715
NuVasive, Inc. (a)		10,000		584,900
Quidel Corp. (a)		17,200		745,620
West Pharmaceutical Services, Inc.		7,800		769,626
Wright Medical Group NV (a)		29,943		664,735
				7,332,969
Health Care – Services — 1.0%
The Ensign Group, Inc.		14,800		328,560
Medpace Holdings, Inc. (a)		20,260		734,628
Molina Healthcare, Inc. (a)		4,100		314,388
Psychemedics Corp.		3,900		80,184
Select Medical Holdings Corp. (a)		20,600		363,590
WellCare Health Plans, Inc. (a)		2,700		542,997
				2,364,347
Household Products & Wares — 0.1%
CSS Industries, Inc.		9,900		275,517
Pharmaceuticals — 0.8%
Akebia Therapeutics, Inc. (a)		14,700		218,589
BioSpecifics Technologies Corp. (a)		2,600		112,658
Conatus Pharmaceuticals, Inc. (a) (d)		26,700		123,354
Corcept Therapeutics, Inc. (a) (d)		40,500		731,430
Horizon Pharma PLC (a)		28,300		413,180
MyoKardia, Inc. (a)		2,100		88,410
Nektar Therapeutics (a)		2,900		173,188
				1,860,809
				36,479,319
Energy — 6.5%
Coal — 0.2%
Cloud Peak Energy, Inc. (a)		63,500		282,575
Hallador Energy Co.		28,400		172,956
SunCoke Energy, Inc. (a)		13,300		159,467
				614,998
Energy – Alternate Sources — 0.2%
REX American Resources Corp. (a)		1,700		140,743
SolarEdge Technologies, Inc. (a)		6,200		232,810
				373,553

	Number of Shares		Value
Oil & Gas — 4.5%
Adams Resources & Energy, Inc.		1,100	$	47,850
Andeavor		4,598		525,735
California Resources Corp. (a) (d)		17,300		336,312
Callon Petroleum Co. (a) (d)		99,295		1,206,434
Centennial Resource Development, Inc. Class A (a) (d)		26,700		528,660
Comstock Resources, Inc. (a) (d)		14,700		124,362
CVR Energy, Inc. (d)		27,000		1,005,480
Evolution Petroleum Corp.		32,900		225,365
Isramco, Inc. (a)		300		31,395
Jagged Peak Energy, Inc. (a) (d)		17,600		277,728
Kosmos Energy Ltd. (a)		27,700		189,745
Matador Resources Co. (a)		22,600		703,538
Murphy Oil Corp.		4,000		124,200
Panhandle Oil & Gas, Inc. Class A		4,300		88,365
Parsley Energy, Inc. Class A (a)		13,000		382,720
PBF Energy, Inc. Class A (d)		28,140		997,563
Ring Energy, Inc. (a)		63,925		888,558
SandRidge Energy, Inc. (a) (d)		63,990		1,348,269
SRC Energy, Inc. (a)		127,405		1,086,765
Whiting Petroleum Corp. (a)		20,600		545,488
WPX Energy, Inc. (a)		38,300		538,881
				11,203,413
Oil & Gas Services — 1.6%
Archrock, Inc.		5,300		55,650
Exterran Corp. (a)		34,100		1,072,104
Frank’s International NV		39,400		262,010
Helix Energy Solutions Group, Inc. (a)		143,245		1,080,067
Keane Group, Inc. (a) (d)		13,100		249,031
MRC Global, Inc. (a)		28,255		478,075
Oceaneering International, Inc.		10,900		230,426
TETRA Technologies, Inc. (a)		67,300		287,371
Thermon Group Holdings, Inc. (a)		11,300		267,471
				3,982,205
				16,174,169
Financial — 37.7%
Banks — 15.7%
1st Source Corp.		2,100		103,845
Atlantic Capital Bancshares, Inc. (a)		13,048		229,645
BancFirst Corp.		800		40,920
Banco Latinoamericano de Comercio Exterior SA		13,400		360,460
The Bancorp, Inc. (a)		53,300		526,604
Bank of Commerce Holdings		3,100		35,650
Bank of Hawaii Corp.		5,600		479,920
Bank of Marin Bancorp		1,500		102,000
BankUnited, Inc.		24,100		981,352
Bankwell Financial Group, Inc.		6,700		230,078
Boston Private Financial Holdings, Inc.		21,600		333,720

The accompanying notes are an integral part of the portfolio of investments.

99

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

	Number of Shares		Value
C&F Financial Corp.		2,500	$	145,000
Central Pacific Financial Corp.		13,000		387,790
Central Valley Community Bancorp		12,800		258,304
Century Bancorp, Inc. Class A		3,800		297,350
Chemical Financial Corp.		44,041		2,354,872
Citizens & Northern Corp.		3,200		76,800
CoBiz Financial, Inc.		28,500		569,715
Columbia Banking System, Inc.		19,400		842,736
CVB Financial Corp.		6,300		148,428
East West Bancorp, Inc.		20,410		1,241,540
F.N.B. Corp.		214,205		2,960,313
Financial Institutions, Inc.		3,200		99,520
First Busey Corp.		8,700		260,478
First Hawaiian, Inc.		8,472		247,213
First Interstate BancSystem, Inc. Class A		6,600		264,330
First Merchants Corp.		11,600		487,896
First Midwest Bancorp, Inc.		110,010		2,641,340
The First of Long Island Corp.		7,400		210,900
Franklin Financial Network, Inc. (a)		2,900		98,890
Glacier Bancorp, Inc.		18,100		712,959
Heritage Financial Corp.		11,100		341,880
Hilltop Holdings, Inc.		50,660		1,283,218
Home BancShares, Inc.		54,500		1,267,125
Hope Bancorp, Inc.		24,200		441,650
Horizon Bancorp		6,100		169,580
Howard Bancorp, Inc. (a)		9,788		215,336
IBERIABANK Corp.		36,690		2,843,475
Lakeland Financial Corp.		15,800		766,142
Live Oak Bancshares, Inc.		9,919		236,568
MB Financial, Inc.		37,120		1,652,582
National Bank Holdings Corp. Class A		19,100		619,413
Northeast Bancorp		8,400		194,460
Northrim BanCorp, Inc.		4,200		142,170
PCSB Financial Corp. (a) (d)		11,565		220,313
Pinnacle Financial Partners, Inc.		5,100		338,130
Ponce de Leon Federal Bank (a) (d)		11,520		174,874
Popular, Inc.		31,830		1,129,647
Preferred Bank		1,400		82,292
Prosperity Bancshares, Inc.		13,600		952,952
Republic Bancorp, Inc. Class A		2,600		98,852
S&T Bancorp, Inc.		1,600		63,696
South State Corp.		2,604		226,939
Sterling Bancorp, Inc. (a)		6,168		78,334
SVB Financial Group (a)		4,150		970,146
Synovus Financial Corp.		6,700		321,198
Texas Capital Bancshares, Inc. (a)		7,100		631,190
Towne Bank		22,900		704,175
Two River Bancorp (d)		7,500		135,975
UMB Financial Corp.		3,000		215,760
Umpqua Holdings Corp.		3,700		76,960
United Community Banks, Inc.		11,000		309,540
Valley National Bancorp		4,700		52,734

	Number of Shares		Value
Walker & Dunlop, Inc. (a)		24,200	$	1,149,500
Washington Trust Bancorp, Inc.		3,000		159,750
Webster Financial Corp.		11,215		629,834
West Bancorporation, Inc.		13,700		344,555
Wintrust Financial Corp.		19,965		1,644,517
				38,616,030
Diversified Financial Services — 3.3%
Aircastle Ltd.		6,600		154,374
Cboe Global Markets, Inc.		5,733		714,275
Evercore, Inc. Class A		500		45,000
Federal Agricultural Mortgage Corp. Class C		9,600		751,104
Houlihan Lokey, Inc.		7,924		359,987
INTL. FCStone, Inc. (a)		7,000		297,710
Janus Henderson Group PLC		9,731		372,308
Marlin Business Services Corp.		1,400		31,360
Navient Corp.		12,600		167,832
Nelnet, Inc. Class A		1,800		98,604
OM Asset Management PLC		168,140		2,816,345
OneMain Holdings, Inc. (a)		54,755		1,423,082
PennyMac Financial Services, Inc. Class A (a)		22,700		507,345
Regional Management Corp. (a)		7,300		192,063
Stifel Financial Corp.		5,300		315,668
				8,247,057
Insurance — 5.7%
American Equity Investment Life Holding Co.		27,900		857,367
Argo Group International Holdings Ltd.		30,227		1,863,495
Assured Guaranty Ltd.		24,600		833,202
CNO Financial Group, Inc.		83,365		2,058,282
Employers Holdings, Inc.		9,630		427,572
Essent Group Ltd. (a)		9,200		399,464
Heritage Insurance Holdings, Inc. (d)		55,275		996,055
Investors Title Co.		400		79,340
Kinsale Capital Group, Inc.		7,035		316,575
MGIC Investment Corp. (a)		44,000		620,840
ProAssurance Corp.		12,900		737,235
Radian Group, Inc.		155,200		3,198,672
Safety Insurance Group, Inc.		3,900		313,560
State Auto Financial Corp.		11,400		331,968
Third Point Reinsurance Ltd. (a)		62,500		915,625
Tiptree, Inc.		6,400		38,080
				13,987,332
Private Equity — 0.1%
Safeguard Scientifics, Inc. (a)		11,700		131,040
Real Estate — 0.1%
Maui Land & Pineapple Co., Inc. (a)		17,700		306,210
Real Estate Investment Trusts (REITS) — 9.5%
Acadia Realty Trust		16,200		443,232

The accompanying notes are an integral part of the portfolio of investments.

100

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

	Number of Shares		Value
AG Mortgage Investment Trust, Inc.		14,700	$	279,447
American Assets Trust, Inc.		4,700		179,728
American Campus Communities, Inc.		7,092		290,985
Anworth Mortgage Asset Corp.		81,400		442,816
Ares Commercial Real Estate Corp.		7,100		91,590
ARMOUR Residential REIT, Inc.		18,400		473,248
Cedar Realty Trust, Inc.		116,800		710,144
Chesapeake Lodging Trust		48,400		1,311,156
Chimera Investment Corp.		4,000		73,920
CoreCivic, Inc.		19,100		429,750
CoreSite Realty Corp.		4,600		523,940
Cousins Properties, Inc.		188,240		1,741,220
CYS Investments, Inc.		13,700		110,011
Douglas Emmett, Inc.		9,800		402,388
EastGroup Properties, Inc.		15,300		1,352,214
Getty Realty Corp.		15,100		410,116
Healthcare Realty Trust, Inc.		59,850		1,922,382
InfraREIT, Inc. (a)		25,900		481,222
Invesco Mortgage Capital, Inc.		102,860		1,833,994
iStar, Inc. (a) (d)		9,400		106,220
JBG SMITH Properties		13,590		471,980
Kilroy Realty Corp.		6,100		455,365
Kite Realty Group Trust		29,975		587,510
Lexington Realty Trust		83,015		801,095
MFA Financial, Inc.		24,200		191,664
MTGE Investment Corp.		13,600		251,600
National Health Investors, Inc.		800		60,304
PennyMac Mortgage Investment Trust		2,400		38,568
Piedmont Office Realty Trust, Inc. Class A		21,200		415,732
Potlatch Corp.		11,100		553,890
Preferred Apartment Communities, Inc. Class A		13,100		265,275
PS Business Parks, Inc.		7,600		950,684
Retail Opportunity Investments Corp.		12,900		257,355
Saul Centers, Inc.		7,700		475,475
Summit Hotel Properties, Inc.		32,200		490,406
Sunstone Hotel Investors, Inc.		33,200		548,796
Washington REIT		81,170		2,526,010
Weingarten Realty Investors		4,000		131,480
Xenia Hotels & Resorts, Inc.		14,700		317,373
				23,400,285
Savings & Loans — 3.3%
Beneficial Bancorp, Inc.		29,972		493,039
Charter Financial Corp.		18,000		315,720
Dime Community Bancshares, Inc.		27,200		569,840
First Defiance Financial Corp.		5,800		301,426
Flagstar Bancorp, Inc. (a)		73,130		2,736,525
FS Bancorp, Inc.		3,400		185,538
Hingham Institution for Savings		1,050		217,350
Home Bancorp Inc.		2,200		95,084

	Number of Shares		Value
Meridian Bancorp, Inc.		18,700	$	385,220
Oritani Financial Corp.		2,300		37,720
Riverview Bancorp, Inc.		21,800		189,006
Sterling Bancorp		20,925		514,755
Timberland Bancorp, Inc.		1,100		29,205
United Financial Bancorp, Inc.		29,600		522,144
Washington Federal, Inc.		3,800		130,150
WSFS Financial Corp.		30,405		1,454,879
				8,177,601
				92,865,555
Industrial — 13.1%
Aerospace & Defense — 0.7%
Kaman Corp.		4,400		258,896
KLX, Inc. (a)		13,650		931,612
Triumph Group, Inc. (d)		21,550		586,160
				1,776,668
Building Materials — 0.2%
Universal Forest Products, Inc.		12,900		485,298
Electrical Components & Equipment — 1.3%
Belden, Inc.		12,800		987,776
Energizer Holdings, Inc.		21,275		1,020,775
Littelfuse, Inc.		6,303		1,246,859
				3,255,410
Electronics — 3.1%
Badger Meter, Inc.		8,705		416,099
Bel Fuse, Inc. Class B		5,300		133,428
Benchmark Electronics, Inc. (a)		59,015		1,717,336
Brady Corp. Class A		8,200		310,780
Control4 Corp. (a)		13,000		386,880
Electro Scientific Industries, Inc. (a)		32,500		696,475
ESCO Technologies, Inc.		11,400		686,850
Knowles Corp. (a)		31,800		466,188
Methode Electronics, Inc.		8,800		352,880
Stoneridge, Inc. (a)		22,400		512,064
SYNNEX Corp.		4,800		652,560
TTM Technologies, Inc. (a)		81,875		1,282,981
ZAGG, Inc. (a)		4,500		83,025
				7,697,546
Engineering & Construction — 0.8%
Aegion Corp. (a)		23,100		587,433
Argan, Inc.		6,700		301,500
Dycom Industries, Inc. (a)		9,800		1,092,014
				1,980,947
Environmental Controls — 0.3%
Heritage-Crystal Clean, Inc. (a)		17,500		380,625
MSA Safety, Inc.		4,100		317,832
				698,457
Hand & Machine Tools — 0.5%
Hardinge, Inc.		2,100		36,582

The accompanying notes are an integral part of the portfolio of investments.

101

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

	Number of Shares		Value
Kennametal, Inc.		26,865	$	1,300,535
				1,337,117
Machinery – Construction & Mining — 0.5%
Hyster-Yale Materials Handling, Inc.		14,455		1,230,988
Machinery – Diversified — 0.7%
Welbilt, Inc. (a)		69,485		1,633,592
Metal Fabricate & Hardware — 0.6%
CIRCOR International, Inc.		7,300		355,364
LB Foster Co. Class A (a)		7,700		209,055
RBC Bearings, Inc. (a)		3,600		455,040
Sun Hydraulics Corp.		8,000		517,520
				1,536,979
Miscellaneous – Manufacturing — 1.0%
Colfax Corp. (a)		7,600		301,112
Harsco Corp. (a)		59,500		1,109,675
Hillenbrand, Inc.		6,750		301,725
Myers Industries, Inc.		38,000		741,000
				2,453,512
Packaging & Containers — 0.4%
Owens-Illinois, Inc. (a)		42,400		940,008
Transportation — 2.4%
Atlas Air Worldwide Holdings, Inc. (a)		21,955		1,287,661
Genesee & Wyoming, Inc. Class A (a)		6,700		527,491
Golar LNG Ltd. (d)		50,660		1,510,175
Kirby Corp. (a)		4,200		280,560
Landstar System, Inc.		10,900		1,134,690
Navios Maritime Acquisition Corp. (d)		97,700		108,447
Universal Logistics Holdings, Inc.		12,400		294,500
Werner Enterprises, Inc.		21,810		842,956
				5,986,480
Trucking & Leasing — 0.6%
The Greenbrier Cos., Inc. (d)		25,765		1,373,275
				32,386,277
Technology — 3.4%
Computers — 2.4%
Conduent, Inc. (a)		12,100		195,536
CSRA, Inc.		14,300		427,856
Insight Enterprises, Inc. (a)		40,880		1,565,295
Lumentum Holdings, Inc. (a) (d)		1,600		78,240
NetScout Systems, Inc. (a)		36,725		1,118,276
Presidio, Inc. (a) (d)		73,025		1,399,889
Startek, Inc. (a)		2,700		26,919
WNS Holdings Ltd. ADR (a)		29,400		1,179,822
				5,991,833
Semiconductors — 0.7%
Amtech Systems, Inc. (a)		13,200		132,924

	Number of Shares		Value
Cabot Microelectronics Corp.		4,400	$	413,952
MaxLinear, Inc. (a)		24,640		650,989
Pixelworks, Inc. (a)		6,000		37,980
Rudolph Technologies, Inc. (a)		9,400		224,660
Ultra Clean Holdings, Inc. (a)		5,500		126,995
				1,587,500
Software — 0.3%
Callidus Software, Inc. (a)		16,800		481,320
Ribbon Communications, Inc. (a)		31,300		241,949
				723,269
				8,302,602
Utilities — 5.3%
Electric — 3.1%
ALLETE, Inc.		24,710		1,837,436
Black Hills Corp.		1,500		90,165
El Paso Electric Co.		39,330		2,176,915
MGE Energy, Inc.		1,500		94,650
NorthWestern Corp.		11,000		656,700
Ormat Technologies, Inc.		15,900		1,016,964
PNM Resources, Inc.		27,400		1,108,330
Portland General Electric Co.		15,600		711,048
				7,692,208
Gas — 1.8%
Atmos Energy Corp.		5,400		463,806
Chesapeake Utilities Corp.		9,600		754,080
ONE Gas, Inc.		11,600		849,816
Spire, Inc.		30,860		2,319,129
				4,386,831
Water — 0.4%
California Water Service Group		8,400		380,940
SJW Group		9,600		612,768
				993,708
				13,072,747
TOTAL COMMON STOCK (Cost $197,963,340)				243,161,601
TOTAL EQUITIES (Cost $197,963,340)				243,161,601
WARRANTS — 0.0%
Consumer, Non-cyclical — 0.0%
Foods — 0.0%
The Simply Good Foods Co. (a)		3,900		15,132
TOTAL WARRANTS (Cost $7,860)				15,132

The accompanying notes are an integral part of the portfolio of investments.

102

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

	Number of Shares		Value
MUTUAL FUNDS — 8.5%
Diversified Financial Services — 8.5%
State Street Navigator Securities Lending Prime Portfolio (e)		20,865,764	$	20,865,764
T. Rowe Price Reserve Investment Fund		1,018		1,018
				20,866,782
TOTAL MUTUAL FUNDS (Cost $20,866,782)				20,866,782
TOTAL LONG-TERM INVESTMENTS (Cost $218,837,982)				264,043,515
	Principal Amount
SHORT-TERM INVESTMENTS — 2.4%
Repurchase Agreement — 2.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (f)	$	5,791,920		5,791,920
U.S. Treasury Bill — 0.1%
U.S. Treasury Bill (g) 0.000% 3/15/18		150,000		149,612
TOTAL SHORT-TERM INVESTMENTS (Cost $5,941,567)				5,941,532
TOTAL INVESTMENTS — 109.5% (Cost $224,779,549) (h)				269,985,047
Other Assets/(Liabilities) — (9.5)%				(23,478,622	)
NET ASSETS — 100.0%			$	246,506,425

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Investment was valued using significant unobservable inputs.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2017, these securities amounted to a value of $0 or 0.00% of net assets.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $20,377,435 or 8.27% 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).

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

(f) Maturity value of $5,792,268. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.750%, maturity dates ranging from 2/15/24 – 4/30/24, and an aggregate market value, including accrued interest, of $5,912,275.

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

(h) See Note 3 for aggregate cost for federal tax purposes.

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date		Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contract — Long
Russell 2000 E Mini Index		3/16/18		26	$	1,979,312	$	18,138

The accompanying notes are an integral part of the portfolio of investments.

103

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

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.4%
COMMON STOCK — 99.4%
Basic Materials — 5.2%
Chemicals — 2.9%
Ashland Global Holdings, Inc.		16,964	$	1,207,837
Cabot Corp.		16,947		1,043,766
The Chemours Co.		50,647		2,535,389
Minerals Technologies, Inc.		9,677		666,261
NewMarket Corp.		2,515		999,436
Olin Corp.		45,299		1,611,738
PolyOne Corp.		22,053		959,305
RPM International, Inc.		36,392		1,907,669
Sensient Technologies Corp.		11,869		868,217
Valvoline, Inc.		55,252		1,384,615
Versum Materials, Inc.		29,629		1,121,458
				14,305,691
Forest Products & Paper — 0.2%
Domtar Corp.		17,040		843,821
Iron & Steel — 1.7%
Allegheny Technologies, Inc. (a) (b)		34,090		822,933
Carpenter Technology Corp.		12,901		657,822
Commercial Metals Co.		31,906		680,236
Reliance Steel & Aluminum Co.		19,850		1,702,931
Steel Dynamics, Inc.		64,498		2,781,799
United States Steel Corp.		47,603		1,675,149
				8,320,870
Mining — 0.4%
Compass Minerals International, Inc. (b)		9,326		673,804
Royal Gold, Inc.		17,916		1,471,262
				2,145,066
				25,615,448
Communications — 2.9%
Internet — 0.1%
Cars.com, Inc. (a)		19,728		568,955
Media — 1.4%
AMC Networks, Inc. Class A (a)		13,760		744,141
Cable One, Inc.		1,275		896,771
FactSet Research Systems, Inc.		10,697		2,061,954
John Wiley & Sons, Inc. Class A		12,166		799,914
Meredith Corp.		10,799		713,274
The New York Times Co. Class A		34,453		637,381
TEGNA, Inc.		59,181		833,268
				6,686,703
Telecommunications — 1.4%
ARRIS International PLC (a)		48,069		1,234,893
Ciena Corp. (a)		38,935		814,910
InterDigital, Inc.		9,490		722,664

	Number of Shares		Value
LogMeIn, Inc.		14,325	$	1,640,212
Plantronics, Inc.		9,116		459,264
Telephone & Data Systems, Inc.		25,168		699,670
ViaSat, Inc. (a) (b)		14,674		1,098,349
				6,669,962
				13,925,620
Consumer, Cyclical — 12.0%
Airlines — 0.4%
JetBlue Airways Corp. (a)		87,478		1,954,259
Apparel — 0.7%
Carter’s, Inc.		12,884		1,513,741
Deckers Outdoor Corp. (a)		8,630		692,557
Skechers U.S.A., Inc. Class A (a)		36,452		1,379,344
				3,585,642
Auto Parts & Equipment — 0.6%
Cooper Tire & Rubber Co. (b)		14,149		500,167
Dana, Inc.		39,425		1,261,994
Delphi Technologies PLC (a)		24,180		1,268,725
				3,030,886
Distribution & Wholesale — 0.6%
Pool Corp.		10,974		1,422,779
Watsco, Inc.		8,286		1,408,952
				2,831,731
Entertainment — 0.7%
Churchill Downs, Inc.		3,548		825,619
Cinemark Holdings, Inc.		28,773		1,001,876
International Speedway Corp. Class A		6,636		264,445
Six Flags Entertainment Corp.		21,307		1,418,407
				3,510,347
Home Builders — 2.0%
CalAtlantic Group, Inc.		20,852		1,175,844
KB Home		23,010		735,169
NVR, Inc. (a)		949		3,329,301
Thor Industries, Inc.		13,318		2,007,289
Toll Brothers, Inc.		40,162		1,928,579
TRI Pointe Group, Inc. (a)		41,316		740,383
				9,916,565
Home Furnishing — 0.2%
Tempur Sealy International, Inc. (a) (b)		12,613		790,709
Housewares — 0.8%
The Scotts Miracle-Gro Co.		11,148		1,192,724
The Toro Co.		29,378		1,916,327
Tupperware Brands Corp.		13,960		875,292
				3,984,343

The accompanying notes are an integral part of the portfolio of investments.

104

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

	Number of Shares		Value
Leisure Time — 0.7%
Brunswick Corp.		23,887	$	1,319,040
Polaris Industries, Inc. (b)		15,848		1,964,994
				3,284,034
Lodging — 0.2%
ILG, Inc.		28,671		816,550
Office Furnishings — 0.2%
Herman Miller, Inc.		16,126		645,846
HNI Corp.		11,740		452,812
				1,098,658
Retail — 4.9%
American Eagle Outfitters, Inc.		46,104		866,755
AutoNation, Inc. (a) (b)		16,106		826,721
Bed Bath & Beyond, Inc.		39,078		859,325
Big Lots, Inc. (b)		11,578		650,105
Brinker International, Inc. (b)		12,771		496,026
Buffalo Wild Wings, Inc. (a)		4,235		662,142
Casey’s General Stores, Inc. (b)		10,408		1,165,072
The Cheesecake Factory, Inc. (b)		11,579		557,876
Copart, Inc. (a)		54,905		2,371,347
Cracker Barrel Old Country Store, Inc. (b)		6,544		1,039,776
Dick’s Sporting Goods, Inc.		22,552		648,145
Dillard’s, Inc. Class A (b)		5,824		349,731
Domino’s Pizza, Inc.		11,912		2,250,892
Dunkin’ Brands Group, Inc.		24,594		1,585,575
GameStop Corp. Class A (b)		27,390		491,651
Jack in the Box, Inc.		7,981		783,016
The Michaels Cos., Inc. (a)		30,225		731,143
MSC Industrial Direct Co., Inc. Class A		12,084		1,168,039
Nu Skin Enterprises, Inc. Class A		13,445		917,352
Office Depot, Inc.		141,592		501,236
Papa John’s International, Inc. (b)		6,993		392,377
Sally Beauty Holdings, Inc. (a)		35,045		657,444
Texas Roadhouse, Inc.		17,777		936,492
Urban Outfitters, Inc. (a)		21,699		760,767
The Wendy’s Co.		49,240		808,521
Williams-Sonoma, Inc. (b)		21,226		1,097,384
World Fuel Services Corp.		18,380		517,213
				24,092,123
				58,895,847
Consumer, Non-cyclical — 14.2%
Beverages — 0.1%
The Boston Beer Co., Inc. Class A (a) (b)		2,326		444,499
Biotechnology — 1.2%
Bio-Rad Laboratories, Inc. Class A (a)		5,525		1,318,652
Bioverativ, Inc. (a)		29,629		1,597,595

	Number of Shares		Value
Charles River Laboratories International, Inc. (a)		12,858	$	1,407,308
United Therapeutics Corp. (a)		11,805		1,746,550
				6,070,105
Commercial Services — 3.7%
Aaron’s, Inc.		16,872		672,349
Adtalem Global Education, Inc.		16,568		696,684
Avis Budget Group, Inc. (a)		19,541		857,459
The Brink’s Co.		13,751		1,082,204
CoreLogic, Inc. (a)		22,528		1,041,019
Deluxe Corp.		13,131		1,008,986
Graham Holdings Co. Class B		1,256		701,288
Live Nation Entertainment, Inc. (a)		36,440		1,551,251
ManpowerGroup, Inc.		18,066		2,278,303
MarketAxess Holdings, Inc.		10,238		2,065,516
Rollins, Inc.		26,202		1,219,179
Sabre Corp.		56,749		1,163,355
Service Corp. International		51,014		1,903,842
Sotheby’s (a)		10,165		524,514
WEX, Inc. (a)		10,872		1,535,453
				18,301,402
Cosmetics & Personal Care — 0.2%
Avon Products, Inc. (a)		118,827		255,478
Edgewell Personal Care Co. (a)		15,179		901,481
				1,156,959
Foods — 2.9%
Dean Foods Co.		25,068		289,786
Flowers Foods, Inc.		50,072		966,890
The Hain Celestial Group, Inc. (a)		28,231		1,196,712
Ingredion, Inc.		19,667		2,749,447
Lamb Weston Holdings, Inc.		39,842		2,249,081
Lancaster Colony Corp.		5,263		680,032
Post Holdings, Inc. (a)		17,959		1,422,892
Sanderson Farms, Inc. (b)		5,425		752,881
Snyder’s-Lance, Inc.		23,312		1,167,465
Sprouts Farmers Market, Inc. (a)		33,761		822,080
Tootsie Roll Industries, Inc. (b)		5,364		195,250
TreeHouse Foods, Inc. (a)		15,699		776,472
United Natural Foods, Inc. (a)		13,980		688,795
				13,957,783
Health Care – Products — 3.3%
ABIOMED, Inc. (a)		11,492		2,153,716
Bio-Techne Corp.		10,187		1,319,726
Globus Medical, Inc. Class A (a)		19,824		814,766
Halyard Health, Inc. (a)		12,876		594,614
Hill-Rom Holdings, Inc.		17,873		1,506,515
LivaNova PLC (a)		11,841		946,333
Masimo Corp. (a)		13,007		1,102,994
NuVasive, Inc. (a)		13,895		812,718
STERIS PLC		23,141		2,024,143
Teleflex, Inc.		12,273		3,053,768

The accompanying notes are an integral part of the portfolio of investments.

105

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

	Number of Shares		Value
West Pharmaceutical Services, Inc.		20,303	$	2,003,297
				16,332,590
Health Care – Services — 1.7%
Acadia Healthcare Co., Inc. (a) (b)		22,085		720,634
Encompass Health Corp.		26,923		1,330,265
LifePoint Health, Inc. (a)		10,702		532,960
MEDNAX, Inc. (a)		25,484		1,361,865
Molina Healthcare, Inc. (a)		11,903		912,722
Syneos Health, Inc. (a)		15,441		673,228
Tenet Healthcare Corp. (a) (b)		21,946		332,701
WellCare Health Plans, Inc. (a)		12,132		2,439,866
				8,304,241
Household Products & Wares — 0.2%
Helen of Troy Ltd. (a)		7,458		718,578
Pharmaceuticals — 0.9%
Akorn, Inc. (a)		25,775		830,728
Catalent, Inc. (a)		36,286		1,490,629
Endo International PLC (a)		54,091		419,205
Mallinckrodt PLC (a) (b)		25,892		584,124
Owens & Minor, Inc.		16,818		317,524
Prestige Brands Holdings, Inc. (a)		14,307		635,374
				4,277,584
				69,563,741
Energy — 4.7%
Energy – Alternate Sources — 0.3%
First Solar, Inc. (a)		22,183		1,497,796
Oil & Gas — 3.7%
Callon Petroleum Co. (a)		54,969		667,873
CNX Resources Corp. (a)		56,110		820,889
Diamond Offshore Drilling, Inc. (a) (b)		17,807		331,032
Energen Corp. (a)		26,464		1,523,533
Ensco PLC Class A (b)		119,400		705,654
Gulfport Energy Corp. (a)		45,036		574,659
HollyFrontier Corp.		48,275		2,472,646
Matador Resources Co. (a)		26,564		826,937
Murphy Oil Corp.		44,115		1,369,771
Murphy USA, Inc. (a)		8,842		710,543
Nabors Industries Ltd.		86,467		590,570
Patterson-UTI Energy, Inc.		60,619		1,394,843
PBF Energy, Inc. Class A		29,814		1,056,906
QEP Resources, Inc. (a)		65,980		631,429
Rowan Cos. PLC Class A (a) (b)		31,286		489,939
SM Energy Co.		27,871		615,392
Southwestern Energy Co. (a)		138,498		772,819
Transocean Ltd. (a) (b)		106,309		1,135,380
WPX Energy, Inc. (a)		108,291		1,523,654
				18,214,469
Oil & Gas Services — 0.7%
Core Laboratories NV (b)		11,992		1,313,723

	Number of Shares		Value
Dril-Quip, Inc. (a)		10,400	$	496,080
NOW, Inc. (a) (b)		29,490		325,275
Oceaneering International, Inc.		27,121		573,338
Superior Energy Services, Inc. (a)		42,213		406,511
				3,114,927
				22,827,192
Financial — 24.8%
Banks — 8.2%
Associated Banc-Corp.		41,149		1,045,185
BancorpSouth Bank		22,701		713,947
Bank of Hawaii Corp.		11,592		993,434
Bank of the Ozarks, Inc.		33,004		1,599,044
Cathay General Bancorp		20,608		869,039
Chemical Financial Corp.		19,379		1,036,195
Commerce Bancshares, Inc.		25,608		1,429,951
Cullen/Frost Bankers, Inc.		15,670		1,483,166
East West Bancorp, Inc.		39,393		2,396,276
F.N.B. Corp.		87,999		1,216,146
First Horizon National Corp.		88,482		1,768,755
Fulton Financial Corp.		48,095		860,901
Hancock Holding Co.		23,334		1,155,033
Home BancShares, Inc.		43,028		1,000,401
International Bancshares Corp.		14,620		580,414
MB Financial, Inc.		22,830		1,016,392
PacWest Bancorp		35,121		1,770,098
Pinnacle Financial Partners, Inc.		20,181		1,338,000
Prosperity Bancshares, Inc.		18,899		1,324,253
Signature Bank (a)		14,647		2,010,447
SVB Financial Group (a)		14,421		3,371,197
Synovus Financial Corp.		32,657		1,565,577
TCF Financial Corp.		47,238		968,379
Texas Capital Bancshares, Inc. (a)		13,520		1,201,928
Trustmark Corp.		18,625		593,393
UMB Financial Corp.		11,914		856,855
Umpqua Holdings Corp.		60,173		1,251,598
United Bankshares, Inc.		28,887		1,003,823
Valley National Bancorp		71,546		802,746
Webster Financial Corp.		25,132		1,411,413
Wintrust Financial Corp.		15,208		1,252,683
				39,886,669
Diversified Financial Services — 2.4%
Eaton Vance Corp.		32,345		1,823,935
Federated Investors, Inc. Class B		25,736		928,555
Interactive Brokers Group, Inc. Class A		19,498		1,154,477
Janus Henderson Group PLC		49,151		1,880,517
Legg Mason, Inc.		23,302		978,218
SEI Investments Co.		35,614		2,559,222
SLM Corp. (a)		117,466		1,327,366
Stifel Financial Corp.		18,615		1,108,709
				11,760,999

The accompanying notes are an integral part of the portfolio of investments.

106

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

	Number of Shares		Value
Insurance — 4.4%
Alleghany Corp. (a)		4,204	$	2,505,962
American Financial Group, Inc.		18,726		2,032,520
Aspen Insurance Holdings Ltd.		16,111		654,107
Brown & Brown, Inc.		31,552		1,623,666
CNO Financial Group, Inc.		46,005		1,135,863
First American Financial Corp.		30,112		1,687,477
Genworth Financial, Inc. Class A (a)		137,495		427,609
The Hanover Insurance Group, Inc.		11,505		1,243,460
Kemper Corp.		13,260		913,614
Mercury General Corp.		10,068		538,034
Old Republic International Corp.		66,760		1,427,329
Primerica, Inc.		12,095		1,228,247
Reinsurance Group of America, Inc.		17,573		2,740,158
RenaissanceRe Holdings Ltd.		10,933		1,373,076
W.R. Berkley Corp.		26,346		1,887,691
				21,418,813
Real Estate — 0.4%
Alexander & Baldwin, Inc.		12,745		353,546
Jones Lang LaSalle, Inc.		12,358		1,840,477
				2,194,023
Real Estate Investment Trusts (REITS) — 8.6%
American Campus Communities, Inc.		37,147		1,524,141
Camden Property Trust		25,248		2,324,331
CoreCivic, Inc.		32,456		730,260
CoreSite Realty Corp.		9,297		1,058,928
Corporate Office Properties Trust		27,369		799,175
Cousins Properties, Inc.		114,049		1,054,953
CyrusOne, Inc.		24,794		1,475,987
DCT Industrial Trust, Inc.		25,334		1,489,133
Douglas Emmett, Inc.		43,614		1,790,791
Education Realty Trust, Inc.		20,592		719,073
EPR Properties		17,480		1,144,241
First Industrial Realty Trust, Inc.		32,666		1,027,999
The GEO Group, Inc.		33,686		794,990
Healthcare Realty Trust, Inc.		34,166		1,097,412
Highwoods Properties, Inc.		28,074		1,429,247
Hospitality Properties Trust		44,922		1,340,922
JBG SMITH Properties		25,429		883,149
Kilroy Realty Corp.		26,850		2,004,352
Lamar Advertising Co. Class A		22,920		1,701,581
LaSalle Hotel Properties		30,689		861,440
Liberty Property Trust		40,134		1,726,163
Life Storage, Inc.		12,697		1,130,922
Mack-Cali Realty Corp.		24,724		533,049
Medical Properties Trust, Inc.		99,397		1,369,691
National Retail Properties, Inc.		41,485		1,789,248
Omega Healthcare Investors, Inc. (b)		53,991		1,486,912
Potlatch Corp.		11,202		558,980
Quality Care Properties, Inc. (a)		25,851		357,002
Rayonier, Inc.		35,065		1,109,106
Sabra Health Care REIT, Inc.		48,571		911,678

	Number of Shares		Value
Senior Housing Properties Trust		64,750	$	1,239,962
Tanger Factory Outlet Centers, Inc. (b)		25,851		685,310
Taubman Centers, Inc. (b)		16,655		1,089,737
Uniti Group, Inc. (a) (b)		45,157		803,343
Urban Edge Properties		28,666		730,696
Washington Prime Group, Inc. (b)		51,192		364,487
Weingarten Realty Investors		32,545		1,069,754
				42,208,145
Savings & Loans — 0.8%
New York Community Bancorp, Inc.		132,913		1,730,527
Sterling Bancorp		61,594		1,515,212
Washington Federal, Inc.		23,670		810,698
				4,056,437
				121,525,086
Industrial — 19.0%
Aerospace & Defense — 1.4%
Curtiss-Wright Corp.		12,036		1,466,586
Esterline Technologies Corp. (a)		7,214		538,886
KLX, Inc. (a)		13,975		953,794
Orbital ATK, Inc.		15,723		2,067,574
Teledyne Technologies, Inc. (a)		9,691		1,755,525
				6,782,365
Building Materials — 1.2%
Cree, Inc. (a)		26,949		1,000,886
Eagle Materials, Inc.		13,292		1,505,984
Lennox International, Inc.		10,260		2,136,747
Louisiana-Pacific Corp. (a)		39,376		1,034,014
				5,677,631
Electrical Components & Equipment — 1.2%
Belden, Inc.		11,492		886,838
Energizer Holdings, Inc.		16,472		790,326
EnerSys		11,455		797,612
Hubbell, Inc.		14,906		2,017,378
Littelfuse, Inc.		6,186		1,223,714
				5,715,868
Electronics — 3.7%
Arrow Electronics, Inc. (a)		24,033		1,932,494
Avnet, Inc.		32,903		1,303,617
Coherent, Inc. (a)		6,711		1,893,978
Gentex Corp.		77,498		1,623,583
Jabil, Inc.		48,202		1,265,302
Keysight Technologies, Inc. (a)		50,469		2,099,510
Knowles Corp. (a)		24,376		357,352
National Instruments Corp.		29,163		1,214,056
SYNNEX Corp.		7,933		1,078,491
Tech Data Corp. (a)		9,535		934,144
Trimble, Inc. (a)		68,626		2,788,961
Vishay Intertechnology, Inc. (b)		35,701		740,796

The accompanying notes are an integral part of the portfolio of investments.

107

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

	Number of Shares		Value
Woodward, Inc.		15,089	$	1,154,912
				18,387,196
Engineering & Construction — 1.1%
AECOM (a)		43,031		1,598,602
Dycom Industries, Inc. (a)		8,383		934,118
EMCOR Group, Inc.		16,099		1,316,093
Granite Construction, Inc.		10,762		682,634
KBR, Inc.		38,310		759,687
				5,291,134
Environmental Controls — 0.3%
Clean Harbors, Inc. (a)		14,091		763,732
MSA Safety, Inc.		9,321		722,564
				1,486,296
Hand & Machine Tools — 0.7%
Kennametal, Inc.		22,148		1,072,185
Lincoln Electric Holdings, Inc.		16,813		1,539,735
Regal Beloit Corp.		12,174		932,528
				3,544,448
Machinery – Construction & Mining — 0.6%
Oshkosh Corp.		20,537		1,866,608
Terex Corp.		21,727		1,047,676
				2,914,284
Machinery – Diversified — 2.9%
AGCO Corp.		18,043		1,288,811
Cognex Corp.		47,192		2,886,263
Graco, Inc.		45,771		2,069,765
IDEX Corp.		20,836		2,749,727
Nordson Corp.		13,827		2,024,273
Wabtec Corp. (b)		23,261		1,894,143
Zebra Technologies Corp. Class A (a)		14,441		1,498,976
				14,411,958
Metal Fabricate & Hardware — 0.5%
The Timken Co.		18,578		913,109
Valmont Industries, Inc.		6,139		1,018,153
Worthington Industries, Inc.		12,128		534,359
				2,465,621
Miscellaneous – Manufacturing — 1.9%
AptarGroup, Inc.		17,046		1,470,729
Carlisle Cos., Inc.		16,906		1,921,367
Crane Co.		13,780		1,229,452
Donaldson Co., Inc.		35,367		1,731,215
ITT, Inc.		24,095		1,285,950
Trinity Industries, Inc.		41,488		1,554,140
				9,192,853
Packaging & Containers — 0.9%
Bemis Co., Inc.		24,724		1,181,560
Greif, Inc. Class A		7,131		431,996
Owens-Illinois, Inc. (a)		44,258		981,200
Silgan Holdings, Inc.		20,190		593,384

	Number of Shares		Value
Sonoco Products Co.		27,078	$	1,438,925
				4,627,065
Shipbuilding — 0.6%
Huntington Ingalls Industries, Inc.		12,378		2,917,495
Transportation — 1.9%
Genesee & Wyoming, Inc. Class A (a)		16,742		1,318,098
Kirby Corp. (a)		14,647		978,420
Knight-Swift Transportation Holdings, Inc.		35,039		1,531,905
Landstar System, Inc.		11,406		1,187,364
Old Dominion Freight Line, Inc.		18,631		2,450,908
Ryder System, Inc.		14,413		1,213,142
Werner Enterprises, Inc.		12,363		477,830
				9,157,667
Trucking & Leasing — 0.1%
GATX Corp. (b)		10,428		648,204
				93,220,085
Technology — 11.3%
Computers — 2.5%
3D Systems Corp. (a) (b)		31,721		274,069
Convergys Corp.		24,962		586,607
Diebold Nixdorf, Inc. (b)		20,838		340,701
DST Systems, Inc.		16,435		1,020,120
Fortinet, Inc. (a)		40,775		1,781,460
Leidos Holdings, Inc.		38,715		2,499,828
MAXIMUS, Inc.		17,866		1,278,848
NCR Corp. (a)		33,008		1,121,942
NetScout Systems, Inc. (a)		23,734		722,700
Science Applications International Corp.		11,873		909,116
Teradata Corp. (a)		33,030		1,270,334
VeriFone Systems, Inc. (a)		30,773		544,990
				12,350,715
Office & Business Equipment — 0.1%
Pitney Bowes, Inc.		51,393		574,574
Semiconductors — 2.8%
Cirrus Logic, Inc. (a)		17,496		907,343
Cypress Semiconductor Corp.		91,046		1,387,541
Integrated Device Technology, Inc. (a)		36,341		1,080,418
IPG Photonics Corp. (a)		10,203		2,184,768
Microsemi Corp. (a)		32,004		1,653,007
MKS Instruments, Inc.		14,796		1,398,222
Monolithic Power Systems, Inc.		10,473		1,176,746
Silicon Laboratories, Inc. (a)		11,647		1,028,430
Synaptics, Inc. (a)		9,136		364,892
Teradyne, Inc.		53,494		2,239,794
				13,421,161

The accompanying notes are an integral part of the portfolio of investments.

108

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

	Number of Shares		Value
Software — 5.9%
ACI Worldwide, Inc. (a)		32,402	$	734,553
Acxiom Corp. (a)		21,560		594,194
Allscripts Healthcare Solutions, Inc. (a)		48,966		712,455
Blackbaud, Inc.		13,093		1,237,158
Broadridge Financial Solutions, Inc.		31,752		2,876,096
CDK Global, Inc.		35,868		2,556,671
CommVault Systems, Inc. (a)		11,580		607,950
The Dun & Bradstreet Corp.		10,058		1,190,968
Fair Isaac Corp.		8,198		1,255,934
j2 Global, Inc.		13,257		994,673
Jack Henry & Associates, Inc.		21,109		2,468,909
Manhattan Associates, Inc. (a)		18,734		928,082
Medidata Solutions, Inc. (a)		15,942		1,010,244
MSCI, Inc.		24,548		3,106,304
PTC, Inc. (a)		31,489		1,913,586
Take-Two Interactive Software, Inc. (a)		31,079		3,411,853
Tyler Technologies, Inc. (a)		9,551		1,691,004
The Ultimate Software Group, Inc. (a)		7,770		1,695,647
				28,986,281
				55,332,731
Utilities — 5.3%
Electric — 2.5%
Black Hills Corp.		14,490		870,994
Great Plains Energy, Inc.		58,834		1,896,808
Hawaiian Electric Industries, Inc.		29,654		1,071,992
IDACORP, Inc.		13,878		1,267,894
MDU Resources Group, Inc.		52,993		1,424,452
NorthWestern Corp.		13,337		796,219
OGE Energy Corp.		54,572		1,795,965
PNM Resources, Inc.		21,689		877,320
Westar Energy, Inc.		38,778		2,047,478
				12,049,122
Gas — 2.4%
Atmos Energy Corp.		30,490		2,618,786
National Fuel Gas Co. (b)		23,274		1,277,975
New Jersey Resources Corp.		23,507		944,981
ONE Gas, Inc.		14,260		1,044,688
Southwest Gas Holdings, Inc.		12,953		1,042,457
UGI Corp.		47,264		2,219,045
Vectren Corp.		22,547		1,466,006
WGL Holdings, Inc.		13,989		1,200,816
				11,814,754

	Number of Shares		Value
Water — 0.4%
Aqua America, Inc.		48,400	$	1,898,732
				25,762,608
TOTAL COMMON STOCK (Cost $414,058,641)				486,668,358
TOTAL EQUITIES (Cost $414,058,641)				486,668,358
MUTUAL FUNDS — 5.6%
Diversified Financial Services — 5.6%
State Street Navigator Securities Lending Prime Portfolio (c)		27,395,117		27,395,117
TOTAL MUTUAL FUNDS (Cost $27,395,117)				27,395,117
TOTAL LONG-TERM INVESTMENTS (Cost $441,453,758)				514,063,475
	Principal Amount
SHORT-TERM INVESTMENTS — 1.2%
Repurchase Agreement — 1.0%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (d)	$	4,756,983		4,756,983
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill (e) 0.000% 2/01/18		905,000		904,046
TOTAL SHORT-TERM INVESTMENTS (Cost $5,661,095)				5,661,029
TOTAL INVESTMENTS — 106.2% (Cost $447,114,853) (f)				519,724,504
Other Assets/(Liabilities) — (6.2)%				(30,223,808	)
NET ASSETS — 100.0%			$	489,500,696

The accompanying notes are an integral part of the portfolio of investments.

109

MM S&P Mid Cap 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) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $26,727,986 or 5.46% 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 $4,757,268. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $4,853,625.

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

(f) See Note 3 for aggregate cost for federal tax purposes.

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date		Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contract — Long
S&P Midcap 400 E Mini Index		3/16/18		28	$	5,294,424	$	32,296

The accompanying notes are an integral part of the portfolio of investments.

110

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.5%
COMMON STOCK — 96.5%
Basic Materials — 3.5%
Chemicals — 2.0%
A. Schulman, Inc.		3,906	$	145,499
Aceto Corp.		4,181		43,190
AdvanSix, Inc. (a)		4,105		172,697
AgroFresh Solutions, Inc. (a)		3,018		22,333
American Vanguard Corp.		3,983		78,266
Balchem Corp.		4,348		350,449
Calgon Carbon Corp.		6,906		147,098
Codexis, Inc. (a)		5,551		46,351
CSW Industrials, Inc. (a)		1,973		90,659
Ferro Corp. (a)		11,494		271,143
GCP Applied Technologies, Inc. (a)		9,851		314,247
H.B. Fuller Co.		6,922		372,888
Hawkins, Inc.		1,320		46,464
Ingevity Corp. (a)		5,838		411,404
Innophos Holdings, Inc.		2,679		125,190
Innospec, Inc.		3,291		232,345
Intrepid Potash, Inc. (a) (b)		12,752		60,700
KMG Chemicals, Inc.		1,800		118,944
Koppers Holdings, Inc. (a)		2,819		143,487
Kraton Corp. (a)		4,110		197,979
Kronos Worldwide, Inc.		3,113		80,222
Landec Corp. (a)		3,662		46,141
Minerals Technologies, Inc.		4,830		332,545
Oil-Dri Corp. of America		687		28,511
OMNOVA Solutions, Inc. (a)		5,909		59,090
PolyOne Corp.		11,038		480,153
PQ Group Holdings, Inc. (a)		4,020		66,129
Quaker Chemical Corp.		1,784		269,009
Rayonier Advanced Materials, Inc. (b)		5,889		120,430
Sensient Technologies Corp.		6,074		444,313
Stepan Co.		2,740		216,378
Tronox Ltd. Class A		12,339		253,073
Valhi, Inc.		3,443		21,243
				5,808,570
Forest Products & Paper — 0.3%
Clearwater Paper Corp. (a)		2,208		100,243
Deltic Timber Corp.		1,500		137,325
Neenah Paper, Inc.		2,285		207,135
Orchids Paper Products Co.		1,239		15,859
P.H. Glatfelter Co.		5,931		127,161
Schweitzer-Mauduit International, Inc.		4,178		189,514
Verso Corp. Class A (a)		4,731		83,124
				860,361
Iron & Steel — 0.6%
AK Steel Holding Corp. (a) (b)		43,305		245,106
Allegheny Technologies, Inc. (a) (b)		17,251		416,439

	Number of Shares		Value
Carpenter Technology Corp.		6,360	$	324,296
Cleveland-Cliffs, Inc. (a)		40,918		295,019
Commercial Metals Co.		15,870		338,349
Ryerson Holding Corp. (a)		2,156		22,422
Schnitzer Steel Industries, Inc. Class A		3,663		122,711
Shiloh Industries, Inc. (a)		1,928		15,810
				1,780,152
Mining — 0.6%
Century Aluminum Co. (a)		6,791		133,375
Coeur Mining, Inc. (a)		25,440		190,800
Compass Minerals International, Inc. (b)		4,649		335,890
Fairmount Santrol Holdings, Inc. (a) (b)		21,209		110,923
Ferroglobe Representation & Warranty Insurance Trust (a) (c) (d)		10,133		-
Gold Resource Corp.		7,159		31,500
Hecla Mining Co.		54,049		214,575
Kaiser Aluminum Corp.		2,270		242,550
Klondex Mines Ltd. (a)		24,661		64,365
Materion Corp.		2,754		133,844
Smart Sand, Inc. (a) (b)		3,094		26,794
United States Lime & Minerals, Inc.		270		20,817
Uranium Energy Corp. (a) (b)		19,113		33,830
US Silica Holdings, Inc. (b)		11,215		365,160
				1,904,423
				10,353,506
Communications — 5.9%
Advertising — 0.0%
Clear Channel Outdoor Holdings, Inc. Class A		5,171		23,787
MDC Partners, Inc. Class A (a)		7,801		76,060
Yext, Inc. (a)		3,240		38,977
				138,824
Internet — 2.6%
1-800-Flowers.com, Inc. Class A (a)		3,580		38,306
8x8, Inc. (a)		12,090		170,469
Blucora, Inc. (a)		6,087		134,523
Boingo Wireless, Inc. (a)		5,227		117,608
Cars.com, Inc. (a) (b)		9,887		285,141
Carvana Co. (a)		1,907		36,462
ChannelAdvisor Corp. (a)		3,409		30,681
Chegg, Inc. (a) (b)		13,060		213,139
Cogent Communications Holdings, Inc.		5,717		258,980
Corindus Vascular Robotics, Inc. (a) (b)		13,736		13,873
DHI Group, Inc. (a)		6,878		13,068

The accompanying notes are an integral part of the portfolio of investments.

111

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

	Number of Shares		Value
Endurance International Group Holdings, Inc. (a)		7,918	$	66,511
ePlus, Inc. (a)		1,795		134,984
Etsy, Inc. (a)		16,591		339,286
FTD Cos., Inc. (a)		2,447		17,594
Groupon, Inc. (a) (b)		46,642		237,874
GrubHub, Inc. (a) (b)		11,790		846,522
HealthStream, Inc. (a)		3,513		81,361
Imperva, Inc. (a)		4,684		185,955
Internap Corp. (a)		2,749		43,187
Lands’ End, Inc. (a) (b)		1,812		35,425
Leaf Group Ltd. (a)		1,783		17,652
Limelight Networks, Inc. (a)		10,284		45,352
Liquidity Services, Inc. (a)		3,424		16,606
The Meet Group, Inc. (a)		8,843		24,937
ModusLink Global Solutions, Inc. (a)		573		1,427
New Media Investment Group, Inc.		6,974		117,024
NIC, Inc.		8,762		145,449
Okta, Inc. (a)		2,677		68,558
Ominto, Inc. (a) (b)		1,870		6,339
Overstock.com, Inc. (a) (b)		2,292		146,459
Perficient, Inc. (a)		4,760		90,773
Proofpoint, Inc. (a)		5,992		532,150
Q2 Holdings, Inc. (a)		4,288		158,013
QuinStreet, Inc. (a)		5,023		42,093
Quotient Technology, Inc. (a)		10,391		122,094
Rapid7, Inc. (a)		2,954		55,122
RealNetworks, Inc. (a)		3,226		11,033
Reis, Inc.		1,200		24,780
RingCentral, Inc. Class A (a)		8,925		431,970
The Rubicon Project, Inc. (a)		5,855		10,949
Shutterfly, Inc. (a)		4,549		226,313
Shutterstock, Inc. (a)		2,549		109,683
Stamps.com, Inc. (a)		2,243		421,684
TechTarget, Inc. (a)		2,655		36,958
The Trade Desk, Inc. Class A (a) (b)		3,243		148,302
TrueCar, Inc. (a) (b)		9,599		107,509
Tucows, Inc. Class A (a) (b)		1,246		87,282
VASCO Data Security International, Inc. (a)		4,219		58,644
VirnetX Holding Corp. (a) (b)		7,226		26,736
Web.com Group, Inc. (a)		5,228		113,970
XO Group, Inc. (a)		3,407		62,893
Yelp, Inc. (a)		10,967		460,175
Zendesk, Inc. (a)		13,682		462,999
Zix Corp. (a)		7,307		32,005
				7,724,882
Media — 1.3%
Beasley Broadcasting Group, Inc. Class A		641		8,589
Central European Media Enterprises Ltd. Class A (a) (b)		11,149		51,843

	Number of Shares		Value
Daily Journal Corp. (a) (b)		153	$	35,224
The E.W. Scripps Co. Class A (a)		8,018		125,321
Entercom Communications Corp. Class A		17,386		187,769
Entravision Communications Corp. Class A		9,114		65,165
Gannett Co., Inc.		15,460		179,181
Global Eagle Entertainment, Inc. (a) (b)		7,233		16,564
Gray Television, Inc. (a)		8,735		146,311
Hemisphere Media Group, Inc. (a) (b)		2,046		23,631
Houghton Mifflin Harcourt Co. (a)		14,117		131,288
Liberty Media Corp-Liberty Braves Class A (a)		1,345		29,657
Liberty Media Corp-Liberty Braves Class C (a)		4,673		103,834
Meredith Corp.		5,436		359,048
MSG Networks, Inc. Class A (a)		8,197		165,989
The New York Times Co. Class A		17,241		318,959
Nexstar Media Group, Inc. Class A		6,024		471,077
Saga Communications, Inc. Class A		507		20,508
Salem Media Group, Inc.		1,469		6,611
Scholastic Corp.		3,872		155,306
Sinclair Broadcast Group, Inc. Class A (b)		9,806		371,157
Time, Inc.		13,754		253,761
TiVo Corp.		16,460		256,776
Townsquare Media, Inc. Class A (a)		1,185		9,101
tronc, Inc. (a)		2,777		48,848
Value Line, Inc.		118		2,283
WideOpenWest, Inc. (a) (b)		2,855		30,177
World Wrestling Entertainment, Inc. Class A (b)		5,321		162,716
				3,736,694
Telecommunications — 2.0%
A10 Networks, Inc. (a)		6,871		53,044
Acacia Communications, Inc. (a) (b)		2,609		94,524
ADTRAN, Inc.		6,639		128,465
Aerohive Networks, Inc. (a)		4,513		26,311
ATN International, Inc.		1,448		80,016
CalAmp Corp. (a)		4,796		102,778
Calix, Inc. (a)		5,861		34,873
Ciena Corp. (a)		19,368		405,372
Cincinnati Bell, Inc. (a)		5,721		119,283
Clearfield, Inc. (a)		1,569		19,220
Comtech Telecommunications Corp.		3,136		69,368
Consolidated Communications Holdings, Inc. (b)		9,053		110,356
Extreme Networks, Inc. (a)		15,380		192,558
Finisar Corp. (a) (b)		15,654		318,559
Frontier Communications Corp. (b)		10,702		72,346
General Communication, Inc. Class A (a)		3,644		142,189

The accompanying notes are an integral part of the portfolio of investments.

112

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

	Number of Shares		Value
Globalstar, Inc. (a) (b)		78,215	$	102,462
Gogo, Inc. (a) (b)		7,740		87,307
GTT Communications, Inc. (a) (b)		4,242		199,162
Harmonic, Inc. (a)		10,959		46,028
Hawaiian Telcom Holdco, Inc. (a)		826		25,490
HC2 Holdings, Inc. (a)		5,776		34,367
IDT Corp. Class B		2,380		25,228
Infinera Corp. (a)		20,352		128,828
Intelsat SA (a)		4,904		16,625
InterDigital, Inc.		4,755		362,093
Iridium Communications, Inc. (a) (b)		11,449		135,098
KVH Industries, Inc. (a)		2,070		21,424
Loral Space & Communications, Inc. (a)		1,750		77,087
NeoPhotonics Corp. (a)		4,544		29,900
NETGEAR, Inc. (a)		4,296		252,390
Oclaro, Inc. (a) (b)		22,678		152,850
Ooma, Inc. (a)		2,396		28,632
ORBCOMM, Inc. (a)		9,309		94,766
Plantronics, Inc.		4,526		228,020
Preformed Line Products Co.		427		30,338
Quantenna Communications, Inc. (a) (b)		2,974		36,283
RigNet, Inc. (a)		1,899		28,390
Shenandoah Telecommunications Co.		6,380		215,644
Spok Holdings, Inc.		2,748		43,006
Straight Path Communications, Inc. Class B (a)		1,343		244,144
Telenav, Inc. (a)		4,022		22,121
Ubiquiti Networks, Inc. (a) (b)		3,078		218,600
ViaSat, Inc. (a) (b)		7,309		547,079
Viavi Solutions, Inc. (a)		31,455		274,917
Vonage Holdings Corp. (a)		28,253		287,333
Windstream Holdings, Inc. (b)		25,259		46,729
				6,011,603
				17,612,003
Consumer, Cyclical — 11.6%
Airlines — 0.3%
Allegiant Travel Co. (b)		1,738		268,956
Hawaiian Holdings, Inc.		7,119		283,692
SkyWest, Inc.		6,965		369,841
				922,489
Apparel — 0.6%
Columbia Sportswear Co.		4,004		287,808
Crocs, Inc. (a)		9,565		120,902
Deckers Outdoor Corp. (a)		4,342		348,445
Delta Apparel, Inc. (a)		976		19,715
Iconix Brand Group, Inc. (a) (b)		7,184		9,267
Oxford Industries, Inc.		2,251		169,253
Perry Ellis International, Inc. (a)		1,723		43,144
Sequential Brands Group, Inc. (a) (b)		5,381		9,578
Steven Madden Ltd. (a)		8,115		378,970

	Number of Shares		Value
Superior Uniform Group, Inc.		1,158	$	30,930
Unifi, Inc. (a)		2,095		75,148
Weyco Group, Inc.		826		24,549
Wolverine World Wide, Inc.		12,957		413,069
				1,930,778
Auto Manufacturers — 0.2%
Blue Bird Corp. (a)		1,073		21,353
Navistar International Corp. (a)		6,828		292,785
REV Group, Inc.		3,101		100,875
Wabash National Corp. (b)		8,020		174,034
				589,047
Auto Parts & Equipment — 1.1%
American Axle & Manufacturing Holdings, Inc. (a)		13,564		230,995
Commercial Vehicle Group, Inc. (a)		3,507		37,490
Cooper Tire & Rubber Co. (b)		7,064		249,712
Cooper-Standard Holding, Inc. (a)		2,364		289,590
Dana, Inc.		19,944		638,407
Dorman Products, Inc. (a)		3,699		226,157
Douglas Dynamics, Inc.		3,061		115,706
Gentherm, Inc. (a)		5,014		159,195
Horizon Global Corp. (a)		3,480		48,790
Meritor, Inc. (a)		11,493		269,626
Miller Industries, Inc.		1,515		39,087
Modine Manufacturing Co. (a)		6,772		136,794
Motorcar Parts of America, Inc. (a)		2,622		65,524
Spartan Motors, Inc.		4,747		74,765
Standard Motor Products, Inc.		2,982		133,922
Superior Industries International, Inc.		3,437		51,039
Tenneco, Inc.		6,997		409,604
Titan International, Inc.		6,813		87,751
Tower International, Inc.		2,705		82,638
				3,346,792
Distribution & Wholesale — 0.9%
Anixter International, Inc. (a)		3,990		303,240
Beacon Roofing Supply, Inc. (a)		9,165		584,360
Castle Brands, Inc. (a) (b)		12,891		15,727
Core-Mark Holding Co., Inc.		6,257		197,596
EnviroStar, Inc. (b)		521		20,840
Essendant, Inc.		5,043		46,749
Fossil Group, Inc. (a) (b)		6,131		47,638
G-III Apparel Group Ltd. (a)		5,940		219,127
H&E Equipment Services, Inc.		4,320		175,608
Huttig Building Products, Inc. (a) (b)		3,429		22,803
Nexeo Solutions, Inc. (a)		3,700		33,670
ScanSource, Inc. (a)		3,440		123,152
SiteOne Landscape Supply, Inc. (a)		4,655		357,038
Systemax, Inc.		1,578		52,500
Titan Machinery, Inc. (a)		2,556		54,110
Triton International Ltd. (a)		6,459		241,890
Veritiv Corp. (a)		1,610		46,529
				2,542,577

The accompanying notes are an integral part of the portfolio of investments.

113

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

	Number of Shares		Value
Entertainment — 1.1%
AMC Entertainment Holdings, Inc. Class A (b)		7,335	$	110,759
Churchill Downs, Inc.		1,847		429,797
Eldorado Resorts, Inc. (a) (b)		6,449		213,784
Empire Resorts, Inc. (a) (b)		459		12,393
Eros International PLC (a) (b)		3,392		32,733
Golden Entertainment, Inc. (a)		1,476		48,191
IMAX Corp. (a)		7,684		177,885
Inspired Entertainment, Inc. (a)		513		5,027
International Speedway Corp. Class A		3,322		132,382
Marriott Vacations Worldwide Corp.		2,935		396,841
National CineMedia, Inc.		8,482		58,187
Penn National Gaming, Inc. (a)		11,617		363,961
Pinnacle Entertainment, Inc. (a)		7,261		237,653
RCI Hospitality Holdings, Inc.		1,233		34,499
Reading International, Inc. Series A (a)		2,302		38,443
Red Rock Resorts, Inc. Class A		9,468		319,450
Scientific Games Corp. Class A (a)		7,304		374,695
SeaWorld Entertainment, Inc. (a) (b)		9,324		126,527
Speedway Motorsports, Inc.		1,615		30,475
				3,143,682
Home Builders — 1.0%
AV Homes, Inc. (a) (b)		1,679		27,955
Beazer Homes USA, Inc. (a)		4,260		81,835
Cavco Industries, Inc. (a)		1,170		178,542
Century Communities, Inc. (a)		2,612		81,233
Green Brick Partners, Inc. (a)		3,190		36,047
Hovnanian Enterprises, Inc. Class A (a)		16,693		55,922
Installed Building Products, Inc. (a)		2,960		224,812
KB Home		11,677		373,080
LGI Homes, Inc. (a) (b)		2,365		177,446
M.D.C. Holdings, Inc.		6,147		195,966
M/I Homes, Inc. (a)		3,639		125,182
Meritage Home Corp. (a)		5,289		270,797
The New Home Co., Inc. (a)		1,743		21,840
PICO Holdings, Inc. (a)		3,003		38,438
Taylor Morrison Home Corp. Class A (a)		11,142		272,645
TRI Pointe Group, Inc. (a)		20,593		369,027
William Lyon Homes Class A (a)		3,742		108,817
Winnebago Industries, Inc.		4,327		240,581
				2,880,165
Home Furnishing — 0.3%
Daktronics, Inc.		4,831		44,107
Ethan Allen Interiors, Inc.		3,445		98,527
Flexsteel Industries, Inc.		1,040		48,651
Hamilton Beach Brands Inc. Class B (d)		537		13,796
Hooker Furniture Corp.		1,542		65,458
iRobot Corp. (a) (b)		3,633		278,651

	Number of Shares		Value
Sleep Number Corp. (a)		5,391	$	202,648
Universal Electronics, Inc. (a)		1,956		92,421
VOXX International Corp. (a)		2,639		14,778
				859,037
Housewares — 0.0%
Libbey, Inc.		3,008		22,620
Lifetime Brands, Inc.		1,309		21,599
				44,219
Leisure Time — 0.7%
Acushnet Holdings Corp. (b)		4,341		91,508
Callaway Golf Co.		12,792		178,193
Camping World Holdings, Inc. Class A		4,361		195,067
Clarus Corp. (a)		2,911		22,851
Drive Shack, Inc.		8,624		47,691
Escalade, Inc.		1,451		17,847
Fox Factory Holding Corp. (a)		4,805		186,674
Johnson Outdoors, Inc. Class A		673		41,787
LCI Industries		3,327		432,510
Liberty TripAdvisor Holdings, Inc. Class A (a)		10,063		94,844
Lindblad Expeditions Holdings, Inc. (a)		2,707		26,502
Malibu Boats, Inc. Class A (a)		2,772		82,412
Marine Products Corp.		1,141		14,536
MCBC Holdings, Inc. (a)		2,520		55,994
Nautilus, Inc. (a)		4,123		55,042
Planet Fitness, Inc. Class A (a)		11,871		411,093
Vista Outdoor, Inc. (a)		7,785		113,427
				2,067,978
Lodging — 0.5%
Belmond Ltd. Class A (a)		12,225		149,756
Boyd Gaming Corp. (b)		11,402		399,640
Caesars Entertainment Corp. (a)		18,746		237,137
Century Casinos, Inc. (a)		2,933		26,778
ILG, Inc.		14,591		415,552
La Quinta Holdings, Inc. (a)		11,179		206,364
The Marcus Corp.		2,560		70,016
Monarch Casino & Resort, Inc. (a)		1,478		66,244
Red Lion Hotels Corp. (a)		2,380		23,443
				1,594,930
Office Furnishings — 0.4%
CompX International, Inc.		155		2,062
Herman Miller, Inc.		8,196		328,250
HNI Corp.		5,961		229,916
Interface, Inc.		8,203		206,305
Kimball International, Inc. Class B		5,004		93,425
Knoll, Inc.		6,684		153,999
Steelcase, Inc. Class A		11,597		176,274
				1,190,231

The accompanying notes are an integral part of the portfolio of investments.

114

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

	Number of Shares		Value
Retail — 4.3%
Abercrombie & Fitch Co. Class A (b)		9,356	$	163,075
America’s Car-Mart, Inc. (a)		978		43,668
American Eagle Outfitters, Inc.		22,284		418,939
Asbury Automotive Group, Inc. (a)		2,543		162,752
Ascena Retail Group, Inc. (a) (b)		23,672		55,629
At Home Group, Inc. (a) (b)		670		20,361
Barnes & Noble Education, Inc. (a)		5,223		43,038
Barnes & Noble, Inc.		8,114		54,364
Bassett Furniture Industries, Inc.		1,391		52,302
Big 5 Sporting Goods Corp. (b)		2,770		21,052
Big Lots, Inc. (b)		5,852		328,590
Biglari Holdings, Inc. (a)		140		58,016
BJ’s Restaurants, Inc.		2,770		100,828
Bloomin’ Brands, Inc.		12,730		271,658
BMC Stock Holdings, Inc. (a)		8,986		227,346
Bojangles’, Inc. (a)		2,380		28,084
Boot Barn Holdings, Inc. (a) (b)		1,690		28,071
Brinker International, Inc. (b)		6,396		248,421
The Buckle, Inc. (b)		3,959		94,026
Buffalo Wild Wings, Inc. (a)		2,125		332,244
Build-A-Bear Workshop, Inc. (a)		1,860		17,112
Caleres, Inc.		5,777		193,414
Carrols Restaurant Group, Inc. (a)		4,755		57,773
The Cato Corp. Class A		3,256		51,836
The Cheesecake Factory, Inc. (b)		5,885		283,539
Chico’s FAS, Inc.		17,612		155,338
The Children’s Place, Inc.		2,368		344,189
Chuy’s Holdings, Inc. (a)		2,311		64,824
Citi Trends, Inc.		1,833		48,501
Conn’s, Inc. (a)		2,535		90,119
The Container Store Group, Inc. (a)		2,380		11,281
Cracker Barrel Old Country Store, Inc. (b)		2,638		419,152
Dave & Buster’s Entertainment, Inc. (a)		5,701		314,524
Del Frisco’s Restaurant Group, Inc. (a)		2,942		44,865
Del Taco Restaurants, Inc. (a)		4,511		54,673
Denny’s Corp. (a)		8,802		116,538
Dillard’s, Inc. Class A (b)		1,912		114,816
DineEquity, Inc. (b)		2,355		119,469
DSW, Inc. Class A		9,012		192,947
Duluth Holdings, Inc. Class B (a) (b)		1,316		23,491
El Pollo Loco Holdings, Inc. (a)		2,784		27,562
Express, Inc. (a)		10,607		107,661
EZCORP, Inc. Class A (a)		6,866		83,765
Fiesta Restaurant Group, Inc. (a)		3,552		67,488
The Finish Line, Inc. Class A		5,376		78,113
FirstCash, Inc.		6,357		428,780
Five Below, Inc. (a)		7,414		491,696
Fogo De Chao, Inc. (a)		1,244		14,430
Foundation Building Materials, Inc. (a)		2,001		29,595
Francesca’s Holdings Corp. (a)		4,988		36,462
Fred’s, Inc. Class A (b)		4,913		19,898

	Number of Shares		Value
Freshpet, Inc. (a) (b)		3,419	$	64,790
Gaia, Inc. (a)		1,207		14,967
Genesco, Inc. (a)		2,682		87,165
GMS, Inc. (a)		3,755		141,338
GNC Holdings, Inc. Class A (b)		9,511		35,096
Group 1 Automotive, Inc.		2,727		193,535
Guess?, Inc. (b)		8,190		138,247
The Habit Restaurants, Inc. Class A (a) (b)		2,709		25,871
Haverty Furniture Cos., Inc.		2,585		58,550
Hibbett Sports, Inc. (a) (b)		2,837		57,875
J Alexander’s Holdings, Inc. (a)		1,836		17,809
J. Jill, Inc. (a)		1,552		12,106
Jack in the Box, Inc.		4,040		396,364
JC Penney Co., Inc. (a) (b)		42,323		133,741
Kirkland’s, Inc. (a)		2,185		26,144
La-Z-Boy, Inc.		6,619		206,513
Lithia Motors, Inc. Class A		3,231		367,009
Lumber Liquidators Holdings, Inc. (a) (b)		3,835		120,381
MarineMax, Inc. (a)		3,135		59,251
Movado Group, Inc.		2,083		67,073
Nathan’s Famous, Inc.		393		29,671
National Vision Holdings, Inc. (a)		2,518		102,256
Noodles & Co. (a)		1,419		7,450
Office Depot, Inc.		70,353		249,050
Ollie’s Bargain Outlet Holdings, Inc. (a)		6,537		348,095
Papa John’s International, Inc. (b)		3,568		200,200
Party City Holdco, Inc. (a) (b)		3,855		53,777
PC Connection, Inc.		1,567		41,071
PCM, Inc. (a)		1,326		13,127
PetIQ, Inc. (a) (b)		978		21,360
PetMed Express, Inc.		2,702		122,941
Pier 1 Imports, Inc.		10,983		45,470
Potbelly Corp. (a)		3,073		37,798
PriceSmart, Inc.		3,032		261,055
Red Robin Gourmet Burgers, Inc. (a)		1,782		100,505
Regis Corp. (a)		4,928		75,694
RH (a) (b)		2,758		237,767
Rush Enterprises, Inc. Class A (a)		4,180		212,386
Rush Enterprises, Inc. Class B (a)		707		34,084
Ruth’s Hospitality Group, Inc.		4,033		87,314
Sears Holdings Corp. (a) (b)		1,541		5,517
Shake Shack, Inc. Class A (a) (b)		3,052		131,846
Shoe Carnival, Inc.		1,587		42,452
Sonic Automotive, Inc. Class A		3,478		64,169
Sonic Corp. (b)		5,361		147,320
Sportsman’s Warehouse Holdings, Inc. (a) (b)		5,120		33,843
Tailored Brands, Inc. (b)		6,742		147,178
Texas Roadhouse, Inc.		9,184		483,813
Tile Shop Holdings, Inc.		5,366		51,514
Tilly’s, Inc. Class A		1,826		26,952

The accompanying notes are an integral part of the portfolio of investments.

115

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

	Number of Shares		Value
Vera Bradley, Inc. (a)		2,780	$	33,860
Vitamin Shoppe, Inc. (a) (b)		2,744		12,074
Wingstop, Inc. (b)		3,973		154,868
Winmark Corp.		297		38,432
Zoe’s Kitchen, Inc. (a)		2,571		42,987
Zumiez, Inc. (a)		2,561		53,333
				12,831,369
Storage & Warehousing — 0.1%
Mobile Mini, Inc.		6,031		208,070
Wesco Aircraft Holdings, Inc. (a)		7,541		55,803
				263,873
Textiles — 0.1%
Culp, Inc.		1,536		51,456
UniFirst Corp.		2,098		345,960
				397,416
Toys, Games & Hobbies — 0.0%
Funko, Inc. (a) (b)		1,455		9,676
				34,614,259
Consumer, Non-cyclical — 20.7%
Agriculture — 0.2%
Alico, Inc.		427		12,597
The Andersons, Inc.		3,679		114,601
Cadiz, Inc. (a) (b)		2,990		42,608
Limoneira Co.		1,653		37,027
Tejon Ranch Co. (a)		2,549		52,917
Turning Point Brands, Inc.		686		14,495
Universal Corp.		3,387		177,817
Vector Group Ltd. (b)		13,472		301,503
				753,565
Beverages — 0.3%
The Boston Beer Co., Inc. Class A (a) (b)		1,143		218,427
Coca-Cola Bottling Co. Consolidated		644		138,627
Craft Brew Alliance, Inc. (a)		1,734		33,293
Farmer Brothers Co. (a)		1,170		37,616
MGP Ingredients, Inc.		1,773		136,308
National Beverage Corp. (b)		1,609		156,781
Primo Water Corp. (a)		3,449		43,354
				764,406
Biotechnology — 4.7%
Abeona Therapeutics, Inc. (a) (b)		3,869		61,324
Acceleron Pharma, Inc. (a)		5,162		219,075
Achillion Pharmaceuticals, Inc. (a)		15,777		45,438
Acorda Therapeutics, Inc. (a)		5,909		126,748
Aduro Biotech, Inc. (a) (b)		6,169		46,267
Advaxis, Inc. (a) (b)		5,108		14,507
Agenus, Inc. (a) (b)		10,034		32,711
Aileron Therapeutics, Inc. (a) (b)		479		5,049
Alder Biopharmaceuticals, Inc. (a)		8,617		98,665
Allena Pharmaceuticals, Inc. (a)		751		7,555

	Number of Shares		Value
AMAG Pharmaceuticals, Inc. (a) (b)		4,768	$	63,176
Amicus Therapeutics, Inc. (a) (b)		22,899		329,517
AnaptysBio, Inc. (a)		2,451		246,865
Anavex Life Sciences Corp. (a) (b)		5,188		16,705
ANI Pharmaceuticals, Inc. (a)		1,096		70,637
Aratana Therapeutics, Inc. (a)		5,811		30,566
Ardelyx, Inc. (a)		4,507		29,746
Arena Pharmaceuticals, Inc. (a)		5,384		182,894
Assembly Biosciences, Inc. (a)		2,214		100,183
Asterias Biotherapeutics, Inc. (a) (b)		3,900		8,775
Atara Biotherapeutics, Inc. (a) (b)		3,710		67,151
Athersys, Inc. (a) (b)		13,596		24,609
Audentes Therapeutics, Inc. (a)		2,265		70,781
Avexis, Inc. (a)		3,376		373,622
Axovant Sciences Ltd. (a)		4,370		23,030
Bellicum Pharmaceuticals, Inc. (a) (b)		3,653		30,722
BioCryst Pharmaceuticals, Inc. (a) (b)		13,498		66,275
Biohaven Pharmaceutical Holding Co. Ltd. (a) (b)		1,415		38,177
BioTime, Inc. (a)		12,066		25,942
Bluebird Bio, Inc. (a)		6,715		1,195,941
Blueprint Medicines Corp. (a)		5,837		440,168
Calyxt, Inc. (a) (b)		1,096		24,145
Cambrex Corp. (a)		4,458		213,984
Cascadian Therapeutics, Inc. (a)		5,058		18,715
Celcuity, Inc. (a)		394		7,466
Celldex Therapeutics, Inc. (a)		18,198		51,682
ChemoCentryx, Inc. (a)		3,567		21,224
Clearside Biomedical, Inc. (a)		2,728		19,096
Corium International, Inc. (a)		3,279		31,511
Corvus Pharmaceuticals, Inc. (a) (b)		1,112		11,520
Curis, Inc. (a)		15,320		10,724
Cytokinetics, Inc. (a)		5,604		45,673
CytomX Therapeutics, Inc. (a)		3,972		83,849
Deciphera Pharmaceuticals, Inc. (a)		1,146		25,980
Dermira, Inc. (a)		5,207		144,807
Dynavax Technologies Corp. (a) (b)		8,330		155,771
Edge Therapeutics, Inc. (a) (b)		2,761		25,871
Editas Medicine, Inc. (a) (b)		4,703		144,523
Emergent BioSolutions, Inc. (a)		4,599		213,716
Enzo Biochem, Inc. (a)		5,569		45,387
Epizyme, Inc. (a)		6,739		84,574
Esperion Therapeutics, Inc. (a) (b)		2,317		152,551
Exact Sciences Corp. (a)		16,141		848,048
Fate Therapeutics, Inc. (a) (b)		5,048		30,843
FibroGen, Inc. (a)		9,570		453,618
Five Prime Therapeutics, Inc. (a)		3,768		82,595
Fortress Biotech, Inc. (a) (b)		4,680		18,673
Foundation Medicine, Inc. (a) (b)		1,977		134,831
Genocea Biosciences, Inc. (a)		3,785		4,391
Geron Corp. (a) (b)		20,298		36,536
Halozyme Therapeutics, Inc. (a) (b)		16,389		332,041
Idera Pharmaceuticals, Inc. (a) (b)		19,485		41,113

The accompanying notes are an integral part of the portfolio of investments.

116

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

	Number of Shares		Value
ImmunoGen, Inc. (a) (b)		13,726	$	87,984
Immunomedics, Inc. (a) (b)		14,004		226,305
Innoviva, Inc. (a)		10,320		146,441
Inovio Pharmaceuticals, Inc. (a) (b)		11,003		45,442
Insmed, Inc. (a)		10,507		327,608
Intellia Therapeutics, Inc. (a) (b)		2,299		44,187
Iovance Biotherapeutics, Inc. (a)		8,484		67,872
Karyopharm Therapeutics, Inc. (a)		4,727		45,379
Kura Oncology, Inc. (a) (b)		2,774		42,442
Lexicon Pharmaceuticals, Inc. (a) (b)		6,014		59,418
Ligand Pharmaceuticals, Inc. (a) (b)		2,816		385,595
Loxo Oncology, Inc. (a) (b)		3,139		264,241
MacroGenics, Inc. (a)		4,704		89,376
Matinas BioPharma Holdings, Inc. (a)		9,133		10,594
The Medicines Co. (a) (b)		9,485		259,320
Merrimack Pharmaceuticals, Inc. (b)		1,729		17,722
Momenta Pharmaceuticals, Inc. (a)		10,393		144,982
Myriad Genetics, Inc. (a)		8,964		307,869
NantKwest, Inc. (a) (b)		4,028		18,086
NeoGenomics, Inc. (a) (b)		7,839		69,454
NewLink Genetics Corp. (a) (b)		4,003		32,464
Novavax, Inc. (a) (b)		43,054		53,387
Novelion Therapeutics, Inc. (a)		1,995		6,224
Nymox Pharmaceutical Corp. (a) (b)		4,516		14,903
Omeros Corp. (a) (b)		6,267		121,768
Oncocyte Corp. (a)		384		1,786
Organovo Holdings, Inc. (a) (b)		13,289		17,807
Otonomy, Inc. (a)		3,818		21,190
Ovid therapeutics, Inc. (a) (b)		667		6,583
Pacific Biosciences of California, Inc. (a) (b)		13,897		36,688
Paratek Pharmaceuticals, Inc. (a)		3,233		57,871
PDL BioPharma, Inc. (a)		21,022		57,600
Pieris Pharmaceuticals, Inc. (a)		4,938		37,282
Prothena Corp. PLC (a) (b)		5,271		197,610
PTC Therapeutics, Inc. (a)		5,447		90,856
Puma Biotechnology, Inc. (a)		3,942		389,667
Radius Health, Inc. (a) (b)		5,262		167,174
REGENXBIO, Inc. (a)		3,749		124,654
Retrophin, Inc. (a)		5,207		109,711
Rigel Pharmaceuticals, Inc. (a)		20,370		79,036
RTI Surgical, Inc. (a)		7,326		30,037
Sage Therapeutics, Inc. (a)		5,191		855,010
Sangamo Therapeutics, Inc. (a)		11,495		188,518
Selecta Biosciences, Inc. (a) (b)		1,876		18,404
Seres Therapeutics, Inc. (a) (b)		2,788		28,270
Sienna Biopharmaceuticals, Inc. (a) (b)		678		12,306
Spark Therapeutics, Inc. (a)		3,799		195,345
Spectrum Pharmaceuticals, Inc. (a)		11,930		226,073
Stemline Therapeutics, Inc. (a)		3,129		48,812
Strongbridge Biopharma PLC (a) (b)		3,414		24,751
Syndax Pharmaceuticals, Inc. (a)		1,679		14,708
Theravance Biopharma, Inc. (a) (b)		5,716		159,419

	Number of Shares		Value
Tocagen, Inc. (a) (b)		2,478	$	25,399
Ultragenyx Pharmaceutical, Inc. (a) (b)		5,441		252,354
VBI Vaccines, Inc. (a)		4,813		20,551
Veracyte, Inc. (a)		3,138		20,491
Versartis, Inc. (a)		4,434		9,755
WaVe Life Sciences Ltd. (a) (b)		1,636		57,424
XBiotech, Inc. (a) (b)		2,799		11,028
ZIOPHARM Oncology, Inc. (a) (b)		18,241		75,518
				14,167,030
Commercial Services — 4.3%
Aaron’s, Inc.		8,700		346,695
ABM Industries, Inc.		7,679		289,652
Acacia Research Corp. (a)		6,850		27,743
Adtalem Global Education, Inc.		8,278		348,090
Alarm.com Holdings, Inc. (a)		2,811		106,115
American Public Education, Inc. (a)		2,183		54,684
AMN Healthcare Services, Inc. (a)		6,481		319,189
ARC Document Solutions, Inc. (a)		5,628		14,351
Ascent Capital Group, Inc. Class A (a)		1,449		16,649
Avis Budget Group, Inc. (a)		9,938		436,079
B. Riley Financial, Inc. (b)		2,849		51,567
Barrett Business Services, Inc.		971		62,620
BG Staffing, Inc.		901		14,362
Bridgepoint Education, Inc. (a)		2,452		20,352
The Brink’s Co.		6,293		495,259
CAI International, Inc. (a)		2,113		59,840
Cambium Learning Group, Inc. (a)		1,785		10,139
Capella Education Co.		1,571		121,595
Cardtronics PLC Class A (a)		6,312		116,898
Care.com, Inc. (a)		1,923		34,691
Career Education Corp. (a)		9,243		111,655
Carriage Services, Inc.		2,057		52,885
CBIZ, Inc. (a)		7,091		109,556
Cimpress NV (a) (b)		3,429		411,069
Collectors Universe, Inc.		1,026		29,385
Corvel Corp. (a)		1,267		67,024
CPI Card Group, Inc. (b)		574		2,105
CRA International, Inc.		1,088		48,906
Cross Country Healthcare, Inc. (a)		4,845		61,822
Deluxe Corp.		6,655		511,370
Emerald Expositions Events, Inc. (b)		2,504		50,931
Ennis, Inc.		3,434		71,256
Everi Holdings, Inc. (a)		8,930		67,332
EVERTEC, Inc.		8,379		114,373
Forrester Research, Inc.		1,411		62,366
Franklin Covey Co. (a)		1,318		27,349
FTI Consulting, Inc. (a)		5,195		223,177
Grand Canyon Education, Inc. (a)		6,439		576,484
Great Lakes Dredge & Dock Corp. (a)		7,678		41,461

The accompanying notes are an integral part of the portfolio of investments.

117

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

	Number of Shares		Value
Green Dot Corp. Class A (a)		6,371	$	383,916
The Hackett Group, Inc.		3,219		50,571
Healthcare Services Group, Inc.		9,778		515,496
HealthEquity, Inc. (a)		6,846		319,434
Heidrick & Struggles International, Inc.		2,528		62,062
Herc Holdings, Inc. (a)		3,327		208,304
Hertz Global Holdings, Inc. (a) (b)		7,492		165,573
HMS Holdings Corp. (a)		11,475		194,501
Huron Consulting Group, Inc. (a)		2,988		120,865
ICF International, Inc. (a)		2,446		128,415
Information Services Group, Inc. (a)		4,250		17,723
Insperity, Inc.		4,972		285,144
K12, Inc. (a)		5,307		84,381
Kelly Services, Inc. Class A		4,164		113,552
Kforce, Inc.		3,262		82,366
Korn/Ferry International		7,215		298,557
Laureate Education, Inc. Class A (a) (b)		7,614		103,246
LendingTree, Inc. (a) (b)		874		297,553
Liberty Tax, Inc.		933		10,263
LSC Communications, Inc.		4,719		71,493
Matthews International Corp. Class A		4,297		226,882
McGrath RentCorp		3,204		150,524
Medifast, Inc.		1,450		101,225
MoneyGram International, Inc. (a)		3,956		52,140
Monro, Inc. (b)		4,359		248,245
National Research Corp. Class A		1,291		48,154
Navigant Consulting, Inc. (a)		6,308		122,438
Nutrisystem, Inc.		4,074		214,292
On Assignment, Inc. (a)		6,861		440,957
Paylocity Holding Corp. (a)		3,643		171,804
Quad/Graphics, Inc.		4,291		96,977
Rent-A-Center, Inc. (b)		5,817		64,569
Resources Connection, Inc.		4,056		62,665
RPX Corp.		6,344		85,263
RR Donnelley & Sons Co.		9,572		89,020
SEACOR Marine Holdings, Inc. (a)		2,227		26,056
ServiceSource International, Inc. (a)		10,818		33,428
Sotheby’s (a)		5,233		270,023
SP Plus Corp. (a)		2,369		87,890
Strayer Education, Inc.		1,468		131,503
Team, Inc. (a) (b)		4,084		60,852
Textainer Group Holdings Ltd. (a)		3,708		79,722
Travelport Worldwide Ltd.		17,031		222,595
TriNet Group, Inc. (a)		5,677		251,718
TrueBlue, Inc. (a)		5,609		154,248
Vectrus, Inc. (a)		1,497		46,182
Viad Corp.		2,765		153,181
Weight Watchers International, Inc. (a) (b)		3,835		169,814
Willdan Group, Inc. (a)		1,076		25,759
				12,988,617

	Number of Shares		Value
Cosmetics & Personal Care — 0.1%
elf Beauty, Inc. (a) (b)		2,831	$	63,160
Inter Parfums, Inc.		2,358		102,455
Revlon, Inc. Class A (a) (b)		1,600		34,880
				200,495
Foods — 1.6%
Amplify Snack Brands, Inc. (a) (b)		4,434		53,252
B&G Foods, Inc. (b)		9,032		317,475
Cal-Maine Foods, Inc. (a) (b)		3,951		175,622
Calavo Growers, Inc. (b)		2,193		185,089
The Chefs’ Warehouse, Inc. (a) (b)		2,661		54,551
Darling Ingredients, Inc. (a)		22,541		408,668
Dean Foods Co.		12,404		143,390
Fresh Del Monte Produce, Inc.		4,445		211,893
Hostess Brands, Inc. (a)		10,948		162,140
Ingles Markets, Inc. Class A		1,962		67,885
J&J Snack Foods Corp.		2,068		313,985
John B Sanfilippo & Son, Inc.		1,169		73,939
Lancaster Colony Corp.		2,582		333,620
Lifeway Foods, Inc. (a)		748		5,984
Performance Food Group Co. (a)		12,404		410,573
Sanderson Farms, Inc. (b)		2,765		383,727
Seneca Foods Corp. Class A (a)		984		30,258
Smart & Final Stores, Inc. (a)		3,169		27,095
Snyder’s-Lance, Inc.		11,817		591,795
SpartanNash Co.		5,043		134,547
SUPERVALU, Inc. (a)		5,277		113,983
Tootsie Roll Industries, Inc. (b)		2,307		83,975
United Natural Foods, Inc. (a)		6,964		343,116
Village Super Market, Inc. Class A		1,129		25,888
Weis Markets, Inc.		1,291		53,435
				4,705,885
Foods — 0.1%
Bob Evans Farms, Inc.		2,719		214,312
Health Care – Products — 3.7%
Abaxis, Inc.		3,033		150,194
Accelerate Diagnostics, Inc. (a) (b)		3,584		93,901
Accuray, Inc. (a)		10,974		47,188
Analogic Corp.		1,712		143,380
AngioDynamics, Inc. (a)		4,984		82,884
AtriCure, Inc. (a)		4,447		81,113
Atrion Corp.		191		120,445
AxoGen, Inc. (a)		3,751		106,153
BioTelemetry, Inc. (a)		4,369		130,633
Cantel Medical Corp.		4,991		513,424
Cardiovascular Systems, Inc. (a)		4,600		108,974
Cerus Corp. (a)		15,593		52,704
ConforMIS, Inc. (a)		5,475		13,031
CONMED Corp.		3,759		191,596
CryoLife, Inc. (a)		4,452		85,256
Cutera, Inc. (a)		1,802		81,721

The accompanying notes are an integral part of the portfolio of investments.

118

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

	Number of Shares		Value
Endologix, Inc. (a) (b)		11,291	$	60,407
Entellus Medical, Inc. (a) (b)		1,672		40,780
Exactech, Inc. (a)		1,469		72,642
FONAR Corp. (a)		810		19,724
GenMark Diagnostics, Inc. (a)		6,824		28,456
Genomic Health, Inc. (a)		2,692		92,066
Glaukos Corp. (a) (b)		3,965		101,702
Globus Medical, Inc. Class A (a)		9,682		397,930
Haemonetics Corp. (a)		7,305		424,275
Halyard Health, Inc. (a)		6,421		296,522
ICU Medical, Inc. (a)		2,064		445,824
Inogen, Inc. (a)		2,336		278,171
Insulet Corp. (a)		7,979		550,551
Integer Holdings Corp. (a)		4,253		192,661
Integra LifeSciences Holdings Corp. (a) (b)		8,734		418,009
Intersect ENT, Inc. (a)		3,621		117,320
Invacare Corp.		4,492		75,690
iRhythm Technologies, Inc. (a)		1,961		109,914
K2M Group Holdings, Inc. (a)		5,705		102,690
Lantheus Holdings, Inc. (a)		4,185		85,583
LeMaitre Vascular, Inc.		2,078		66,164
LivaNova PLC (a)		6,660		532,267
Luminex Corp.		5,644		111,187
Masimo Corp. (a)		6,154		521,859
Meridian Bioscience, Inc.		5,671		79,394
Merit Medical Systems, Inc. (a)		6,681		288,619
MiMedx Group, Inc. (a) (b)		14,244		179,617
NanoString Technologies, Inc. (a)		2,775		20,729
Natus Medical, Inc. (a)		4,195		160,249
Nevro Corp. (a)		3,805		262,697
Novocure Ltd. (a)		7,904		159,661
NuVasive, Inc. (a)		6,972		407,792
NxStage Medical, Inc. (a)		8,909		215,865
Obalon Therapeutics, Inc. (a) (b)		1,125		7,436
OraSure Technologies, Inc. (a)		7,724		145,675
Orthofix International NV (a)		2,380		130,186
OrthoPediatrics Corp. (a)		646		12,397
Oxford Immunotec Global PLC (a) (b)		3,502		48,923
Penumbra, Inc. (a)		4,023		378,564
Pulse Biosciences, Inc. (a)		1,285		30,326
Quidel Corp. (a)		3,901		169,108
Quotient Ltd. (a) (b)		3,524		17,444
Repligen Corp. (a) (b)		5,147		186,733
Restoration Robotics, Inc. (a) (b)		517		2,378
Rockwell Medical, Inc. (a) (b)		6,469		37,650
Sientra, Inc. (a) (b)		2,064		29,020
STAAR Surgical Co. (a)		5,618		87,079
Surmodics, Inc. (a)		1,782		49,896
Tactile Systems Technology, Inc. (a) (b)		1,785		51,729
Utah Medical Products, Inc.		472		38,421
Varex Imaging Corp. (a)		5,165		207,478
ViewRay, Inc. (a) (b)		4,110		38,059

	Number of Shares		Value
Viveve Medical, Inc. (a) (b)		1,975	$	9,816
Wright Medical Group NV (a)		14,363		318,859
				10,916,791
Health Care – Services — 1.6%
AAC Holdings, Inc. (a) (b)		1,576		14,184
Addus HomeCare Corp. (a)		1,014		35,287
Almost Family, Inc. (a)		1,751		96,918
Amedisys, Inc. (a)		3,908		205,991
American Renal Associates Holdings, Inc. (a) (b)		1,335		23,229
Capital Senior Living Corp. (a)		3,331		44,935
Chemed Corp.		2,160		524,923
Civitas Solutions, Inc. (a)		2,179		37,261
Community Health Systems, Inc. (a) (b)		12,891		54,916
Encompass Health Corp.		13,525		668,270
The Ensign Group, Inc.		6,587		146,231
Genesis Healthcare, Inc. (a) (b)		5,105		3,895
Invitae Corp. (a) (b)		5,904		53,608
Kindred Healthcare, Inc.		11,788		114,344
LHC Group, Inc. (a)		2,148		131,565
Magellan Health, Inc. (a)		3,315		320,063
Medpace Holdings, Inc. (a)		915		33,178
Molina Healthcare, Inc. (a)		6,043		463,377
Natera, Inc. (a)		4,376		39,340
National HealthCare Corp.		1,559		95,005
Optinose, Inc. (a)		756		14,288
The Providence Service Corp. (a)		1,559		92,511
RadNet, Inc. (a)		5,082		51,328
Select Medical Holdings Corp. (a)		14,759		260,496
Surgery Partners, Inc. (a) (b)		2,499		30,238
Syneos Health, Inc. (a)		7,498		326,913
Teladoc, Inc. (a) (b)		7,389		257,507
Tenet Healthcare Corp. (a) (b)		11,128		168,701
Tivity Health, Inc. (a)		5,005		182,933
Triple-S Management Corp. Class B (a)		3,143		78,104
U.S. Physical Therapy, Inc.		1,677		121,079
				4,690,618
Household Products & Wares — 0.3%
Acco Brands Corp. (a)		14,463		176,449
Central Garden & Pet Co. (a)		1,437		55,928
Central Garden & Pet Co. Class A (a)		4,840		182,516
CSS Industries, Inc.		1,204		33,507
Helen of Troy Ltd. (a)		3,743		360,638
WD-40 Co.		1,898		223,964
				1,033,002
Pharmaceuticals — 3.8%
Achaogen, Inc. (a) (b)		4,643		49,866
Aclaris Therapeutics, Inc. (a)		3,158		77,876
Adamas Pharmaceuticals, Inc. (a) (b)		2,036		69,000

The accompanying notes are an integral part of the portfolio of investments.

119

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

	Number of Shares		Value
Aerie Pharmaceuticals, Inc. (a)		4,545	$	271,564
Aimmune Therapeutics, Inc. (a)		4,827		182,557
Akcea Therapeutics, Inc. (a) (b)		2,020		35,067
Akebia Therapeutics, Inc. (a)		6,212		92,372
Amphastar Pharmaceuticals, Inc. (a)		5,026		96,700
Anika Therapeutics, Inc. (a)		1,963		105,825
Antares Pharma, Inc. (a) (b)		19,594		38,992
Apellis Pharmaceuticals, Inc. (a)		1,498		32,507
Array BioPharma, Inc. (a)		27,341		349,965
Athenex, Inc. (a) (b)		939		14,930
BioScrip, Inc. (a) (b)		15,910		46,298
BioSpecifics Technologies Corp. (a)		797		34,534
Calithera Biosciences, Inc. (a)		4,174		34,853
Cara Therapeutics, Inc. (a) (b)		3,613		44,223
Catalent, Inc. (a)		18,369		754,599
Catalyst Pharmaceuticals, Inc. (a)		9,906		38,732
Chimerix, Inc. (a)		6,318		29,252
Clovis Oncology, Inc. (a)		6,033		410,244
Coherus Biosciences, Inc. (a) (b)		5,210		45,848
Collegium Pharmaceutical, Inc. (a) (b)		3,448		63,650
Conatus Pharmaceuticals, Inc. (a) (b)		3,843		17,755
Concert Pharmaceuticals, Inc. (a)		2,497		64,597
Corbus Pharmaceuticals Holdings, Inc. (a)		6,704		47,598
Corcept Therapeutics, Inc. (a) (b)		12,511		225,949
Depomed, Inc. (a)		7,863		63,297
Diplomat Pharmacy, Inc. (a)		6,617		132,803
Dova Pharmaceuticals, Inc. (a) (b)		691		19,901
Durect Corp. (a)		19,100		17,606
Eagle Pharmaceuticals, Inc. (a) (b)		1,092		58,335
Enanta Pharmaceuticals, Inc. (a)		2,118		124,284
Flexion Therapeutics, Inc. (a) (b)		4,509		112,905
G1 Therapeutics, Inc. (a)		1,059		21,011
Global Blood Therapeutics, Inc. (a)		5,065		199,308
Heron Therapeutics, Inc. (a) (b)		6,200		112,220
Heska Corp. (a)		903		72,430
Horizon Pharma PLC (a)		22,427		327,434
Ignyta, Inc. (a)		8,089		215,976
Immune Design Corp. (a) (b)		4,441		17,320
Impax Laboratories, Inc. (a)		10,058		167,466
Insys Therapeutics, Inc. (a) (b)		3,224		31,015
Intra-Cellular Therapies, Inc. (a)		5,837		84,520
Ironwood Pharmaceuticals, Inc. (a)		18,511		277,480
Jounce Therapeutics, Inc. (a) (b)		1,951		24,875
Kala Pharmaceuticals, Inc. (a) (b)		981		18,139
Keryx Biopharmaceuticals, Inc. (a) (b)		12,099		56,260
Kindred Biosciences, Inc. (a)		3,389		32,026
La Jolla Pharmaceutical Co. (a) (b)		2,387		76,814
Lannett Co., Inc. (a) (b)		3,921		90,967
Madrigal Pharmaceuticals, Inc. (a)		572		52,504
MediciNova, Inc. (a)		4,772		30,875
Melinta Therapeutics, Inc. (a)		1,302		20,572
Mersana Therapeutics, Inc. (a) (b)		681		11,189

	Number of Shares		Value
Minerva Neurosciences, Inc. (a) (b)		3,589	$	21,713
Miragen Therapeutics, Inc. (a)		1,934		20,172
MyoKardia, Inc. (a)		2,669		112,365
Natural Grocers by Vitamin Cottage, Inc. (a) (b)		1,249		11,154
Natural Health Trends Corp.		1,018		15,463
Nature’s Sunshine Products, Inc.		1,464		16,909
Nektar Therapeutics (a)		20,338		1,214,585
Neogen Corp. (a)		5,094		418,778
Neos Therapeutics, Inc. (a) (b)		3,425		34,935
Ocular Therapeutix, Inc. (a)		3,197		14,227
Owens & Minor, Inc.		8,299		156,685
Pacira Pharmaceuticals, Inc. (a)		5,397		246,373
Phibro Animal Health Corp. Class A		2,722		91,187
Portola Pharmaceuticals, Inc. (a)		7,807		380,045
PRA Health Sciences, Inc. (a)		6,803		619,549
Prestige Brands Holdings, Inc. (a)		7,327		325,392
Progenics Pharmaceuticals, Inc. (a)		9,653		57,435
Protagonist Therapeutics, Inc. (a)		1,577		32,802
Ra Pharmaceuticals, Inc. (a)		1,554		13,209
Reata Pharmaceuticals, Inc. Class A (a) (b)		1,525		43,188
Recro Pharma, Inc. (a)		1,807		16,715
Revance Therapeutics, Inc. (a) (b)		3,162		113,041
Rhythm Pharmaceuticals, Inc. (a) (b)		1,140		33,128
Sarepta Therapeutics, Inc. (a) (b)		8,388		466,708
Spero Therapeutics, Inc. (a) (b)		842		9,894
Sucampo Pharmaceuticals, Inc. Class A (a)		3,340		59,953
Supernus Pharmaceuticals, Inc. (a)		6,633		264,325
Synergy Pharmaceuticals, Inc. (a) (b)		34,270		76,422
Syros Pharmaceuticals, Inc. (a) (b)		1,650		16,055
Teligent, Inc. (a) (b)		5,536		20,096
Tetraphase Pharmaceuticals, Inc. (a)		6,861		43,224
TG Therapeutics, Inc. (a) (b)		7,068		57,958
TherapeuticsMD, Inc. (a) (b)		22,755		137,440
Trevena, Inc. (a)		7,581		12,130
USANA Health Sciences, Inc. (a)		1,559		115,444
Vanda Pharmaceuticals, Inc. (a)		5,991		91,063
Voyager Therapeutics, Inc. (a) (b)		2,351		39,027
vTv Therapeutics, Inc. Class A (a) (b)		1,128		6,779
Xencor, Inc. (a)		5,189		113,743
Zogenix, Inc. (a)		4,700		188,235
Zynerba Pharmaceuticals, Inc. (a) (b)		1,677		20,996
				11,493,427
				61,928,148
Diversified — 0.1%
Holding Company – Diversified — 0.1%
HRG Group, Inc. (a)		16,343		277,014
Energy — 3.7%
Coal — 0.3%
Arch Coal, Inc. Class A		2,636		245,570

The accompanying notes are an integral part of the portfolio of investments.

120

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

	Number of Shares		Value
Cloud Peak Energy, Inc. (a)		9,964	$	44,340
Hallador Energy Co.		2,094		12,752
NACCO Industries, Inc. Class A		537		20,218
Peabody Energy Corp. (a)		9,161		360,668
Ramaco Resources, Inc. (a) (b)		1,008		6,935
SunCoke Energy, Inc. (a)		8,814		105,680
Warrior Met Coal, Inc. (b)		4,531		113,955
Westmoreland Coal Co. (a) (b)		2,520		3,049
				913,167
Energy – Alternate Sources — 0.3%
Clean Energy Fuels Corp. (a)		18,839		38,243
FutureFuel Corp.		3,434		48,385
Green Plains, Inc. (b)		5,459		91,984
Pacific Ethanol, Inc. (a)		6,012		27,355
Pattern Energy Group, Inc. (b)		10,823		232,586
Plug Power, Inc. (a) (b)		31,426		74,166
Renewable Energy Group, Inc. (a) (b)		5,219		61,584
REX American Resources Corp. (a)		794		65,735
Sunrun, Inc. (a) (b)		11,518		67,956
TerraForm Power, Inc. Class A (b)		6,171		73,805
TPI Composites, Inc. (a)		1,434		29,340
Vivint Solar, Inc. (a) (b)		3,620		14,661
				825,800
Oil & Gas — 1.9%
Abraxas Petroleum Corp. (a)		21,513		52,922
Adams Resources & Energy, Inc.		279		12,136
Approach Resources Inc. (a) (b)		5,663		16,762
Bill Barrett Corp. (a)		10,179		52,218
Bonanza Creek Energy, Inc. (a)		2,786		76,866
California Resources Corp. (a) (b)		5,909		114,871
Callon Petroleum Co. (a)		27,704		336,604
Carrizo Oil & Gas, Inc. (a) (b)		10,613		225,845
Contango Oil & Gas Co. (a)		3,065		14,436
CVR Energy, Inc. (b)		2,172		80,885
Delek US Holdings, Inc.		10,696		373,718
Denbury Resources, Inc. (a)		54,399		120,222
Diamond Offshore Drilling, Inc. (a) (b)		8,855		164,614
Earthstone Energy, Inc. Class A (a)		3,229		34,324
Eclipse Resources Corp. (a)		11,933		28,639
Energy XXI Gulf Coast, Inc. (a)		4,248		24,384
Ensco PLC Class A (b)		58,748		347,201
EP Energy Corp. Class A (a) (b)		5,291		12,487
Evolution Petroleum Corp.		3,338		22,865
Gastar Exploration, Inc. (a) (b)		24,987		26,236
Halcon Resources Corp. (a) (b)		17,633		133,482
Isramco, Inc. (a)		100		10,465
Jagged Peak Energy, Inc. (a) (b)		7,946		125,388
Jones Energy, Inc. Class A (a) (b)		6,020		6,622
Lilis Energy, Inc. (a) (b)		5,781		29,541
Matador Resources Co. (a) (b)		13,350		415,585
Midstates Petroleum Co., Inc. (a)		1,531		25,384
Noble Corp. PLC (a)		33,387		150,909

	Number of Shares		Value
Oasis Petroleum, Inc. (a)		36,688	$	308,546
Panhandle Oil & Gas, Inc. Class A		2,160		44,388
Par Pacific Holdings, Inc. (a)		4,345		83,772
Parker Drilling Co. (a)		18,273		18,273
PDC Energy, Inc. (a)		9,083		468,138
Penn Virginia Corp. (a)		1,942		75,952
Resolute Energy Corp. (a) (b)		2,964		93,277
Ring Energy, Inc. (a)		6,812		94,687
Rosehill Resources, Inc. (a) (b)		439		3,451
Rowan Cos. PLC Class A (a) (b)		16,036		251,124
Sanchez Energy Corp. (a) (b)		10,070		53,472
SandRidge Energy, Inc. (a)		4,763		100,356
SilverBow Resources, Inc. (a)		994		29,542
SRC Energy, Inc. (a)		32,404		276,406
Stone Energy Corp. (a)		2,654		85,353
Trecora Resources (a)		2,721		36,733
Ultra Petroleum Corp. (a) (b)		26,795		242,763
Unit Corp. (a)		7,086		155,892
W&T Offshore, Inc. (a)		12,628		41,799
WildHorse Resource Development Corp. (a) (b)		6,686		123,089
				5,622,624
Oil & Gas Services — 1.1%
Archrock, Inc.		9,705		101,902
Basic Energy Services, Inc. (a)		2,375		55,741
Bristow Group, Inc. (b)		4,453		59,982
C&J Energy Services, Inc. (a)		6,374		213,338
CARBO Ceramics, Inc. (a)		3,250		33,085
Dril-Quip, Inc. (a)		5,204		248,231
Era Group, Inc. (a)		2,668		28,681
Exterran Corp. (a)		4,392		138,084
Flotek Industries, Inc. (a) (b)		7,527		35,076
Forum Energy Technologies, Inc. (a)		11,086		172,387
Frank’s International NV		6,841		45,493
Geospace Technologies Corp. (a)		1,778		23,061
Gulf Island Fabrication, Inc.		1,939		26,031
Helix Energy Solutions Group, Inc. (a)		19,207		144,821
Independence Contract Drilling, Inc. (a)		4,692		18,674
Keane Group, Inc. (a) (b)		5,494		104,441
Key Energy Services, Inc. (a) (b)		1,354		15,964
Mammoth Energy Services, Inc. (a)		1,065		20,906
Matrix Service Co. (a)		3,654		65,041
McDermott International, Inc. (a)		38,886		255,870
MRC Global, Inc. (a)		12,270		207,608
Natural Gas Services Group, Inc. (a)		1,685		44,147
NCS Multistage Holdings, Inc. (a) (b)		1,448		21,343
Newpark Resources, Inc. (a)		11,556		99,382
NOW, Inc. (a) (b)		14,640		161,479
Oil States International, Inc. (a)		6,976		197,421
PHI, Inc. (a)		1,591		18,408
Pioneer Energy Services Corp. (a)		10,183		31,058
ProPetro Holding Corp. (a)		7,832		157,893

The accompanying notes are an integral part of the portfolio of investments.

121

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

	Number of Shares		Value
Ranger Energy Services, Inc. (a)		798	$	7,366
SEACOR Holdings, Inc. (a)		2,248		103,903
Select Energy Services, Inc. Class A (a) (b)		3,681		67,141
Solaris Oilfield Infrastructure, Inc. Class A (a)		2,405		51,491
Superior Energy Services, Inc. (a)		20,901		201,277
TETRA Technologies, Inc. (a)		15,530		66,313
Thermon Group Holdings, Inc. (a)		4,396		104,053
				3,347,092
Pipelines — 0.1%
SemGroup Corp. Class A		9,123		275,515
Tellurian, Inc. (a) (b)		8,002		77,939
				353,454
				11,062,137
Financial — 23.6%
Banks — 9.3%
1st Source Corp.		2,201		108,840
Access National Corp.		2,079		57,879
ACNB Corp.		955		28,220
Allegiance Bancshares, Inc. (a)		1,562		58,809
American National Bankshares, Inc.		1,127		43,164
Ameris Bancorp		4,986		240,325
Ames National Corp.		1,175		32,724
Arrow Financial Corp.		1,601		54,354
Atlantic Capital Bancshares, Inc. (a)		2,857		50,283
BancFirst Corp.		2,300		117,645
Banco Latinoamericano de Comercio Exterior SA		4,197		112,899
The Bancorp, Inc. (a)		6,754		66,730
BancorpSouth Bank		11,679		367,305
Bank of Commerce Holdings		2,200		25,300
Bank of Marin Bancorp		931		63,308
The Bank of NT Butterfield & Son Ltd.		7,374		267,603
Bankwell Financial Group, Inc.		809		27,781
Banner Corp.		4,519		249,087
Bar Harbor Bankshares		2,041		55,127
BCB Bancorp, Inc.		1,735		25,158
Blue Hills Bancorp, Inc.		3,313		66,591
Boston Private Financial Holdings, Inc.		11,439		176,733
Bridge Bancorp, Inc.		2,578		90,230
Bryn Mawr Bank Corp.		2,566		113,417
Byline Bancorp, Inc. (a)		892		20,489
C&F Financial Corp.		442		25,636
Cadence BanCorp (a)		2,711		73,522
Camden National Corp.		2,088		87,967
Capital City Bank Group, Inc.		1,510		34,639
Capstar Financial Holdings, Inc. (a) (b)		1,165		24,197
Carolina Financial Corp.		2,622		97,407

	Number of Shares		Value
Cass Information Systems, Inc.		1,633	$	95,057
Cathay General Bancorp		10,444		440,424
CBTX, Inc. (b)		380		11,271
CenterState Bank Corp.		7,391		190,170
Central Pacific Financial Corp.		4,072		121,468
Central Valley Community Bancorp		1,374		27,727
Century Bancorp, Inc. Class A		406		31,770
Chemical Financial Corp.		9,726		520,049
Chemung Financial Corp.		431		20,731
Citizens & Northern Corp.		1,598		38,352
City Holding Co.		2,072		139,798
Civista Bancshares, Inc. (b)		1,343		29,546
CNB Financial Corp.		2,008		52,690
CoBiz Financial, Inc.		5,288		105,707
Codorus Valley Bancorp, Inc.		1,181		32,513
Columbia Banking System, Inc.		9,898		429,969
Community Bank System, Inc.		6,738		362,168
The Community Financial Corp.		568		21,754
Community Trust Bancorp, Inc.		2,140		100,794
ConnectOne Bancorp, Inc.		4,187		107,815
County Bancorp, Inc.		659		19,612
Customers Bancorp, Inc. (a)		3,905		101,491
CVB Financial Corp.		14,213		334,858
DNB Financial Corp.		399		13,446
Eagle Bancorp, Inc. (a)		4,324		250,360
Enterprise Bancorp, Inc.		1,278		43,516
Enterprise Financial Services Corp.		3,036		137,075
Equity Bancshares, Inc. Class A (a)		1,511		53,505
Evans Bancorp, Inc.		625		26,188
Farmers & Merchants Bancorp, Inc. /Archbold OH		1,242		50,674
Farmers Capital Bank Corp.		1,012		38,962
Farmers National Banc Corp.		3,595		53,026
FB Financial Corp. (a)		1,785		74,952
FCB Financial Holdings, Inc. Class A (a)		4,965		252,222
Fidelity Southern Corp.		3,061		66,730
Financial Institutions, Inc.		1,997		62,107
First BanCorp (a)		26,196		133,600
First Bancorp		3,851		135,979
First Bancorp, Inc.		1,395		37,986
The First Bancshares, Inc. (b)		1,425		48,735
First Busey Corp.		5,589		167,335
First Business Financial Services, Inc.		1,107		24,487
First Citizens BancShares, Inc. Class A		1,017		409,851
First Commonwealth Financial Corp.		13,260		189,883
First Community Bancshares, Inc.		2,279		65,476
First Connecticut Bancorp, Inc.		1,917		50,130
First Financial Bancorp		8,458		222,868
First Financial Bankshares, Inc. (b)		8,706		392,205
First Financial Corp.		1,444		65,485
First Foundation, Inc. (a)		4,152		76,978
First Guaranty Bancshares, Inc. (b)		620		15,500

The accompanying notes are an integral part of the portfolio of investments.

122

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

	Number of Shares		Value
First Internet Bancorp		1,099	$	41,927
First Interstate BancSystem, Inc. Class A		3,555		142,378
First Merchants Corp.		5,618		236,293
First Mid-Illinois Bancshares, Inc.		1,365		52,607
First Midwest Bancorp, Inc.		14,007		336,308
First Northwest Bancorp (a)		1,306		21,288
The First of Long Island Corp.		3,315		94,478
FNB Bancorp		721		26,309
Franklin Financial Network, Inc. (a)		1,601		54,594
Fulton Financial Corp.		23,514		420,901
German American Bancorp Inc.		2,890		102,104
Glacier Bancorp, Inc.		10,736		422,891
Great Southern Bancorp, Inc.		1,479		76,390
Great Western Bancorp, Inc.		8,133		323,693
Green Bancorp, Inc. (a)		2,921		59,296
Guaranty Bancorp		3,346		92,517
Guaranty Bancshares, Inc.		263		8,061
Hancock Holding Co.		11,563		572,369
Hanmi Financial Corp.		4,368		132,569
HarborOne Bancorp, Inc. (a)		1,848		35,408
Heartland Financial USA, Inc.		3,367		180,640
Heritage Commerce Corp.		4,949		75,819
Heritage Financial Corp.		4,073		125,448
Hilltop Holdings, Inc.		10,073		255,149
Home BancShares, Inc.		21,623		502,735
HomeStreet, Inc. (a)		3,715		107,549
Hope Bancorp, Inc.		17,829		325,379
Horizon Bancorp		3,125		86,875
Howard Bancorp, Inc. (a)		1,194		26,268
IBERIABANK Corp.		6,940		537,850
Independent Bank Corp.		3,727		260,331
Independent Bank Corp.		2,791		62,379
Independent Bank Group, Inc.		2,417		163,389
International Bancshares Corp.		7,521		298,584
Investar Holding Corp.		1,102		26,558
Kearny Financial Corp.		10,934		157,996
Lakeland Bancorp, Inc.		6,132		118,041
Lakeland Financial Corp.		3,311		160,550
LCNB Corp.		1,207		24,683
LegacyTexas Financial Group, Inc.		6,493		274,070
Live Oak Bancshares, Inc.		3,193		76,153
Macatawa Bank Corp.		3,623		36,230
MainSource Financial Group, Inc.		3,419		124,144
MB Financial, Inc.		11,117		494,929
MBT Financial Corp.		2,440		25,864
Mercantile Bank Corp.		2,201		77,849
Merchants Bancorp		996		19,601
Metropolitan Bank Holding Corp. (a)		494		20,797
Middlefield Banc Corp.		383		18,461
Midland States Bancorp, Inc.		2,109		68,500
MidSouth Bancorp, Inc.		1,964		26,023
MidWestOne Financial Group, Inc.		1,520		50,966
National Bank Holdings Corp. Class A		3,451		111,916

	Number of Shares		Value
National Bankshares, Inc.		929	$	42,223
National Commerce Corp. (a)		1,659		66,775
NBT Bancorp, Inc.		5,862		215,722
Nicolet Bankshares, Inc. (a)		1,208		66,126
Northeast Bancorp		1,053		24,377
Northrim BanCorp, Inc.		927		31,379
Norwood Financial Corp. (b)		805		26,565
OFG Bancorp		5,959		56,015
Ohio Valley Banc Corp. (b)		582		23,513
Old Line Bancshares, Inc.		1,146		33,738
Old National Bancorp		18,427		321,551
Old Point Financial Corp.		463		13,774
Old Second Bancorp, Inc.		3,938		53,754
Opus Bank (a)		2,750		75,075
Orrstown Financial Services, Inc.		1,013		25,578
Pacific Mercantile Bancorp (a)		2,101		18,384
Paragon Commercial Corp. (a)		583		31,021
Park National Corp.		1,834		190,736
Parke Bancorp, Inc. (b)		769		15,803
PCSB Financial Corp. (a)		2,442		46,520
Peapack Gladstone Financial Corp.		2,422		84,818
Penns Woods Bancorp, Inc.		634		29,532
People’s Utah Bancorp		1,852		56,116
Peoples Bancorp of North Carolina, Inc.		670		20,562
Peoples Bancorp, Inc.		2,285		74,537
Peoples Financial Services Corp.		965		44,950
Preferred Bank		1,804		106,039
Premier Financial Bancorp, Inc.		1,285		25,803
Provident Bancorp, Inc. (a)		607		16,055
QCR Holdings, Inc.		1,687		72,288
RBB Bancorp		511		13,986
Reliant Bancorp, Inc.		969		24,845
Renasant Corp.		6,209		253,886
Republic Bancorp, Inc. Class A		1,322		50,262
Republic First Bancorp, Inc. (a) (b)		6,634		56,057
S&T Bancorp, Inc.		4,720		187,903
Sandy Spring Bancorp, Inc.		3,269		127,556
Seacoast Banking Corp. of Florida (a)		5,834		147,075
ServisFirst Bancshares, Inc.		6,348		263,442
Shore Bancshares, Inc.		1,722		28,757
Sierra Bancorp		1,860		49,402
Simmons First National Corp. Class A		5,684		324,556
SmartFinancial, Inc. (a) (b)		969		21,027
South State Corp.		4,949		431,305
Southern First Bancshares, Inc. (a)		893		36,836
Southern National Bancorp of Virginia, Inc.		3,012		48,282
Southside Bancshares, Inc.		3,837		129,230
State Bank Financial Corp.		5,138		153,318
Stock Yards Bancorp, Inc.		2,983		112,459
Summit Financial Group, Inc.		1,475		38,822
Sun Bancorp, Inc.		1,471		35,745
Sunshine Bancorp, Inc. (a)		1,000		22,940

The accompanying notes are an integral part of the portfolio of investments.

123

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

	Number of Shares		Value
Texas Capital Bancshares, Inc. (a)		6,839	$	607,987
Tompkins Financial Corp.		2,007		163,270
Towne Bank		7,757		238,528
TriCo Bancshares		2,785		105,440
TriState Capital Holdings, Inc. (a)		3,053		70,219
Triumph Bancorp, Inc. (a)		2,393		75,380
TrustCo Bank Corp NY		12,820		117,944
Trustmark Corp.		9,254		294,833
Two River Bancorp (b)		937		16,988
UMB Financial Corp.		6,210		446,623
Umpqua Holdings Corp.		30,371		631,717
Union Bankshares Corp.		5,924		214,271
Union Bankshares, Inc.		533		28,222
United Bankshares, Inc.		13,735		477,291
United Community Banks, Inc.		10,046		282,694
United Security Bancshares/Fresno CA		1,877		20,647
Unity Bancorp, Inc.		1,048		20,698
Univest Corp. of Pennsylvania		3,599		100,952
Valley National Bancorp		35,423		397,446
Veritex Holdings, Inc. (a)		2,218		61,195
Walker & Dunlop, Inc. (a)		3,806		180,785
Washington Trust Bancorp, Inc.		2,045		108,896
WashingtonFirst Bankshares, Inc.		1,369		46,902
WesBanco, Inc.		5,781		234,998
West Bancorporation, Inc.		2,172		54,626
Westamerica Bancorp. (b)		3,496		208,187
Western New England Bancorp, Inc.		3,789		41,300
Wintrust Financial Corp.		7,607		626,589
Xenith Bankshares, Inc. (a)		733		24,797
				27,898,916
Diversified Financial Services — 2.3%
Aircastle Ltd.		6,511		152,292
Altisource Portfolio Solutions SA (a) (b)		1,515		42,420
Arlington Asset Investment Corp. Class A (b)		3,833		45,153
Artisan Partners Asset Management, Inc. Class A		6,232		246,164
Associated Capital Group, Inc. Class A (b)		626		21,347
Blackhawk Network Holdings, Inc. (a)		7,511		267,767
Cohen & Steers, Inc.		2,920		138,087
Cowen, Inc. (a) (b)		3,545		48,389
Diamond Hill Investment Group, Inc.		433		89,484
Elevate Credit, Inc. (a) (b)		2,419		18,215
Ellie Mae, Inc. (a) (b)		4,647		415,442
Encore Capital Group, Inc. (a) (b)		3,286		138,341
Enova International, Inc. (a)		4,540		69,008
Evercore, Inc. Class A		5,280		475,200
Federal Agricultural Mortgage Corp. Class C		1,212		94,827

	Number of Shares		Value
Financial Engines, Inc.		8,046	$	243,794
Gain Capital Holdings, Inc. (b)		4,618		46,180
GAMCO Investors, Inc. Class A		611		18,116
Greenhill & Co., Inc. (b)		3,354		65,403
Hamilton Lane, Inc. Class A (b)		1,934		68,444
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b)		6,978		167,891
Houlihan Lokey, Inc.		3,669		166,683
Impac Mortgage Holdings, Inc. (a) (b)		1,367		13,889
INTL. FCStone, Inc. (a)		2,072		88,122
Investment Technology Group, Inc.		4,466		85,970
Ladder Capital Corp.		10,856		147,967
Ladenburg Thalmann Financial Services, Inc.		13,871		43,832
LendingClub Corp. (a)		44,876		185,338
Marlin Business Services Corp.		1,216		27,238
Medley Management, Inc. Class A		585		3,803
Moelis & Co.Class A		4,283		207,725
Nationstar Mortgage Holdings, Inc. (a)		3,987		73,760
Nelnet, Inc. Class A		2,624		143,743
Ocwen Financial Corp. (a) (b)		14,540		45,510
OM Asset Management PLC		10,337		173,145
On Deck Capital, Inc. (a)		6,936		39,813
Oppenheimer Holdings, Inc. Class A		1,359		36,421
PennyMac Financial Services, Inc. Class A (a)		2,174		48,589
PHH Corp. (a)		4,444		45,773
Piper Jaffray Cos.		1,973		170,171
PJT Partners, Inc. Class A		2,485		113,316
PRA Group, Inc. (a) (b)		6,139		203,815
Pzena Investment Management, Inc. Class A		2,417		25,789
R1 RCM, Inc. (a) (b)		13,816		60,929
Regional Management Corp. (a)		1,371		36,071
Silvercrest Asset Management Group, Inc. Class A		964		15,472
Stifel Financial Corp.		9,154		545,212
TPG RE Finance Trust, Inc.		1,497		28,518
Virtu Financial, Inc. Class A (b)		3,477		63,629
Virtus Investment Partners, Inc.		949		109,182
Waddell & Reed Financial, Inc. Class A (b)		11,168		249,493
WageWorks, Inc. (a)		5,460		338,520
Westwood Holdings Group, Inc.		1,102		72,963
WisdomTree Investments, Inc. (b)		15,824		198,591
World Acceptance Corp. (a) (b)		804		64,899
				6,745,855
Insurance — 3.0%
Ambac Financial Group, Inc. (a)		6,301		100,690
American Equity Investment Life Holding Co.		11,876		364,949
AMERISAFE, Inc.		2,614		161,022

The accompanying notes are an integral part of the portfolio of investments.

124

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

	Number of Shares		Value
AmTrust Financial Services, Inc. (b)		11,614	$	116,953
Argo Group International Holdings Ltd.		3,977		245,182
Atlas Financial Holdings, Inc. (a)		1,456		29,921
Baldwin & Lyons, Inc. Class B		1,319		31,590
Blue Capital Reinsurance Holdings Ltd.		810		9,760
Citizens, Inc. (a) (b)		6,368		46,805
CNO Financial Group, Inc.		23,164		571,919
Crawford & Co. Class B		1,643		15,806
Donegal Group, Inc. Class A		1,257		21,746
eHealth, Inc. (a)		2,177		37,814
EMC Insurance Group, Inc.		1,181		33,883
Employers Holdings, Inc.		4,362		193,673
Enstar Group Ltd. (a)		1,542		309,556
Essent Group Ltd. (a)		11,161		484,611
FBL Financial Group, Inc. Class A		1,375		95,769
Federated National Holding Co.		1,586		26,280
Genworth Financial, Inc. Class A (a)		69,041		214,717
Global Indemnity Ltd. (a)		1,118		46,978
Greenlight Capital Re Ltd. Class A (a)		4,188		84,179
Hallmark Financial Services, Inc. (a)		1,911		19,932
HCI Group, Inc. (b)		1,058		31,634
Health Insurance Innovations, Inc. Class A (a) (b)		1,587		39,596
Heritage Insurance Holdings, Inc. (b)		2,981		53,718
Horace Mann Educators Corp.		5,614		247,577
Independence Holding Co.		832		22,838
Infinity Property & Casualty Corp.		1,464		155,184
Investors Title Co.		196		38,877
James River Group Holdings Ltd.		3,506		140,275
Kemper Corp.		5,439		374,747
Kingstone Cos., Inc.		1,289		24,233
Kinsale Capital Group, Inc.		1,982		89,190
Maiden Holdings Ltd.		9,668		63,809
MBIA, Inc. (a) (b)		12,239		89,589
MGIC Investment Corp. (a)		50,796		716,732
National General Holdings Corp.		6,796		133,473
National Western Life Group, Inc. Class A		308		101,954
The Navigators Group, Inc.		2,810		136,847
NI Holdings, Inc. (a)		1,352		22,957
NMI Holdings, Inc. Class A (a)		7,802		132,634
Primerica, Inc.		6,078		617,221
Radian Group, Inc.		29,737		612,880
RLI Corp.		5,291		320,952
Safety Insurance Group, Inc.		1,996		160,478
Selective Insurance Group, Inc.		7,894		463,378
State Auto Financial Corp.		2,163		62,987
Stewart Information Services Corp.		2,917		123,389
Third Point Reinsurance Ltd. (a)		12,604		184,649
Tiptree, Inc.		3,464		20,611
Trupanion, Inc. (a)		3,081		90,181
United Fire Group, Inc.		2,928		133,458
United Insurance Holdings Corp.		2,776		47,886

	Number of Shares		Value
Universal Insurance Holdings, Inc.		4,279	$	117,031
WMIH Corp. (a)		26,397		22,414
				8,857,114
Investment Companies — 0.0%
Cannae Holdings, Inc. (a)		8,518		145,061
Private Equity — 0.1%
Granite Point Mortgage Trust, Inc. (b)		5,862		103,992
Kennedy-Wilson Holdings, Inc.		16,634		288,600
Safeguard Scientifics, Inc. (a)		2,784		31,181
				423,773
Real Estate — 0.4%
Alexander & Baldwin, Inc.		6,400		177,536
Community Healthcare Trust, Inc.		2,355		66,175
Consolidated-Tomoka Land Co.		528		33,528
Farmland Partners, Inc. (b)		4,338		37,654
Forestar Group, Inc. (a) (b)		1,415		31,130
FRP Holdings, Inc. (a)		926		40,976
Griffin Industrial Realty, Inc.		79		2,899
HFF, Inc. Class A		5,045		245,389
Marcus & Millichap, Inc. (a)		2,187		71,318
Maui Land & Pineapple Co., Inc. (a)		885		15,311
RE/MAX Holdings, Inc. Class A		2,435		118,097
Redfin Corp. (a) (b)		1,445		45,257
The RMR Group, Inc. Class A		983		58,292
Safety Income and Growth, Inc.		1,395		24,552
The St. Joe Co. (a) (b)		6,103		110,159
Stratus Properties, Inc.		800		23,760
Transcontinental Realty Investors, Inc. (a)		221		6,922
Trinity Place Holdings, Inc. (a)		2,400		16,680
				1,125,635
Real Estate Investment Trusts (REITS) — 6.7%
Acadia Realty Trust		11,401		311,931
AG Mortgage Investment Trust, Inc.		3,859		73,360
Agree Realty Corp.		3,885		199,844
Alexander’s, Inc.		291		115,192
Altisource Residential Corp.		6,827		80,968
American Assets Trust, Inc.		5,542		211,926
Anworth Mortgage Asset Corp.		13,290		72,298
Apollo Commercial Real Estate Finance, Inc. (b)		14,715		271,492
Ares Commercial Real Estate Corp.		3,674		47,395
Armada Hoffler Properties, Inc.		6,154		95,572
ARMOUR Residential REIT, Inc.		5,739		147,607
Ashford Hospitality Prime, Inc.		3,599		35,018
Ashford Hospitality Trust, Inc.		10,558		71,055
Bluerock Residential Growth REIT, Inc.		3,092		31,260
Capstead Mortgage Corp.		13,198		114,163
CareTrust REIT, Inc.		10,329		173,114
Catchmark Timber Trust, Inc. Class A		5,992		78,675

The accompanying notes are an integral part of the portfolio of investments.

125

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

	Number of Shares		Value
CBL & Associates Properties, Inc. (b)		22,989	$	130,118
Cedar Realty Trust, Inc.		12,195		74,146
Chatham Lodging Trust		6,143		139,815
Cherry Hill Mortgage Investment Corp.		1,558		28,028
Chesapeake Lodging Trust		8,127		220,160
City Office REIT, Inc.		4,104		53,393
Clipper Realty, Inc. (b)		2,210		22,078
CorEnergy Infrastructure Trust, Inc. (b)		1,644		62,801
Cousins Properties, Inc.		57,351		530,497
CYS Investments, Inc.		21,324		171,232
DiamondRock Hospitality Co.		27,487		310,328
Dynex Capital, Inc.		6,882		48,243
Easterly Government Properties, Inc.		5,795		123,665
EastGroup Properties, Inc.		4,608		407,255
Education Realty Trust, Inc.		10,453		365,019
Ellington Residential Mortgage REIT		1,167		14,051
First Industrial Realty Trust, Inc.		16,314		513,402
Four Corners Property Trust, Inc.		8,462		217,473
Franklin Street Properties Corp.		14,305		153,636
The GEO Group, Inc.		16,812		396,763
Getty Realty Corp.		4,283		116,326
Gladstone Commercial Corp.		3,718		78,301
Global Medical REIT, Inc. (b)		2,449		20,082
Global Net Lease, Inc.		9,335		192,114
Government Properties Income Trust		12,983		240,705
Gramercy Property Trust		21,970		585,720
Great Ajax Corp.		2,095		28,953
Healthcare Realty Trust, Inc.		16,827		540,483
Hersha Hospitality Trust		5,293		92,098
Independence Realty Trust, Inc.		11,564		116,681
InfraREIT, Inc. (a)		5,883		109,306
Invesco Mortgage Capital, Inc.		15,406		274,689
Investors Real Estate Trust		16,573		94,135
iStar, Inc. (a) (b)		9,072		102,514
Jernigan Capital, Inc. (b)		1,777		33,781
Kite Realty Group Trust		11,367		222,793
KKR Real Estate Finance Trust, Inc. (b)		1,417		28,354
LaSalle Hotel Properties		15,631		438,762
Lexington Realty Trust		29,776		287,338
LTC Properties, Inc.		5,402		235,257
Mack-Cali Realty Corp.		12,445		268,314
MedEquities Realty Trust, Inc.		3,926		44,050
Monmouth Real Estate Investment Corp.		9,761		173,746
MTGE Investment Corp.		6,323		116,975
National Health Investors, Inc.		5,527		416,625
National Storage Affiliates Trust		6,061		165,223
New Senior Investment Group, Inc.		11,173		84,468
New York Mortgage Trust, Inc.		15,203		93,803
NexPoint Residential Trust, Inc.		2,356		65,827
NorthStar Realty Europe Corp.		7,433		99,825
One Liberty Properties, Inc.		1,946		50,440
Orchid Island Capital, Inc. (b)		6,126		56,849
Owens Realty Mortgage, Inc.		1,382		22,126

	Number of Shares		Value
Pebblebrook Hotel Trust (b)		9,456	$	351,480
Pennsylvania REIT (b)		9,340		111,053
PennyMac Mortgage Investment Trust		8,945		143,746
Physicians Realty Trust		24,718		444,677
Potlatch Corp.		5,555		277,194
Preferred Apartment Communities, Inc. Class A		5,018		101,614
PS Business Parks, Inc.		2,708		338,744
QTS Realty Trust, Inc. Class A		6,773		366,826
Quality Care Properties, Inc. (a)		12,973		179,157
RAIT Financial Trust		12,585		4,719
Ramco-Gershenson Properties Trust		10,879		160,248
Redwood Trust, Inc.		10,507		155,714
Resource Capital Corp. (b)		4,154		38,923
Retail Opportunity Investments Corp.		14,887		296,996
Rexford Industrial Realty, Inc.		10,614		309,504
RLJ Lodging Trust		23,300		511,901
Ryman Hospitality Properties, Inc.		6,069		418,882
Sabra Health Care REIT, Inc.		24,368		457,387
Saul Centers, Inc.		1,552		95,836
Select Income REIT		8,692		218,430
Seritage Growth Properties Class A (b)		3,528		142,743
STAG Industrial, Inc.		12,993		355,099
Summit Hotel Properties, Inc.		14,225		216,647
Sunstone Hotel Investors, Inc.		30,984		512,166
Sutherland Asset Management Corp.		2,441		36,981
Terreno Realty Corp.		7,338		257,270
Tier REIT, Inc.		6,514		132,820
UMH Properties, Inc.		4,258		63,444
Universal Health Realty Income Trust		1,732		130,091
Urban Edge Properties		14,213		362,289
Urstadt Biddle Properties, Inc. Class A		4,025		87,503
Washington Prime Group, Inc. (b)		25,554		181,944
Washington REIT		10,831		337,061
Western Asset Mortgage Capital Corp.		5,725		56,964
Whitestone REIT (b)		5,137		74,024
Xenia Hotels & Resorts, Inc.		14,778		319,057
				19,858,770
Savings & Loans — 1.8%
Banc of California, Inc. (b)		5,920		122,248
Bank Mutual Corp.		5,792		61,685
BankFinancial Corp.		1,960		30,066
Bear State Financial, Inc.		2,859		29,248
Beneficial Bancorp, Inc.		9,482		155,979
Berkshire Hills Bancorp, Inc.		5,473		200,312
BofI Holding, Inc. (a) (b)		8,233		246,167
Brookline Bancorp, Inc.		10,257		161,035
BSB Bancorp, Inc. (a)		1,122		32,819

The accompanying notes are an integral part of the portfolio of investments.

126

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

	Number of Shares		Value
Capitol Federal Financial, Inc.		17,620	$	236,284
Charter Financial Corp.		1,662		29,152
Clifton Bancorp, Inc.		2,665		45,572
Community Bankers Trust Corp. (a)		2,873		23,415
Dime Community Bancshares, Inc.		4,392		92,012
Entegra Financial Corp. (a)		922		26,969
ESSA Bancorp, Inc.		1,178		18,459
First Defiance Financial Corp.		1,378		71,615
First Financial Northwest, Inc.		1,138		17,650
Flagstar Bancorp, Inc. (a)		2,958		110,688
Flushing Financial Corp.		3,858		106,095
Greene County Bancorp, Inc. (b)		409		13,333
Hingham Institution for Savings		176		36,432
Home Bancorp Inc.		833		36,002
HomeTrust Bancshares, Inc. (a)		2,267		58,375
Investors Bancorp, Inc.		35,527		493,115
Malvern Bancorp, Inc. (a)		911		23,868
Meridian Bancorp, Inc.		6,639		136,763
Meta Financial Group, Inc.		1,227		113,682
MutualFirst Financial, Inc.		853		32,883
Northfield Bancorp, Inc.		5,867		100,208
Northwest Bancshares, Inc.		12,968		216,955
OceanFirst Financial Corp.		4,366		114,608
Oconee Federal Financial Corp.		152		4,362
Oritani Financial Corp.		5,378		88,199
Pacific Premier Bancorp, Inc. (a)		5,373		214,920
Provident Financial Holdings, Inc.		738		13,579
Provident Financial Services, Inc.		8,466		228,328
Prudential Bancorp, Inc.		1,086		19,114
Riverview Bancorp, Inc.		2,882		24,987
SI Financial Group, Inc.		1,524		22,403
Southern Missouri Bancorp, Inc.		915		34,395
Sterling Bancorp		29,244		719,402
Territorial Bancorp, Inc.		1,035		31,950
Timberland Bancorp, Inc.		877		23,284
United Community Financial Corp.		6,735		61,491
United Financial Bancorp, Inc.		6,927		122,192
Washington Federal, Inc.		11,957		409,527
Waterstone Financial, Inc.		3,502		59,709
WSFS Financial Corp.		4,150		198,578
				5,470,114
				70,525,238
Industrial — 14.3%
Aerospace & Defense — 1.2%
AAR Corp.		4,407		173,151
Aerojet Rocketdyne Holdings, Inc. (a)		9,499		296,369
Aerovironment, Inc. (a)		2,873		161,348
Astronics Corp. (a)		2,949		122,295
Cubic Corp.		3,464		204,203
Curtiss-Wright Corp.		6,067		739,264
Ducommun, Inc. (a)		1,430		40,683

	Number of Shares		Value
Esterline Technologies Corp. (a)		3,598	$	268,771
Kaman Corp.		3,789		222,945
KLX, Inc. (a)		7,108		485,121
Kratos Defense & Security Solutions, Inc. (a)		11,770		124,644
Moog, Inc. Class A (a)		4,379		380,316
National Presto Industries, Inc. (b)		675		67,129
Triumph Group, Inc.		6,691		181,995
				3,468,234
Building Materials — 1.9%
AAON, Inc.		5,688		208,750
American Woodmark Corp. (a)		1,936		252,164
Apogee Enterprises, Inc.		3,879		177,387
Armstrong Flooring, Inc. (a)		3,001		50,777
Boise Cascade Co.		5,316		212,108
Builders FirstSource, Inc. (a)		15,157		330,271
Caesarstone Ltd. (a)		3,082		67,804
Continental Building Products, Inc. (a)		5,228		147,168
Cree, Inc. (a)		13,408		497,973
Forterra, Inc. (a) (b)		2,574		28,571
Gibraltar Industries, Inc. (a)		4,332		142,956
Griffon Corp.		4,085		83,130
JELD-WEN Holding, Inc. (a)		9,259		364,527
Louisiana-Pacific Corp. (a)		19,967		524,334
LSI Industries, Inc.		3,263		22,450
Masonite International Corp. (a)		3,896		288,888
NCI Building Systems, Inc. (a)		5,478		105,725
Patrick Industries, Inc. (a)		3,335		231,616
PGT Innovations, Inc. (a)		6,598		111,176
Ply Gem Holdings, Inc. (a)		3,026		55,981
Quanex Building Products Corp.		4,681		109,535
Simpson Manufacturing Co., Inc.		5,653		324,539
Summit Materials, Inc. Class A (a)		15,186		477,436
Trex Co., Inc. (a)		4,054		439,413
Universal Forest Products, Inc.		8,240		309,989
US Concrete, Inc. (a) (b)		2,176		182,022
				5,746,690
Electrical Components & Equipment — 1.1%
Advanced Energy Industries, Inc. (a)		5,452		367,901
Belden, Inc.		5,779		445,965
Encore Wire Corp.		2,770		134,761
Energous Corp. (a) (b)		2,484		48,314
EnerSys		5,996		417,502
Generac Holdings, Inc. (a)		8,360		413,987
General Cable Corp. (b)		6,769		200,362
Graham Corp.		1,312		27,460
Insteel Industries, Inc.		2,521		71,395
Littelfuse, Inc.		3,090		611,264
Novanta, Inc. (a)		4,394		219,700
Powell Industries, Inc.		1,198		34,323
Revolution Lighting Technologies, Inc. (a) (b)		1,627		5,353

The accompanying notes are an integral part of the portfolio of investments.

127

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

	Number of Shares		Value
SPX Corp. (a)		5,839	$	183,286
SunPower Corp. (a) (b)		8,122		68,468
Vicor Corp. (a)		2,298		48,028
				3,298,069
Electronics — 2.4%
Akoustis Technologies, Inc. (a) (b)		1,677		10,448
Allied Motion Technologies, Inc.		931		30,807
Applied Optoelectronics, Inc. (a) (b)		2,547		96,328
AVX Corp.		6,307		109,111
Badger Meter, Inc.		3,846		183,839
Bel Fuse, Inc. Class B		1,364		34,339
Benchmark Electronics, Inc. (a)		6,859		199,597
Brady Corp. Class A		6,379		241,764
Control4 Corp. (a)		3,479		103,535
CTS Corp.		4,359		112,244
CyberOptics Corp. (a) (b)		906		13,590
Electro Scientific Industries, Inc. (a)		4,440		95,149
ESCO Technologies, Inc.		3,499		210,815
FARO Technologies, Inc. (a)		2,269		106,643
Fitbit, Inc. Class A (a) (b)		26,642		152,126
Fluidigm Corp. (a) (b)		5,353		31,529
GoPro, Inc. Class A (a) (b)		15,059		113,997
II-VI, Inc. (a)		8,328		391,000
Iteris, Inc. (a)		3,228		22,499
Itron, Inc. (a)		4,693		320,063
KEMET Corp. (a)		7,605		114,531
Kimball Electronics, Inc. (a)		3,617		66,010
Knowles Corp. (a)		12,075		177,019
Mesa Laboratories, Inc. (b)		451		56,059
Methode Electronics, Inc.		4,911		196,931
MicroVision, Inc. (a) (b)		10,400		16,952
Napco Security Technologies, Inc. (a)		1,545		13,519
NVE Corp.		658		56,588
OSI Systems, Inc. (a)		2,440		157,087
Park Electrochemical Corp.		2,645		51,974
Plexus Corp. (a)		4,614		280,162
Rogers Corp. (a)		2,475		400,752
Sanmina Corp. (a)		9,835		324,555
Sparton Corp. (a)		1,285		29,632
Stoneridge, Inc. (a)		3,665		83,782
SYNNEX Corp.		3,982		541,353
Tech Data Corp. (a)		4,818		472,019
TTM Technologies, Inc. (a)		12,667		198,492
Vishay Intertechnology, Inc.		18,197		377,588
Vishay Precision Group, Inc. (a)		1,406		35,361
Watts Water Technologies, Inc. Class A		3,819		290,053
Woodward, Inc.		7,309		559,431
ZAGG, Inc. (a)		3,781		69,759
				7,149,032
Engineering & Construction — 1.4%
Aegion Corp. (a)		4,405		112,019

	Number of Shares		Value
Argan, Inc.		2,016	$	90,720
Chicago Bridge & Iron Co. NV		13,844		223,442
Comfort Systems USA, Inc.		5,053		220,564
Dycom Industries, Inc. (a)		4,140		461,320
EMCOR Group, Inc.		8,084		660,867
Exponent, Inc.		3,518		250,130
Granite Construction, Inc.		5,449		345,630
Hill International, Inc. (a)		4,661		25,402
IES Holdings, Inc. (a)		1,207		20,821
KBR, Inc.		19,306		382,838
Layne Christensen Co. (a) (b)		2,477		31,086
MasTec, Inc. (a)		9,138		447,305
Mistras Group, Inc. (a)		2,358		55,342
MYR Group, Inc. (a)		2,220		79,321
NV5 Global, Inc. (a)		1,125		60,919
Orion Group Holdings, Inc. (a)		3,695		28,932
Primoris Services Corp.		5,402		146,880
Sterling Construction Co., Inc. (a)		3,498		56,947
TopBuild Corp. (a)		4,867		368,627
Tutor Perini Corp. (a)		5,122		129,843
VSE Corp.		1,175		56,905
Willbros Group, Inc. (a)		5,897		8,374
				4,264,234
Environmental Controls — 0.6%
Advanced Disposal Services, Inc. (a)		5,963		142,754
Advanced Emissions Solutions, Inc. (b)		2,725		26,324
Aqua Metals, Inc. (a) (b)		2,192		4,669
AquaVenture Holdings Ltd. (a) (b)		1,650		25,608
Casella Waste Systems, Inc. Class A (a)		5,352		123,203
CECO Environmental Corp.		4,067		20,864
Covanta Holding Corp. (b)		16,098		272,056
Energy Recovery, Inc. (a) (b)		5,032		44,030
Evoqua Water Technologies Corp. (a)		4,423		104,869
Heritage-Crystal Clean, Inc. (a)		2,011		43,739
Hudson Technologies, Inc. (a) (b)		4,989		30,283
MSA Safety, Inc.		4,578		354,887
Pure Cycle Corp. (a)		2,232		18,637
Tetra Tech, Inc.		7,679		369,744
US Ecology, Inc.		2,989		152,439
				1,734,106
Hand & Machine Tools — 0.3%
Franklin Electric Co., Inc.		6,360		291,924
Hardinge, Inc.		1,605		27,959
Kennametal, Inc.		11,023		533,623
Milacron Holdings Corp. (a)		7,421		142,038
				995,544
Machinery – Diversified — 0.0%
NN, Inc.		3,756		103,666

The accompanying notes are an integral part of the portfolio of investments.

128

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

	Number of Shares		Value
Machinery – Construction & Mining — 0.1%
Astec Industries, Inc.		2,913	$	170,411
Babcock & Wilcox Enterprises, Inc. (a) (b)		6,109		34,699
Hyster-Yale Materials Handling, Inc.		1,408		119,905
				325,015
Machinery – Diversified — 0.9%
Alamo Group, Inc.		1,295		146,167
Albany International Corp. Class A		3,941		242,174
Altra Industrial Motion Corp.		3,930		198,072
Applied Industrial Technologies, Inc.		5,257		358,002
Briggs & Stratton Corp.		5,697		144,533
Chart Industries, Inc. (a)		4,204		196,999
Columbus McKinnon Corp.		3,005		120,140
DXP Enterprises, Inc. (a)		2,154		63,694
Gencor Industries, Inc. (a)		1,066		17,642
The Gorman-Rupp Co.		2,403		74,998
Hurco Cos., Inc.		826		34,857
Ichor Holdings Ltd. (a)		2,519		61,967
Intevac, Inc. (a)		2,636		18,057
Kadant, Inc.		1,483		148,893
Lindsay Corp. (b)		1,450		127,890
The Manitowoc Co., Inc. (a)		4,369		171,876
SPX FLOW, Inc. (a)		5,692		270,655
Tennant Co.		2,409		175,014
Twin Disc, Inc. (a)		1,197		31,804
				2,603,434
Metal Fabricate & Hardware — 1.0%
Advanced Drainage Systems, Inc.		4,892		116,674
Ampco-Pittsburgh Corp.		1,173		14,545
Atkore International Group, Inc. (a)		4,515		96,847
CIRCOR International, Inc.		2,289		111,428
DMC Global, Inc.		1,924		48,196
The Eastern Co.		756		19,769
Global Brass & Copper Holdings, Inc.		3,006		99,499
Haynes International, Inc.		1,695		54,325
Lawson Products, Inc. (a)		865		21,409
LB Foster Co. Class A (a)		1,127		30,598
Mueller Industries, Inc.		7,823		277,169
Mueller Water Products, Inc. Class A		21,170		265,260
Northwest Pipe Co. (a)		1,364		26,107
Olympic Steel, Inc.		1,257		27,013
Omega Flex, Inc.		401		28,635
Park-Ohio Holdings Corp.		1,232		56,610
RBC Bearings, Inc. (a)		3,209		405,618
Rexnord Corp. (a)		14,295		371,956
Sun Hydraulics Corp.		3,240		209,596
TimkenSteel Corp. (a)		5,514		83,758
TriMas Corp. (a)		6,236		166,813
Worthington Industries, Inc.		6,105		268,986
				2,800,811

	Number of Shares		Value
Miscellaneous – Manufacturing — 1.5%
Actuant Corp. Class A		8,179	$	206,929
American Outdoor Brands Corp. (a) (b)		7,301		93,745
American Railcar Industries, Inc.		986		41,057
Axon Enterprise, Inc. (a) (b)		7,138		189,157
AZZ, Inc.		3,559		181,865
Barnes Group, Inc.		6,895		436,247
Chase Corp.		975		117,487
Core Molding Technologies, Inc.		1,053		22,850
EnPro Industries, Inc.		2,901		271,272
Fabrinet (a)		4,961		142,381
Federal Signal Corp.		8,078		162,287
FreightCar America, Inc.		1,663		28,404
GP Strategies Corp. (a)		1,707		39,602
Harsco Corp. (a)		11,035		205,803
Hillenbrand, Inc.		8,690		388,443
John Bean Technologies Corp.		4,310		477,548
LSB Industries, Inc. (a)		3,071		26,902
Lydall, Inc. (a)		2,315		117,486
Myers Industries, Inc.		3,146		61,347
NL Industries, Inc. (a)		1,160		16,530
Proto Labs, Inc. (a)		3,403		350,509
Raven Industries, Inc.		4,952		170,101
Standex International Corp.		1,728		175,997
Sturm, Ruger & Co., Inc. (b)		2,327		129,963
Tredegar Corp.		3,534		67,853
Trinseo SA		6,093		442,352
				4,564,117
Packaging & Containers — 0.2%
Greif, Inc. Class A		3,506		212,394
Greif, Inc. Class B		767		53,191
KapStone Paper and Packaging Corp.		11,954		271,236
Multi-Color Corp.		1,892		141,616
UFP Technologies, Inc. (a)		876		24,353
				702,790
Transportation — 1.5%
Air Transport Services Group, Inc. (a)		8,067		186,670
ArcBest Corp.		3,540		126,555
Ardmore Shipping Corp. (a) (b)		3,859		30,872
Atlas Air Worldwide Holdings, Inc. (a)		3,193		187,269
Costamare, Inc.		6,770		39,063
Covenant Transportation Group, Inc. Class A (a)		1,626		46,715
Daseke, Inc. (a) (b)		3,317		47,400
DHT Holdings, Inc.		11,697		41,992
Dorian LPG Ltd. (a)		2,979		24,487
Eagle Bulk Shipping, Inc. (a)		5,082		22,767
Echo Global Logistics, Inc. (a)		3,630		101,640
Forward Air Corp.		4,053		232,804
Frontline Ltd. (b)		10,529		48,328
GasLog Ltd. (b)		5,596		124,511

The accompanying notes are an integral part of the portfolio of investments.

129

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

	Number of Shares		Value
Genco Shipping & Trading Ltd. (a)		1,022	$	13,613
Gener8 Maritime, Inc. (a) (b)		6,352		42,050
Golar LNG Ltd. (b)		13,200		393,492
Heartland Express, Inc.		6,473		151,080
Hub Group, Inc. Class A (a)		4,481		214,640
International Seaways, Inc. (a)		4,014		74,098
Knight-Swift Transportation Holdings, Inc.		17,219		752,815
Marten Transport Ltd.		5,324		108,077
Matson, Inc.		5,803		173,162
Navios Maritime Acquisition Corp. (b)		11,032		12,246
Navios Maritime Holdings, Inc. (a)		13,485		16,182
Nordic American Tankers Ltd.		13,989		34,413
Overseas Shipholding Group, Inc. Class A (a)		6,260		17,152
Radiant Logistics, Inc. (a)		5,181		23,833
Roadrunner Transportation Systems, Inc. (a)		4,198		32,367
Safe Bulkers, Inc. (a)		6,683		21,586
Saia, Inc. (a)		3,474		245,785
Schneider National, Inc. Class B (b)		5,735		163,792
Scorpio Bulkers, Inc.		8,020		59,348
Scorpio Tankers, Inc.		32,918		100,400
Ship Finance International Ltd.		8,263		128,077
Teekay Corp. (b)		7,363		68,623
Teekay Tankers Ltd. Class A (b)		28,183		39,456
Universal Logistics Holdings, Inc.		1,142		27,123
Werner Enterprises, Inc.		6,541		252,810
YRC Worldwide, Inc. (a)		4,603		66,191
				4,493,484
Trucking & Leasing — 0.2%
GATX Corp. (b)		5,253		326,526
The Greenbrier Cos., Inc. (b)		3,752		199,982
Willis Lease Finance Corp. (a)		472		11,786
				538,294
				42,787,520
Technology — 9.8%
Computers — 2.7%
3D Systems Corp. (a) (b)		14,934		129,030
Agilysys, Inc. (a)		2,080		25,542
Barracuda Networks, Inc. (a)		3,456		95,040
CACI International, Inc. Class A (a)		3,351		443,505
Carbonite, Inc. (a)		3,458		86,796
Cogint, Inc. (a) (b)		2,910		12,804
Convergys Corp.		12,897		303,080
Cray, Inc. (a)		5,476		132,519
Diebold Nixdorf, Inc. (b)		10,359		169,370
Digimarc Corp. (a)		1,408		50,899
Electronics For Imaging, Inc. (a)		6,342		187,279
Engility Holdings, Inc. (a)		2,519		71,464
EPAM Systems, Inc. (a)		6,834		734,177

	Number of Shares		Value
Exlservice Holdings, Inc. (a)		4,484	$	270,609
The ExOne Co. (a) (b)		1,497		12,575
ForeScout Technologies, Inc. (a) (b)		733		23,375
Immersion Corp. (a) (b)		3,969		28,021
Insight Enterprises, Inc. (a)		4,884		187,008
The KeyW Holding Corp. (a) (b)		6,537		38,372
Lumentum Holdings, Inc. (a) (b)		8,488		415,063
MAXIMUS, Inc.		8,808		630,477
Maxwell Technologies, Inc. (a) (b)		4,991		28,748
Mercury Systems, Inc. (a)		6,433		330,335
Mitek Systems, Inc. (a)		4,237		37,921
MTS Systems Corp.		2,329		125,067
NetScout Systems, Inc. (a)		11,589		352,885
Nutanix, Inc. Class A (a)		14,712		519,039
Presidio, Inc. (a)		3,015		57,798
Pure Storage, Inc. Class A (a)		13,333		211,461
Qualys, Inc. (a)		4,412		261,852
Quantum Corp. (a)		3,837		21,602
Radisys Corp. (a) (b)		4,885		4,909
Science Applications International Corp.		5,949		455,515
SecureWorks Corp. Class A (a) (b)		1,122		9,952
Silver Spring Networks, Inc. (a)		5,852		95,036
Startek, Inc. (a)		1,331		13,270
Stratasys Ltd. (a) (b)		6,829		136,307
Super Micro Computer, Inc. (a)		5,313		111,175
Sykes Enterprises, Inc. (a)		5,370		168,887
Syntel, Inc. (a)		4,500		103,455
TTEC Holdings, Inc.		1,900		76,475
Unisys Corp. (a) (b)		6,819		55,575
USA Technologies, Inc. (a)		6,681		65,140
Varonis Systems, Inc. (a)		2,690		130,600
VeriFone Systems, Inc. (a)		15,312		271,176
Virtusa Corp. (a)		3,730		164,418
Vocera Communications, Inc. (a)		3,981		120,306
				7,975,909
Office & Business Equipment — 0.0%
Eastman Kodak Co. (a)		2,332		7,229
Semiconductors — 2.6%
Alpha & Omega Semiconductor Ltd. (a)		2,763		45,203
Ambarella, Inc. (a)		4,456		261,790
Amkor Technology, Inc. (a)		13,917		139,866
Aquantia Corp. (a) (b)		949		10,752
Axcelis Technologies, Inc. (a)		4,093		117,469
AXT, Inc. (a)		5,012		43,604
Brooks Automation, Inc.		9,443		225,216
Cabot Microelectronics Corp.		3,415		321,283
CEVA, Inc. (a)		3,013		139,050
Cirrus Logic, Inc. (a)		8,853		459,117
Cohu, Inc.		3,810		83,630
Diodes, Inc. (a)		5,361		153,700

The accompanying notes are an integral part of the portfolio of investments.

130

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

	Number of Shares		Value
DSP Group, Inc. (a)		2,958	$	36,975
EMCORE Corp. (a)		3,585		23,123
Entegris, Inc.		19,498		593,714
FormFactor, Inc. (a)		9,842		154,027
GSI Technology, Inc. (a)		2,150		17,114
Impinj, Inc. (a) (b)		2,526		56,911
Inphi Corp. (a) (b)		5,765		210,999
Integrated Device Technology, Inc. (a)		18,391		546,764
IXYS Corp. (a)		3,572		85,549
Kopin Corp. (a) (b)		8,453		27,050
Lattice Semiconductor Corp. (a)		16,732		96,711
MACOM Technology Solutions Holdings, Inc. (a) (b)		5,556		180,792
MaxLinear, Inc. (a)		8,453		223,328
MKS Instruments, Inc.		7,396		698,922
Monolithic Power Systems, Inc.		5,476		615,283
Nanometrics, Inc. (a)		3,347		83,407
Photronics, Inc. (a)		9,246		78,822
Pixelworks, Inc. (a)		3,945		24,972
Power Integrations, Inc.		3,938		289,640
Rambus, Inc. (a)		14,870		211,451
Rudolph Technologies, Inc. (a)		4,326		103,391
Semtech Corp. (a)		8,906		304,585
Sigma Designs, Inc. (a)		5,098		35,431
Silicon Laboratories, Inc. (a)		5,759		508,520
SMART Global Holdings, Inc. (a) (b)		854		28,780
Synaptics, Inc. (a)		4,723		188,637
Ultra Clean Holdings, Inc. (a)		4,473		103,282
Veeco Instruments, Inc. (a)		6,537		97,075
Xcerra Corp. (a)		7,324		71,702
Xperi Corp.		6,692		163,285
				7,860,922
Software — 4.5%
2U, Inc. (a)		6,601		425,831
ACI Worldwide, Inc. (a)		16,005		362,833
Actua Corp. (a)		4,103		64,007
Acxiom Corp. (a)		10,883		299,935
Allscripts Healthcare Solutions, Inc. (a)		24,949		363,008
Alteryx, Inc. Class A (a)		3,226		81,521
Amber Road, Inc. (a)		2,707		19,869
American Software, Inc. Class A		3,764		43,775
Appfolio, Inc. Class A (a)		1,295		53,743
Apptio, Inc. Class A (a)		3,245		76,322
Aspen Technology, Inc. (a)		10,033		664,185
Avid Technology, Inc. (a)		4,733		25,511
Bazaarvoice, Inc. (a)		11,809		64,359
Benefitfocus, Inc. (a) (b)		2,165		58,455
Blackbaud, Inc.		6,543		618,248
Blackline, Inc. (a)		2,146		70,389
Bottomline Technologies de, Inc. (a)		5,450		189,006
Box, Inc. Class A (a)		11,115		234,749

	Number of Shares		Value
Brightcove, Inc. (a)		4,717	$	33,491
BroadSoft, Inc. (a) (b)		4,343		238,431
Callidus Software, Inc. (a)		9,294		266,273
Castlight Health, Inc. Class B (a) (b)		8,605		32,269
Cloudera, Inc. (a)		13,403		221,418
CommerceHub, Inc. Series A (a) (b)		1,897		41,715
CommerceHub, Inc. Series C (a)		3,967		81,681
CommVault Systems, Inc. (a)		5,479		287,647
Computer Programs & Systems, Inc. (b)		1,586		47,659
Cornerstone OnDemand, Inc. (a)		7,293		257,662
Cotiviti Holdings, Inc. (a)		5,016		161,565
Coupa Software, Inc. (a)		4,308		134,496
CSG Systems International, Inc.		4,574		200,433
Digi International, Inc. (a)		3,627		34,638
Donnelley Financial Solutions, Inc. (a)		4,552		88,718
Ebix, Inc. (b)		3,299		261,446
Envestnet, Inc. (a)		5,915		294,863
Everbridge, Inc. (a)		2,325		69,099
Evolent Health, Inc. Class A (a) (b)		8,218		101,081
Fair Isaac Corp.		4,091		626,741
Five9, Inc. (a)		7,317		182,047
Glu Mobile, Inc. (a)		14,535		52,907
Hortonworks, Inc. (a)		6,859		137,934
HubSpot, Inc. (a)		4,681		413,800
InnerWorkings, Inc. (a)		6,354		63,731
Inovalon Holdings, Inc. Class A (a) (b)		8,816		132,240
Instructure, Inc. (a)		2,994		99,101
j2 Global, Inc.		6,379		478,616
LivePerson, Inc. (a)		7,515		86,423
Majesco (a)		733		3,936
ManTech International Corp. Class A		3,531		177,221
Medidata Solutions, Inc. (a)		7,739		490,420
MicroStrategy, Inc. Class A (a)		1,297		170,296
MINDBODY, Inc. Class A (a)		5,886		179,229
MobileIron, Inc. (a)		8,076		31,496
Model N, Inc. (a)		3,326		52,385
Monotype Imaging Holdings, Inc.		5,668		136,599
MuleSoft, Inc. Class A (a)		3,321		77,246
NantHealth, Inc. (a) (b)		2,350		7,168
New Relic, Inc. (a)		4,193		242,230
Omnicell, Inc. (a)		5,149		249,726
Park City Group, Inc. (a) (b)		1,772		16,923
Paycom Software, Inc. (a) (b)		6,763		543,272
PDF Solutions, Inc. (a) (b)		3,789		59,487
pdvWireless, Inc. (a)		1,277		40,992
Pegasystems, Inc.		5,028		237,070
Progress Software Corp.		6,534		278,152
PROS Holdings, Inc. (a)		3,666		96,966
QAD, Inc. Class A		1,353		52,564
Quality Systems, Inc. (a)		7,325		99,474
RealPage, Inc. (a)		8,053		356,748
Ribbon Communications, Inc. (a)		6,539		50,546
Rosetta Stone, Inc. (a)		2,382		29,704

The accompanying notes are an integral part of the portfolio of investments.

131

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

	Number of Shares		Value
SendGrid, Inc. (a)		1,139	$	27,302
Simulations Plus, Inc.		1,470		23,667
SPS Commerce, Inc. (a)		2,333		113,360
Synchronoss Technologies, Inc. (a)		6,023		53,846
Tabula Rasa HealthCare, Inc. (a)		1,334		37,419
Tintri, Inc. (a) (b)		1,303		6,645
Twilio, Inc. Class A (a) (b)		8,533		201,379
Upland Software, Inc. (a)		1,095		23,718
Verint Systems, Inc. (a)		8,730		365,350
Veritone, Inc. (a) (b)		410		9,512
Workiva, Inc. (a)		3,506		75,028
				13,460,947
				29,305,007
Utilities — 3.3%
Electric — 1.8%
ALLETE, Inc.		7,015		521,635
Ameresco, Inc. Class A (a)		2,636		22,670
Atlantic Power Corp. (a)		15,829		37,198
Avista Corp.		8,814		453,833
Black Hills Corp.		7,341		441,268
Dynegy, Inc. (a)		15,138		179,385
El Paso Electric Co.		5,547		307,026
Genie Energy Ltd. Class B		1,769		7,713
IDACORP, Inc.		6,923		632,485
MGE Energy, Inc.		4,802		303,006
NorthWestern Corp.		6,684		399,035
NRG Yield, Inc. Class A		4,739		89,330
NRG Yield, Inc. Class C		8,994		169,987
Ormat Technologies, Inc.		5,544		354,594
Otter Tail Corp.		5,406		240,297
PNM Resources, Inc.		10,944		442,685
Portland General Electric Co.		12,272		559,358
Spark Energy, Inc. Class A (b)		1,677		20,795
Unitil Corp.		1,892		86,313
				5,268,613
Gas — 1.1%
Chesapeake Utilities Corp.		2,166		170,139
New Jersey Resources Corp.		11,808		474,682
Northwest Natural Gas Co.		3,899		232,575
ONE Gas, Inc.		7,163		524,761
RGC Resources, Inc.		904		24,480
South Jersey Industries, Inc.		10,983		342,999
Southwest Gas Holdings, Inc.		6,523		524,971
Spire, Inc.		6,483		487,198
WGL Holdings, Inc.		7,021		602,683
				3,384,488
Water — 0.4%
American States Water Co.		4,986		288,740
Artesian Resources Corp. Class A		1,066		41,105
California Water Service Group		6,595		299,083
Connecticut Water Service, Inc.		1,637		93,980

	Number of Shares		Value
Consolidated Water Co. Ltd.		1,997	$	25,162
Global Water Resources, Inc.		1,459		13,627
Middlesex Water Co.		2,164		86,365
SJW Group		2,240		142,979
The York Water Co.		1,759		59,630
				1,050,671
				9,703,772
TOTAL COMMON STOCK (Cost $240,610,519)				288,168,604
TOTAL EQUITIES (Cost $240,610,519)				288,168,604
RIGHTS — 0.0%
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
Tobira Therapeutics, Inc. CVR (a) (c) (d)		1,376		11,338
Pharmaceuticals — 0.0%
Dyax Corp. CVR (a) (c) (d)		23,469		44,356
Omthera Pharmaceuticals Inc. CVR (a) (c) (d)		428		-
				44,356
				55,694
TOTAL RIGHTS (Cost $26,133)				55,694
MUTUAL FUNDS — 12.6%
Diversified Financial Services — 12.6%
State Street Navigator Securities Lending Prime Portfolio (e)		37,626,157		37,626,157
TOTAL MUTUAL FUNDS (Cost $37,626,157)				37,626,157
TOTAL LONG-TERM INVESTMENTS (Cost $278,262,809)				325,850,455
	Principal Amount
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (f)	$	7,029,862		7,029,862

The accompanying notes are an integral part of the portfolio of investments.

132

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

	Principal Amount		Value
U.S. Treasury Bill — 0.3%
U.S. Treasury Bill (g) 0.000% 2/01/18	$	835,000	$	834,119
TOTAL SHORT-TERM INVESTMENTS (Cost $7,864,043)				7,863,981
TOTAL INVESTMENTS — 111.7% (Cost $286,126,852) (h)				333,714,436
Other Assets/(Liabilities) — (11.7)%				(35,041,239	)
NET ASSETS — 100.0%			$	298,673,197

Abbreviation Legend

CVR Contingent Value Rights

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $36,571,354 or 12.24% 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) Investment was valued using significant unobservable inputs.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2017, these securities amounted to a value of $69,490 or 0.02% of net assets.

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

(f) Maturity value of $7,030,284. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $7,171,774.

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

(h) See Note 3 for aggregate cost for federal tax purposes.

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date	Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contract — Long
Russell 2000 E Mini Index	3/16/18		109	$	8,311,756	$	62,169

The accompanying notes are an integral part of the portfolio of investments.

133

MassMutual Select Mid Cap Growth Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.2%
COMMON STOCK — 95.9%
Basic Materials — 3.8%
Chemicals — 3.2%
Air Products & Chemicals, Inc.		304,000	$	49,880,320
Ashland Global Holdings, Inc.		245,000		17,444,000
CF Industries Holdings, Inc.		129,343		5,502,251
FMC Corp.		180,854		17,119,640
RPM International, Inc.		610,000		31,976,200
The Sherwin-Williams Co.		32,264		13,229,531
Valvoline, Inc.		1,689,000		42,326,340
				177,478,282
Iron & Steel — 0.2%
Allegheny Technologies, Inc. (a) (b)		410,776		9,916,133
Carpenter Technology Corp.		42,148		2,149,126
				12,065,259
Mining — 0.4%
Franco-Nevada Corp. (b)		305,000		24,384,750
				213,928,291
Communications — 3.5%
Internet — 3.0%
Dropbox, Inc. Class B (a) (c) (d)		32,717		432,519
Expedia, Inc.		227,129		27,203,240
IAC/InterActiveCorp (a)		306,000		37,417,680
Match Group, Inc. (a) (b)		388,000		12,148,280
Palo Alto Networks, Inc. (a)		76,384		11,071,097
Shopify, Inc. Class A (a)		94,000		9,494,000
Symantec Corp.		917,000		25,731,020
TripAdvisor, Inc. (a) (b)		351,000		12,095,460
VeriSign, Inc. (a) (b)		228,000		26,092,320
Zillow Group, Inc. Class A (a)		77,000		3,136,980
Zillow Group, Inc. Class C (a) (b)		77,000		3,150,840
				167,973,436
Telecommunications — 0.5%
Maxar Technologies Ltd. (b)		426,836		27,454,092
				195,427,528
Consumer, Cyclical — 15.9%
Airlines — 0.7%
JetBlue Airways Corp. (a)		537,373		12,004,913
United Continental Holdings, Inc. (a)		381,000		25,679,400
				37,684,313
Auto Manufacturers — 0.3%
Ferrari NV		154,000		16,145,360
Auto Parts & Equipment — 0.3%
Dana, Inc.		500,886		16,033,361

	Number of Shares		Value
Distribution & Wholesale — 1.4%
Beacon Roofing Supply, Inc. (a)		185,310	$	11,815,366
HD Supply Holdings, Inc. (a)		1,300,618		52,063,738
LKQ Corp. (a)		431,564		17,551,708
				81,430,812
Entertainment — 0.6%
IMAX Corp. (a)		178,102		4,123,061
Vail Resorts, Inc.		129,000		27,408,630
				31,531,691
Food Services — 0.9%
Aramark		1,155,525		49,387,138
Leisure Time — 1.5%
Norwegian Cruise Line Holdings Ltd. (a)		1,299,000		69,171,750
Royal Caribbean Cruises Ltd.		153,000		18,249,840
				87,421,590
Lodging — 2.0%
Marriott International, Inc. Class A		497,000		67,457,810
MGM Resorts International		1,399,584		46,732,110
				114,189,920
Retail — 8.2%
Burlington Stores, Inc. (a)		229,000		28,173,870
CarMax, Inc. (a)		496,000		31,808,480
Casey’s General Stores, Inc. (b)		246,000		27,537,240
Dollar General Corp.		1,108,981		103,146,323
Dollar Tree, Inc. (a)		102,568		11,006,572
Dunkin’ Brands Group, Inc.		399,000		25,723,530
L Brands, Inc.		190,000		11,441,800
The Michaels Cos., Inc. (a)		760,000		18,384,400
O’Reilly Automotive, Inc. (a)		258,541		62,189,452
PVH Corp.		137,000		18,797,770
Ross Stores, Inc.		137,098		11,002,114
Tapestry, Inc.		1,756,000		77,667,880
Texas Roadhouse, Inc.		121,460		6,398,513
Ulta Salon Cosmetics & Fragrance, Inc. (a)		79,000		17,669,140
Yum! Brands, Inc.		166,921		13,622,423
				464,569,507
				898,393,692
Consumer, Non-cyclical — 27.7%
Beverages — 0.2%
Monster Beverage Corp. (a)		216,140		13,679,501
Biotechnology — 2.8%
Alnylam Pharmaceuticals, Inc. (a)		267,000		33,922,350
BioMarin Pharmaceutical, Inc. (a)		150,991		13,463,868
Bioverativ, Inc. (a)		189,000		10,190,880
Exact Sciences Corp. (a)		147,500		7,749,650
Illumina, Inc. (a)		154,068		33,662,317

The accompanying notes are an integral part of the portfolio of investments.

134

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

	Number of Shares		Value
Incyte Corp. (a)		313,065	$	29,650,386
Sage Therapeutics, Inc. (a)		5,000		823,550
Seattle Genetics, Inc. (a) (b)		195,000		10,432,500
Vertex Pharmaceuticals, Inc. (a)		114,000		17,084,040
				156,979,541
Commercial Services — 9.9%
Bright Horizons Family Solutions, Inc. (a)		75,461		7,093,334
Cintas Corp.		174,563		27,202,152
CoreLogic, Inc. (a)		771,000		35,627,910
CoStar Group, Inc. (a)		77,000		22,865,150
Equifax, Inc.		228,000		26,885,760
Euronet Worldwide, Inc. (a)		184,547		15,551,776
FleetCor Technologies, Inc. (a)		152,000		29,249,360
Gartner, Inc. (a)		227,995		28,077,584
Global Payments, Inc.		762,749		76,457,960
IHS Markit Ltd. (a)		690,000		31,153,500
KAR Auction Services, Inc.		941,477		47,554,003
MarketAxess Holdings, Inc.		67,618		13,641,931
Moody’s Corp.		62,557		9,234,039
ServiceMaster Global Holdings, Inc. (a)		656,758		33,671,983
TransUnion (a)		633,000		34,789,680
Verisk Analytics, Inc. (a)		471,000		45,216,000
WeWork Companies, Inc. Class A (a) (c) (d)		34,577		1,585,355
WEX, Inc. (a)		65,404		9,237,007
Worldpay, Inc. Class A (a) (b)		881,527		64,836,311
				559,930,795
Foods — 1.4%
Blue Buffalo Pet Products, Inc. (a) (b)		278,736		9,139,754
Conagra Brands, Inc.		531,000		20,002,770
Sprouts Farmers Market, Inc. (a)		913,000		22,231,550
TreeHouse Foods, Inc. (a)		531,000		26,263,260
				77,637,334
Health Care – Products — 8.4%
Align Technology, Inc. (a)		53,206		11,821,841
Bruker Corp.		1,245,985		42,762,205
The Cooper Cos., Inc.		372,991		81,267,279
DENTSPLY SIRONA, Inc.		602,913		39,689,763
Edwards Lifesciences Corp. (a)		87,352		9,845,444
Henry Schein, Inc. (a)		382,000		26,694,160
Hologic, Inc. (a)		1,836,000		78,489,000
IDEXX Laboratories, Inc. (a)		55,000		8,600,900
Insulet Corp. (a)		92,889		6,409,341
Intuitive Surgical, Inc. (a)		32,000		11,678,080
Nevro Corp. (a)		111,649		7,708,247
QIAGEN NV		325,771		10,076,097
STERIS PLC		94,403		8,257,430
Teleflex, Inc.		454,335		113,047,635

	Number of Shares		Value
West Pharmaceutical Services, Inc.		232,000	$	22,891,440
				479,238,862
Health Care – Services — 2.1%
Acadia Healthcare Co., Inc. (a) (b)		695,454		22,692,664
Envision Healthcare Corp. (a)		1,068,000		36,910,080
IQVIA Holdings, Inc. (a)		272,000		26,628,800
MEDNAX, Inc. (a)		608,000		32,491,520
				118,723,064
Pharmaceuticals — 2.9%
Alkermes PLC (a) (b)		953,503		52,185,219
Catalent, Inc. (a)		914,000		37,547,120
DexCom, Inc. (a) (b)		266,000		15,265,740
TESARO, Inc. (a) (b)		52,000		4,309,240
Zoetis, Inc.		735,554		52,989,310
				162,296,629
				1,568,485,726
Energy — 1.4%
Oil & Gas — 1.4%
ARC Resources Ltd. (b)		774,000		9,082,339
Carrizo Oil & Gas, Inc. (a) (b)		576,968		12,277,879
Centennial Resource Development, Inc. (a) (c)		245,621		4,863,296
Centennial Resource Development, Inc. Class A (a) (b)		484,379		9,590,704
Concho Resources, Inc. (a)		278,761		41,875,477
Venture Global LNG (c) (d)		1,148		4,329,108
				82,018,803
Financial — 9.1%
Banks — 0.9%
Fifth Third Bancorp		763,000		23,149,420
Webster Financial Corp.		547,847		30,767,088
				53,916,508
Diversified Financial Services — 4.8%
Alliance Data Systems Corp.		30,845		7,818,591
Cboe Global Markets, Inc.		456,000		56,813,040
E*TRADE Financial Corp. (a)		222,594		11,033,984
FNF Group		1,682,000		66,001,680
Nasdaq, Inc.		205,895		15,818,913
Raymond James Financial, Inc.		233,534		20,854,586
SEI Investments Co.		156,902		11,274,978
SLM Corp. (a)		1,461,000		16,509,300
TD Ameritrade Holding Corp.		1,262,000		64,526,060
				270,651,132
Insurance — 2.9%
Aon PLC		144,818		19,405,612
The Progressive Corp.		1,141,000		64,261,120
Willis Towers Watson PLC		551,893		83,164,756
				166,831,488

The accompanying notes are an integral part of the portfolio of investments.

135

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

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 0.5%
Healthcare Trust of America, Inc. Class A		171,971	$	5,166,009
SBA Communications Corp. (a)		130,211		21,271,269
				26,437,278
				517,836,406
Industrial — 19.1%
Aerospace & Defense — 1.3%
Harris Corp.		459,000		65,017,350
Rockwell Collins, Inc.		75,000		10,171,500
				75,188,850
Building Materials — 1.2%
Eagle Materials, Inc.		127,194		14,411,080
Martin Marietta Materials, Inc.		172,086		38,037,890
Vulcan Materials Co.		103,679		13,309,273
				65,758,243
Electrical Components & Equipment — 0.6%
Acuity Brands, Inc. (b)		119,000		20,944,000
Universal Display Corp.		69,075		11,925,799
				32,869,799
Electronics — 6.0%
Agilent Technologies, Inc.		1,073,000		71,858,810
Allegion PLC		457,000		36,358,920
Amphenol Corp. Class A		127,231		11,170,882
Coherent, Inc. (a)		68,000		19,190,960
Corning, Inc.		152,000		4,862,480
Flex Ltd. (a)		371,251		6,678,805
Fortive Corp.		572,000		41,384,200
Keysight Technologies, Inc. (a)		1,531,000		63,689,600
National Instruments Corp.		308,000		12,822,040
Sensata Technologies Holding NV (a) (b)		1,436,000		73,393,960
				341,410,657
Environmental Controls — 1.2%
Waste Connections, Inc.		988,880		70,151,147
Machinery – Construction & Mining — 0.3%
BWX Technologies, Inc.		253,067		15,308,023
Machinery – Diversified — 3.8%
Gardner Denver Holdings, Inc. (a)		512,000		17,372,160
IDEX Corp.		559,684		73,861,497
Roper Technologies, Inc.		307,000		79,513,000
Wabtec Corp. (b)		47,592		3,875,417
Xylem, Inc.		576,000		39,283,200
				213,905,274
Miscellaneous – Manufacturing — 2.5%
A.O. Smith Corp.		198,397		12,157,768
Colfax Corp. (a)		726,246		28,773,867
Textron, Inc.		1,809,000		102,371,310
				143,302,945

	Number of Shares		Value
Packaging & Containers — 1.5%
Ardagh Group SA		69,000	$	1,455,900
Ball Corp.		1,852,799		70,128,442
Berry Plastics Group, Inc. (a)		225,150		13,209,550
				84,793,892
Transportation — 0.7%
J.B. Hunt Transport Services, Inc.		108,000		12,417,840
Kansas City Southern		268,000		28,198,960
				40,616,800
				1,083,305,630
Technology — 15.4%
Computers — 1.2%
Conduent, Inc. (a)		688,530		11,126,645
CSRA, Inc.		951,000		28,453,920
DXC Technology Co.		245,157		23,265,399
Fortinet, Inc. (a)		151,065		6,600,030
				69,445,994
Semiconductors — 4.4%
Integrated Device Technology, Inc. (a)		442,571		13,157,636
KLA-Tencor Corp.		114,000		11,977,980
Lam Research Corp.		74,061		13,632,408
MACOM Technology Solutions Holdings, Inc. (a) (b)		298,624		9,717,225
Marvell Technology Group Ltd.		1,638,000		35,167,860
Microchip Technology, Inc. (b)		915,000		80,410,200
Microsemi Corp. (a)		270,000		13,945,500
Monolithic Power Systems, Inc.		78,474		8,817,339
Qorvo, Inc. (a)		176,099		11,728,193
Xilinx, Inc.		711,000		47,935,620
				246,489,961
Software — 9.8%
Activision Blizzard, Inc.		187,034		11,842,993
athenahealth, Inc. (a)		71,000		9,445,840
Atlassian Corp. PLC Class A (a)		555,000		25,263,600
Black Knight, Inc. (a)		687,000		30,331,050
Cadence Design Systems, Inc. (a)		255,645		10,691,074
CDK Global, Inc.		621,279		44,284,767
Electronic Arts, Inc. (a)		408,476		42,914,488
Fidelity National Information Services, Inc.		269,000		25,310,210
Fiserv, Inc. (a)		610,000		79,989,300
Guidewire Software, Inc. (a)		193,000		14,332,180
InterXion Holding NV (a)		293,391		17,289,532
Jack Henry & Associates, Inc.		68,837		8,051,175
MSCI, Inc.		154,000		19,487,160
Red Hat, Inc. (a)		563,298		67,652,090
ServiceNow, Inc. (a)		77,000		10,040,030
Splunk, Inc. (a)		335,000		27,751,400
SS&C Technologies Holdings, Inc		1,096,787		44,397,938

The accompanying notes are an integral part of the portfolio of investments.

136

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

	Number of Shares		Value
Tableau Software, Inc. Class A (a)		272,000	$	18,822,400
Veeva Systems, Inc. Class A (a)		190,000		10,503,200
Workday, Inc. Class A (a)		356,000		36,219,440
				554,619,867
				870,555,822
TOTAL COMMON STOCK (Cost $4,300,870,271)				5,429,951,898
PREFERRED STOCK — 0.3%
Communications — 0.2%
Internet — 0.2%
Dropbox, Inc. Series A 1, Convertible (a) (c) (d)		199,577		2,638,408
Dropbox, Inc. Series A, Convertible (a) (c) (d)		40,629		537,115
Roofoods Ltd. Series F (a) (c) (d)		16,844		5,955,543
				9,131,066
Consumer, Non-cyclical — 0.1%
Commercial Services — 0.1%
WeWork Companies, Inc. Series D 1 (a) (c) (d)		83,736		3,839,296
WeWork Companies, Inc. Series D 2 (a) (c) (d)		65,792		3,016,563
				6,855,859
TOTAL PREFERRED STOCK (Cost $10,619,006)				15,986,925
TOTAL EQUITIES (Cost $4,311,489,277)				5,445,938,823
MUTUAL FUNDS — 7.8%
Diversified Financial Services — 7.8%
State Street Navigator Securities Lending Prime Portfolio (e)		329,458,687		329,458,687
T. Rowe Price Government Reserve Investment Fund		114,615,473		114,615,473
				444,074,160
TOTAL MUTUAL FUNDS (Cost $444,074,160)				444,074,160
TOTAL LONG-TERM INVESTMENTS (Cost $4,755,563,437)				5,890,012,983

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (f)	$	148,972,671	$	148,972,671
Time Deposit — 0.0%
Euro Time Deposit 0.120% 1/02/18		199,370		199,370
TOTAL SHORT-TERM INVESTMENTS (Cost $149,172,041)				149,172,041
TOTAL INVESTMENTS — 106.6% (Cost $4,904,735,478) (g)				6,039,185,024
Other Assets/(Liabilities) — (6.6)%				(373,797,228	)
NET ASSETS — 100.0%			$	5,665,387,796

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 December 31, 2017, was $322,121,061 or 5.69% 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 December 31, 2017, these securities amounted to a value of $27,197,203 or 0.48% of net assets.

(d) Investment was valued using significant unobservable inputs.

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

(f) Maturity value of $148,981,609. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $151,957,779.

(g) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

137

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.4%
Basic Materials — 3.9%
Chemicals — 3.0%
Ferro Corp. (a)		179,732	$	4,239,878
Ingevity Corp. (a)		40,066		2,823,451
Methanex Corp. (b)		44,291		2,681,820
Minerals Technologies, Inc.		25,279		1,740,459
Orion Engineered Carbons SA		78,077		1,998,771
PolyOne Corp.		42,996		1,870,326
Venator Materials PLC (a)		42,300		935,676
				16,290,381
Iron & Steel — 0.7%
Carpenter Technology Corp.		78,503		4,002,868
Mining — 0.2%
Ferroglobe PLC		76,630		1,241,406
				21,534,655
Communications — 6.0%
Internet — 4.0%
DraftKings, Inc. (a) (c) (d)		281,739		400,069
Dropbox, Inc. Class B (a) (c) (d)		18,020		238,224
GoDaddy, Inc. Class A (a)		43,436		2,183,962
GrubHub, Inc. (a) (b)		29,177		2,094,909
Mimecast Ltd. (a) (b)		75,607		2,167,653
Okta, Inc. (a)		51,165		1,310,336
Proofpoint, Inc. (a)		27,283		2,423,003
Q2 Holdings, Inc. (a)		64,670		2,383,089
Quotient Technology, Inc. (a)		64,394		756,630
RingCentral, Inc. Class A (a)		48,150		2,330,460
The Trade Desk, Inc. Class A (a) (b)		25,823		1,180,886
Veracode, Inc. (Escrow Shares) (a) (c) (d)		30,294		121,782
Wayfair, Inc. Class A (a) (b)		20,693		1,661,027
Zendesk, Inc. (a)		51,699		1,749,494
Zillow Group, Inc. Class C (a) (b)		27,825		1,138,599
				22,140,123
Media — 0.4%
The New York Times Co. Class A		120,337		2,226,234
Telecommunications — 1.6%
Acacia Communications, Inc. (a) (b)		30,498		1,104,942
Ciena Corp. (a)		88,281		1,847,721
LogMeIn, Inc.		18,160		2,079,320
Oclaro, Inc. (a) (b)		139,971		943,405
Vonage Holdings Corp. (a)		289,080		2,939,944
				8,915,332
				33,281,689

	Number of Shares		Value
Consumer, Cyclical — 15.6%
Airlines — 0.6%
JetBlue Airways Corp. (a)		108,690	$	2,428,135
Spirit Airlines, Inc. (a)		25,833		1,158,610
				3,586,745
Apparel — 2.0%
Canada Goose Holdings, Inc. (a) (b)		9,510		300,136
Carter’s, Inc.		23,264		2,733,287
Deckers Outdoor Corp. (a)		26,926		2,160,812
Oxford Industries, Inc.		22,470		1,689,519
Skechers U.S.A., Inc. Class A (a)		53,355		2,018,953
Under Armour, Inc. Class C (a) (b)		57,767		769,457
Wolverine World Wide, Inc.		49,914		1,591,258
				11,263,422
Auto Manufacturers — 0.3%
Wabash National Corp. (b)		67,992		1,475,426
Auto Parts & Equipment — 1.3%
Cooper Tire & Rubber Co. (b)		29,900		1,056,965
Meritor, Inc. (a)		46,710		1,095,817
Tenneco, Inc.		33,012		1,932,522
Visteon Corp. (a)		24,130		3,019,628
				7,104,932
Distribution & Wholesale — 1.7%
Beacon Roofing Supply, Inc. (a)		36,755		2,343,499
Pool Corp.		24,740		3,207,541
SiteOne Landscape Supply, Inc. (a)		50,500		3,873,350
				9,424,390
Entertainment — 1.3%
Cinemark Holdings, Inc.		60,727		2,114,514
Marriott Vacations Worldwide Corp.		15,067		2,037,209
Vail Resorts, Inc.		13,370		2,840,724
				6,992,447
Home Builders — 0.9%
LGI Homes, Inc. (a) (b)		15,720		1,179,472
TRI Pointe Group, Inc. (a)		209,712		3,758,039
				4,937,511
Home Furnishing — 0.2%
Roku, Inc. (a) (b)		17,830		923,237
Leisure Time — 1.5%
Acushnet Holdings Corp. (b)		98,682		2,080,217
Lindblad Expeditions Holdings, Inc. (a)		175,760		1,720,690
Nautilus, Inc. (a)		57,435		766,757
Planet Fitness, Inc. Class A (a)		103,309		3,577,591
				8,145,255
Lodging — 1.2%
Boyd Gaming Corp. (b)		127,603		4,472,485

The accompanying notes are an integral part of the portfolio of investments.

138

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

	Number of Shares		Value
Choice Hotels International, Inc.		26,370	$	2,046,312
				6,518,797
Retail — 4.6%
BMC Stock Holdings, Inc. (a)		142,668		3,609,501
Burlington Stores, Inc. (a)		19,440		2,391,703
The Cheesecake Factory, Inc. (b)		41,224		1,986,172
Chico’s FAS, Inc.		215,464		1,900,393
The Children’s Place, Inc.		11,800		1,715,130
Dave & Buster’s Entertainment, Inc. (a)		31,002		1,710,380
FirstCash, Inc.		32,560		2,196,172
Floor & Decor Holdings, Inc. Class A (a)		30,480		1,483,766
La-Z-Boy, Inc.		55,043		1,717,342
Nu Skin Enterprises, Inc. Class A		29,918		2,041,305
Ollie’s Bargain Outlet Holdings, Inc. (a)		48,900		2,603,925
Papa John’s International, Inc. (b)		15,700		880,927
Wingstop, Inc. (b)		36,791		1,434,113
				25,670,829
				86,042,991
Consumer, Non-cyclical — 21.8%
Biotechnology — 3.3%
Aduro Biotech, Inc. (a) (b)		72,349		542,617
Amicus Therapeutics, Inc. (a) (b)		54,103		778,542
Bluebird Bio, Inc. (a)		5,538		986,318
Blueprint Medicines Corp. (a)		26,156		1,972,424
Dermira, Inc. (a)		68,702		1,910,603
Exact Sciences Corp. (a)		67,444		3,543,508
Exelixis, Inc. (a)		35,300		1,073,120
Ionis Pharmaceuticals, Inc. (a) (b)		14,216		715,065
Ligand Pharmaceuticals, Inc. (a) (b)		12,800		1,752,704
Loxo Oncology, Inc. (a) (b)		6,238		525,115
Momenta Pharmaceuticals, Inc. (a)		73,106		1,019,829
Sage Therapeutics, Inc. (a)		7,684		1,265,632
Spark Therapeutics, Inc. (a)		28,782		1,479,970
Ultragenyx Pharmaceutical, Inc. (a) (b)		11,183		518,667
				18,084,114
Commercial Services — 4.7%
Bright Horizons Family Solutions, Inc. (a)		32,060		3,013,640
The Brink’s Co.		51,828		4,078,864
Cardtronics PLC Class A (a)		59,073		1,094,032
CoreLogic, Inc. (a)		19,300		891,853
CoStar Group, Inc. (a)		7,290		2,164,765
Green Dot Corp. Class A (a)		23,450		1,413,097
Healthcare Services Group, Inc.		22,930		1,208,870
HealthEquity, Inc. (a)		47,788		2,229,788
HMS Holdings Corp. (a)		102,100		1,730,595
LendingTree, Inc. (a) (b)		1,500		510,675

	Number of Shares		Value
MarketAxess Holdings, Inc.		6,260	$	1,262,955
Nutrisystem, Inc.		27,755		1,459,913
Paylocity Holding Corp. (a)		26,833		1,265,444
Sotheby’s (a)		20,530		1,059,348
TriNet Group, Inc. (a)		56,128		2,488,716
				25,872,555
Foods — 1.3%
Blue Buffalo Pet Products, Inc. (a) (b)		74,791		2,452,397
Performance Food Group Co. (a)		143,875		4,762,262
				7,214,659
Health Care – Products — 6.3%
ABIOMED, Inc. (a)		17,330		3,247,815
Cantel Medical Corp.		28,510		2,932,824
Globus Medical, Inc. Class A (a)		54,874		2,255,321
Haemonetics Corp. (a)		48,989		2,845,281
ICU Medical, Inc. (a)		8,850		1,911,600
Inogen, Inc. (a)		18,658		2,221,795
Insulet Corp. (a)		102,601		7,079,469
Integra LifeSciences Holdings Corp. (a) (b)		30,600		1,464,516
iRhythm Technologies, Inc. (a)		20,530		1,150,706
Merit Medical Systems, Inc. (a)		22,570		975,024
MiMedx Group, Inc. (a) (b)		134,911		1,701,228
OraSure Technologies, Inc. (a)		93,110		1,756,055
Penumbra, Inc. (a) (b)		21,240		1,998,684
Quidel Corp. (a)		21,470		930,724
Repligen Corp. (a) (b)		34,120		1,237,874
West Pharmaceutical Services, Inc.		11,230		1,108,064
				34,816,980
Health Care – Services — 1.7%
Kindred Healthcare, Inc.		231,396		2,244,541
LifePoint Health, Inc. (a)		34,930		1,739,514
Molina Healthcare, Inc. (a) (b)		31,364		2,404,992
Teladoc, Inc. (a) (b)		26,200		913,070
Tivity Health, Inc. (a)		22,210		811,776
WellCare Health Plans, Inc. (a)		6,140		1,234,815
				9,348,708
Pharmaceuticals — 4.5%
ACADIA Pharmaceuticals, Inc. (a) (b)		31,340		943,647
Aerie Pharmaceuticals, Inc. (a) (b)		41,724		2,493,009
Agios Pharmaceuticals, Inc. (a) (b)		10,670		610,004
DexCom, Inc. (a) (b)		15,367		881,912
Galapagos NV Sponsored ADR (a)		11,553		1,083,209
Global Blood Therapeutics, Inc. (a)		18,171		715,029
Ignyta, Inc. (a)		57,700		1,540,590
Ironwood Pharmaceuticals, Inc. (a) (b)		44,991		674,415
MyoKardia, Inc. (a)		16,766		705,849
Nektar Therapeutics (a)		51,978		3,104,126
Neogen Corp. (a)		17,740		1,458,405

The accompanying notes are an integral part of the portfolio of investments.

139

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

	Number of Shares		Value
Neurocrine Biosciences, Inc. (a)		26,975	$	2,092,990
Portola Pharmaceuticals, Inc. (a)		31,564		1,536,536
PRA Health Sciences, Inc. (a)		56,231		5,120,957
Revance Therapeutics, Inc. (a) (b)		14,838		530,459
Supernus Pharmaceuticals, Inc. (a)		30,460		1,213,831
TESARO, Inc. (a) (b)		4,625		383,274
				25,088,242
				120,425,258
Energy — 2.8%
Energy – Alternate Sources — 0.8%
First Solar, Inc. (a)		33,259		2,245,647
Pattern Energy Group, Inc. (b)		85,851		1,844,938
				4,090,585
Oil & Gas — 1.8%
Callon Petroleum Co. (a) (b)		265,748		3,228,838
Centennial Resource Development, Inc. Class A (a) (b)		118,202		2,340,400
Delek US Holdings, Inc.		78,170		2,731,260
Matador Resources Co. (a)		48,310		1,503,890
				9,804,388
Oil & Gas Services — 0.2%
RPC, Inc. (b)		48,760		1,244,843
				15,139,816
Financial — 15.7%
Banks — 4.6%
Ameris Bancorp		41,360		1,993,552
FCB Financial Holdings, Inc. Class A (a)		47,725		2,424,430
MB Financial, Inc.		105,738		4,707,456
Pinnacle Financial Partners, Inc.		24,080		1,596,504
South State Corp.		19,565		1,705,090
State Bank Financial Corp.		70,238		2,095,902
Texas Capital Bancshares, Inc. (a)		24,960		2,218,944
Western Alliance Bancorp (a)		132,142		7,481,880
Wintrust Financial Corp.		11,710		964,552
				25,188,310
Diversified Financial Services — 1.8%
Air Lease Corp.		42,979		2,066,860
Blackhawk Network Holdings, Inc. (a)		18,487		659,062
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b)		138,940		3,342,896
LPL Financial Holdings, Inc.		38,170		2,181,034
PRA Group, Inc. (a) (b)		49,521		1,644,097
WageWorks, Inc. (a)		5,136		318,432
				10,212,381
Insurance — 3.1%
Assured Guaranty Ltd.		47,783		1,618,410
eHealth, Inc. (a)		69,447		1,206,294

	Number of Shares		Value
Essent Group Ltd. (a)		42,770	$	1,857,074
Horace Mann Educators Corp.		40,513		1,786,623
James River Group Holdings Ltd.		27,400		1,096,274
Kemper Corp.		31,644		2,180,272
Kinsale Capital Group, Inc.		25,830		1,162,350
MGIC Investment Corp. (a)		343,219		4,842,820
Primerica, Inc.		15,070		1,530,359
				17,280,476
Private Equity — 0.5%
Kennedy-Wilson Holdings, Inc.		149,507		2,593,946
Real Estate — 0.2%
Five Point Holdings LLC Class A (a) (b)		80,900		1,140,690
Real Estate Investment Trusts (REITS) — 3.8%
CoreSite Realty Corp.		25,838		2,942,948
Corporate Office Properties Trust		36,476		1,065,099
CyrusOne, Inc.		15,370		914,976
LaSalle Hotel Properties		89,546		2,513,556
Life Storage, Inc.		25,650		2,284,646
MFA Financial, Inc.		228,127		1,806,766
Outfront Media, Inc.		75,349		1,748,097
Potlatch Corp.		31,800		1,586,820
QTS Realty Trust, Inc. Class A		44,153		2,391,326
Redwood Trust, Inc.		115,580		1,712,896
Rexford Industrial Realty, Inc.		64,026		1,866,998
				20,834,128
Savings & Loans — 1.7%
Banc of California, Inc. (b)		41,943		866,123
Pacific Premier Bancorp, Inc. (a)		49,106		1,964,240
Sterling Bancorp		263,353		6,478,484
				9,308,847
				86,558,778
Industrial — 17.2%
Aerospace & Defense — 1.3%
HEICO Corp. (b)		34,642		3,268,473
Kaman Corp.		31,979		1,881,644
Teledyne Technologies, Inc. (a)		11,566		2,095,181
				7,245,298
Building Materials — 1.7%
JELD-WEN Holding, Inc. (a)		110,029		4,331,842
Lennox International, Inc.		9,690		2,018,039
Summit Materials, Inc. Class A (a)		64,939		2,041,669
Trex Co., Inc. (a)		9,810		1,063,306
				9,454,856
Electrical Components & Equipment — 0.4%
Littelfuse, Inc.		11,180		2,211,628
Electronics — 1.7%
Coherent, Inc. (a)		11,890		3,355,596
II-VI, Inc. (a)		37,445		1,758,043

The accompanying notes are an integral part of the portfolio of investments.

140

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

	Number of Shares		Value
Itron, Inc. (a)		11,657	$	795,007
Rogers Corp. (a)		9,170		1,484,807
Watts Water Technologies, Inc. Class A		27,316		2,074,650
				9,468,103
Engineering & Construction — 1.6%
Dycom Industries, Inc. (a)		12,120		1,350,532
Granite Construction, Inc.		33,820		2,145,202
MasTec, Inc. (a)		40,980		2,005,971
TopBuild Corp. (a)		40,109		3,037,856
				8,539,561
Environmental Controls — 0.3%
Clean Harbors, Inc. (a)		32,081		1,738,790
Hand & Machine Tools — 0.2%
Regal Beloit Corp.		14,664		1,123,262
Machinery – Construction & Mining — 0.8%
BWX Technologies, Inc.		49,320		2,983,367
Terex Corp.		27,850		1,342,927
				4,326,294
Machinery – Diversified — 2.2%
Altra Industrial Motion Corp.		41,192		2,076,077
Chart Industries, Inc. (a)		52,800		2,474,208
Cognex Corp.		41,630		2,546,091
SPX FLOW, Inc. (a)		46,100		2,192,055
Zebra Technologies Corp. Class A (a)		28,187		2,925,810
				12,214,241
Metal Fabricate & Hardware — 1.9%
Advanced Drainage Systems, Inc. (b)		92,550		2,207,318
RBC Bearings, Inc. (a)		24,260		3,066,464
Rexnord Corp. (a)		124,320		3,234,806
The Timken Co.		45,367		2,229,788
				10,738,376
Miscellaneous – Manufacturing — 1.5%
ITT, Inc.		42,320		2,258,618
John Bean Technologies Corp.		47,115		5,220,342
Trinseo SA		9,640		699,864
				8,178,824
Packaging & Containers — 0.6%
Berry Plastics Group, Inc. (a)		23,910		1,402,800
Graphic Packaging Holding Co.		109,142		1,686,244
				3,089,044
Transportation — 2.6%
Air Transport Services Group, Inc. (a)		50,070		1,158,620
Heartland Express, Inc.		52,310		1,220,915
Kirby Corp. (a)		33,204		2,218,027
Knight-Swift Transportation Holdings, Inc. (b)		44,615		1,950,568
Schneider National, Inc. Class B (b)		62,693		1,790,512

	Number of Shares		Value
Werner Enterprises, Inc.		42,501	$	1,642,664
XPO Logistics, Inc. (a)		49,990		4,578,584
				14,559,890
Trucking & Leasing — 0.4%
GATX Corp. (b)		31,151		1,936,346
				94,824,513
Technology — 14.8%
Computers — 1.7%
EPAM Systems, Inc. (a)		18,489		1,986,273
Mercury Systems, Inc. (a)		76,950		3,951,382
Science Applications International Corp.		14,579		1,116,314
Varonis Systems, Inc. (a)		10,260		498,123
VeriFone Systems, Inc. (a)		60,860		1,077,831
Vocera Communications, Inc. (a)		25,600		773,632
				9,403,555
Semiconductors — 4.5%
Ambarella, Inc. (a) (b)		15,400		904,750
Axcelis Technologies, Inc. (a)		44,440		1,275,428
Cavium, Inc. (a)		29,251		2,452,111
Entegris, Inc.		219,047		6,669,981
MACOM Technology Solutions Holdings, Inc. (a) (b)		20,612		670,715
MKS Instruments, Inc.		30,910		2,920,995
Monolithic Power Systems, Inc.		31,940		3,588,778
Rambus, Inc. (a)		79,700		1,133,334
Silicon Laboratories, Inc. (a)		20,620		1,820,746
Tower Semiconductor Ltd. (a) (b)		91,109		3,104,995
				24,541,833
Software — 8.6%
2U, Inc. (a) (b)		128,314		8,277,536
Blackline, Inc. (a) (b)		33,330		1,093,224
BroadSoft, Inc. (a) (b)		35,134		1,928,857
Callidus Software, Inc. (a)		53,849		1,542,774
Cloudera, Inc. (a)		147,964		2,444,365
Docusign, Inc. (Escrow Shares) (a) (c) (d)		8,415		-
Envestnet, Inc. (a)		22,080		1,100,688
Fair Isaac Corp.		12,650		1,937,980
Five9, Inc. (a)		40,619		1,010,601
Guidewire Software, Inc. (a)		46,332		3,440,614
HubSpot, Inc. (a)		81,209		7,178,876
ManTech International Corp. Class A		31,464		1,579,178
MongoDB, Inc. (a) (b)		11,920		353,786
New Relic, Inc. (a)		22,940		1,325,244
Paycom Software, Inc. (a) (b)		18,410		1,478,875
PTC, Inc. (a)		37,850		2,300,144
RealPage, Inc. (a)		33,960		1,504,428
Take-Two Interactive Software, Inc. (a)		27,770		3,048,591
Tyler Technologies, Inc. (a)		9,350		1,655,418
Veeva Systems, Inc. Class A (a)		40,923		2,262,223

The accompanying notes are an integral part of the portfolio of investments.

141

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

	Number of Shares		Value
Zynga, Inc. Class A (a)		499,042	$	1,996,168
				47,459,570
				81,404,958
Utilities — 0.6%
Electric — 0.6%
8Point3 Energy Partners LP		109,767		1,669,556
Black Hills Corp. (b)		29,132		1,751,126
				3,420,682
				3,420,682
TOTAL COMMON STOCK (Cost $436,968,495)				542,633,340
PREFERRED STOCK — 0.4%
Communications — 0.3%
Internet — 0.3%
The Honest Company, Inc. Series D (a) (c) (d)		14,220		502,961
Zuora, Inc. Series F (a) (c) (d)		194,983		1,039,259
				1,542,220
Technology — 0.1%
Software — 0.1%
MarkLogic Corp. Series F (a) (c) (d)		77,018		754,776
TOTAL PREFERRED STOCK (Cost $2,285,938)				2,296,996
TOTAL EQUITIES (Cost $439,254,433)				544,930,336
RIGHTS — 0.0%
Consumer, Non-cyclical — 0.0%
Pharmaceuticals — 0.0%
Dyax Corp. CVR (a) (c) (d)		20,230		38,235
TOTAL RIGHTS (Cost $22,455)				38,235
MUTUAL FUNDS — 15.2%
Diversified Financial Services — 15.2%
iShares Russell 2000 Growth Index Fund (b)		9,803		1,830,220
iShares Russell 2000 Index Fund		13,968		2,129,561
State Street Navigator Securities Lending Prime Portfolio (e)		79,828,870		79,828,870
				83,788,651
TOTAL MUTUAL FUNDS (Cost $83,732,424)				83,788,651
TOTAL LONG-TERM INVESTMENTS (Cost $523,009,312)				628,757,222

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.4%
Repurchase Agreement — 1.4%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (f)	$	7,757,601	$	7,757,601
Time Deposit — 0.0%
Euro Time Deposit 0.120% 1/02/18		13,252		13,252
TOTAL SHORT-TERM INVESTMENTS (Cost $7,770,853)				7,770,853
TOTAL INVESTMENTS — 115.4% (Cost $530,780,165) (g)				636,528,075
Other Assets/(Liabilities) — (15.4)%				(85,042,144	)
NET ASSETS — 100.0%			$	551,485,931

Abbreviation Legend

ADR American Depositary Receipt

CVR Contingent Value Rights

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $77,947,369 or 14.13% 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) Investment was valued using significant unobservable inputs.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2017, these securities amounted to a value of $3,095,306 or 0.56% of net assets.

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

(f) Maturity value of $7,758,067. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $7,922,068.

(g) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

142

MM MSCI EAFE International Index Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.5%
COMMON STOCK — 97.9%
Australia — 6.7%
The AGL Energy Ltd.		10,278	$	195,053
Alumina Ltd.		34,534		65,389
Amcor Ltd.		17,656		212,147
AMP Ltd.		45,454		183,655
APA Group		17,755		115,227
Aristocrat Leisure Ltd.		8,448		155,677
ASX Ltd.		3,019		129,109
Aurizon Holdings Ltd.		32,079		124,019
AusNet Services		30,772		43,392
Australia & New Zealand Banking Group Ltd.		45,060		1,006,479
Bank of Queensland Ltd.		5,448		53,961
Bendigo & Adelaide Bank Ltd.		7,077		64,306
BHP Billiton Ltd.		49,197		1,132,430
BlueScope Steel Ltd.		8,191		98,159
Boral Ltd.		17,965		108,880
Brambles Ltd.		24,379		191,115
Caltex Australia Ltd.		4,021		106,647
Challenger Ltd.		8,875		96,942
CIMIC Group Ltd.		1,603		64,281
Coca-Cola Amatil Ltd.		8,486		56,284
Cochlear Ltd.		899		120,018
Commonwealth Bank of Australia		26,459		1,653,683
Computershare Ltd.		7,157		90,963
Crown Resorts Ltd.		6,260		63,554
CSL Ltd.		6,902		759,645
Dexus		16,093		122,215
Domino’s Pizza Enterprises Ltd. (a)		1,079		39,305
Flight Centre Travel Group Ltd. (a)		864		29,797
Fortescue Metals Group Ltd. (a)		24,324		92,430
Goodman Group		27,479		180,128
The GPT Group		28,256		112,485
Harvey Norman Holdings Ltd. (a)		9,263		30,080
Healthscope Ltd.		24,248		39,679
Incitec Pivot Ltd.		27,333		83,108
Insurance Australia Group Ltd.		36,267		204,495
LendLease Group		8,659		110,271
Macquarie Group Ltd.		4,997		387,415
Medibank Pvt. Ltd.		43,282		110,996
Mirvac Group		57,896		105,848
National Australia Bank Ltd.		41,157		946,778
Newcrest Mining Ltd.		11,722		208,274
Orica Ltd.		5,392		76,090
Origin Energy Ltd. (b)		27,251		200,416
QBE Insurance Group Ltd.		21,018		174,912
Ramsay Health Care Ltd.		2,211		120,768
REA Group Ltd. (a)		732		43,703
Rio Tinto Ltd.		6,556		386,909

	Number of Shares		Value
Santos Ltd. (b)		29,242	$	124,008
Scentre Group		80,570		262,933
SEEK Ltd.		5,369		79,472
Sonic Healthcare Ltd.		6,251		111,303
South32 Ltd.		52,452		143,363
South32 Ltd.		28,902		78,581
Stockland		37,770		132,111
Suncorp Group Ltd.		19,636		211,780
Sydney Airport		17,140		94,011
Tabcorp Holdings Ltd.		26,553		115,495
Telstra Corp. Ltd.		63,517		179,803
TPG Telecom Ltd. (a)		6,332		32,446
Transurban Group		33,516		324,409
Treasury Wine Estates Ltd.		11,625		144,594
Vicinity Centres		53,253		113,145
Wesfarmers Ltd.		17,206		595,871
Westfield Corp.		30,291		224,465
Westpac Banking Corp.		51,852		1,265,597
Woodside Petroleum Ltd.		12,849		332,091
Woolworths Group Ltd. (a)		19,739		420,144
				15,682,739
Austria — 0.2%
ANDRITZ AG		1,035		58,445
Erste Group Bank AG		4,597		198,246
OMV AG		2,279		144,388
Raiffeisen Bank International AG (b)		2,384		86,327
voestalpine AG		1,672		99,936
				587,342
Belgium — 1.1%
Ageas		2,863		139,760
Anheuser-Busch InBev SA/NV		11,666		1,301,259
Colruyt SA		965		50,197
Groupe Bruxelles Lambert SA		1,253		135,132
KBC Group NV		3,899		332,190
Proximus SADP		2,284		74,967
Solvay SA		1,141		158,450
Telenet Group Holding NV (b)		743		51,728
UCB SA		1,974		156,429
Umicore SA		2,827		133,588
				2,533,700
Bermuda — 0.4%
CK Infrastructure Holdings Ltd.		10,000		85,846
First Pacific Co. Ltd.		39,750		27,008
Hongkong Land Holdings Ltd.		18,300		128,683
Jardine Matheson Holdings Ltd.		3,200		194,287
Jardine Strategic Holdings Ltd.		3,400		134,582
Kerry Properties Ltd.		9,000		40,487
Kingston Financial Group Ltd.		62,000		59,394
Li & Fung Ltd.		102,000		55,925
NWS Holdings Ltd.		21,368		38,499

The accompanying notes are an integral part of the portfolio of investments.

143

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

	Number of Shares		Value
Shangri-La Asia Ltd.		18,000	$	40,690
Yue Yuen Industrial Holdings Ltd.		12,500		49,049
				854,450
Cayman Islands — 0.7%
ASM Pacific Technology Ltd.		4,100		57,027
CK Asset Holdings Ltd.		39,745		347,407
CK Hutchison Holdings Ltd.		41,245		517,830
Melco Resorts & Entertainment Ltd. ADR		3,922		113,895
MGM China Holdings Ltd.		16,400		49,608
Minth Group Ltd.		12,000		72,213
Sands China Ltd.		37,600		193,522
WH Group Ltd. (c)		135,572		152,816
Wharf Real Estate Investment Co. Ltd. (b)		18,000		119,803
Wynn Macau Ltd.		22,800		71,834
				1,695,955
Denmark — 1.8%
AP Moller — Maersk A/S Class A		59		98,325
AP Moller — Maersk A/S Class B		100		174,264
Carlsberg A/S Class B		1,640		196,433
Chr Hansen Holding A/S		1,516		142,179
Coloplast A/S Class B		1,836		145,587
Danske Bank A/S		11,545		448,827
DSV A/S		2,900		228,322
Genmab A/S (b)		881		146,091
H Lundbeck A/S		979		49,787
ISS A/S		2,591		99,948
Novo Nordisk A/S Class B		28,526		1,533,135
Novozymes A/S Class B		3,543		202,406
Orsted A/S (c)		2,885		157,177
Pandora A/S		1,630		177,392
TDC A/S		12,118		74,462
Tryg A/S		1,868		46,568
Vestas Wind Systems A/S		3,336		228,671
William Demant Holding A/S (b)		1,681		46,795
				4,196,369
Finland — 0.9%
Elisa OYJ		2,182		85,541
Fortum OYJ		6,902		136,628
Kone OYJ Class B		5,142		275,926
Metso OYJ		1,597		54,480
Neste OYJ		1,952		124,918
Nokia OYJ		10,433		48,805
Nokia OYJ		78,628		367,258
Nokian Renkaat OYJ		1,749		79,220
Orion OYJ Class B		1,576		58,692
Sampo OYJ Class A		6,908		379,494
Stora Enso OYJ Class R		8,563		135,565
UPM-Kymmene OYJ		8,184		253,936
Wartsila OYJ Abp		2,288		144,184
				2,144,647

	Number of Shares		Value
France — 9.8%
Accor SA		2,906	$	149,792
Aeroports de Paris		478		90,812
Air Liquide SA		6,496		817,009
Alstom SA		2,475		102,723
Amundi SA (c)		923		78,136
Arkema SA		1,050		127,596
Atos SE		1,442		209,899
AXA SA		29,668		879,313
BioMerieux		615		55,104
BNP Paribas SA		17,225		1,284,535
Bollore SA		12,514		67,979
Bollore SA (a) (b)		71		388
Bouygues SA		3,297		171,274
Bureau Veritas SA		4,145		113,326
Capgemini SE		2,438		288,519
Carrefour SA		9,055		195,962
Casino Guichard Perrachon SA		780		47,239
Cie de Saint-Gobain		7,719		424,821
Cie Generale des Etablissements Michelin		2,609		373,724
CNP Assurances		2,524		58,240
Credit Agricole SA		17,289		285,609
Danone SA		9,211		772,228
Dassault Aviation SA		39		60,629
Dassault Systemes SE		1,984		210,714
Edenred		3,530		102,266
Eiffage SA		1,082		118,555
Electricite de France SA		8,794		109,703
Engie SA		27,858		478,639
Essilor International Cie Generale d’Optique SA		3,211		442,782
Eurazeo SA		604		55,712
Eutelsat Communications SA		2,500		57,722
Faurecia		1,150		89,679
Fonciere Des Regions		466		52,800
Gecina SA		735		135,609
Getlink SE		7,160		92,086
Hermes International		492		263,364
ICADE		524		51,502
Iliad SA		414		99,209
Imerys SA		603		56,805
Ingenico Group SA		940		100,305
Ipsen SA		539		64,381
JCDecaux SA		1,015		40,900
Kering		1,169		551,096
Klepierre		3,436		151,098
L’Oreal SA		3,864		855,991
Lagardere S.C.A		1,701		54,495
Legrand SA		4,040		310,603
LVMH Moet Hennessy Louis Vuitton SE		4,281		1,257,543
Natixis SA		14,766		116,812

The accompanying notes are an integral part of the portfolio of investments.

144

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

	Number of Shares		Value
Orange SA		30,405	$	527,614
Pernod Ricard SA		3,251		514,603
Peugeot SA		8,903		180,852
Publicis Groupe SA		3,245		220,454
Remy Cointreau SA		319		44,197
Renault SA		2,931		294,588
Rexel SA		4,655		84,425
Safran SA		5,120		526,486
Sanofi		17,338		1,492,864
Schneider Electric SE		8,448		716,485
Schneider Electric SE		253		21,542
SCOR SE		2,734		110,003
SEB SA		329		60,957
Societe BIC SA		410		45,084
Societe Generale SA		11,703		603,379
Sodexo SA		1,367		183,541
Suez		5,800		101,961
Teleperformance		869		124,385
Thales SA		1,656		178,204
Total SA		36,316		2,003,746
Ubisoft Entertainment SA (b)		938		72,173
Unibail-Rodamco SE		245		61,722
Unibail-Rodamco SE		1,295		326,299
Valeo SA		3,660		272,750
Veolia Environnement SA		7,378		188,241
Vinci SA		7,744		790,097
Vivendi SA		15,830		425,669
Wendel SA		414		71,722
Zodiac Aerospace		3,072		91,891
				22,911,162
Germany — 9.1%
adidas AG		2,859		570,725
Allianz SE Registered		6,889		1,577,675
Axel Springer SE		742		57,815
BASF SE		14,061		1,543,127
Bayer AG Registered		12,661		1,574,712
Bayerische Motoren Werke AG		5,066		526,218
Beiersdorf AG		1,556		182,374
Brenntag AG		2,417		152,468
Commerzbank AG (b)		16,258		243,858
Continental AG		1,665		449,508
Covestro AG (c)		1,844		189,604
Daimler AG Registered		14,756		1,252,970
Deutsche Bank AG Registered		31,582		599,341
Deutsche Boerse AG		2,911		337,426
Deutsche Lufthansa AG Registered		3,570		131,234
Deutsche Post AG Registered		14,874		706,588
Deutsche Telekom AG Registered		50,879		902,320
Deutsche Wohnen SE		5,397		235,314
Drillisch AG		802		66,200
E.ON SE		34,070		369,410
Evonik Industries AG		2,605		97,731

	Number of Shares		Value
Fraport AG Frankfurt Airport Services Worldwide		587	$	64,576
Fresenius Medical Care AG & Co. KGaA		3,263		343,670
Fresenius SE & Co. KGaA		6,327		492,621
GEA Group AG		2,848		136,559
Hannover Rueck SE		936		117,446
HeidelbergCement AG		2,265		245,191
Henkel AG & Co. KGaA		1,593		191,240
HOCHTIEF AG		273		48,115
HUGO BOSS AG		1,022		86,691
Infineon Technologies AG		17,545		479,194
Innogy SE (c)		2,125		82,812
K+S AG Registered		2,733		68,068
KION Group AG		1,129		97,406
LANXESS AG		1,400		111,317
Linde AG (b)		2,828		661,573
MAN SE		495		56,681
Merck KGaA		1,973		212,471
METRO AG (b)		2,772		55,366
MTU Aero Engines AG		803		143,622
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered		2,383		516,610
OSRAM Licht AG		1,517		135,822
ProSiebenSat.1 Media SE		3,621		124,673
RWE AG (b)		7,954		162,196
SAP SE		15,047		1,687,218
Siemens AG Registered		11,707		1,624,335
Symrise AG		1,919		164,529
Telefonica Deutschland Holding AG		10,525		52,854
thyssenkrupp AG		6,653		193,190
TUI AG		4,761		98,057
TUI AG		2,201		45,573
Uniper Se		3,016		94,078
United Internet AG Registered		1,905		131,031
Volkswagen AG		491		99,409
Vonovia SE		7,521		372,290
Wirecard AG		1,776		198,281
Zalando SE (b) (c)		1,613		84,991
				21,246,374
Hong Kong — 2.4%
AIA Group Ltd.		184,780		1,575,863
The Bank of East Asia Ltd.		19,098		82,638
BOC Hong Kong Holdings Ltd.		56,000		283,243
CLP Holdings Ltd.		24,999		255,823
Galaxy Entertainment Group Ltd.		36,000		287,872
Hang Lung Group Ltd.		13,000		47,825
Hang Lung Properties Ltd.		29,000		70,770
Hang Seng Bank Ltd.		11,500		285,133
Henderson Land Development Co. Ltd.		17,286		113,928

The accompanying notes are an integral part of the portfolio of investments.

145

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

	Number of Shares		Value
HK Electric Investments & HK Electric Investments Ltd. Class SS (c)		43,706	$	39,996
HKT Trust & HKT Ltd.		56,840		72,484
Hong Kong & China Gas Co. Ltd.		127,326		249,583
Hong Kong Exchanges & Clearing Ltd.		17,932		547,717
Hysan Development Co. Ltd.		9,035		47,956
Link REIT		33,223		307,863
MTR Corp. Ltd.		22,579		132,307
New World Development Co. Ltd.		94,734		142,335
PCCW Ltd.		71,136		41,308
Power Assets Holdings Ltd.		21,000		177,225
Sino Land Co. Ltd.		48,053		85,076
SJM Holdings Ltd.		34,000		30,373
Sun Hung Kai Properties Ltd.		22,258		370,770
Swire Pacific Ltd. Class A		8,000		74,046
Swire Properties Ltd.		17,396		56,107
Techtronic Industries Co. Ltd.		21,403		139,501
The Wharf Holdings Ltd.		18,000		62,243
Wheelock & Co. Ltd.		12,000		85,739
				5,665,724
Ireland — 0.6%
AIB Group PLC		12,827		84,648
Bank of Ireland Group PLC (b)		14,545		123,731
CRH PLC		11,203		403,031
CRH PLC		1,489		53,367
DCC PLC		1,394		140,462
James Hardie Industries PLC		6,467		113,843
Kerry Group PLC Class A		2,469		276,893
Paddy Power Betfair PLC		1,266		150,191
				1,346,166
Israel — 0.5%
Azrieli Group Ltd.		718		40,162
Bank Hapoalim B.M.		16,513		121,379
Bank Leumi Le-Israel BM		22,529		135,697
Bezeq The Israeli Telecommunication Corp. Ltd.		29,290		44,277
Check Point Software Technologies Ltd. (b)		2,000		207,240
Elbit Systems Ltd.		323		43,142
Frutarom Industries Ltd.		529		49,652
Israel Chemicals Ltd.		8,474		34,324
Mizrahi Tefahot Bank Ltd.		2,307		42,509
Nice Ltd.		970		88,540
Teva Pharmaceutical Industries Ltd. Sponsored ADR (a)		14,276		270,530
				1,077,452
Italy — 1.9%
Assicurazioni Generali SpA		18,915		344,375
Atlantia SpA		6,995		220,651
Davide Campari-Milano SpA		8,594		66,439

	Number of Shares		Value
Enel SpA		124,858	$	767,452
Eni SpA		39,149		647,401
Intesa Sanpaolo SpA		205,621		681,949
Leonardo SpA		6,310		75,026
Luxottica Group SpA		2,667		163,438
Mediobanca SpA		8,737		98,952
Poste Italiane SpA (c)		7,558		56,901
Prysmian SpA		3,274		106,793
Recordati SpA		1,707		75,827
Snam SpA		35,067		171,696
Telecom Italia SpA (b)		176,840		152,659
Terna Rete Elettrica Nazionale SpA		22,307		129,534
UniCredit SpA (b)		30,532		568,789
UnipolSai Assicurazioni SpA		14,769		34,441
				4,362,323
Japan — 23.7%
ABC-Mart, Inc.		600		34,439
Acom Co. Ltd. (a) (b)		6,300		26,565
Aeon Co. Ltd.		9,500		160,437
AEON Financial Service Co, Ltd.		1,800		41,802
Aeon Mall Co. Ltd.		1,900		37,175
Air Water, Inc.		2,400		50,457
Aisin Seiki Co. Ltd.		2,800		157,329
Ajinomoto Co., Inc.		8,400		158,294
Alfresa Holdings Corp.		2,700		63,371
Alps Electric Co. Ltd.		2,900		82,528
Amada Holdings Co. Ltd.		5,000		67,982
ANA Holdings, Inc.		1,800		75,122
Aozora Bank Ltd.		1,700		66,179
Asahi Glass Co. Ltd.		3,000		129,758
Asahi Group Holdings Ltd.		6,000		297,474
Asahi Kasei Corp.		19,000		244,759
Asics Corp.		2,200		35,080
Astellas Pharma, Inc.		31,700		402,625
Bandai Namco Holdings, Inc.		3,100		101,409
The Bank of Kyoto Ltd.		1,000		52,021
Benesse Holdings, Inc.		1,100		38,624
Bridgestone Corp.		9,900		460,409
Brother Industries Ltd.		3,600		88,859
Calbee, Inc.		1,100		35,787
Canon, Inc.		16,200		603,309
Casio Computer Co. Ltd.		3,200		46,049
Central Japan Railway Co.		2,200		393,721
The Chiba Bank Ltd.		11,000		91,611
Chubu Electric Power Co., Inc.		10,100		125,438
Chugai Pharmaceutical Co. Ltd.		3,500		178,968
The Chugoku Electric Power Co., Inc. (a)		3,900		41,865
Coca-Cola Bottlers Japan Ltd.		1,800		65,742
Concordia Financial Group Ltd.		19,600		118,339
Credit Saison Co. Ltd.		2,600		47,321
CYBERDYNE, Inc. (a) (b)		1,300		22,400

The accompanying notes are an integral part of the portfolio of investments.

146

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

	Number of Shares		Value
Dai Nippon Printing Co. Ltd.		4,000	$	89,244
Dai-ichi Life Holdings, Inc.		16,300		336,315
Daicel Corp.		3,900		44,382
Daifuku Co. Ltd.		1,500		81,604
Daiichi Sankyo Co. Ltd.		8,700		226,591
Daikin Industries Ltd.		3,800		449,891
Daito Trust Construction Co. Ltd.		1,100		224,071
Daiwa House Industry Co. Ltd.		8,600		330,386
Daiwa House REIT Investment Corp.		20		47,510
Daiwa Securities Group, Inc.		25,000		156,893
DeNA Co. Ltd.		1,800		37,120
Denso Corp.		7,300		438,278
Dentsu, Inc.		3,300		139,234
Disco Corp.		400		88,069
Don Quijote Holdings Co. Ltd.		1,900		99,327
East Japan Railway Co.		5,000		487,455
Eisai Co. Ltd.		4,100		232,139
Electric Power Development Co. Ltd.		2,200		59,284
FamilyMart UNY Holdings Co. Ltd. (a)		1,200		84,037
FANUC Corp.		3,000		720,776
Fast Retailing Co., Ltd.		800		318,991
Fuji Electric Co. Ltd.		8,000		60,177
FUJIFILM Holdings Corp.		6,300		257,202
Fujitsu Ltd.		30,000		212,643
Fukuoka Financial Group, Inc.		11,000		61,822
The Hachijuni Bank Ltd.		6,900		39,414
Hakuhodo DY Holdings, Inc.		3,600		46,831
Hamamatsu Photonics KK		2,300		77,050
Hankyu Hanshin Holdings, Inc.		3,800		152,663
Hikari Tsushin, Inc.		300		43,104
Hino Motors Ltd.		3,600		46,699
Hirose Electric Co. Ltd.		500		73,106
Hisamitsu Pharmaceutical Co., Inc.		900		54,506
Hitachi Chemical Co. Ltd.		1,700		43,679
Hitachi Construction Machinery Co. Ltd.		1,500		54,411
Hitachi High-Technologies Corp.		1,100		46,391
Hitachi Ltd.		74,000		575,653
Hitachi Metals Ltd.		2,900		41,460
Honda Motor Co. Ltd.		26,300		901,709
Hoshizaki Corp.		800		70,631
Hoya Corp.		5,900		294,811
Hulic Co. Ltd.		4,200		47,016
Idemitsu Kosan Co. Ltd.		2,000		80,034
IHI Corp.		2,500		83,220
Iida Group Holdings Co. Ltd.		2,500		47,106
Inpex Corp.		14,700		183,952
Isetan Mitsukoshi Holdings Ltd.		4,700		58,091
Isuzu Motors Ltd.		8,700		145,490
ITOCHU Corp.		23,000		429,429
J Front Retailing Co. Ltd.		4,000		75,249
Japan Airlines Co. Ltd.		1,800		70,434
Japan Airport Terminal Co. Ltd.		800		29,685
Japan Exchange Group, Inc.		8,100		140,324

	Number of Shares		Value
Japan Post Bank Co. Ltd.		6,100	$	79,206
Japan Post Holdings Co. Ltd.		24,000		275,084
Japan Prime Realty Investment Corp.		11		34,951
Japan Real Estate Investment Corp.		18		85,464
Japan Retail Fund Investment Corp.		39		71,491
Japan Tobacco, Inc.		16,700		537,876
JFE Holdings, Inc.		8,000		192,211
JGC Corp.		2,900		56,012
JSR Corp.		2,700		53,169
JTEKT Corp.		3,700		63,599
JXTG Holdings, Inc.		46,900		303,033
Kajima Corp.		14,000		134,552
Kakaku.com, Inc.		2,400		40,588
Kamigumi Co. Ltd.		2,000		44,204
Kaneka Corp.		4,000		36,544
The Kansai Electric Power Co., Inc.		10,900		133,400
Kansai Paint Co. Ltd.		3,200		83,092
Kao Corp.		7,600		514,047
Kawasaki Heavy Industries Ltd.		2,400		84,120
KDDI Corp.		27,800		692,146
Keihan Holdings Co., Ltd.		1,400		41,165
Keikyu Corp.		3,500		67,180
Keio Corp.		1,800		79,153
Keisei Electric Railway Co. Ltd.		2,000		64,203
Keyence Corp.		1,500		837,548
Kikkoman Corp.		2,200		88,950
Kintetsu Group Holdings Co. Ltd.		2,800		107,077
Kirin Holdings Co. Ltd.		13,200		332,110
Kobe Steel Ltd. (b)		4,300		39,892
Koito Manufacturing Co. Ltd.		1,700		119,539
Komatsu Ltd.		14,200		514,373
Konami Holdings Corp.		1,400		76,932
Konica Minolta, Inc.		7,700		74,111
Kose Corp.		400		62,461
Kubota Corp.		16,000		313,307
Kuraray Co. Ltd.		5,600		105,699
Kurita Water Industries Ltd.		1,400		45,483
Kyocera Corp.		4,900		320,171
Kyowa Hakko Kirin Co. Ltd.		3,800		73,396
Kyushu Electric Power Co, Inc.		6,500		68,087
Kyushu Financial Group, Inc.		5,900		35,660
Kyushu Railway Co.		2,300		71,165
Lawson, Inc.		700		46,493
LINE Corp. (b)		600		24,535
Lion Corp.		3,500		66,074
LIXIL Group Corp.		4,200		113,552
M3, Inc.		3,300		115,528
Mabuchi Motor Co. Ltd.		800		43,186
Makita Corp.		3,500		146,538
Marubeni Corp.		25,500		185,160
Marui Group Co. Ltd.		2,800		51,160
Maruichi Steel Tube Ltd.		900		26,333
Mazda Motor Corp.		8,900		119,421

The accompanying notes are an integral part of the portfolio of investments.

147

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

	Number of Shares		Value
McDonald’s Holdings Co. Japan Ltd. (a)		1,100	$	48,380
Mebuki Financial Group Inc.		14,200		60,137
Medipal Holdings Corp.		2,400		47,001
MEIJI Holdings Co. Ltd.		1,900		161,463
MinebeaMitsumi, Inc.		5,800		121,696
MISUMI Group, Inc.		4,200		121,690
Mitsubishi Chemical Holding Corp.		21,900		240,426
Mitsubishi Corp.		23,300		643,936
Mitsubishi Electric Corp.		29,500		490,165
Mitsubishi Estate Co. Ltd.		19,400		337,082
Mitsubishi Gas Chemical Co., Inc.		2,900		83,429
Mitsubishi Heavy Industries Ltd.		5,000		186,670
Mitsubishi Materials Corp.		1,800		64,083
Mitsubishi Motors Corp.		10,900		78,768
Mitsubishi Tanabe Pharma Corp.		3,400		70,084
Mitsubishi UFJ Financial Group, Inc.		182,700		1,340,543
Mitsubishi UFJ Lease & Finance Co. Ltd.		7,600		45,275
Mitsui & Co. Ltd.		26,400		428,757
Mitsui Chemicals, Inc.		2,700		86,899
Mitsui Fudosan Co. Ltd.		13,800		309,368
Mitsui OSK Lines Ltd.		1,700		56,756
Mixi, Inc.		600		26,951
Mizuho Financial Group, Inc.		370,400		672,799
MS&AD Insurance Group Holdings, Inc.		7,200		243,792
Murata Manufacturing Co. Ltd.		2,900		387,598
Nabtesco Corp.		1,600		61,370
Nagoya Railroad Co. Ltd.		2,800		70,466
NEC Corp.		4,000		107,938
Nexon Co. Ltd. (b)		3,000		87,180
NGK Insulators Ltd.		4,000		75,425
NGK Spark Plug Co. Ltd.		2,500		60,793
NH Foods Ltd.		3,000		72,902
Nidec Corp.		3,700		519,382
Nikon Corp.		5,200		104,626
Nintendo Co. Ltd.		1,700		618,888
Nippon Building Fund, Inc.		21		102,742
Nippon Electric Glass Co. Ltd.		1,400		53,446
Nippon Express Co. Ltd.		1,200		79,688
Nippon Paint Holdings Co. Ltd. (a)		2,500		78,792
Nippon Prologis REIT, Inc.		27		57,081
Nippon Steel & Sumitomo Metal Corp.		11,500		295,176
Nippon Telegraph & Telephone Corp.		10,500		494,083
Nippon Yusen KK (b)		2,300		56,052
Nissan Chemical Industries Ltd.		1,800		71,731
Nissan Motor Co. Ltd.		35,900		358,026
Nisshin Seifun Group, Inc.		2,800		56,443
Nissin Foods Holdings Co. Ltd.		900		65,620
Nitori Holdings Co. Ltd.		1,200		171,103
Nitto Denko Corp.		2,500		222,212
NOK Corp.		1,600		37,267

	Number of Shares		Value
Nomura Holdings, Inc.		54,700	$	323,001
Nomura Real Estate Holdings, Inc.		2,100		47,092
Nomura Real Estate Master Fund, Inc.		54		67,046
Nomura Research Institute Ltd.		2,000		92,900
NSK Ltd.		6,100		96,078
NTT Data Corp.		9,900		117,493
NTT DOCOMO, Inc.		20,800		491,333
Obayashi Corp.		10,200		123,344
Obic Co. Ltd.		1,000		73,510
Odakyu Electric Railway Co. Ltd.		4,600		98,308
Oji Holdings Corp.		14,000		93,066
Olympus Corp.		4,500		172,296
Omron Corp.		3,000		178,686
Ono Pharmaceutical Co. Ltd.		6,400		148,952
Oracle Corp.		600		49,750
Oriental Land Co. Ltd.		3,300		300,847
ORIX Corp.		20,500		346,620
Osaka Gas Co. Ltd.		5,800		111,627
Otsuka Corp.		800		61,282
Otsuka Holdings Co. Ltd. (a)		5,900		258,378
Panasonic Corp.		33,700		493,519
Park24 Co. Ltd. (a)		1,800		43,064
Persol Holdings Co. Ltd.		2,600		65,185
Pola Orbis Holdings, Inc. (a)		1,300		45,507
Rakuten, Inc. (b)		14,300		130,776
Recruit Holdings Co. Ltd.		16,700		414,760
Renesas Electronics Corp. (b)		7,900		91,444
Resona Holdings, Inc.		34,000		203,189
Ricoh Co. Ltd.		11,300		105,031
Rinnai Corp.		500		45,270
Rohm Co. Ltd.		1,500		165,253
Ryohin Keikaku Co. Ltd.		400		124,542
Sankyo Co. Ltd.		800		25,158
Santen Pharmaceutical Co. Ltd.		5,700		89,489
SBI Holdings, Inc.		3,042		63,500
Secom Co. Ltd.		3,200		241,672
Sega Sammy Holdings, Inc.		2,400		29,737
Seibu Holdings, Inc.		3,500		66,119
Seiko Epson Corp.		4,300		101,258
Sekisui Chemical Co. Ltd.		6,300		126,328
Sekisui House Ltd.		8,900		160,602
Seven & i Holdings Co. Ltd.		11,600		481,802
Seven Bank Ltd.		8,200		28,099
Sharp Corp. (a) (b)		2,300		78,532
Shimadzu Corp.		4,000		90,825
Shimamura Co. Ltd.		300		32,998
Shimano, Inc.		1,100		154,771
Shimizu Corp.		8,000		82,551
Shin-Etsu Chemical Co. Ltd.		6,000		608,549
Shinsei Bank Ltd.		2,500		43,054
Shionogi & Co. Ltd.		4,500		243,301
Shiseido Co. Ltd.		5,800		279,568
The Shizuoka Bank Ltd.		8,000		82,675

The accompanying notes are an integral part of the portfolio of investments.

148

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

	Number of Shares		Value
Showa Shell Sekiyu KK		2,500	$	33,962
SMC Corp.		900		370,607
SoftBank Group Corp.		12,600		995,440
Sohgo Security Services Co. Ltd.		1,200		65,239
Sompo Holdings, Inc.		5,300		204,335
Sony Corp.		19,400		871,429
Sony Financial Holdings, Inc.		2,400		42,529
Stanley Electric Co. Ltd.		2,000		81,230
Start Today Co. Ltd.		3,000		91,233
Subaru Corp.		9,300		294,446
Sumco Corp.		3,500		89,007
Sumitomo Chemical Co. Ltd.		24,000		172,600
Sumitomo Corp.		18,000		305,104
Sumitomo Dainippon Pharma Co. Ltd.		2,100		31,208
Sumitomo Electric Industries Ltd.		11,500		194,054
Sumitomo Heavy Industries Ltd.		1,800		76,244
Sumitomo Metal Mining Co. Ltd.		3,800		174,336
Sumitomo Mitsui Financial Group, Inc.		20,600		889,714
Sumitomo Mitsui Trust Holdings, Inc.		5,100		202,538
Sumitomo Realty & Development Co. Ltd.		5,000		164,114
Sumitomo Rubber Industries Ltd.		2,900		53,881
Sundrug Co. Ltd.		1,200		55,817
Suntory Beverage & Food Ltd.		2,200		97,834
Suruga Bank Ltd.		2,500		53,471
Suzuken Co. Ltd.		1,000		41,147
Suzuki Motor Corp.		5,200		301,184
Sysmex Corp.		2,400		188,983
T&D Holdings, Inc.		7,900		135,154
Taiheiyo Cement Corp.		1,800		77,734
Taisei Corp.		3,200		159,169
Taisho Pharmaceutical Holdings Co. Ltd.		500		39,821
Taiyo Nippon Sanso Corp.		2,100		29,353
Takashimaya Co. Ltd.		5,000		52,581
Takeda Pharmaceutical Co. Ltd.		11,000		622,783
TDK Corp.		2,000		159,642
Teijin Ltd.		2,600		57,940
Terumo Corp.		5,000		236,254
THK Co. Ltd.		2,000		74,915
Tobu Railway Co. Ltd.		3,100		100,067
Toho Co. Ltd.		1,600		55,420
Toho Gas Co. Ltd.		1,200		32,887
Tohoku Electric Power Co., Inc.		7,100		90,818
Tokio Marine Holdings, Inc.		10,400		474,671
Tokyo Electric Power Co. Holdings, Inc. (b)		22,300		88,290
Tokyo Electron Ltd.		2,400		429,907
Tokyo Gas Co. Ltd.		6,000		137,019
Tokyo Tatemono Co. Ltd.		2,900		39,130
Tokyu Corp.		8,200		130,627
Tokyu Fudosan Holdings Corp.		7,200		52,025
Toppan Printing Co. Ltd.		8,000		72,290

	Number of Shares		Value
Toray Industries, Inc.		22,400	$	211,283
Toshiba Corp. (b)		99,000		278,287
Tosoh Corp.		4,500		102,052
TOTO Ltd.		2,100		123,805
Toyo Seikan Group Holdings Ltd.		2,800		44,922
Toyo Suisan Kaisha Ltd.		1,300		55,438
Toyoda Gosei Co. Ltd.		1,100		27,892
Toyota Industries Corp.		2,600		167,124
Toyota Motor Corp.		39,900		2,555,027
Toyota Tsusho Corp.		3,300		132,627
Trend Micro, Inc. (b)		1,900		107,611
Tsuruha Holdings, Inc.		600		81,354
Unicharm Corp.		6,200		161,169
United Urban Investment Corp.		50		71,898
USS Co. Ltd.		3,200		67,696
West Japan Railway Co.		2,500		182,383
Yahoo! Japan Corp.		22,200		101,805
Yakult Honsha Co. Ltd.		1,300		98,013
Yamada Denki Co. Ltd. (a)		9,000		49,527
Yamaguchi Financial Group, Inc.		3,000		35,661
Yamaha Corp.		2,700		99,032
Yamaha Motor Co. Ltd.		4,400		144,077
Yamato Holdings Co. Ltd.		5,500		110,725
Yamazaki Baking Co. Ltd. (a)		1,800		35,032
Yaskawa Electric Corp.		3,900		170,414
Yokogawa Electric Corp.		3,700		70,732
The Yokohama Rubber Co. Ltd. (a)		1,800		44,158
				55,311,112
Luxembourg — 0.3%
ArcelorMittal (b)		10,071		326,151
Eurofins Scientific SE		168		102,291
Millicom International Cellular SA		935		63,123
RTL Group (b)		652		52,362
SES SA		5,776		90,007
Tenaris SA		7,328		115,675
				749,609
Mauritius — 0.0%
Golden Agri-Resources Ltd.		117,500		32,483
Netherlands — 4.3%
ABN AMRO Group NV (c)		6,452		207,613
Aegon NV		27,048		172,384
AerCap Holdings NV (b)		2,200		115,742
Airbus SE		8,936		887,395
Akzo Nobel NV		3,823		334,396
Altice NV Class A (a) (b)		8,960		93,731
ASML Holding NV		5,930		1,028,784
Boskalis Westminster		1,275		48,058
CNH Industrial NV		15,866		212,111
EXOR NV		1,676		102,728
Ferrari NV		342		35,874
Ferrari NV		1,554		162,921
Fiat Chrysler Automobiles NV (b)		5,328		95,001

The accompanying notes are an integral part of the portfolio of investments.

149

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

	Number of Shares		Value
Fiat Chrysler Automobiles NV (a)		11,145	$	198,827
Heineken Holding NV		1,757		173,587
Heineken NV		3,953		412,038
ING Groep NV		59,634		1,097,313
Koninklijke Ahold Delhaize NV		19,796		434,479
Koninklijke DSM NV		2,787		265,671
Koninklijke KPN NV		52,370		182,705
Koninklijke Philips NV		14,418		545,453
Koninklijke Vopak NV		988		43,338
NN Group NV		4,660		201,494
NXP Semiconductor NV (b)		5,328		623,856
QIAGEN NV		3,453		107,824
Randstad Holding NV		1,741		106,821
RELX NV		14,568		334,902
STMicroelectronics NV		9,866		214,261
Unilever NV		24,932		1,400,788
Wolters Kluwer NV		4,618		240,476
				10,080,571
New Zealand — 0.2%
Auckland International Airport Ltd.		14,523		66,664
Fisher & Paykel Healthcare Corp. Ltd.		8,484		86,034
Fletcher Building Ltd.		9,839		52,964
Mercury NZ Ltd.		11,142		26,554
Meridian Energy Ltd.		21,687		44,898
Ryman Healthcare Ltd.		6,396		47,971
Spark New Zealand Ltd.		27,499		70,726
				395,811
Norway — 0.6%
DNB ASA		14,746		272,651
Gjensidige Forsikring ASA		2,815		53,090
Marine Harvest ASA		6,591		111,575
Norsk Hydro ASA		20,921		158,172
Orkla ASA		12,630		133,890
Schibsted ASA Class B		1,439		38,171
Statoil ASA (a)		17,606		376,629
Telenor ASA		11,405		244,303
Yara International ASA		2,734		125,140
				1,513,621
Papua New Guinea — 0.1%
Oil Search Ltd.		21,436		130,401
Portugal — 0.1%
Banco Espirito Santo SA (b) (d) (e)		39,664		-
EDP — Energias de Portugal SA		36,940		127,864
Galp Energia SGPS SA		7,832		143,882
Jeronimo Martins SGPS SA		3,797		73,739
				345,485
Singapore — 1.3%
Ascendas REIT		40,500		82,342
CapitaLand Commercial Trust		41,043		59,204

	Number of Shares		Value
CapitaLand Ltd.		39,800	$	104,858
CapitaLand Mall Trust		34,700		55,232
City Developments Ltd.		5,800		53,939
ComfortDelGro Corp. Ltd.		30,500		45,103
DBS Group Holdings, Ltd.		27,663		512,202
Genting Singapore PLC		91,000		88,923
Global Logistic Properties Ltd.		40,000		100,712
Hutchison Port Holdings Trust		87,800		36,430
Jardine Cycle & Carriage Ltd.		1,377		41,851
Keppel Corp. Ltd.		22,800		124,875
Oversea-Chinese Banking Corp. Ltd.		48,583		448,857
SATS Ltd.		8,900		34,543
Sembcorp Industries Ltd.		16,500		37,309
Singapore Airlines Ltd.		8,200		65,315
Singapore Exchange Ltd.		11,900		66,061
Singapore Press Holdings Ltd. (a)		22,400		44,325
Singapore Technologies Engineering Ltd.		23,000		55,971
Singapore Telecommunications Ltd.		126,200		336,846
StarHub Ltd.		11,100		23,651
Suntec REIT		40,500		65,012
United Overseas Bank Ltd.		20,393		402,300
UOL Group Ltd.		6,769		44,880
Wilmar International Ltd.		25,200		58,098
Yangzijiang Shipbuilding Holdings Ltd.		33,500		36,817
				3,025,656
Spain — 3.2%
Abertis Infraestructuras SA		10,565		235,079
ACS Actividades de Construccion y Servicios SA		3,751		146,762
Aena SME SA (c)		1,034		209,326
Amadeus IT Group SA		6,766		486,994
Banco Bilbao Vizcaya Argentaria SA		101,917		867,560
Banco de Sabadell SA		81,887		162,064
Banco Santander SA		247,405		1,622,322
Bankia SA		15,498		73,973
Bankinter SA		10,311		97,596
CaixaBank SA		54,399		253,026
Enagas SA		3,508		100,349
Endesa SA		4,947		105,828
Ferrovial SA		7,640		173,161
Gas Natural SDG SA		5,550		128,057
Grifols SA		4,717		137,929
Iberdrola SA		84,912		657,104
Industria de Diseno Textil SA		16,546		575,496
International Consolidated Airlines Group SA		9,608		83,303
Mapfre SA		15,463		49,574
Red Electrica Corp. SA		6,713		150,527
Repsol SA		18,545		327,757
Siemens Gamesa Renewable Energy SA (a)		3,405		46,626

The accompanying notes are an integral part of the portfolio of investments.

150

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

	Number of Shares		Value
Telefonica SA		69,173	$	673,512
				7,363,925
Sweden — 2.6%
Alfa Laval AB		4,516		106,481
Assa Abloy AB Class B		15,215		315,718
Atlas Copco AB Class A		10,367		446,504
Atlas Copco AB Class B		6,036		230,860
Boliden AB		4,247		144,669
Electrolux AB Series B		3,765		121,089
Essity AB Class B (b)		9,212		260,874
Getinge AB Class B		3,244		46,872
Hennes & Mauritz AB Class B		14,686		302,613
Hexagon AB Class B		3,985		199,299
Husqvarna AB Class B		5,913		56,223
ICA Gruppen AB		1,365		49,531
Industrivarden AB Class C		2,734		67,324
Investor AB Class B		7,067		321,392
Kinnevik AB Class B		3,566		120,265
L E Lundbergforetagen AB Class B		529		39,501
Lundin Petroleum AB (b)		3,051		69,805
Nordea Bank AB		46,340		560,832
Sandvik AB		17,089		298,711
Securitas AB Class B		4,805		83,719
Skandinaviska Enskilda Banken AB Class A		23,048		270,005
Skanska AB Class B		5,321		110,060
SKF AB Class B		5,947		131,872
Svenska Handelsbanken AB Class A		23,043		314,549
Swedbank AB Class A		13,668		329,052
Swedish Match AB		2,708		106,589
Tele2 AB Class B		5,885		72,265
Telefonaktiebolaget LM Ericsson Class B		46,670		305,934
Telia Co AB		39,834		177,307
Volvo AB Class B		24,008		446,704
				6,106,619
Switzerland — 8.0%
ABB Ltd. Registered		28,115		751,863
Adecco Group AG Registered		2,496		190,768
Baloise Holding AG Registered		774		120,460
Barry Callebaut AG Registered		36		75,001
Chocoladefabriken Lindt & Spruengli AG		17		103,795
Chocoladefabriken Lindt & Spruengli AG Registered		2		144,613
Cie Financiere Richemont SA Registered		8,025		726,607
Clariant AG		3,473		96,978
Coca-Cola HBC AG		2,932		95,370
Credit Suisse Group AG Registered		37,332		664,521
Dufry AG Registered (b)		530		78,799
EMS-Chemie Holding AG Registered		132		88,095

	Number of Shares		Value
Geberit AG Registered		561	$	246,847
Givaudan SA Registered		140		322,925
Julius Baer Group Ltd.		3,426		209,455
Kuehne & Nagel International AG Registered		835		147,564
LafargeHolcim Ltd. Registered		2,485		140,010
LafargeHolcim Ltd. Registered		4,505		253,754
Lonza Group AG Registered		1,126		304,171
Nestle SA Registered		47,641		4,093,893
Novartis AG Registered		34,059		2,879,407
Pargesa Holding SA		565		48,949
Partners Group Holding AG (a)		267		182,958
Roche Holding AG		10,735		2,715,345
Schindler Holding AG		632		145,445
Schindler Holding AG Registered		286		64,703
SGS SA Registered		80		208,530
Sika AG		33		261,584
Sonova Holding AG Registered		815		127,247
Straumann Holding AG Registered		152		107,287
The Swatch Group AG		472		192,411
The Swatch Group AG Registered		793		60,612
Swiss Life Holding AG Registered		493		174,489
Swiss Prime Site AG Registered		1,085		100,118
Swiss Re AG		4,818		450,997
Swisscom AG Registered		396		210,496
UBS Group AG Registered		55,730		1,023,995
Vifor Pharma AG (a)		776		99,443
Zurich Insurance Group AG		2,324		706,794
				18,616,299
United Kingdom — 17.4%
3i Group PLC		15,046		185,463
Admiral Group PLC		2,904		78,312
Anglo American PLC (a)		20,603		430,605
Antofagasta PLC		5,883		79,760
Ashtead Group PLC		7,742		206,618
Associated British Foods PLC		5,474		208,102
AstraZeneca PLC		19,404		1,331,561
Auto Trader Group PLC (c)		15,110		71,726
Aviva PLC		61,416		419,719
Babcock International Group PLC		3,489		33,071
BAE Systems PLC		48,124		370,134
Barclays PLC		258,770		705,566
Barratt Developments PLC		15,830		138,339
The Berkeley Group Holdings PLC		2,044		115,744
BHP Billiton PLC		32,114		657,332
BP PLC		302,474		2,133,201
British American Tobacco PLC		35,159		2,372,897
The British Land Co. PLC		14,357		133,949
BT Group PLC		129,392		473,761
Bunzl PLC		5,221		145,989
Burberry Group PLC		6,379		154,218
Capita PLC		9,751		52,718
Carnival PLC		2,926		192,387

The accompanying notes are an integral part of the portfolio of investments.

151

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

	Number of Shares		Value
Centrica PLC		83,747	$	155,062
Cobham PLC (b)		34,763		59,062
Coca-Cola European Partners PLC		3,369		134,195
Compass Group PLC		24,334		526,173
ConvaTec Group PLC (c)		22,019		60,852
Croda International PLC		2,060		123,008
Diageo PLC		38,554		1,411,012
Direct Line Insurance Group PLC		21,472		110,655
easyJet PLC		2,223		43,942
Experian PLC		14,309		314,472
Ferguson PLC		3,855		275,836
Fresnillo PLC		3,206		61,898
G4S PLC		24,142		86,788
GKN PLC		25,102		107,785
GlaxoSmithKline PLC		75,270		1,331,364
Glencore PLC		187,629		987,171
Hammerson PLC		12,374		91,336
Hargreaves Lansdown PLC		3,964		96,425
HSBC Holdings PLC		307,370		3,169,923
IMI PLC		3,861		69,115
Imperial Brands PLC		14,563		622,350
InterContinental Hotels Group PLC		2,812		178,861
Intertek Group PLC		2,501		175,192
Investec PLC		10,027		72,155
ITV PLC		57,083		127,089
J Sainsbury PLC		25,337		82,486
John Wood Group PLC		10,306		90,079
Johnson Matthey PLC		3,074		127,098
Kingfisher PLC		32,512		148,214
Land Securities Group PLC		11,455		155,354
Legal & General Group PLC		91,106		335,361
Lloyds Banking Group PLC		1,103,762		1,010,710
London Stock Exchange Group PLC		4,847		248,174
Marks & Spencer Group PLC		25,807		109,450
Mediclinic International PLC (a)		5,334		46,569
Meggitt PLC		11,224		72,676
Merlin Entertainments PLC (c)		10,676		52,189
Micro Focus International PLC		6,693		227,147
Mondi PLC		5,403		140,864
National Grid PLC		52,145		612,547
Next PLC		2,314		141,683
Old Mutual PLC		76,133		238,100
Pearson PLC		13,045		129,305
Persimmon PLC		4,812		177,701
Prudential PLC		39,359		1,011,927
Randgold Resources Ltd.		1,459		144,742
Reckitt Benckiser Group PLC		10,243		956,789
RELX PLC		16,370		383,512
Rio Tinto PLC		18,973		1,001,341
Rolls-Royce Holdings PLC		25,145		286,173
Royal Bank of Scotland Group PLC (b)		55,276		206,171
Royal Dutch Shell PLC Class A		68,961		2,308,592

	Number of Shares		Value
Royal Dutch Shell PLC Class B		57,308	$	1,932,823
Royal Mail PLC		12,962		79,207
RSA Insurance Group PLC		16,204		138,078
The Sage Group PLC		16,794		180,466
Schroders PLC		1,993		94,272
Segro PLC		15,661		124,040
Severn Trent PLC		3,711		108,278
Shire PLC		13,796		715,576
Sky PLC (b)		16,006		218,258
Smith & Nephew PLC		13,468		233,042
Smiths Group PLC		6,210		124,232
SSE PLC		15,039		267,915
St. James’s Place PLC		8,341		137,874
Standard Chartered PLC (b)		50,683		533,357
Standard Life Aberdeen PLC		40,825		240,513
Taylor Wimpey PLC		51,521		143,522
Tesco PLC		123,893		349,864
Travis Perkins PLC		3,825		80,876
Unilever PLC		19,285		1,068,381
United Utilities Group PLC		10,698		119,736
Vodafone Group PLC		407,359		1,286,876
The Weir Group PLC		3,382		96,580
Whitbread PLC		2,904		156,833
Wm Morrison Supermarkets PLC		34,908		103,601
Worldpay Group PLC (c)		30,880		176,978
WPP PLC		19,238		348,642
				40,587,667
TOTAL COMMON STOCK (Cost $194,588,079)				228,563,662
PREFERRED STOCK — 0.6%
Germany — 0.6%
Bayerische Motoren Werke AG 4.630%		788		70,363
Fuchs Petrolub SE 1.770%		972		51,405
Henkel AG & Co. KGaA 1.360%		2,756		363,901
Porsche Automobil Holding SE 1.720%		2,380		199,201
Schaeffler AG 3.630%		2,305		40,689
Volkswagen AG 1.420%		2,852		568,375
				1,293,934
Italy — 0.0%
Intesa Sanpaolo SpA 4.05%		12,875		41,056
Telecom Italia SpA — RSP 4.36%		87,728		62,661
				103,717
TOTAL PREFERRED STOCK (Cost $1,096,574)				1,397,651
TOTAL EQUITIES (Cost $195,684,653)				229,961,313

The accompanying notes are an integral part of the portfolio of investments.

152

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

	Number of Shares		Value
MUTUAL FUNDS — 1.4%
United States — 1.4%
iShares MSCI EAFE ETF		8,571	$	602,627
State Street Navigator Securities Lending Prime Portfolio (f)		2,675,987		2,675,987
				3,278,614
TOTAL MUTUAL FUNDS (Cost $3,276,371)				3,278,614
RIGHTS — 0.0%
Spain — 0.0%
Repsol SA, Expires 1/10/18 (b)		18,545		8,433
TOTAL RIGHTS (Cost $8,458)				8,433
TOTAL LONG-TERM INVESTMENTS (Cost $198,969,482)				233,248,360
	Principal Amount
SHORT-TERM INVESTMENTS — 2.0%
Repurchase Agreement — 2.0%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (g)	$	4,523,617		4,523,617
TOTAL SHORT-TERM INVESTMENTS (Cost $4,523,617)				4,523,617
TOTAL INVESTMENTS — 101.9% (Cost $203,493,099) (h)				237,771,977
Other Assets/(Liabilities) — (1.9)%				(4,387,430	)
NET ASSETS — 100.0%			$	233,384,547

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $2,550,796 or 1.09% 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) 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 December 31, 2017, these securities amounted to a value of $1,621,117 or 0.69% of net assets.

(d) Investment was valued using significant unobservable inputs.

(e) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2017, these securities amounted to a value of $0 or 0.00% of net assets.

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

(g) Maturity value of $4,523,889. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $4,615,600.

(h) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

153

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

The Fund had the following open Forward contracts at December 31, 2017:

Forward Contracts

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy
JPY	44,992,764	Bank of Montreal	3/22/18	$	400,000	$	882
EUR	116,545	Bank of New York Mellon	3/21/18		138,000		2,485
JPY	90,250,091	Bank of New York Mellon	3/22/18		807,148		(3,027	)
SEK	1,126,050	Bank of New York Mellon	3/21/18		134,433		3,483
					1,079,581		2,941
AUD	190,021	BNP Paribas SA	3/21/18		145,656		2,585
EUR	960,714	Morgan Stanley & Co. LLC	3/21/18		1,142,404		15,655
JPY	14,390,729	Morgan Stanley & Co. LLC	3/22/18		128,000		220
SGD	9,766	Morgan Stanley & Co. LLC	3/21/18		7,260		51
					1,277,664		15,926
GBP	559,679	Societe Generale	3/21/18		753,739		3,842
				$	3,656,640	$	26,176
Contracts to Deliver
DKK	33,217	Bank of New York Mellon	3/21/18	$	5,292	$	(88	)
ILS	119,805	Goldman Sachs International	3/21/18		34,079		(460	)
NOK	504,037	Goldman Sachs International	3/21/18		61,004		(516	)
					95,083		(976	)
CHF	70,031	Morgan Stanley & Co. LLC	3/21/18		71,535		(729	)
HKD	1,838,085	Morgan Stanley & Co. LLC	3/21/18		235,845		222
					307,380		(507	)
				$	407,755	$	(1,571	)

The accompanying notes are an integral part of the portfolio of investments.

154

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

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date	Number of Contracts	Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Long
Hang Seng Index	1/30/18	2	$	379,370	$	3,945
Topix Index	3/08/18	12		1,918,258		16,869
ASX SPI 200 Index	3/15/18	5		582,472		4,677
Euro Stoxx 50 Index	3/16/18	74		3,169,524		(68,183	)
FTSE 100 Index	3/16/18	13		1,299,823		40,874
Mini MSCI EAFE	3/16/18	1		100,878		1,398
					$	(420	)

Currency Legend

AUD Australian Dollar

CHF Swiss Franc

DKK Danish Krone

EUR Euro

GBP British Pound

HKD Hong Kong Dollar

ILS Israeli Shekel

JPY Japanese Yen

NOK Norwegian Krone

SEK Swedish Krona

SGD Singapore Dollar

The accompanying notes are an integral part of the portfolio of investments.

155

MassMutual Select Overseas Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.7%
COMMON STOCK — 97.7%
Australia — 1.5%
AMP Ltd.		1,173,657	$	4,742,110
Orica Ltd.		327,157		4,616,722
				9,358,832
Belgium — 0.7%
KBC Group NV		50,009		4,260,705
Brazil — 0.6%
Ambev SA ADR		530,557		3,427,398
Canada — 2.1%
Canadian National Railway Co.		76,132		6,280,890
Suncor Energy, Inc.		186,294		6,839,672
				13,120,562
Cayman Islands — 1.3%
Alibaba Group Holding Ltd. Sponsored ADR (a)		15,520		2,676,114
Baidu, Inc. Sponsored ADR (a)		21,767		5,098,049
				7,774,163
Denmark — 1.6%
Carlsberg A/S Class B		22,936		2,747,190
Novo Nordisk A/S Class B		128,056		6,882,393
				9,629,583
France — 14.8%
Air Liquide SA		72,799		9,156,015
BNP Paribas SA		152,901		11,402,420
Bureau Veritas SA		101,700		2,780,520
Danone SA		94,659		7,935,979
Dassault Systemes SE		26,707		2,836,455
Engie SA		267,129		4,589,646
Essilor International Cie Generale d’Optique SA		19,819		2,732,946
Hermes International		1,228		657,340
Kering		410		193,284
L’Oreal SA		16,989		3,763,569
Legrand SA		44,901		3,452,079
LVMH Moet Hennessy Louis Vuitton SE		24,519		7,202,454
Pernod Ricard SA		73,803		11,682,326
Publicis Groupe SA		83,172		5,650,422
Safran SA		35,460		3,646,330
Sanofi		3,200		275,531
Schneider Electric SE		106,401		9,023,991
Valeo SA		65,680		4,894,600
				91,875,907
Germany — 12.2%
Allianz SE Registered		36,475		8,353,271
Bayer AG Registered		97,704		12,151,938

	Number of Shares		Value
Bayerische Motoren Werke AG		100,770	$	10,467,237
Beiersdorf AG		61,805		7,243,960
Continental AG		22,185		5,989,396
Daimler AG Registered		141,170		11,987,104
Linde AG (a)		9,208		2,154,089
Merck KGaA		34,316		3,695,473
MTU Aero Engines AG		12,938		2,314,043
ProSiebenSat.1 Media SE		74,970		2,581,261
SAP SE		79,078		8,867,004
				75,804,776
Hong Kong — 1.7%
AIA Group Ltd.		1,236,000		10,541,001
India — 2.7%
Axis Bank Ltd.		438,300		3,863,416
Housing Development Finance Corp. Ltd.		140,117		3,750,236
Infosys Ltd.		4,667		76,038
Infosys Ltd. Sponsored ADR (b)		154,200		2,501,124
Tata Consultancy Services Ltd.		157,712		6,670,756
				16,861,570
Indonesia — 0.5%
Bank Mandiri Persero Tbk PT		5,559,200		3,274,142
Ireland — 0.8%
Willis Towers Watson PLC		33,042		4,979,099
Israel — 0.7%
Check Point Software Technologies Ltd. (a)		40,361		4,182,207
Italy — 2.9%
Eni SpA		222,856		3,685,334
Intesa Sanpaolo SpA		4,062,102		13,472,107
Luxottica Group SpA		10,775		660,308
				17,817,749
Japan — 10.5%
Daikin Industries Ltd.		40,300		4,771,210
Denso Corp.		113,400		6,808,320
FANUC Corp.		19,800		4,757,122
Hoya Corp.		169,300		8,459,565
Japan Tobacco, Inc.		121,600		3,916,508
Kao Corp.		49,000		3,314,252
Komatsu Ltd.		2,700		97,803
Kubota Corp.		202,200		3,959,422
Kyocera Corp.		72,000		4,704,550
Olympus Corp.		163,600		6,263,927
Shin-Etsu Chemical Co. Ltd.		17,800		1,805,361
Terumo Corp.		170,000		8,032,638
Toyota Motor Corp.		132,000		8,452,720
				65,343,398
Mexico — 0.5%
Grupo Televisa SAB Sponsored ADR		176,800		3,300,856

The accompanying notes are an integral part of the portfolio of investments.

156

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Netherlands — 6.6%
Akzo Nobel NV		74,450	$	6,512,103
ASML Holding NV		13,420		2,328,209
CNH Industrial NV		620,900		8,300,761
EXOR NV		80,100		4,909,617
ING Groep NV		393,545		7,241,543
Koninklijke Philips NV		30,835		1,166,531
QIAGEN NV		53,086		1,657,670
Randstad Holding NV		74,648		4,580,100
RELX NV		193,721		4,453,424
				41,149,958
Republic of Korea — 0.0%
Samsung Electronics Co. Ltd.		105		249,462
Singapore — 0.9%
DBS Group Holdings, Ltd.		309,400		5,728,780
Spain — 1.0%
Amadeus IT Group SA		85,853		6,179,413
Sweden — 2.6%
Essity AB Class B (a)		87,836		2,487,425
Hennes & Mauritz AB Class B		453,171		9,337,841
SKF AB Class B		166,900		3,700,941
Volvo AB Class B		41,300		768,446
				16,294,653
Switzerland — 11.6%
Cie Financiere Richemont SA Registered		41,290		3,738,517
Credit Suisse Group AG Registered		544,899		9,699,366
Julius Baer Group Ltd.		44,113		2,696,937
Kuehne & Nagel International AG Registered		22,125		3,910,013
LafargeHolcim Ltd. Registered		122,490		6,901,319
Nestle SA Registered		167,748		14,414,943
Novartis AG Registered		78,338		6,622,831
Roche Holding AG		36,905		9,334,870
The Swatch Group AG		5,675		2,313,417
UBS Group AG Registered		496,412		9,121,177
Zurich Insurance Group AG		10,909		3,317,734
				72,071,124
Taiwan — 1.2%
Taiwan Semiconductor Manufacturing Co. Ltd.		48,000		368,835
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		177,983		7,057,026
				7,425,861
United Kingdom — 17.8%
Ashtead Group PLC		66,500		1,774,746
Barclays PLC		1,413,157		3,853,133
Compass Group PLC		326,962		7,069,885
Diageo PLC		241,231		8,828,655
Experian PLC		335,977		7,383,844

	Number of Shares		Value
Ferguson PLC		10,300	$	736,993
G4S PLC		724,400		2,604,129
Glencore PLC		2,215,900		11,658,494
Liberty Global PLC Series A (a)		101,000		3,619,840
Liberty Global PLC Series C (a)		102,900		3,482,136
Lloyds Banking Group PLC		13,470,900		12,335,239
Meggitt PLC		282,249		1,827,569
Prudential PLC		107,130		2,754,330
Reckitt Benckiser Group PLC		82,222		7,680,282
Rio Tinto PLC		80,765		4,262,547
Rolls-Royce Holdings PLC		270,449		3,077,958
Royal Bank of Scotland Group PLC (a)		1,368,000		5,102,425
Schroders PLC		300		10,125
Schroders PLC		103,900		4,914,650
Smiths Group PLC		190,814		3,817,263
Tesco PLC		186,594		526,927
WPP PLC		711,292		12,890,457
				110,211,627
United States — 0.9%
Yum China Holdings, Inc.		145,400		5,818,908
TOTAL COMMON STOCK (Cost $508,317,242)				606,681,734
TOTAL EQUITIES (Cost $508,317,242)				606,681,734
MUTUAL FUNDS — 0.3%
United States — 0.3%
State Street Navigator Securities Lending Prime Portfolio (c)		1,681,164		1,681,164
TOTAL MUTUAL FUNDS (Cost $1,681,164)				1,681,164
TOTAL LONG-TERM INVESTMENTS (Cost $509,998,406)				608,362,898
	Principal Amount
SHORT-TERM INVESTMENTS — 2.5%
Repurchase Agreement — 2.5%
Fixed Income Clearing Corp. Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (d)	$	15,548,955		15,548,955

The accompanying notes are an integral part of the portfolio of investments.

157

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Time Deposit — 0.0%
Euro Time Deposit 0.120% 1/02/18	$	54,130	$	54,130
TOTAL SHORT-TERM INVESTMENTS (Cost $15,603,085)				15,603,085
TOTAL INVESTMENTS — 100.5% (Cost $525,601,491) (e)				623,965,983
Other Assets/(Liabilities) — (0.5)%				(3,281,626	)
NET ASSETS — 100.0%			$	620,684,357

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $1,627,969 or 0.26% 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 $15,549,889. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $15,864,833.

(e) See Note 3 for aggregate cost for federal tax purposes.

The Fund had the following open Forward contracts at December 31, 2017:

Forward Contracts

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy
AUD	545,759	Australia & New Zealand Banking Group	1/17/18	$	410,596	$	15,231
JPY	28,243,817	Australia & New Zealand Banking Group	1/17/18		250,058		758
					660,654		15,989
GBP	176,191	Citibank N.A.	1/17/18		231,367		6,623
JPY	15,998,738	Citibank N.A.	1/17/18		143,074		(999	)
					374,441		5,624
CAD	1,334,988	Goldman Sachs International	1/17/18		1,038,791		23,548
CHF	410,495	Goldman Sachs International	1/17/18		414,271		7,367
					1,453,062		30,915
AUD	3,628,764	HSBC Bank USA	1/17/18		2,834,264		(2,927	)
HKD	17,474,188	HSBC Bank USA	1/17/18		2,243,762		(6,504	)
SGD	248,862	HSBC Bank USA	1/17/18		184,814		1,301
					5,262,840		(8,130	)
EUR	4,475,916	Merrill Lynch International	1/17/18		5,277,176		97,629
GBP	1,636,423	Merrill Lynch International	1/17/18		2,192,456		17,942
					7,469,632		115,571
CHF	215,848	Morgan Stanley & Co. LLC	1/17/18		222,421		(713	)
DKK	3,947,898	Morgan Stanley & Co. LLC	1/17/18		632,293		4,527

The accompanying notes are an integral part of the portfolio of investments.

158

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy (Continued)
EUR	1,646,217	Morgan Stanley & Co. LLC	1/17/18	$	1,960,014	$	16,809
GBP	282,333	Morgan Stanley & Co. LLC	1/17/18		378,604		2,758
					3,193,332		23,381
NOK	1,111,883	Royal Bank of Canada	1/17/18		133,958		1,519
SEK	1,225,624	Societe Generale	1/17/18		145,585		3,948
SGD	225,252	Societe Generale	1/17/18		166,486		1,971
					312,071		5,919
CAD	236,961	State Street Bank and Trust Co.	1/17/18		184,851		3,715
CHF	948,154	State Street Bank and Trust Co.	1/17/18		959,211		14,682
EUR	4,206,553	State Street Bank and Trust Co.	1/17/18		4,972,749		78,597
GBP	1,734,390	State Street Bank and Trust Co.	1/17/18		2,299,448		43,279
JPY	390,343,917	State Street Bank and Trust Co.	1/17/18		3,473,908		(7,506	)
					11,890,167		132,767
SEK	10,937,362	Toronto Dominion Bank	1/17/18		1,359,535		(25,117	)
EUR	510,033	UBS AG	1/17/18		593,945		18,517
				$	32,703,637	$	316,955
Contracts to Deliver
CAD	1,571,949	Barclays Bank PLC	1/17/18	$	1,262,640	$	11,736
EUR	6,177,857	Citibank N.A.	1/17/18		7,369,383		(49,161	)
GBP	1,226,920	Citibank N.A.	1/17/18		1,644,123		(13,140	)
HKD	11,295,354	Citibank N.A.	1/17/18		1,447,969		1,800
					10,461,475		(60,501	)
DKK	3,947,898	Credit Suisse International	1/17/18		625,571		(11,249	)
NOK	1,111,883	Deutsche Bank AG	1/17/18		140,960		5,483
AUD	3,099,098	Goldman Sachs International	1/17/18		2,327,308		(90,758	)
CHF	1,358,650	Goldman Sachs International	1/17/18		1,376,252		(19,279	)
GBP	1,840,155	Goldman Sachs International	1/17/18		2,465,059		(20,531	)
JPY	390,343,917	Goldman Sachs International	1/17/18		3,480,615		14,213
SEK	5,732,709	Goldman Sachs International	1/17/18		681,471		(17,951	)
					10,330,705		(134,306	)
GBP	139,734	HSBC Bank USA	1/17/18		188,822		76
JPY	19,153,298	HSBC Bank USA	1/17/18		171,025		936
SGD	248,862	HSBC Bank USA	1/17/18		184,471		(1,644	)
					544,318		(632	)

The accompanying notes are an integral part of the portfolio of investments.

159

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Deliver (Continued)
HKD	6,178,834	Morgan Stanley & Co. LLC	1/17/18		$	791,274	$	184
JPY	84,313,508	Morgan Stanley & Co. LLC	1/17/18			741,436		(7,300	)
						1,532,710		(7,116	)
EUR	411,183	Royal Bank of Canada	1/17/18			483,902		(9,858	)
AUD	1,075,425	Societe Generale	1/17/18			813,162		(25,937	)
GBP	390,218	Societe Generale	1/17/18			528,172		1,085
						1,341,334		(24,852	)
EUR	384,460	Standard Chartered Bank	1/17/18			446,343		(15,327	)
SGD	225,252	Standard Chartered Bank	1/17/18			166,675		(1,782	)
						613,018		(17,109	)
CHF	2,786,000	State Street Bank and Trust Co.	3/21/18			2,934,766		59,926
SEK	2,023,165	Toronto Dominion Bank	1/17/18			243,079		(3,758	)
EUR	4,309,054	UBS AG	1/17/18			5,094,280		(80,153	)
					$	35,608,758	$	(272,389	)
Cross Currency Forwards
EUR	443,836	Barclays Bank PLC	1/17/18	GBP		396,818	$	(3,031	)
GBP	164,509	Goldman Sachs International	1/17/18	CHF		215,848		502
JPY	59,224,251	Goldman Sachs International	1/17/18	SEK		4,407,112		(11,757	)
								(11,255	)
							$	(14,286	)

Currency Legend

AUD Australian Dollar

CAD Canadian Dollar

CHF Swiss Franc

DKK Danish Krone

EUR Euro

GBP British Pound

HKD Hong Kong Dollar

JPY Japanese Yen

NOK Norwegian Krone

SEK Swedish Krona

SGD Singapore Dollar

The accompanying notes are an integral part of the portfolio of investments.

160

MassMutual RetireSMART Conservative Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 31.3%
DFA Commodity Strategy Portfolio		360,868	$	2,150,771
MassMutual Premier Disciplined Growth Fund, Class I (a)		317,696		3,971,196
MassMutual Premier Disciplined Value Fund, Class I (a)		237,325		3,906,371
MassMutual Premier International Equity Fund, Class I (a)		189,618		2,609,143
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		293,283		3,915,333
MassMutual Select Blue Chip Growth Fund, Class I (a)		34,485		696,591
MassMutual Select Diversified Value Fund, Class I (a)		75,148		958,886
MassMutual Select Equity Opportunities Fund, Class I (a)		184,893		3,117,288
MassMutual Select Fundamental Growth Fund, Class I (a)		94,660		786,624
MassMutual Select Fundamental Value Fund, Class I (a)		73,175		849,567
MassMutual Select Growth Opportunities Fund, Class I (a)		48,909		531,152
MassMutual Select Large Cap Value Fund, Class I (a)		95,807		774,117
MassMutual Select Mid Cap Growth Fund, Class I (a)		31,249		670,907
MassMutual Select Mid-Cap Value Fund, Class I (a)		115,470		1,583,097
MassMutual Select Overseas Fund, Class I (a)		720,298		7,015,699
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		47,174		744,883
MassMutual Select Small Cap Value Equity Fund, Class I (a)		75,435		1,254,476
MassMutual Select Small Company Value Fund, Class I (a)		43,665		499,094
MM Select Equity Asset Fund, Class I (a)		2,725,933		32,084,232
Oppenheimer Real Estate Fund, Class I (a)		20,133		502,329
				68,621,756
Fixed Income Funds — 68.8%
Barings Global Floating Rate Fund, Class Y (a)		189,484		1,807,673
MassMutual Premier Core Bond Fund, Class I (a)		3,105,443		33,445,616
MassMutual Premier High Yield Fund, Class I (a)		624,500		5,639,239

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		388,971	$	4,006,397
MassMutual Premier Short-Duration Bond Fund, Class I (a)		3,021,768		30,670,948
MassMutual Select Strategic Bond Fund, Class I (a)		1,150,376		11,986,913
MassMutual Select Total Return Bond Fund, Class I (a)		1,488,930		14,517,071
MM Select Bond and Income Asset Fund, Class I (a)		4,460,331		42,908,381
Oppenheimer International Bond Fund, Class I (a)		1,000,114		5,950,676
				150,932,914
TOTAL MUTUAL FUNDS (Cost $216,728,907)				219,554,670
TOTAL LONG-TERM INVESTMENTS (Cost $216,728,907)				219,554,670
TOTAL INVESTMENTS — 100.1% (Cost $216,728,907) (b)				219,554,670
Other Assets/(Liabilities) — (0.1)%				(142,742	)
NET ASSETS — 100.0%			$	219,411,928

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

161

MassMutual RetireSMART Moderate Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 60.9%
DFA Commodity Strategy Portfolio		674,352	$	4,019,137
MassMutual Premier Disciplined Growth Fund, Class I (a)		605,115		7,563,939
MassMutual Premier Disciplined Value Fund, Class I (a)		450,531		7,415,741
MassMutual Premier International Equity Fund, Class I (a)		453,529		6,240,562
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		725,793		9,689,331
MassMutual Select Blue Chip Growth Fund, Class I (a)		265,886		5,370,898
MassMutual Select Diversified Value Fund, Class I (a)		403,232		5,145,237
MassMutual Select Equity Opportunities Fund, Class I (a)		323,881		5,460,632
MassMutual Select Fundamental Growth Fund, Class I (a)		564,732		4,692,921
MassMutual Select Fundamental Value Fund, Class I (a)		392,683		4,559,052
MassMutual Select Growth Opportunities Fund, Class I (a)		303,334		3,294,202
MassMutual Select Large Cap Value Fund, Class I (a)		513,903		4,152,336
MassMutual Select Mid Cap Growth Fund, Class I (a)		78,846		1,692,834
MassMutual Select Mid-Cap Value Fund, Class I (a)		256,604		3,518,044
MassMutual Select Overseas Fund, Class I (a)		1,721,475		16,767,163
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		159,907		2,524,938
MassMutual Select Small Cap Value Equity Fund, Class I (a)		198,333		3,298,280
MassMutual Select Small Company Value Fund, Class I (a)		115,200		1,316,741
MM Select Equity Asset Fund, Class I (a)		7,355,462		86,573,785
Oppenheimer Real Estate Fund, Class I (a)		46,081		1,149,718
				184,445,491
Fixed Income Funds — 39.2%
Barings Global Floating Rate Fund, Class Y (a)		188,825		1,801,394
MassMutual Premier Core Bond Fund, Class I (a)		2,474,341		26,648,649
MassMutual Premier High Yield Fund, Class I (a)		537,635		4,854,840

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		309,874	$	3,191,704
MassMutual Premier Short-Duration Bond Fund, Class I (a)		2,262,725		22,966,663
MassMutual Select Strategic Bond Fund, Class I (a)		916,991		9,555,041
MassMutual Select Total Return Bond Fund, Class I (a)		1,180,426		11,509,154
MM Select Bond and Income Asset Fund, Class I (a)		3,500,831		33,677,991
Oppenheimer International Bond Fund, Class I (a)		779,530		4,638,206
				118,843,642
TOTAL MUTUAL FUNDS (Cost $287,398,125)				303,289,133
TOTAL LONG-TERM INVESTMENTS (Cost $287,398,125)				303,289,133
TOTAL INVESTMENTS — 100.1% (Cost $287,398,125) (b)				303,289,133
Other Assets/(Liabilities) — (0.1)%				(216,363	)
NET ASSETS — 100.0%			$	303,072,770

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

162

MassMutual RetireSMART Moderate Growth Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 84.8%
DFA Commodity Strategy Portfolio		666,400	$	3,971,745
MassMutual Premier Disciplined Growth Fund, Class I (a)		450,187		5,627,341
MassMutual Premier Disciplined Value Fund, Class I (a)		334,848		5,511,591
MassMutual Premier International Equity Fund, Class I (a)		517,242		7,117,249
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		901,989		12,041,550
MassMutual Select Blue Chip Growth Fund, Class I (a)		425,673		8,598,603
MassMutual Select Diversified Value Fund, Class I (a)		668,664		8,532,153
MassMutual Select Equity Opportunities Fund, Class I (a)		282,340		4,760,245
MassMutual Select Fundamental Growth Fund, Class I (a)		930,215		7,730,085
MassMutual Select Fundamental Value Fund, Class I (a)		651,282		7,561,387
MassMutual Select Growth Opportunities Fund, Class I (a)		497,423		5,402,010
MassMutual Select Large Cap Value Fund, Class I (a)		852,311		6,886,672
MassMutual Select Mid Cap Growth Fund, Class I (a)		93,613		2,009,865
MassMutual Select Mid-Cap Value Fund, Class I (a)		332,983		4,565,201
MassMutual Select Overseas Fund, Class I (a)		1,963,003		19,119,650
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		178,044		2,811,320
MassMutual Select Small Cap Value Equity Fund, Class I (a)		241,815		4,021,388
MassMutual Select Small Company Value Fund, Class I (a)		139,617		1,595,819
MM Select Equity Asset Fund, Class I (a)		9,026,508		106,242,005
Oppenheimer Real Estate Fund, Class I (a)		57,020		1,422,646
				225,528,525
Fixed Income Funds — 15.3%
Barings Global Floating Rate Fund, Class Y (a)		82,278		784,935
MassMutual Premier Core Bond Fund, Class I (a)		750,433		8,082,166
MassMutual Premier High Yield Fund, Class I (a)		237,435		2,144,035

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		100,815	$	1,038,393
MassMutual Premier Short-Duration Bond Fund, Class I (a)		804,984		8,170,592
MassMutual Select Strategic Bond Fund, Class I (a)		278,566		2,902,659
MassMutual Select Total Return Bond Fund, Class I (a)		362,716		3,536,481
MM Select Bond and Income Asset Fund, Class I (a)		1,173,227		11,286,447
Oppenheimer International Bond Fund, Class I (a)		462,540		2,752,116
				40,697,824
TOTAL MUTUAL FUNDS (Cost $245,665,773)				266,226,349
TOTAL LONG-TERM INVESTMENTS (Cost $245,665,773)				266,226,349
TOTAL INVESTMENTS — 100.1% (Cost $245,665,773) (b)				266,226,349
Other Assets/(Liabilities) — (0.1)%				(182,715	)
NET ASSETS — 100.0%			$	266,043,634

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

163

MassMutual RetireSMART Growth Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 96.5%
DFA Commodity Strategy Portfolio		359,742	$	2,144,062
MassMutual Premier Disciplined Growth Fund, Class I (a)		97,477		1,218,465
MassMutual Premier Disciplined Value Fund, Class I (a)		72,583		1,194,712
MassMutual Premier International Equity Fund, Class I (a)		263,706		3,628,592
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		454,271		6,064,521
MassMutual Select Blue Chip Growth Fund, Class I (a)		263,837		5,329,505
MassMutual Select Diversified Value Fund, Class I (a)		398,778		5,088,401
MassMutual Select Equity Opportunities Fund, Class I (a)		134,870		2,273,909
MassMutual Select Fundamental Growth Fund, Class I (a)		560,434		4,657,210
MassMutual Select Fundamental Value Fund, Class I (a)		388,443		4,509,824
MassMutual Select Growth Opportunities Fund, Class I (a)		301,118		3,270,143
MassMutual Select Large Cap Value Fund, Class I (a)		508,299		4,107,056
MassMutual Select Mid Cap Growth Fund, Class I (a)		49,798		1,069,168
MassMutual Select Mid-Cap Value Fund, Class I (a)		158,958		2,179,313
MassMutual Select Overseas Fund, Class I (a)		1,001,141		9,751,111
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		100,444		1,586,005
MassMutual Select Small Cap Value Equity Fund, Class I (a)		124,460		2,069,763
MassMutual Select Small Company Value Fund, Class I (a)		72,468		828,312
MM Select Equity Asset Fund, Class I (a)		4,651,595		54,749,272
Oppenheimer Real Estate Fund, Class I (a)		30,283		755,565
				116,474,909
Fixed Income Funds — 3.6%
Barings Global Floating Rate Fund, Class Y (a)		6,138		58,556
MassMutual Premier Core Bond Fund, Class I (a)		80,210		863,857
MassMutual Premier High Yield Fund, Class I (a)		9,944		89,796

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		32,132	$	330,963
MassMutual Premier Short-Duration Bond Fund, Class I (a)		82,690		839,307
MassMutual Select Strategic Bond Fund, Class I (a)		29,678		309,250
MassMutual Select Total Return Bond Fund, Class I (a)		37,412		364,765
MM Select Bond and Income Asset Fund, Class I (a)		134,393		1,292,862
Oppenheimer International Bond Fund, Class I (a)		27,066		161,041
				4,310,397
TOTAL MUTUAL FUNDS (Cost $111,040,482)				120,785,306
TOTAL LONG-TERM INVESTMENTS (Cost $111,040,482)				120,785,306
TOTAL INVESTMENTS — 100.1% (Cost $111,040,482) (b)				120,785,306
Other Assets/(Liabilities) — (0.1)%				(67,713	)
NET ASSETS — 100.0%			$	120,717,593

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

164

MassMutual RetireSMART In Retirement Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 36.2%
DFA Commodity Strategy Portfolio		168,882	$	1,006,536
MassMutual Premier Disciplined Growth Fund, Class I (a)		149,565		1,869,560
MassMutual Premier Disciplined Value Fund, Class I (a)		111,638		1,837,564
MassMutual Premier International Equity Fund, Class I (a)		86,247		1,186,759
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		129,072		1,723,112
MassMutual Select Blue Chip Growth Fund, Class I (a)		11,249		227,232
MassMutual Select Diversified Value Fund, Class I (a)		26,096		332,987
MassMutual Select Equity Opportunities Fund, Class I (a)		87,622		1,477,306
MassMutual Select Fundamental Growth Fund, Class I (a)		32,147		267,138
MassMutual Select Fundamental Value Fund, Class I (a)		25,427		295,202
MassMutual Select Growth Opportunities Fund, Class I (a)		16,524		179,453
MassMutual Select Large Cap Value Fund, Class I (a)		33,310		269,142
MassMutual Select Mid Cap Growth Fund, Class I (a)		13,779		295,828
MassMutual Select Mid-Cap Value Fund, Class I (a)		51,069		700,153
MassMutual Select Overseas Fund, Class I (a)		327,575		3,190,585
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		21,746		343,376
MassMutual Select Small Cap Value Equity Fund, Class I (a)		33,552		557,970
MassMutual Select Small Company Value Fund, Class I (a)		19,333		220,972
MM Select Equity Asset Fund, Class I (a)		1,207,785		14,215,628
Oppenheimer Real Estate Fund, Class I (a)		8,816		219,970
				30,416,473
Fixed Income Funds — 63.9%
Barings Global Floating Rate Fund, Class Y (a)		67,362		642,637
MassMutual Premier Core Bond Fund, Class I (a)		955,253		10,288,073
MassMutual Premier High Yield Fund, Class I (a)		199,987		1,805,886

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		418,573	$	4,311,305
MassMutual Premier Short-Duration Bond Fund, Class I (a)		1,089,428		11,057,699
MassMutual Select Strategic Bond Fund, Class I (a)		353,131		3,679,623
MassMutual Select Total Return Bond Fund, Class I (a)		454,472		4,431,106
MM Select Bond and Income Asset Fund, Class I (a)		1,592,649		15,321,288
Oppenheimer International Bond Fund, Class I (a)		353,625		2,104,067
				53,641,684
TOTAL MUTUAL FUNDS (Cost $82,293,072)				84,058,157
TOTAL LONG-TERM INVESTMENTS (Cost $82,293,072)				84,058,157
TOTAL INVESTMENTS — 100.1% (Cost $82,293,072) (b)				84,058,157
Other Assets/(Liabilities) — (0.1)%				(51,934	)
NET ASSETS — 100.0%			$	84,006,223

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

165

MassMutual RetireSMART 2010 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 42.8%
DFA Commodity Strategy Portfolio		129,873	$	774,041
MassMutual Premier Disciplined Growth Fund, Class I (a)		115,246		1,440,570
MassMutual Premier Disciplined Value Fund, Class I (a)		85,879		1,413,566
MassMutual Premier International Equity Fund, Class I (a)		73,588		1,012,574
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		113,767		1,518,784
MassMutual Select Blue Chip Growth Fund, Class I (a)		20,826		420,685
MassMutual Select Diversified Value Fund, Class I (a)		38,347		489,302
MassMutual Select Equity Opportunities Fund, Class I (a)		66,346		1,118,589
MassMutual Select Fundamental Growth Fund, Class I (a)		50,595		420,446
MassMutual Select Fundamental Value Fund, Class I (a)		37,331		433,409
MassMutual Select Growth Opportunities Fund, Class I (a)		26,594		288,814
MassMutual Select Large Cap Value Fund, Class I (a)		48,901		395,118
MassMutual Select Mid Cap Growth Fund, Class I (a)		11,805		253,453
MassMutual Select Mid-Cap Value Fund, Class I (a)		44,574		611,105
MassMutual Select Overseas Fund, Class I (a)		279,391		2,721,271
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		20,003		315,853
MassMutual Select Small Cap Value Equity Fund, Class I (a)		29,927		497,694
MassMutual Select Small Company Value Fund, Class I (a)		17,110		195,571
MM Select Equity Asset Fund, Class I (a)		1,087,849		12,803,985
Oppenheimer Real Estate Fund, Class I (a)		7,207		179,816
				27,304,646
Fixed Income Funds — 57.3%
Barings Global Floating Rate Fund, Class Y (a)		53,247		507,973
MassMutual Premier Core Bond Fund, Class I (a)		652,336		7,025,657
MassMutual Premier High Yield Fund, Class I (a)		145,764		1,316,247

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		285,835	$	2,944,105
MassMutual Premier Short-Duration Bond Fund, Class I (a)		723,999		7,348,589
MassMutual Select Strategic Bond Fund, Class I (a)		241,276		2,514,095
MassMutual Select Total Return Bond Fund, Class I (a)		311,408		3,036,229
MM Select Bond and Income Asset Fund, Class I (a)		1,078,152		10,371,827
Oppenheimer International Bond Fund, Class I (a)		238,689		1,420,199
				36,484,921
TOTAL MUTUAL FUNDS (Cost $62,039,062)				63,789,567
TOTAL LONG-TERM INVESTMENTS (Cost $62,039,062)				63,789,567
TOTAL INVESTMENTS — 100.1% (Cost $62,039,062) (b)				63,789,567
Other Assets/(Liabilities) — (0.1)%				(39,146	)
NET ASSETS — 100.0%			$	63,750,421

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

166

MassMutual RetireSMART 2015 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 47.9%
DFA Commodity Strategy Portfolio		168,253	$	1,002,790
MassMutual Premier Disciplined Growth Fund, Class I (a)		148,892		1,861,153
MassMutual Premier Disciplined Value Fund, Class I (a)		110,887		1,825,196
MassMutual Premier International Equity Fund, Class I (a)		100,456		1,382,276
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		158,764		2,119,504
MassMutual Select Blue Chip Growth Fund, Class I (a)		37,154		750,510
MassMutual Select Diversified Value Fund, Class I (a)		64,542		823,558
MassMutual Select Equity Opportunities Fund, Class I (a)		84,704		1,428,116
MassMutual Select Fundamental Growth Fund, Class I (a)		86,792		721,244
MassMutual Select Fundamental Value Fund, Class I (a)		62,869		729,903
MassMutual Select Growth Opportunities Fund, Class I (a)		45,914		498,622
MassMutual Select Large Cap Value Fund, Class I (a)		82,352		665,408
MassMutual Select Mid Cap Growth Fund, Class I (a)		16,482		353,872
MassMutual Select Mid-Cap Value Fund, Class I (a)		61,158		838,477
MassMutual Select Overseas Fund, Class I (a)		381,178		3,712,669
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		28,689		453,003
MassMutual Select Small Cap Value Equity Fund, Class I (a)		41,920		697,136
MassMutual Select Small Company Value Fund, Class I (a)		24,068		275,092
MM Select Equity Asset Fund, Class I (a)		1,534,806		18,064,661
Oppenheimer Real Estate Fund, Class I (a)		10,030		250,258
				38,453,448
Fixed Income Funds — 52.2%
Barings Global Floating Rate Fund, Class Y (a)		64,603		616,309
MassMutual Premier Core Bond Fund, Class I (a)		749,855		8,075,935
MassMutual Premier High Yield Fund, Class I (a)		176,641		1,595,067

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		329,153	$	3,390,279
MassMutual Premier Short-Duration Bond Fund, Class I (a)		820,521		8,328,293
MassMutual Select Strategic Bond Fund, Class I (a)		278,040		2,897,174
MassMutual Select Total Return Bond Fund, Class I (a)		358,115		3,491,624
MM Select Bond and Income Asset Fund, Class I (a)		1,236,450		11,894,646
Oppenheimer International Bond Fund, Class I (a)		275,267		1,637,842
				41,927,169
TOTAL MUTUAL FUNDS (Cost $77,859,848)				80,380,617
TOTAL LONG-TERM INVESTMENTS (Cost $77,859,848)				80,380,617
TOTAL INVESTMENTS — 100.1% (Cost $77,859,848) (b)				80,380,617
Other Assets/(Liabilities) — (0.1)%				(57,476	)
NET ASSETS — 100.0%			$	80,323,141

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

167

MassMutual RetireSMART 2020 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 57.5%
DFA Commodity Strategy Portfolio		1,042,661	$	6,214,259
MassMutual Premier Disciplined Growth Fund, Class I (a)		930,487		11,631,088
MassMutual Premier Disciplined Value Fund, Class I (a)		693,083		11,408,148
MassMutual Premier International Equity Fund, Class I (a)		679,936		9,355,921
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,114,538		14,879,082
MassMutual Select Blue Chip Growth Fund, Class I (a)		345,239		6,973,836
MassMutual Select Diversified Value Fund, Class I (a)		570,611		7,280,992
MassMutual Select Equity Opportunities Fund, Class I (a)		505,463		8,522,104
MassMutual Select Fundamental Growth Fund, Class I (a)		780,030		6,482,053
MassMutual Select Fundamental Value Fund, Class I (a)		555,767		6,452,454
MassMutual Select Growth Opportunities Fund, Class I (a)		414,703		4,503,672
MassMutual Select Large Cap Value Fund, Class I (a)		727,374		5,877,185
MassMutual Select Mid Cap Growth Fund, Class I (a)		114,582		2,460,065
MassMutual Select Mid-Cap Value Fund, Class I (a)		424,520		5,820,173
MassMutual Select Overseas Fund, Class I (a)		2,581,166		25,140,557
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		208,287		3,288,855
MassMutual Select Small Cap Value Equity Fund, Class I (a)		296,489		4,930,609
MassMutual Select Small Company Value Fund, Class I (a)		169,701		1,939,679
MM Select Equity Asset Fund, Class I (a)		10,885,897		128,127,009
Oppenheimer Real Estate Fund, Class I (a)		70,303		1,754,056
				273,041,797
Fixed Income Funds — 42.6%
Barings Global Floating Rate Fund, Class Y (a)		311,434		2,971,084
MassMutual Premier Core Bond Fund, Class I (a)		3,632,841		39,125,698
MassMutual Premier High Yield Fund, Class I (a)		876,013		7,910,395

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,582,919	$	16,304,061
MassMutual Premier Short-Duration Bond Fund, Class I (a)		3,885,269		39,435,485
MassMutual Select Strategic Bond Fund, Class I (a)		1,343,892		14,003,359
MassMutual Select Total Return Bond Fund, Class I (a)		1,745,644		17,020,028
MM Select Bond and Income Asset Fund, Class I (a)		5,973,917		57,469,080
Oppenheimer International Bond Fund, Class I (a)		1,327,126		7,896,401
				202,135,591
TOTAL MUTUAL FUNDS (Cost $450,722,147)				475,177,388
TOTAL LONG-TERM INVESTMENTS (Cost $450,722,147)				475,177,388
TOTAL INVESTMENTS — 100.1% (Cost $450,722,147) (b)				475,177,388
Other Assets/(Liabilities) — (0.1)%				(378,969	)
NET ASSETS — 100.0%			$	474,798,419

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

168

MassMutual RetireSMART 2025 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 69.8%
DFA Commodity Strategy Portfolio		671,240	$	4,000,592
MassMutual Premier Disciplined Growth Fund, Class I (a)		550,450		6,880,628
MassMutual Premier Disciplined Value Fund, Class I (a)		410,334		6,754,103
MassMutual Premier International Equity Fund, Class I (a)		466,336		6,416,784
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		792,651		10,581,893
MassMutual Select Blue Chip Growth Fund, Class I (a)		305,549		6,172,086
MassMutual Select Diversified Value Fund, Class I (a)		489,980		6,252,145
MassMutual Select Equity Opportunities Fund, Class I (a)		302,028		5,092,189
MassMutual Select Fundamental Growth Fund, Class I (a)		676,716		5,623,508
MassMutual Select Fundamental Value Fund, Class I (a)		477,276		5,541,173
MassMutual Select Growth Opportunities Fund, Class I (a)		361,065		3,921,169
MassMutual Select Large Cap Value Fund, Class I (a)		624,624		5,046,961
MassMutual Select Mid Cap Growth Fund, Class I (a)		83,009		1,782,196
MassMutual Select Mid-Cap Value Fund, Class I (a)		293,529		4,024,288
MassMutual Select Overseas Fund, Class I (a)		1,770,378		17,243,486
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		152,192		2,403,113
MassMutual Select Small Cap Value Equity Fund, Class I (a)		210,859		3,506,586
MassMutual Select Small Company Value Fund, Class I (a)		121,764		1,391,758
MM Select Equity Asset Fund, Class I (a)		7,816,730		92,002,913
Oppenheimer Real Estate Fund, Class I (a)		51,470		1,284,185
				195,921,756
Fixed Income Funds — 30.3%
Barings Global Floating Rate Fund, Class Y (a)		138,801		1,324,160
MassMutual Premier Core Bond Fund, Class I (a)		1,468,046		15,810,859
MassMutual Premier High Yield Fund, Class I (a)		416,039		3,756,831

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		661,312	$	6,811,516
MassMutual Premier Short-Duration Bond Fund, Class I (a)		1,635,901		16,604,393
MassMutual Select Strategic Bond Fund, Class I (a)		543,268		5,660,850
MassMutual Select Total Return Bond Fund, Class I (a)		706,829		6,891,586
MM Select Bond and Income Asset Fund, Class I (a)		2,504,621		24,094,453
Oppenheimer International Bond Fund, Class I (a)		690,293		4,107,246
				85,061,894
TOTAL MUTUAL FUNDS (Cost $262,388,136)				280,983,650
TOTAL LONG-TERM INVESTMENTS (Cost $262,388,136)				280,983,650
TOTAL INVESTMENTS — 100.1% (Cost $262,388,136) (b)				280,983,650
Other Assets/(Liabilities) — (0.1)%				(226,348	)
NET ASSETS — 100.0%			$	280,757,302

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

169

MassMutual RetireSMART 2030 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 77.9%
DFA Commodity Strategy Portfolio		1,324,085	$	7,891,547
MassMutual Premier Disciplined Growth Fund, Class I (a)		947,924		11,849,046
MassMutual Premier Disciplined Value Fund, Class I (a)		705,959		11,620,082
MassMutual Premier International Equity Fund, Class I (a)		1,004,852		13,826,768
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,743,327		23,273,409
MassMutual Select Blue Chip Growth Fund, Class I (a)		785,652		15,870,171
MassMutual Select Diversified Value Fund, Class I (a)		1,241,243		15,838,260
MassMutual Select Equity Opportunities Fund, Class I (a)		573,152		9,663,350
MassMutual Select Fundamental Growth Fund, Class I (a)		1,723,762		14,324,459
MassMutual Select Fundamental Value Fund, Class I (a)		1,209,046		14,037,024
MassMutual Select Growth Opportunities Fund, Class I (a)		921,076		10,002,884
MassMutual Select Large Cap Value Fund, Class I (a)		1,582,338		12,785,294
MassMutual Select Mid Cap Growth Fund, Class I (a)		180,289		3,870,809
MassMutual Select Mid-Cap Value Fund, Class I (a)		646,858		8,868,419
MassMutual Select Overseas Fund, Class I (a)		3,813,981		37,148,177
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		340,439		5,375,538
MassMutual Select Small Cap Value Equity Fund, Class I (a)		466,651		7,760,408
MassMutual Select Small Company Value Fund, Class I (a)		268,700		3,071,244
MM Select Equity Asset Fund, Class I (a)		17,361,858		204,349,063
Oppenheimer Real Estate Fund, Class I (a)		110,788		2,764,151
				434,190,103
Fixed Income Funds — 22.2%
Barings Global Floating Rate Fund, Class Y (a)		239,304		2,282,958
MassMutual Premier Core Bond Fund, Class I (a)		1,980,594		21,330,998
MassMutual Premier High Yield Fund, Class I (a)		662,395		5,981,430

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		951,373	$	9,799,137
MassMutual Premier Short-Duration Bond Fund, Class I (a)		2,409,666		24,458,108
MassMutual Select Strategic Bond Fund, Class I (a)		733,801		7,646,210
MassMutual Select Total Return Bond Fund, Class I (a)		962,854		9,387,828
MM Select Bond and Income Asset Fund, Class I (a)		3,620,960		34,833,639
Oppenheimer International Bond Fund, Class I (a)		1,309,125		7,789,292
				123,509,600
TOTAL MUTUAL FUNDS (Cost $515,550,890)				557,699,703
TOTAL LONG-TERM INVESTMENTS (Cost $515,550,890)				557,699,703
TOTAL INVESTMENTS — 100.1% (Cost $515,550,890) (b)				557,699,703
Other Assets/(Liabilities) — (0.1)%				(416,017	)
NET ASSETS — 100.0%			$	557,283,686

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

170

MassMutual RetireSMART 2035 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 84.3%
DFA Commodity Strategy Portfolio		553,464	$	3,298,646
MassMutual Premier Disciplined Growth Fund, Class I (a)		311,028		3,887,844
MassMutual Premier Disciplined Value Fund, Class I (a)		231,773		3,814,976
MassMutual Premier International Equity Fund, Class I (a)		413,216		5,685,857
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		726,875		9,703,776
MassMutual Select Blue Chip Growth Fund, Class I (a)		356,421		7,199,704
MassMutual Select Diversified Value Fund, Class I (a)		559,440		7,138,452
MassMutual Select Equity Opportunities Fund, Class I (a)		220,787		3,722,473
MassMutual Select Fundamental Growth Fund, Class I (a)		778,265		6,467,382
MassMutual Select Fundamental Value Fund, Class I (a)		545,022		6,327,709
MassMutual Select Growth Opportunities Fund, Class I (a)		416,309		4,521,120
MassMutual Select Large Cap Value Fund, Class I (a)		713,234		5,762,932
MassMutual Select Mid Cap Growth Fund, Class I (a)		76,509		1,642,647
MassMutual Select Mid-Cap Value Fund, Class I (a)		266,116		3,648,451
MassMutual Select Overseas Fund, Class I (a)		1,568,551		15,277,687
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		143,244		2,261,829
MassMutual Select Small Cap Value Equity Fund, Class I (a)		194,405		3,232,953
MassMutual Select Small Company Value Fund, Class I (a)		112,653		1,287,629
MM Select Equity Asset Fund, Class I (a)		7,266,657		85,528,552
Oppenheimer Real Estate Fund, Class I (a)		48,059		1,199,061
				181,609,680
Fixed Income Funds — 15.8%
Barings Global Floating Rate Fund, Class Y (a)		63,471		605,517
MassMutual Premier Core Bond Fund, Class I (a)		551,771		5,942,569
MassMutual Premier High Yield Fund, Class I (a)		176,286		1,591,860

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		260,502	$	2,683,166
MassMutual Premier Short-Duration Bond Fund, Class I (a)		675,093		6,852,197
MassMutual Select Strategic Bond Fund, Class I (a)		204,319		2,128,999
MassMutual Select Total Return Bond Fund, Class I (a)		268,936		2,622,124
MM Select Bond and Income Asset Fund, Class I (a)		994,629		9,568,327
Oppenheimer International Bond Fund, Class I (a)		361,381		2,150,214
				34,144,973
TOTAL MUTUAL FUNDS (Cost $198,397,035)				215,754,653
TOTAL LONG-TERM INVESTMENTS (Cost $198,397,035)				215,754,653
TOTAL INVESTMENTS — 100.1% (Cost $198,397,035) (b)				215,754,653
Other Assets/(Liabilities) — (0.1)%				(174,905	)
NET ASSETS — 100.0%			$	215,579,748

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

171

MassMutual RetireSMART 2040 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 87.2%
DFA Commodity Strategy Portfolio		879,023	$	5,238,979
MassMutual Premier Disciplined Growth Fund, Class I (a)		394,191		4,927,393
MassMutual Premier Disciplined Value Fund, Class I (a)		293,571		4,832,186
MassMutual Premier International Equity Fund, Class I (a)		665,787		9,161,226
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,167,163		15,581,620
MassMutual Select Blue Chip Growth Fund, Class I (a)		603,049		12,181,598
MassMutual Select Diversified Value Fund, Class I (a)		944,500		12,051,816
MassMutual Select Equity Opportunities Fund, Class I (a)		348,815		5,881,019
MassMutual Select Fundamental Growth Fund, Class I (a)		1,314,285		10,921,712
MassMutual Select Fundamental Value Fund, Class I (a)		920,006		10,681,274
MassMutual Select Growth Opportunities Fund, Class I (a)		703,089		7,635,546
MassMutual Select Large Cap Value Fund, Class I (a)		1,204,055		9,728,764
MassMutual Select Mid Cap Growth Fund, Class I (a)		122,525		2,630,605
MassMutual Select Mid-Cap Value Fund, Class I (a)		429,761		5,892,021
MassMutual Select Overseas Fund, Class I (a)		2,526,949		24,612,488
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		231,406		3,653,904
MassMutual Select Small Cap Value Equity Fund, Class I (a)		313,640		5,215,838
MassMutual Select Small Company Value Fund, Class I (a)		181,304		2,072,305
MM Select Equity Asset Fund, Class I (a)		11,716,427		137,902,346
Oppenheimer Real Estate Fund, Class I (a)		74,783		1,865,843
				292,668,483
Fixed Income Funds — 12.9%
Barings Global Floating Rate Fund, Class Y (a)		75,181		717,223
MassMutual Premier Core Bond Fund, Class I (a)		741,817		7,989,364
MassMutual Premier High Yield Fund, Class I (a)		175,143		1,581,537

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		326,311	$	3,360,999
MassMutual Premier Short-Duration Bond Fund, Class I (a)		859,917		8,728,153
MassMutual Select Strategic Bond Fund, Class I (a)		274,557		2,860,884
MassMutual Select Total Return Bond Fund, Class I (a)		362,370		3,533,111
MM Select Bond and Income Asset Fund, Class I (a)		1,278,924		12,303,252
Oppenheimer International Bond Fund, Class I (a)		377,949		2,248,798
				43,323,321
TOTAL MUTUAL FUNDS (Cost $307,754,315)				335,991,804
TOTAL LONG-TERM INVESTMENTS (Cost $307,754,315)				335,991,804
TOTAL INVESTMENTS — 100.1% (Cost $307,754,315) (b)				335,991,804
Other Assets/(Liabilities) — (0.1)%				(218,485	)
NET ASSETS — 100.0%			$	335,773,319

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

172

MassMutual RetireSMART 2045 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 89.1%
DFA Commodity Strategy Portfolio		357,662	$	2,131,665
MassMutual Premier Disciplined Growth Fund, Class I (a)		112,426		1,405,327
MassMutual Premier Disciplined Value Fund, Class I (a)		83,813		1,379,558
MassMutual Premier International Equity Fund, Class I (a)		260,097		3,578,937
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		448,378		5,985,849
MassMutual Select Blue Chip Growth Fund, Class I (a)		255,762		5,166,391
MassMutual Select Diversified Value Fund, Class I (a)		386,784		4,935,361
MassMutual Select Equity Opportunities Fund, Class I (a)		134,058		2,260,214
MassMutual Select Fundamental Growth Fund, Class I (a)		543,313		4,514,934
MassMutual Select Fundamental Value Fund, Class I (a)		376,789		4,374,518
MassMutual Select Growth Opportunities Fund, Class I (a)		291,956		3,170,646
MassMutual Select Large Cap Value Fund, Class I (a)		493,066		3,983,973
MassMutual Select Mid Cap Growth Fund, Class I (a)		49,332		1,059,151
MassMutual Select Mid-Cap Value Fund, Class I (a)		156,568		2,146,542
MassMutual Select Overseas Fund, Class I (a)		987,473		9,617,983
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		99,054		1,564,058
MassMutual Select Small Cap Value Equity Fund, Class I (a)		122,663		2,039,881
MassMutual Select Small Company Value Fund, Class I (a)		71,633		818,766
MM Select Equity Asset Fund, Class I (a)		4,590,582		54,031,144
Oppenheimer Real Estate Fund, Class I (a)		30,358		757,430
				114,922,328
Fixed Income Funds — 11.0%
Barings Global Floating Rate Fund, Class Y (a)		21,609		206,148
MassMutual Premier Core Bond Fund, Class I (a)		255,910		2,756,146
MassMutual Premier High Yield Fund, Class I (a)		51,919		468,832

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		105,240	$	1,083,977
MassMutual Premier Short-Duration Bond Fund, Class I (a)		270,919		2,749,825
MassMutual Select Strategic Bond Fund, Class I (a)		94,653		986,285
MassMutual Select Total Return Bond Fund, Class I (a)		121,515		1,184,768
MM Select Bond and Income Asset Fund, Class I (a)		424,313		4,081,890
Oppenheimer International Bond Fund, Class I (a)		98,491		586,022
				14,103,893
TOTAL MUTUAL FUNDS (Cost $118,059,018)				129,026,221
TOTAL LONG-TERM INVESTMENTS (Cost $118,059,018)				129,026,221
TOTAL INVESTMENTS — 100.1% (Cost $118,059,018) (b)				129,026,221
Other Assets/(Liabilities) — (0.1)%				(102,112	)
NET ASSETS — 100.0%			$	128,924,109

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

173

MassMutual RetireSMART 2050 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 94.5%
DFA Commodity Strategy Portfolio		524,898	$	3,128,395
MassMutual Premier Disciplined Growth Fund, Class I (a)		141,408		1,767,601
MassMutual Premier Disciplined Value Fund, Class I (a)		105,320		1,733,569
MassMutual Premier International Equity Fund, Class I (a)		382,212		5,259,243
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		658,286		8,788,119
MassMutual Select Blue Chip Growth Fund, Class I (a)		382,418		7,724,837
MassMutual Select Diversified Value Fund, Class I (a)		578,233		7,378,250
MassMutual Select Equity Opportunities Fund, Class I (a)		195,564		3,297,208
MassMutual Select Fundamental Growth Fund, Class I (a)		812,477		6,751,683
MassMutual Select Fundamental Value Fund, Class I (a)		563,261		6,539,455
MassMutual Select Growth Opportunities Fund, Class I (a)		436,492		4,740,301
MassMutual Select Large Cap Value Fund, Class I (a)		737,111		5,955,855
MassMutual Select Mid Cap Growth Fund, Class I (a)		71,829		1,542,162
MassMutual Select Mid-Cap Value Fund, Class I (a)		232,283		3,184,603
MassMutual Select Overseas Fund, Class I (a)		1,451,051		14,133,240
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		145,726		2,301,007
MassMutual Select Small Cap Value Equity Fund, Class I (a)		180,748		3,005,831
MassMutual Select Small Company Value Fund, Class I (a)		104,967		1,199,773
MM Select Equity Asset Fund, Class I (a)		6,748,630		79,431,381
Oppenheimer Real Estate Fund, Class I (a)		44,333		1,106,102
				168,968,615
Fixed Income Funds — 5.5%
Barings Global Floating Rate Fund, Class Y (a)		14,230		135,752
MassMutual Premier Core Bond Fund, Class I (a)		181,567		1,955,473
MassMutual Premier High Yield Fund, Class I (a)		24,221		218,712

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		73,082	$	752,748
MassMutual Premier Short-Duration Bond Fund, Class I (a)		188,566		1,913,946
MassMutual Select Strategic Bond Fund, Class I (a)		67,471		703,044
MassMutual Select Total Return Bond Fund, Class I (a)		87,291		851,089
MM Select Bond and Income Asset Fund, Class I (a)		301,960		2,904,852
Oppenheimer International Bond Fund, Class I (a)		61,759		367,465
				9,803,081
TOTAL MUTUAL FUNDS (Cost $163,178,184)				178,771,696
TOTAL LONG-TERM INVESTMENTS (Cost $163,178,184)				178,771,696
TOTAL INVESTMENTS — 100.0% (Cost $163,178,184) (b)				178,771,696
Other Assets/(Liabilities) — (0.0)%				(88,775	)
NET ASSETS — 100.0%			$	178,682,921

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

174

MassMutual RetireSMART 2055 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 94.5%
DFA Commodity Strategy Portfolio		134,656	$	802,551
MassMutual Premier Disciplined Growth Fund, Class I (a)		35,201		440,007
MassMutual Premier Disciplined Value Fund, Class I (a)		26,243		431,960
MassMutual Premier International Equity Fund, Class I (a)		94,836		1,304,946
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		164,339		2,193,925
MassMutual Select Blue Chip Growth Fund, Class I (a)		95,059		1,920,193
MassMutual Select Diversified Value Fund, Class I (a)		143,744		1,834,170
MassMutual Select Equity Opportunities Fund, Class I (a)		48,699		821,059
MassMutual Select Fundamental Growth Fund, Class I (a)		201,969		1,678,360
MassMutual Select Fundamental Value Fund, Class I (a)		140,039		1,625,857
MassMutual Select Growth Opportunities Fund, Class I (a)		108,528		1,178,615
MassMutual Select Large Cap Value Fund, Class I (a)		183,247		1,480,633
MassMutual Select Mid Cap Growth Fund, Class I (a)		18,229		391,369
MassMutual Select Mid-Cap Value Fund, Class I (a)		57,161		783,680
MassMutual Select Overseas Fund, Class I (a)		360,160		3,507,960
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		36,267		572,658
MassMutual Select Small Cap Value Equity Fund, Class I (a)		44,896		746,628
MassMutual Select Small Company Value Fund, Class I (a)		26,228		299,788
MM Select Equity Asset Fund, Class I (a)		1,678,607		19,757,208
Oppenheimer Real Estate Fund, Class I (a)		11,559		288,404
				42,059,971
Fixed Income Funds — 5.5%
Barings Global Floating Rate Fund, Class Y (a)		3,320		31,672
MassMutual Premier Core Bond Fund, Class I (a)		45,232		487,150
MassMutual Premier High Yield Fund, Class I (a)		6,779		61,218

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		18,199	$	187,450
MassMutual Premier Short-Duration Bond Fund, Class I (a)		47,239		479,476
MassMutual Select Strategic Bond Fund, Class I (a)		16,792		174,974
MassMutual Select Total Return Bond Fund, Class I (a)		21,653		211,116
MM Select Bond and Income Asset Fund, Class I (a)		75,329		724,661
Oppenheimer International Bond Fund, Class I (a)		15,543		92,478
				2,450,195
TOTAL MUTUAL FUNDS (Cost $41,405,718)				44,510,166
TOTAL LONG-TERM INVESTMENTS (Cost $41,405,718)				44,510,166
TOTAL INVESTMENTS — 100.0% (Cost $41,405,718) (b)				44,510,166
Other Assets/(Liabilities) — (0.0)%				(12,305	)
NET ASSETS — 100.0%			$	44,497,861

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

175

MassMutual RetireSMART 2060 Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 99.6%
Equity Funds — 94.2%
DFA Commodity Strategy Portfolio		36,466	$	217,335
MassMutual Premier Disciplined Growth Fund, Class I (a)		10,160		127,002
MassMutual Premier Disciplined Value Fund, Class I (a)		7,560		124,439
MassMutual Premier International Equity Fund, Class I (a)		27,562		379,257
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		47,196		630,072
MassMutual Select Blue Chip Growth Fund, Class I (a)		27,533		556,159
MassMutual Select Diversified Value Fund, Class I (a)		41,660		531,576
MassMutual Select Equity Opportunities Fund, Class I (a)		14,062		237,083
MassMutual Select Fundamental Growth Fund, Class I (a)		58,498		486,119
MassMutual Select Fundamental Value Fund, Class I (a)		40,565		470,959
MassMutual Select Growth Opportunities Fund, Class I (a)		31,404		341,052
MassMutual Select Large Cap Value Fund, Class I (a)		53,084		428,921
MassMutual Select Mid Cap Growth Fund, Class I (a)		5,129		110,119
MassMutual Select Mid-Cap Value Fund, Class I (a)		16,662		228,437
MassMutual Select Overseas Fund, Class I (a)		104,612		1,018,926
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		10,462		165,192
MassMutual Select Small Cap Value Equity Fund, Class I (a)		12,969		215,680
MassMutual Select Small Company Value Fund, Class I (a)		7,532		86,088
MM Select Equity Asset Fund, Class I (a)		485,035		5,708,861
Oppenheimer Real Estate Fund, Class I (a)		2,974		74,189
				12,137,466
Fixed Income Funds — 5.4%
Barings Global Floating Rate Fund, Class Y (a)		1,031		9,835
MassMutual Premier Core Bond Fund, Class I (a)		12,997		139,976
MassMutual Premier High Yield Fund, Class I (a)		1,642		14,824

	Number of Shares		Value
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		5,235	$	53,916
MassMutual Premier Short-Duration Bond Fund, Class I (a)		13,361		135,612
MassMutual Select Strategic Bond Fund, Class I (a)		4,838		50,410
MassMutual Select Total Return Bond Fund, Class I (a)		6,243		60,866
MM Select Bond and Income Asset Fund, Class I (a)		21,573		207,528
Oppenheimer International Bond Fund, Class I (a)		4,359		25,933
				698,900
TOTAL MUTUAL FUNDS (Cost $11,837,050)				12,836,366
TOTAL LONG-TERM INVESTMENTS (Cost $11,837,050)				12,836,366
TOTAL INVESTMENTS — 99.6% (Cost $11,837,050) (b)				12,836,366
Other Assets/(Liabilities) — 0.4%				48,100
NET ASSETS — 100.0%			$	12,884,466

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 4 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

176

MM Select Bond and Income Asset Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 99.5%
SOVEREIGN DEBT OBLIGATIONS — 7.6%
Bundesobligation EUR (a) (b) 0.010% 4/17/20		300,000	$	364,846
Bundesobligation EUR (a) (b) 0.010% 4/09/21		300,000		365,338
Bundesobligation EUR (a) (b) 0.010% 10/08/21		175,000		212,957
Bundesobligation EUR (a) (b) 0.010% 4/08/22		50,000		60,732
Bundesobligation EUR (a) (b) 0.250% 10/16/20		100,000		122,651
Bundesobligation EUR (a) (b) 0.500% 4/12/19		150,000		182,721
Bundesrepublik Deutschland EUR (a) (b) 0.010% 3/15/19		250,000		302,506
Bundesrepublik Deutschland EUR (a) (b) 0.010% 9/13/19		200,000		242,684
Bundesrepublik Deutschland EUR (a) (b) 0.010% 8/15/26		150,000		175,564
Bundesrepublik Deutschland EUR (a) (b) 0.250% 2/15/27		125,000		148,474
Bundesrepublik Deutschland EUR (a) (b) 0.500% 2/15/25		125,000		154,166
Bundesrepublik Deutschland EUR (a) (b) 0.500% 2/15/26		200,000		245,502
Bundesrepublik Deutschland EUR (a) (b) 0.500% 8/15/27		75,000		90,565
Bundesrepublik Deutschland EUR (a) (b) 1.000% 8/15/24		100,000		127,585
Bundesrepublik Deutschland EUR (a) (b) 1.000% 8/15/25		100,000		127,645
Bundesrepublik Deutschland EUR (a) (b) 1.250% 8/15/48		30,000		35,870
Bundesrepublik Deutschland EUR (a) (b) 1.500% 9/04/22		100,000		129,808
Bundesrepublik Deutschland EUR (a) (b) 1.500% 2/15/23		125,000		162,757
Bundesrepublik Deutschland EUR (a) (b) 1.500% 5/15/23		100,000		130,468
Bundesrepublik Deutschland EUR (a) (b) 1.500% 5/15/24		50,000		65,664
Bundesrepublik Deutschland EUR (a) (b) 1.750% 7/04/22		100,000		130,990
Bundesrepublik Deutschland EUR (a) (b) 1.750% 2/15/24		100,000		132,975
Bundesrepublik Deutschland EUR (a) (b) 2.500% 7/04/44		100,000		156,000
Bundesrepublik Deutschland EUR (a) (b) 2.500% 8/15/46		95,000		149,547
Bundesrepublik Deutschland EUR (a) (b) 3.250% 7/04/42		50,000		87,426

	Principal Amount		Value
Bundesrepublik Deutschland EUR (a) (b) 4.000% 1/04/37		100,000	$	183,493
Bundesrepublik Deutschland EUR (a) (b) 4.250% 7/04/39		40,000		77,907
Bundesrepublik Deutschland EUR (a) (b) 4.750% 7/04/34		100,000		192,038
Bundesrepublik Deutschland EUR (a) (b) 4.750% 7/04/40		100,000		209,302
Bundesrepublik Deutschland EUR (a) (b) 5.500% 1/04/31		75,000		144,157
Bundesrepublik Deutschland EUR (a) (b) 5.625% 1/04/28		25,000		45,175
Bundesrepublik Deutschland EUR (a) (b) 6.250% 1/04/30		50,000		99,374
France Government Bond OAT EUR (a) (b) 0.010% 2/25/19		150,000		181,280
France Government Bond OAT EUR (a) (b) 0.010% 2/25/20		150,000		181,786
France Government Bond OAT EUR (a) (b) 0.010% 5/25/20		200,000		242,594
France Government Bond OAT EUR (a) (b) 0.010% 5/25/21		300,000		363,519
France Government Bond OAT EUR (a) (b) 0.010% 5/25/22		50,000		60,349
France Government Bond OAT EUR (a) (b) 0.010% 3/25/23		100,000		119,959
France Government Bond OAT EUR (a) (b) 0.250% 11/25/20		100,000		122,123
France Government Bond OAT EUR (a) (b) 0.250% 11/25/26		50,000		58,463
France Government Bond OAT EUR (a) (b) 0.500% 11/25/19		100,000		122,304
France Government Bond OAT EUR (a) (b) 0.500% 5/25/25		175,000		213,206
France Government Bond OAT EUR (a) (b) 0.500% 5/25/26		325,000		391,562
France Government Bond OAT EUR (a) (b) 0.750% 5/25/28		50,000		59,795
France Government Bond OAT EUR (a) (b) 1.000% 5/25/19		100,000		122,645
France Government Bond OAT EUR (a) (b) 1.000% 11/25/25		165,000		207,710
France Government Bond OAT EUR (a) (b) 1.000% 5/25/27		100,000		123,964
France Government Bond OAT EUR (a) (b) 1.250% 5/25/36		50,000		58,937
France Government Bond OAT EUR (a) (b) 1.500% 5/25/31		100,000		126,754
France Government Bond OAT EUR (a) (b) 1.750% 5/25/23		225,000		295,748
France Government Bond OAT EUR (a) (b) 1.750% 11/25/24		100,000		132,732

The accompanying notes are an integral part of the portfolio of investments.

177

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
France Government Bond OAT EUR (a) (b) 1.750% 6/25/39		30,000	$	37,924
France Government Bond OAT EUR (a) (b) 1.750% 5/25/66		85,000		96,549
France Government Bond OAT EUR (a) (b) 2.250% 10/25/22		250,000		333,970
France Government Bond OAT EUR (a) (b) 2.250% 5/25/24		50,000		68,121
France Government Bond OAT EUR (a) (b) 2.500% 5/25/30		200,000		283,300
France Government Bond OAT EUR (a) (b) 2.750% 10/25/27		50,000		71,830
France Government Bond OAT EUR (a) (b) 3.000% 4/25/22		100,000		136,574
France Government Bond OAT EUR (a) (b) 3.250% 5/25/45		150,000		242,744
France Government Bond OAT EUR (a) (b) 3.500% 4/25/26		100,000		150,679
France Government Bond OAT EUR (a) (b) 4.000% 10/25/38		75,000		132,702
France Government Bond OAT EUR (a) (b) 4.500% 4/25/41		100,000		191,496
France Government Bond OAT EUR (a) (b) 4.750% 4/25/35		110,000		205,011
France Government Bond OAT EUR (a) (b) 5.750% 10/25/32		50,000		98,454
Japan Government Five Year Bond JPY (a) 0.100% 9/20/19		10,000,000		89,096
Japan Government Five Year Bond JPY (a) 0.100% 12/20/19		10,000,000		89,141
Japan Government Five Year Bond JPY (a) 0.100% 3/20/20		15,000,000		133,783
Japan Government Five Year Bond JPY (a) 0.100% 6/20/20		10,000,000		89,230
Japan Government Five Year Bond JPY (a) 0.100% 9/20/20		15,000,000		133,908

	Principal Amount		Value
Japan Government Five Year Bond JPY (a) 0.100% 12/20/20		10,000,000	$	89,328
Japan Government Five Year Bond JPY (a) 0.100% 3/20/21		15,000,000		134,055
Japan Government Five Year Bond JPY (a) 0.100% 6/20/21		15,000,000		134,101
Japan Government Five Year Bond JPY (a) 0.100% 9/20/21		10,000,000		89,439
Japan Government Five Year Bond JPY (a) 0.100% 6/20/22		10,000,000		89,563
Japan Government Five Year Bond JPY (a) 0.200% 3/20/19		10,000,000		89,100
Japan Government Five Year Bond JPY (a) 0.200% 9/20/19		10,000,000		89,249
Japan Government Forty Year Bond JPY (a) 0.400% 3/20/56		5,000,000		36,599
Japan Government Forty Year Bond JPY (a) 2.200% 3/20/51		8,000,000		98,160
Japan Government Ten Year Bond JPY (a) 0.100% 3/20/26		5,000,000		44,772
Japan Government Ten Year Bond JPY (a) 0.100% 6/20/26		5,000,000		44,742
Japan Government Ten Year Bond JPY (a) 0.100% 9/20/26		10,000,000		89,444
Japan Government Ten Year Bond JPY (a) 0.100% 12/20/26		5,000,000		44,696
Japan Government Ten Year Bond JPY (a) 0.100% 3/20/27		5,000,000		44,684
Japan Government Ten Year Bond JPY (a) 0.100% 6/20/27		5,000,000		44,667
Japan Government Ten Year Bond JPY (a) 0.100% 9/20/27		5,000,000		44,631
Japan Government Ten Year Bond JPY (a) 0.100% 12/20/27		5,000,000		44,576
Japan Government Ten Year Bond JPY (a) 0.300% 12/20/24		5,000,000		45,467

The accompanying notes are an integral part of the portfolio of investments.

178

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Japan Government Ten Year Bond JPY (a) 0.300% 12/20/25		5,000,000	$	45,496
Japan Government Ten Year Bond JPY (a) 0.400% 3/20/25		10,000,000		91,599
Japan Government Ten Year Bond JPY (a) 0.400% 6/20/25		5,000,000		45,811
Japan Government Ten Year Bond JPY (a) 0.400% 9/20/25		5,000,000		45,828
Japan Government Ten Year Bond JPY (a) 0.500% 9/20/24		5,000,000		46,041
Japan Government Ten Year Bond JPY (a) 0.600% 3/20/23		8,000,000		73,567
Japan Government Ten Year Bond JPY (a) 0.600% 9/20/23		5,000,000		46,100
Japan Government Ten Year Bond JPY (a) 0.600% 12/20/23		8,000,000		73,847
Japan Government Ten Year Bond JPY (a) 0.600% 3/20/24		10,000,000		92,454
Japan Government Ten Year Bond JPY (a) 0.600% 6/20/24		5,000,000		46,284
Japan Government Ten Year Bond JPY (a) 0.700% 12/20/22		10,000,000		92,263
Japan Government Ten Year Bond JPY (a) 0.800% 6/20/22		10,000,000		92,342
Japan Government Ten Year Bond JPY (a) 0.800% 9/20/22		5,000,000		46,262
Japan Government Ten Year Bond JPY (a) 0.800% 12/20/22		3,000,000		27,812
Japan Government Ten Year Bond JPY (a) 0.800% 6/20/23		5,000,000		46,545
Japan Government Ten Year Bond JPY (a) 0.900% 3/20/22		10,000,000		92,517
Japan Government Ten Year Bond JPY (a) 1.000% 12/20/21		10,000,000		92,634
Japan Government Thirty Year Bond JPY (a) 0.800% 3/20/47		5,000,000		44,395
Japan Government Thirty Year Bond JPY (a) 0.800% 6/20/47		5,000,000		44,321
Japan Government Thirty Year Bond JPY (a) 0.800% 9/20/47		2,500,000		22,134
Japan Government Thirty Year Bond JPY (a) 0.800% 12/20/47		3,000,000		26,528
Japan Government Thirty Year Bond JPY (a) 1.400% 12/20/45		5,000,000		51,361
Japan Government Thirty Year Bond JPY (a) 1.500% 3/20/45		5,000,000		52,488

	Principal Amount		Value
Japan Government Thirty Year Bond JPY (a) 1.700% 12/20/43		5,000,000	$	54,530
Japan Government Thirty Year Bond JPY (a) 1.900% 9/20/42		5,000,000		56,328
Japan Government Thirty Year Bond JPY (a) 2.000% 9/20/40		7,000,000		79,732
Japan Government Thirty Year Bond JPY (a) 2.200% 3/20/41		10,000,000		117,940
Japan Government Thirty Year Bond JPY (a) 2.300% 3/20/39		5,000,000		59,224
Japan Government Thirty Year Bond JPY (a) 2.400% 3/20/37		5,000,000		59,431
Japan Government Twenty Year Bond JPY (a) 0.200% 6/20/36		5,000,000		42,061
Japan Government Twenty Year Bond JPY (a) 0.600% 9/20/37		2,500,000		22,341
Japan Government Twenty Year Bond JPY (a) 0.600% 12/20/37		3,000,000		26,753
Japan Government Twenty Year Bond JPY (a) 0.800% 6/20/23		5,000,000		46,540
Japan Government Twenty Year Bond JPY (a) 1.000% 12/20/35		5,000,000		48,430
Japan Government Twenty Year Bond JPY (a) 1.200% 12/20/34		7,000,000		70,163
Japan Government Twenty Year Bond JPY (a) 1.200% 3/20/35		3,000,000		30,049
Japan Government Twenty Year Bond JPY (a) 1.300% 6/20/35		7,000,000		71,075
Japan Government Twenty Year Bond JPY (a) 1.400% 9/20/34		5,000,000		51,552
Japan Government Twenty Year Bond JPY (a) 1.500% 6/20/34		5,000,000		52,252
Japan Government Twenty Year Bond JPY (a) 1.600% 12/20/33		5,000,000		52,928
Japan Government Twenty Year Bond JPY (a) 1.700% 9/20/32		5,000,000		53,346

The accompanying notes are an integral part of the portfolio of investments.

179

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Japan Government Twenty Year Bond JPY (a) 1.700% 12/20/32		5,000,000	$	53,454
Japan Government Twenty Year Bond JPY (a) 1.700% 6/20/33		5,000,000		53,538
Japan Government Twenty Year Bond JPY (a) 1.700% 9/20/33		5,000,000		53,576
Japan Government Twenty Year Bond JPY (a) 1.800% 12/20/31		5,000,000		53,770
Japan Government Twenty Year Bond JPY (a) 1.900% 9/20/30		5,000,000		53,887
Japan Government Twenty Year Bond JPY (a) 1.900% 6/20/31		5,000,000		54,191
Japan Government Twenty Year Bond JPY (a) 2.100% 12/20/26		5,000,000		52,636
Japan Government Twenty Year Bond JPY (a) 2.100% 12/20/27		7,000,000		74,771
Japan Government Twenty Year Bond JPY (a) 2.100% 9/20/28		7,000,000		75,445
Japan Government Twenty Year Bond JPY (a) 2.100% 3/20/29		5,000,000		54,194
Japan Government Twenty Year Bond JPY (a) 2.100% 9/20/29		7,000,000		76,253
Japan Government Twenty Year Bond JPY (a) 2.100% 3/20/30		7,000,000		76,639
Japan Government Twenty Year Bond JPY (a) 2.100% 12/20/30		5,000,000		55,159
Japan Government Twenty Year Bond JPY (a) 2.400% 6/20/28		5,000,000		55,112
Japan Government Twenty Year Bond JPY (a) 2.600% 3/20/19		10,000,000		91,688
Japan Government Two Year Bond JPY (a) 0.100% 6/15/19		10,000,000		89,062
Japan Government Two Year Bond JPY (a) 0.100% 9/15/19		10,000,000		89,115
United Kingdom Gilt GBP (a) (b) 0.500% 7/22/22		135,000		180,462

	Principal Amount		Value
United Kingdom Gilt GBP (a) (b) 0.750% 7/22/23		100,000	$	134,141
United Kingdom Gilt GBP (a) (b) 1.250% 7/22/27		175,000		236,884
United Kingdom Gilt GBP (a) (b) 1.500% 1/22/21		150,000		208,388
United Kingdom Gilt GBP (a) (b) 1.500% 7/22/26		100,000		139,457
United Kingdom Gilt GBP (a) (b) 1.500% 7/22/47		135,000		171,519
United Kingdom Gilt GBP (a) (b) 1.750% 7/22/19		175,000		241,075
United Kingdom Gilt GBP (a) (b) 1.750% 9/07/22		150,000		212,102
United Kingdom Gilt GBP (a) (b) 1.750% 9/07/37		50,000		67,653
United Kingdom Gilt GBP (a) (b) 1.750% 7/22/57		30,000		41,981
United Kingdom Gilt GBP (a) (b) 2.000% 7/22/20		125,000		175,243
United Kingdom Gilt GBP (a) (b) 2.000% 9/07/25		100,000		144,939
United Kingdom Gilt GBP (a) (b) 2.250% 9/07/23		50,000		72,801
United Kingdom Gilt GBP (a) (b) 2.500% 7/22/65		35,000		61,796
United Kingdom Gilt GBP (a) (b) 2.750% 9/07/24		150,000		226,443
United Kingdom Gilt GBP (a) (b) 3.250% 1/22/44		40,000		70,332
United Kingdom Gilt GBP (a) (b) 3.500% 1/22/45		100,000		184,428
United Kingdom Gilt GBP (a) (b) 3.500% 7/22/68		100,000		225,406
United Kingdom Gilt GBP (a) (b) 3.750% 9/07/19		100,000		142,541
United Kingdom Gilt GBP (a) (b) 3.750% 9/07/20		125,000		183,467
United Kingdom Gilt GBP (a) (b) 3.750% 9/07/21		125,000		188,228
United Kingdom Gilt GBP (a) (b) 3.750% 7/22/52		40,000		83,153
United Kingdom Gilt GBP (a) (b) 4.250% 12/07/27		50,000		86,796
United Kingdom Gilt GBP (a) (b) 4.250% 6/07/32		75,000		137,178
United Kingdom Gilt GBP (a) (b) 4.250% 3/07/36		75,000		142,330
United Kingdom Gilt GBP (a) (b) 4.250% 9/07/39		90,000		176,559
United Kingdom Gilt GBP (a) (b) 4.250% 12/07/40		75,000		148,965
United Kingdom Gilt GBP (a) (b) 4.250% 12/07/46		25,000		52,571

The accompanying notes are an integral part of the portfolio of investments.

180

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
United Kingdom Gilt GBP (a) (b) 4.250% 12/07/49		50,000	$	109,200
United Kingdom Gilt GBP (a) (b) 4.250% 12/07/55		135,000		316,276
United Kingdom Gilt GBP (a) (b) 4.500% 9/07/34		75,000		143,963
United Kingdom Gilt GBP (a) (b) 4.500% 12/07/42		75,000		156,854
United Kingdom Gilt GBP (a) (b) 4.750% 3/07/20		50,000		73,826
United Kingdom Gilt GBP (a) (b) 4.750% 12/07/30		95,000		178,755
United Kingdom Gilt GBP (a) (b) 4.750% 12/07/38		80,000		165,626
				20,851,234
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $20,679,010)				20,851,234
U.S. TREASURY OBLIGATIONS — 91.9%
U.S. Treasury Bonds & Notes — 91.9%
U.S. Treasury Bond 4.500% 2/15/36	$	4,565,000		5,877,438
U.S. Treasury Bond 4.750% 2/15/37		1,465,000		1,951,655
U.S. Treasury Bond 5.000% 5/15/37		2,275,000		3,119,771
U.S. Treasury Bond 5.250% 11/15/28		2,400,000		3,044,250
U.S. Treasury Bond 5.250% 2/15/29		2,225,000		2,833,572
U.S. Treasury Bond 5.375% 2/15/31		4,640,000		6,164,312
U.S. Treasury Bond 5.500% 8/15/28		2,285,000		2,940,688
U.S. Treasury Bond 6.125% 8/15/29		1,425,000		1,955,144
U.S. Treasury Bond 6.250% 5/15/30		2,275,000		3,198,152
U.S. Treasury Inflation Index 0.125% 4/15/18		6,722,667		6,714,701
U.S. Treasury Inflation Index 0.125% 4/15/19		6,105,670		6,091,953
U.S. Treasury Inflation Index 0.125% 4/15/20		6,214,588		6,201,843
U.S. Treasury Inflation Index 0.125% 4/15/21		5,344,303		5,322,278
U.S. Treasury Inflation Index 0.125% 1/15/22		5,165,842		5,145,033
U.S. Treasury Inflation Index 0.125% 4/15/22		5,172,812		5,136,385
U.S. Treasury Inflation Index 0.125% 7/15/22		4,558,720		4,552,603

	Principal Amount		Value
U.S. Treasury Inflation Index 0.625% 7/15/21	$	4,651,370	$	4,740,841
U.S. Treasury Inflation Index 1.125% 1/15/21		4,510,440		4,645,049
U.S. Treasury Inflation Index 1.250% 7/15/20		3,506,286		3,620,459
U.S. Treasury Inflation Index 1.375% 7/15/18		1,601,446		1,619,275
U.S. Treasury Inflation Index 1.375% 1/15/20		2,395,428		2,458,146
U.S. Treasury Inflation Index 1.625% 1/15/18		1,648,402		1,648,209
U.S. Treasury Inflation Index 1.875% 7/15/19		1,906,179		1,965,358
U.S. Treasury Inflation Index 2.125% 1/15/19		1,436,125		1,465,689
U.S. Treasury Note 0.750% 2/15/19		500,000		493,926
U.S. Treasury Note 0.750% 7/15/19		750,000		737,373
U.S. Treasury Note 0.750% 8/15/19		500,000		491,143
U.S. Treasury Note 0.875% 4/15/19		500,000		493,818
U.S. Treasury Note 0.875% 5/15/19		800,000		789,469
U.S. Treasury Note 0.875% 6/15/19		500,000		492,998
U.S. Treasury Note 0.875% 7/31/19		350,000		344,695
U.S. Treasury Note 0.875% 9/15/19		750,000		737,461
U.S. Treasury Note 1.000% 3/15/19		500,000		494,980
U.S. Treasury Note 1.000% 6/30/19		750,000		740,625
U.S. Treasury Note 1.000% 8/31/19		500,000		492,910
U.S. Treasury Note 1.000% 9/30/19		500,000		492,588
U.S. Treasury Note 1.000% 10/15/19		600,000		590,824
U.S. Treasury Note 1.000% 11/15/19		1,125,000		1,106,917
U.S. Treasury Note 1.000% 11/30/19		500,000		491,758
U.S. Treasury Note 1.125% 1/15/19		400,000		397,078
U.S. Treasury Note 1.125% 1/31/19		800,000		793,938
U.S. Treasury Note 1.125% 2/28/19		500,000		495,859
U.S. Treasury Note 1.125% 5/31/19		500,000		494,980

The accompanying notes are an integral part of the portfolio of investments.

181

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. Treasury Note 1.125% 12/31/19	$	500,000	$	492,539
U.S. Treasury Note 1.125% 2/28/21		750,000		729,404
U.S. Treasury Note 1.125% 6/30/21		1,000,000		968,477
U.S. Treasury Note 1.125% 7/31/21		1,000,000		967,148
U.S. Treasury Note 1.125% 8/31/21		1,300,000		1,255,820
U.S. Treasury Note 1.125% 9/30/21		1,000,000		964,922
U.S. Treasury Note 1.250% 1/31/19		500,000		496,836
U.S. Treasury Note 1.250% 3/31/19		1,000,000		992,578
U.S. Treasury Note 1.250% 4/30/19		1,500,000		1,488,076
U.S. Treasury Note 1.250% 5/31/19		1,150,000		1,140,477
U.S. Treasury Note 1.250% 6/30/19		650,000		644,224
U.S. Treasury Note 1.250% 8/31/19		600,000		593,883
U.S. Treasury Note 1.250% 10/31/19		350,000		346,063
U.S. Treasury Note 1.250% 1/31/20		300,000		296,039
U.S. Treasury Note 1.250% 3/31/21		900,000		877,781
U.S. Treasury Note 1.250% 10/31/21		1,000,000		968,828
U.S. Treasury Note 1.250% 7/31/23		1,125,000		1,066,025
U.S. Treasury Note 1.375% 2/28/19		500,000		497,246
U.S. Treasury Note 1.375% 7/31/19		750,000		744,331
U.S. Treasury Note 1.375% 9/30/19		1,000,000		991,328
U.S. Treasury Note 1.375% 12/15/19		500,000		495,078
U.S. Treasury Note 1.375% 1/15/20		1,000,000		989,688
U.S. Treasury Note 1.375% 1/31/20		1,000,000		989,375
U.S. Treasury Note 1.375% 2/15/20		650,000		642,840
U.S. Treasury Note 1.375% 2/29/20		1,000,000		988,789
U.S. Treasury Note 1.375% 3/31/20		1,250,000		1,235,303
U.S. Treasury Note 1.375% 4/30/20		1,000,000		987,578

	Principal Amount		Value
U.S. Treasury Note 1.375% 5/31/20	$	1,100,000	$	1,085,949
U.S. Treasury Note 1.375% 8/31/20		1,000,000		985,391
U.S. Treasury Note 1.375% 9/15/20		900,000		887,203
U.S. Treasury Note 1.375% 9/30/20		1,000,000		984,766
U.S. Treasury Note 1.375% 10/31/20		1,000,000		983,828
U.S. Treasury Note 1.375% 1/31/21		750,000		735,732
U.S. Treasury Note 1.375% 4/30/21		850,000		831,606
U.S. Treasury Note 1.375% 5/31/21		1,000,000		977,500
U.S. Treasury Note 1.375% 6/30/23		750,000		716,514
U.S. Treasury Note 1.375% 8/31/23		750,000		714,990
U.S. Treasury Note 1.375% 9/30/23		1,000,000		952,539
U.S. Treasury Note 1.500% 1/31/19		950,000		946,530
U.S. Treasury Note 1.500% 2/28/19		1,000,000		995,957
U.S. Treasury Note 1.500% 3/31/19		750,000		746,777
U.S. Treasury Note 1.500% 5/31/19		1,000,000		994,961
U.S. Treasury Note 1.500% 10/31/19		2,000,000		1,986,367
U.S. Treasury Note 1.500% 11/30/19		1,150,000		1,141,577
U.S. Treasury Note 1.500% 4/15/20		1,000,000		990,664
U.S. Treasury Note 1.500% 5/15/20		1,050,000		1,039,869
U.S. Treasury Note 1.500% 5/31/20		1,000,000		990,078
U.S. Treasury Note 1.500% 6/15/20		650,000		643,424
U.S. Treasury Note 1.500% 7/15/20		700,000		692,535
U.S. Treasury Note 1.500% 8/15/20		750,000		741,709
U.S. Treasury Note 1.500% 1/31/22		350,000		341,359
U.S. Treasury Note 1.500% 2/28/23		750,000		723,721
U.S. Treasury Note 1.500% 3/31/23		850,000		819,387
U.S. Treasury Note 1.500% 8/15/26		1,800,000		1,674,633

The accompanying notes are an integral part of the portfolio of investments.

182

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. Treasury Note 1.625% 3/31/19	$	500,000	$	498,535
U.S. Treasury Note 1.625% 4/30/19		800,000		797,562
U.S. Treasury Note 1.625% 6/30/19		750,000		747,407
U.S. Treasury Note 1.625% 7/31/19		600,000		597,785
U.S. Treasury Note 1.625% 8/31/19		750,000		746,939
U.S. Treasury Note 1.625% 12/31/19		700,000		696,336
U.S. Treasury Note 1.625% 3/15/20		750,000		745,342
U.S. Treasury Note 1.625% 6/30/20		1,000,000		992,578
U.S. Treasury Note 1.625% 7/31/20		1,250,000		1,240,332
U.S. Treasury Note 1.625% 10/15/20		1,000,000		991,133
U.S. Treasury Note 1.625% 11/30/20		1,000,000		990,000
U.S. Treasury Note 1.625% 8/15/22		250,000		244,160
U.S. Treasury Note 1.625% 8/31/22		1,000,000		975,352
U.S. Treasury Note 1.625% 4/30/23		300,000		290,836
U.S. Treasury Note 1.625% 5/31/23		850,000		823,404
U.S. Treasury Note 1.625% 10/31/23		750,000		724,131
U.S. Treasury Note 1.625% 2/15/26		1,750,000		1,652,656
U.S. Treasury Note 1.625% 5/15/26		1,750,000		1,648,418
U.S. Treasury Note 1.750% 9/30/19		450,000		448,980
U.S. Treasury Note 1.750% 11/30/19		750,000		748,125
U.S. Treasury Note 1.750% 12/31/19		1,000,000		999,569
U.S. Treasury Note 1.750% 10/31/20		1,000,000		994,297
U.S. Treasury Note 1.750% 11/15/20		2,000,000		1,988,438
U.S. Treasury Note 1.750% 12/31/20		1,000,000		993,164
U.S. Treasury Note 1.750% 11/30/21		1,000,000		986,094
U.S. Treasury Note 1.750% 4/30/22		1,000,000		982,695
U.S. Treasury Note 1.750% 5/31/22		1,600,000		1,572,063

	Principal Amount		Value
U.S. Treasury Note 1.750% 6/30/22	$	1,000,000	$	982,031
U.S. Treasury Note 1.750% 9/30/22		1,000,000		979,922
U.S. Treasury Note 1.750% 1/31/23		900,000		879,785
U.S. Treasury Note 1.750% 5/15/23		2,000,000		1,951,016
U.S. Treasury Note 1.875% 12/15/20		1,000,000		997,109
U.S. Treasury Note 1.875% 11/30/21		400,000		396,750
U.S. Treasury Note 1.875% 1/31/22		1,000,000		989,688
U.S. Treasury Note 1.875% 2/28/22		1,400,000		1,384,797
U.S. Treasury Note 1.875% 3/31/22		1,150,000		1,136,883
U.S. Treasury Note 1.875% 4/30/22		750,000		741,035
U.S. Treasury Note 1.875% 7/31/22		1,000,000		986,484
U.S. Treasury Note 1.875% 8/31/22		750,000		739,453
U.S. Treasury Note 1.875% 9/30/22		1,000,000		985,547
U.S. Treasury Note 1.875% 10/31/22		650,000		640,580
U.S. Treasury Note 1.875% 8/31/24		500,000		486,582
U.S. Treasury Note 2.000% 11/30/20		750,000		750,703
U.S. Treasury Note 2.000% 2/28/21		500,000		499,688
U.S. Treasury Note 2.000% 5/31/21		500,000		499,199
U.S. Treasury Note 2.000% 11/15/21		1,000,000		996,992
U.S. Treasury Note 2.000% 12/31/21		1,050,000		1,044,832
U.S. Treasury Note 2.000% 2/15/22		600,000		597,141
U.S. Treasury Note 2.000% 10/31/22		1,000,000		991,328
U.S. Treasury Note 2.000% 11/30/22		1,500,000		1,486,523
U.S. Treasury Note 2.000% 2/15/23		1,550,000		1,534,016
U.S. Treasury Note 2.000% 4/30/24		850,000		834,693
U.S. Treasury Note 2.000% 5/31/24		950,000		932,262
U.S. Treasury Note 2.000% 6/30/24		1,000,000		980,859

The accompanying notes are an integral part of the portfolio of investments.

183

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. Treasury Note 2.000% 2/15/25	$	2,000,000	$	1,955,078
U.S. Treasury Note 2.000% 8/15/25		1,750,000		1,705,840
U.S. Treasury Note 2.000% 11/15/26		1,650,000		1,597,084
U.S. Treasury Note 2.125% 8/31/20		1,000,000		1,004,688
U.S. Treasury Note 2.125% 1/31/21		500,000		501,699
U.S. Treasury Note 2.125% 6/30/21		750,000		751,465
U.S. Treasury Note 2.125% 8/15/21		350,000		350,465
U.S. Treasury Note 2.125% 12/31/21		500,000		500,098
U.S. Treasury Note 2.125% 12/31/22		1,350,000		1,344,357
U.S. Treasury Note 2.125% 11/30/23		400,000		396,766
U.S. Treasury Note 2.125% 2/29/24		800,000		792,062
U.S. Treasury Note 2.125% 3/31/24		500,000		494,883
U.S. Treasury Note 2.125% 7/31/24		650,000		642,307
U.S. Treasury Note 2.125% 9/30/24		1,000,000		987,383
U.S. Treasury Note 2.125% 11/30/24		1,000,000		986,836
U.S. Treasury Note 2.125% 5/15/25		2,050,000		2,018,609
U.S. Treasury Note 2.250% 3/31/21		600,000		604,008
U.S. Treasury Note 2.250% 4/30/21		750,000		754,980
U.S. Treasury Note 2.250% 7/31/21		500,000		502,949
U.S. Treasury Note 2.250% 12/31/23		750,000		748,594
U.S. Treasury Note 2.250% 1/31/24		750,000		748,330
U.S. Treasury Note 2.250% 10/31/24		750,000		746,514
U.S. Treasury Note 2.250% 11/15/24		2,100,000		2,089,336
U.S. Treasury Note 2.250% 12/31/24		750,000		745,900
U.S. Treasury Note 2.250% 11/15/25		1,950,000		1,932,785
U.S. Treasury Note 2.250% 2/15/27		2,200,000		2,171,297

	Principal Amount		Value
U.S. Treasury Note 2.250% 8/15/27	$	2,000,000	$	1,972,031
U.S. Treasury Note 2.250% 11/15/27		1,500,000		1,479,023
U.S. Treasury Note 2.375% 8/15/24		2,000,000		2,006,484
U.S. Treasury Note 2.375% 5/15/27		1,700,000		1,695,219
U.S. Treasury Note 2.500% 8/15/23		1,000,000		1,013,711
U.S. Treasury Note 2.500% 5/15/24		1,650,000		1,668,498
U.S. Treasury Note 2.625% 8/15/20		1,000,000		1,017,344
U.S. Treasury Note 2.750% 2/15/19		500,000		504,922
U.S. Treasury Note 2.750% 11/15/23		2,000,000		2,054,375
U.S. Treasury Note 2.750% 2/15/24		1,400,000		1,436,750
U.S. Treasury Note 3.125% 5/15/19		1,000,000		1,016,934
U.S. Treasury Note 3.125% 5/15/21		500,000		517,422
U.S. Treasury Note 3.375% 11/15/19		1,000,000		1,027,500
U.S. Treasury Note 3.500% 5/15/20		1,000,000		1,036,289
U.S. Treasury Note 3.625% 8/15/19		750,000		770,786
U.S. Treasury Note 3.625% 2/15/20		1,000,000		1,035,742
U.S. Treasury Note 3.625% 2/15/21		1,000,000		1,048,672
				250,680,630
TOTAL U.S. TREASURY OBLIGATIONS (Cost $254,459,387)				250,680,630
TOTAL BONDS & NOTES (Cost $275,138,397)				271,531,864
TOTAL LONG-TERM INVESTMENTS (Cost $275,138,397)				271,531,864

The accompanying notes are an integral part of the portfolio of investments.

184

MM Select Bond and Income Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.6%
Repurchase Agreement — 0.6%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (c)	$	1,688,612	$	1,688,612
TOTAL SHORT-TERM INVESTMENTS (Cost $1,688,612)				1,688,612
TOTAL INVESTMENTS — 100.1% (Cost $276,827,009) (d)				273,220,476
Other Assets/(Liabilities) — (0.1)%				(378,071	)
NET ASSETS — 100.0%			$	272,842,405

Abbreviation Legend

OAT Obligations Assimilables du Tresor

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

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

(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 December 31, 2017, these securities amounted to a value of $15,573,009 or 5.71% of net assets.

(c) Maturity value of $1,688,713. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $1,733,437.

(d) See Note 3 for aggregate cost for federal tax purposes.

Currency Legend

EUR Euro

GBP British Pound

JPY Japanese Yen

The accompanying notes are an integral part of the portfolio of investments.

185

MM Select Equity Asset Fund – Portfolio of Investments

December 31, 2017 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.8%
COMMON STOCK — 97.4%
Australia — 2.1%
Abacus Property Group		4,324	$	13,915
Accent Group Ltd.		4,085		2,612
Aconex Ltd. (a) (b)		2,427		14,472
Adelaide Brighton Ltd. (a)		5,902		29,950
Afterpay Touch Group Ltd. (b)		1,452		6,792
The AGL Energy Ltd.		11,487		217,997
Ainsworth Game Technology Ltd. (a) (b)		1,877		3,163
ALS Ltd.		6,710		36,569
Altium Ltd.		1,483		15,349
Alumina Ltd.		47,946		90,785
Amcor Ltd.		20,163		242,270
AMP Ltd.		49,816		201,279
Ansell Ltd.		1,872		35,384
APA Group		18,521		120,199
APN Outdoor Group Ltd.		1,777		6,827
ARB Corp. Ltd. (a)		883		12,884
Ardent Leisure Group (a)		5,030		7,859
Aristocrat Leisure Ltd.		10,212		188,183
Asaleo Care Ltd.		5,280		6,167
ASX Ltd.		3,256		139,244
Aurizon Holdings Ltd.		34,659		133,993
Ausdrill Ltd.		4,211		8,641
AusNet Services		35,036		49,405
Austal Ltd.		3,579		5,060
Australia & New Zealand Banking Group Ltd.		51,043		1,140,118
Australian Agricultural Co. Ltd. (a) (b)		5,139		5,215
Australian Pharmaceutical Industries Ltd.		5,010		6,571
Automotive Holdings Group Ltd. (a)		3,138		8,908
Aventus Retail Property Fund Ltd. (a)		3,869		6,764
Aveo Group		5,975		12,449
Bank of Queensland Ltd.		6,674		66,104
Bapcor Ltd.		3,056		13,458
Beach Energy Ltd.		24,369		23,690
Bega Cheese Ltd.		2,436		13,722
Bellamy’s Australia Ltd. (a) (b)		974		7,942
Bendigo & Adelaide Bank Ltd.		7,387		67,123
BHP Billiton Ltd.		56,239		1,294,524
Bingo Industries Ltd. (a) (b)		3,166		6,300
Blackmores Ltd. (a)		178		23,478
Blue Sky Alternative Investments Ltd.		707		8,006
BlueScope Steel Ltd.		9,405		112,707
Boral Ltd.		19,766		119,795
Brambles Ltd.		27,673		216,938
Breville Group Ltd.		1,273		12,508
Brickworks Ltd.		849		9,836

	Number of Shares		Value
BT Investment Management Ltd.		2,692	$	23,630
BWP Trust		30,474		73,379
BWX Ltd. (a)		1,279		7,544
Caltex Australia Ltd.		4,803		127,388
carsales.com Ltd.		2,783		31,376
Cedar Woods Properties Ltd.		890		4,238
Centuria Industrial REIT		2,590		5,122
Challenger Ltd.		11,036		120,547
Charter Hall Group		5,846		27,397
Charter Hall Long Wale REIT		1,688		5,490
Charter Hall Retail REIT		20,453		66,325
CIMIC Group Ltd.		1,524		61,113
Clean TeQ Holdings Ltd. (a) (b)		5,355		6,171
Cleanaway Waste Management Ltd.		28,892		33,654
Coca-Cola Amatil Ltd.		8,632		57,253
Cochlear Ltd.		1,045		139,510
Collins Foods Ltd.		1,360		5,777
Commonwealth Bank of Australia		30,443		1,902,682
Computershare Ltd.		8,437		107,231
Corporate Travel Management Ltd.		1,032		16,767
Costa Group Holdings Ltd.		3,500		17,988
Credit Corp. Group Ltd. (a)		573		9,966
Cromwell Property Group		87,258		68,712
Crown Resorts Ltd.		5,734		58,214
CSL Ltd.		7,987		879,061
CSR Ltd.		6,196		22,962
Dexus		64,756		491,778
Domain Holdings Australia Ltd. (b)		2,820		7,547
Domino’s Pizza Enterprises Ltd.		865		31,509
Donaco International Ltd.		4,299		1,203
Downer EDI Ltd.		7,436		40,089
DuluxGroup Ltd.		5,382		32,087
Eclipx Group Ltd.		3,072		9,664
Estia Health Ltd.		3,448		9,379
Evolution Mining Ltd.		14,904		30,734
Fairfax Media Ltd.		28,203		17,097
FlexiGroup Ltd		3,856		5,170
Flight Centre Travel Group Ltd. (a)		1,043		35,970
Folkestone Education Trust		2,789		6,269
Fortescue Metals Group Ltd. (a)		27,755		105,468
Freedom Foods Group Ltd. (a)		1,459		5,888
G8 Education Ltd.		5,711		15,098
Galaxy Resources Ltd. (a) (b)		5,396		16,009
Gateway Lifestyle		3,935		6,682
GDI Property Group		6,828		6,657
Genworth Mortgage Insurance Australia Ltd.		3,454		8,069
Goodman Group		113,471		743,817
The GPT Group		117,790		468,914
GrainCorp Ltd. Class A		2,990		19,044
Greencross Ltd. (a)		1,195		5,857

The accompanying notes are an integral part of the portfolio of investments.

186

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Growthpoint Properties Australia Ltd. (a)		3,455	$	9,205
GUD Holdings Ltd.		1,184		11,236
GWA Group Ltd.		2,706		6,004
Hansen Technologies Ltd.		1,828		5,627
Harvey Norman Holdings Ltd. (a)		10,349		33,606
Healthscope Ltd.		37,207		60,885
HT&E Ltd. (a)		3,234		4,740
IDP Education Ltd.		1,685		8,087
Iluka Resources Ltd.		5,634		44,660
Incitec Pivot Ltd.		29,492		89,672
Independence Group NL		6,645		24,619
Infigen Energy (b)		8,743		4,697
Inghams Group Ltd. (a)		1,865		4,971
Insurance Australia Group Ltd.		41,617		234,661
Investa Office Fund		32,792		116,329
InvoCare Ltd.		1,490		18,684
IOOF Holdings Ltd.		3,803		31,738
IPH Ltd.		1,302		5,583
IRESS Ltd. (a)		1,710		15,427
Japara Healthcare Ltd.		3,421		5,228
JB Hi-Fi Ltd. (a)		1,455		28,272
Karoon Gas Australia Ltd. (a) (b)		3,227		3,294
LendLease Group		10,371		132,073
Link Administration Holdings Ltd.		6,316		41,452
Lynas Corp. Ltd. (b)		6,788		11,529
Macquarie Atlas Roads Group		7,450		36,449
Macquarie Group Ltd.		5,807		450,214
Magellan Financial Group Ltd.		1,598		33,575
Mantra Group Ltd.		3,990		12,143
Mayne Pharma Group Ltd. (a) (b)		14,643		7,916
McMillan Shakespeare Ltd.		971		13,097
Medibank Pvt. Ltd.		49,244		126,286
Mesoblast Ltd. (a) (b)		3,817		4,337
Metcash Ltd. (a)		12,529		30,427
Michael Hill International Ltd.		3,081		2,956
Mineral Resources Ltd.		1,852		30,483
Mirvac Group		240,793		440,229
Monadelphous Group Ltd.		1,272		17,194
Myer Holdings Ltd. (a)		9,968		5,110
MYOB Group Ltd.		4,670		13,176
Nanosonics Ltd. (b)		3,160		6,824
National Australia Bank Ltd.		47,628		1,095,637
Navitas Ltd.		3,155		13,369
New South Resources Ltd. (a) (b)		4,981		5,962
Newcrest Mining Ltd.		13,631		242,193
NEXTDC Ltd. (b)		3,990		18,656
Nine Entertainment Co. Holdings Ltd. (a)		8,173		9,782
Northern Star Resources Ltd.		8,011		37,941
Nufarm Ltd.		2,730		18,566
OFX Group Ltd. (a)		3,237		3,591
oOh!media Ltd. (a)		1,390		4,891

	Number of Shares		Value
Orica Ltd.		5,801	$	81,862
Origin Energy Ltd. (b)		30,016		220,751
Orocobre Ltd. (b)		2,558		13,818
Orora Ltd.		16,159		42,704
OZ Minerals Ltd.		4,008		28,590
Pact Group Holdings Ltd.		2,295		10,151
Perpetual Ltd.		596		22,427
Pilbara Minerals Ltd. (a) (b)		18,573		16,059
Platinum Asset Management Ltd.		2,953		17,720
Premier Investments Ltd. (a)		1,173		13,577
Primary Health Care Ltd.		5,295		14,916
Pro Medicus Ltd.		587		3,983
QBE Insurance Group Ltd.		23,199		193,062
Qube Holdings Ltd. (a)		19,254		38,868
Quintis Ltd. (a) (b) (c)		4,682		1,078
Ramsay Health Care Ltd.		2,704		147,697
RCR Tomlinson Ltd.		2,061		6,420
REA Group Ltd. (a)		1,040		62,092
Regis Healthcare Ltd.		1,825		5,006
Regis Resources Ltd.		6,031		20,195
Reliance Worldwide Corp. Ltd. (a)		6,177		18,722
Resolute Mining Ltd.		10,670		9,457
Retail Food Group Ltd. (a)		2,219		4,277
Rio Tinto Ltd.		7,625		449,998
Sandfire Resources NL		2,072		11,132
Santos Ltd. (b)		34,174		144,923
Saracen Mineral Holdings Ltd. (b)		10,273		13,514
Scentre Group		333,742		1,089,139
SEEK Ltd.		5,178		76,645
Select Harvests Ltd. (a)		1,006		3,699
Seven Group Holdings Ltd.		1,457		17,333
Seven West Media Ltd.		12,381		5,927
SG Fleet Group Ltd.		1,571		4,972
Shopping Centres Australasia Property Group		46,288		84,009
Sigma Healthcare Ltd. (a)		11,397		8,796
Sims Metal Management Ltd.		2,120		26,005
Sirtex Medical Ltd.		670		8,616
SmartGroup Corp. Ltd.		983		8,318
Sonic Healthcare Ltd.		7,341		130,712
South32 Ltd.		95,152		258,706
Southern Cross Media Group Ltd.		11,970		11,047
Spark Infrastructure Group		21,628		42,295
SpeedCast International Ltd.		3,147		13,138
St Barbara Ltd.		7,192		21,379
The Star Entertainment Grp Ltd.		9,948		47,034
Steadfast Group Ltd.		9,462		20,795
Stockland		154,472		540,307
Suncorp Group Ltd.		22,435		241,968
Super Retail Group Ltd. (a)		1,773		11,412
Sydney Airport		19,880		109,040
Syrah Resources Ltd. (a) (b)		3,529		12,385
Tabcorp Holdings Ltd.		33,052		143,763

The accompanying notes are an integral part of the portfolio of investments.

187

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Tassal Group Ltd. (a)		1,689	$	4,943
Technology One Ltd.		2,931		11,311
Telstra Corp. Ltd.		70,577		199,789
Tox Free Solutions Ltd.		2,174		5,857
TPG Telecom Ltd. (a)		4,420		22,649
Transurban Group		39,611		383,404
Treasury Wine Estates Ltd.		13,684		170,204
Tronox Ltd. Class A		2,161		44,322
Vicinity Centres (a)		212,721		451,962
Village Roadshow Ltd. (a) (b)		1,203		3,643
Virtus Health Ltd.		1,115		4,569
Viva Energy REIT		6,996		12,331
Vocus Group Ltd. (a)		6,976		16,469
Washington H Soul Pattinson & Co. Ltd.		1,449		20,077
Webjet Ltd. (a)		1,324		10,777
Wesfarmers Ltd.		20,177		698,761
Western Areas Ltd. (a)		3,338		8,458
Westfield Corp.		124,799		924,796
Westgold Resources Ltd. (a) (b)		2,464		3,406
Westpac Banking Corp.		59,050		1,441,284
Whitehaven Coal Ltd.		7,025		24,584
WiseTech Global Ltd.		1,068		11,780
Woodside Petroleum Ltd.		14,961		386,677
Woolworths Group Ltd.		22,534		479,635
WorleyParsons Ltd. (b)		2,920		32,625
WPP AUNZ Ltd. (a)		4,721		3,387
				24,326,073
Austria — 0.1%
ams AG		834		75,574
ANDRITZ AG		1,285		72,562
Austria Technologie & Systemtechnik AG		368		10,332
BUWOG AG		6,431		221,371
CA Immobilien Anlagen AG		4,153		128,236
DO & Co. AG		87		4,928
Erste Group Bank AG		5,132		221,318
EVN AG		423		8,473
FACC AG (b)		345		7,157
IMMOFINANZ AG		11,104		28,480
Kapsch TrafficCom AG		75		4,496
Lenzing AG		169		21,332
Oesterreichische Post AG		405		18,177
OMV AG		2,517		159,467
POLYTEC Holding AG		196		4,368
Porr Ag		111		3,707
Raiffeisen Bank International AG (b)		2,449		88,680
S IMMO AG		679		13,171
S&T AG		477		10,290
Schoeller-Bleckmann Oilfield Equipment AG (b)		153		15,607
Semperit AG Holding		156		4,136

	Number of Shares		Value
Telekom Austria AG		2,189	$	20,292
UNIQA Insurance Group AG		1,433		15,160
Vienna Insurance Group AG Wiener Versicherung Gruppe		452		13,959
voestalpine AG		1,916		114,521
Wienerberger AG		1,480		35,774
Zumtobel AG		386		4,630
				1,326,198
Bahamas — 0.0%
Nymox Pharmaceutical Corp. (a) (b)		763		2,518
Belgium — 0.4%
Ablynx NV (a) (b)		884		21,886
Ackermans & van Haaren NV		308		53,634
Aedifica SA		1,059		100,016
Ageas		3,152		153,868
AGFA-Gevaert NV (b)		2,401		11,197
Anheuser-Busch InBev SA/NV		13,385		1,493,001
Barco NV		104		11,128
Befimmo SA		1,202		77,223
Bekaert SA		475		20,765
Biocartis NV (b) (d)		393		5,627
bpost SA		1,322		40,227
Celyad SA (b)		73		3,023
Cie d’Entreprises CFE		111		16,208
Cofinimmo SA		1,253		164,971
Colruyt SA		1,212		63,045
D’ieteren SA/NA		308		13,848
Econocom Group SA		1,591		11,356
Elia System Operator SA		372		21,379
Euronav SA		1,747		16,104
EVS Broadcast Equipment SA		178		6,241
Exmar NV (b)		431		3,336
Fagron (b)		631		8,641
Galapagos NV (b)		570		53,998
Gimv NV		279		16,899
Greenyard Foods (a)		233		5,620
Groupe Bruxelles Lambert SA		1,498		161,555
Intervest Offices & Warehouses NV		804		21,693
Ion Beam Applications (a)		313		8,970
KBC Ancora		453		28,508
KBC Group NV		4,540		386,802
Kinepolis Group NV		212		14,156
Leasinvest Real Estate SCA		89		10,251
Melexis NV		257		25,975
Nyrstar NV (b)		973		7,829
Ontex Group NV		1,083		35,779
Orange Belgium SA		444		9,315
Proximus SADP		2,487		81,630
Recticel SA		392		3,631
Retail Estates NV		212		18,763
Sioen Industries NV		134		4,894
Sofina SA		200		31,459

The accompanying notes are an integral part of the portfolio of investments.

188

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Solvay SA		1,282	$	178,030
Telenet Group Holding NV (b)		1,043		72,614
Tessenderlo Group (b)		339		15,803
UCB SA		2,185		173,149
Umicore SA		3,542		167,375
Van de Velde NV		89		4,738
Warehouses De Pauw CVA		1,010		113,157
Wereldhave Belgium NV		83		9,484
X-Fab Silicon Foundries SE (b) (d)		749		8,596
Xior Student Housing NV		241		11,266
				3,998,663
Bermuda — 0.5%
Aircastle Ltd.		1,243		29,074
Alibaba Health Information Technology Ltd. (b)		44,000		22,200
Alibaba Pictures Group Ltd. (b)		170,000		22,841
Alpha & Omega Semiconductor Ltd. (b)		496		8,115
Arch Capital Group Ltd. (b)		2,459		223,203
Argo Group International Holdings Ltd.		752		46,361
Aspen Insurance Holdings Ltd.		1,227		49,816
Assured Guaranty Ltd.		2,309		78,206
Athene Holding Ltd. Class A (b)		2,170		112,211
Axalta Coating Systems Ltd. (b)		4,316		139,666
Axis Capital Holdings Ltd.		1,669		83,884
Axovant Sciences Ltd. (b)		785		4,137
The Bank of NT Butterfield & Son Ltd.		1,259		45,689
Beijing Enterprises Water Group Ltd.		66,000		51,067
Belmond Ltd. Class A (b)		1,992		24,402
Blue Capital Reinsurance Holdings Ltd.		180		2,169
Borr Drilling Ltd. (b)		4,398		18,500
Brightoil Petroleum Holdings Ltd. (b) (c)		52,000		9,984
Brilliance China Automotive Holdings Ltd.		42,000		111,587
Bunge Ltd.		2,818		189,031
BW LPG Ltd. (a) (b) (d)		1,225		5,764
BW Offshore Ltd. (b)		1,296		5,638
Cafe de Coral Holdings Ltd.		4,000		10,982
Central European Media Enterprises Ltd. Class A (a) (b)		2,203		10,244
China Financial International Investments Ltd. (b)		50,000		1,477
China Gas Holdings Ltd.		24,000		66,206
China Oceanwide International Financial Ltd. (b)		20,000		2,765
China Resources Gas Group Ltd.		12,000		43,354
China Trustful Group Ltd. (b)		8,000		3,460
Chow Sang Sang Holdings International Ltd.		4,000		9,653

	Number of Shares		Value
CK Infrastructure Holdings Ltd.		12,000	$	103,015
CMBC Capital Holdings Ltd.		150,000		10,128
COSCO SHIPPING Ports Ltd.		22,506		23,417
Credicorp Ltd.		957		198,511
CSI Properties Ltd.		100,000		5,178
Digital Domain Holdings Ltd. (b)		160,000		3,552
Emperor Capital Group Ltd.		42,000		3,052
Emperor Entertainment Hotel Ltd.		10,000		2,201
Emperor International Holdings Ltd.		18,000		6,026
Enstar Group Ltd. (b)		266		53,399
Esprit Holdings Ltd. (b)		20,600		11,011
Essent Group Ltd. (b)		2,016		87,535
Everest Re Group Ltd.		813		179,884
Fairwood Holdings Ltd.		1,000		4,094
FDG Kinetic Ltd. (b)		26,000		2,487
First Pacific Co. Ltd.		24,000		16,307
Frontline Ltd. (a)		987		4,580
Frontline Ltd. (a)		2,022		9,281
G-Resources Group Ltd. (b)		336,000		4,176
GasLog Ltd. (a)		1,077		23,963
Genpact Ltd.		3,023		95,950
Giordano International Ltd.		16,000		8,503
Global Brands Group Holding Ltd. (b)		76,000		6,215
Golar LNG Ltd. (a)		2,292		68,325
Golden Ocean Group Ltd. (b)		905		7,346
GOME Retail Holdings Ltd.		165,000		19,849
Good Resources Holdings Ltd. (b)		40,000		1,861
Great Eagle Holdings Ltd.		3,053		16,001
Haier Electronics Group Co. Ltd.		18,000		49,293
Haitong International Securities Group Ltd.		24,584		13,984
Helen of Troy Ltd. (b)		662		63,784
Hiscox Ltd.		3,823		75,353
Hoegh LNG Holdings Ltd.		685		5,429
Hongkong Land Holdings Ltd.		77,100		542,157
Hsin Chong Group Holdings Ltd. (b) (c)		40,000		1,792
Huarong International Financial Holdings Ltd. (b)		12,900		4,174
IHS Markit Ltd. (b)		7,718		348,468
Invesco Ltd.		8,075		295,060
James River Group Holdings Ltd.		588		23,526
Jardine Matheson Holdings Ltd.		3,800		230,716
Jardine Strategic Holdings Ltd.		3,800		150,415
Johnson Electric Holdings Ltd.		5,000		20,957
K Wah International Holdings Ltd.		14,000		7,640
Kerry Logistics Network Ltd.		8,500		12,048
Kerry Properties Ltd.		10,000		44,985
Kingston Financial Group Ltd.		74,000		70,890
Kosmos Energy Ltd. (b)		4,459		30,544
Kunlun Energy Co. Ltd		46,000		47,938
Lancashire Holdings Ltd.		2,300		21,166
Landing International Development Ltd. (b)		967,113		38,198

The accompanying notes are an integral part of the portfolio of investments.

189

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Lazard Ltd. Class A		2,382	$	125,055
Li & Fung Ltd.		92,000		50,442
Luk Fook Holdings International Ltd.		4,000		17,145
Maiden Holdings Ltd.		1,879		12,401
Man Wah Holdings Ltd.		18,800		17,803
Marvell Technology Group Ltd.		8,069		173,241
Nabors Industries Ltd.		5,353		36,561
NewOcean Energy Holdings Ltd. (b)		14,000		3,664
Nine Dragons Paper Holdings Ltd.		24,000		38,449
Noble Group Ltd. (b)		15,380		2,301
Nordic American Tankers Ltd.		2,624		6,455
Norwegian Cruise Line Holdings Ltd. (b)		3,722		198,196
NWS Holdings Ltd.		29,945		53,952
Odfjell Drilling Ltd. (b)		808		3,591
Pacific Basin Shipping Ltd. (b)		47,000		10,165
Petra Diamonds Ltd. (a) (b)		5,406		5,707
RenaissanceRe Holdings Ltd.		811		101,853
Shangri-La Asia Ltd.		24,000		54,253
Ship Finance International Ltd.		1,559		24,164
Signet Jewelers Ltd. (a)		1,215		68,708
Sihuan Pharmaceutical Holdings Group Ltd.		59,000		21,219
Silverlake Axis Ltd.		13,000		5,638
SmarTone Telecommunications Holdings Ltd.		5,500		6,627
Stolt-Nielsen Ltd.		365		4,852
Tai United Holdings Ltd.		20,000		2,591
Textainer Group Holdings Ltd. (b)		711		15,287
Texwinca Holdings Ltd.		10,000		5,504
Third Point Reinsurance Ltd. (b)		2,303		33,739
Town Health International Medical Group Ltd. (c)		62,000		5,476
Travelport Worldwide Ltd.		2,917		38,125
Triton International Ltd.		1,135		42,506
Validus Holdings Ltd.		1,565		73,430
VTech Holdings Ltd.		2,100		27,521
White Mountains Insurance Group Ltd.		71		60,441
XL Group Ltd.		5,045		177,382
Yue Yuen Industrial Holdings Ltd.		16,000		62,783
				6,093,277
Brazil — 0.3%
Ambev SA		65,377		423,733
Atacadao Distribuicao Comercio e Industria Ltda (b)		5,300		24,287
B3 SA — Brasil Bolsa Balcao		29,221		200,307
Banco Bradesco SA		13,040		124,360
Banco do Brasil SA		11,900		113,709
Banco Santander Brasil SA		5,900		57,349
BB Seguridade Participacoes SA		9,900		84,869
BR Malls Participacoes SA		11,055		42,398

	Number of Shares		Value
BRF SA (b)		6,350	$	71,474
CCR SA		16,800		81,602
Centrais Eletricas Brasileiras SA (b)		3,182		18,038
Cia de Saneamento Basico do Estado de Sao Paulo		4,700		48,949
Cia Energetica de Minas Gerais (b)		1,919		3,992
Cia Siderurgica Nacional SA (b)		8,000		19,902
Cielo SA		17,020		120,181
Cosan SA Industria e Comercio		2,300		28,714
EDP — Energias do Brasil SA		3,700		15,569
Empresa SA		8,900		53,066
Engie Brasil Energia SA		2,400		25,613
Equatorial Energia SA		2,800		55,353
Fibria Celulose SA		3,600		52,926
Hypermarcas SA		5,100		55,303
JBS SA		11,700		34,569
Klabin SA		8,300		43,811
Kroton Educacional SA		19,500		107,991
Localiza Rent a Car SA		7,215		47,958
Lojas Renner SA		10,060		107,263
M Dias Branco SA		1,500		23,546
Multiplan Empreendimentos Imobiliarios SA		1,148		24,500
Natura Cosmeticos SA		2,300		22,867
Odontoprev SA		4,100		19,611
Petroleo Brasileiro SA (b)		41,730		213,780
Porto Seguro SA		1,600		17,524
Qualicorp SA		3,200		29,859
Raia Drogasil SA		3,200		88,292
Rumo SA (b)		15,400		59,963
Sul America SA		2,697		15,147
Suzano Papel e Celulose SA		5,900		33,243
TIM Participacoes SA		12,400		47,992
Transmissora Alianca de Energia Eletrica SA		2,800		17,965
Ultrapar Participacoes SA		5,100		115,547
Vale SA		44,690		544,705
WEG SA		8,000		58,005
				3,395,832
British Virgin Islands — 0.0%
AquaVenture Holdings Ltd. (b)		237		3,678
Biohaven Pharmaceutical Holding Co. Ltd. (a) (b)		267		7,204
				10,882
Canada — 2.7%
Advantage Oil & Gas Ltd. (b)		2,700		11,599
Aecon Group, Inc.		800		12,691
Ag Growth International, Inc.		200		8,487
AGF Management Ltd.		579		3,768
Agnico Eagle Mines Ltd.		3,999		184,648
Agrium, Inc.		2,475		284,674
AGT Food & Ingredients, Inc. (a)		300		4,799

The accompanying notes are an integral part of the portfolio of investments.

190

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Aimia, Inc.		1,518	$	4,517
Alacer Gold Corp. (a) (b)		3,600		6,387
Alamos Gold, Inc. Class A		4,907		31,972
Alaris Royalty Corp.		500		8,222
Algonquin Power & Utilities Corp. (a)		5,590		62,526
Alimentation Couche-Tard, Inc. Class B		7,521		392,444
Allied Properties REIT		4,909		164,336
AltaGas Ltd. (a)		3,413		77,709
Altius Minerals Corp.		600		7,136
Altus Group Ltd.		452		13,279
Aphria, Inc. (a) (b)		1,644		24,457
ARC Resources Ltd. (a)		5,581		65,489
Aritzia, Inc. (a) (b)		800		8,076
Arizona Mining, Inc. (a) (b)		2,309		6,356
Artis REIT		7,753		86,967
Atco Ltd. Class I		1,500		53,699
Athabasca Oil Corp. (b)		5,700		4,852
Atlantic Power Corp. (b)		2,551		5,995
Atlantic Power Corp. (b)		1,700		4,044
ATS Automation Tooling Systems, Inc. (b)		1,100		13,608
Aurinia Pharmaceuticals, Inc. (b)		691		3,144
Aurora Cannabis, Inc. (a) (b)		4,385		33,489
AutoCanada, Inc.		245		4,413
Avigilon Corp. (b)		500		8,389
B2Gold Corp. (b)		12,786		39,467
Badger Daylighting Ltd. (a)		424		9,168
Ballard Power Systems, Inc. (a) (b)		2,105		9,311
Bank of Montreal		11,274		902,189
The Bank of Nova Scotia		20,964		1,352,903
Barrick Gold Corp.		20,995		303,651
Baytex Energy Corp. (b)		2,880		8,638
BCE, Inc.		2,857		137,236
Birchcliff Energy Ltd.		2,581		9,035
Bird Construction, Inc.		600		4,840
BlackBerry Ltd. (b)		8,477		94,683
Boardwalk REIT		2,067		70,857
Bombardier, Inc. Class B (b)		37,800		91,117
Bonavista Energy Corp.		4,000		7,160
Bonterra Energy Corp.		400		4,869
Boralex, Inc.		774		14,470
Brookfield Asset Management, Inc. Class A		15,016		653,680
BRP, Inc.		504		18,648
CAE, Inc.		4,648		86,341
Cameco Corp. (a)		6,762		62,456
Canaccord Genuity Group, Inc.		1,400		6,460
Canacol Energy Ltd. (a) (b)		1,800		6,430
Canada Goose Holdings, Inc. (b)		477		15,069
Canadian Apartment Properties REIT		7,039		208,986
Canadian Imperial Bank of Commerce		7,675		748,206
Canadian National Railway Co.		13,213		1,089,521

	Number of Shares		Value
Canadian Natural Resources Ltd.		19,249	$	687,880
Canadian Pacific Railway Ltd.		2,560		467,724
Canadian REIT		3,861		142,215
Canadian Tire Corp. Ltd. Class A		1,131		147,471
Canadian Utilities Ltd. Class A		2,017		60,029
Canadian Western Bank		1,083		33,817
Canfor Corp. (b)		1,000		19,714
Canfor Pulp Products, Inc.		500		5,310
Canopy Growth Corp. (a) (b)		2,140		50,631
Capital Power Corp. (a)		1,292		25,172
Cara Operations Ltd.		197		4,068
Cardinal Energy Ltd.		1,101		4,458
Cascades, Inc.		900		9,752
CCL Industries, Inc. Class B		2,545		117,592
Celestica, Inc. (b)		1,466		15,371
Cenovus Energy, Inc.		19,335		176,584
Centerra Gold, Inc. (b)		2,875		14,729
CES Energy Solutions Corp.		3,206		16,655
CGI Group, Inc. Class A (b)		3,568		193,870
Chartwell Retirement Residences		8,851		114,493
China Gold International Resources Corp. Ltd. (b)		3,500		6,543
Choice Properties REIT		600		6,372
Chorus Aviation, Inc. (a)		600		4,606
CI Financial Corp. (a)		4,406		104,349
Cineplex, Inc.		868		25,778
Clearwater Seafoods, Inc.		400		2,333
Cogeco Communications, Inc.		241		16,580
Cogeco, Inc.		100		7,200
Colliers International Group, Inc.		452		27,282
Cominar REIT		9,518		109,037
Computer Modelling Group Ltd.		1,100		8,401
Constellation Software, Inc.		344		208,540
Corby Spirit and Wine Ltd.		200		3,677
Corus Entertainment, Inc. Class B		1,482		13,794
Cott Corp.		1,730		28,875
Crescent Point Energy Corp.		9,572		72,951
Crew Energy, Inc. (b)		2,219		5,561
Crombie REIT		4,933		54,157
CT REIT		400		4,614
The Descartes Systems Group, Inc. (b)		993		28,234
Detour Gold Corp. (b)		2,233		26,256
DIRTT Environmental Solutions (b)		1,200		6,434
Dollarama, Inc.		1,890		236,137
Dorel Industries, Inc. Class B		400		9,897
Dream Global REIT		8,791		85,462
Dream Industrial REIT		500		3,500
Dream Office REIT		4,177		73,637
DREAM Unlimited Corp. (b)		800		4,939
ECN Capital Corp. (a)		5,546		17,339
Eldorado Gold Corp.		10,900		15,782
Element Fleet Management Corp. (a)		8,116		61,338
Emera, Inc.		1,100		41,112

The accompanying notes are an integral part of the portfolio of investments.

191

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Empire Co. Ltd.		2,800	$	54,552
Enbridge Income Fund Holdings, Inc.		1,778		42,166
Enbridge, Inc.		28,945		1,132,010
EnCana Corp.		16,976		226,482
Endeavour Silver Corp. (b)		1,900		4,565
Enercare, Inc.		1,351		22,044
Enerflex Ltd.		1,098		13,400
Enerplus Corp.		3,072		30,085
Enghouse Systems Ltd.		206		10,077
Ensign Energy Services, Inc.		1,379		7,098
Entertainment One Ltd.		4,730		20,713
Equitable Group, Inc.		170		9,670
Evertz Technologies Ltd.		400		5,792
Exco Technologies Ltd.		400		3,227
Extendicare, Inc.		1,200		8,735
Fairfax Financial Holdings Ltd.		511		272,102
Fiera Capital Corp.		439		4,540
Finning International, Inc.		2,686		67,780
First Capital Realty, Inc.		9,282		153,002
First Majestic Silver Corp. (a) (b)		2,021		13,634
First National Financial Corp. (a)		200		4,582
First Quantum Minerals Ltd.		11,671		163,505
FirstService Corp.		435		30,429
Fortis, Inc.		7,092		260,153
Fortuna Silver Mines, Inc. (b)		2,400		12,525
Franco-Nevada Corp.		3,183		254,387
Freehold Royalties Ltd.		1,300		14,531
Genworth MI Canada, Inc. (a)		509		17,615
George Weston Ltd.		900		78,157
Gibson Energy, Inc. (a)		1,859		26,887
Gildan Activewear, Inc.		3,761		121,507
Gluskin Sheff + Associates, Inc. (a)		400		5,298
Goldcorp, Inc.		14,847		189,338
Granite REIT		2,455		96,188
Great Canadian Gaming Corp. (b)		633		17,016
Great-West Lifeco, Inc.		5,042		140,791
Guyana Goldfields, Inc. (b)		2,545		10,285
H&R REIT		16,350		277,833
High Liner Foods, Inc.		300		3,539
Home Capital Group, Inc. (a)		858		11,815
Hudbay Minerals, Inc.		3,458		30,619
Hudson’s Bay Co. (a)		1,000		8,974
Husky Energy, Inc. (b)		5,410		76,394
Hydro One Ltd. (d)		4,761		84,842
IAMGOLD Corp. (b)		5,779		33,699
IGM Financial, Inc. (a)		1,239		43,518
IMAX Corp. (b)		1,454		33,660
Imperial Oil Ltd.		5,112		159,542
Industrial Alliance Insurance & Financial Services, Inc.		1,710		81,378
Innergex Renewable Energy, Inc. (a)		1,400		16,038
Intact Financial Corp.		2,526		210,982
Inter Pipeline Ltd.		6,385		132,221

	Number of Shares		Value
Interfor Corp. (b)		812	$	13,643
InterRent REIT		600		4,358
Intertape Polymer Group, Inc.		800		13,677
Ivanhoe Mines Ltd. (a) (b)		8,091		27,292
Jamieson Wellness, Inc.		471		8,371
The Jean Coutu Group PJC, Inc. Class A		1,400		27,198
Just Energy Group, Inc.		1,400		6,014
Kelt Exploration Ltd. (b)		2,100		12,012
Keyera Corp.		3,335		93,974
Killam Apartment REIT		4,587		51,891
Kinaxis, Inc. (b)		300		18,327
Kinder Morgan Canada Ltd. (d)		1,342		18,160
Kinross Gold Corp. (b)		19,838		85,539
Kirkland Lake Gold Ltd.		2,348		35,995
Klondex Mines Ltd. (a) (b)		2,500		6,484
Klondex Mines Ltd. (a) (b)		4,606		12,022
Knight Therapeutics, Inc. (b)		1,309		8,654
Labrador Iron Ore Royalty Corp.		755		16,337
Laurentian Bank of Canada		500		22,486
Linamar Corp.		900		52,418
Lions Gate Entertainment Corp. Class A (a) (b)		1,085		36,684
Lions Gate Entertainment Corp. Class B (b)		2,047		64,972
Lithium Americas Corp. (a) (b)		765		6,804
Loblaw Cos. Ltd.		3,869		209,979
Lucara Diamond Corp.		4,100		9,165
Lundin Gold, Inc. (a) (b)		1,300		4,685
Lundin Mining Corp.		12,083		80,361
MAG Silver Corp. (b)		835		10,310
Magellan Aerospace Corp.		200		3,343
Magna International, Inc.		6,131		347,472
Major Drilling Group International, Inc. (b)		1,200		6,740
Manulife Financial Corp.		35,329		736,934
Maple Leaf Foods, Inc.		1,180		33,626
Martinrea International, Inc.		1,200		15,313
Masonite International Corp. (b)		703		52,127
Maxar Technologies Ltd.		755		48,603
MDC Partners, Inc. Class A (b)		1,448		14,118
Medical Facilities Corp. (a)		400		4,528
MedReleaf Corp. (b)		419		7,080
MEG Energy Corp. (b)		3,200		13,085
Methanex Corp.		1,408		85,309
Metro, Inc.		3,766		120,590
Morguard REIT		400		4,391
Morneau Shepell, Inc.		655		11,620
MTY Food Group, Inc.		200		8,926
Mullen Group Ltd. (a)		1,400		17,531
National Bank of Canada		5,980		298,382
Nemaska Lithium, Inc. (a) (b)		4,401		8,228
Nevsun Resources Ltd.		4,407		10,728
New Flyer Industries, Inc.		704		30,243

The accompanying notes are an integral part of the portfolio of investments.

192

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
New Gold, Inc. (b)		7,194	$	23,637
NexGen Energy Ltd. (b)		4,300		10,981
Norbord, Inc.		600		20,310
The North West Co., Inc.		700		16,745
Northern Dynasty Minerals Ltd. (a) (b)		3,657		6,517
Northland Power, Inc. (a)		1,490		27,678
Northview Apartment REIT		2,767		55,010
NorthWest Healthcare Properties REIT		500		4,523
Novagold Resources, Inc. (b)		2,924		11,491
Novanta, Inc. (b)		839		41,950
Novelion Therapeutics, Inc. (b)		391		1,220
NuVista Energy Ltd. (b)		1,998		12,748
Obsidian Energy Ltd. (b)		6,500		8,067
OceanaGold Corp.		7,467		19,187
Onex Corp.		1,467		107,592
Open Text Corp.		4,934		175,497
Osisko Gold Royalties Ltd.		1,415		16,345
Osisko Mining, Inc. (b)		2,400		6,473
Painted Pony Energy Ltd. (a) (b)		2,012		4,274
Pan American Silver Corp.		1,962		30,562
Paramount Resources Ltd. Class A (b)		894		13,812
Parex Resources, Inc. (b)		1,878		27,132
Parkland Fuel Corp.		1,605		34,283
Pason Systems, Inc.		906		13,111
Pembina Pipeline Corp.		9,168		331,930
Pengrowth Energy Corp. (a) (b)		6,400		5,091
Peyto Exploration & Development Corp. (a)		2,169		25,935
Potash Corp. of Saskatchewan, Inc.		14,537		298,141
Power Corp. of Canada		6,064		156,159
Power Financial Corp.		4,118		113,155
PrairieSky Royalty Ltd. (a)		3,413		87,049
Precision Drilling Corp. (b)		4,185		12,685
Premier Gold Mines Ltd. (b)		2,300		6,587
Premium Brands Holdings Corp.		342		28,067
Pretium Resources, Inc. (b)		2,014		22,976
ProMetic Life Sciences, Inc. (a) (b)		9,700		10,032
Pure Industrial Real Estate Trust		15,364		82,748
Quebecor, Inc.		2,188		41,253
Raging River Exploration, Inc. (b)		2,566		16,331
Restaurant Brands International, Inc.		3,927		241,400
RioCan REIT		18,508		358,675
Ritchie Bros Auctioneers, Inc.		1,406		42,102
Rogers Communications, Inc. Class B		6,407		326,466
Rogers Sugar, Inc.		1,200		6,033
Royal Bank of Canada		25,556		2,086,972
Russel Metals, Inc.		815		18,913
Sandstorm Gold Ltd. (a) (b)		2,700		13,489
Saputo, Inc.		3,512		126,231
Savaria Corp.		287		4,160
Seabridge Gold, Inc. (a) (b)		500		5,676
Secure Energy Services, Inc.		1,908		13,297
SEMAFO, Inc. (b)		3,697		10,500

	Number of Shares		Value
Seven Generations Energy Ltd. Class A (b)		4,202	$	59,436
Shaw Communications, Inc. Class B		7,421		169,378
ShawCor Ltd.		904		19,720
Shopify, Inc. Class A (b)		1,463		147,941
Sienna Senior Living, Inc.		700		10,146
Sierra Wireless, Inc. (b)		357		7,299
Silvercorp Metals, Inc. (a)		2,500		6,523
Sleep Country Canada Holdings, Inc. (d)		500		13,286
SmartCentres REIT		6,523		160,402
SNC-Lavalin Group, Inc.		3,121		141,649
Spartan Energy Corp. (b)		2,366		13,533
Spin Master Corp. (b) (d)		284		12,205
Sprott, Inc.		2,300		4,465
SSR Mining, Inc. (b)		1,492		13,140
Stantec, Inc.		1,410		39,440
The Stars Group, Inc. (b)		1,599		37,208
Stella-Jones, Inc.		598		24,025
Stornoway Diamond Corp. (a) (b)		5,800		3,045
Student Transportation, Inc. (a)		1,223		7,531
Sun Life Financial, Inc.		10,587		436,956
Suncor Energy, Inc.		28,797		1,057,265
Superior Plus Corp.		1,690		15,959
Surge Energy, Inc. (a)		3,100		5,154
Tahoe Resources, Inc.		6,346		30,397
Tahoe Resources, Inc.		3,788		18,172
Tamarack Valley Energy Ltd. (b)		2,000		4,551
Taseko Mines Ltd. (b)		2,961		6,925
Teck Resources Ltd. Class B		9,743		254,775
Telus Corp.		3,187		120,736
TFI International, Inc. (a)		1,140		29,801
Thomson Reuters Corp.		4,948		215,673
Timbercreek Financial Corp.		1,000		7,653
TMAC Resources, Inc. (a) (b)		500		3,842
TMX Group Ltd.		524		29,364
TORC Oil & Gas Ltd.		1,968		11,805
Torex Gold Resources, Inc. (b)		1,100		10,440
Toromont Industries Ltd.		1,009		44,229
The Toronto-Dominion Bank		32,300		1,892,518
Total Energy Services, Inc.		461		5,450
Tourmaline Oil Corp. (b)		4,524		81,986
TransAlta Corp.		3,900		23,115
TransAlta Renewables, Inc.		1,500		15,978
TransCanada Corp.		15,389		749,005
Transcontinental, Inc. Class A		750		14,821
Trevali Mining Corp. (b)		8,413		10,173
Trican Well Service Ltd. (b)		4,510		14,639
Tricon Capital Group, Inc.		1,666		15,308
Trinidad Drilling Ltd. (a) (b)		4,800		6,492
Turquoise Hill Resources Ltd. (b)		20,700		70,647
Ultra Petroleum Corp. (b)		5,093		46,143
Uni-Select, Inc.		459		10,374

The accompanying notes are an integral part of the portfolio of investments.

193

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Uranium Participation Corp. (b)		1,800	$	6,057
Valeant Pharmaceuticals International, Inc. (b)		5,297		110,407
Valener, Inc.		600		10,840
VBI Vaccines, Inc. (b)		591		2,524
Vermilion Energy, Inc. (a)		2,289		83,183
Wajax Corp.		300		5,888
West Fraser Timber Co. Ltd.		1,300		80,224
Western Forest Products, Inc.		5,500		10,720
WestJet Airlines Ltd.		400		8,388
Westshore Terminals Investment Corp.		726		15,184
Wheaton Precious Metals Corp.		7,631		168,708
Whitecap Resources, Inc.		4,864		34,632
Winpak Ltd.		407		15,153
WPT Industrial REIT		300		3,816
WSP Global, Inc. (a)		1,167		55,620
XBiotech, Inc. (a) (b)		590		2,325
Yamana Gold, Inc. (a)		12,597		39,284
				30,757,335
Cayman Islands — 1.4%
3SBio, Inc. (b) (d)		13,500		26,464
58.com, Inc. ADR (a) (b)		1,300		93,041
AAC Technologies Holdings, Inc.		10,500		186,737
Agile Group Holdings Ltd.		22,000		33,385
Airtac International Group		2,000		35,864
Alibaba Group Holding Ltd. Sponsored ADR (b)		16,151		2,784,917
Ambarella, Inc. (b)		828		48,645
ANTA Sports Products Ltd.		15,000		68,042
ASM Pacific Technology Ltd.		4,500		62,591
Atlas Financial Holdings, Inc. (b)		281		5,775
Autohome, Inc. ADR (b)		700		45,269
Baidu, Inc. Sponsored ADR (b)		3,843		900,069
Bright Smart Securities & Commodities Group Ltd.		6,000		1,828
Camsing International Holding Ltd. (b)		6,000		5,053
Chailease Holding Co. Ltd.		18,000		52,323
China Conch Venture Holdings Ltd.		23,000		53,201
China Evergrande Group (b)		46,000		157,545
China Huishan Dairy Holdings Co. Ltd. (b) (c)		44,000		2,365
China LNG Group Ltd. (b)		28,000		4,580
China Medical System Holdings Ltd.		19,000		44,282
China Mengniu Dairy Co. Ltd.		39,000		115,953
China Resources Land Ltd.		38,000		111,602
China State Construction International Holdings Ltd.		29,250		40,806
CK Asset Holdings Ltd.		173,500		1,516,547
CK Hutchison Holdings Ltd.		48,000		602,639
CK Life Sciences Int’l Holdings, Inc.		42,000		3,226

	Number of Shares		Value
Consolidated Water Co. Ltd.		419	$	5,279
Convoy Global Holdings Ltd. (b) (c)		42,000		898
Country Garden Holdings Co. Ltd.		75,000		142,507
Ctrip.com International Ltd. ADR (b)		5,505		242,771
Endeavour Mining Corp. (b)		875		17,841
ENN Energy Holdings Ltd.		10,000		70,949
Fabrinet (b)		947		27,179
Far East Consortium International Ltd.		15,728		9,458
FIH Mobile Ltd.		39,000		11,880
Freeman FinTech Corp. Ltd. (b)		100,000		6,653
Fresh Del Monte Produce, Inc.		757		36,086
Fullshare Holdings Ltd.		98,000		45,138
GCL-Poly Energy Holdings Ltd. (b)		186,000		33,135
Geely Automobile Holdings Ltd.		69,000		236,754
General Interface Solution Holding Ltd.		3,000		20,023
Global Indemnity Ltd. (b)		195		8,194
Goodbaby International Holdings Ltd.		11,000		6,040
Greenlight Capital Re Ltd. Class A (b)		817		16,422
Haitian International Holdings Ltd.		9,000		27,067
Health and Happiness H&H International Holdings Ltd. (b)		2,500		16,592
Hengan International Group Co. Ltd.		10,000		110,994
Herbalife Ltd. (a) (b)		1,292		87,494
HKBN Ltd.		13,500		17,072
Hutchison Telecommunications Hong Kong Holdings Ltd.		20,000		8,025
Ichor Holdings Ltd. (b)		468		11,513
JD.com, Inc. ADR (b)		9,224		382,058
Kingboard Chemical Holdings Ltd.		9,000		48,565
Kingsoft Corp. Ltd.		11,000		36,489
Lee & Man Paper Manufacturing Ltd.		22,000		26,013
Leyou Technologies Holdings Ltd. (b)		15,000		3,417
Longfor Properties Co. Ltd.		21,500		53,871
Macau Legend Development Ltd. (b)		26,000		3,871
Meitu, Inc. (b) (d)		18,000		25,043
Melco Resorts & Entertainment Ltd. ADR		4,360		126,614
MGM China Holdings Ltd.		20,400		61,707
Microport Scientific Corp.		5,015		4,846
Minth Group Ltd.		14,000		84,248
Momo, Inc. Sponsored ADR (b)		1,500		36,720
Nameson Holdings Ltd.		10,000		4,033
Neo Telemedia Ltd.		68,000		2,089
NetEase, Inc. ADR		1,110		383,028
New Oriental Education & Technology Group, Inc. Sponsored ADR		1,900		178,600
Nexteer Automotive Group Ltd.		12,000		28,540
O Luxe Holdings Ltd. (b)		24,000		4,917
OP Financial Investments Ltd.		22,298		7,878
Pacific Textiles Holdings Ltd.		10,000		10,558
Phoenix Group Holdings		4,772		50,178
Regina Miracle International Holdings Ltd. (d)		5,000		4,934

The accompanying notes are an integral part of the portfolio of investments.

194

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
SA SA International Holdings Ltd.		16,467	$	6,338
Sands China Ltd.		42,800		220,286
Semiconductor Manufacturing International Corp. (b)		38,700		66,733
Shenzhou International Group Holdings Ltd.		11,000		104,480
Shimao Property Holdings Ltd.		15,500		33,718
SINA Corp. (b)		800		80,248
Sino Biopharmaceutical Ltd.		61,000		107,948
SITC International Holdings Co. Ltd.		19,000		18,775
SMART Global Holdings, Inc. (b)		145		4,887
SOHO China Ltd.		26,000		15,206
Sunac China Holdings Ltd.		29,000		119,541
SUNeVision Holdings Ltd.		11,000		8,303
Sunny Optical Technology Group Co. Ltd.		9,798		124,115
TAL Education Group Sponsored ADR		4,005		118,989
Tencent Holdings Ltd.		79,877		4,129,240
Theravance Biopharma, Inc. (a) (b)		1,095		30,540
Tingyi Cayman Islands Holding Corp.		28,000		54,424
The United Laboratories International Holdings Ltd. (b)		8,000		6,502
Value Partners Group Ltd.		12,000		12,699
Vipshop Holdings Ltd. ADR (b)		5,700		66,804
Vision Fame International Holding Ltd. (b)		42,000		1,637
VSTECS Holdings Ltd.		10,000		6,168
Want Want China Holdings Ltd.		71,000		59,404
Weibo Corp. Sponsored ADR (a) (b)		665		68,801
WH Group Ltd. (d)		147,037		165,740
Wharf Real Estate Investment Co. Ltd. (b)		78,612		523,218
Wynn Macau Ltd.		25,600		80,656
Xinyi Glass Holdings Co. Ltd.		22,000		28,661
YY, Inc. ADR (a) (b)		600		67,836
Zhen Ding Technology Holding Ltd.		6,000		13,191
				16,132,018
Chile — 0.1%
AES Gener SA		45,565		14,956
Aguas Andinas SA Class A		41,816		27,452
Banco de Chile		341,814		54,877
Banco de Credito e Inversiones		617		42,510
Banco Santander Chile		887,916		69,400
Cencosud SA		19,977		58,756
Cia Cervecerias Unidas SA		1,995		29,857
Colbun SA		117,395		26,422
Empresa Nacional de Telecomunicaciones SA		2,168		24,379
Empresas CMPC SA		17,291		59,001
Empresas COPEC SA		6,411		101,572

	Number of Shares		Value
Enel Americas SA		393,779	$	87,663
Enel Chile SA		255,901		30,351
Enel Generacion Chile SA		44,217		40,092
Itau CorpBanca		2,123,668		19,325
Latam Airlines Group SA		4,168		58,822
SACI Falabella		9,975		99,604
				845,039
China — 0.6%
Agricultural Bank of China Ltd. Class H		365,000		169,858
Air China Ltd. Class H		24,000		29,063
Aluminum Corp. of China Ltd. Class H (b)		56,000		40,117
Anhui Conch Cement Co. Ltd. Class H		17,000		79,949
AviChina Industry & Technology Co. Ltd. Class H		32,000		17,024
Bank of China Ltd. Class H		1,109,149		544,268
Bank of Communications Co. Ltd. Class H		121,000		89,697
Beijing Capital International Airport Co. Ltd. Class H		22,000		33,092
BYD Co. Ltd. Class H		9,000		78,113
CGN Power Co. Ltd. Class H (d)		144,000		38,990
China Cinda Asset Management Co. Ltd. Class H		120,000		43,922
China CITIC Bank Class H		128,000		80,155
China Communications Construction Co. Ltd. Class H		64,000		72,675
China Communications Services Corp. Ltd. Class H		34,000		22,741
China Construction Bank Corp. Class H		1,180,198		1,085,575
China Everbright Bank Co. Ltd. Class H		42,000		19,588
China Galaxy Securities Co. Ltd. Class H		46,500		34,276
China Huarong Asset Management Co. Ltd. (d)		138,798		65,370
China Life Insurance Co. Ltd. Class H		104,000		324,661
China Longyuan Power Group Corp. Class H		42,000		29,855
China Merchants Bank Co. Ltd. Class H		55,000		218,867
China Molybdenum Co. Ltd. Class H		51,000		32,566
China National Building Material Co. Ltd. Class H		42,000		37,389
China Oilfield Services Ltd. Class H		26,000		25,316
China Pacific Insurance Group Co. Ltd. Class H		37,400		178,876
China Petroleum & Chemical Corp. Class H		360,000		263,776
China Railway Construction Corp. Ltd. Class H		26,500		30,702

The accompanying notes are an integral part of the portfolio of investments.

195

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
China Railway Group Ltd. Class H		54,000	$	39,946
China Shenhua Energy Co. Ltd. Class H		47,000		121,583
China Southern Airlines Co. Ltd. Class H		28,000		28,912
China Telecom Corp. Ltd. Class H		190,000		90,402
China Vanke Co. Ltd. Class H		16,600		66,102
Chongqing Rural Commercial Bank Class H		38,000		26,844
CITIC Securities Co. Ltd. Class H		31,000		63,747
CRRC Corp. Ltd. Class H		57,000		60,924
Dongfeng Motor Group Co. Ltd. Class H		36,000		43,577
Fuyao Glass Industry Group Co. Ltd. Class H (d)		6,727		28,335
GF Securities Co. Ltd. Class H		19,200		38,552
Great Wall Motor Co. Ltd. Class H		44,500		50,947
Guangzhou Automobile Group Co. Ltd. Class H		30,000		70,861
Guangzhou R&F Properties Co. Ltd. Class H		12,800		28,858
Haitong Securities Co. Ltd. Class H		45,200		65,489
Huaneng Power International, Inc. Class H		56,000		35,104
Huaneng Renewables Corp. Ltd. Class H		70,000		23,662
Huatai Securities Co. Ltd. Class H (d)		22,800		45,274
Industrial & Commercial Bank of China Ltd. Class H		1,035,238		830,175
Jiangsu Expressway Co. Ltd. Class H		16,000		24,365
Jiangxi Copper Co. Ltd. Class H		17,000		26,934
New China Life Insurance Co. Ltd. Class H		11,100		75,517
The People’s Insurance Co. Group Ltd. Class H		103,000		50,551
PetroChina Co. Ltd. Class H		294,319		205,391
PICC Property & Casualty Co. Ltd. Class H		64,000		122,770
Ping An Insurance Group Co. of China Ltd. Class H		73,322		763,149
Shandong Weigao Group Medical Polymer Co. Ltd. Class H		28,000		20,338
Shanghai Electric Group Co. Ltd. Class H (b)		42,000		17,284
Shanghai Fosun Pharmaceutical Group Co. Ltd. Class H		7,000		44,903
Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd. Class B		12,800		18,526
Shanghai Pharmaceuticals Holding Co. Ltd. Class H		9,700		26,194
Sinopec Shanghai Petrochemical Co. Ltd. Class H		50,000		28,483
Sinopharm Group Co. Ltd. Class H		16,400		70,638
TravelSky Technology Ltd. Class H		13,000		38,958
Tsingtao Brewery Co. Ltd. Class H		6,000		30,922
Weichai Power Co. Ltd. Class H		28,000		30,672

	Number of Shares		Value
Yanzhou Coal Mining Co. Ltd. Class H		26,000	$	30,305
Zhejiang Expressway Co. Ltd. Class H		22,000		24,187
Zhuzhou CSR Times Electric Co. Ltd. Class H		7,400		48,068
Zijin Mining Group Co. Ltd. Class H		80,000		30,176
ZTE Corp. Class H (b)		10,400		38,872
				7,212,978
Colombia — 0.0%
Bancolombia SA		3,429		34,398
Cementos Argos SA		5,924		22,882
Ecopetrol SA		69,946		51,179
Grupo Argos SA		3,852		26,963
Grupo de Inversiones Suramericana SA		3,575		48,278
Interconexion Electrica SA ESP		5,085		24,194
				207,894
Cyprus — 0.0%
Songa Offshore (b)		1,100		8,056
Czech Republic — 0.0%
CEZ AS		2,246		52,369
Komercni banka AS		1,019		43,736
Moneta Money Bank AS (d)		6,396		24,726
O2 Czech Republic AS		706		9,163
				129,994
Denmark — 0.5%
ALK-Abello A/S		82		9,767
Alm Brand A/S		578		7,541
Ambu A/S		386		34,582
AP Moller — Maersk A/S Class A		69		114,990
AP Moller — Maersk A/S Class B		112		195,176
Bakkafrost P/F		554		23,379
Bang & Olufsen A/S (b)		523		12,546
Bavarian Nordic A/S (b)		370		13,371
Carlsberg A/S Class B		1,871		224,102
Chr Hansen Holding A/S		1,686		158,123
Coloplast A/S Class B		2,005		158,988
D/S Norden A/S (b)		355		6,629
Danske Bank A/S		12,924		502,437
Dfds A/S		411		21,923
DSV A/S		3,411		268,554
FLSmidth & Co. A/S		499		28,988
Genmab A/S (b)		1,069		177,266
GN Store Nord A/S		1,824		58,929
H Lundbeck A/S		1,195		60,771
IC Group A/S		149		3,490
ISS A/S		3,052		117,731
Jyske Bank A/S Registered		829		47,047
Matas A/S		573		7,246
Nets A/S (b) (d)		1,586		41,714
Nilfisk Holding A/S (b)		332		19,445

The accompanying notes are an integral part of the portfolio of investments.

196

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
NKT A/S (b)		326	$	14,882
NNIT A/S (d)		176		4,858
Novo Nordisk A/S Class B		32,652		1,754,888
Novozymes A/S Class B		4,034		230,456
Orsted A/S (d)		3,413		185,943
Pandora A/S		1,931		210,150
Per Aarsleff Holding A/S		280		8,817
Rockwool International A/S Class B		106		30,044
Royal Unibrew A/S		602		36,004
Scandinavian Tobacco Group A/S Class A (d)		666		12,881
Schouw & Co.		136		12,744
SimCorp A/S		494		28,124
Solar A/S Class B		87		5,713
Spar Nord Bank A/S		1,006		11,671
Sydbank A/S		903		36,320
TDC A/S		12,708		78,087
Topdanmark A/S (b)		747		32,217
Tryg A/S		2,164		53,947
Vestas Wind Systems A/S		3,927		269,182
William Demant Holding A/S (b)		2,010		55,954
Zealand Pharma A/S (a) (b)		385		5,270
				5,392,887
Egypt — 0.0%
Commercial International Bank Egypt SAE		13,854		60,543
Egyptian Financial Group-Hermes Holding Co.		7,272		9,652
Global Telecom Holding SAE (b)		32,702		13,611
				83,806
Finland — 0.3%
Amer Sports OYJ		1,554		43,047
Atria OYJ		36		523
Cargotec OYJ Class B		510		28,854
Caverion OYJ (a) (b)		1,300		9,172
Citycon OYJ (a)		24,251		62,780
Cramo OYJ		541		12,810
DNA Oyj		727		13,641
Elisa OYJ		2,365		92,715
F-Secure OYJ		1,232		5,749
Ferratum OYJ		146		5,327
Finnair OYJ		825		12,691
Fortum OYJ		8,220		162,718
Huhtamaki OYJ		1,185		49,611
Kemira OYJ		1,304		17,966
Kesko OYJ Class B		869		47,178
Kone OYJ Class B		5,994		321,645
Konecranes OYJ		830		37,921
Lehto Group OYJ		319		4,840
Metsa Board OYJ		2,261		19,335
Metso OYJ		2,214		75,528
Neste OYJ		2,411		154,292

	Number of Shares		Value
Nokia OYJ		104,120	$	486,327
Nokian Renkaat OYJ		2,274		103,000
Oriola OYJ Class B		1,585		5,306
Orion OYJ Class B		2,057		76,605
Outokumpu OYJ		4,107		38,117
Outotec OYJ (a) (b)		1,759		14,930
Ponsse OYJ		156		4,937
Ramirent OYJ		842		7,882
Sampo OYJ Class A		7,618		418,498
Sanoma OYJ		984		12,771
Stockmann OYJ Abp Class B (b)		492		2,562
Stora Enso OYJ Class R		10,156		160,784
Technopolis OYJ		7,761		38,936
Tieto OYJ		686		21,362
Tikkurila Oyj		431		9,196
Tokmanni Group Corp.		733		6,371
UPM-Kymmene OYJ		9,475		293,994
Uponor OYJ		748		15,056
Valmet OYJ		1,679		33,085
Wartsila OYJ Abp		2,540		160,064
YIT OYJ (a)		1,435		10,957
				3,099,083
France — 2.6%
AB Science SA (b)		232		2,320
ABC arbitrage		441		3,323
Accor SA		3,209		165,410
Aeroports de Paris		488		92,712
Air France KLM (b)		2,215		36,011
Air Liquide SA		7,468		939,259
Albioma SA		408		10,299
ALD SA (b) (d)		1,301		20,130
Alstom SA		2,766		114,801
Altamir		258		4,718
Alten SA		375		31,293
Altran Technologies SA		2,035		33,835
Amundi SA (d)		1,042		88,209
Arkema SA		1,259		152,993
Assystem		142		5,093
Atos SE		1,641		238,865
AXA SA		33,913		1,005,129
Axway Software SA		113		3,090
Beneteau SA		540		12,916
BioMerieux		744		66,663
BNP Paribas SA		19,620		1,463,139
Boiron SA		96		8,621
Bollore SA		13,542		73,563
Bollore SA (b)		99		540
Bonduelle SCA		201		10,628
Bourbon Corp. (a)		377		3,166
Bouygues SA		3,638		188,989
Bureau Veritas SA		4,306		117,728
Capgemini SE		2,856		337,986
Carmila SA		857		23,870

The accompanying notes are an integral part of the portfolio of investments.

197

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Carrefour SA		10,630	$	230,047
Casino Guichard Perrachon SA		1,091		66,074
Cellectis SA (b)		343		9,904
Chargeurs Sa (b)		3		89
Chargeurs SA		269		8,166
Cie de Saint-Gobain		8,770		482,663
Cie des Alpes		116		4,540
Cie Generale des Etablissements Michelin		2,929		419,563
CNP Assurances		3,429		79,123
Coface SA (b)		1,290		13,797
Credit Agricole SA		20,493		338,539
Danone SA		10,682		895,553
Dassault Aviation SA		49		76,175
Dassault Systemes SE		2,291		243,319
DBV Technologies SA (b)		245		12,159
Derichebourg SA		858		9,362
Devoteam SA		66		5,923
Direct Energie		133		6,298
Edenred		3,712		107,539
Eiffage SA		1,227		134,443
Electricite de France SA		9,990		124,623
Elior Group SA (d)		1,490		30,738
Elis SA		976		26,944
Elis SA		1,175		32,103
Engie SA		32,476		557,983
Eramet (b)		104		12,351
Essilor International Cie Generale d’Optique SA		3,632		500,835
Esso SA Francaise (b)		22		1,512
Euler Hermes Group		214		31,276
Eurazeo SA		602		55,527
Europcar Groupe SA (d)		1,159		14,223
Eutelsat Communications SA		3,444		79,518
Faurecia		1,338		104,339
FFP		91		10,939
FIGEAC-AERO (b)		134		3,041
Fnac Darty SA (b)		204		24,636
Fonciere Des Regions		2,315		262,300
Gaztransport Et Technigaz SA		313		18,814
Gecina SA		3,052		563,099
Genfit (b)		407		11,679
Getlink SE		8,705		111,957
GL Events		109		3,203
Groupe Crit		35		3,056
Groupe Guillin		87		3,592
Guerbet		78		7,419
Haulotte Group SA		140		2,710
Hermes International		561		300,299
ICADE		2,127		209,057
ID Logistics Group (b)		34		5,508
Iliad SA		433		103,762
Imerys SA		705		66,413

	Number of Shares		Value
Ingenico Group SA		969	$	103,400
Innate Pharma SA (b)		632		3,602
Interparfums SA		170		7,038
Ipsen SA		656		78,356
Ipsos		397		14,602
Jacquet Metal Service		186		6,131
JCDecaux SA		1,513		60,967
Kaufman & Broad SA		219		10,402
Kering		1,352		637,366
Klepierre		13,545		595,641
Korian SA		527		18,616
L’Oreal SA		4,473		990,903
Lagardere S.C.A		2,338		74,902
Legrand SA		4,786		367,957
LISI		225		10,825
LNA Sante SA		85		6,006
LVMH Moet Hennessy Louis Vuitton SE		4,848		1,424,099
Maisons du Monde SA (d)		560		25,324
Manitou BF SA		124		4,538
Marie Brizard Wine & Spirits SA (b)		115		1,736
Mercialys SA		2,810		62,174
Mersen		202		9,028
Metropole Television SA		388		10,024
MGI Coutier		141		5,695
Natixis SA		17,420		137,807
Naturex (b)		87		9,234
Neopost SA		424		12,173
Nexans SA		362		22,157
Nexity SA		576		34,284
Oeneo SA		409		5,031
Orange SA		35,426		614,743
Orpea		566		66,748
Parrot SA (b)		257		2,719
Pernod Ricard SA		3,771		596,914
Peugeot SA		10,346		210,164
Pierre & Vacances SA (b)		58		3,190
Plastic Omnium SA		810		36,823
Plastivaloire		143		3,203
Publicis Groupe SA		3,538		240,360
Rallye SA		355		6,311
Remy Cointreau SA		367		50,847
Renault SA		3,413		343,033
Rexel SA		5,775		104,738
Rubis SCA		1,086		76,777
Safran SA		5,848		601,346
Sanofi		19,805		1,705,281
Sartorius Stedim Biotech		348		25,173
Schneider Electric SE		10,007		848,705
SCOR SE		2,901		116,722
SEB SA		428		79,299
Societe BIC SA		420		46,184
Societe Generale SA		13,545		698,348

The accompanying notes are an integral part of the portfolio of investments.

198

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Societe Television Francaise 1		644	$	9,468
Sodexo SA		1,620		217,511
SOITEC (b)		239		16,987
Solocal Group (b)		8,258		8,231
Sopra Steria Group		189		35,290
SPIE SA		1,396		36,349
SRP Groupe SA (a) (b) (d)		197		1,499
Ste Industrielle d’Aviation Latecoere SA (b)		1,117		7,647
Suez		5,948		104,563
Synergie SA		120		6,313
Tarkett SA		378		15,843
Technicolor SA Registered		4,426		15,181
Teleperformance		1,010		144,567
Thales SA		1,862		200,371
Total SA		41,918		2,312,838
Trigano SA		96		16,963
Ubisoft Entertainment SA (b)		1,135		87,331
Unibail-Rodamco SE		6,422		1,617,872
Valeo SA		4,242		316,122
Vallourec SA (a) (b)		3,787		22,870
Veolia Environnement SA		8,714		222,328
Vicat SA		210		16,575
Vinci SA		8,931		911,203
Virbac SA (b)		57		8,447
Vivendi SA		17,988		483,698
Wendel SA		556		96,322
Worldline SA (b) (d)		483		23,435
Zodiac Aerospace		3,940		117,855
				29,983,356
Germany — 2.6%
Aareal Bank AG		701		31,725
adidas AG		3,280		654,767
ADLER Real Estate AG (b)		1,672		26,609
ADVA Optical Networking SE (b)		602		4,360
AIXTRON SE (b)		1,472		20,259
Allianz SE Registered		7,932		1,816,536
alstria office REIT-AG		8,025		123,936
Amadeus Fire AG		52		4,811
Aumann AG (b) (d)		79		6,044
AURELIUS Equity Opportunities SE & Co. KGaA		324		22,146
Aurubis AG		441		40,814
Axel Springer SE		814		63,425
BASF SE		16,163		1,773,811
Basler AG		18		4,204
Bauer AG		118		4,233
Bayer AG Registered		14,552		1,809,906
Bayerische Motoren Werke AG		5,879		610,667
BayWa AG		204		7,837
Bechtle AG		388		32,203
Beiersdorf AG		1,751		205,229

	Number of Shares		Value
Bertrandt AG		80	$	9,755
bet-at-home.com AG		39		4,854
Bilfinger Berger AG		392		18,562
Biotest AG		111		2,896
Borussia Dortmund GmbH & Co. KGaA		577		4,232
Brenntag AG		2,646		166,913
CANCOM SE		226		18,782
Capital Stage AG		1,138		8,823
Carl Zeiss Meditec AG		507		31,428
CECONOMY AG		2,336		35,334
CENTROTEC Sustainable AG		114		2,110
Cewe Stiftung & Co. KGAA		74		7,819
comdirect bank AG		403		5,528
Commerzbank AG (b)		18,688		280,306
CompuGroup Medical SE		287		18,792
Continental AG		1,930		521,052
Covestro AG (d)		2,167		222,816
CTS Eventim AG & Co. KGaA		620		28,858
Daimler AG Registered		16,765		1,423,559
Deutsche Bank AG Registered		36,674		695,973
Deutsche Beteiligungs AG		164		9,260
Deutsche Boerse AG		3,326		385,531
Deutsche EuroShop AG		2,884		117,402
Deutsche Lufthansa AG Registered		4,474		164,465
Deutsche Pfandbriefbank AG (d)		1,331		21,285
Deutsche Post AG Registered		16,988		807,013
Deutsche Telekom AG Registered		59,016		1,046,626
Deutsche Wohnen SE		22,917		999,202
Deutz AG		1,698		15,404
DIC Asset AG		2,410		30,370
Diebold Nixdorf AG		111		9,699
DMG Mori AG		251		13,816
Draegerwerk AG & Co. KGaA		40		2,931
Drillisch AG		968		79,902
Duerr AG		343		43,690
E.ON SE		38,170		413,865
Elmos Semiconductor AG		151		4,157
ElringKlinger AG		386		8,632
Evonik Industries AG		2,780		104,296
Evotec AG (b)		1,601		25,771
Fraport AG Frankfurt Airport Services Worldwide		674		74,146
Freenet AG		1,622		59,828
Fresenius Medical Care AG & Co. KGaA		3,885		409,181
Fresenius SE & Co. KGaA		7,351		572,350
GEA Group AG		3,121		149,649
Gerresheimer AG		413		34,139
Gerry Weber International AG		356		4,082
GFT Technologies SE		233		3,645
Grammer AG		145		8,998
GRENKE AG		351		33,217

The accompanying notes are an integral part of the portfolio of investments.

199

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Hamborner REIT AG		4,612	$	54,634
Hamburger Hafen und Logistik AG		368		10,415
Hannover Rueck SE		1,116		140,032
Hapag-Lloyd AG (b) (d)		543		21,819
HeidelbergCement AG		2,606		282,105
Heidelberger Druckmaschinen AG (b)		3,378		11,633
Henkel AG & Co. KGaA		1,807		216,931
HOCHTIEF AG		384		67,679
Hornbach Baumarkt AG		128		4,736
HUGO BOSS AG		1,251		106,116
Hypoport AG (b)		42		7,311
Indus Holding AG		217		15,434
Infineon Technologies AG		19,916		543,951
Innogy SE (d)		2,219		86,475
Isra Vision AG		46		11,719
Jenoptik AG		679		22,383
JOST Werke AG (b) (d)		107		5,396
K+S AG Registered		3,790		94,394
KION Group AG		1,191		102,755
Kloeckner & Co. SE		975		11,986
Koenig & Bauer AG		181		13,598
KPS AG		190		3,191
Krones AG		199		27,334
KWS Saat SE		27		10,782
LANXESS AG		1,516		120,541
LEG Immobilien AG		3,836		437,843
Leoni AG		398		29,687
Linde AG (b)		3,311		774,564
MAN SE		604		69,163
Manz AG (b)		75		2,823
MBB SE		28		2,922
Merck KGaA		2,245		241,763
METRO AG (b)		3,681		73,522
MLP SE		939		6,335
MorphoSys AG (b)		367		33,596
MTU Aero Engines AG		921		164,727
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered		2,733		592,487
Nemetschek SE		252		22,591
Nordex SE (a) (b)		636		6,769
Norma Group SE		419		27,978
OHB SE		53		2,837
OSRAM Licht AG		1,776		159,011
PATRIZIA Immobilien AG (b)		549		12,688
Pfeiffer Vacuum Technology AG		80		14,951
ProSiebenSat.1 Media SE		3,948		135,932
Rational AG		44		28,258
Rheinmetall AG		577		73,268
Rhoen-Klinikum AG		370		13,237
RIB Software AG		488		14,487
Rocket Internet SE (b) (d)		732		18,534
RWE AG (b)		9,072		184,994

	Number of Shares		Value
Salzgitter AG		500	$	28,421
SAP SE		17,225		1,931,437
Scout24 AG (d)		1,181		48,235
SGL Carbon SE (b)		879		12,014
Siemens AG Registered		13,460		1,867,562
Siltronic AG (b)		277		40,205
Sixt Leasing SE		193		4,400
Sixt SE		176		15,691
SLM Solutions Group AG (a) (b)		167		9,564
SMA Solar Technology AG (a)		169		7,296
Software AG		652		36,669
STADA Arzneimittel AG		327		34,640
STRATEC Biomedical AG		75		5,815
Stroeer SE & Co KGaA		344		25,276
Suedzucker AG		976		21,118
Surteco SE		111		3,580
Symrise AG		2,144		183,819
TAG Immobilien AG		8,636		163,778
Takkt AG		446		10,073
Telefonica Deutschland Holding AG		14,834		74,493
thyssenkrupp AG		7,649		222,112
TLG Immobilien AG		4,916		130,535
TUI AG		7,456		154,380
Uniper Se		3,643		113,636
United Internet AG Registered		2,055		141,348
VERBIO Vereinigte BioEnergie AG		167		1,633
Volkswagen AG		538		108,925
Vonovia SE		30,894		1,529,256
Vossloh AG (b)		148		8,306
VTG AG		173		9,883
Wacker Chemie AG		216		42,018
Wacker Neuson SE		399		14,386
Washtec AG		131		12,369
Wirecard AG		2,101		234,566
Wuestenrot & Wuerttembergische AG		334		9,358
XING SE		40		12,842
Zalando SE (b) (d)		1,807		95,213
zooplus AG (b)		69		12,413
				28,940,048
Greece — 0.0%
Alpha Bank AE (b)		19,508		41,812
Eurobank Ergasias SA (b)		26,850		27,374
FF Group (b)		546		12,421
Hellenic Telecommunications Organization SA		3,518		48,542
JUMBO SA		1,289		23,006
National Bank of Greece SA (b)		79,699		30,342
OPAP SA		3,265		41,085
Piraeus Bank SA (b)		4,220		15,538
Titan Cement Co. SA		674		18,511
				258,631

The accompanying notes are an integral part of the portfolio of investments.

200

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Hong Kong — 1.2%
AIA Group Ltd.		210,800	$	1,797,769
The Bank of East Asia Ltd.		24,134		104,429
Beijing Enterprises Holdings Ltd.		7,000		41,397
BOC Hong Kong Holdings Ltd.		66,000		333,823
BYD Electronic International Co. Ltd.		9,500		20,690
Champion REIT		115,000		84,314
China Everbright International Ltd.		33,000		47,132
China Everbright Ltd.		12,000		26,770
China Jinmao Holdings Group Ltd		56,000		24,567
China Merchants Holdings International Co. Ltd.		17,899		46,845
China Minsheng Banking Corp. Ltd. Class H		78,000		78,008
China Mobile Ltd.		85,788		868,367
China Overseas Land & Investment Ltd.		54,000		173,802
China Resources Beer Holdings Company Ltd.		24,000		86,139
China Resources Pharmaceutical Group Ltd. (d)		26,000		33,692
China Resources Power Holdings Co. Ltd.		28,000		52,132
China Taiping Insurance Holdings Co. Ltd.		23,200		86,463
China Unicom Ltd. (b)		84,000		113,683
Chong Hing Bank Ltd.		3,000		6,435
CITIC Ltd.		81,000		116,822
CITIC Telecom International Holdings Ltd.		22,000		5,815
CLP Holdings Ltd.		28,500		291,650
CNOOC Ltd.		251,345		361,343
CSPC Pharmaceutical Group Ltd.		66,000		133,254
Dah Sing Banking Group Ltd.		6,000		13,024
Dah Sing Financial Holdings Ltd.		1,600		10,241
Far East Horizon Ltd.		26,000		22,190
Fosun International Ltd.		36,000		79,497
Galaxy Entertainment Group Ltd.		42,000		335,850
Guangdong Investment Ltd.		40,000		53,544
Guotai Junan International Holdings Ltd.		30,000		9,373
Hang Lung Group Ltd.		13,000		47,825
Hang Lung Properties Ltd.		129,000		314,805
Hang Seng Bank Ltd.		13,600		337,201
Henderson Land Development Co. Ltd.		70,400		463,992
HK Electric Investments & HK Electric Investments Ltd. Class SS (d)		51,000		46,671
HKT Trust & HKT Ltd.		63,000		80,340
Hong Kong & China Gas Co. Ltd.		145,400		285,011
Hong Kong Exchanges & Clearing Ltd.		20,553		627,773
Hopewell Holdings Ltd.		7,000		25,726

	Number of Shares		Value
Hysan Development Co. Ltd.		38,000	$	201,696
Lai Sun Development Co. Ltd.		3,600		6,128
Langham Hospitality Investments and Langham Hospitality Investments Ltd.		13,500		5,892
Lenovo Group Ltd.		106,000		59,827
Link REIT		143,500		1,329,753
Liu Chong Hing Investment Ltd.		2,000		3,456
Mason Group Holdings Ltd. (b)		387,200		6,390
Melco International Development Ltd.		10,000		29,332
MTR Corp. Ltd.		25,162		147,442
New World Development Co. Ltd.		357,413		537,003
PCCW Ltd.		81,000		47,036
Power Assets Holdings Ltd.		23,500		198,323
Prosperity REIT		18,000		7,695
Regal REIT		18,000		5,506
Shanghai Industrial Holdings Ltd.		7,000		20,067
Shun Tak Holdings Ltd.		20,000		7,795
Singamas Container Holdings Ltd.		18,000		3,661
Sino Land Co. Ltd.		193,766		343,055
Sino-Ocean Land Holdings Ltd.		39,500		27,160
SJM Holdings Ltd.		37,000		33,053
Sun Art Retail Group Ltd.		34,500		36,428
Sun Hung Kai & Co. Ltd.		10,000		6,382
Sun Hung Kai Properties Ltd.		92,000		1,532,521
Sunlight REIT		16,000		10,976
Swire Pacific Ltd. Class A		8,000		74,046
Swire Properties Ltd.		70,200		226,414
Techtronic Industries Co. Ltd.		23,000		149,910
Television Broadcasts Ltd.		3,800		13,698
The Wharf Holdings Ltd.		78,000		269,719
Wheelock & Co. Ltd.		13,000		92,884
				13,121,652
Hungary — 0.0%
MOL Hungarian Oil & Gas PLC		5,026		58,327
OTP Bank PLC		3,410		140,858
Richter Gedeon Nyrt		1,926		50,425
				249,610
Indonesia — 0.2%
Adaro Energy Tbk PT		218,200		29,819
AKR Corporindo Tbk PT		27,500		12,856
Astra International Tbk PT		285,000		174,214
Bank Central Asia Tbk PT		139,300		224,540
Bank Danamon Indonesia Tbk PT		50,400		25,770
Bank Mandiri Persero Tbk PT		259,500		152,835
Bank Negara Indonesia Persero Tbk PT		103,500		75,430
Bank Rakyat Indonesia Persero Tbk PT		774,500		207,354
Bank Tabungan Negara Persero Tbk PT		59,200		15,576

The accompanying notes are an integral part of the portfolio of investments.

201

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Bumi Serpong Damai Tbk PT		121,200	$	15,185
Charoen Pokphand Indonesia Tbk PT		106,200		23,483
Gudang Garam Tbk PT		6,400		39,530
Hanjaya Mandala Sampoerna Tbk PT		122,300		42,660
Indocement Tunggal Prakarsa Tbk PT		26,600		43,094
Indofood CBP Sukses Makmur Tbk PT		29,900		19,597
Indofood Sukses Makmur Tbk PT		60,000		33,682
Jasa Marga Persero Tbk PT		36,674		17,280
Kalbe Farma Tbk PT		287,400		35,814
Matahari Department Store Tbk PT		34,900		25,654
Pakuwon Jati Tbk PT		344,100		17,372
Perusahaan Gas Negara PT		153,500		19,761
Semen Indonesia Persero Tbk PT		39,600		28,898
Surya Citra Media Tbk PT		75,000		13,680
Telekomunikasi Indonesia Persero Tbk PT		706,800		230,041
Tower Bersama Infrastructure Tbk PT		31,400		14,859
Unilever Indonesia Tbk PT		22,300		91,882
United Tractors Tbk PT		22,500		58,637
Waskita Karya Persero Tbk PT		79,000		12,895
XL Axiata Tbk PT (b)		51,000		11,127
				1,713,525
Ireland — 1.1%
Accenture PLC Class A		17,016		2,604,979
Adient PLC		1,875		147,562
AIB Group PLC		14,471		95,497
Alkermes PLC (b)		3,044		166,598
Allegion PLC		1,905		151,562
Allergan PLC		9,214		1,507,226
Bank of Ireland Group PLC (b)		15,767		134,126
C&C Group PLC		4,313		14,807
Cairn Homes PLC (b)		8,358		18,925
CRH PLC		14,928		537,039
Dalata Hotel Group PLC (b)		2,204		16,646
DCC PLC		1,522		153,360
Eaton Corp. PLC		12,253		968,110
Endo International PLC (b)		4,621		35,813
Glanbia PLC		2,515		45,051
Grafton Group PLC		2,955		31,971
Green REIT PLC		41,580		77,572
Greencore Group PLC		8,711		27,012
Hibernia REIT PLC		42,912		78,759
Horizon Pharma PLC (b)		3,870		56,502
Ingersoll-Rand PLC		5,029		448,536
Irish Continental Group PLC		1,881		13,025
Irish Residential Properties REIT PLC		19,561		35,355
James Hardie Industries PLC		7,988		140,619
Johnson Controls International PLC		25,681		978,703
Kerry Group PLC Class A		2,771		310,761
Kingspan Group PLC		2,001		87,496
Mallinckrodt PLC (a) (b)		1,902		42,909

	Number of Shares		Value
Medtronic PLC		30,364	$	2,451,893
Origin Enterprises PLC		1,356		10,316
Paddy Power Betfair PLC		1,388		164,665
Pentair PLC		3,340		235,871
Permanent TSB Group Holdings PLC (b)		1,916		5,173
Perrigo Co. PLC		2,647		230,712
Prothena Corp. PLC (a) (b)		916		34,341
Smurfit Kappa Group PLC		3,103		104,905
Strongbridge Biopharma PLC (a) (b)		581		4,212
UDG Healthcare PLC		3,291		37,451
Weatherford International PLC (a) (b)		17,680		73,726
Willis Towers Watson PLC		2,543		383,205
				12,662,991
Israel — 0.2%
Africa Israel Properties Ltd. (b)		133		3,285
Airport City Ltd. (b)		970		12,150
Alony Hetz Properties & Investments Ltd.		1,458		15,643
Amot Investments Ltd.		1,687		10,102
Azrieli Group Ltd.		2,261		126,471
B Communications Ltd. (b)		174		3,183
Bank Hapoalim B.M.		19,624		144,246
Bank Leumi Le-Israel BM		24,135		145,370
Bayside Land Corp.		11		5,486
Bezeq The Israeli Telecommunication Corp. Ltd.		31,421		47,498
Big Shopping Centers Ltd.		58		4,023
Blue Square Real Estate Ltd.		91		3,803
Caesarstone Ltd. (b)		852		18,744
Cellcom Israel Ltd. (b)		774		7,981
Check Point Software Technologies Ltd. (b)		2,251		233,249
Clal Insurance Enterprises Holdings Ltd. (b)		236		4,246
CyberArk Software Ltd. (a) (b)		408		16,887
Delek Automotive Systems Ltd.		588		4,392
Delek Group Ltd.		59		9,531
Delta-Galil Industries Ltd.		131		4,550
El Al Israel Airlines		3,895		1,617
Elbit Systems Ltd.		383		51,156
Electra Ltd.		15		3,616
First International Bank Of Israel Ltd.		678		14,055
Formula Systems 1985 Ltd.		126		5,246
Frutarom Industries Ltd.		597		56,034
Gazit-Globe Ltd.		1,365		14,499
Harel Insurance Investments & Financial Services Ltd.		1,103		8,075
IDI Insurance Co. Ltd.		93		6,210
Israel Chemicals Ltd.		9,339		37,828
The Israel Corp. Ltd. (b)		49		8,287
Israel Discount Bank Ltd. (b)		14,285		41,494

The accompanying notes are an integral part of the portfolio of investments.

202

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Ituran Location and Control Ltd.		197	$	6,737
Jerusalem Economy Ltd. (b)		1,304		3,598
Jerusalem Oil Exploration (b)		81		4,947
Kornit Digital Ltd. (a) (b)		367		5,927
Matrix IT Ltd.		603		7,580
Mazor Robotics Ltd. (b)		488		12,811
Melisron Ltd.		246		11,655
Menora Mivtachim Holdings Ltd.		344		4,348
Migdal Insurance & Financial Holding Ltd.		6,026		6,751
Mizrahi Tefahot Bank Ltd.		2,133		39,303
Naphtha Israel Petroleum Corp. Ltd.		679		4,820
Nice Ltd.		1,052		96,025
Nova Measuring Instruments Ltd. (b)		324		8,434
Oil Refineries Ltd.		16,463		7,877
Orbotech Ltd. (b)		601		30,194
Partner Communications Co. Ltd. (b)		1,478		9,224
Paz Oil Co. Ltd.		100		17,294
The Phoenix Holdings Ltd. (b)		635		3,478
Plus500 Ltd.		1,128		13,834
RADWARE Ltd. (b)		600		11,640
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd.		94		4,985
REIT 1 Ltd.		2,402		10,432
Shapir Engineering and Industry Ltd.		985		3,950
Shikun & Binui Ltd.		2,990		6,652
Shufersal Ltd.		1,112		7,375
SodaStream International Ltd. (b)		236		16,600
Stratasys Ltd. (a) (b)		1,305		26,048
Strauss Group Ltd.		610		13,075
Teva Pharmaceutical Industries Ltd. Sponsored ADR		16,198		306,952
Tower Semiconductor Ltd. (b)		1,174		40,137
Wix.com Ltd. (b)		443		25,495
				1,837,135
Italy — 0.6%
A2A SpA		20,746		38,353
ACEA SpA		728		13,433
Amplifon SpA		1,076		16,555
Anima Holding SpA (d)		3,204		22,883
Arnoldo Mondadori Editore SpA (b)		1,682		4,196
Ascopiave SpA		1,047		4,454
Assicurazioni Generali SpA		22,630		412,012
Astaldi SpA (a)		621		1,578
ASTM SpA		600		17,425
Atlantia SpA		8,200		258,662
Autogrill SpA		1,606		22,135
Azimut Holding SpA		1,477		28,253
Banca Carige SpA (a) (b)		355,939		3,450
Banca Farmafactoring SpA (b) (d)		788		6,045
Banca Generali SpA		728		24,186
Banca IFIS SpA		293		14,330

	Number of Shares		Value
Banca Mediolanum SpA		3,375	$	29,173
Banca Monte Die Paschi Di Sien SpA (a) (b)		3,674		17,230
Banca Popolare di Sondrio SCARL		5,766		21,056
Banco BPM SpA (b)		19,833		62,123
Beni Stabili SpA SIIQ		61,486		56,833
Biesse SpA		205		10,402
BPER Banca		6,204		31,226
Brembo SpA		1,820		27,667
Brunello Cucinelli SpA		380		12,313
Buzzi Unicem SpA		1,025		27,663
Cairo Communication SpA		1,051		4,678
Cementir Holding SpA		698		6,320
Cerved Information Solutions SpA		2,541		32,270
CIR-Compagnie Industriali Riunite SpA		5,158		7,204
Credito Emiliano SpA		1,187		10,077
Credito Valtellinese SpA (a) (b)		1,591		2,318
Danieli & C Officine Meccaniche SpA		182		4,326
Datalogic SpA		284		10,479
Davide Campari-Milano SpA		10,625		82,140
De’ Longhi SpA		753		22,848
DeA Capital SpA		2,292		3,709
DiaSorin SpA		278		24,668
doBank SpA (b) (d)		498		8,083
Ei Towers SpA		237		15,202
El.En. SpA		140		4,367
Enav SpA (d)		3,143		17,001
Enel SpA		144,648		889,094
Eni SpA		44,703		739,246
ERG SpA		761		14,060
Falck Renewables SpA		648		1,686
Fila SpA		268		6,328
Fincantieri SpA (b)		7,421		11,142
FinecoBank Banca Fineco SpA		5,103		52,159
GEDI Gruppo Editoriale SpA (b)		348		293
Geox SpA (a)		1,149		3,986
Hera SpA		9,340		32,579
Immobiliare Grande Distribuzione SIIQ SpA		21,063		24,360
Industria Macchine Automatiche SpA		212		17,234
Infrastrutture Wireless Italiane SpA (d)		2,964		22,041
Interpump Group SpA		926		29,109
Intesa Sanpaolo SpA		236,580		784,626
Iren SpA		8,012		24,031
Italgas SpA		6,114		37,303
Italmobiliare SpA		232		6,638
Juventus Football Club SpA (a) (b)		6,333		5,808
La Doria SpA		68		1,335
Leonardo SpA		7,469		88,807
Luxottica Group SpA		2,893		177,287
Maire Tecnimont SpA (a)		1,690		8,730
MARR SpA		462		11,919
Mediaset SpA (a) (b)		5,973		23,130

The accompanying notes are an integral part of the portfolio of investments.

203

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mediobanca SpA		10,482	$	118,715
Moncler SpA		2,189		68,390
OVS SpA (d)		2,398		15,965
Piaggio & C SpA		2,491		6,866
Poste Italiane SpA (d)		8,258		62,171
Prima Industrie SpA		74		2,993
Prysmian SpA		3,368		109,859
RAI Way SpA (d)		1,408		8,595
Recordati SpA		2,059		91,464
Reply SpA		252		13,960
Safilo Group SpA (b)		451		2,577
Saipem SpA (b)		7,901		36,069
Salini Impregilo SpA		1,795		6,927
Salvatore Ferragamo SpA (a)		639		16,943
Saras SpA		5,535		13,290
Snam SpA		39,492		193,362
Societa Cattolica di Assicurazioni SCRL		1,952		21,189
Societa Iniziative Autostradali e Servizi SpA		1,007		18,732
Sogefi SpA (b)		753		3,616
Tamburi Investment Partners SpA		595		3,965
Technogym SpA (d)		1,442		13,956
Telecom Italia SpA (b)		197,591		170,573
Terna Rete Elettrica Nazionale SpA		24,765		143,808
Tod’s SpA (a)		145		10,596
UniCredit SpA (b)		35,171		655,211
Unione di Banche Italiane SpA		13,476		58,777
Unipol Gruppo SpA		4,860		22,762
UnipolSai Assicurazioni SpA		13,653		31,838
Vittoria Assicurazioni SpA		218		3,118
Yoox Net-A-Porter Group SpA (a) (b)		718		25,061
Zignago Vetro SpA		390		3,806
				6,407,411
Japan — 7.1%
The 77 Bank Ltd.		800		20,103
ABC-Mart, Inc.		600		34,439
Achilles Corp.		100		2,117
Acom Co. Ltd. (a) (b)		7,500		31,625
Activia Properties, Inc.		35		146,458
Adastria Co. Ltd.		300		6,069
ADEKA Corp.		1,100		19,354
Advan Co. Ltd.		200		1,933
Advance Residence Investment Corp.		75		184,416
Advantest Corp.		2,100		38,898
Aeon Co. Ltd.		10,200		172,259
Aeon Delight Co. Ltd.		300		11,212
Aeon Fantasy Co. Ltd.		100		4,425
AEON Financial Service Co, Ltd.		1,700		39,479
Aeon Mall Co. Ltd.		7,000		136,960
AEON REIT Investment Corp.		83		87,249
Ai Holdings Corp.		400		9,673

	Number of Shares		Value
Aica Kogyo Co. Ltd.		700	$	26,006
The Aichi Bank Ltd.		100		4,744
Aichi Corp.		500		3,702
Aichi Steel Corp.		100		4,007
Aida Engineering Ltd.		700		8,575
Aiful Corp. (a) (b)		4,500		15,461
Ain Holdings, Inc.		300		17,916
Air Water, Inc.		3,000		63,072
Aisan Industry Co. Ltd.		500		5,858
Aisin Seiki Co. Ltd.		3,000		168,567
Ajinomoto Co., Inc.		9,300		175,254
Akebono Brake Industry Co. Ltd. (b)		1,400		3,822
The Akita Bank Ltd.		200		5,514
Alex, Inc.		500		7,125
Alfresa Holdings Corp.		3,000		70,412
Alpen Co. Ltd.		200		4,312
Alpine Electronics, Inc.		600		12,429
Alps Electric Co. Ltd.		3,800		108,140
Amada Holdings Co. Ltd.		6,500		88,377
Amano Corp.		800		20,927
Amuse, Inc.		100		2,831
ANA Holdings, Inc.		2,300		95,989
Anest Iwata Corp.		400		4,476
Anicom Holdings, Inc.		200		6,446
Anritsu Corp.		1,700		19,139
AOKI Holdings, Inc.		600		8,807
The Aomori Bank Ltd.		200		6,356
Aoyama Trading Co. Ltd.		600		22,427
Aozora Bank Ltd.		1,900		73,965
Arata Corp.		100		5,432
Arcland Sakamoto Co. Ltd.		400		6,460
Arcland Service Holdings Co. Ltd.		200		4,735
Arcs Co. Ltd.		600		13,960
Ardepro Co. Ltd. (a)		2,000		1,562
Ariake Japan Co. Ltd.		200		17,062
As One Corp.		200		12,501
Asahi Co. Ltd. (a)		200		2,328
Asahi Diamond Industrial Co. Ltd.		700		7,999
Asahi Glass Co. Ltd.		3,700		160,035
Asahi Group Holdings Ltd.		6,900		342,095
Asahi Holdings, Inc.		400		7,525
Asahi Intecc Co. Ltd.		1,200		41,173
Asahi Kasei Corp.		22,000		283,405
Asics Corp.		2,200		35,080
ASKA Pharmaceutical Co. Ltd.		300		5,310
ASKUL Corp.		300		8,499
Astellas Pharma, Inc.		36,600		464,860
Ateam, Inc.		200		4,803
Atom Corp.		1,400		11,628
Autobacs Seven Co. Ltd.		1,000		19,177
The Awa Bank Ltd.		2,000		12,738
Axial Retailing, Inc.		200		7,506
Azbil Corp.		800		34,545

The accompanying notes are an integral part of the portfolio of investments.

204

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Bandai Namco Holdings, Inc.		3,600	$	117,766
Bando Chemical Industries Ltd.		500		5,861
The Bank of Iwate Ltd.		200		7,957
The Bank of Kyoto Ltd.		1,200		62,426
The Bank of Nagoya Ltd.		200		7,795
The Bank of Okinawa Ltd.		300		12,208
The Bank of Saga Ltd.		200		4,570
Bank of the Ryukyus Ltd.		500		7,510
Belc Co. Ltd.		100		6,003
Bell System24 Holdings, Inc.		500		6,282
Belluna Co. Ltd.		400		4,919
Benefit One, Inc.		400		8,357
Benesse Holdings, Inc.		1,000		35,113
Bic Camera, Inc.		1,300		18,731
BML, Inc.		300		7,469
Bridgestone Corp.		11,500		534,819
Broadleaf Co. Ltd.		600		5,566
BRONCO BILLY Co. Ltd.		100		2,977
Brother Industries Ltd.		3,800		93,796
Bunka Shutter Co. Ltd.		800		7,686
Calbee, Inc.		1,600		52,054
Canon Electronics, Inc.		300		6,560
Canon Marketing Japan, Inc.		600		16,195
Canon, Inc.		19,000		707,585
Capcom Co. Ltd.		500		15,769
Casio Computer Co. Ltd. (a)		3,100		44,610
Cawachi Ltd.		200		4,934
Central Glass Co. Ltd.		400		8,481
Central Japan Railway Co.		2,500		447,410
Century Tokyo Leasing Corp.		600		28,982
The Chiba Bank Ltd.		12,000		99,939
The Chiba Kogyo Bank Ltd.		600		2,984
Chiyoda Co. Ltd.		200		5,376
Chiyoda Corp.		2,000		14,718
Chiyoda Integre Co. Ltd.		200		4,858
Chofu Seisakusho Co. Ltd.		300		6,921
Chori Co. Ltd.		100		1,853
Chubu Electric Power Co., Inc.		12,000		149,035
Chubu Shiryo Co. Ltd.		300		6,668
Chudenko Corp.		400		11,651
Chugai Pharmaceutical Co. Ltd.		3,900		199,421
The Chugoku Bank Ltd.		2,100		27,988
The Chugoku Electric Power Co., Inc. (a)		4,000		42,938
Chugoku Marine Paints Ltd.		700		5,837
The Chukyo Bank Ltd.		100		2,068
Ci:z Holdings Co. Ltd.		300		15,276
Citizen Holdings Co. Ltd.		3,700		27,000
CKD Corp.		700		15,733
Clarion Co. Ltd.		1,000		3,716
Cleanup Corp.		300		2,360
CMIC Holdings Co. Ltd.		200		3,581
CMK Corp.		700		6,330

	Number of Shares		Value
Coca-Cola Bottlers Japan Ltd.		2,100	$	76,699
cocokara fine, Inc.		200		12,878
COLOPL, Inc. (a)		700		7,595
Colowide Co. Ltd. (a)		800		16,166
Comforia Residential REIT, Inc.		6		12,829
COMSYS Holdings Corp.		1,400		40,527
Concordia Financial Group Ltd.		23,300		140,679
CONEXIO Corp.		200		4,154
COOKPAD, Inc. (a) (b)		500		2,690
Corona Corp.		100		1,263
Cosel Co. Ltd.		400		6,571
Cosmo Energy Holdings Co. Ltd.		700		26,376
Cosmos Pharmaceutical Corp.		100		20,885
Create Restaurants Holdings, Inc.		600		7,061
Create SD Holdings Co. Ltd.		400		10,742
Credit Saison Co. Ltd.		3,100		56,422
CROOZ, Inc. (a)		100		2,201
CyberAgent, Inc.		1,300		50,776
CYBERDYNE, Inc. (a) (b)		1,700		29,292
D.A. Consortium Holdings, Inc.		400		7,902
Dai Nippon Printing Co. Ltd.		4,700		104,861
Dai-Dan Co. Ltd.		200		5,351
Dai-ichi Life Holdings, Inc.		19,200		396,151
Daibiru Corp.		700		8,797
Daicel Corp.		4,400		50,072
Daido Metal Co. Ltd.		400		3,959
Daido Steel Co. Ltd.		400		24,521
Daifuku Co. Ltd.		1,800		97,925
Daihen Corp.		1,000		9,482
Daiho Corp.		1,000		4,976
Daiichi Sankyo Co. Ltd.		10,000		260,449
Daiichikosho Co. Ltd.		500		24,943
Daiken Corp.		200		5,225
Daikin Industries Ltd.		4,300		509,087
Daikokutenbussan Co. Ltd.		100		4,435
Daikyo, Inc.		400		7,755
Daikyonishikawa Corp.		500		8,096
Dainichiseika Color & Chemicals Manufacturing Co. Ltd.		100		4,980
Daio Paper Corp.		1,000		13,199
Daiseki Co. Ltd.		400		11,133
The Daishi Bank Ltd.		400		18,192
Daisyo Corp. (a)		200		3,120
Daito Trust Construction Co. Ltd.		1,200		244,441
Daiwa House Industry Co. Ltd.		10,200		391,853
Daiwa House REIT Investment Corp.		98		232,798
Daiwa Industries Ltd.		500		5,732
Daiwa Office Investment Corp.		17		89,623
Daiwa Securities Group, Inc.		28,000		175,720
Daiwabo Holdings Co. Ltd.		200		8,230
DCM Holdings Co. Ltd.		1,000		9,321
DeNA Co. Ltd.		1,500		30,933
Denka Co. Ltd.		1,100		44,015

The accompanying notes are an integral part of the portfolio of investments.

205

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Denki Kogyo Co. Ltd.		200	$	5,655
Denso Corp.		8,100		486,309
Dentsu, Inc.		4,000		168,768
Denyo Co. Ltd.		200		3,563
Descente Ltd.		600		10,333
Dexerials Corp.		600		7,725
DIC Corp.		1,100		41,602
Digital Arts, Inc.		100		3,993
Digital Garage, Inc.		500		13,161
Dip Corp.		400		10,341
Disco Corp.		500		110,087
DMG Mori Co. Ltd.		1,300		26,841
Don Quijote Holdings Co. Ltd.		2,200		115,010
Doshisha Co. Ltd.		300		6,377
Doutor Nichires Holdings Co. Ltd.		400		9,873
Dowa Holdings Co. Ltd.		700		28,588
DTS Corp.		200		6,482
Dunlop Sports Co. Ltd. (b) (c) (e)		100		1,860
Duskin Co. Ltd.		500		13,182
DyDo Group Holdings, Inc.		100		5,278
Eagle Industry Co. Ltd.		300		5,593
Earth Chemical Co. Ltd.		200		10,059
East Japan Railway Co.		5,900		575,197
Ebara Corp.		1,300		49,575
EDION Corp. (a)		1,000		11,677
The Ehime Bank Ltd.		300		3,584
The Eighteenth Bank Ltd.		2,000		5,144
Eiken Chemical Co. Ltd.		200		9,563
Eisai Co. Ltd.		4,600		260,449
Eizo Corp.		200		9,404
Elecom Co. Ltd.		200		4,613
Electric Power Development Co. Ltd.		2,900		78,147
Elematec Corp.		100		2,288
en-japan, Inc.		300		14,119
Enplas Corp.		100		4,146
EPS Holdings, Inc.		400		9,033
eRex Co. Ltd.		300		2,824
euglena Co. Ltd. (a) (b)		800		7,476
EXEDY Corp.		400		12,376
Ezaki Glico Co. Ltd.		600		29,914
F@N Communications, Inc.		700		5,574
FamilyMart UNY Holdings Co. Ltd.		1,300		91,040
Fancl Corp.		500		14,771
FANUC Corp.		3,400		816,880
Fast Retailing Co., Ltd.		900		358,865
FCC Co. Ltd.		400		10,449
FDK Corp. (b)		1,000		1,901
Feed One Co. Ltd.		1,600		3,764
Ferrotec Holdings Corp.		500		10,151
FFRI, Inc. (b)		100		3,499
Fields Corp.		200		2,140
Financial Products Group Co. Ltd.		900		10,918
Foster Electric Co. Ltd.		300		7,433

	Number of Shares		Value
FP Corp.		300	$	16,110
France Bed Holdings Co. Ltd.		200		1,893
Frontier Real Estate Investment Corp.		27		104,958
Fudo Tetra Corp.		2,400		3,895
Fuji Co. Ltd.		200		4,308
Fuji Electric Co. Ltd.		10,000		75,221
Fuji Kyuko Co. Ltd.		300		8,676
Fuji Machine Manufacturing Co. Ltd.		800		15,349
Fuji Oil Holdings, Inc.		700		20,431
Fuji Pharma Co. Ltd.		100		3,851
Fuji Seal International, Inc.		600		19,528
Fuji Soft, Inc.		300		9,611
Fujibo Holdings, Inc.		100		3,298
Fujicco Co. Ltd.		300		6,683
FUJIFILM Holdings Corp.		7,200		293,945
Fujikura Ltd.		3,300		29,124
Fujimi, Inc.		200		4,196
Fujimori Kogyo Co. Ltd.		200		7,110
Fujita Kanko, Inc.		100		3,134
Fujitec Co. Ltd.		700		10,100
Fujitsu General Ltd.		700		15,330
Fujitsu Ltd.		35,000		248,083
Fujiya Co. Ltd.		100		2,324
Fukuda Corp.		100		6,019
Fukuda Denshi Co. Ltd.		100		7,302
Fukui Computer Holdings, Inc.		100		2,861
Fukuoka Financial Group, Inc.		13,000		73,063
Fukuoka REIT Corp.		41		61,208
Fukushima Industries Corp.		100		4,408
Fukuyama Transporting Co. Ltd.		400		15,161
FULLCAST Holdings Co. Ltd.		300		6,146
Funai Electric Co. Ltd. (a)		200		1,546
Funai Soken Holdings, Inc.		450		10,039
Furukawa Co. Ltd.		400		8,196
Furukawa Electric Co. Ltd.		900		44,352
Fuso Chemical Co. Ltd.		200		5,427
Futaba Corp.		400		8,371
Futaba Industrial Co. Ltd.		800		7,437
Future Corp.		300		3,229
Fuyo General Lease Co. Ltd.		200		13,245
G-Tekt Corp.		200		4,114
Gecoss Corp.		100		1,237
Genky DrugStores Co. Ltd. (a) (b)		100		3,643
Geo Holdings Corp.		400		7,727
Giken Ltd.		200		5,239
Global One Real Estate Investment Corp.		3		10,627
Glory Ltd.		800		30,174
GLP J-Reit		145		156,675
GMO internet, Inc.		1,000		16,932
GMO Payment Gateway, Inc. (a)		200		16,496
GNI Group Ltd. (b)		1,000		5,264
Godo Steel Ltd.		100		2,100

The accompanying notes are an integral part of the portfolio of investments.

206

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Goldcrest Co. Ltd.		200	$	4,031
Goldwin, Inc.		100		7,917
Gree, Inc.		1,500		9,396
GS Yuasa Corp.		4,000		19,924
GungHo Online Entertainment, Inc. (a)		5,300		14,564
The Gunma Bank Ltd.		4,600		27,855
Gunosy, Inc. (b)		200		6,100
Gunze Ltd.		200		11,451
Gurunavi, Inc.		400		4,744
H2O Retailing Corp.		1,100		23,005
The Hachijuni Bank Ltd.		7,700		43,984
Hakuhodo DY Holdings, Inc.		3,700		48,132
Halows Co. Ltd.		100		2,310
Hamakyorex Co. Ltd.		200		5,712
Hamamatsu Photonics KK		2,300		77,050
Hankyu Hanshin Holdings, Inc.		4,100		164,715
Hankyu Reit, Inc.		8		9,250
Hanwa Co. Ltd.		400		18,465
Harmonic Drive Systems, Inc. (a)		400		23,342
Haseko Corp.		3,600		55,720
Hazama Ando Corp.		2,200		17,225
HEALIOS KK (b)		100		1,718
Hearts United Group Co. Ltd.		200		3,029
Heiwa Corp.		800		15,016
Heiwa Real Estate Co. Ltd.		500		8,983
Heiwa Real Estate REIT, Inc.		11		9,137
Heiwado Co. Ltd.		400		8,302
Hibiya Engineering Ltd.		300		6,402
Hiday Hidaka Corp.		240		7,345
Hikari Tsushin, Inc.		400		57,472
Hino Motors Ltd.		5,000		64,860
Hiramatsu, Inc. (a)		200		1,011
Hirata Corp.		100		10,345
Hirose Electric Co. Ltd.		600		87,727
The Hiroshima Bank Ltd.		3,300		28,610
HIS Co. Ltd.		500		18,107
Hisaka Works Ltd.		300		3,183
Hisamitsu Pharmaceutical Co., Inc.		1,000		60,563
Hitachi Capital Corp.		600		15,100
Hitachi Chemical Co. Ltd.		2,100		53,957
Hitachi Construction Machinery Co. Ltd.		2,100		76,175
Hitachi High-Technologies Corp.		1,400		59,043
Hitachi Kokusai Electric, Inc.		400		11,027
Hitachi Ltd.		85,000		661,223
Hitachi Metals Ltd.		4,200		60,045
Hitachi Transport System Ltd.		500		13,037
Hitachi Zosen Corp.		2,300		12,108
Hochiki Corp.		200		4,299
Hodogaya Chemical Co. Ltd.		100		5,275
Hogy Medical Co.		100		7,570
Hokkaido Electric Power Co., Inc. (b)		2,400		15,814
The Hokkoku Bank Ltd.		300		11,919
The Hokuetsu Bank Ltd.		300		6,919

	Number of Shares		Value
Hokuetsu Kishu Paper Co. Ltd.		1,500	$	8,962
Hokuhoku Financial Group, Inc.		1,500		23,376
Hokuriku Electric Power Co.		2,000		16,112
Hokuto Corp.		400		7,279
Honda Motor Co. Ltd.		30,500		1,045,708
Horiba Ltd.		500		30,058
Hoshino Resorts REIT, Inc.		3		14,554
Hoshizaki Corp.		900		79,459
Hosiden Corp.		800		11,750
House Foods Group, Inc.		800		26,533
Hoya Corp.		6,900		344,778
Hulic Co. Ltd.		22,000		246,273
Hulic Reit, Inc.		55		80,052
The Hyakugo Bank Ltd.		2,800		13,331
The Hyakujushi Bank Ltd.		3,000		9,925
Ibiden Co. Ltd.		1,500		22,468
IBJ Leasing Co. Ltd.		400		10,196
Ichibanya Co. Ltd.		200		8,083
Ichigo Office REIT Investment		17		11,649
Ichigo, Inc. (a)		2,600		9,843
Ichikoh Industries Ltd.		400		3,562
Ichiyoshi Securities Co. Ltd.		600		6,840
Icom, Inc.		200		4,676
Idec Corp. (a)		300		7,136
Idemitsu Kosan Co. Ltd.		2,100		84,036
IDOM, Inc.		900		6,377
IHI Corp.		2,500		83,220
Iida Group Holdings Co. Ltd.		2,300		43,337
Iino Kaiun Kaisha Ltd.		1,400		7,877
Inaba Denki Sangyo Co. Ltd.		300		13,986
Inabata & Co. Ltd.		400		6,049
Industrial & Infrastructure Fund Investment Corp.		21		90,178
Ines Corp.		400		4,142
Infocom Corp.		200		4,852
Infomart Corp. (a)		1,200		7,142
Information Services International-Dentsu Ltd.		200		4,524
Inpex Corp.		16,100		201,471
Internet Initiative Japan, Inc.		400		7,299
Invesco Office J-Reit, Inc.		11		10,691
Invincible Investment Corp.		225		95,635
Iriso Electronics Co. Ltd.		200		11,932
Iseki & Co. Ltd.		200		5,042
Isetan Mitsukoshi Holdings Ltd.		5,500		67,979
Ishihara Sangyo Kaisha Ltd. (b)		500		9,422
Istyle, Inc.		400		3,125
Isuzu Motors Ltd.		10,300		172,246
Ito En Ltd.		700		27,537
ITOCHU Corp.		25,900		483,575
Itochu Enex Co. Ltd.		700		6,727
Itochu Techno-Solutions Corp.		600		26,006
Itoham Yonekyu Holdings, Inc.		1,700		15,550

The accompanying notes are an integral part of the portfolio of investments.

207

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Itoki Corp. (a)		600	$	4,435
Iwatani Corp.		500		16,113
The Iyo Bank Ltd.		3,100		24,809
Izumi Co. Ltd.		400		24,829
J Front Retailing Co. Ltd.		4,800		90,299
J Trust Co. Ltd. (a)		1,000		6,507
J-Oil Mills, Inc.		100		3,492
JAC Recruitment Co. Ltd.		100		1,940
Jaccs Co. Ltd.		300		7,020
Jafco Co. Ltd.		400		23,060
Jamco Corp.		100		2,347
Japan Airlines Co. Ltd.		2,400		93,912
Japan Airport Terminal Co. Ltd.		900		33,396
Japan Asset Marketing Co. Ltd. (b)		2,700		3,018
Japan Aviation Electronics Industry Ltd.		1,000		16,931
Japan Cash Machine Co. Ltd. (a)		200		2,015
Japan Display, Inc. (a) (b)		4,100		8,299
Japan Drilling Co. Ltd. (b)		100		2,120
Japan Excellent, Inc.		73		84,941
Japan Exchange Group, Inc.		9,100		157,648
Japan Hotel REIT Investment Corp.		236		158,350
Japan Investment Adviser Co. Ltd.		100		2,797
Japan Lifeline Co. Ltd.		600		12,537
Japan Logistics Fund, Inc.		49		90,350
Japan Material Co. Ltd.		200		7,248
Japan Petroleum Exploration Co.		500		13,239
Japan Post Bank Co. Ltd.		6,400		83,102
Japan Post Holdings Co. Ltd.		28,400		325,517
Japan Prime Realty Investment Corp.		51		162,045
Japan Pulp & Paper Co. Ltd.		100		3,831
Japan Real Estate Investment Corp.		82		389,335
Japan Rental Housing Investments, Inc.		96		70,022
Japan Retail Fund Investment Corp.		179		328,127
Japan Securities Finance Co. Ltd.		1,400		7,943
The Japan Steel Works Ltd.		800		25,684
Japan Tissue Engineering Co. Ltd. (a) (b)		300		3,262
Japan Tobacco, Inc.		19,500		628,058
The Japan Wool Textile Co. Ltd.		800		7,712
JCR Pharmaceuticals Co. Ltd.		200		9,430
JCU Corp.		100		4,843
Jeol Ltd.		1,000		5,654
JFE Holdings, Inc.		8,900		213,835
JGC Corp.		3,300		63,738
Jimoto Holdings, Inc.		2,600		4,449
JINS, Inc. (a)		200		10,500
Joshin Denki Co. Ltd.		200		7,098
Joyful Honda Co. Ltd.		300		9,333
JSP Corp.		200		6,857
JSR Corp.		3,700		72,862
JTEKT Corp.		4,400		75,632
The Juroku Bank Ltd.		400		11,773
Justsystems Corp.		500		9,514

	Number of Shares		Value
JVC Kenwood Corp.		2,100	$	7,183
JXTG Holdings, Inc.		53,850		347,938
K&O Energy Group, Inc.		200		3,357
K’s Holdings Corp.		900		23,056
kabu.com Securities Co. Ltd.		2,000		6,250
Kadokawa Dwango (b)		600		7,408
Kaga Electronics Co. Ltd.		200		5,454
Kagome Co. Ltd.		1,000		37,151
Kajima Corp.		15,000		144,162
Kakaku.com, Inc.		2,700		45,662
Kaken Pharmaceutical Co., Ltd.		400		20,645
Kameda Seika Co. Ltd.		100		4,575
Kamei Corp.		200		3,468
Kamigumi Co. Ltd.		2,500		55,255
Kanamoto Co. Ltd.		300		9,307
Kandenko Co. Ltd.		1,000		10,557
Kaneka Corp.		5,000		45,680
Kanematsu Corp.		900		12,448
Kanematsu Electronics Ltd.		200		6,001
The Kansai Electric Power Co., Inc.		11,700		143,190
Kansai Paint Co. Ltd.		3,600		93,479
Kansai Super Market Ltd.		200		2,184
Kansai Urban Banking Corp.		400		5,210
Kanto Denka Kogyo Co. Ltd.		500		6,077
Kao Corp.		8,800		595,213
Kappa Create Co. Ltd. (b)		400		4,536
Kasai Kogyo Co. Ltd.		300		4,941
Katakura Industries Co. Ltd. (a)		400		5,461
Kato Sangyo Co. Ltd.		300		11,007
Kato Works Co. Ltd.		100		3,036
Kawasaki Heavy Industries Ltd.		2,400		84,120
Kawasaki Kisen Kaisha Ltd. (a) (b)		1,200		30,528
KDDI Corp.		31,900		794,225
Keihan Holdings Co., Ltd.		2,000		58,808
Keihin Corp.		600		12,194
Keikyu Corp.		4,000		76,777
Keio Corp.		1,900		83,551
Keisei Electric Railway Co. Ltd.		2,200		70,624
The Keiyo Bank Ltd.		3,000		13,721
Keiyo Co. Ltd. (a)		400		2,424
Kenedix Office Investment Corp.		21		119,202
Kenedix Residential Investment Corp.		5		14,508
Kenedix Retail REIT Corp.		32		66,170
Kenedix, Inc.		3,000		18,283
Kenko Mayonnaise Co. Ltd.		200		7,234
Kewpie Corp.		1,400		37,343
Key Coffee, Inc.		300		5,786
Keyence Corp.		1,700		949,222
KH Neochem Co. Ltd.		300		7,671
Kikkoman Corp.		2,400		97,036
Kinden Corp.		1,700		27,673
Kintetsu Department Store Co. Ltd. (b)		100		3,657
Kintetsu Group Holdings Co. Ltd.		3,100		118,550

The accompanying notes are an integral part of the portfolio of investments.

208

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Kintetsu World Express, Inc.		500	$	10,333
Kirin Holdings Co. Ltd.		15,600		392,494
Kisoji Co. Ltd.		300		7,408
Kissei Pharmaceutical Co. Ltd.		400		11,339
Kitz Corp.		1,200		9,262
The Kiyo Bank Ltd.		900		14,961
KLab, Inc.		400		6,340
KNT-CT Holdings Co. Ltd. (b)		200		3,213
Koa Corp.		300		6,159
Koatsu Gas Kogyo Co. Ltd.		300		2,530
Kobayashi Pharmaceutical Co. Ltd.		600		38,881
Kobe Bussan Co. Ltd.		100		3,829
Kobe Steel Ltd. (b)		4,500		41,747
Koei Tecmo Holdings Co. Ltd.		500		10,106
Kohnan Shoji Co. Ltd.		400		8,628
Koito Manufacturing Co. Ltd.		2,000		140,634
Kokuyo Co. Ltd.		1,000		18,580
Komatsu Ltd.		16,200		586,819
KOMEDA Holdings Co. Ltd.		500		9,205
Komeri Co. Ltd.		400		11,534
Komori Corp.		700		9,812
Konami Holdings Corp.		1,800		98,912
Konica Minolta, Inc.		7,600		73,149
Konishi Co. Ltd.		400		7,466
Konoike Transport Co. Ltd.		400		7,073
Kose Corp.		500		78,076
Koshidaka Holdings Co. Ltd.		100		4,688
Kotobuki Spirits Co. Ltd.		200		11,135
Kubota Corp.		18,800		368,136
Kumagai Gumi Co. Ltd.		500		14,011
Kumiai Chemical Industry Co. Ltd.		971		6,537
Kura Corp.		100		5,850
Kurabo Industries Ltd.		2,000		6,494
Kuraray Co. Ltd.		6,400		120,799
Kureha Corp.		200		14,524
Kurita Water Industries Ltd.		2,000		64,975
Kusuri no Aoki Holdings Co. Ltd.		100		5,296
KYB Corp.		200		11,648
Kyocera Corp.		5,800		378,978
Kyodo Printing Co. Ltd.		100		3,208
Kyoei Steel Ltd. (a)		300		5,746
Kyokuto Kaihatsu Kogyo Co. Ltd.		400		7,053
Kyokuto Securities Co. Ltd.		300		4,414
KYORIN Holdings, Inc.		600		11,192
Kyoritsu Maintenance Co. Ltd. (a)		400		16,159
Kyowa Exeo Corp.		1,000		25,891
Kyowa Hakko Kirin Co. Ltd.		4,300		83,053
Kyudenko Corp.		500		24,102
Kyushu Electric Power Co, Inc.		7,100		74,372
Kyushu Financial Group, Inc.		6,600		39,891
Kyushu Railway Co.		2,500		77,353
Laox Co. Ltd. (b)		400		2,056
LaSalle Logiport REIT		14		14,327

	Number of Shares		Value
Lasertec Corp.		500	$	12,610
Lawson, Inc.		800		53,135
Leopalace21 Corp.		3,200		24,883
Life Corp.		200		5,387
LIFULL Co. Ltd.		700		6,238
LINE Corp. (a) (b)		1,000		40,891
Linical Co. Ltd.		200		2,849
Link And Motivation, Inc.		500		4,078
Lintec Corp.		600		16,754
Lion Corp.		4,400		83,064
LIXIL Group Corp.		5,100		137,885
LIXIL VIVA Corp.		200		3,438
M&A Capital Partners Co. Ltd. (b)		100		6,536
M3, Inc.		3,500		122,530
Mabuchi Motor Co. Ltd.		900		48,585
Macnica Fuji Electronics Holdings, Inc.		500		10,907
Macromill, Inc.		300		7,161
Maeda Corp.		1,700		23,378
Maeda Kosen Co. Ltd.		200		3,680
Maeda Road Construction Co. Ltd.		1,000		22,926
Makino Milling Machine Co. Ltd.		1,000		10,132
Makita Corp.		4,200		175,846
Mandom Corp.		500		16,342
Mani, Inc.		300		9,126
Mars Engineering Corp.		100		2,230
Marubeni Corp.		28,600		207,670
Marudai Food Co. Ltd.		1,000		4,488
Maruha Nichiro Corp.		600		18,049
Marui Group Co. Ltd.		4,000		73,086
Maruichi Steel Tube Ltd.		1,000		29,259
Marusan Securities Co. Ltd.		800		7,152
Maruwa Co. Ltd.		100		6,686
Maruwa Unyu Kikan Co. Ltd.		100		3,213
Maruzen Showa Unyu Co. Ltd.		1,000		4,488
Marvelous, Inc. (a)		400		3,688
Matsuda Sangyo Co. Ltd.		200		3,290
Matsui Securities Co. Ltd.		1,700		14,353
Matsumotokiyoshi Holdings Co. Ltd.		1,000		41,036
Matsuya Co. Ltd.		400		5,504
Matsuya Foods Co. Ltd.		100		3,704
Max Co. Ltd.		300		4,295
Maxell Holdings Ltd.		500		10,684
Mazda Motor Corp.		9,700		130,156
McDonald’s Holdings Co. Japan Ltd. (a)		1,000		43,982
MCJ Co. Ltd.		500		5,241
MCUBS MidCity Investment Corp.		20		13,313
Mebuki Financial Group Inc.		20,100		85,123
Medipal Holdings Corp.		3,300		64,626
Megachips Corp. (a)		200		6,001
Megmilk Snow Brand Co. Ltd.		700		20,692
Meidensha Corp.		2,000		8,274
MEIJI Holdings Co. Ltd.		2,200		186,957
Meiko Network Japan Co. Ltd.		300		3,547

The accompanying notes are an integral part of the portfolio of investments.

209

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Meitec Corp.		300	$	15,794
Melco Holdings, Inc.		100		3,440
Menicon Co. Ltd.		200		5,559
METAWATER Co. Ltd.		200		5,173
Micronics Japan Co. Ltd.		400		4,117
The Mie Bank Ltd.		100		2,248
Milbon Co. Ltd.		200		6,715
Mimasu Semiconductor Industry Co. Ltd.		200		3,817
The Minato Bank Ltd.		200		3,760
MinebeaMitsumi, Inc.		6,600		138,481
Ministop Co. Ltd.		200		4,321
Miraca Holdings, Inc.		700		29,982
Mirait Holdings Corp.		800		11,909
Miroku Jyoho Service Co. Ltd.		200		5,379
Misawa Homes Co. Ltd.		300		2,640
MISUMI Group, Inc.		5,100		147,766
Mitsuba Corp.		400		6,008
Mitsubishi Chemical Holding Corp.		25,500		279,948
Mitsubishi Corp.		26,700		737,901
Mitsubishi Electric Corp.		34,200		568,259
Mitsubishi Estate Co. Ltd.		78,200		1,358,755
Mitsubishi Gas Chemical Co., Inc.		2,900		83,429
Mitsubishi Heavy Industries Ltd.		5,500		205,337
Mitsubishi Logisnext Co. Ltd.		500		4,412
Mitsubishi Logistics Corp.		800		20,744
Mitsubishi Materials Corp.		1,900		67,643
Mitsubishi Motors Corp.		10,400		75,155
Mitsubishi Pencil Co. Ltd.		400		8,734
Mitsubishi Research Institute, Inc.		100		3,512
Mitsubishi Shokuhin Co. Ltd.		200		5,873
Mitsubishi Steel Manufacturing Co. Ltd.		200		4,966
Mitsubishi Tanabe Pharma Corp.		3,500		72,146
Mitsubishi UFJ Financial Group, Inc.		210,900		1,547,457
Mitsubishi UFJ Lease & Finance Co. Ltd.		8,500		50,637
Mitsui & Co. Ltd.		29,600		480,728
Mitsui Chemicals, Inc.		3,200		102,991
Mitsui Engineering & Shipbuilding Co. Ltd.		900		13,467
Mitsui Fudosan Co. Ltd.		60,300		1,351,802
Mitsui Fudosan Logistics Park, Inc.		3		9,521
Mitsui High-Tec, Inc.		300		5,428
Mitsui Mining & Smelting Co. Ltd.		700		40,754
Mitsui OSK Lines Ltd.		2,200		73,448
Mitsui Sugar Co. Ltd.		200		8,445
Mitsui-Soko Holdings Co. Ltd. (b)		1,000		3,425
Miura Co. Ltd.		1,100		29,642
Mixi, Inc.		600		26,951
The Miyazaki Bank Ltd.		200		6,811
Mizuho Financial Group, Inc.		418,500		760,168
Mizuno Corp.		200		5,885

	Number of Shares		Value
Mochida Pharmaceutical Co. Ltd.		100	$	7,635
Modec, Inc.		300		7,750
Monex Group, Inc.		2,800		7,940
MonotaRO Co. Ltd. (a)		800		25,525
Mori Hills REIT Investment Corp.		86		103,945
Mori Trust Hotel Reit, Inc.		5		6,328
Mori Trust Sogo Reit, Inc.		59		82,070
Morinaga & Co. Ltd.		500		25,342
Morinaga Milk Industry Co. Ltd.		500		22,634
Morita Holdings Corp.		400		7,511
MOS Food Services, Inc.		300		9,143
MS&AD Insurance Group Holdings, Inc.		8,200		277,652
MTI Ltd.		400		2,279
Murata Manufacturing Co. Ltd.		3,400		454,425
Musashi Seimitsu Industry Co. Ltd.		300		9,571
The Musashino Bank Ltd.		400		13,350
Nabtesco Corp.		2,200		84,384
Nachi-Fujikoshi Corp.		2,000		13,397
Nagaileben Co. Ltd.		300		7,534
Nagase & Co. Ltd.		1,400		25,132
Nagoya Railroad Co. Ltd.		3,199		80,508
Nakanishi, Inc.		300		15,647
Namura Shipbuilding Co. Ltd.		700		4,312
Nankai Electric Railway Co. Ltd.		1,400		34,666
NanoCarrier Co. Ltd. (a) (b)		500		2,860
The Nanto Bank Ltd.		300		8,054
NEC Capital Solutions Ltd.		100		2,062
NEC Corp.		4,700		126,827
NEC Networks & System Integration Corp.		300		7,917
NET One Systems Co. Ltd.		1,000		15,277
Neturen Co. Ltd.		500		5,508
Nexon Co. Ltd. (b)		3,300		95,898
NGK Insulators Ltd.		4,200		79,196
NGK Spark Plug Co. Ltd.		2,400		58,362
NH Foods Ltd.		3,000		72,902
NHK Spring Co. Ltd.		2,800		30,778
Nichi-iko Pharmaceutical Co. Ltd.		600		9,253
Nichias Corp.		1,000		13,311
Nichicon Corp.		700		9,167
Nichiden Corp.		200		4,103
Nichiha Corp.		400		16,747
NichiiGakkan Co. Ltd.		500		6,387
Nichirei Corp.		1,400		38,661
Nidec Corp.		4,200		589,569
Nifco, Inc. (a)		500		34,134
Nihon Chouzai Co. Ltd.		100		3,046
Nihon Kohden Corp.		900		20,891
Nihon M&A Center, Inc.		800		38,132
Nihon Nohyaku Co. Ltd.		700		4,141
Nihon Parkerizing Co. Ltd.		1,200		20,251
Nihon Trim Co. Ltd.		100		4,534

The accompanying notes are an integral part of the portfolio of investments.

210

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Nihon Unisys Ltd.		900	$	18,620
Nikkiso Co. Ltd.		800		8,744
Nikkon Holdings Co. Ltd.		700		19,671
Nikon Corp.		5,600		112,674
Nintendo Co. Ltd.		2,000		728,104
Nippo Corp.		1,000		23,365
Nippon Accommodations Fund, Inc.		26		107,156
Nippon Beet Sugar Manufacturing Co. Ltd.		100		2,420
Nippon Building Fund, Inc.		82		401,181
Nippon Ceramic Co. Ltd.		200		5,136
Nippon Chemi-Con Corp.		200		6,199
Nippon Denko Co. Ltd. (a)		1,400		5,854
Nippon Densetsu Kogyo Co. Ltd.		500		10,807
Nippon Electric Glass Co. Ltd.		1,300		49,628
Nippon Express Co. Ltd.		1,500		99,610
Nippon Flour Mills Co. Ltd.		500		7,663
Nippon Gas Co. Ltd.		500		18,151
Nippon Kanzai Co. Ltd.		300		5,476
Nippon Kayaku Co. Ltd.		2,000		29,648
Nippon Koei Co. Ltd.		100		3,102
Nippon Light Metal Holdings Co. Ltd.		7,600		21,658
Nippon Paint Holdings Co. Ltd. (a)		2,600		81,944
Nippon Paper Industries Co. Ltd.		1,400		26,594
Nippon Parking Development Co. Ltd.		3,100		5,272
Nippon Prologis REIT, Inc.		115		243,121
NIPPON REIT Investment Corp. (a)		5		14,350
The Nippon Road Co. Ltd.		100		5,837
Nippon Seiki Co. Ltd.		600		12,874
Nippon Sharyo Ltd. (b)		1,000		3,007
Nippon Sheet Glass Co. Ltd. (b)		1,200		10,890
Nippon Shinyaku Co. Ltd.		600		44,582
Nippon Shokubai Co. Ltd.		300		20,269
Nippon Signal Co. Ltd.		700		7,418
Nippon Soda Co. Ltd.		1,000		6,648
Nippon Steel & Sumikin Bussan Corp.		200		12,129
Nippon Steel & Sumitomo Metal Corp.		13,500		346,510
Nippon Suisan Kaisha Ltd.		4,000		20,914
Nippon Telegraph & Telephone Corp.		12,300		578,783
Nippon Thompson Co. Ltd.		800		6,357
Nippon Yusen KK (b)		3,000		73,111
Nipro Corp.		1,800		26,634
Nishi-Nippon Financial Holdings, Inc.		1,800		21,576
Nishi-Nippon Railroad Co. Ltd.		800		21,567
Nishimatsu Construction Co. Ltd.		600		16,831
Nishimatsuya Chain Co. Ltd.		600		6,669
Nishio Rent All Co. Ltd.		200		6,483
Nissan Chemical Industries Ltd.		1,900		75,716
Nissan Motor Co. Ltd.		41,600		414,872
Nissan Shatai Co. Ltd.		1,100		11,233
Nissei ASB Machine Co. Ltd.		100		6,071
Nissha Co. Ltd.		400		11,583
The Nisshin Oillio Group Ltd.		300		9,093

	Number of Shares		Value
Nisshin Seifun Group, Inc.		3,800	$	76,601
Nisshin Steel Co. Ltd.		700		11,490
Nisshinbo Holdings, Inc.		1,856		25,123
Nissin Corp.		200		5,604
Nissin Electric Co. Ltd.		700		8,146
Nissin Foods Holdings Co. Ltd.		1,100		80,202
Nissin Kogyo Co. Ltd.		500		9,897
Nitori Holdings Co. Ltd.		1,400		199,621
Nitta Corp.		300		11,507
Nittetsu Mining Co. Ltd.		100		7,318
Nitto Boseki Co. Ltd.		400		11,543
Nitto Denko Corp.		2,900		257,765
Nitto Kogyo Corp.		400		6,418
Nitto Kohki Co. Ltd.		100		2,536
Nittoku Engineering Co. Ltd.		200		8,432
Noevir Holdings Co. Ltd.		200		14,794
NOF Corp.		900		24,170
Nohmi Bosai Ltd.		300		5,456
Nojima Corp.		300		7,161
NOK Corp.		1,400		32,608
Nomura Co. Ltd.		500		11,390
Nomura Holdings, Inc.		65,400		386,184
Nomura Real Estate Holdings, Inc.		7,300		163,701
Nomura Real Estate Master Fund, Inc.		249		309,157
Nomura Research Institute Ltd.		2,200		102,190
Noritake Co. Ltd.		100		5,066
Noritz Corp.		400		7,838
North Pacific Bank Ltd.		3,800		12,698
NS Solutions Corp.		500		13,629
NS United Kaiun Kaisha Ltd.		100		2,432
NSD Co. Ltd.		500		10,641
NSK Ltd.		6,500		102,378
NTN Corp.		5,400		26,744
NTT Data Corp.		11,700		138,855
NTT DOCOMO, Inc.		24,400		576,372
NTT Urban Development Corp.		7,000		81,038
Obara Group, Inc.		100		6,829
Obayashi Corp.		10,900		131,809
OBIC Business Consultants Co. Ltd.		100		5,814
Obic Co. Ltd.		1,000		73,510
Odakyu Electric Railway Co. Ltd.		5,200		111,131
The Ogaki Kyoritsu Bank Ltd.		500		12,614
Ohsho Food Service Corp.		200		9,584
Oiles Corp.		300		5,988
The Oita Bank Ltd.		200		7,767
Oji Holdings Corp.		15,000		99,713
Okabe Co. Ltd.		600		5,719
Okamoto Industries, Inc.		1,000		10,112
Okamura Corp.		1,000		14,621
Okasan Securities Group, Inc.		2,000		12,371
Oki Electric Industry Co. Ltd.		1,000		14,015
The Okinawa Electric Power Co., Inc.		350		9,100
OKUMA Corp.		300		19,951

The accompanying notes are an integral part of the portfolio of investments.

211

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Okumura Corp.		400	$	16,458
Olympus Corp.		5,000		191,440
Omron Corp.		3,300		196,554
OncoTherapy Science, Inc. (a) (b)		1,700		3,454
Ono Pharmaceutical Co. Ltd.		6,900		160,589
Onward Holdings Co. Ltd.		1,500		12,984
Open House Co. Ltd.		400		21,480
Optex Co. Ltd.		200		10,506
Oracle Corp.		600		49,750
Orient Corp.		5,700		9,097
Oriental Land Co. Ltd.		3,900		355,547
ORIX Corp.		23,800		402,417
Orix JREIT, Inc.		150		207,832
Osaka Gas Co. Ltd.		6,200		119,325
Osaka Soda Co. Ltd.		200		5,118
Osaka Steel Co. Ltd.		200		4,186
OSAKA Titanium Technologies Co. Ltd.		300		5,507
Osaki Electric Co. Ltd.		500		3,610
OSG Corp.		900		19,469
OSJB Holdings Corp.		1,900		5,660
Otsuka Corp.		900		68,942
Otsuka Holdings Co. Ltd.		6,800		297,792
Outsourcing, Inc.		1,000		18,211
Oyo Corp.		200		2,565
Pacific Industrial Co. Ltd. (a)		600		9,313
Pacific Metals Co. Ltd. (b)		200		5,547
The Pack Corp.		200		6,439
PAL GROUP Holdings Co. Ltd.		100		3,147
PALTAC CORPORATION		400		18,231
Panasonic Corp.		39,300		575,528
Paramount Bed Holdings Co. Ltd. (a)		200		9,897
Parco Co. Ltd.		200		2,760
Park24 Co. Ltd. (a)		2,200		52,634
Pasona Group, Inc.		200		4,044
PC Depot Corp.		200		1,530
Penta-Ocean Construction Co. Ltd.		3,500		26,099
Pepper Food Service Co. Ltd.		100		4,447
PeptiDream, Inc. (b)		1,000		34,206
Persol Holdings Co. Ltd.		3,300		82,735
PIA Corp.		100		6,396
Pigeon Corp.		1,500		57,090
Pilot Corp.		500		24,121
Piolax, Inc.		400		11,896
Pioneer Corp. (b)		4,300		8,709
Plenus Co. Ltd.		300		6,526
Pola Orbis Holdings, Inc. (a)		1,800		63,009
Premier Investment Corp.		80		75,688
Press Kogyo Co. Ltd.		1,300		7,882
Pressance Corp.		300		4,003
Prestige International, Inc.		600		7,646
Prima Meat Packers Ltd.		2,000		14,653
Proto Corp.		200		2,870

	Number of Shares		Value
Qol Co. Ltd.		200	$	3,752
Raito Kogyo Co. Ltd.		600		6,851
Rakuten, Inc. (b)		16,000		146,322
Recruit Holdings Co. Ltd.		19,700		489,268
Relia, Inc.		600		7,005
Relo Group, Inc.		1,400		38,132
Renesas Electronics Corp. (b)		9,600		111,122
Rengo Co. Ltd.		2,300		16,741
Resona Holdings, Inc.		38,300		228,886
Resorttrust, Inc. (a)		1,100		25,009
Ricoh Co. Ltd.		11,600		107,820
Ricoh Leasing Co. Ltd.		200		6,917
Riken Corp.		100		5,640
Riken Keiki Co. Ltd.		200		4,596
Riken Vitamin Co. Ltd.		100		3,977
Ringer Hut Co. Ltd.		300		6,817
Rinnai Corp.		700		63,377
Riso Kagaku Corp.		300		5,693
Rock Field Co. Ltd.		300		5,436
Rohm Co. Ltd.		1,600		176,270
Rohto Pharmaceutical Co. Ltd.		1,200		31,941
Rokko Butter Co. Ltd.		200		4,837
Roland DG Corp.		200		5,371
Round One Corp.		900		15,087
Royal Holdings Co. Ltd. (a)		400		11,017
Ryobi Ltd.		300		8,525
Ryohin Keikaku Co. Ltd.		400		124,542
Ryosan Co. Ltd.		300		11,532
Ryoyo Electro Corp.		300		5,496
S Foods, Inc.		200		9,063
Sac’s Bar Holdings, Inc.		200		2,478
Saizeriya Co. Ltd.		400		13,386
Sakai Chemical Industry Co. Ltd.		200		5,341
Sakai Moving Service Co. Ltd.		100		4,910
Sakata INX Corp.		600		9,594
Sakata Seed Corp.		400		13,874
San-A Co. Ltd.		200		9,668
San-Ai Oil Co. Ltd.		700		10,195
The San-In Godo Bank Ltd.		1,800		17,359
SanBio Co. Ltd. (b)		200		5,720
Sanden Holdings Corp. (b)		200		4,010
Sangetsu Corp.		800		14,749
Sanken Electric Co. Ltd.		1,000		7,198
Sanki Engineering Co. Ltd.		500		6,071
Sankyo Co. Ltd.		800		25,158
Sankyo Tateyama, Inc.		400		6,040
Sankyu, Inc.		700		30,185
Sanrio Co. Ltd. (a)		700		11,710
Santen Pharmaceutical Co. Ltd.		6,600		103,619
Sanwa Holdings Corp.		2,700		37,178
Sanyo Chemical Industries Ltd.		100		5,232
Sanyo Denki Co. Ltd.		100		7,174
Sanyo Special Steel Co. Ltd.		200		5,118

The accompanying notes are an integral part of the portfolio of investments.

212

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Sapporo Holdings Ltd.		800	$	24,412
Sato Holdings Corp.		300		9,123
Sawai Pharmaceutical Co. Ltd.		400		17,868
SBI Holdings, Inc.		3,900		81,411
SCREEN Holdings Co. Ltd.		500		40,632
SCSK Corp.		600		27,600
Secom Co. Ltd.		3,600		271,881
Sega Sammy Holdings, Inc.		3,300		40,888
Seibu Holdings, Inc.		4,100		77,454
Seikagaku Corp.		500		7,430
Seiko Epson Corp.		5,300		124,807
Seiko Holdings Corp.		400		11,630
Seino Holdings Co. Ltd.		1,900		30,090
Seiren Co. Ltd.		700		13,688
Sekisui Chemical Co. Ltd.		6,600		132,344
Sekisui House Ltd.		10,300		185,865
Sekisui House Reit, Inc.		56		65,327
Sekisui House SI Residential Investment Corp.		69		68,937
Sekisui Jushi Corp.		400		8,131
Sekisui Plastics Co. Ltd.		300		3,949
Senko Group Holdings Co. Ltd.		1,400		10,105
Senshu Ikeda Holdings, Inc.		3,500		12,884
Senshukai Co. Ltd. (a) (b)		300		1,728
Septeni Holdings Co. Ltd.		1,000		3,093
Seria Co. Ltd.		500		30,098
Seven & i Holdings Co. Ltd.		13,300		552,411
Seven Bank Ltd.		12,800		43,862
Sharp Corp. (a) (b)		2,500		85,361
Shibuya Corp.		200		8,293
The Shiga Bank Ltd.		3,000		15,304
The Shikoku Bank Ltd.		300		4,225
Shikoku Chemicals Corp.		500		8,099
Shikoku Electric Power Co., Inc.		2,200		23,951
Shima Seiki Manufacturing Ltd.		300		18,891
Shimachu Co. Ltd.		500		14,403
Shimadzu Corp.		4,200		95,366
Shimamura Co. Ltd.		300		32,998
Shimano, Inc.		1,300		182,911
Shimizu Corp.		10,100		104,220
Shin-Etsu Chemical Co. Ltd.		6,900		699,831
Shin-Etsu Polymer Co. Ltd.		600		6,759
Shindengen Electric Manufacturing Co. Ltd.		100		7,895
Shinko Electric Industries Co. Ltd.		1,000		8,115
Shinko Plantech Co. Ltd.		600		6,361
Shinmaywa Industries Ltd.		1,000		9,522
Shinnihon Corp.		400		3,505
Shinsei Bank Ltd.		3,500		60,276
Shionogi & Co. Ltd.		5,100		275,741
Ship Healthcare Holdings, Inc.		600		19,895
Shiseido Co. Ltd.		6,600		318,129
The Shizuoka Bank Ltd.		10,000		103,343

	Number of Shares		Value
Shizuoka Gas Co. Ltd.		800	$	6,808
SHO-BOND Holdings Co. Ltd.		300		21,333
Shochiku Co. Ltd.		100		17,047
Shoei Foods Corp.		100		4,248
Showa Corp.		700		8,694
Showa Denko KK		1,800		76,791
Showa Sangyo Co. Ltd.		200		5,203
Showa Shell Sekiyu KK		3,500		47,547
Siix Corp. (a)		200		8,584
Sinfonia Technology Co. Ltd.		1,000		3,871
Sinko Industries Ltd.		300		5,801
Sintokogio Ltd.		600		7,670
SKY Perfect JSAT Holdings, Inc.		2,100		9,608
Skylark Co. Ltd. (a)		1,400		19,897
SMC Corp.		1,000		411,785
SMS Co. Ltd.		400		12,606
Sodick Co. Ltd.		400		5,196
SoftBank Group Corp.		14,300		1,129,745
Sogo Medical Co. Ltd.		100		5,266
Sohgo Security Services Co. Ltd.		1,100		59,802
Sojitz Corp.		16,100		49,458
Solasto Corp.		200		4,535
Sompo Holdings, Inc.		6,100		235,179
Sony Corp.		22,300		1,001,694
Sony Financial Holdings, Inc.		3,400		60,249
Sosei Group Corp. (a) (b)		200		19,331
Sotetsu Holdings, Inc.		999		26,234
Sparx Group Co. Ltd. (a)		1,200		3,318
Square Enix Holdings Co. Ltd.		1,100		52,229
ST Corp.		200		4,791
St Marc Holdings Co. Ltd.		200		5,518
Stanley Electric Co. Ltd.		2,300		93,415
Star Micronics Co. Ltd.		500		8,638
Start Today Co. Ltd.		3,500		106,439
Starts Corp., Inc.		400		10,461
Starzen Co. Ltd.		100		4,846
Stella Chemifa Corp.		100		3,298
Studio Alice Co. Ltd.		100		2,527
Subaru Corp.		11,000		348,269
Sugi Holdings Co. Ltd.		500		25,499
Sumco Corp.		4,200		106,809
Sumitomo Bakelite Co. Ltd.		2,000		16,834
Sumitomo Chemical Co. Ltd.		27,000		194,175
Sumitomo Corp.		21,100		357,650
Sumitomo Dainippon Pharma Co. Ltd.		2,300		34,181
Sumitomo Densetsu Co. Ltd.		200		4,248
Sumitomo Electric Industries Ltd.		13,900		234,552
Sumitomo Forestry Co. Ltd.		1,800		32,217
Sumitomo Heavy Industries Ltd.		2,000		84,716
Sumitomo Metal Mining Co. Ltd.		4,200		192,687
Sumitomo Mitsui Construction Co. Ltd.		2,320		12,950
Sumitomo Mitsui Financial Group, Inc.		23,700		1,023,603

The accompanying notes are an integral part of the portfolio of investments.

213

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Sumitomo Mitsui Trust Holdings, Inc.		6,100	$	242,252
Sumitomo Osaka Cement Co. Ltd.		5,000		23,997
Sumitomo Realty & Development Co. Ltd.		26,000		853,391
Sumitomo Riko Co. Ltd.		500		5,332
Sumitomo Rubber Industries Ltd.		3,600		66,886
Sumitomo Seika Chemicals Co. Ltd.		100		5,530
The Sumitomo Warehouse Co. Ltd.		1,000		7,212
Sun Frontier Fudousan Co. Ltd.		300		3,407
Sundrug Co. Ltd.		1,500		69,771
Suntory Beverage & Food Ltd.		2,600		115,623
Suruga Bank Ltd.		2,600		55,609
Sushiro Global Holdings Ltd.		200		8,014
Suzuken Co. Ltd.		1,400		57,606
Suzuki Motor Corp.		6,000		347,521
Sysmex Corp.		2,700		212,605
Systena Corp.		200		6,415
T Hasegawa Co. Ltd.		300		6,258
T&D Holdings, Inc.		9,200		157,395
T-Gaia Corp.		300		6,955
Tachi-S Co. Ltd.		400		7,326
Tadano Ltd.		1,400		23,257
Taihei Dengyo Kaisha Ltd.		200		5,168
Taiheiyo Cement Corp.		2,000		86,371
Taiho Kogyo Co. Ltd.		200		2,977
Taikisha Ltd.		300		10,146
Taisei Corp.		3,800		189,013
Taisho Pharmaceutical Holdings Co. Ltd.		600		47,785
Taiyo Holdings Co. Ltd.		200		8,883
Taiyo Nippon Sanso Corp.		2,200		30,751
Taiyo Yuden Co. Ltd.		1,300		20,269
Takamatsu Construction Group Co. Ltd.		200		5,637
Takara Bio, Inc.		700		9,753
Takara Holdings, Inc.		2,200		25,701
Takara Leben Co. Ltd.		1,100		4,857
Takara Standard Co. Ltd.		500		8,061
Takasago International Corp.		200		6,501
Takasago Thermal Engineering Co. Ltd.		600		11,000
Takashimaya Co. Ltd.		6,000		63,097
Takeda Pharmaceutical Co. Ltd.		12,700		719,031
Takeuchi Manufacturing Co. Ltd.		500		11,884
Takuma Co. Ltd.		1,000		13,965
Tamron Co. Ltd.		300		6,424
Tanaka Chemical Corp. (b)		100		1,714
Tanseisha Co. Ltd.		500		5,641
Tatsuta Electric Wire and Cable Co. Ltd.		500		3,991
Tayca Corp.		200		5,858
TDK Corp.		2,200		175,606
TechnoPro Holdings, Inc.		400		21,729
Teijin Ltd.		3,700		82,453
Teikoku Sen-I Co. Ltd.		300		6,020
Tekken Corp.		200		6,066

	Number of Shares		Value
Tenma Corp.		200	$	3,928
Terumo Corp.		5,700		269,330
THK Co. Ltd.		1,800		67,423
TIS, Inc.		1,000		34,939
TKC Corp.		200		7,304
Toa Corp. (b)		200		5,400
Toagosei Co. Ltd.		1,500		19,025
Tobu Railway Co. Ltd.		3,100		100,067
TOC Co. Ltd.		800		6,838
Tocalo Co. Ltd.		200		8,888
The Tochigi Bank Ltd.		800		3,220
Toda Corp.		3,000		24,046
Toei Animation Co. Ltd.		100		9,724
Toei Co. Ltd.		100		10,082
The Toho Bank Ltd.		3,000		10,531
Toho Co. Ltd.		1,700		58,883
Toho Gas Co. Ltd.		1,600		43,849
Toho Holdings Co. Ltd.		600		13,572
Toho Titanium Co. Ltd.		500		5,296
Toho Zinc Co. Ltd.		100		5,434
Tohoku Electric Power Co., Inc.		8,700		111,285
Tokai Carbon Co. Ltd.		2,500		30,963
Tokai Corp.		200		4,564
TOKAI Holdings Corp.		1,200		10,181
Tokai Rika Co. Ltd.		700		14,741
Tokai Tokyo Financial Holdings, Inc.		2,700		17,390
Token Corp.		100		11,816
Tokio Marine Holdings, Inc.		11,900		543,133
Tokushu Tokai Paper Co. Ltd.		100		3,784
Tokuyama Corp.		800		26,016
Tokyo Base Co. Ltd. (b)		100		4,403
Tokyo Broadcasting System Holdings, Inc.		500		12,470
Tokyo Dome Corp.		1,200		12,122
Tokyo Electric Power Co. Holdings, Inc. (b)		23,700		93,833
Tokyo Electron Ltd.		2,800		501,558
Tokyo Gas Co. Ltd.		6,800		155,289
Tokyo Ohka Kogyo Co. Ltd.		500		21,535
Tokyo Seimitsu Co. Ltd.		500		19,657
Tokyo Steel Manufacturing Co. Ltd.		1,400		12,565
Tokyo Tatemono Co. Ltd.		13,400		180,807
Tokyo TY Financial Group, Inc.		400		11,569
Tokyotokeiba Co. Ltd.		200		7,573
Tokyu Construction Co. Ltd.		1,100		10,722
Tokyu Corp.		10,000		159,301
Tokyu Fudosan Holdings Corp.		9,900		71,535
Tokyu REIT, Inc.		57		70,825
TOMONY Holdings, Inc.		1,900		9,753
Tomy Co. Ltd.		1,000		13,578
Topcon Corp.		1,300		28,084
Toppan Forms Co. Ltd.		700		7,929
Toppan Printing Co. Ltd.		10,000		90,362

The accompanying notes are an integral part of the portfolio of investments.

214

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Topre Corp.		400	$	11,293
Topy Industries Ltd.		200		6,145
Toray Industries, Inc.		25,300		238,636
Toridoll.corp.		300		11,178
Torii Pharmaceutical Co. Ltd.		200		5,371
Tosei Corp.		500		4,874
Toshiba Corp. (b)		115,000		323,263
Toshiba Machine Co. Ltd.		1,000		7,468
Toshiba Plant Systems & Services Corp.		700		13,063
Toshiba TEC Corp.		2,000		12,580
Tosho Co. Ltd.		200		6,456
Tosoh Corp.		5,300		120,195
Totetsu Kogyo Co. Ltd.		300		9,960
TOTO Ltd.		2,700		159,177
The Towa Bank Ltd.		500		6,764
Towa Pharmaceutical Co. Ltd.		100		5,454
Toyo Construction Co. Ltd.		1,000		5,842
Toyo Engineering Corp. (a)		400		4,616
Toyo Ink SC Holdings Co. Ltd.		2,000		11,827
Toyo Kanetsu KK		100		4,060
Toyo Kohan Co. Ltd.		600		2,596
Toyo Seikan Group Holdings Ltd.		3,400		54,548
Toyo Suisan Kaisha Ltd.		1,800		76,760
Toyo Tanso Co. Ltd.		100		3,119
Toyo Tire & Rubber Co. Ltd.		1,300		26,872
Toyobo Co. Ltd.		1,200		21,780
Toyoda Gosei Co. Ltd.		1,200		30,428
Toyota Boshoku Corp.		800		16,688
Toyota Industries Corp.		2,800		179,979
Toyota Motor Corp.		45,700		2,926,434
Toyota Tsusho Corp.		3,700		148,702
TPR Co. Ltd.		300		9,920
Trancom Co. Ltd.		100		7,031
Transcosmos, Inc.		300		7,653
Trend Micro, Inc. (b)		2,000		113,275
Trusco Nakayama Corp.		500		14,566
Trust Tech, Inc.		100		2,998
TS Tech Co. Ltd.		600		24,646
TSI Holdings Co. Ltd.		1,000		7,344
Tsubaki Nakashima Co. Ltd.		500		11,918
Tsubakimoto Chain Co.		1,000		8,067
Tsugami Corp.		1,000		12,875
Tsukishima Kikai Co. Ltd.		400		5,386
Tsukuba Bank Ltd.		1,200		4,100
Tsukui Corp.		700		6,271
Tsumura & Co.		800		26,598
Tsuruha Holdings, Inc.		600		81,354
Tsurumi Manufacturing Co. Ltd.		300		5,518
TV Asahi Holdings Corp.		300		6,022
UACJ Corp.		400		10,408
Ube Industries Ltd.		1,400		41,205
UKC Holdings Corp.		200		4,408

	Number of Shares		Value
Ulvac, Inc.		500	$	31,270
Unicharm Corp.		6,800		176,766
Union Tool Co.		100		3,660
Unipres Corp.		500		13,414
United Arrows Ltd.		300		12,183
United Super Markets Holdings, Inc.		800		8,113
United Urban Investment Corp.		193		277,526
UNITED, Inc.		200		6,511
Unitika Ltd. (b)		800		5,865
Universal Entertainment Corp. (a)		300		10,991
Unizo Holdings Co. Ltd.		200		5,433
Ushio, Inc.		1,400		20,022
USS Co. Ltd.		3,800		80,389
UT Group Co. Ltd. (b)		300		8,692
V Technology Co. Ltd.		100		16,130
Valor Holdings Co. Ltd.		500		11,662
Vector, Inc.		400		5,865
Vital KSK Holdings, Inc.		600		5,483
VT Holdings Co. Ltd.		1,100		5,483
W-Scope Corp. (a)		400		8,297
Wacoal Holdings Corp.		600		18,938
Wacom Co. Ltd. (a)		2,000		10,833
Wakita & Co. Ltd.		600		7,336
Warabeya Nichiyo Co. Ltd.		200		5,659
WATAMI Co. Ltd.		300		4,384
Welcia Holdings Co. Ltd.		600		25,939
West Japan Railway Co.		2,900		211,564
World Holdings Co. Ltd.		100		3,180
Wowow, Inc.		72		2,115
Xebio Holdings Co. Ltd.		400		7,608
YA-MAN Ltd.		400		6,741
Yahagi Construction Co. Ltd.		400		3,484
Yahoo! Japan Corp.		25,800		118,313
Yakult Honsha Co. Ltd.		1,500		113,092
Yakuodo Co. Ltd.		100		2,785
YAMABIKO Corp.		500		7,886
Yamada Denki Co. Ltd. (a)		12,200		67,137
The Yamagata Bank Ltd.		400		8,727
Yamaguchi Financial Group, Inc.		4,000		47,547
Yamaha Corp.		2,600		95,364
Yamaha Motor Co. Ltd.		4,800		157,175
The Yamanashi Chuo Bank Ltd.		2,000		8,716
Yamato Holdings Co. Ltd.		6,400		128,843
Yamato Kogyo Co. Ltd.		500		14,492
Yamazaki Baking Co. Ltd. (a)		1,800		35,032
Yamazen Corp.		900		10,604
Yaoko Co. Ltd.		200		9,741
Yaskawa Electric Corp.		4,500		196,632
Yellow Hat Ltd.		200		6,045
Yodogawa Steel Works Ltd.		300		9,295
Yokogawa Bridge Holdings Corp.		300		6,999
Yokogawa Electric Corp.		4,500		86,025
Yokohama Reito Co. Ltd. (a)		700		7,244

The accompanying notes are an integral part of the portfolio of investments.

215

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
The Yokohama Rubber Co. Ltd.		1,700	$	41,705
Yondoshi Holdings, Inc.		200		5,311
Yonex Co. Ltd.		800		5,131
Yorozu Corp.		200		4,300
Yoshinoya Holdings Co. Ltd.		900		15,273
Yuasa Trading Co. Ltd.		200		7,255
Yume No Machi Souzou Iinkai Co. Ltd.		300		5,488
Yumeshin Holdings Co. Ltd.		600		5,786
Yurtec Corp.		400		3,416
Yushin Precision Equipment Co. Ltd.		100		2,845
Zenkoku Hosho Co. Ltd.		600		25,845
Zenrin Co. Ltd.		300		10,066
Zensho Holdings Co. Ltd.		1,200		20,635
Zeon Corp.		2,200		31,857
ZERIA Pharmaceutical Co. Ltd.		400		7,640
ZIGExN Co. Ltd. (b)		400		3,187
Zojirushi Corp.		500		5,093
				80,858,284
Liberia — 0.0%
Royal Caribbean Cruises Ltd.		3,452		411,755
Luxembourg — 0.1%
ADO Properties SA (d)		1,825		92,590
Altisource Portfolio Solutions SA (a) (b)		297		8,316
APERAM SA		626		32,223
ArcelorMittal (b)		11,822		382,858
Ardagh Group SA		360		7,596
B&M European Value Retail SA		11,164		63,662
Eurofins Scientific SE		198		120,558
Grand City Properties SA		6,404		150,631
Intelsat SA (b)		843		2,858
Millicom International Cellular SA		1,305		88,102
PLAY Communications SA (b) (d)		1,606		15,598
RTL Group (b)		749		60,152
SAF-Holland SA		648		13,904
Senvion SA (b)		189		2,335
SES SA		6,911		107,693
Solutions 30 SE (b)		265		8,093
Subsea 7 SA		3,299		49,428
Tenaris SA		8,729		137,790
Trinseo SA		1,082		78,553
				1,422,940
Malaysia — 0.2%
AirAsia Bhd		19,800		16,404
Alliance Financial Group Bhd		15,600		15,735
AMMB Holdings Bhd		23,900		26,045
Astro Malaysia Holdings Bhd		24,900		16,330
Axiata Group		37,931		51,343
British American Tobacco Malaysia		1,900		18,780
CIMB Group Holdings Bhd		62,870		101,600
Dialog Group Bhd		45,400		28,178

	Number of Shares		Value
DiGi.Com Bhd		43,900	$	55,323
Felda Global Ventures Holdings Bhd		20,500		8,560
Gamuda Bhd		26,500		32,424
Genting Bhd		32,600		74,032
Genting Malaysia Bhd		43,200		60,082
Genting Plantations Bhd		2,800		7,263
HAP Seng Consolidated Bhd		8,100		19,114
Hartalega Holdings Bhd		8,300		21,883
Hong Leong Bank Bhd		9,200		38,731
Hong Leong Financial Group Bhd		3,700		16,345
IHH Healthcare Bhd		29,100		42,135
IJM Corp. Bhd		45,100		33,973
IOI Corp.		30,600		34,325
IOI Properties Group Bhd		26,175		11,962
Kuala Lumpur Kepong Bhd		7,100		43,851
Malayan Banking Bhd		58,957		142,638
Malaysia Airports Holdings Bhd		13,100		28,532
Maxis Bhd		27,000		40,102
MISC Bhd		19,400		35,568
Nestle Malaysia Bhd		900		22,910
Petronas Chemicals Group Bhd		35,300		67,081
Petronas Dagangan Bhd		3,200		19,179
Petronas Gas Bhd		9,400		40,593
PPB Group Bhd		6,300		26,841
Press Metal Aluminium Holdings Bhd		18,800		24,995
Public Bank Bhd		40,400		207,332
RHB Bank Bhd		10,700		13,211
Sapura Energy Bhd		51,600		9,028
Sime Darby Bhd		33,195		18,082
Sime Darby Plantation Bhd (b)		35,495		52,624
Sime Darby Property Bhd (b)		35,495		15,612
SP Setia Bhd Group		14,600		14,421
Telekom Malaysia Bhd		15,600		24,262
Tenaga Nasional		48,400		182,211
UMW Holdings Bhd (b)		5,200		6,681
Westports Holdings Bhd		15,100		13,831
YTL Corp. Bhd		66,810		22,613
YTL Power International Bhd		21,420		6,832
				1,809,597
Malta — 0.0%
Brait SE (a) (b)		4,814		16,205
Catena Media PLC (a) (b)		368		4,651
Unibet Group PLC		2,819		40,323
				61,179
Marshall Islands — 0.0%
Eagle Bulk Shipping, Inc. (b)		1,149		5,147
Navios Maritime Holdings, Inc. (b)		2,455		2,946
Safe Bulkers, Inc. (b)		1,307		4,222
				12,315
Mauritius — 0.0%
Golden Agri-Resources Ltd.		133,000		36,768

The accompanying notes are an integral part of the portfolio of investments.

216

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mexico — 0.2%
Alfa SAB de CV		42,900	$	47,236
America Movil SAB de CV		471,536		406,246
Arca Continental SAB de CV		6,100		42,239
Cemex SAB de CV (b)		201,908		151,052
Coca-Cola Femsa SAB de CV		6,900		48,132
El Puerto de Liverpool SAB de CV		2,700		17,074
Fibra Uno Administracion SA de CV		42,334		62,632
Fomento Economico Mexicano SAB de CV		27,565		259,255
Gentera SAB de CV		14,600		12,133
Gruma SAB de CV Class B		3,105		39,376
Grupo Aeroportuario del Pacifico SAB de CV Class B		5,200		53,422
Grupo Aeroportuario del Sureste SAB de CV Class B		2,780		50,709
Grupo Bimbo SAB de CV		23,200		51,409
Grupo Carso SAB de CV		6,154		20,278
Grupo Financiero Banorte SAB de CV Class O		34,700		190,473
Grupo Financiero Inbursa SAB de CV Class O		32,600		53,370
Grupo Financiero Santander Mexico SAB de CV		25,800		37,724
Grupo Lala SAB de CV		8,400		11,808
Grupo Mexico SAB de CV Series B		52,700		174,027
Grupo Televisa SAB		33,600		125,856
Industrias Penoles SAB de CV		1,935		40,437
Infraestructura Energetica Nova SAB de CV		7,524		36,812
Kimberly-Clark de Mexico SAB de CV Class A		21,000		36,975
Mexichem SAB de CV		15,233		37,706
Promotora y Operadora de Infraestructura SAB de CV		3,145		31,073
Wal-Mart de Mexico SAB de CV		73,700		180,741
				2,218,195
Netherlands — 1.6%
Aalberts Industries NV		1,321		67,073
ABN AMRO Group NV (d)		7,402		238,182
Accell Group		347		9,758
Aegon NV		31,390		200,057
AerCap Holdings NV (b)		2,457		129,263
Airbus SE		10,099		1,002,888
Akzo Nobel NV		4,364		381,717
Altice NV Class A (a) (b)		8,459		88,490
AMG Advanced Metallurgical Group NV		347		17,432
Arcadis NV		874		19,966
ASM International NV		642		43,382
ASML Holding NV		6,876		1,192,903
ASR Nederland NV		1,947		80,074

	Number of Shares		Value
Basic-Fit NV (b) (d)		386	$	9,311
BE Semiconductor Industries NV		467		39,019
BinckBank NV		912		4,849
Boskalis Westminster		1,764		66,490
Brack Capital Properties NV (b)		48		5,535
Brunel International NV		331		6,035
Chicago Bridge & Iron Co. NV		2,340		37,768
Cimpress NV (a) (b)		601		72,048
CNH Industrial NV		18,152		242,673
Corbion NV		811		26,257
COSMO Pharmaceuticals NV		99		14,850
Eurocommercial Properties NV		2,887		125,760
Euronext NV (d)		734		45,545
EXOR NV		1,730		106,038
Ferrari NV		2,112		221,539
Fiat Chrysler Automobiles NV (b)		18,827		335,697
Flow Traders (d)		302		7,241
ForFarmers NV		408		5,111
Frank’s International NV		1,325		8,811
Fugro NV (b)		1,012		15,756
Gemalto NV		1,067		63,139
Heineken Holding NV		2,025		200,064
Heineken NV		4,533		472,494
IMCD Group NV		673		42,331
ING Groep NV		68,844		1,266,785
Intertrust NV (a) (d)		901		16,897
InterXion Holding NV (b)		925		54,510
Kendrion NV		187		9,009
Koninklijke Ahold Delhaize NV		22,215		487,570
Koninklijke BAM Groep NV		3,211		14,754
Koninklijke DSM NV		3,184		303,515
Koninklijke KPN NV		59,664		208,151
Koninklijke Philips NV		16,590		627,623
Koninklijke Volkerwessels NV		375		10,648
Koninklijke Vopak NV		1,151		50,488
LyondellBasell Industries NV Class A		8,898		981,627
Mylan NV (b)		10,728		453,902
NN Group NV		5,168		223,459
NSI NV		996		41,534
NXP Semiconductor NV (b)		15,373		1,800,025
OCI NV (b)		917		23,132
Orthofix International NV (b)		450		24,615
Patheon N.V. (b) (c)		847		29,628
Philips Lighting NV (d)		1,148		42,137
PostNL NV		5,544		27,060
QIAGEN NV		3,605		112,570
QIAGEN NV		4,590		141,969
Randstad Holding NV		2,218		136,087
Refresco Group NV (d)		699		16,602
RELX NV		17,439		400,903
Rhi Magnesita NV (b)		351		18,364
Sapiens International Corp. NV		421		4,851
SBM Offshore NV		2,097		36,900

The accompanying notes are an integral part of the portfolio of investments.

217

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Schlumberger Ltd.		31,228	$	2,104,455
Sensata Technologies Holding NV (b)		3,382		172,854
SIF Holding NV (a)		121		2,525
Steinhoff International Holdings NV (a)		41,926		15,747
STMicroelectronics NV		11,314		245,707
Takeaway.com Holding BV (b) (d)		206		12,572
TKH Group NV		498		31,603
TomTom NV (b)		1,668		16,511
Unilever NV		28,372		1,594,062
Vastned Retail NV		1,194		59,142
Wereldhave NV		2,390		114,597
Wessanen		852		17,561
Wolters Kluwer NV		5,236		272,658
Wright Medical Group NV (b)		2,534		56,255
				17,927,110
New Zealand — 0.1%
a2 Milk Co. Ltd. (b)		8,672		49,505
Air New Zealand Ltd.		8,007		18,034
Argosy Property Ltd.		11,624		8,932
Auckland International Airport Ltd.		15,593		71,576
Chorus Ltd.		5,241		15,590
Contact Energy Ltd.		9,616		37,863
Fisher & Paykel Healthcare Corp. Ltd.		10,160		103,029
Fletcher Building Ltd.		13,996		75,341
Freightways Ltd.		2,237		12,162
Genesis Energy Ltd.		7,023		12,540
Goodman Property Trust		14,398		14,062
Infratil Ltd.		5,957		14,012
Kiwi Property Group Ltd.		88,006		87,563
Mercury NZ Ltd.		13,032		31,059
Meridian Energy Ltd.		24,713		51,163
Metlifecare Ltd.		1,735		7,497
The New Zealand Refining Co. Ltd.		2,316		4,348
Precinct Properties New Zealand Ltd.		14,167		13,640
Ryman Healthcare Ltd.		7,660		57,451
SKY Network Television Ltd.		4,210		8,381
SKYCITY Entertainment Group Ltd.		8,169		23,985
Spark New Zealand Ltd.		35,890		92,307
Summerset Group Holdings Ltd.		2,316		9,030
Trade Me Group Ltd.		5,717		19,649
Xero Ltd. (b)		1,076		23,995
Z Energy Ltd.		4,685		25,370
				888,084
Norway — 0.2%
Akastor ASA (a) (b)		1,087		2,170
Aker ASA		252		12,368
Aker Solutions ASA (b)		2,076		11,657
Atea ASA		1,109		15,599
Austevoll Seafood ASA		1,248		10,373

	Number of Shares		Value
B2Holding ASA		2,689	$	6,839
Borregaard ASA		1,415		14,046
Det Norske Oljeselskap ASA		1,419		34,887
DNB ASA		17,505		323,664
DNO ASA (b)		9,002		10,416
Entra ASA (d)		6,419		95,363
Europris ASA (d)		1,626		6,616
Evry AS (b) (d)		1,928		7,636
Gjensidige Forsikring ASA		3,060		57,710
Grieg Seafood ASA		784		6,873
Hexagon Composites ASA (b)		1,044		3,494
IDEX ASA (b)		5,175		3,236
Kongsberg Automotive ASA (b)		6,110		8,733
Leroy Seafood Group ASA		3,948		21,147
Marine Harvest ASA		7,663		129,722
Nordic Nanovector ASA (a) (b)		599		5,910
Nordic Semiconductor ASA (b)		1,704		8,714
Norsk Hydro ASA		23,226		175,599
Norway Royal Salmon ASA		195		3,198
Norwegian Air Shuttle ASA (a) (b)		379		8,123
Norwegian Finans Holding ASA (b)		1,401		15,681
Norwegian Property ASA		3,134		4,045
Ocean Yield ASA		738		6,234
Opera Software ASA (b)		1,615		5,153
Orkla ASA		13,898		147,332
Petroleum Geo-Services ASA (b)		3,047		6,202
Protector Forsikring ASA		841		9,218
REC Silicon ASA (b)		28,256		4,748
Salmar ASA		689		20,588
Sbanken ASA (d)		798		7,872
Scatec Solar ASA (d)		901		5,478
Schibsted ASA Class B		1,228		32,574
Selvaag Bolig ASA		468		1,932
SpareBank 1 Nord Norge		1,409		10,657
Sparebank 1 Oestlandet (b)		285		3,142
SpareBank 1 SMN		1,468		14,704
Statoil ASA		19,582		418,900
Storebrand ASA		5,883		47,821
Telenor ASA		13,200		282,753
TGS Nopec Geophysical Co. ASA		1,380		32,644
Wilh Wilhelmsen ASA (b)		1,198		8,644
XXL ASA (d)		1,089		11,277
Yara International ASA		3,032		138,780
				2,220,472
Pakistan — 0.0%
Habib Bank Ltd.		8,500		12,885
Lucky Cement Ltd.		2,000		9,352
MCB Bank Ltd.		6,100		11,664
Oil & Gas Development Co. Ltd.		9,800		14,373
United Bank Ltd.		6,400		10,904
				59,178

The accompanying notes are an integral part of the portfolio of investments.

218

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Panama — 0.1%
Banco Latinoamericano de Comercio Exterior SA		794	$	21,359
Carnival Corp.		11,166		741,087
Copa Holdings SA Class A		633		84,860
McDermott International, Inc. (b)		6,662		43,836
Norstar Holdings, Inc.		183		3,744
				894,886
Papua New Guinea — 0.0%
Oil Search Ltd.		24,916		151,571
Peru — 0.0%
Cia de Minas Buenaventura SA Sponsored ADR		2,800		39,424
Philippines — 0.1%
Aboitiz Equity Ventures, Inc.		26,870		39,763
Aboitiz Power Corp.		22,100		18,422
Alliance Global Group, Inc. (b)		65,100		20,838
Ayala Corp.		3,420		69,542
Ayala Land, Inc.		101,900		90,830
Bank of the Philippine Islands		9,940		21,503
BDO Unibank, Inc.		27,231		89,423
DMCI Holdings, Inc.		51,700		14,906
Globe Telecom, Inc.		525		19,981
GT Capital Holdings, Inc.		1,330		34,425
International Container Terminal Services, Inc.		7,970		16,829
JG Summit Holdings, Inc.		41,290		59,572
Jollibee Foods Corp.		6,490		32,883
Manila Electric Co.		3,380		22,242
Megaworld Corp.		181,200		18,732
Metro Pacific Investments Corp.		190,200		26,136
Metropolitan Bank & Trust		8,320		16,890
PLDT, Inc.		1,250		36,965
Robinsons Land Corp.		27,000		11,498
Security Bank Corp.		3,380		17,019
SM Investments Corp.		3,300		65,358
SM Prime Holdings, Inc.		124,700		93,669
Universal Robina Corp.		12,940		39,144
				876,570
Poland — 0.1%
Alior Bank SA (b)		1,403		31,952
Bank Handlowy w Warszawie SA		351		8,256
Bank Millennium SA (b)		8,975		23,048
Bank Pekao SA		2,191		81,406
Bank Zachodni WBK SA		480		54,515
CCC SA		391		31,913
CD Projekt SA		946		26,352
Cyfrowy Polsat SA		3,217		22,902
Dino Polska SA (b) (d)		714		16,145
Grupa Azoty SA		622		12,435
Grupa Lotos SA		1,192		19,754

	Number of Shares		Value
Jastrzebska Spolka Weglowa SA (b)		783	$	21,572
KGHM Polska Miedz SA		2,014		64,060
LPP SA		18		45,934
mBank SA (b)		204		27,249
Orange Polska SA (b)		9,198		15,298
PGE Polska Grupa Energetyczna SA (b)		12,227		42,319
Polski Koncern Naftowy ORLEN SA		4,271		129,713
Polskie Gornictwo Naftowe i Gazownictwo SA		24,803		44,739
Powszechna Kasa Oszczednosci Bank Polski SA (b)		13,343		169,505
Powszechny Zaklad Ubezpieczen SA		8,436		101,974
Tauron Polska Energia SA (b)		12,516		10,948
				1,001,989
Portugal — 0.0%
Altri SGPS SA		502		3,114
Banco Comercial Portugues SA (b)		127,752		41,598
Corticeira Amorim SGPS SA		623		7,691
CTT-Correios de Portugal SA		1,985		8,360
EDP — Energias de Portugal SA		40,927		141,665
Galp Energia SGPS SA		8,866		162,878
Jeronimo Martins SGPS SA		4,028		78,225
Mota-Engil SGPS SA		1,283		5,637
The Navigator Co. SA		2,139		10,900
NOS SGPS SA		3,285		21,599
REN — Redes Energeticas Nacionais SGPS SA (a)		4,288		12,738
Semapa-Sociedade de Investimento e Gestao		377		8,047
Sonae SGPS SA		8,121		10,949
				513,401
Puerto Rico — 0.0%
EVERTEC, Inc.		1,585		21,635
First BanCorp (b)		4,281		21,833
OFG Bancorp		1,153		10,838
Popular, Inc.		2,032		72,116
Triple-S Management Corp. Class B (b)		595		14,786
				141,208
Qatar — 0.0%
Barwa Real Estate Co.		1,569		13,958
The Commercial Bank PQSC (b)		2,686		21,397
Doha Bank QPSC		2,142		16,719
Ezdan Holding Group QSC		11,139		37,517
Industries Qatar QSC		2,145		57,688
Masraf Al Rayan QSC		5,069		51,643
Ooredoo QPSC		1,124		28,082
Qatar Electricity & Water Co. QSC		379		18,820
Qatar Gas Transport Co. Ltd.		3,793		16,790
Qatar Insurance Co. SAQ		1,896		27,940

The accompanying notes are an integral part of the portfolio of investments.

219

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Qatar Islamic Bank SAQ		805	$	21,674
Qatar National Bank QPSC		3,238		112,850
				425,078
Republic of Korea — 1.0%
Amorepacific Corp.		453		128,661
AMOREPACIFIC Group		404		53,221
BGF retail Co. Ltd. (b)		109		21,381
BNK Financial Group, Inc.		3,744		32,939
Celltrion Healthcare Co. Ltd. (b)		481		48,575
Celltrion, Inc. (b)		1,142		234,691
Cheil Worldwide, Inc. (b)		1,036		20,508
CJ CheilJedang Corp.		114		38,981
CJ Corp.		203		34,436
CJ E&M Corp.		248		22,596
CJ Korea Express Corp. (b)		99		12,941
Coway Co. Ltd.		746		67,967
Daelim Industrial Co. Ltd.		419		32,249
Daewoo Engineering & Construction Co. Ltd. (b)		2,013		11,132
DB Insurance Co. Ltd.		731		48,600
DGB Financial Group, Inc.		2,470		24,294
Dongsuh Cos., Inc.		550		14,959
Doosan Bobcat, Inc.		533		17,827
Doosan Heavy Industries & Construction Co. Ltd.		806		11,553
E-MART, Inc.		300		75,853
GS Engineering & Construction Corp. (b)		751		19,860
GS Holdings Corp.		751		43,581
GS Retail Co. Ltd.		388		14,612
Hana Financial Group, Inc.		4,133		192,308
Hankook Tire Co. Ltd.		1,015		51,727
Hanmi Pharm Co. Ltd. (b)		86		46,786
Hanmi Science Co. Ltd. (b)		184		19,063
Hanon Systems		2,735		35,442
Hanssem Co. Ltd.		139		23,372
Hanwha Chemical Corp. (b)		1,568		46,200
Hanwha Corp.		659		25,516
Hanwha Life Insurance Co. Ltd.		3,396		21,895
Hanwha Techwin Co. Ltd. (b)		570		18,921
Hotel Shilla Co. Ltd.		467		36,968
Hyosung Corp.		296		38,600
Hyundai Department Store Co. Ltd.		204		19,905
Hyundai Development Co-Engineering & Construction		833		29,985
Hyundai Engineering & Construction Co. Ltd.		1,158		39,337
Hyundai Glovis Co. Ltd.		253		32,137
Hyundai Heavy Industries Co. Ltd. (b)		446		41,821
Hyundai Marine & Fire Insurance Co. Ltd.		935		41,002
Hyundai Mobis Co. Ltd.		947		232,794

	Number of Shares		Value
Hyundai Motor Co.		2,142	$	312,057
Hyundai Robotics Co. Ltd. (b)		140		49,756
Hyundai Steel Co.		1,127		61,655
Hyundai Wia Corp.		259		15,732
Industrial Bank Of Korea (b)		3,476		53,303
ING Life Insurance Korea Ltd. (d)		438		21,786
Kakao Corp.		480		61,373
Kangwon Land, Inc.		1,636		53,174
KB Financial Group, Inc. (b)		5,543		327,731
KCC Corp.		79		28,111
KEPCO Plant Service & Engineering Co. Ltd.		327		12,392
Kia Motors Corp.		3,662		114,541
Korea Aerospace Industries Ltd.		955		42,270
Korea Electric Power Corp. (b)		3,529		125,756
Korea Gas Corp. (b)		405		16,092
Korea Investment Holdings Co. Ltd.		573		36,931
Korea Zinc Co. ,Ltd.		119		54,747
Korean Air Lines Co. Ltd. (b)		682		21,523
KT Corp.		98		2,769
KT&G Corp.		1,648		177,833
Kumho Petrochemical Co. Ltd.		267		24,862
LG Chem Ltd. (b)		640		241,853
LG Corp.		1,342		114,007
LG Display Co. Ltd. (b)		3,237		90,393
LG Electronics, Inc. (b)		1,497		148,122
LG Household & Health Care Ltd.		133		147,448
LG Innotek Co. Ltd.		201		26,924
Lotte Chemical Corp.		219		75,114
Lotte Corp.		440		26,741
Lotte Shopping Co. Ltd.		162		30,166
Medy-Tox, Inc.		63		28,500
Mirae Asset Daewoo Co. Ltd.		5,125		43,917
NAVER Corp.		390		316,653
NCSoft Corp.		246		102,768
Netmarble Games Corp. (b) (d)		227		39,882
NH Investment & Securities Co. Ltd.		1,969		25,528
OCI Co. Ltd.		219		27,848
Orion Corp. (b)		328		32,040
Ottogi Corp.		17		12,801
Pan Ocean Co. Ltd. (b)		3,248		15,986
POSCO		1,043		323,853
Posco Daewoo Corp.		456		7,720
S-1 Corp. (b)		255		25,499
S-Oil Corp.		613		66,874
Samsung Biologics Co. Ltd. (b) (d)		238		82,392
Samsung C&T Corp.		1,062		124,901
Samsung Card Co. Ltd.		441		16,316
Samsung Electro-Mechanics Co. Ltd.		791		73,546
Samsung Electronics Co. Ltd.		1,363		3,238,249
Samsung Fire & Marine Insurance Co. Ltd.		422		105,182

The accompanying notes are an integral part of the portfolio of investments.

220

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Samsung Heavy Industries Co. Ltd. (b)		3,672	$	25,101
Samsung Life Insurance Co. Ltd.		965		112,311
Samsung SDI Co. Ltd. (b)		779		147,913
Samsung SDS Co. Ltd.		481		89,694
Samsung Securities Co. Ltd.		908		30,985
Shinhan Financial Group Co. Ltd. (b)		5,972		275,628
Shinsegae, Inc.		107		29,935
SillaJen, Inc. (b)		745		64,883
SK Holdings Co. Ltd.		445		117,694
SK Hynix, Inc. (b)		8,183		577,791
SK Innovation Co. Ltd.		898		170,999
SK Networks Co. Ltd.		2,017		12,533
SK Telecom Co. Ltd.		272		67,862
Woori Bank		5,273		77,538
Yuhan Corp.		128		26,176
				11,077,856
Romania — 0.0%
NEPI Rockcastle PLC		5,304		91,556
Russia — 0.2%
Alrosa PJSC		36,700		47,717
Gazprom PJSC		149,432		336,536
Inter RAO UES PJSC		406,428		23,725
LUKOIL PJSC		5,898		339,272
Magnit PJSC Sponsored GDR Registered		4,948		135,335
Magnitogorsk Iron & Steel Works PJSC		31,700		23,074
MMC Norilsk Nickel PJSC		889		167,272
Mobile TeleSystems PJSC Sponsored ADR		6,738		68,660
Moscow Exchange MICEX-RTS PJSC		20,550		38,715
Novatek PJSC Sponsored GDR Registered		1,272		152,846
Novolipetsk Steel PJSC		17,340		44,347
PhosAgro PJSC GDR Registered		1,670		25,623
Polyus PJSC		382		30,160
Rosneft Oil Co. PJSC		16,630		83,902
RusHydro PJSC		1,553,000		19,648
Sberbank		150,760		587,467
Severstal PJSC		2,350		36,357
Severstal PJSC (b)		570		8,818
Surgutneftegas OJSC		103,200		49,708
Tatneft PJSC		21,140		173,768
VTB Bank PJSC		74,160,000		60,629
				2,453,579
Singapore — 0.7%
Accordia Golf Trust		10,700		5,481
Ascendas Hospitality Trust		10,500		6,744
Ascendas REIT		152,200		309,441
Ascott Residence Trust		14,200		12,953

	Number of Shares		Value
Asian Pay Television Trust		19,700	$	8,688
Best World International Ltd.		3,200		3,166
Boustead Singapore Ltd.		2,600		1,672
Broadcom Ltd.		9,064		2,328,542
Bumitama Agri Ltd.		9,100		5,069
Cache Logistics Trust		14,396		9,192
CapitaLand Commercial Trust		153,203		220,994
CapitaLand Ltd.		165,700		436,555
CapitaLand Mall Trust		143,700		228,729
CapitaLand Retail China Trust		7,900		9,564
CDL Hospitality Trusts		49,440		62,455
China Aviation Oil Singapore Corp. Ltd. (a)		4,100		4,966
Chip Eng Seng Corp. Ltd.		4,500		3,279
City Developments Ltd.		30,400		282,712
ComfortDelGro Corp. Ltd.		44,100		65,214
COSCO Shipping International Singapore Co. Ltd. (a) (b)		15,800		4,429
DBS Group Holdings, Ltd.		31,272		579,025
ESR REIT		14,600		6,166
Ezion Holdings Ltd. (b) (c)		24,400		3,594
Far East Hospitality Trust		12,067		6,503
First REIT		7,200		7,483
First Resources Ltd.		7,700		10,745
Fortune REIT		61,000		75,430
Frasers Centrepoint Trust		5,600		9,379
Frasers Commercial Trust		9,000		10,023
Frasers Logistics & Industrial Trust		14,400		12,487
Genting Singapore PLC		114,000		111,398
Global Logistic Properties Ltd.		49,400		124,380
Hutchison Port Holdings Trust		99,800		41,409
Indofood Agri Resources Ltd.		5,800		1,691
Japfa Ltd.		3,100		1,182
Jardine Cycle & Carriage Ltd.		2,000		60,786
Kenon Holdings Ltd. (b)		204		4,355
Keppel Corp. Ltd.		27,200		148,974
Keppel DC REIT		9,819		10,505
Keppel Infrastructure Trust		36,400		15,629
Keppel REIT		110,600		104,363
Lippo Malls Indonesia Retail Trust		25,400		7,596
M1 Ltd.		5,300		7,052
Manulife US REIT		10,856		9,819
Mapletree Commercial Trust		111,100		134,577
Mapletree Greater China Commercial Trust		22,000		20,241
Mapletree Industrial Trust		73,400		111,471
Mapletree Logistics Trust		119,118		117,555
NetLink NBN Trust (b)		40,100		25,033
OUE Hospitality Trust		14,000		8,905
OUE Ltd.		2,900		4,055
Oversea-Chinese Banking Corp. Ltd.		54,600		504,448
Parkway Life REIT		5,000		11,165
QAF Ltd.		2,184		1,834

The accompanying notes are an integral part of the portfolio of investments.

221

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Raffles Medical Group Ltd. (a)		12,785	$	10,705
RHT Health Trust		8,900		5,599
Riverstone Holdings Ltd.		3,400		2,746
Sabana Shari’ah Compliant Industrial REIT		14,200		4,194
SATS Ltd.		14,400		55,890
Sembcorp Industries Ltd.		18,600		42,057
SembCorp Marine Ltd. (a)		10,000		13,723
Sheng Siong Group Ltd. (a)		7,500		5,185
SIIC Environment Holdings Ltd.		12,600		4,864
Singapore Airlines Ltd.		8,200		65,315
Singapore Exchange Ltd.		12,700		70,502
Singapore Post Ltd. (a)		17,500		16,225
Singapore Press Holdings Ltd. (a)		32,600		64,509
Singapore Technologies Engineering Ltd.		25,100		61,082
Singapore Telecommunications Ltd.		140,300		374,480
Soilbuild Business Space REIT		10,800		5,404
SPH REIT		10,500		8,256
Starhill Global REIT		19,900		11,538
StarHub Ltd.		9,700		20,668
Suntec REIT		155,400		249,455
United Engineers Ltd.		5,300		10,461
United Overseas Bank Ltd.		23,529		464,164
UOL Group Ltd.		33,074		219,290
Venture Corp. Ltd.		3,500		53,484
WaVe Life Sciences Ltd. (a) (b)		267		9,372
Wilmar International Ltd.		31,400		72,392
Wing Tai Holdings Ltd.		3,900		6,642
Yangzijiang Shipbuilding Holdings Ltd.		35,000		38,466
Yanlord Land Group Ltd.		7,700		9,325
Yoma Strategic Holdings Ltd.		15,600		6,298
				8,301,394
South Africa — 0.5%
Anglo Platinum Ltd. (b)		769		21,971
AngloGold Ashanti Ltd.		5,605		57,178
Aspen Pharmacare Holdings Ltd.		5,475		122,753
Barclays Africa Group Ltd.		9,348		137,491
Bid Corp. Ltd.		4,572		111,208
Bidvest Group Ltd.		4,638		81,536
Capitec Bank Holdings Ltd.		596		52,767
Coronation Fund Managers Ltd.		3,265		19,468
Discovery Ltd.		5,178		77,835
Exxaro Resources Ltd.		3,347		43,948
FirstRand Ltd.		46,882		254,788
Fortress REIT Ltd. Class A		20,054		30,079
Fortress REIT Ltd. Class B		10,792		36,808
The Foschini Group Ltd.		3,104		49,315
Gold Fields Ltd.		11,360		49,387
Growthpoint Properties Ltd.		31,295		69,960
Hyprop Investments Ltd.		3,596		34,089

	Number of Shares		Value
Imperial Holdings Ltd.		2,040	$	43,173
Investec Ltd.		3,791		27,479
Kumba Iron Ore Ltd.		918		28,126
Liberty Holdings Ltd.		1,596		16,001
Life Healthcare Group Holdings Ltd.		18,020		40,391
MMI Holdings Ltd.		13,713		23,277
Mondi Ltd.		1,725		44,443
Mr Price Group Ltd.		3,464		68,510
MTN Group Ltd.		23,382		258,455
Naspers Ltd.		6,145		1,712,177
Nedbank Group Ltd.		3,019		62,483
Netcare Ltd.		13,296		27,017
Pick n Pay Stores Ltd.		4,879		27,311
Pioneer Foods Group Ltd.		1,662		18,416
PSG Group Ltd.		1,288		28,105
Rand Merchant Investment Holdings Ltd.		8,726		32,364
Redefine Properties Ltd.		71,060		61,443
Remgro Ltd.		7,334		139,878
Resilient REIT Ltd.		4,228		51,661
RMB Holdings Ltd.		10,009		63,712
Sanlam Ltd.		20,275		142,458
Sappi Ltd.		7,918		57,269
Sasol Ltd.		7,792		268,797
Shoprite Holdings Ltd.		6,171		110,317
Sibanye Gold Ltd.		23,027		29,197
The SPAR Group Ltd.		2,750		45,177
Standard Bank Group Ltd.		18,253		288,273
Telkom SA SOC Ltd.		3,545		13,780
Tiger Brands Ltd. (a)		2,277		84,610
Truworths International Ltd.		6,396		48,732
Vodacom Group Ltd.		8,626		101,354
Woolworths Holdings Ltd.		13,716		72,404
				5,287,371
Spain — 0.9%
Abertis Infraestructuras SA		12,069		268,545
Acciona SA		370		30,197
Acerinox SA		2,153		30,714
ACS Actividades de Construccion y Servicios SA		4,083		159,751
Aena SME SA (d)		1,155		233,821
Almirall SA (a)		850		8,503
Amadeus IT Group SA		7,776		559,691
Applus Services SA		1,929		26,102
Atresmedia Corp. de Medios de Comunicacion SA		1,219		12,708
Axiare Patrimonio SOCIMI SA		3,425		75,628
Banco Bilbao Vizcaya Argentaria SA		118,092		1,005,248
Banco de Sabadell SA		93,388		184,826
Banco Santander SA		283,407		1,858,400
Bankia SA		17,864		85,266
Bankinter SA		10,950		103,645

The accompanying notes are an integral part of the portfolio of investments.

222

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Bolsas y Mercados Espanoles SHMSF SA		975	$	31,029
CaixaBank SA		63,860		297,032
Cellnex Telecom SAU (d)		1,957		50,088
Cia de Distribucion Integral Logista Holdings SA		548		12,601
CIE Automotive SA		765		22,215
Codere SA (b)		546		5,226
Construcciones y Auxiliar de Ferrocarriles SA		260		10,662
Corp. Financiera Alba SA		200		11,440
Distribuidora Internacional de Alimentacion SA		8,169		42,116
Ebro Foods SA		932		21,821
Enagas SA		3,651		104,440
Ence Energia y Celulosa SA		1,566		10,316
Endesa SA		5,806		124,204
Euskaltel SA (d)		928		7,559
Faes Farma SA		3,647		12,846
Ferrovial SA		8,543		193,628
Fomento de Construcciones y Contratas SA (b)		1,018		10,516
Gas Natural SDG SA		6,459		149,030
Gestamp Automocion SA (a) (b) (d)		2,197		15,700
Global Dominion Access SA (b) (d)		784		4,047
Grifols SA		5,613		164,129
Grupo Catalana Occidente SA		507		22,433
Hispania Activos Inmobiliarios SOCIMI SA		5,484		103,181
Iberdrola SA		100,043		774,197
Indra Sistemas SA (b)		1,514		20,682
Industria de Diseno Textil SA		19,010		661,197
Inmobiliaria Colonial SA		15,274		151,469
International Consolidated Airlines Group SA		11,110		96,325
Lar Espana Real Estate Socimi SA		5,802		61,793
Liberbank SA (b)		17,946		9,504
Mapfre SA		22,175		71,093
Mediaset Espana Comunicacion SA		2,119		23,758
Melia Hotels International SA		1,467		20,216
Merlin Properties Socimi SA		20,013		270,946
Miquel y Costas & Miquel SA		183		7,897
Neinor Homes SA (b) (d)		921		20,198
NH Hotel Group SA		2,651		19,060
Obrascon Huarte Lain SA (b)		1,611		9,623
Papeles y Cartones de Europa SA		468		6,358
Pharma Mar SA (b)		2,440		7,244
Prosegur Cia de Seguridad SA		3,448		27,084
Realia Business SA (b)		2,536		3,344
Red Electrica Corp. SA		7,496		168,084
Repsol SA		20,915		369,644
Sacyr SA (b)		4,970		14,043
Saeta Yield SA		746		8,781

	Number of Shares		Value
Siemens Gamesa Renewable Energy SA (a)		3,629	$	49,693
Talgo SA (a) (d)		1,358		6,937
Tecnicas Reunidas SA (a)		469		14,871
Telefonica SA		79,480		773,867
Telepizza Group SA (b) (d)		1,187		6,692
Tubacex SA (b)		1,699		6,818
Unicaja Banco SA (b) (d)		10,222		16,113
Viscofan SA		508		33,502
Zardoya Otis SA		2,555		27,942
				9,828,279
Sweden — 0.9%
AAK AB		379		32,454
AcadeMedia AB (b) (d)		398		3,141
AF AB		798		17,593
Ahlsell AB (d)		3,968		25,507
Alfa Laval AB		5,311		125,226
Alimak Group AB (d)		408		6,365
Arcam AB (b)		111		4,675
Arjo AB Class B (b)		2,973		8,484
Assa Abloy AB Class B		18,001		373,528
Atlas Copco AB Class A		11,876		511,496
Atlas Copco AB Class B		6,859		262,337
Attendo AB (d)		1,473		15,766
Avanza Bank Holding AB		321		13,463
Axactor AB (a) (b)		15,167		5,301
Axfood AB		1,326		25,542
Bergman & Beving AB		343		3,592
Betsson AB		1,397		10,304
Bilia AB		1,076		10,492
BillerudKorsnas AB		2,332		39,859
BioGaia AB		207		8,218
Biotage AB		653		6,663
Boliden AB		4,827		164,426
Bonava AB		998		13,928
Bravida Holding AB (d)		2,685		17,926
Bufab AB		491		6,347
Bure Equity AB		621		7,417
Byggmax Group AB		818		5,480
Camurus AB (b)		236		3,907
Capio AB (d)		1,574		8,432
Castellum AB		15,870		267,617
Catena AB		565		10,691
Cherry AB (a) (b)		915		5,493
Clas Ohlson AB		513		7,032
Cloetta AB		3,094		11,200
Collector AB (a) (b)		225		2,228
Com Hem Holding AB		1,963		30,003
D Carnegie & Co. AB (b)		1,798		26,791
Dios Fastigheter AB		5,384		36,554
Dometic Group AB (d)		3,882		39,487
Dustin Group AB (d)		641		6,362

The accompanying notes are an integral part of the portfolio of investments.

223

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Elanders AB		195	$	1,946
Electrolux AB Series B		4,080		131,220
Elekta AB		4,757		39,209
Eltel AB (b) (d)		1,813		6,400
Essity AB Class B (b)		10,691		302,758
Evolution Gaming Group AB (d)		281		19,855
Fabege AB		7,764		165,030
Fastighets AB Balder (b)		5,728		153,121
Fingerprint Cards AB Class B (a) (b)		4,428		8,537
Getinge AB Class B		3,700		53,460
Granges AB		1,040		10,679
Gunnebo AB		493		2,025
Haldex AB (b)		562		5,973
Hansa Medical AB (a) (b)		251		7,634
Hemfosa Fastigheter AB		8,940		119,691
Hennes & Mauritz AB Class B		17,224		354,910
Hexagon AB Class B		4,441		222,105
Hexpol AB		3,314		33,590
Hoist Finance AB (d)		727		8,167
Holmen AB Class B		655		34,751
Hufvudstaden AB Class A		6,524		104,380
Humana AB		279		1,870
Husqvarna AB Class B		8,195		77,922
ICA Gruppen AB		1,571		57,006
Industrivarden AB Class C		3,288		80,966
Indutrade AB		1,196		32,516
Intrum Justitia AB		1,040		38,420
Investment AB Oresund		421		6,761
Investor AB Class B		7,771		353,408
Inwido AB		803		8,204
ITAB Shop Concept AB Class B		501		3,158
JM AB		896		20,384
KappAhl AB		859		4,739
Kinnevik AB Class B		3,909		131,833
Klovern AB Class B		31,977		41,755
Kungsleden AB		11,497		83,383
L E Lundbergforetagen AB Class B		579		43,235
LeoVegas AB (d)		812		8,288
Lindab International AB		941		7,823
Loomis AB		947		39,654
Lundin Petroleum AB (b)		3,662		83,785
Mekonomen AB		332		6,036
Modern Times Group MTG AB Class B		659		27,696
Munters Group AB (a) (b) (d)		745		5,001
Mycronic AB (a)		842		8,711
NCC AB Class B		1,105		21,166
NetEnt AB		2,042		14,063
New Wave Group AB Class B		685		4,547
Nibe Industrier AB Class B		4,708		45,100
Nobia AB		1,499		12,664
Nobina AB (d)		1,214		7,990
Nolato AB Class B		284		18,638
Nordax Group AB (d)		1,391		8,978

	Number of Shares		Value
Nordea Bank AB		52,632	$	636,981
Pandox AB		4,161		80,379
Paradox Interactive AB		375		4,263
Peab AB		2,325		19,995
Probi AB		84		3,481
Ratos AB Class B		2,373		10,367
RaySearch Laboratories AB (b)		213		4,440
Recipharm AB Class B (a)		450		5,404
Resurs Holding AB (d)		976		6,923
Rezidor Hotel Group AB		389		1,216
Saab AB Class B		846		41,148
Sandvik AB		20,119		351,675
SAS AB (b)		1,704		4,411
Scandi Standard AB		631		4,880
Scandic Hotels Group AB (d)		915		13,115
Securitas AB Class B		4,951		86,263
Skandinaviska Enskilda Banken AB Class A		27,090		317,356
Skanska AB Class B		6,266		129,606
SKF AB Class B		6,397		141,851
SkiStar AB		320		6,155
SSAB AB Class A (b)		2,875		15,731
SSAB AB Class B (b)		6,903		30,797
Starbreeze AB (a) (b)		3,853		3,951
Svenska Cellulosa AB Class B		7,672		78,896
Svenska Handelsbanken AB Class A		26,190		357,507
Sweco AB Class B		918		20,332
Swedbank AB Class A		15,727		378,621
Swedish Match AB		3,433		135,126
Swedish Orphan Biovitrum AB (b)		2,173		29,746
Tele2 AB Class B		5,653		69,416
Telefonaktiebolaget LM Ericsson Class B		54,843		359,511
Telia Co AB		45,851		204,090
The Thule Group AB (d)		1,319		29,650
Tobii AB (b)		946		4,083
Trelleborg AB		3,072		71,048
Victoria Park AB		1,555		5,562
Vitrolife AB		175		13,290
Volati AB		381		2,935
Volvo AB Class B		27,677		514,971
Wallenstam AB		10,975		105,562
Wihlborgs Fastigheter AB		4,011		95,813
				9,669,015
Switzerland — 2.3%
ABB Ltd. Registered		32,690		874,209
Adecco Group AG Registered		2,875		219,735
Allreal Holding AG		836		141,351
ALSO Holding AG Registered		78		10,723
APG SGA SA		20		9,341
Arbonia AG (b)		523		8,721
Aryzta AG		1,204		47,753
Ascom Holding AG		487		12,575

The accompanying notes are an integral part of the portfolio of investments.

224

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Autoneum Holding AG		40	$	11,511
Bachem Holding AG Registered Class B		69		10,897
Baloise Holding AG Registered		843		131,199
Banque Cantonale Vaudoise		39		29,393
Barry Callebaut AG Registered		43		89,584
Basilea Pharmaceutica AG (b)		166		12,925
Bell Foods Group AG		19		8,391
BKW AG		143		8,503
Bobst Group SA		117		15,534
Bossard Holding AG		82		19,303
Bucher Industries AG		87		35,278
Burckhardt Compression Holding AG		40		12,972
Burkhalter Holding AG		55		7,162
Cembra Money Bank AG		375		34,882
Chocoladefabriken Lindt & Spruengli AG		18		109,901
Chocoladefabriken Lindt & Spruengli AG Registered		2		144,613
Chubb Ltd.		12,760		1,864,619
Cie Financiere Richemont SA Registered		9,164		829,735
Clariant AG		4,295		119,931
Coca-Cola HBC AG		3,293		107,112
Comet Holding AG Registered		100		15,741
Conzzeta AG		17		17,724
Credit Suisse Group AG Registered		42,065		748,770
Daetwyler Holding AG		91		17,569
dormakaba Holding AG		42		39,040
Dufry AG Registered (b)		637		94,708
EDAG Engineering Group AG		101		1,776
EFG International AG		1,021		10,796
Emmi AG		26		18,704
EMS-Chemie Holding AG Registered		146		97,438
Feintool International Holding AG		22		2,663
Flughafen Zuerich AG		251		57,396
Forbo Holding AG		15		23,112
Galenica AG (b) (d)		559		28,709
GAM Holding Ltd.		2,098		33,810
Garmin Ltd.		2,409		143,504
Geberit AG Registered		653		287,328
Georg Fischer AG		54		71,224
Givaudan SA Registered		166		382,896
Gurit Holding AG		5		5,396
Helvetia Holding AG		82		46,095
Huber + Suhner AG		122		6,365
Idorsia Ltd. (b)		1,392		36,339
Implenia AG		187		12,634
Inficon Holding AG		23		14,355
Intershop Holding AG		14		6,996
Investis Holding SA		39		2,508
Julius Baer Group Ltd.		3,984		243,570
Kardex AG		88		10,805

	Number of Shares		Value
Komax Holding AG		45	$	14,738
Kudelski SA (a)		517		6,377
Kuehne & Nagel International AG Registered		911		160,995
LafargeHolcim Ltd. Registered		7,980		449,608
Landis+Gyr Group AG (b)		336		26,687
LEM Holding SA Registered		6		10,171
Leonteq AG (b)		119		7,675
Logitech International SA		2,056		69,336
Lonza Group AG Registered		1,328		358,738
Meyer Burger Technology AG (b)		7,537		12,910
Mobilezone Holding AG Registered (a)		354		4,667
Mobimo Holding AG Registered		369		98,984
Molecular Partners AG (b)		165		4,454
Nestle SA Registered		54,642		4,695,503
Novartis AG Registered		38,926		3,290,872
OC Oerlikon Corp. AG Registered		2,670		44,962
Oriflame Holding AG		556		22,906
Orior AG		79		6,255
Panalpina Welttransport Holding AG Registered		128		19,845
Pargesa Holding SA		641		55,533
Partners Group Holding AG (a)		303		207,626
PSP Swiss Property AG Registered		2,357		223,356
Rieter Holding AG Registered		44		10,736
Roche Holding AG		12,411		3,139,278
Schindler Holding AG		678		156,031
Schindler Holding AG Registered		396		89,589
Schmolz + Bickenbach AG Registered (b)		6,344		5,466
Schweiter Technologies AG		12		15,544
SFS Group AG		218		25,304
SGS SA Registered		96		250,236
Siegfried Holding AG Registered		38		12,633
Sika AG		39		309,145
Sonova Holding AG Registered		919		143,485
St Galler Kantonalbank AG		28		13,907
Straumann Holding AG Registered		186		131,285
Sulzer AG Registered		174		21,070
Sunrise Communications Group AG (d)		433		39,541
The Swatch Group AG		544		221,762
The Swatch Group AG Registered		875		66,880
Swiss Life Holding AG Registered		551		195,017
Swiss Prime Site AG Registered		4,735		436,920
Swiss Re AG		5,511		515,867
Swisscom AG Registered		461		245,047
Swissquote Group Holding SA		132		5,168
Tecan Group AG Registered		151		31,377
Temenos Group AG Registered		793		101,483
Transocean Ltd. (a) (b)		7,976		85,184
U-Blox AG		93		18,303

The accompanying notes are an integral part of the portfolio of investments.

225

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
UBS Group AG Registered		63,754	$	1,171,429
Valiant Holding AG Registered		198		21,399
Valora Holding AG Registered		40		13,330
VAT Group AG (d)		273		40,383
Vifor Pharma AG (a)		875		112,129
Vontobel Holding AG Registered		301		18,996
VZ Holding AG		35		11,872
Walter Meier AG Registered		65		2,594
Ypsomed Holding AG Registered		58		9,535
Zehnder Group AG Registered		144		5,903
Zur Rose Group AG (b)		58		7,797
Zurich Insurance Group AG		2,652		806,548
				25,706,195
Taiwan — 0.7%
Acer, Inc.		39,000		31,554
Advanced Semiconductor Engineering, Inc.		93,529		120,065
Advantech Co. Ltd.		4,287		30,297
Asia Cement Corp.		36,000		34,093
Asia Pacific Telecom Co. Ltd. (b)		31,000		10,402
Asustek Computer		10,000		93,924
AU Optronics Corp.		115,000		47,832
Catcher Technology Co. Ltd.		9,000		98,770
Cathay Financial Holding Co. Ltd.		114,754		205,758
Chang Hwa Commercial Bank Ltd.		66,150		36,782
Cheng Shin Rubber Industry Co. Ltd.		26,000		45,865
Chicony Electronics Co. Ltd.		8,040		20,258
China Airlines Ltd. (b)		38,000		14,865
China Development Financial Holding Corp.		196,000		66,706
China Life Insurance Co. Ltd.		34,960		35,140
China Steel Corp.		175,000		145,530
Chunghwa Telecom Co. Ltd.		53,000		188,726
Compal Electronics, Inc.		58,000		41,438
CTBC Financial Holding Co. Ltd.		248,000		170,589
Delta Electronics, Inc.		27,036		130,192
E.Sun Financial Holding Co. Ltd.		124,775		79,196
Eclat Textile Co. Ltd.		3,040		30,421
Eva Airways Corp.		28,840		15,348
Evergreen Marine Corp. Taiwan Ltd. (b)		23,391		12,832
Far Eastern New Century Corp.		48,000		43,182
Far EasTone Telecommunications Co. Ltd.		22,000		54,330
Feng TAY Enterprise Co. Ltd.		5,000		22,748
First Financial Holding Co. Ltd.		129,540		85,096
Formosa Chemicals & Fibre Corp.		41,000		141,813
Formosa Petrochemical Corp.		19,000		73,641
Formosa Plastics Corp.		57,000		188,846
Formosa Taffeta Co. Ltd.		11,000		11,558
Foxconn Technology Co. Ltd.		14,000		39,982
Fubon Financial Holding Co. Ltd.		95,071		161,748

	Number of Shares		Value
Giant Manufacturing Co. Ltd.		4,000	$	21,928
Globalwafers Co. Ltd.		3,000		39,864
Highwealth Construction Corp.		13,000		18,497
Hiwin Technologies Corp.		3,060		32,963
Hon Hai Precision Industry Co. Ltd.		218,016		694,482
Hotai Motor Co. Ltd.		4,032		47,945
HTC Corp. (b)		9,000		22,040
Hua Nan Financial Holdings Co. Ltd.		98,700		55,532
Innolux Corp.		125,000		51,978
Inventec Corp.		38,000		30,301
Largan Precision Co. Ltd.		1,241		167,129
Lite On Technology Corp.		28,000		38,237
Macronix International (b)		25,000		36,967
MediaTek, Inc.		21,000		207,017
Mega Financial Holding Co. Ltd.		152,000		122,865
Micro-Star International Co. Ltd.		10,339		26,602
Nan Ya Plastics Corp.		66,000		172,685
Nanya Technology Corp.		9,000		22,911
Nien Made Enterprise Co. Ltd.		2,000		21,370
Novatek Microelectronics Corp.		8,000		30,469
Pegatron Corp.		27,000		65,255
Phison Electronics Corp.		1,826		17,871
Pou Chen Corp.		30,000		38,830
Powertech Technology, Inc.		10,000		29,546
President Chain Store Corp.		8,000		76,238
Quanta Computer, Inc.		38,000		78,905
Realtek Semiconductor Corp.		6,000		21,934
Ruentex Development Co. Ltd. (b)		13,200		14,159
Ruentex Industries Ltd.		8,000		13,590
Shin Kong Financial Holding Co. Ltd.		110,000		38,766
Siliconware Precision Industries Co. Ltd.		29,000		48,962
SinoPac Financial Holdings Co. Ltd.		141,795		46,059
Standard Foods Corp.		8,320		20,685
Synnex Technology International Corp.		19,000		25,869
TaiMed Biologics, Inc. (b)		1,985		12,416
Taishin Financial Holding Co. Ltd.		134,542		62,565
Taiwan Business Bank		59,740		16,833
Taiwan Cement Corp.		52,000		63,675
Taiwan Cooperative Financial Holding Co. Ltd.		114,330		63,771
Taiwan High Speed Rail Corp.		22,000		17,361
Taiwan Mobile Co. Ltd.		23,000		83,069
Taiwan Semiconductor Manufacturing Co. Ltd.		345,934		2,658,179
Teco Electric and Machinery Co. Ltd.		30,000		28,711
Uni-President Enterprises Corp.		67,000		148,507
United Microelectronics Corp.		170,000		80,843
Vanguard International Semiconductor Corp.		12,000		26,548
Win Semiconductors Corp.		5,000		47,257
Winbond Electronics Corp.		41,000		32,233

The accompanying notes are an integral part of the portfolio of investments.

226

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Wistron Corp.		34,154	$	27,448
WPG Holdings Ltd.		24,000		31,782
Yageo Corp.		3,000		35,502
Yuanta Financial Holding Co. Ltd.		145,000		67,170
				8,431,848
Thailand — 0.2%
Advanced Info Service PCL		14,500		84,968
Airports of Thailand PCL		61,900		128,890
Bangkok Bank PCL		2,900		17,972
Bangkok Dusit Medical Services PCL		50,200		32,125
Bangkok Expressway & Metro PCL		113,900		26,926
Banpu PCL		26,400		15,775
Berli Jucker PCL		17,400		35,179
BTS Group Holdings PCL		79,300		20,227
Bumrungrad Hospital PCL		4,800		27,830
Central Pattana PCL		18,200		47,539
Charoen Pokphand Foods PCL		43,400		31,964
CP ALL PCL		71,000		167,618
Delta Electronics Thailand PCL		6,400		14,368
Electricity Generating PCL		1,800		11,931
Energy Absolute PCL		15,200		24,477
Glow Energy PCL		6,900		17,195
Home Product Center PCL		53,500		20,977
Indorama Ventures PCL		23,800		38,898
IRPC PCL		139,300		30,115
Kasikornbank PCL		25,700		182,614
KCE Electronics PCL		3,500		8,885
Krung Thai Bank PCL		47,400		27,892
Minor International PCL		31,700		42,494
PTT Exploration & Production PCL		20,300		62,212
PTT Global Chemical PCL		31,900		83,113
PTT PCL		14,800		199,715
Robinson Department Store PCL		6,800		15,190
The Siam Cement PCL		6,000		89,021
The Siam Commercial Bank PCL		25,700		118,139
Thai Oil PCL		15,700		49,862
Thai Union Group PCL		25,900		15,809
TMB Bank PCL		178,100		16,464
True Corp. PCL (b)		135,700		25,828
				1,732,212
Turkey — 0.1%
Akbank Turk AS		30,153		78,353
Anadolu Efes Biracilik Ve Malt Sanayii AS		3,125		19,969
Arcelik AS		3,324		18,860
Aselsan Elektronik Sanayi Ve Ticaret AS		2,668		22,405
BIM Birlesik Magazalar AS		2,822		58,141
Coca-Cola Icecek AS		1,282		11,566
Emlak Konut Gayrimenkul Yatirim Ortakligi AS (b)		28,837		21,376
Eregli Demir ve Celik Fabrikalari TAS		18,909		49,938

	Number of Shares		Value
Ford Otomotiv Sanayi AS		1,074	$	17,080
Haci Omer Sabanci Holding AS		12,981		38,079
Koc Holding AS		10,438		50,898
Petkim Petrokimya Holding AS		8,319		17,052
TAV Havalimanlari Holding AS		1,949		11,548
Tofas Turk Otomobil Fabrikasi AS		1,835		15,957
Tupras-Turkiye Petrol Rafinerileri AS		1,686		54,042
Turk Hava Yollari AO (b)		8,395		34,747
Turk Telekomunikasyon AS (b)		8,019		13,624
Turkcell Iletisim Hizmetleri AS		15,900		64,930
Turkiye Garanti Bankasi AS		31,952		90,506
Turkiye Halk Bankasi AS		9,074		25,839
Turkiye Is Bankasi		22,870		42,081
Turkiye Sise ve Cam Fabrikalari AS		12,024		14,908
Turkiye Vakiflar Bankasi TAO		10,654		19,045
Ulker Biskuvi Sanayi AS		1,897		9,835
Yapi ve Kredi Bankasi AS (b)		10,715		12,275
				813,054
United Arab Emirates — 0.0%
Abu Dhabi Commercial Bank PJSC		28,383		52,538
Aldar Properties PJSC		41,788		25,032
DAMAC Properties Dubai Co. PJSC		28,575		25,685
DP World Ltd.		2,284		57,141
Dubai Investments PJSC		21,628		14,185
Dubai Islamic Bank PJSC		16,751		28,217
DXB Entertainments PJSC (b)		49,084		8,482
Emaar Malls PJSC		30,757		17,837
Emaar Properties PJSC		48,786		92,087
Emirates Telecommunications Group Co. PJSC		24,063		114,592
First Abu Dhabi Bank PJSC		20,171		56,281
NMC Health PLC		1,078		41,985
				534,062
United Kingdom — 5.2%
3i Group PLC		17,129		211,139
888 Holdings PLC		4,466		16,985
AA PLC		7,314		16,777
Abcam PLC		2,405		34,224
Acacia Mining PLC		2,251		5,998
Admiral Group PLC		3,567		96,191
Advanced Medical Solutions Group PLC		2,837		12,218
Aggreko PLC		3,344		35,960
Aldermore Group PLC (b)		2,918		12,226
Alfa Financial Software Holdings PLC (b) (d)		1,178		8,513
Allied Minds PLC (b)		3,431		7,588
Amdocs Ltd.		2,876		188,321
Amerisur Resources PLC (a) (b)		12,959		3,225
Anglo American PLC (a)		24,029		502,209
Antofagasta PLC		7,620		103,310
AO World PLC (a) (b)		2,711		4,026
Aon PLC		6,809		912,406

The accompanying notes are an integral part of the portfolio of investments.

227

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Aptiv PLC		5,381	$	456,470
ARRIS International PLC (b)		3,533		90,763
Arrow Global Group PLC		1,955		10,460
Ascential PLC		5,122		26,642
Ashmore Group PLC		4,787		26,177
Ashtead Group PLC		8,767		233,973
ASOS PLC (b)		715		64,798
Associated British Foods PLC		6,224		236,614
Assura PLC		130,441		112,542
AstraZeneca PLC		22,448		1,540,449
Atlassian Corp. PLC Class A (b)		1,845		83,984
Auto Trader Group PLC (d)		19,363		91,915
Aveva Group PLC		789		29,334
Aviva PLC		71,596		489,290
Babcock International Group PLC		3,402		32,246
BAE Systems PLC		55,696		428,373
Balfour Beatty PLC		8,900		35,669
Barclays PLC		298,170		812,994
Barratt Developments PLC		18,802		164,312
BBA Aviation PLC		13,786		65,069
Beazley PLC		6,971		49,979
Bellway PLC		1,635		78,625
The Berkeley Group Holdings PLC		2,362		133,751
BGEO Group PLC		492		23,578
BHP Billiton PLC		37,636		770,360
Biffa PLC (d)		2,940		10,400
Big Yellow Group PLC		8,728		102,500
Blue Prism Group PLC (a) (b)		428		7,270
Bodycote PLC		2,507		30,885
boohoo.com plc (b)		9,524		24,239
Booker Group PLC		22,255		68,518
Bovis Homes Group PLC		1,722		27,110
BP PLC		344,751		2,431,359
Brewin Dolphin Holdings PLC		3,655		19,207
British American Tobacco PLC		40,171		2,711,160
The British Land Co. PLC		63,739		594,678
Britvic PLC		3,494		38,318
BT Group PLC		149,662		547,978
BTG PLC (b)		5,108		52,398
Bunzl PLC		5,924		165,646
Burberry Group PLC		7,542		182,335
Burford Capital Ltd.		2,459		38,233
Cairn Energy PLC (b)		7,191		20,587
Capita PLC		13,391		72,398
Capital & Counties Properties PLC		43,556		187,913
Capital & Regional PLC		19,755		15,594
Card Factory PLC		3,635		14,406
Cardtronics PLC Class A (b)		1,189		22,020
Carnival PLC		3,343		219,805
Centamin PLC		13,946		29,758
Central Asia Metals PLC		1,839		7,570
Centrica PLC		94,294		174,591
Chemring Group PLC		3,950		9,764

	Number of Shares		Value
Cineworld Group PLC		2,449	$	19,861
Civitas Social Housing PLC		4,989		7,625
Clinigen Healthcare Ltd. (b)		1,279		17,737
Close Brothers Group PLC		1,978		38,660
CMC Markets PLC (d)		1,589		3,226
Cobham PLC (b)		41,503		70,513
Coca-Cola European Partners PLC		4,096		163,153
Compass Group PLC		28,220		610,200
ConvaTec Group PLC (d)		24,279		67,098
Conviviality PLC		2,445		13,299
Costain Group PLC		1,034		6,529
Countryside Properties PLC (d)		4,101		19,539
Countrywide PLC (b)		2,072		3,366
Crest Nicholson Holdings plc		3,252		23,813
Croda International PLC		2,233		133,338
Custodian Reit PLC		12,944		20,458
CVS Group PLC		812		11,402
CYBG PLC (b)		11,384		52,185
Daejan Holdings PLC		185		15,140
Daily Mail & General Trust PLC Class A		3,521		28,297
Dairy Crest Group PLC		1,922		14,970
Dart Group PLC		1,317		12,093
De La Rue PLC		1,399		12,121
Debenhams PLC		15,839		7,528
Dechra Pharmaceuticals PLC		1,214		34,284
Delphi Technologies PLC (b)		1,774		93,082
Derwent London PLC		5,979		251,628
DFS Furniture PLC		3,259		8,670
Diageo PLC		43,918		1,607,326
Dialight PLC (b)		348		2,587
Dialog Semiconductor PLC (b)		1,032		31,966
Dignity PLC		626		15,351
Diploma PLC		1,458		24,485
Direct Line Insurance Group PLC		26,495		136,541
Dixons Carphone PLC		12,617		33,889
Domino’s Pizza Group PLC		6,078		28,352
Drax Group PLC		4,944		17,991
DS Smith PLC		13,867		96,444
Dunelm Group PLC		1,324		12,327
easyJet PLC		2,501		49,437
EI Group PLC (b)		5,609		10,698
Electrocomponents PLC		5,880		49,666
Elementis PLC		5,563		21,638
EMIS Group PLC		810		11,060
Empiric Student Property PLC		38,017		47,595
EnQuest PLC (b)		14,883		5,677
Ensco PLC Class A (a)		10,290		60,814
Equiniti Group PLC (d)		4,428		17,069
Eros International PLC (a) (b)		716		6,909
Essentra PLC		3,240		23,152
esure Group PLC		4,294		14,396
Evraz PLC		5,086		23,330

The accompanying notes are an integral part of the portfolio of investments.

228

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Experian PLC		16,863	$	370,602
F&C UK Real Estate Investment Ltd.		10,185		14,169
Faroe Petroleum PLC (b)		4,450		6,316
Fenner PLC		2,683		14,474
Ferguson PLC		4,485		320,914
Ferrexpo PLC		3,509		13,799
Fevertree Drinks PLC		1,214		37,387
Firstgroup PLC (b)		15,079		22,477
Forterra PLC (d)		2,814		11,330
Fresnillo PLC		4,393		84,815
G4S PLC		28,112		101,059
Galliford Try PLC		981		17,030
GB Group PLC		1,832		10,819
GCP Student Living PLC		16,364		31,808
Genus PLC		747		25,515
GKN PLC		31,757		136,361
GlaxoSmithKline PLC		85,489		1,512,116
Glencore PLC		217,356		1,143,573
Go-Ahead Group PLC		515		10,352
Gocompare.Com Group PLC		3,920		5,631
Grainger PLC		24,989		97,316
Great Portland Estates PLC		19,351		179,770
Greene King PLC		3,861		28,920
Greggs PLC		1,220		22,935
GVC Holdings PLC		3,763		46,987
Halfords Group PLC		2,777		13,097
Halma PLC		5,104		86,618
Hammerson PLC		51,186		377,817
Hansteen Holdings PLC		26,681		51,502
Hargreaves Lansdown PLC		4,471		108,758
Hastings Group Holdings Ltd. (d)		4,095		17,686
Hays PLC		17,869		43,750
Helical PLC		5,109		23,403
Hikma Pharmaceuticals PLC		1,866		28,554
Hill & Smith Holdings PLC		1,008		18,165
Hochschild Mining PLC		3,673		13,091
HomeServe PLC		3,666		39,951
Hostelworld Group Plc (d)		1,317		6,821
Hotel Chocolat Group Ltd.		612		3,044
Howden Joinery Group PLC		8,240		51,898
HSBC Holdings PLC		352,815		3,638,600
Hunting PLC (b)		1,679		13,689
Hurricane Energy PLC (a) (b)		21,732		9,057
Ibstock PLC (d)		5,746		20,682
IG Group Holdings PLC		4,837		46,715
IMI PLC		4,799		85,906
Imperial Brands PLC		16,573		708,247
Inchcape PLC		5,499		57,976
Indivior PLC (b)		9,481		51,611
Informa PLC		10,480		101,947
Inmarsat PLC		5,940		39,359
InterContinental Hotels Group PLC		3,139		199,660
Intermediate Capital Group PLC		3,823		58,949

	Number of Shares		Value
International Game Technology PLC		2,167	$	57,447
International Personal Finance PLC		3,027		8,071
International Seaways, Inc. (b)		770		14,214
Intertek Group PLC		2,778		194,595
Intu Properties PLC		52,312		178,601
Investec PLC		10,794		77,675
iomart Group PLC		1,196		6,298
IQE PLC (a) (b)		9,477		17,393
ITE Group PLC		3,635		8,913
ITV PLC		61,772		137,529
IWG PLC		8,575		29,795
J D Wetherspoon PLC		912		15,491
J Sainsbury PLC		27,560		89,723
Jackpotjoy PLC (b)		800		8,953
JD Sports Fashion PLC		5,668		25,698
John Laing Group PLC (d)		4,744		18,806
John Menzies PLC		797		7,279
John Wood Group PLC		12,190		106,546
Johnson Matthey PLC		3,210		132,721
JRP Group PLC		9,443		21,527
Jupiter Fund Management PLC		5,798		49,171
Just Eat PLC (b)		7,163		75,142
Kainos Group PLC		919		4,205
KAZ Minerals PLC (b)		3,114		37,325
KCOM Group PLC		7,173		8,794
Keller Group PLC		993		12,973
Keywords Studios PLC		656		14,082
Kier Group PLC		1,329		19,519
Kingfisher PLC		37,342		170,232
Ladbrokes Coral Group PLC		19,945		48,784
Laird PLC		5,732		10,625
Land Securities Group PLC		46,721		633,637
Legal & General Group PLC		107,742		396,599
LivaNova PLC (b)		1,191		95,185
Lloyds Banking Group PLC		1,256,245		1,150,338
London Stock Exchange Group PLC		5,487		280,943
LondonMetric Property PLC		40,828		102,466
Lonmin PLC (a) (b)		3,873		4,383
Lookers PLC		4,314		5,993
Luceco PLC (d)		1,160		1,731
Majestic Wine PLC		908		5,493
Man Group PLC		20,698		57,610
Marks & Spencer Group PLC (a)		28,053		118,975
Marshalls PLC		2,317		14,197
Marston’s PLC		8,076		12,268
McCarthy & Stone PLC (d)		5,362		11,427
Mediclinic International PLC (a)		5,342		46,639
Meggitt PLC		15,131		97,974
Melrose Industries PLC		25,525		72,762
Merlin Entertainments PLC (d)		12,144		59,365
Metro Bank PLC (a) (b)		989		47,642
Michael Kors Holdings Ltd. (b)		2,872		180,792
Micro Focus International PLC		7,761		263,393

The accompanying notes are an integral part of the portfolio of investments.

229

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mitchells & Butlers PLC		2,893	$	11,003
Mitie Group PLC		5,195		13,509
Mondi PLC		6,260		163,207
Moneysupermarket.com Group PLC		7,106		34,134
Morgan Advanced Materials PLC		4,059		18,413
N Brown Group PLC		2,162		7,900
National Express Group PLC		5,717		29,330
National Grid PLC		59,855		703,116
NCC Group PLC		3,222		10,183
NewRiver REIT PLC		17,986		80,892
NEX Group PLC		4,199		34,376
Next PLC		2,515		153,990
Nielsen Holdings PLC		7,190		261,716
Noble Corp. PLC (b)		6,390		28,883
Northgate PLC		1,847		9,484
Nostrum Oil & Gas PLC (b)		1,209		5,317
Novocure Ltd. (a) (b)		1,509		30,482
Ocado Group PLC (a) (b)		7,002		37,424
Old Mutual PLC		91,624		286,546
OM Asset Management PLC		1,927		32,277
On the Beach Group PLC (d)		998		6,293
OneSavings Bank PLC		2,223		12,372
Ophir Energy PLC (b)		10,105		9,210
Oxford Immunotec Global PLC (b)		558		7,795
Oxford Instruments PLC		755		8,669
Pagegroup PLC		3,970		24,894
Pan African Resources PLC		31,577		5,721
The Paragon Banking Group PLC		3,456		22,824
Pearson PLC		15,497		153,610
Pendragon PLC		14,607		5,626
Pennon Group PLC		5,485		57,731
Persimmon PLC		5,305		195,907
Petrofac Ltd.		3,582		24,654
Pets at Home Group Plc		4,825		11,493
Phoenix Spree Deutschland Ltd.		3,463		18,369
Photo-Me International PLC		2,817		7,001
Playtech PLC		3,930		45,526
Polypipe Group plc		2,801		14,858
Premier Foods PLC (b)		9,741		5,645
Premier Oil PLC (a) (b)		7,003		7,159
Primary Health Properties PLC		37,419		59,013
Provident Financial PLC		1,933		23,423
Prudential PLC		46,039		1,183,670
Purplebricks Group PLC (a) (b)		2,663		14,957
PZ Cussons PLC		3,191		13,878
QinetiQ Group PLC		7,187		22,358
Quotient Ltd. (a) (b)		675		3,341
Randgold Resources Ltd.		1,573		156,051
Rank Group PLC		2,509		8,148
Rathbone Brothers PLC		645		22,179
RDI REIT PLC		66,903		33,169
Reckitt Benckiser Group PLC		11,869		1,108,673
Redde PLC		3,981		9,375

	Number of Shares		Value
Redrow PLC		2,742	$	24,290
Regional REIT Ltd. (d)		10,892		15,149
RELX PLC		18,369		430,344
Renewi PLC		8,835		12,323
Renishaw PLC		460		32,303
Rentokil Initial PLC		24,329		104,087
The Restaurant Group PLC		2,712		11,015
Restore PLC		1,476		11,725
Rightmove PLC		1,230		74,704
Rio Tinto PLC		21,909		1,156,295
Rolls-Royce Holdings PLC		29,775		338,867
Rotork PLC		11,382		40,887
Rowan Cos. PLC Class A (b)		3,045		47,685
Royal Bank of Scotland Group PLC (b)		65,762		245,282
Royal Dutch Shell PLC Class A		79,606		2,664,952
Royal Dutch Shell PLC Class B		65,924		2,223,414
Royal Mail PLC		17,806		108,807
RPC Group PLC		5,482		64,848
RPS Group PLC		3,108		11,487
RSA Insurance Group PLC		16,587		141,342
SafeCharge International Group Ltd.		667		2,665
Safestore Holdings PLC		13,093		88,282
Saga PLC		14,781		25,162
The Sage Group PLC		18,452		198,283
Savills PLC		1,805		24,169
Scapa Group PLC		1,944		11,504
Schroder REIT Ltd.		27,435		22,429
Schroders PLC		1,897		89,731
Segro PLC		64,033		507,162
Senior PLC		4,910		17,220
Serco Group PLC (b)		15,266		20,370
Severn Trent PLC		4,356		127,098
Shaftesbury PLC		13,619		191,989
Shire PLC		15,748		816,823
SIG PLC		6,834		16,246
Sirius Minerals PLC (a) (b)		57,006		18,100
Sky PLC (b)		17,641		240,553
Smart Metering Systems PLC		1,308		15,527
Smith & Nephew PLC		15,471		267,701
Smiths Group PLC		6,992		139,876
Soco International PLC		2,825		4,246
Softcat PLC		1,136		7,978
SolGold PLC (a) (b)		10,166		4,045
Sophos Group PLC (d)		3,478		26,750
Sound Energy PLC (a) (b)		9,553		6,571
Spectris PLC		1,571		52,519
Spirax-Sarco Engineering PLC		973		73,640
Spire Healthcare Group PLC (d)		3,551		12,028
Sports Direct International PLC (b)		2,915		14,802
SSE PLC		17,440		310,688
SSP Group Plc		6,311		57,990
St Modwen Properties PLC		2,686		14,695

The accompanying notes are an integral part of the portfolio of investments.

230

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
St. James’s Place PLC		9,274	$	153,296
Staffline Group PLC		297		4,169
Stagecoach Group PLC		4,634		10,260
Stallergenes Greer PLC (b)		63		2,911
Standard Chartered PLC (b)		58,333		613,861
Standard Life Aberdeen PLC		47,270		278,482
Standard Life Investment Property, Income Trust Ltd.		20,609		25,960
STERIS PLC		1,669		145,987
Stobart Group Ltd.		3,780		14,369
Stock Spirits Group PLC		2,617		9,495
SuperGroup PLC		652		17,347
Synthomer PLC		3,701		24,405
TalkTalk Telecom Group PLC (a)		7,307		15,075
Target Healthcare REIT Ltd.		9,155		13,873
Tate & Lyle PLC		6,015		57,060
Taylor Wimpey PLC		60,883		169,601
Ted Baker PLC		359		13,087
Telecom Plus PLC		886		14,366
Telford Homes PLC		1,013		5,735
Telit Communications PLC		1,242		2,512
Tesco PLC		146,831		414,640
Thomas Cook Group PLC		18,577		30,826
TORM PLC		387		3,336
TP ICAP PLC		7,319		52,421
Travis Perkins PLC		4,187		88,530
Tritax Big Box REIT PLC		81,301		163,421
Tullow Oil PLC (b)		18,079		50,376
UBM PLC		5,251		52,722
Ultra Electronics Holdings PLC		1,025		18,672
Unilever PLC		22,215		1,230,702
The UNITE Group PLC		14,237		154,656
United Utilities Group PLC		11,461		128,276
Vectura Group PLC (b)		8,490		13,493
Vedanta Resources PLC		1,014		10,909
Vesuvius PLC		2,633		20,662
Victoria PLC (b)		1,206		13,472
Victrex PLC		1,101		39,215
Virgin Money Holdings UK PLC		4,066		15,548
Vodafone Group PLC		469,476		1,483,108
Watkin Jones PLC		2,694		7,989
The Weir Group PLC		4,214		120,340
WH Smith PLC		1,413		44,733
Whitbread PLC		3,184		171,955
William Hill PLC		11,272		48,928
Wm Morrison Supermarkets PLC		40,129		119,096
Workspace Group PLC		7,403		100,115
Worldpay Group PLC (d)		34,675		198,727
WPP PLC		23,078		418,233
ZPG PLC (d)		3,599		16,055
				58,911,234

	Number of Shares		Value
United States — 57.4%
1-800-Flowers.com, Inc. Class A (b)		711	$	7,608
1st Source Corp.		426		21,066
2U, Inc. (b)		1,182		76,251
3D Systems Corp. (a) (b)		2,852		24,641
3M Co.		12,995		3,058,633
8x8, Inc. (b)		2,312		32,599
A. Schulman, Inc.		748		27,863
A.O. Smith Corp.		2,885		176,793
A10 Networks, Inc. (b)		1,296		10,005
AAC Holdings, Inc. (b)		391		3,519
AAON, Inc.		1,086		39,856
AAR Corp.		850		33,397
Aaron’s, Inc.		1,539		61,329
Abaxis, Inc.		575		28,474
Abbott Laboratories		46,416		2,648,961
AbbVie, Inc.		35,700		3,452,547
Abeona Therapeutics, Inc. (a) (b)		645		10,223
Abercrombie & Fitch Co. Class A		1,784		31,095
ABIOMED, Inc. (b)		833		156,113
ABM Industries, Inc.		1,339		50,507
Abraxas Petroleum Corp. (b)		4,025		9,902
Acacia Communications, Inc. (b)		483		17,499
Acacia Research Corp. (b)		1,339		5,423
Acadia Healthcare Co., Inc. (a) (b)		1,620		52,861
ACADIA Pharmaceuticals, Inc. (a) (b)		2,018		60,762
Acadia Realty Trust		5,736		156,937
Accelerate Diagnostics, Inc. (a) (b)		682		17,868
Acceleron Pharma, Inc. (b)		973		41,294
Access National Corp.		393		10,941
Acco Brands Corp. (b)		2,396		29,231
Accuray, Inc. (b)		2,007		8,630
Aceto Corp.		763		7,882
Achaogen, Inc. (a) (b)		760		8,162
Achillion Pharmaceuticals, Inc. (b)		3,095		8,914
ACI Worldwide, Inc. (b)		2,827		64,088
Aclaris Therapeutics, Inc. (b)		532		13,119
ACNB Corp.		170		5,024
Acorda Therapeutics, Inc. (b)		1,134		24,324
Activision Blizzard, Inc.		20,293		1,284,953
Actua Corp. (b)		816		12,730
Actuant Corp. Class A		1,554		39,316
Acuity Brands, Inc.		849		149,424
Acushnet Holdings Corp. (a)		843		17,770
Acxiom Corp. (b)		2,039		56,195
Adamas Pharmaceuticals, Inc. (a) (b)		342		11,590
Adams Resources & Energy, Inc.		67		2,915
Addus HomeCare Corp. (b)		200		6,960
Adobe Systems, Inc. (b)		13,553		2,375,028
Adtalem Global Education, Inc.		1,487		62,528
ADTRAN, Inc.		1,274		24,652
Aduro Biotech, Inc. (a) (b)		1,073		8,048
Advance Auto Parts, Inc.		1,442		143,753

The accompanying notes are an integral part of the portfolio of investments.

231

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Advanced Disposal Services, Inc. (b)		1,134	$	27,148
Advanced Drainage Systems, Inc.		893		21,298
Advanced Emissions Solutions, Inc. (a)		516		4,985
Advanced Energy Industries, Inc. (b)		953		64,308
Advanced Micro Devices, Inc. (a) (b)		16,937		174,112
AdvanSix, Inc. (b)		783		32,941
Advaxis, Inc. (a) (b)		971		2,758
AECOM (b)		3,152		117,097
Aegion Corp. (b)		878		22,328
Aerie Pharmaceuticals, Inc. (b)		793		47,382
Aerohive Networks, Inc. (b)		936		5,457
Aerojet Rocketdyne Holdings, Inc. (b)		1,665		51,948
Aerovironment, Inc. (b)		540		30,326
AES Corp.		13,423		145,371
Aetna, Inc.		8,741		1,576,789
Affiliated Managers Group, Inc.		1,116		229,059
Aflac, Inc.		10,651		934,945
AG Mortgage Investment Trust, Inc.		740		14,067
AGCO Corp.		1,360		97,145
Agenus, Inc. (a) (b)		1,970		6,422
Agilent Technologies, Inc.		6,483		434,167
Agilysys, Inc. (b)		432		5,305
Agios Pharmaceuticals, Inc. (b)		811		46,365
AGNC Investment Corp.		7,842		158,330
Agree Realty Corp.		2,016		103,703
AgroFresh Solutions, Inc. (b)		585		4,329
Aimmune Therapeutics, Inc. (b)		930		35,173
Air Lease Corp.		1,961		94,304
Air Products & Chemicals, Inc.		5,864		962,165
Air Transport Services Group, Inc. (b)		1,359		31,447
AK Steel Holding Corp. (a) (b)		8,233		46,599
Akamai Technologies, Inc. (b)		3,323		216,128
Akcea Therapeutics, Inc. (a) (b)		389		6,753
Akebia Therapeutics, Inc. (b)		969		14,409
Akorn, Inc. (b)		1,796		57,885
Alamo Group, Inc.		249		28,105
Alarm.com Holdings, Inc. (b)		554		20,914
Alaska Air Group, Inc.		2,412		177,306
Albany International Corp. Class A		667		40,987
Albemarle Corp.		2,220		283,916
Alcoa Corp. (b)		3,686		198,565
Alder Biopharmaceuticals, Inc. (b)		1,690		19,351
Alexander & Baldwin, Inc.		1,117		30,986
Alexander’s, Inc.		164		64,919
Alexandria Real Estate Equities, Inc.		6,362		830,814
Alexion Pharmaceuticals, Inc. (b)		5,969		713,833
Alico, Inc.		92		2,714
Align Technology, Inc. (b)		1,595		354,393
Alleghany Corp. (b)		298		177,635
Allegheny Technologies, Inc. (a) (b)		3,149		76,017
Allegiance Bancshares, Inc. (b)		303		11,408
Allegiant Travel Co.		324		50,139

	Number of Shares		Value
ALLETE, Inc.		1,267	$	94,214
Alliance Data Systems Corp.		976		247,396
Alliant Energy Corp.		4,668		198,903
Allied Motion Technologies, Inc.		181		5,989
Allison Transmission Holdings, Inc.		2,504		107,847
Allscripts Healthcare Solutions, Inc. (b)		4,383		63,773
The Allstate Corp.		9,988		1,045,843
Ally Financial, Inc.		8,931		260,428
Almost Family, Inc. (b)		333		18,432
Alnylam Pharmaceuticals, Inc. (b)		1,730		219,796
Alphabet, Inc. Class A (b)		6,674		7,030,392
Alphabet, Inc. Class C (b)		6,779		7,093,546
Alteryx, Inc. Class A (b)		564		14,252
Altisource Residential Corp.		1,306		15,489
Altra Industrial Motion Corp.		650		32,760
Altria Group, Inc.		42,816		3,057,491
AMAG Pharmaceuticals, Inc. (b)		920		12,190
Amazon.com, Inc. (b)		8,909		10,418,808
Ambac Financial Group, Inc. (b)		1,186		18,952
Amber Road, Inc. (b)		544		3,993
AMC Entertainment Holdings, Inc. Class A (a)		1,443		21,789
AMC Networks, Inc. Class A (b)		981		53,052
Amedisys, Inc. (b)		742		39,111
AMERCO		103		38,925
Ameren Corp.		4,883		288,048
Ameresco, Inc. Class A (b)		232		1,995
America’s Car-Mart, Inc. (b)		182		8,126
American Airlines Group, Inc.		8,724		453,910
American Assets Trust, Inc.		2,938		112,349
American Axle & Manufacturing Holdings, Inc. (b)		2,474		42,132
American Campus Communities, Inc.		9,079		372,511
American Eagle Outfitters, Inc.		3,883		73,000
American Electric Power Co., Inc.		13,516		994,372
American Equity Investment Life Holding Co.		2,085		64,072
American Express Co.		19,780		1,964,352
American Financial Group, Inc.		1,404		152,390
American Homes 4 Rent Class A		16,166		353,065
American International Group, Inc.		24,702		1,471,745
American National Bankshares, Inc.		186		7,124
American National Insurance Co.		143		18,340
American Outdoor Brands Corp. (a) (b)		1,460		18,746
American Public Education, Inc. (b)		391		9,795
American Railcar Industries, Inc.		190		7,912
American Renal Associates Holdings, Inc. (a) (b)		258		4,489
American Software, Inc. Class A		724		8,420
American States Water Co.		942		54,551
American Tower Corp.		11,584		1,652,689

The accompanying notes are an integral part of the portfolio of investments.

232

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
American Vanguard Corp.		757	$	14,875
American Water Works Co., Inc.		3,583		327,809
American Woodmark Corp. (b)		328		42,722
Ameriprise Financial, Inc.		2,978		504,682
Ameris Bancorp		948		45,694
AMERISAFE, Inc.		498		30,677
AmerisourceBergen Corp.		3,194		293,273
Ames National Corp.		191		5,319
AMETEK, Inc.		4,561		330,536
Amgen, Inc.		16,484		2,866,568
Amicus Therapeutics, Inc. (a) (b)		4,286		61,676
Amkor Technology, Inc. (b)		2,671		26,844
AMN Healthcare Services, Inc. (b)		1,118		55,062
Ampco-Pittsburgh Corp.		174		2,158
Amphastar Pharmaceuticals, Inc. (b)		931		17,912
Amphenol Corp. Class A		6,025		528,995
Amplify Snack Brands, Inc. (a) (b)		880		10,569
AmTrust Financial Services, Inc. (a)		2,224		22,396
Anadarko Petroleum Corp.		15,010		805,136
Analog Devices, Inc.		7,393		658,199
Analogic Corp.		327		27,386
AnaptysBio, Inc. (b)		444		44,720
Anavex Life Sciences Corp. (a) (b)		685		2,206
Andeavor		3,156		360,857
The Andersons, Inc.		708		22,054
AngioDynamics, Inc. (b)		968		16,098
ANI Pharmaceuticals, Inc. (b)		207		13,341
Anika Therapeutics, Inc. (b)		378		20,378
Anixter International, Inc. (b)		695		52,820
Annaly Capital Management, Inc.		22,917		272,483
ANSYS, Inc. (b)		1,719		253,707
Antares Pharma, Inc. (b)		3,783		7,528
Antero Resources Corp. (a) (b)		4,716		89,604
Anthem, Inc.		7,052		1,586,771
Anworth Mortgage Asset Corp.		2,508		13,644
Apache Corp.		7,657		323,279
Apartment Investment & Management Co. Class A		10,504		459,130
Apellis Pharmaceuticals, Inc. (b)		393		8,528
Apogee Enterprises, Inc.		738		33,749
Apollo Commercial Real Estate Finance, Inc. (a)		2,745		50,645
Appfolio, Inc. Class A (b)		214		8,881
Apple Hospitality REIT, Inc.		13,843		271,461
Apple, Inc.		115,203		19,495,804
Applied Industrial Technologies, Inc.		915		62,311
Applied Materials, Inc.		29,256		1,495,567
Applied Optoelectronics, Inc. (b)		479		18,116
Approach Resources Inc. (b)		1,143		3,383
Apptio, Inc. Class A (b)		467		10,984
AptarGroup, Inc.		1,242		107,160
Aqua America, Inc.		3,561		139,698
Aqua Metals, Inc. (a) (b)		440		937

	Number of Shares		Value
Aramark		4,891	$	209,041
Aratana Therapeutics, Inc. (b)		1,065		5,602
ARC Document Solutions, Inc. (b)		1,084		2,764
ArcBest Corp.		679		24,274
Arch Coal, Inc. Class A		445		41,456
Archer-Daniels-Midland Co.		15,109		605,569
Archrock, Inc.		1,438		15,099
Arconic, Inc.		8,581		233,832
Ardelyx, Inc. (b)		844		5,570
Ardmore Shipping Corp. (b)		754		6,032
Arena Pharmaceuticals, Inc. (b)		1,020		34,649
Ares Commercial Real Estate Corp.		679		8,759
Argan, Inc.		308		13,860
Arista Networks, Inc. (b)		1,064		250,657
Arlington Asset Investment Corp. Class A (a)		546		6,432
Armada Hoffler Properties, Inc.		1,166		18,108
ARMOUR Residential REIT, Inc.		947		24,357
Armstrong Flooring, Inc. (b)		597		10,101
Armstrong World Industries, Inc. (b)		863		52,255
Array BioPharma, Inc. (b)		4,943		63,270
Arrow Electronics, Inc. (b)		1,763		141,763
Arrow Financial Corp.		310		10,525
Artesian Resources Corp. Class A		169		6,517
Arthur J Gallagher & Co.		3,587		226,985
Artisan Partners Asset Management, Inc. Class A		1,135		44,833
Asbury Automotive Group, Inc. (b)		490		31,360
Ascena Retail Group, Inc. (b)		4,527		10,638
Ascent Capital Group, Inc. Class A (b)		301		3,458
Ashford Hospitality Prime, Inc.		704		6,850
Ashford Hospitality Trust, Inc.		4,875		32,809
Ashland Global Holdings, Inc.		1,264		89,997
Aspen Technology, Inc. (b)		1,791		118,564
Assembly Biosciences, Inc. (b)		370		16,743
Associated Banc-Corp.		3,067		77,902
Associated Capital Group, Inc. Class A (a)		138		4,706
Assurant, Inc.		1,080		108,907
Astec Industries, Inc.		558		32,643
Asterias Biotherapeutics, Inc. (a) (b)		747		1,681
Astronics Corp. (b)		562		23,306
At Home Group, Inc. (b)		135		4,103
AT&T, Inc.		137,941		5,363,146
Atara Biotherapeutics, Inc. (a) (b)		670		12,127
athenahealth, Inc. (b)		799		106,299
Athenex, Inc. (a) (b)		298		4,738
Athersys, Inc. (a) (b)		2,955		5,349
Atkore International Group, Inc. (b)		863		18,511
Atlantic Capital Bancshares, Inc. (b)		555		9,768
Atlas Air Worldwide Holdings, Inc. (b)		533		31,260
Atmos Energy Corp.		2,070		177,792

The accompanying notes are an integral part of the portfolio of investments.

233

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
ATN International, Inc.		279	$	15,418
AtriCure, Inc. (b)		832		15,176
Atrion Corp.		37		23,332
Audentes Therapeutics, Inc. (b)		406		12,688
Autodesk, Inc. (b)		4,175		437,665
Automatic Data Processing, Inc.		12,280		1,439,093
AutoNation, Inc. (a) (b)		1,167		59,902
AutoZone, Inc. (b)		553		393,388
AV Homes, Inc. (b)		223		3,713
AvalonBay Communities, Inc.		9,171		1,636,198
Avangrid, Inc.		1,131		57,206
Avery Dennison Corp.		1,772		203,532
Avexis, Inc. (b)		590		65,295
Avid Technology, Inc. (b)		906		4,883
Avis Budget Group, Inc. (b)		1,820		79,862
Avista Corp.		1,577		81,200
Avnet, Inc.		2,413		95,603
AVX Corp.		1,252		21,660
Axcelis Technologies, Inc. (b)		787		22,587
AxoGen, Inc. (b)		683		19,329
Axon Enterprise, Inc. (a) (b)		1,361		36,067
AXT, Inc. (b)		981		8,535
AZZ, Inc.		683		34,901
B&G Foods, Inc. (a)		1,555		54,658
B. Riley Financial, Inc. (a)		360		6,516
Babcock & Wilcox Enterprises, Inc. (a) (b)		1,290		7,327
Badger Meter, Inc.		736		35,181
Baker Hughes a GE Co.		8,528		269,826
Balchem Corp.		765		61,659
Baldwin & Lyons, Inc. Class B		255		6,107
Ball Corp.		6,952		263,133
Banc of California, Inc. (a)		1,131		23,355
BancFirst Corp.		446		22,813
The Bancorp, Inc. (b)		1,289		12,735
BancorpSouth Bank		2,075		65,259
Bank Mutual Corp.		1,104		11,758
Bank of America Corp.		217,388		6,417,294
Bank of Commerce Holdings		388		4,462
Bank of Hawaii Corp.		850		72,845
Bank of Marin Bancorp		168		11,424
The Bank of New York Mellon Corp.		27,238		1,467,039
Bank of the Ozarks, Inc.		2,442		118,315
BankFinancial Corp.		268		4,111
BankUnited, Inc.		2,107		85,797
Bankwell Financial Group, Inc.		163		5,597
Banner Corp.		855		47,128
Bar Harbor Bankshares		413		11,155
Barnes & Noble Education, Inc. (b)		1,057		8,710
Barnes & Noble, Inc.		1,560		10,452
Barnes Group, Inc.		1,216		76,936
Barracuda Networks, Inc. (b)		663		18,233
Barrett Business Services, Inc.		188		12,124

	Number of Shares		Value
Basic Energy Services, Inc. (b)		457	$	10,726
Bassett Furniture Industries, Inc.		228		8,573
Baxter International, Inc.		13,670		883,629
Bazaarvoice, Inc. (b)		2,064		11,249
BB&T Corp.		21,607		1,074,300
BCB Bancorp, Inc.		255		3,698
Beacon Roofing Supply, Inc. (b)		1,636		104,311
Bear State Financial, Inc.		584		5,974
Beazer Homes USA, Inc. (b)		839		16,117
Becton, Dickinson & Co.		7,159		1,532,409
Bed Bath & Beyond, Inc.		2,778		61,088
Bel Fuse, Inc. Class B		260		6,546
Belden, Inc.		1,023		78,945
Bellicum Pharmaceuticals, Inc. (a) (b)		699		5,879
Bemis Co., Inc.		1,840		87,934
Benchmark Electronics, Inc. (b)		1,313		38,208
Beneficial Bancorp, Inc.		1,518		24,971
Benefitfocus, Inc. (b)		417		11,259
Berkshire Hathaway, Inc. Class B (b)		43,134		8,550,021
Berkshire Hills Bancorp, Inc.		922		33,745
Berry Plastics Group, Inc. (b)		2,583		151,545
Best Buy Co., Inc.		5,180		354,675
BG Staffing, Inc.		194		3,092
BGC Partners, Inc. Class A		4,624		69,869
Big 5 Sporting Goods Corp. (a)		554		4,210
Big Lots, Inc. (a)		1,014		56,936
Biglari Holdings, Inc. (b)		28		11,603
Bill Barrett Corp. (b)		2,003		10,275
Bio-Rad Laboratories, Inc. Class A (b)		424		101,196
Bio-Techne Corp.		735		95,219
BioCryst Pharmaceuticals, Inc. (a) (b)		2,089		10,257
Biogen, Inc. (b)		5,818		1,853,440
BioMarin Pharmaceutical, Inc. (b)		3,527		314,503
BioScrip, Inc. (a) (b)		2,675		7,784
BioSpecifics Technologies Corp. (b)		153		6,629
BioTelemetry, Inc. (b)		760		22,724
BioTime, Inc. (a) (b)		2,015		4,332
Bioverativ, Inc. (b)		2,192		118,193
BJ’s Restaurants, Inc.		551		20,056
Black Hills Corp.		1,317		79,165
Black Knight, Inc. (b)		2,174		95,982
Blackbaud, Inc.		1,184		111,876
Blackhawk Network Holdings, Inc. (b)		1,314		46,844
Blackline, Inc. (b)		431		14,137
BlackRock, Inc.		3,412		1,752,779
Bloomin’ Brands, Inc.		2,357		50,298
Blucora, Inc. (b)		1,081		23,890
Blue Bird Corp. (b)		192		3,821
Blue Buffalo Pet Products, Inc. (a) (b)		1,859		60,957
Blue Hills Bancorp, Inc.		618		12,422
Bluebird Bio, Inc. (b)		1,218		216,926
Blueprint Medicines Corp. (b)		1,060		79,935
Bluerock Residential Growth REIT, Inc.		627		6,339

The accompanying notes are an integral part of the portfolio of investments.

234

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
BMC Stock Holdings, Inc. (b)		1,471	$	37,216
Bob Evans Farms, Inc.		518		40,829
The Boeing Co.		12,481		3,680,772
BofI Holding, Inc. (a) (b)		1,376		41,142
Boingo Wireless, Inc. (b)		953		21,443
Boise Cascade Co.		994		39,661
Bojangles’, Inc. (b)		387		4,567
BOK Financial Corp.		513		47,360
Bonanza Creek Energy, Inc. (b)		531		14,650
Boot Barn Holdings, Inc. (b)		331		5,498
Booz Allen Hamilton Holding Corp.		2,895		110,386
BorgWarner, Inc.		4,262		217,746
The Boston Beer Co., Inc. Class A (a) (b)		195		37,265
Boston Private Financial Holdings, Inc.		2,193		33,882
Boston Properties, Inc.		10,235		1,330,857
Boston Scientific Corp. (b)		37,529		930,344
Bottomline Technologies de, Inc. (b)		1,043		36,171
Box, Inc. Class A (b)		2,052		43,338
Boyd Gaming Corp.		2,015		70,626
Brady Corp. Class A		1,082		41,008
Brandywine Realty Trust		11,328		206,056
Bridge Bancorp, Inc.		500		17,500
Bridgepoint Education, Inc. (b)		490		4,067
Briggs & Stratton Corp.		1,094		27,755
Bright Horizons Family Solutions, Inc. (b)		1,095		102,930
Brightcove, Inc. (b)		909		6,454
Brighthouse Financial, Inc. (b)		2,300		134,872
The Brink’s Co.		1,137		89,482
Brinker International, Inc.		1,118		43,423
Bristol-Myers Squibb Co.		36,952		2,264,419
Bristow Group, Inc. (a)		852		11,476
Brixmor Property Group, Inc.		20,618		384,732
Broadridge Financial Solutions, Inc.		2,355		213,316
BroadSoft, Inc. (a) (b)		802		44,030
Brookdale Senior Living, Inc. (b)		3,618		35,095
Brookline Bancorp, Inc.		1,962		30,803
Brooks Automation, Inc.		1,635		38,995
Brown & Brown, Inc.		2,384		122,681
Brown-Forman Corp. Class A		1,088		73,157
Brown-Forman Corp. Class B		3,573		245,358
Bruker Corp.		2,029		69,635
Brunswick Corp.		1,762		97,298
Bryn Mawr Bank Corp.		442		19,536
BSB Bancorp, Inc. (b)		228		6,669
The Buckle, Inc. (a)		759		18,026
Buffalo Wild Wings, Inc. (b)		370		57,850
Build-A-Bear Workshop, Inc. (b)		367		3,376
Builders FirstSource, Inc. (b)		2,773		60,424
Burlington Stores, Inc. (b)		1,377		169,412
BWX Technologies, Inc.		1,904		115,173

	Number of Shares		Value
Byline Bancorp, Inc. (b)		234	$	5,375
C&F Financial Corp.		92		5,336
C&J Energy Services, Inc. (b)		1,212		40,566
C.H. Robinson Worldwide, Inc. (a)		2,820		251,234
CA, Inc.		6,341		211,028
Cable One, Inc.		95		66,818
Cabot Corp.		1,237		76,187
Cabot Microelectronics Corp.		588		55,319
Cabot Oil & Gas Corp.		9,236		264,150
CACI International, Inc. Class A (b)		602		79,675
Cadence BanCorp (b)		433		11,743
Cadence Design Systems, Inc. (b)		5,580		233,356
Cadiz, Inc. (a) (b)		558		7,952
Caesars Entertainment Corp. (b)		3,575		45,224
CAI International, Inc. (b)		405		11,470
Cal-Maine Foods, Inc. (a) (b)		699		31,071
CalAmp Corp. (b)		906		19,416
CalAtlantic Group, Inc.		1,642		92,592
Calavo Growers, Inc. (a)		418		35,279
Caleres, Inc.		937		31,371
Calgon Carbon Corp.		1,324		28,201
California Resources Corp. (a) (b)		1,120		21,773
California Water Service Group		1,144		51,880
Calithera Biosciences, Inc. (b)		801		6,688
Calix, Inc. (b)		1,161		6,908
Callaway Golf Co.		2,433		33,892
Callidus Software, Inc. (b)		1,686		48,304
Callon Petroleum Co. (b)		4,825		58,624
Calpine Corp. (b)		7,178		108,603
Calyxt, Inc. (a) (b)		211		4,648
Cambium Learning Group, Inc. (b)		449		2,550
Cambrex Corp. (b)		746		35,808
Camden National Corp.		412		17,358
Camden Property Trust		6,103		561,842
Campbell Soup Co.		3,586		172,522
Camping World Holdings, Inc. Class A		758		33,905
Cannae Holdings, Inc. (b)		1,647		28,048
Cantel Medical Corp.		892		91,760
Capella Education Co.		302		23,375
Capital City Bank Group, Inc.		313		7,180
Capital One Financial Corp.		13,193		1,313,759
Capital Senior Living Corp. (b)		647		8,728
Capitol Federal Financial, Inc.		3,309		44,374
Capstar Financial Holdings, Inc. (b)		213		4,424
Capstead Mortgage Corp.		2,497		21,599
Cara Therapeutics, Inc. (a) (b)		700		8,568
CARBO Ceramics, Inc. (a) (b)		610		6,210
Carbonite, Inc. (b)		649		16,290
Cardinal Health, Inc.		6,356		389,432
Cardiovascular Systems, Inc. (b)		837		19,829
Care.com, Inc. (b)		355		6,404
Career Education Corp. (b)		1,787		21,587

The accompanying notes are an integral part of the portfolio of investments.

235

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
CareTrust REIT, Inc.		5,353	$	89,716
Carlisle Cos., Inc.		1,211		137,630
CarMax, Inc. (b)		3,674		235,614
Carolina Financial Corp.		474		17,609
Carpenter Technology Corp.		1,109		56,548
Carriage Services, Inc.		382		9,821
Carrizo Oil & Gas, Inc. (b)		2,007		42,709
Carrols Restaurant Group, Inc. (b)		911		11,069
Cars.com, Inc. (a) (b)		1,693		48,826
Carter’s, Inc.		942		110,676
Carvana Co. (b)		397		7,591
Cascadian Therapeutics, Inc. (b)		934		3,456
Casella Waste Systems, Inc. Class A (b)		1,030		23,711
Casey’s General Stores, Inc. (a)		750		83,955
Cass Information Systems, Inc.		317		18,453
Castle Brands, Inc. (a) (b)		2,257		2,754
Castlight Health, Inc. Class B (b)		1,588		5,955
Catalent, Inc. (b)		3,316		136,221
Catalyst Pharmaceuticals, Inc. (b)		1,825		7,136
Catchmark Timber Trust, Inc. Class A		1,062		13,944
Caterpillar, Inc.		15,586		2,456,042
Cathay General Bancorp		1,826		77,002
The Cato Corp. Class A		640		10,189
Cavco Industries, Inc. (b)		191		29,147
Cavium, Inc. (b)		1,350		113,170
CBIZ, Inc. (b)		1,364		21,074
CBL & Associates Properties, Inc. (a)		12,165		68,854
Cboe Global Markets, Inc.		2,227		277,462
CBRE Group, Inc. Class A (b)		5,914		256,135
CBS Corp. Class B		9,142		539,378
CDK Global, Inc.		2,572		183,332
CDW Corp.		3,006		208,887
CECO Environmental Corp.		730		3,745
Cedar Realty Trust, Inc.		6,379		38,784
Celanese Corp. Series A		2,731		292,435
Celgene Corp. (b)		17,405		1,816,386
Celldex Therapeutics, Inc. (b)		3,204		9,099
Centene Corp. (b)		3,417		344,707
Centennial Resource Development, Inc. Class A (a) (b)		2,704		53,539
CenterPoint Energy, Inc.		8,711		247,044
CenterState Bank Corp.		1,410		36,279
Central Garden & Pet Co. (b)		265		10,314
Central Garden & Pet Co. Class A (b)		927		34,957
Central Pacific Financial Corp.		786		23,446
Central Valley Community Bancorp		270		5,449
Century Aluminum Co. (b)		1,302		25,571
Century Bancorp, Inc. Class A		82		6,417
Century Casinos, Inc. (b)		592		5,405
Century Communities, Inc. (b)		506		15,737
CenturyLink, Inc.		19,434		324,159
Cerner Corp. (b)		5,798		390,727

	Number of Shares		Value
Cerus Corp. (a) (b)		2,571	$	8,690
CEVA, Inc. (b)		562		25,936
CF Industries Holdings, Inc.		4,670		198,662
ChannelAdvisor Corp. (b)		684		6,156
Charles River Laboratories International, Inc. (b)		937		102,555
The Charles Schwab Corp.		32,499		1,669,474
Chart Industries, Inc. (b)		791		37,066
Charter Communications, Inc. Class A (b)		5,050		1,696,598
Charter Financial Corp.		248		4,350
Chase Corp.		189		22,775
Chatham Lodging Trust		3,132		71,284
The Cheesecake Factory, Inc.		1,015		48,903
The Chefs’ Warehouse, Inc. (b)		526		10,783
Chegg, Inc. (b)		2,185		35,659
Chemed Corp.		380		92,348
Chemical Financial Corp.		1,750		93,572
ChemoCentryx, Inc. (b)		623		3,707
The Chemours Co.		3,699		185,172
Chemung Financial Corp.		80		3,848
Cheniere Energy, Inc. (b)		4,092		220,313
Cherry Hill Mortgage Investment Corp.		308		5,541
Chesapeake Energy Corp. (a) (b)		18,322		72,555
Chesapeake Lodging Trust		4,243		114,943
Chesapeake Utilities Corp.		419		32,912
Chevron Corp.		42,367		5,303,925
Chico’s FAS, Inc.		3,359		29,626
The Children’s Place, Inc.		413		60,030
Chimera Investment Corp.		3,778		69,817
Chimerix, Inc. (b)		1,251		5,792
Chipotle Mexican Grill, Inc. (b)		505		145,960
Choice Hotels International, Inc.		689		53,466
Church & Dwight Co., Inc.		5,017		251,703
Churchill Downs, Inc.		330		76,791
Chuy’s Holdings, Inc. (b)		432		12,118
Ciena Corp. (b)		3,448		72,167
Cigna Corp.		6,549		1,330,036
Cimarex Energy Co.		1,884		229,867
Cincinnati Bell, Inc. (b)		1,107		23,081
Cincinnati Financial Corp.		3,096		232,107
Cinemark Holdings, Inc.		2,150		74,863
Cintas Corp.		1,732		269,898
CIRCOR International, Inc.		432		21,030
Cirrus Logic, Inc. (b)		1,584		82,146
Cisco Systems, Inc.		111,116		4,255,743
CIT Group, Inc.		2,633		129,623
Citi Trends, Inc.		384		10,161
Citigroup, Inc.		59,309		4,413,183
Citizens & Northern Corp.		246		5,904
Citizens Financial Group, Inc.		9,906		415,854
Citizens, Inc. (a) (b)		1,110		8,159

The accompanying notes are an integral part of the portfolio of investments.

236

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Citrix Systems, Inc. (b)		3,042	$	267,696
City Holding Co.		401		27,055
City Office REIT, Inc.		820		10,668
Civista Bancshares, Inc.		263		5,786
Civitas Solutions, Inc. (b)		433		7,404
Clarus Corp. (b)		564		4,427
Clean Energy Fuels Corp. (b)		3,561		7,229
Clean Harbors, Inc. (b)		1,042		56,476
Clear Channel Outdoor Holdings, Inc. Class A		964		4,434
Clearfield, Inc. (b)		323		3,957
Clearside Biomedical, Inc. (b)		414		2,898
Clearwater Paper Corp. (b)		423		19,204
Cleveland-Cliffs, Inc. (b)		7,013		50,564
Clifton Bancorp, Inc.		542		9,268
Clipper Realty, Inc. (a)		222		2,218
The Clorox Co.		2,592		385,534
Cloud Peak Energy, Inc. (b)		1,953		8,691
Cloudera, Inc. (b)		2,397		39,598
Clovis Oncology, Inc. (b)		1,130		76,840
CME Group, Inc.		9,295		1,357,535
CMS Energy Corp.		5,617		265,684
CNA Financial Corp.		545		28,912
CNB Financial Corp.		344		9,027
CNO Financial Group, Inc.		4,081		100,760
CNX Resources Corp. (b)		4,618		67,561
CoBiz Financial, Inc.		1,025		20,490
Coca-Cola Bottling Co. Consolidated		124		26,692
The Coca-Cola Co.		86,164		3,953,204
Codexis, Inc. (b)		1,095		9,143
Codorus Valley Bancorp, Inc.		237		6,525
Coeur Mining, Inc. (b)		4,732		35,490
Cogent Communications Holdings, Inc.		975		44,168
Cogint, Inc. (a) (b)		298		1,311
Cognex Corp.		3,335		203,969
Cognizant Technology Solutions Corp. Class A		16,042		1,139,303
Cohen & Steers, Inc.		556		26,293
Coherent, Inc. (b)		496		139,981
Coherus Biosciences, Inc. (a) (b)		1,035		9,108
Cohu, Inc.		710		15,585
Colfax Corp. (b)		1,776		70,365
Colgate-Palmolive Co.		23,623		1,782,355
Collectors Universe, Inc.		203		5,814
Collegium Pharmaceutical, Inc. (a) (b)		570		10,522
Colony NorthStar, Inc. Class A		10,696		122,041
Columbia Banking System, Inc.		1,756		76,281
Columbia Property Trust, Inc.		8,062		185,023
Columbia Sportswear Co.		695		49,957
Columbus McKinnon Corp.		511		20,430
Comcast Corp. Class A		104,046		4,167,042
Comerica, Inc.		3,486		302,620

	Number of Shares		Value
Comfort Systems USA, Inc.		964	$	42,079
Commerce Bancshares, Inc.		1,898		105,984
CommerceHub, Inc. Series A (a) (b)		344		7,565
CommerceHub, Inc. Series C (b)		766		15,772
Commercial Metals Co.		2,740		58,417
Commercial Vehicle Group, Inc. (b)		631		6,745
CommScope Holding Co., Inc. (b)		3,803		143,867
Community Bank System, Inc.		1,168		62,780
Community Bankers Trust Corp. (b)		556		4,531
The Community Financial Corp.		102		3,907
Community Health Systems, Inc. (a) (b)		2,482		10,573
Community Healthcare Trust, Inc.		471		13,235
Community Trust Bancorp, Inc.		413		19,452
CommVault Systems, Inc. (b)		932		48,930
Compass Minerals International, Inc. (a)		802		57,945
Computer Programs & Systems, Inc.		295		8,865
CompX International, Inc.		80		1,064
Comtech Telecommunications Corp.		600		13,272
Conagra Brands, Inc.		7,866		296,312
Conatus Pharmaceuticals, Inc. (b)		682		3,151
Concert Pharmaceuticals, Inc. (b)		481		12,443
Concho Resources, Inc. (b)		2,978		447,355
Conduent, Inc. (b)		3,794		61,311
ConforMIS, Inc. (a) (b)		1,073		2,554
CONMED Corp.		719		36,647
Conn’s, Inc. (a) (b)		461		16,389
Connecticut Water Service, Inc.		302		17,338
ConnectOne Bancorp, Inc.		781		20,111
ConocoPhillips		32,840		1,802,588
CONSOL Energy, Inc. (b)		577		22,797
Consolidated Communications Holdings, Inc. (a)		1,705		20,784
Consolidated Edison, Inc.		6,252		531,107
Consolidated-Tomoka Land Co.		72		4,572
Constellation Brands, Inc. Class A		4,437		1,014,165
The Container Store Group, Inc. (b)		480		2,275
Contango Oil & Gas Co. (b)		634		2,986
Continental Building Products, Inc. (b)		844		23,759
Continental Resources, Inc. (b)		1,772		93,863
Control4 Corp. (b)		641		19,076
Convergys Corp.		2,258		53,063
The Cooper Cos., Inc.		973		211,997
Cooper Tire & Rubber Co.		1,199		42,385
Cooper-Standard Holding, Inc. (b)		405		49,613
Copart, Inc. (b)		3,987		172,199
Corbus Pharmaceuticals Holdings, Inc. (b)		1,169		8,300
Corcept Therapeutics, Inc. (a) (b)		2,386		43,091
Core Molding Technologies, Inc.		198		4,297
Core-Mark Holding Co., Inc.		1,035		32,685
CoreCivic, Inc.		2,345		52,763

The accompanying notes are an integral part of the portfolio of investments.

237

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
CoreLogic, Inc. (b)		1,649	$	76,200
CorEnergy Infrastructure Trust, Inc. (a)		311		11,880
CoreSite Realty Corp.		688		78,363
Corindus Vascular Robotics, Inc. (a) (b)		2,212		2,234
Corium International, Inc. (b)		527		5,064
Cornerstone OnDemand, Inc. (b)		1,361		48,084
Corning, Inc.		23,467		750,709
Corporate Office Properties Trust		6,540		190,968
Corvel Corp. (b)		260		13,754
Corvus Pharmaceuticals, Inc. (a) (b)		200		2,072
Costamare, Inc.		968		5,585
CoStar Group, Inc. (b)		716		212,616
Costco Wholesale Corp.		11,977		2,229,159
Cotiviti Holdings, Inc. (b)		957		30,825
Coty, Inc. Class A		9,345		185,872
County Bancorp, Inc.		108		3,214
Coupa Software, Inc. (b)		779		24,320
Cousins Properties, Inc.		29,193		270,035
Covanta Holding Corp. (a)		3,050		51,545
Covenant Transportation Group, Inc. Class A (b)		316		9,079
Cowen, Inc. (a) (b)		659		8,995
CPI Card Group, Inc. (a)		101		371
CRA International, Inc.		183		8,226
Cracker Barrel Old Country Store, Inc. (a)		466		74,043
Craft Brew Alliance, Inc. (b)		338		6,490
Crane Co.		1,016		90,648
Crawford & Co. Class B		331		3,184
Cray, Inc. (b)		1,049		25,386
Credit Acceptance Corp. (a) (b)		225		72,783
Cree, Inc. (b)		2,363		87,762
Crocs, Inc. (b)		1,496		18,909
Cross Country Healthcare, Inc. (b)		913		11,650
Crown Castle International Corp.		11,023		1,223,663
Crown Holdings, Inc. (b)		2,620		147,375
CryoLife, Inc. (b)		847		16,220
CSG Systems International, Inc.		870		38,123
CSRA, Inc.		3,211		96,073
CSS Industries, Inc.		249		6,930
CSW Industrials, Inc. (b)		374		17,185
CSX Corp.		23,389		1,286,629
CTS Corp.		852		21,939
CubeSmart		12,108		350,163
Cubic Corp.		661		38,966
Cullen/Frost Bankers, Inc.		1,126		106,576
Culp, Inc.		269		9,012
Cummins, Inc.		3,197		564,718
Curis, Inc. (b)		2,536		1,775
Curtiss-Wright Corp.		1,099		133,913
Customers Bancorp, Inc. (b)		738		19,181

	Number of Shares		Value
Cutera, Inc. (b)		353	$	16,009
CVB Financial Corp.		2,456		57,863
CVR Energy, Inc.		375		13,965
CVS Health Corp.		27,942		2,025,795
CyberOptics Corp. (a) (b)		160		2,400
Cypress Semiconductor Corp.		6,559		99,959
CyrusOne, Inc.		1,816		108,106
CYS Investments, Inc.		3,935		31,598
Cytokinetics, Inc. (b)		1,062		8,655
CytomX Therapeutics, Inc. (b)		766		16,170
D.R. Horton, Inc.		6,870		350,851
Daily Journal Corp. (a) (b)		20		4,604
Daktronics, Inc.		909		8,299
Dana, Inc.		3,605		115,396
Danaher Corp.		16,815		1,560,768
Darden Restaurants, Inc.		2,509		240,914
Darling Ingredients, Inc. (b)		4,002		72,556
Daseke, Inc. (a) (b)		524		7,488
Dave & Buster’s Entertainment, Inc. (b)		981		54,122
DaVita, Inc. (b)		3,073		222,024
DCT Industrial Trust, Inc.		6,236		366,552
DDR Corp.		20,144		180,490
Dean Foods Co.		2,332		26,958
Deciphera Pharmaceuticals, Inc. (b)		281		6,370
Deckers Outdoor Corp. (b)		761		61,070
Deere & Co.		8,729		1,366,176
Del Frisco’s Restaurant Group, Inc. (b)		584		8,906
Del Taco Restaurants, Inc. (b)		547		6,630
Delek US Holdings, Inc.		1,851		64,674
Dell Technologies ,Inc. Class V (b)		4,130		335,686
Delta Air Lines, Inc.		17,956		1,005,536
Delta Apparel, Inc. (b)		90		1,818
Deltic Timber Corp.		289		26,458
Deluxe Corp.		1,171		89,980
Denbury Resources, Inc. (b)		10,442		23,077
Denny’s Corp. (b)		1,389		18,390
DENTSPLY SIRONA, Inc.		4,536		298,605
Depomed, Inc. (b)		1,495		12,035
Dermira, Inc. (b)		998		27,754
Devon Energy Corp.		10,565		437,391
DexCom, Inc. (a) (b)		1,700		97,563
DHI Group, Inc. (b)		1,310		2,489
DHT Holdings, Inc.		2,034		7,302
Diamond Hill Investment Group, Inc.		82		16,946
Diamond Offshore Drilling, Inc. (a) (b)		1,694		31,491
Diamondback Energy, Inc. (b)		1,970		248,712
DiamondRock Hospitality Co.		13,777		155,542
Dick’s Sporting Goods, Inc.		1,690		48,571
Diebold Nixdorf, Inc.		1,973		32,259
Digi International, Inc. (b)		603		5,759
Digimarc Corp. (b)		264		9,544
Digital Realty Trust, Inc.		13,679		1,558,038

The accompanying notes are an integral part of the portfolio of investments.

238

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Dillard’s, Inc. Class A (a)		363	$	21,798
Dime Community Bancshares, Inc.		838		17,556
DineEquity, Inc.		450		22,829
Diodes, Inc. (b)		1,002		28,727
Diplomat Pharmacy, Inc. (b)		1,254		25,168
Discover Financial Services		7,292		560,901
Discovery Communications, Inc. Class A (a) (b)		3,015		67,476
Discovery Communications, Inc. Class C (b)		4,120		87,220
DISH Network Corp. Class A (b)		6,017		287,312
DMC Global, Inc.		382		9,569
DNB Financial Corp.		88		2,966
Dolby Laboratories, Inc. Class A		1,104		68,448
Dollar General Corp.		5,534		514,717
Dollar Tree, Inc. (b)		4,629		496,738
Dominion Energy, Inc.		17,600		1,426,656
Domino’s Pizza, Inc.		877		165,718
Domtar Corp.		1,243		61,553
Donaldson Co., Inc.		2,637		129,081
Donegal Group, Inc. Class A		252		4,360
Donnelley Financial Solutions, Inc. (b)		940		18,321
Dorian LPG Ltd. (b)		375		3,083
Dorman Products, Inc. (b)		626		38,274
Douglas Dynamics, Inc.		582		22,000
Douglas Emmett, Inc.		10,499		431,089
Dova Pharmaceuticals, Inc. (a) (b)		158		4,550
Dover Corp.		3,118		314,887
DowDuPont, Inc.		64,049		4,561,570
Dr. Pepper Snapple Group, Inc.		3,662		355,434
Dril-Quip, Inc. (b)		988		47,128
Drive Shack, Inc.		1,781		9,849
DSP Group, Inc. (b)		588		7,350
DST Systems, Inc.		1,192		73,987
DSW, Inc. Class A		1,720		36,825
DTE Energy Co.		3,600		394,056
Ducommun, Inc. (b)		248		7,056
Duke Energy Corp.		19,228		1,617,267
Duke Realty Corp.		23,868		649,448
Duluth Holdings, Inc. Class B (a) (b)		253		4,516
The Dun & Bradstreet Corp.		754		89,281
Dunkin’ Brands Group, Inc.		1,829		117,916
Durect Corp. (b)		3,650		3,365
DXC Technology Co.		5,714		542,259
DXP Enterprises, Inc. (b)		406		12,005
Dycom Industries, Inc. (b)		724		80,675
Dynavax Technologies Corp. (a) (b)		1,578		29,509
Dynegy, Inc. (b)		2,892		34,270
Dynex Capital, Inc.		1,252		8,777
E*TRADE Financial Corp. (b)		5,438		269,562
The E.W. Scripps Co. Class A (b)		1,520		23,758
Eagle Bancorp, Inc. (b)		750		43,425
Eagle Materials, Inc.		950		107,635

	Number of Shares		Value
Eagle Pharmaceuticals, Inc. (a) (b)		216	$	11,539
Earthstone Energy, Inc. Class A (b)		603		6,410
East West Bancorp, Inc.		2,883		175,373
Easterly Government Properties, Inc.		2,882		61,502
The Eastern Co.		137		3,583
EastGroup Properties, Inc.		2,395		211,670
Eastman Chemical Co.		2,935		271,898
Eastman Kodak Co. (b)		452		1,401
Eaton Vance Corp.		2,254		127,103
eBay, Inc. (b)		26,807		1,011,696
Ebix, Inc. (a)		564		44,697
Echo Global Logistics, Inc. (b)		729		20,412
EchoStar Corp. Class A (b)		941		56,366
Eclipse Resources Corp. (b)		2,255		5,412
Ecolab, Inc.		7,039		944,493
Edge Therapeutics, Inc. (b)		535		5,013
Edgewell Personal Care Co. (b)		1,157		68,714
Edison International		6,420		406,001
Editas Medicine, Inc. (b)		886		27,227
Education Realty Trust, Inc.		5,580		194,854
Edwards Lifesciences Corp. (b)		4,202		473,607
eHealth, Inc. (b)		385		6,687
El Paso Electric Co.		966		53,468
El Pollo Loco Holdings, Inc. (b)		538		5,326
Eldorado Resorts, Inc. (a) (b)		1,174		38,918
Electro Scientific Industries, Inc. (b)		844		18,087
Electronic Arts, Inc. (b)		8,224		864,013
Electronics For Imaging, Inc. (b)		1,207		35,643
Elevate Credit, Inc. (b)		400		3,012
elf Beauty, Inc. (a) (b)		542		12,092
Eli Lilly & Co.		26,805		2,263,950
Ellie Mae, Inc. (b)		823		73,576
Ellington Residential Mortgage REIT		222		2,673
EMC Insurance Group, Inc.		244		7,000
EMCOR Group, Inc.		1,463		119,600
EMCORE Corp. (b)		582		3,754
Emerald Expositions Events, Inc. (a)		414		8,421
Emergent BioSolutions, Inc. (b)		773		35,921
Emerson Electric Co.		17,624		1,228,217
Empire Resorts, Inc. (a) (b)		88		2,376
Empire State Realty Trust, Inc. Class A		8,364		171,713
Employers Holdings, Inc.		726		32,234
Enanta Pharmaceuticals, Inc. (b)		411		24,117
Encompass Health Corp.		2,430		120,066
Encore Capital Group, Inc. (a) (b)		629		26,481
Encore Wire Corp.		536		26,076
Endologix, Inc. (a) (b)		2,165		11,583
Endurance International Group Holdings, Inc. (b)		1,504		12,634
Energen Corp. (b)		1,962		112,952
Energizer Holdings, Inc.		1,221		58,584
Energous Corp. (a) (b)		496		9,647

The accompanying notes are an integral part of the portfolio of investments.

239

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Energy Recovery, Inc. (a) (b)		963	$	8,426
Energy XXI Gulf Coast, Inc. (b)		772		4,431
EnerSys		1,068		74,365
Engility Holdings, Inc. (b)		333		9,447
Ennis, Inc.		645		13,384
Enova International, Inc. (b)		839		12,753
EnPro Industries, Inc.		494		46,194
The Ensign Group, Inc.		1,256		27,883
Entegra Financial Corp. (b)		166		4,856
Entegris, Inc.		3,527		107,397
Entellus Medical, Inc. (b)		293		7,146
Entercom Communications Corp. Class A		3,177		34,312
Entergy Corp.		3,620		294,632
Enterprise Bancorp, Inc.		217		7,389
Enterprise Financial Services Corp.		588		26,548
Entravision Communications Corp. Class A		1,754		12,541
Envestnet, Inc. (b)		1,028		51,246
EnviroStar, Inc. (a)		94		3,760
Envision Healthcare Corp. (b)		2,432		84,050
Enzo Biochem, Inc. (b)		1,082		8,818
EOG Resources, Inc.		15,824		1,707,568
EP Energy Corp. Class A (b)		1,039		2,452
EPAM Systems, Inc. (b)		1,222		131,279
Epizyme, Inc. (b)		1,080		13,554
ePlus, Inc. (b)		346		26,019
EPR Properties		4,267		279,318
EQT Corp.		4,728		269,118
Equifax, Inc.		2,396		282,536
Equinix, Inc.		2,130		965,359
Equity Bancshares, Inc. Class A (b)		284		10,056
Equity Commonwealth (b)		7,975		243,317
Equity LifeStyle Properties, Inc.		5,459		485,960
Equity Residential		26,325		1,678,745
Era Group, Inc. (b)		393		4,225
Erie Indemnity Co. Class A		494		60,189
Escalade, Inc.		308		3,788
ESCO Technologies, Inc.		670		40,368
Esperion Therapeutics, Inc. (b)		390		25,678
ESSA Bancorp, Inc.		242		3,792
Essendant, Inc.		980		9,085
Essex Property Trust, Inc.		4,379		1,056,959
The Estee Lauder Cos., Inc. Class A		5,982		761,150
Esterline Technologies Corp. (b)		627		46,837
Ethan Allen Interiors, Inc.		652		18,647
Etsy, Inc. (b)		3,005		61,452
Euronet Worldwide, Inc. (b)		1,024		86,292
Evans Bancorp, Inc.		121		5,070
Everbridge, Inc. (b)		447		13,285
Evercore, Inc. Class A		954		85,860
Everi Holdings, Inc. (b)		1,671		12,599
Eversource Energy		6,387		403,531

	Number of Shares		Value
Evolent Health, Inc. Class A (a) (b)		1,366	$	16,802
Evolution Petroleum Corp.		688		4,713
Evoqua Water Technologies Corp. (b)		916		21,718
Exact Sciences Corp. (b)		2,944		154,678
Exactech, Inc. (b)		292		14,439
Exelixis, Inc. (b)		5,765		175,256
Exelon Corp.		26,326		1,037,508
Exlservice Holdings, Inc. (b)		767		46,288
The ExOne Co. (a) (b)		304		2,554
Expedia, Inc.		2,475		296,431
Expeditors International of Washington, Inc.		3,570		230,943
Exponent, Inc.		598		42,518
Express Scripts Holding Co. (b)		15,536		1,159,607
Express, Inc. (b)		2,015		20,452
Extended Stay America, Inc.		3,843		73,017
Exterran Corp. (b)		685		21,536
Extra Space Storage, Inc.		8,162		713,767
Extraction Oil & Gas, Inc. (a) (b)		2,366		33,857
Extreme Networks, Inc. (b)		2,856		35,757
Exxon Mobil Corp.		95,045		7,949,564
EZCORP, Inc. Class A (b)		1,359		16,580
F.N.B. Corp.		6,548		90,493
F5 Networks, Inc. (b)		1,275		167,305
Facebook, Inc. Class A (b)		52,334		9,234,858
FactSet Research Systems, Inc.		770		148,425
Fair Isaac Corp.		753		115,360
Fairmount Santrol Holdings, Inc. (a) (b)		4,064		21,255
Farmer Brothers Co. (b)		233		7,491
Farmers & Merchants Bancorp, Inc. /Archbold OH		234		9,547
Farmers Capital Bank Corp.		157		6,045
Farmers National Banc Corp.		611		9,012
Farmland Partners, Inc. (a)		851		7,387
FARO Technologies, Inc. (b)		438		20,586
Fastenal Co.		5,829		318,788
Fate Therapeutics, Inc. (b)		1,028		6,281
FB Financial Corp. (b)		338		14,193
FBL Financial Group, Inc. Class A		264		18,388
FCB Financial Holdings, Inc. Class A (b)		910		46,228
Federal Agricultural Mortgage Corp. Class C		231		18,073
Federal Realty Investment Trust		4,836		642,269
Federal Signal Corp.		1,546		31,059
Federated Investors, Inc. Class B		1,901		68,588
Federated National Holding Co.		344		5,700
FedEx Corp.		6,791		1,694,626
Ferro Corp. (b)		1,961		46,260
Ferroglobe Representation & Warranty Insurance Trust (c) (e)		3,141		-
FibroGen, Inc. (b)		1,747		82,808

The accompanying notes are an integral part of the portfolio of investments.

240

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Fidelity National Information Services, Inc.		6,630	$	623,817
Fidelity Southern Corp.		588		12,818
Fiesta Restaurant Group, Inc. (b)		677		12,863
Fifth Third Bancorp		14,211		431,162
Financial Engines, Inc.		1,524		46,177
Financial Institutions, Inc.		356		11,072
Finisar Corp. (b)		2,910		59,218
The Finish Line, Inc. Class A		1,038		15,082
FireEye, Inc. (b)		3,645		51,759
First American Financial Corp.		2,182		122,279
First Bancorp		755		26,659
First Bancorp, Inc.		220		5,991
The First Bancshares, Inc.		226		7,729
First Busey Corp.		1,005		30,090
First Business Financial Services, Inc.		231		5,110
First Citizens BancShares, Inc. Class A		180		72,540
First Commonwealth Financial Corp.		2,532		36,258
First Community Bancshares, Inc.		415		11,923
First Connecticut Bancorp, Inc.		338		8,839
First Data Corp. Class A (b)		9,559		159,731
First Defiance Financial Corp.		268		13,928
First Financial Bancorp		1,613		42,503
First Financial Bankshares, Inc. (a)		1,522		68,566
First Financial Corp.		289		13,106
First Financial Northwest, Inc.		236		3,660
First Foundation, Inc. (b)		725		13,442
First Guaranty Bancshares, Inc.		123		3,075
First Hawaiian, Inc.		1,112		32,448
First Horizon National Corp.		5,897		117,881
First Industrial Realty Trust, Inc.		8,424		265,103
First Internet Bancorp		171		6,524
First Interstate BancSystem, Inc. Class A		666		26,673
First Merchants Corp.		1,070		45,004
First Mid-Illinois Bancshares, Inc.		270		10,406
First Midwest Bancorp, Inc.		2,421		58,128
First Northwest Bancorp (b)		289		4,711
The First of Long Island Corp.		619		17,642
First Republic Bank		3,222		279,154
First Solar, Inc. (b)		1,649		111,340
FirstCash, Inc.		1,159		78,175
FirstEnergy Corp.		8,959		274,325
Fiserv, Inc. (b)		4,279		561,105
Fitbit, Inc. Class A (b)		4,549		25,975
Five Below, Inc. (b)		1,317		87,343
Five Prime Therapeutics, Inc. (b)		715		15,673
Five9, Inc. (b)		1,363		33,911
Flagstar Bancorp, Inc. (b)		554		20,731
FleetCor Technologies, Inc. (b)		1,794		345,219
Flexion Therapeutics, Inc. (a) (b)		728		18,229
Flexsteel Industries, Inc.		205		9,590
FLIR Systems, Inc.		2,776		129,417

	Number of Shares		Value
Floor & Decor Holdings, Inc. Class A (b)		419	$	20,397
Flotek Industries, Inc. (a) (b)		1,448		6,748
Flowers Foods, Inc.		3,566		68,859
Flowserve Corp.		2,648		111,560
Fluidigm Corp. (b)		783		4,612
Fluor Corp.		2,787		143,949
Flushing Financial Corp.		735		20,213
FMC Corp.		2,689		254,541
FNB Bancorp		143		5,218
FNF Group		5,261		206,442
Fogo De Chao, Inc. (b)		90		1,044
FONAR Corp. (b)		148		3,604
Foot Locker, Inc.		2,486		116,544
Ford Motor Co.		106,862		1,334,706
ForeScout Technologies, Inc. (a) (b)		177		5,645
Forest City Realty Trust, Inc. Class A		16,561		399,120
Forestar Group, Inc. (a) (b)		263		5,786
FormFactor, Inc. (b)		1,882		29,453
Forrester Research, Inc.		268		11,846
Forterra, Inc. (a) (b)		490		5,439
Fortinet, Inc. (b)		2,915		127,356
Fortive Corp.		6,174		446,689
Fortress Biotech, Inc. (a) (b)		935		3,731
Fortune Brands Home & Security, Inc.		3,047		208,537
Forum Energy Technologies, Inc. (b)		2,166		33,681
Forward Air Corp.		687		39,461
Fossil Group, Inc. (a) (b)		1,117		8,679
Foundation Building Materials, Inc. (b)		347		5,132
Foundation Medicine, Inc. (a) (b)		376		25,643
Four Corners Property Trust, Inc.		4,415		113,465
Fox Factory Holding Corp. (b)		799		31,041
Francesca’s Holdings Corp. (b)		968		7,076
Franklin Covey Co. (b)		263		5,457
Franklin Electric Co., Inc.		1,104		50,674
Franklin Financial Network, Inc. (b)		310		10,571
Franklin Resources, Inc.		9,189		398,159
Franklin Street Properties Corp.		7,930		85,168
Fred’s, Inc. Class A (a)		900		3,645
Freeport-McMoRan, Inc. (b)		27,269		517,020
FreightCar America, Inc.		322		5,500
Freshpet, Inc. (a) (b)		646		12,242
Frontier Communications Corp. (a)		2,052		13,872
FRP Holdings, Inc. (b)		177		7,832
FTD Cos., Inc. (b)		440		3,164
FTI Consulting, Inc. (b)		875		37,590
Fulton Financial Corp.		4,150		74,285
FutureFuel Corp.		635		8,947
G-III Apparel Group Ltd. (b)		1,132		41,759
G1 Therapeutics, Inc. (a) (b)		204		4,047
Gaia, Inc. (b)		173		2,145
Gain Capital Holdings, Inc. (a)		959		9,590
GAMCO Investors, Inc. Class A		129		3,825

The accompanying notes are an integral part of the portfolio of investments.

241

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
GameStop Corp. Class A		2,033	$	36,492
Gaming and Leisure Properties, Inc.		13,479		498,723
Gaming Innovation Group, Inc. (a) (b)		5,244		3,138
Gannett Co., Inc.		2,897		33,576
The Gap, Inc.		4,745		161,615
Gardner Denver Holdings, Inc. (b)		1,334		45,263
Gartner, Inc. (b)		1,762		216,990
Gastar Exploration, Inc. (a) (b)		4,148		4,355
GATX Corp.		917		57,001
GCP Applied Technologies, Inc. (b)		1,708		54,485
Gencor Industries, Inc. (b)		219		3,624
Gener8 Maritime, Inc. (b)		1,242		8,222
Generac Holdings, Inc. (b)		1,505		74,528
General Cable Corp.		1,296		38,362
General Communication, Inc. Class A (b)		695		27,119
General Dynamics Corp.		7,125		1,449,581
General Electric Co.		194,841		3,399,975
General Mills, Inc.		15,593		924,509
General Motors Co.		35,386		1,450,472
Genesco, Inc. (b)		501		16,283
Genesee & Wyoming, Inc. Class A (b)		1,207		95,027
Genesis Healthcare, Inc. (b)		1,140		870
Genie Energy Ltd. Class B		378		1,648
GenMark Diagnostics, Inc. (b)		1,144		4,770
Genocea Biosciences, Inc. (b)		743		862
Genomic Health, Inc. (b)		525		17,955
Gentex Corp.		5,735		120,148
Gentherm, Inc. (b)		958		30,417
Genuine Parts Co.		2,892		274,769
Genworth Financial, Inc. Class A (b)		13,107		40,763
The GEO Group, Inc.		3,011		71,060
Geospace Technologies Corp. (b)		354		4,591
German American Bancorp Inc.		560		19,785
Geron Corp. (a) (b)		3,811		6,860
Getty Realty Corp.		2,244		60,947
GGP, Inc.		41,288		965,726
Gibraltar Industries, Inc. (b)		828		27,324
Gilead Sciences, Inc.		35,697		2,557,333
Glacier Bancorp, Inc.		1,863		73,384
Gladstone Commercial Corp.		659		13,879
Glaukos Corp. (a) (b)		596		15,287
Global Blood Therapeutics, Inc. (b)		965		37,973
Global Brass & Copper Holdings, Inc.		571		18,900
Global Eagle Entertainment, Inc. (a) (b)		1,356		3,105
Global Medical REIT, Inc. (a)		349		2,862
Global Net Lease, Inc.		4,914		101,130
Global Payments, Inc.		3,047		305,431
Global Water Resources, Inc.		56		523
Globalstar, Inc. (a) (b)		15,752		20,635
Globus Medical, Inc. Class A (b)		1,804		74,144
Glu Mobile, Inc. (b)		2,140		7,790

	Number of Shares		Value
GMS, Inc. (b)		614	$	23,111
GNC Holdings, Inc. Class A (a)		1,777		6,557
GoDaddy, Inc. Class A (b)		2,537		127,560
Gogo, Inc. (a) (b)		1,495		16,864
Gold Resource Corp.		1,389		6,112
Golden Entertainment, Inc. (b)		280		9,142
The Goldman Sachs Group, Inc.		9,652		2,458,944
The Goodyear Tire & Rubber Co.		4,944		159,741
GoPro, Inc. Class A (a) (b)		2,344		17,744
The Gorman-Rupp Co.		468		14,606
Government Properties Income Trust		6,736		124,885
GP Strategies Corp. (b)		290		6,728
Graco, Inc.		3,300		149,226
Graham Corp.		266		5,567
Graham Holdings Co. Class B		84		46,901
Gramercy Property Trust		11,592		309,043
Grand Canyon Education, Inc. (b)		1,166		104,392
Granite Construction, Inc.		955		60,576
Granite Point Mortgage Trust, Inc. (a)		1,080		19,159
Graphic Packaging Holding Co.		6,159		95,157
Gray Television, Inc. (b)		1,685		28,224
Great Ajax Corp.		437		6,039
Great Lakes Dredge & Dock Corp. (b)		1,296		6,998
Great Plains Energy, Inc.		4,302		138,696
Great Southern Bancorp, Inc.		301		15,547
Great Western Bancorp, Inc.		1,422		56,596
Green Bancorp, Inc. (b)		562		11,409
Green Brick Partners, Inc. (b)		465		5,255
Green Dot Corp. Class A (b)		1,105		66,587
Green Plains, Inc.		992		16,715
The Greenbrier Cos., Inc. (a)		714		38,056
Greenhill & Co., Inc. (a)		715		13,943
Greif, Inc. Class A		664		40,225
Greif, Inc. Class B		150		10,403
Griffon Corp.		780		15,873
Group 1 Automotive, Inc.		515		36,550
Groupon, Inc. (b)		7,965		40,622
GrubHub, Inc. (a) (b)		2,144		153,939
GSI Technology, Inc. (b)		385		3,065
GTT Communications, Inc. (b)		811		38,076
Guaranty Bancorp		614		16,977
Guess?, Inc. (a)		1,567		26,451
Guidewire Software, Inc. (b)		1,523		113,098
Gulf Island Fabrication, Inc.		366		4,914
Gulfport Energy Corp. (b)		3,259		41,585
H&E Equipment Services, Inc.		829		33,699
H&R Block, Inc.		4,194		109,967
H.B. Fuller Co.		1,219		65,668
The Habit Restaurants, Inc. Class A (a) (b)		531		5,071
The Hackett Group, Inc.		631		9,913
Haemonetics Corp. (b)		1,342		77,943
The Hain Celestial Group, Inc. (b)		2,069		87,705

The accompanying notes are an integral part of the portfolio of investments.

242

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Halcon Resources Corp. (b)		3,353	$	25,382
Hallador Energy Co.		436		2,655
Halliburton Co.		23,745		1,160,418
Hallmark Financial Services, Inc. (b)		399		4,162
Halozyme Therapeutics, Inc. (b)		2,857		57,883
Halyard Health, Inc. (b)		1,109		51,214
Hamilton Beach Brands Holding Co. Class A		95		2,441
Hamilton Beach Brands Inc. Class B (c)		95		2,441
Hamilton Lane, Inc. Class A		362		12,811
Hancock Holding Co.		2,092		103,554
Hanesbrands, Inc. (a)		7,364		153,981
Hanmi Financial Corp.		830		25,191
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		1,293		31,110
The Hanover Insurance Group, Inc.		866		93,597
HarborOne Bancorp, Inc. (b)		352		6,744
Hardinge, Inc.		323		5,627
Harley-Davidson, Inc.		3,390		172,483
Harmonic, Inc. (b)		2,136		8,971
Harris Corp.		2,400		339,960
Harsco Corp. (b)		2,103		39,221
The Hartford Financial Services Group, Inc.		7,131		401,333
Hasbro, Inc.		2,281		207,320
Haverty Furniture Cos., Inc.		486		11,008
Hawaiian Electric Industries, Inc.		2,199		79,494
Hawaiian Holdings, Inc.		1,240		49,414
Hawaiian Telcom Holdco, Inc. (b)		171		5,277
Hawkins, Inc.		272		9,574
Haynes International, Inc.		327		10,480
HC2 Holdings, Inc. (b)		1,114		6,628
HCA Healthcare, Inc. (b)		7,829		687,699
HCI Group, Inc. (a)		208		6,219
HCP, Inc.		31,523		822,120
HD Supply Holdings, Inc. (b)		3,751		150,153
Health Insurance Innovations, Inc. Class A (a) (b)		294		7,335
Healthcare Realty Trust, Inc.		8,840		283,941
Healthcare Services Group, Inc.		1,766		93,104
Healthcare Trust of America, Inc. Class A		13,476		404,819
HealthEquity, Inc. (b)		1,201		56,039
HealthStream, Inc. (b)		675		15,633
Heartland Express, Inc.		1,217		28,405
Heartland Financial USA, Inc.		645		34,604
Hecla Mining Co.		10,294		40,867
HEICO Corp. (a)		503		47,458
HEICO Corp. Class A		975		77,074
Heidrick & Struggles International, Inc.		480		11,784
Helix Energy Solutions Group, Inc. (b)		3,684		27,777

	Number of Shares		Value
Helmerich & Payne, Inc. (a)		2,155	$	139,299
Hemisphere Media Group, Inc. (b)		435		5,024
Henry Schein, Inc. (b)		3,178		222,079
Herc Holdings, Inc. (b)		634		39,695
Heritage Commerce Corp.		960		14,707
Heritage Financial Corp.		771		23,747
Heritage Insurance Holdings, Inc. (a)		353		6,361
Heritage-Crystal Clean, Inc. (b)		384		8,352
Herman Miller, Inc.		1,403		56,190
Heron Therapeutics, Inc. (a) (b)		1,197		21,666
Hersha Hospitality Trust		3,040		52,896
The Hershey Co.		2,763		313,628
Hertz Global Holdings, Inc. (a) (b)		1,426		31,515
Heska Corp. (b)		169		13,555
Hess Corp.		5,697		270,437
Hewlett Packard Enterprise Co.		44,429		638,000
Hexcel Corp.		1,813		112,134
HFF, Inc. Class A		847		41,198
Hibbett Sports, Inc. (b)		559		11,404
Highwoods Properties, Inc.		6,884		350,464
Hill International, Inc. (b)		922		5,025
Hill-Rom Holdings, Inc.		1,333		112,359
Hillenbrand, Inc.		1,520		67,944
Hilltop Holdings, Inc.		1,902		48,178
Hilton Grand Vacations, Inc. (b)		1,373		57,597
Hilton Worldwide Holdings, Inc.		4,375		349,387
Hingham Institution for Savings		24		4,968
HMS Holdings Corp. (b)		2,193		37,171
HNI Corp.		998		38,493
HollyFrontier Corp.		3,537		181,165
Hologic, Inc. (b)		5,615		240,041
Home Bancorp Inc.		160		6,915
Home BancShares, Inc.		3,899		90,652
The Home Depot, Inc.		26,441		5,011,363
HomeStreet, Inc. (b)		637		18,441
HomeTrust Bancshares, Inc. (b)		441		11,356
Honeywell International, Inc.		17,066		2,617,242
Hooker Furniture Corp.		300		12,735
Hope Bancorp, Inc.		3,072		56,064
Horace Mann Educators Corp.		1,067		47,055
Horizon Bancorp		586		16,291
Horizon Global Corp. (b)		650		9,113
Hormel Foods Corp.		5,408		196,797
Hortonworks, Inc. (b)		1,258		25,298
Hospitality Properties Trust		10,907		325,574
Host Hotels & Resorts, Inc.		48,975		972,154
Hostess Brands, Inc. (b)		2,084		30,864
Houghton Mifflin Harcourt Co. (b)		2,701		25,119
Houlihan Lokey, Inc.		687		31,210
Hovnanian Enterprises, Inc. Class A (b)		2,786		9,333
Howard Bancorp, Inc. (b)		222		4,884
The Howard Hughes Corp. (b)		694		91,101

The accompanying notes are an integral part of the portfolio of investments.

243

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
HP, Inc.		45,851	$	963,330
HRG Group, Inc. (b)		2,783		47,172
Hub Group, Inc. Class A (b)		852		40,811
Hubbell, Inc.		1,089		147,385
HubSpot, Inc. (b)		820		72,488
Hudson Pacific Properties, Inc.		10,551		361,372
Hudson Technologies, Inc. (b)		971		5,894
Humana, Inc.		3,914		970,946
Huntington Bancshares, Inc.		21,779		317,102
Huntington Ingalls Industries, Inc.		898		211,659
Huntsman Corp.		4,070		135,490
Hurco Cos., Inc.		166		7,005
Huron Consulting Group, Inc. (b)		575		23,259
Huttig Building Products, Inc. (a) (b)		583		3,877
Hyatt Hotels Corp. Class A (b)		932		68,539
Hyster-Yale Materials Handling, Inc.		270		22,993
IAC/InterActiveCorp (b)		1,397		170,825
IBERIABANK Corp.		1,248		96,720
ICF International, Inc. (b)		471		24,728
Iconix Brand Group, Inc. (b)		1,355		1,748
ICU Medical, Inc. (b)		369		79,704
IDACORP, Inc.		1,252		114,383
Idera Pharmaceuticals, Inc. (b)		2,874		6,064
IDEX Corp.		1,536		202,706
IDEXX Laboratories, Inc. (b)		1,755		274,447
IDT Corp. Class B		457		4,844
IES Holdings, Inc. (b)		233		4,019
Ignyta, Inc. (b)		1,623		43,334
II-VI, Inc. (b)		1,467		68,876
ILG, Inc.		2,604		74,162
Illinois Tool Works, Inc.		8,355		1,394,032
Illumina, Inc. (b)		2,929		639,957
Immersion Corp. (b)		605		4,271
Immune Design Corp. (a) (b)		454		1,771
ImmunoGen, Inc. (b)		2,201		14,108
Immunomedics, Inc. (a) (b)		2,673		43,196
Impac Mortgage Holdings, Inc. (a) (b)		288		2,926
Impax Laboratories, Inc. (b)		1,917		31,918
Imperva, Inc. (b)		875		34,738
Impinj, Inc. (a) (b)		470		10,589
Incyte Corp. (b)		3,492		330,727
Independence Contract Drilling, Inc. (b)		878		3,494
Independence Holding Co.		185		5,078
Independence Realty Trust, Inc.		1,829		18,455
Independent Bank Corp.		698		48,755
Independent Bank Corp.		557		12,449
Independent Bank Group, Inc.		463		31,299
Infinera Corp. (b)		3,225		20,414
Infinity Property & Casualty Corp.		281		29,786
Information Services Group, Inc. (b)		927		3,866
InfraREIT, Inc. (b)		888		16,499
Ingevity Corp. (b)		1,033		72,796

	Number of Shares		Value
Ingles Markets, Inc. Class A		374	$	12,940
Ingredion, Inc.		1,432		200,194
InnerWorkings, Inc. (b)		1,194		11,976
Innophos Holdings, Inc.		505		23,599
Innospec, Inc.		626		44,196
Innoviva, Inc. (b)		1,638		23,243
Inogen, Inc. (b)		405		48,227
Inovalon Holdings, Inc. Class A (a) (b)		1,351		20,265
Inovio Pharmaceuticals, Inc. (a) (b)		1,774		7,327
Inphi Corp. (a) (b)		1,097		40,150
Insight Enterprises, Inc. (b)		930		35,610
Insmed, Inc. (b)		1,937		60,396
Insperity, Inc.		852		48,862
Installed Building Products, Inc. (b)		493		37,443
Insteel Industries, Inc.		479		13,565
Instructure, Inc. (b)		559		18,503
Insulet Corp. (b)		1,427		98,463
Insys Therapeutics, Inc. (a) (b)		632		6,080
Integer Holdings Corp. (b)		813		36,829
Integra LifeSciences Holdings Corp. (b)		1,604		76,767
Integrated Device Technology, Inc. (b)		3,277		97,425
Intel Corp.		105,683		4,878,327
Intellia Therapeutics, Inc. (a) (b)		273		5,247
Inter Parfums, Inc.		456		19,813
Interactive Brokers Group, Inc. Class A		1,406		83,249
Intercept Pharmaceuticals, Inc. (a) (b)		340		19,863
Intercontinental Exchange, Inc.		16,037		1,131,571
InterDigital, Inc.		831		63,281
Interface, Inc.		1,370		34,456
Internap Corp. (b)		524		8,232
International Bancshares Corp.		1,308		51,928
International Business Machines Corp.		18,977		2,911,451
International Flavors & Fragrances, Inc.		1,587		242,192
International Paper Co.		8,280		479,743
International Speedway Corp. Class A		654		26,062
The Interpublic Group of Cos., Inc.		7,752		156,280
Intersect ENT, Inc. (b)		680		22,032
Intevac, Inc. (b)		500		3,425
INTL. FCStone, Inc. (b)		397		16,884
Intra-Cellular Therapies, Inc. (b)		886		12,829
Intrepid Potash, Inc. (a) (b)		2,459		11,705
Intrexon Corp. (a) (b)		1,150		13,248
Intuit, Inc.		6,670		1,052,393
Intuitive Surgical, Inc. (b)		3,046		1,111,607
Invacare Corp.		793		13,362
Invesco Mortgage Capital, Inc.		2,901		51,725
Investar Holding Corp.		218		5,254
Investment Technology Group, Inc.		861		16,574
Investors Bancorp, Inc.		6,350		88,138
Investors Real Estate Trust		8,174		46,428

The accompanying notes are an integral part of the portfolio of investments.

244

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Investors Title Co.		39	$	7,736
Invitae Corp. (a) (b)		1,067		9,688
Invitation Homes, Inc.		19,752		465,555
Ionis Pharmaceuticals, Inc. (a) (b)		2,506		126,052
Iovance Biotherapeutics, Inc. (b)		1,396		11,168
IPG Photonics Corp. (b)		730		156,315
IQVIA Holdings, Inc. (b)		3,211		314,357
iRhythm Technologies, Inc. (b)		362		20,290
Iridium Communications, Inc. (a) (b)		2,193		25,877
iRobot Corp. (a) (b)		623		47,784
Iron Mountain, Inc.		5,575		210,345
Ironwood Pharmaceuticals, Inc. (b)		3,201		47,983
Isramco, Inc. (b)		23		2,407
iStar, Inc. (b)		1,825		20,623
Iteris, Inc. (b)		634		4,419
Itron, Inc. (b)		829		56,538
ITT, Inc.		1,760		93,931
IXYS Corp. (b)		617		14,777
J Alexander’s Holdings, Inc. (b)		365		3,541
J&J Snack Foods Corp.		357		54,203
J. Jill, Inc. (b)		307		2,395
J.B. Hunt Transport Services, Inc.		1,736		199,605
The J.M. Smucker Co.		2,210		274,570
j2 Global, Inc.		1,144		85,834
Jabil, Inc.		3,439		90,274
Jack Henry & Associates, Inc.		1,554		181,756
Jack in the Box, Inc.		714		70,051
Jacobs Engineering Group, Inc.		2,401		158,370
Jagged Peak Energy, Inc. (a) (b)		1,487		23,465
JBG SMITH Properties		5,621		195,217
JC Penney Co., Inc. (a) (b)		6,781		21,428
JELD-WEN Holding, Inc. (b)		1,690		66,535
Jernigan Capital, Inc. (a)		244		4,638
JetBlue Airways Corp. (b)		6,456		144,227
John B Sanfilippo & Son, Inc.		225		14,231
John Bean Technologies Corp.		771		85,427
John Wiley & Sons, Inc. Class A		877		57,663
Johnson & Johnson		60,464		8,448,030
Johnson Outdoors, Inc. Class A		128		7,948
Jones Energy, Inc. Class A (a) (b)		1,221		1,343
Jones Lang LaSalle, Inc.		900		134,037
Jounce Therapeutics, Inc. (a) (b)		177		2,257
JP Morgan Chase & Co.		77,440		8,281,434
Juniper Networks, Inc.		7,524		214,434
Juno Therapeutics, Inc. (b)		1,376		62,897
K12, Inc. (b)		927		14,739
K2M Group Holdings, Inc. (b)		1,062		19,116
Kadant, Inc.		284		28,514
Kaiser Aluminum Corp.		389		41,565
Kala Pharmaceuticals, Inc. (a) (b)		212		3,920
Kaman Corp.		702		41,306
Kansas City Southern		2,077		218,542
KapStone Paper and Packaging Corp.		2,035		46,174

	Number of Shares		Value
KAR Auction Services, Inc.		2,737	$	138,246
Karyopharm Therapeutics, Inc. (b)		931		8,938
KB Home		2,024		64,667
KBR, Inc.		3,374		66,906
Keane Group, Inc. (a) (b)		1,114		21,177
Kearny Financial Corp.		1,897		27,412
Kellogg Co.		4,933		335,345
Kelly Services, Inc. Class A		814		22,198
KEMET Corp. (b)		1,199		18,057
Kemper Corp.		946		65,179
Kennametal, Inc.		1,936		93,722
Kennedy-Wilson Holdings, Inc.		8,474		147,024
Keryx Biopharmaceuticals, Inc. (a) (b)		2,143		9,965
Key Energy Services, Inc. (a) (b)		263		3,101
KeyCorp		21,544		434,542
Keysight Technologies, Inc. (b)		3,693		153,629
The KeyW Holding Corp. (a) (b)		1,182		6,938
Kforce, Inc.		621		15,680
Kilroy Realty Corp.		6,486		484,180
Kimball Electronics, Inc. (b)		723		13,195
Kimball International, Inc. Class B		982		18,334
Kimberly-Clark Corp.		9,714		1,172,091
Kimco Realty Corp.		27,672		502,247
Kinder Morgan, Inc.		52,784		953,807
Kindred Biosciences, Inc. (b)		564		5,330
Kindred Healthcare, Inc.		2,194		21,282
Kingstone Cos., Inc.		246		4,625
Kinsale Capital Group, Inc.		381		17,145
Kirby Corp. (b)		1,073		71,676
Kirkland’s, Inc. (b)		415		4,965
Kite Realty Group Trust		5,714		111,994
KKR Real Estate Finance Trust, Inc. (a)		275		5,503
KLA-Tencor Corp.		3,160		332,021
KLX, Inc. (b)		1,256		85,722
KMG Chemicals, Inc.		323		21,344
Knight-Swift Transportation Holdings, Inc. (a)		3,124		136,581
Knoll, Inc.		1,267		29,192
Knowles Corp. (b)		1,989		29,159
Kohl’s Corp.		3,398		184,274
Kopin Corp. (a) (b)		1,637		5,238
Koppers Holdings, Inc. (b)		542		27,588
Korn/Ferry International		1,337		55,325
The Kraft Heinz Co.		13,387		1,040,973
Kraton Corp. (b)		785		37,813
Kratos Defense & Security Solutions, Inc. (b)		2,340		24,781
The Kroger Co.		24,535		673,486
Kronos Worldwide, Inc.		583		15,024
Kura Oncology, Inc. (a) (b)		382		5,845
KVH Industries, Inc. (b)		427		4,419
L Brands, Inc.		4,834		291,103

The accompanying notes are an integral part of the portfolio of investments.

245

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
L3 Technologies, Inc.		1,565	$	309,635
La Jolla Pharmaceutical Co. (a) (b)		458		14,738
La Quinta Holdings, Inc. (b)		2,130		39,320
La-Z-Boy, Inc.		1,262		39,374
Laboratory Corp. of America Holdings (b)		2,066		329,548
Ladder Capital Corp.		1,841		25,093
Ladenburg Thalmann Financial Services, Inc.		2,711		8,567
Lakeland Bancorp, Inc.		1,189		22,888
Lakeland Financial Corp.		634		30,743
Lam Research Corp.		3,246		597,491
Lamar Advertising Co. Class A		1,682		124,872
Lamb Weston Holdings, Inc.		2,929		165,342
Lancaster Colony Corp.		450		58,145
Landec Corp. (b)		679		8,555
Lands’ End, Inc. (b)		366		7,155
Landstar System, Inc.		849		88,381
Lannett Co., Inc. (a) (b)		737		17,098
Lantheus Holdings, Inc. (b)		683		13,967
Laredo Petroleum, Inc. (b)		3,157		33,496
Las Vegas Sands Corp.		9,898		687,812
LaSalle Hotel Properties		7,926		222,483
Lattice Semiconductor Corp. (b)		3,227		18,652
Laureate Education, Inc. Class A (b)		1,320		17,899
Lawson Products, Inc. (b)		154		3,812
Layne Christensen Co. (b)		486		6,099
LB Foster Co. Class A (b)		210		5,702
LCI Industries		586		76,180
LCNB Corp.		244		4,990
Leaf Group Ltd. (b)		331		3,277
Lear Corp.		1,368		241,671
LegacyTexas Financial Group, Inc.		1,109		46,811
Legg Mason, Inc.		1,683		70,652
Leggett & Platt, Inc.		2,681		127,964
Leidos Holdings, Inc.		2,851		184,089
LeMaitre Vascular, Inc.		391		12,449
LendingClub Corp. (b)		7,489		30,930
LendingTree, Inc. (a) (b)		161		54,812
Lennar Corp. Class A		4,018		254,098
Lennar Corp. Class B		308		15,917
Lennox International, Inc.		765		159,319
Leucadia National Corp.		6,481		171,682
Lexicon Pharmaceuticals, Inc. (b)		1,134		11,204
Lexington Realty Trust		15,965		154,062
LGI Homes, Inc. (a) (b)		453		33,989
LHC Group, Inc. (b)		411		25,174
Libbey, Inc.		589		4,429
Liberty Broadband Corp. Class A (b)		525		44,651
Liberty Broadband Corp. Class C (b)		2,083		177,388
Liberty Expedia Holdings, Inc. Class A (b)		1,114		49,384

	Number of Shares		Value
Liberty Interactive Corp. QVC Group Class A (b)		8,965	$	218,925
Liberty Media Corp-Liberty Braves Class A (b)		269		5,931
Liberty Media Corp-Liberty Braves Class C (b)		904		20,087
Liberty Media Corp-Liberty Formula One Class A (b)		500		16,360
Liberty Media Corp-Liberty Formula One Class C (b)		3,793		129,569
Liberty Media Corp-Liberty SiriusXM Class A (b)		1,801		71,428
Liberty Media Corp-Liberty SiriusXM Class C (b)		3,576		141,824
Liberty Property Trust		9,897		425,670
Liberty Tax, Inc.		205		2,255
Liberty TripAdvisor Holdings, Inc. Class A (b)		1,498		14,119
Liberty Ventures Series A (b)		1,577		85,536
Life Storage, Inc.		3,094		275,583
LifePoint Health, Inc. (b)		721		35,906
Lifetime Brands, Inc.		158		2,607
Lifeway Foods, Inc. (b)		81		648
Ligand Pharmaceuticals, Inc. (a) (b)		499		68,328
Lilis Energy, Inc. (a) (b)		1,113		5,687
Limelight Networks, Inc. (b)		1,430		6,306
Limoneira Co.		318		7,123
Lincoln Electric Holdings, Inc.		1,191		109,072
Lincoln National Corp.		4,391		337,536
Lindblad Expeditions Holdings, Inc. (b)		619		6,060
Lindsay Corp.		273		24,079
Liquidity Services, Inc. (b)		714		3,463
Lithia Motors, Inc. Class A		565		64,178
Littelfuse, Inc.		556		109,988
Live Nation Entertainment, Inc. (b)		2,657		113,108
Live Oak Bancshares, Inc.		539		12,855
LivePerson, Inc. (b)		1,422		16,353
LKQ Corp. (b)		6,185		251,544
Lockheed Martin Corp.		6,874		2,206,898
Loews Corp.		5,613		280,818
LogMeIn, Inc.		1,049		120,110
Loral Space & Communications, Inc. (b)		347		15,285
Louisiana-Pacific Corp. (b)		3,592		94,326
Lowe’s Cos., Inc.		22,867		2,125,259
Loxo Oncology, Inc. (a) (b)		593		49,919
LPL Financial Holdings, Inc.		1,800		102,852
LSB Industries, Inc. (b)		573		5,019
LSC Communications, Inc.		875		13,256
LSI Industries, Inc.		664		4,568
LTC Properties, Inc.		2,831		123,290
Lululemon Athletica, Inc. (b)		1,923		151,129

The accompanying notes are an integral part of the portfolio of investments.

246

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Lumber Liquidators Holdings, Inc. (a) (b)		607	$	19,054
Lumentum Holdings, Inc. (a) (b)		1,498		73,252
Luminex Corp.		1,066		21,000
Lydall, Inc. (b)		439		22,279
M&T Bank Corp.		2,848		486,980
M.D.C. Holdings, Inc.		1,178		37,555
M/I Homes, Inc. (b)		635		21,844
Macatawa Bank Corp.		507		5,070
The Macerich Co.		9,161		601,694
Mack-Cali Realty Corp.		6,235		134,427
MACOM Technology Solutions Holdings, Inc. (a) (b)		1,058		34,427
Macquarie Infrastructure Corp.		1,605		103,041
MacroGenics, Inc. (b)		878		16,682
Macy’s, Inc.		6,097		153,583
The Madison Square Garden Co. Class A (b)		374		78,858
Madrigal Pharmaceuticals, Inc. (b)		106		9,730
Magellan Health, Inc. (b)		619		59,764
MainSource Financial Group, Inc.		653		23,710
Malibu Boats, Inc. Class A (b)		462		13,735
Malvern Bancorp, Inc. (b)		170		4,454
Mammoth Energy Services, Inc. (b)		201		3,946
Manhattan Associates, Inc. (b)		1,381		68,415
The Manitowoc Co., Inc. (b)		837		32,928
ManpowerGroup, Inc.		1,343		169,366
ManTech International Corp. Class A		674		33,828
Marathon Oil Corp.		17,089		289,317
Marathon Petroleum Corp.		9,761		644,031
Marcus & Millichap, Inc. (b)		430		14,022
The Marcus Corp.		499		13,648
Marine Products Corp.		185		2,357
MarineMax, Inc. (b)		662		12,512
Markel Corp. (b)		274		312,122
MarketAxess Holdings, Inc.		744		150,102
Marlin Business Services Corp.		238		5,331
Marriott International, Inc. Class A		8,345		1,132,667
Marriott Vacations Worldwide Corp.		534		72,202
Marsh & McLennan Cos., Inc.		14,104		1,147,925
Marten Transport Ltd.		1,023		20,767
Martin Marietta Materials, Inc.		1,267		280,058
Masco Corp.		6,357		279,327
Masimo Corp. (b)		1,111		94,213
MasTec, Inc. (b)		1,632		79,886
Mastercard, Inc. Class A		21,117		3,196,269
Matador Resources Co. (b)		2,343		72,938
Match Group, Inc. (a) (b)		719		22,512
Materion Corp.		524		25,466
Matinas BioPharma Holdings, Inc. (a) (b)		1,201		1,393
Matrix Service Co. (b)		750		13,350
Matson, Inc.		1,124		33,540

	Number of Shares		Value
Mattel, Inc. (a)		6,938	$	106,706
Matthews International Corp. Class A		819		43,243
Maui Land & Pineapple Co., Inc. (b)		181		3,131
Maxim Integrated Products, Inc.		5,655		295,643
MAXIMUS, Inc.		1,595		114,170
MaxLinear, Inc. (b)		1,574		41,585
Maxwell Technologies, Inc. (a) (b)		982		5,656
MB Financial, Inc.		1,982		88,239
MBIA, Inc. (a) (b)		1,946		14,245
MBT Financial Corp.		503		5,332
MCBC Holdings, Inc. (b)		490		10,888
McCormick & Co., Inc.		2,412		245,807
McDonald’s Corp.		17,893		3,079,743
McGrath RentCorp		617		28,987
McKesson Corp.		5,813		906,537
MDU Resources Group, Inc.		3,940		105,907
MedEquities Realty Trust, Inc.		797		8,942
Medical Properties Trust, Inc.		24,363		335,722
The Medicines Co. (a) (b)		1,670		45,658
MediciNova, Inc. (b)		813		5,260
Medidata Solutions, Inc. (b)		1,402		88,845
Medifast, Inc.		277		19,337
Medley Management, Inc. Class A		156		1,014
MEDNAX, Inc. (b)		1,810		96,726
Medpace Holdings, Inc. (b)		193		6,998
The Meet Group, Inc. (b)		1,849		5,214
Melinta Therapeutics, Inc. (b)		254		4,013
Mercantile Bank Corp.		427		15,103
Merchants Bancorp		242		4,763
Merck & Co., Inc.		61,377		3,453,684
Mercury General Corp.		568		30,354
Mercury Systems, Inc. (b)		1,109		56,947
Meredith Corp.		945		62,417
Meridian Bancorp, Inc.		1,249		25,729
Meridian Bioscience, Inc.		1,094		15,316
Merit Medical Systems, Inc. (b)		1,156		49,939
Meritage Home Corp. (b)		901		46,131
Meritor, Inc. (b)		1,999		46,897
Merrimack Pharmaceuticals, Inc. (a)		339		3,475
Mesa Laboratories, Inc.		80		9,944
Meta Financial Group, Inc.		234		21,680
Methode Electronics, Inc.		936		37,534
MetLife, Inc.		24,816		1,254,697
Metropolitan Bank Holding Corp. (b)		108		4,547
Mettler-Toledo International, Inc. (b)		509		315,336
MFA Financial, Inc.		7,924		62,758
MGE Energy, Inc.		841		53,067
MGIC Investment Corp. (b)		9,220		130,094
MGM Resorts International		10,052		335,636
MGP Ingredients, Inc.		339		26,062
The Michaels Cos., Inc. (b)		2,260		54,669
Microchip Technology, Inc.		4,588		403,193
Micron Technology, Inc. (b)		29,923		1,230,434

The accompanying notes are an integral part of the portfolio of investments.

247

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Microsemi Corp. (b)		2,367	$	122,256
Microsoft Corp.		168,178		14,385,946
MicroStrategy, Inc. Class A (b)		247		32,431
MicroVision, Inc. (a) (b)		1,796		2,927
Mid-America Apartment Communities, Inc.		7,607		764,960
The Middleby Corp. (b)		1,105		149,120
Middlefield Banc Corp.		70		3,374
Middlesex Water Co.		430		17,161
Midland States Bancorp, Inc.		398		12,927
MidSouth Bancorp, Inc.		239		3,167
Midstates Petroleum Co., Inc. (b)		297		4,924
MidWestOne Financial Group, Inc.		295		9,891
Milacron Holdings Corp. (b)		1,173		22,451
Miller Industries, Inc.		238		6,140
MiMedx Group, Inc. (a) (b)		2,710		34,173
MINDBODY, Inc. Class A (a) (b)		1,124		34,226
Minerals Technologies, Inc.		844		58,109
Minerva Neurosciences, Inc. (b)		640		3,872
Miragen Therapeutics, Inc. (b)		333		3,473
Mistras Group, Inc. (b)		440		10,327
Mitek Systems, Inc. (b)		820		7,339
MKS Instruments, Inc.		1,339		126,535
Mobile Mini, Inc.		1,151		39,710
MobileIron, Inc. (b)		1,446		5,639
Model N, Inc. (b)		628		9,891
Modine Manufacturing Co. (b)		1,292		26,098
Moelis & Co.Class A		810		39,285
Mohawk Industries, Inc. (b)		1,243		342,944
Molina Healthcare, Inc. (b)		1,074		82,354
Molson Coors Brewing Co. Class B		3,471		284,865
Momenta Pharmaceuticals, Inc. (b)		1,922		26,812
Monarch Casino & Resort, Inc. (b)		253		11,339
Mondelez International, Inc. Class A		40,245		1,722,486
MoneyGram International, Inc. (b)		760		10,017
Monmouth Real Estate Investment Corp.		5,247		93,397
Monolithic Power Systems, Inc.		992		111,461
Monotype Imaging Holdings, Inc.		1,040		25,064
Monro, Inc. (a)		830		47,269
Monsanto Co.		12,032		1,405,097
Monster Beverage Corp. (b)		11,330		717,076
Moody’s Corp.		3,353		494,936
Moog, Inc. Class A (b)		761		66,093
Morgan Stanley		35,402		1,857,543
Morningstar, Inc.		369		35,782
The Mosaic Co.		7,028		180,338
Motorcar Parts of America, Inc. (b)		488		12,195
Motorola Solutions, Inc.		3,291		297,309
Movado Group, Inc.		405		13,041
MRC Global, Inc. (b)		2,338		39,559
MSA Safety, Inc.		799		61,938

	Number of Shares		Value
MSC Industrial Direct Co., Inc. Class A		858	$	82,934
MSCI, Inc.		1,786		226,000
MSG Networks, Inc. Class A (b)		1,335		27,034
MTGE Investment Corp.		1,199		22,182
MTS Systems Corp. (a)		440		23,628
Mueller Industries, Inc.		1,338		47,405
Mueller Water Products, Inc. Class A		3,633		45,521
MuleSoft, Inc. Class A (b)		631		14,677
Multi-Color Corp.		358		26,796
Murphy Oil Corp.		3,233		100,385
Murphy USA, Inc. (b)		669		53,761
MutualFirst Financial, Inc.		166		6,399
Myers Industries, Inc.		609		11,876
MyoKardia, Inc. (b)		443		18,650
MYR Group, Inc. (b)		422		15,078
Myriad Genetics, Inc. (b)		1,678		57,631
NACCO Industries, Inc. Class A		95		3,577
Nanometrics, Inc. (b)		632		15,749
NanoString Technologies, Inc. (b)		469		3,503
NantHealth, Inc. (a) (b)		332		1,013
NantKwest, Inc. (b)		652		2,927
Napco Security Technologies, Inc. (b)		334		2,923
Nasdaq, Inc.		2,278		175,019
Natera, Inc. (b)		834		7,498
Nathan’s Famous, Inc.		43		3,247
National Bank Holdings Corp. Class A		655		21,242
National Bankshares, Inc.		140		6,363
National Beverage Corp. (a)		307		29,914
National CineMedia, Inc.		1,633		11,202
National Commerce Corp. (b)		278		11,190
National Fuel Gas Co. (a)		1,595		87,581
National General Holdings Corp.		1,265		24,845
National Health Investors, Inc.		2,836		213,778
National HealthCare Corp.		296		18,038
National Instruments Corp.		2,110		87,839
National Oilwell Varco, Inc.		7,694		277,138
National Presto Industries, Inc. (a)		132		13,127
National Research Corp. Class A		253		9,437
National Retail Properties, Inc.		10,078		434,664
National Storage Affiliates Trust		3,240		88,322
National Vision Holdings, Inc. (b)		428		17,381
National Western Life Group, Inc. Class A		60		19,861
Nationstar Mortgage Holdings, Inc. (b)		766		14,171
Natural Gas Services Group, Inc. (b)		307		8,043
Natural Grocers by Vitamin Cottage, Inc. (b)		263		2,349
Natural Health Trends Corp.		201		3,053
Nature’s Sunshine Products, Inc.		260		3,003
Natus Medical, Inc. (b)		718		27,428
Nautilus, Inc. (b)		793		10,587
Navient Corp.		5,233		69,704
Navigant Consulting, Inc. (b)		1,236		23,991

The accompanying notes are an integral part of the portfolio of investments.

248

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
The Navigators Group, Inc.		536	$	26,103
Navios Maritime Acquisition Corp.		15		17
Navistar International Corp. (b)		1,188		50,941
NBT Bancorp, Inc.		985		36,248
NCI Building Systems, Inc. (b)		1,050		20,265
NCR Corp. (b)		2,442		83,004
NCS Multistage Holdings, Inc. (a) (b)		293		4,319
Neenah Paper, Inc.		434		39,342
Nektar Therapeutics (b)		3,666		218,934
Nelnet, Inc. Class A		424		23,227
Neogen Corp. (b)		896		73,660
NeoGenomics, Inc. (b)		1,453		12,874
NeoPhotonics Corp. (a) (b)		850		5,593
Neos Therapeutics, Inc. (b)		510		5,202
NetApp, Inc.		5,471		302,656
Netflix, Inc. (b)		11,256		2,160,702
NETGEAR, Inc. (b)		736		43,240
NetScout Systems, Inc. (b)		2,098		63,884
Neurocrine Biosciences, Inc. (b)		1,773		137,567
Nevro Corp. (b)		668		46,119
The New Home Co., Inc. (b)		365		4,573
New Jersey Resources Corp.		2,127		85,505
New Media Investment Group, Inc.		1,353		22,703
New Relic, Inc. (b)		766		44,252
New Residential Investment Corp.		6,230		111,392
New Senior Investment Group, Inc.		4,926		37,241
New York Community Bancorp, Inc.		9,463		123,208
New York Mortgage Trust, Inc. (a)		2,924		18,041
The New York Times Co. Class A		3,021		55,889
Newell Brands, Inc.		9,801		302,851
Newfield Exploration Co. (b)		4,029		127,034
NewLink Genetics Corp. (a) (b)		576		4,671
NewMarket Corp.		148		58,814
Newmont Mining Corp.		10,752		403,415
Newpark Resources, Inc. (b)		2,184		18,782
News Corp. Class A		7,584		122,937
News Corp. Class B		2,387		39,624
Nexeo Solutions, Inc. (b)		677		6,161
NexPoint Residential Trust, Inc.		450		12,573
Nexstar Media Group, Inc. Class A		1,106		86,489
NextEra Energy, Inc.		12,836		2,004,855
NI Holdings, Inc. (b)		254		4,313
NIC, Inc.		1,675		27,805
Nicolet Bankshares, Inc. (b)		237		12,973
NIKE, Inc. Class B		35,743		2,235,725
NiSource, Inc.		6,753		173,350
NL Industries, Inc. (b)		142		2,024
NMI Holdings, Inc. Class A (b)		1,500		25,500
NN, Inc.		710		19,596
Noble Energy, Inc.		9,686		282,250
Noodles & Co. (a) (b)		326		1,712
Nordson Corp.		1,148		168,067
Nordstrom, Inc. (a)		2,332		110,490

	Number of Shares		Value
Norfolk Southern Corp.		7,940	$	1,150,506
Northeast Bancorp		195		4,514
Northern Trust Corp.		4,199		419,438
Northfield Bancorp, Inc.		880		15,030
Northrim BanCorp, Inc.		187		6,330
Northrop Grumman Corp.		4,425		1,358,077
NorthStar Realty Europe Corp.		1,384		18,587
Northwest Bancshares, Inc.		2,452		41,022
Northwest Natural Gas Co.		665		39,667
Northwest Pipe Co. (b)		250		4,785
NorthWestern Corp.		1,175		70,147
Norwood Financial Corp. (a)		142		4,686
Novavax, Inc. (a) (b)		7,423		9,205
NOW, Inc. (b)		2,434		26,847
NRG Energy, Inc.		5,983		170,396
NRG Yield, Inc. Class A		926		17,455
NRG Yield, Inc. Class C		1,681		31,771
Nu Skin Enterprises, Inc. Class A		1,039		70,891
Nuance Communications, Inc. (b)		5,842		95,517
Nucor Corp.		6,405		407,230
Nutanix, Inc. Class A (b)		2,654		93,633
Nutrisystem, Inc.		775		40,765
NuVasive, Inc. (b)		1,229		71,884
NV5 Global, Inc. (b)		215		11,642
NVE Corp.		126		10,836
NVIDIA Corp.		15,602		3,018,987
NVR, Inc. (b)		67		235,051
NxStage Medical, Inc. (b)		1,504		36,442
O’Reilly Automotive, Inc. (b)		1,683		404,829
Oasis Petroleum, Inc. (b)		6,760		56,852
Obalon Therapeutics, Inc. (b)		237		1,567
Occidental Petroleum Corp.		20,956		1,543,619
Oceaneering International, Inc.		1,925		40,695
OceanFirst Financial Corp.		826		21,683
Oclaro, Inc. (a) (b)		4,319		29,110
Ocular Therapeutix, Inc. (a) (b)		595		2,648
Ocwen Financial Corp. (a) (b)		2,681		8,392
Office Depot, Inc.		12,247		43,354
OGE Energy Corp.		3,984		131,113
Ohio Valley Banc Corp. (a)		111		4,484
Oil States International, Inc. (b)		1,348		38,148
Oil-Dri Corp. of America		139		5,769
Okta, Inc. (b)		484		12,395
Old Dominion Freight Line, Inc.		1,221		160,623
Old Line Bancshares, Inc.		236		6,948
Old National Bancorp		3,180		55,491
Old Point Financial Corp.		101		3,005
Old Republic International Corp.		4,931		105,425
Old Second Bancorp, Inc.		675		9,214
Olin Corp.		3,346		119,051
Ollie’s Bargain Outlet Holdings, Inc. (b)		1,135		60,439
Olympic Steel, Inc.		244		5,244

The accompanying notes are an integral part of the portfolio of investments.

249

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Omega Flex, Inc.		48	$	3,428
Omega Healthcare Investors, Inc. (a)		13,119		361,297
Omeros Corp. (a) (b)		1,087		21,120
Ominto, Inc. (a) (b)		372		1,261
Omnicell, Inc. (b)		964		46,754
Omnicom Group, Inc.		4,643		338,150
OMNOVA Solutions, Inc. (b)		1,152		11,520
On Assignment, Inc. (b)		1,217		78,217
On Deck Capital, Inc. (b)		1,304		7,485
ON Semiconductor Corp. (b)		8,336		174,556
ONE Gas, Inc.		1,288		94,359
One Liberty Properties, Inc.		401		10,394
OneMain Holdings, Inc. (b)		1,234		32,072
ONEOK, Inc.		7,197		384,680
Ooma, Inc. (b)		463		5,533
OPKO Health, Inc. (a) (b)		6,479		31,747
Oppenheimer Holdings, Inc. Class A		273		7,316
Opus Bank (b)		543		14,824
Oracle Corp.		65,382		3,091,261
OraSure Technologies, Inc. (b)		1,477		27,856
ORBCOMM, Inc. (b)		1,715		17,459
Orbital ATK, Inc.		1,145		150,567
Orchid Island Capital, Inc. (a)		866		8,036
Orchids Paper Products Co. (a)		242		3,098
Organovo Holdings, Inc. (a) (b)		2,652		3,554
Orion Group Holdings, Inc. (b)		740		5,794
Oritani Financial Corp.		1,050		17,220
Ormat Technologies, Inc.		959		61,338
Orrstown Financial Services, Inc.		204		5,151
Oshkosh Corp.		1,482		134,699
OSI Systems, Inc. (b)		454		29,229
Otonomy, Inc. (b)		744		4,129
Otter Tail Corp.		927		41,205
Outfront Media, Inc.		2,790		64,728
Overseas Shipholding Group, Inc. Class A (b)		1,076		2,948
Overstock.com, Inc. (a) (b)		448		28,627
Owens & Minor, Inc.		1,577		29,774
Owens Corning		2,227		204,750
Owens Realty Mortgage, Inc.		289		4,627
Owens-Illinois, Inc. (b)		3,290		72,939
Oxford Industries, Inc.		434		32,632
P.H. Glatfelter Co.		1,141		24,463
PACCAR, Inc.		6,906		490,878
Pacific Biosciences of California, Inc. (a) (b)		2,213		5,842
Pacific Ethanol, Inc. (b)		1,137		5,173
Pacific Mercantile Bancorp (b)		449		3,929
Pacific Premier Bancorp, Inc. (b)		1,020		40,800
Pacira Pharmaceuticals, Inc. (b)		1,027		46,883
Packaging Corp. of America		1,879		226,513
PacWest Bancorp		2,563		129,175
Palo Alto Networks, Inc. (b)		1,793		259,877

	Number of Shares		Value
Pandora Media, Inc. (b)		4,745	$	22,871
Panhandle Oil & Gas, Inc. Class A		417		8,569
Papa John’s International, Inc. (a)		619		34,732
Par Pacific Holdings, Inc. (b)		837		16,137
Paragon Commercial Corp. (b)		113		6,013
Paramount Group, Inc.		13,960		221,266
Paratek Pharmaceuticals, Inc. (b)		618		11,062
Park City Group, Inc. (a) (b)		358		3,419
Park Electrochemical Corp.		471		9,255
Park Hotels & Resorts, Inc.		9,726		279,622
Park National Corp.		352		36,608
Park-Ohio Holdings Corp.		212		9,741
Parke Bancorp, Inc.		161		3,309
Parker Drilling Co. (b)		3,617		3,617
Parker-Hannifin Corp.		2,666		532,080
Parsley Energy, Inc. Class A (b)		4,700		138,368
Party City Holdco, Inc. (a) (b)		727		10,142
Patrick Industries, Inc. (b)		636		44,170
Pattern Energy Group, Inc. (a)		1,840		39,542
Patterson Cos., Inc.		1,656		59,831
Patterson-UTI Energy, Inc.		4,237		97,493
Paychex, Inc.		6,497		442,316
Paycom Software, Inc. (b)		1,218		97,842
Paylocity Holding Corp. (b)		680		32,069
PayPal Holdings, Inc. (b)		31,066		2,287,079
PBF Energy, Inc. Class A		2,213		78,451
PC Connection, Inc.		272		7,129
PCM, Inc. (b)		249		2,465
PCSB Financial Corp. (b)		471		8,973
PDC Energy, Inc. (b)		1,624		83,701
PDF Solutions, Inc. (b)		735		11,540
PDL BioPharma, Inc. (b)		3,761		10,305
pdvWireless, Inc. (b)		251		8,057
Peabody Energy Corp. (b)		1,618		63,701
Peapack Gladstone Financial Corp.		450		15,759
Pebblebrook Hotel Trust		4,765		177,115
Pegasystems, Inc.		857		40,408
Penn National Gaming, Inc. (b)		2,042		63,976
Penn Virginia Corp. (b)		374		14,627
Penns Woods Bancorp, Inc.		129		6,009
Pennsylvania REIT (a)		4,561		54,230
PennyMac Financial Services, Inc. Class A (b)		420		9,387
PennyMac Mortgage Investment Trust		1,715		27,560
Penske Automotive Group, Inc.		695		33,256
Penumbra, Inc. (b)		711		66,905
People’s United Financial, Inc.		6,849		128,076
People’s Utah Bancorp		321		9,726
Peoples Bancorp of North Carolina, Inc.		126		3,867
Peoples Bancorp, Inc.		461		15,038
Peoples Financial Services Corp.		184		8,571
PepsiCo, Inc.		32,032		3,841,277

The accompanying notes are an integral part of the portfolio of investments.

250

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Perficient, Inc. (b)		903	$	17,220
Performance Food Group Co. (b)		2,224		73,614
PerkinElmer, Inc.		2,226		162,765
Perry Ellis International, Inc. (b)		270		6,761
PetIQ, Inc. (a) (b)		188		4,106
PetMed Express, Inc.		517		23,524
Pfizer, Inc.		132,609		4,803,098
PG&E Corp.		14,029		628,920
PGT Innovations, Inc. (b)		1,274		21,467
PHH Corp. (b)		548		5,644
PHI, Inc. (b)		325		3,760
Phibro Animal Health Corp. Class A		501		16,784
Philip Morris International, Inc.		34,806		3,677,254
Phillips 66		11,962		1,209,956
Photronics, Inc. (b)		1,763		15,030
Physicians Realty Trust		12,674		228,005
PICO Holdings, Inc.		603		7,718
Piedmont Office Realty Trust, Inc. Class A		9,555		187,374
Pier 1 Imports, Inc.		2,130		8,818
Pieris Pharmaceuticals, Inc. (b)		909		6,863
Pilgrim’s Pride Corp. (a) (b)		1,087		33,762
Pinnacle Entertainment, Inc. (b)		1,228		40,192
Pinnacle Financial Partners, Inc.		1,416		93,881
Pinnacle Foods, Inc.		2,354		139,992
Pinnacle West Capital Corp.		2,242		190,974
Pioneer Energy Services Corp. (b)		1,549		4,724
Pioneer Natural Resources Co.		4,636		801,333
Piper Jaffray Cos.		376		32,430
Pitney Bowes, Inc.		3,814		42,641
Pixelworks, Inc. (b)		767		4,855
PJT Partners, Inc. Class A		456		20,794
Planet Fitness, Inc. Class A (b)		2,197		76,082
Plantronics, Inc.		763		38,440
Platform Specialty Products Corp. (b)		4,546		45,096
Plexus Corp. (b)		789		47,908
Plug Power, Inc. (a) (b)		6,055		14,290
Ply Gem Holdings, Inc. (b)		616		11,396
The PNC Financial Services Group, Inc.		13,276		1,915,594
PNM Resources, Inc.		1,954		79,039
Polaris Industries, Inc.		1,176		145,812
PolyOne Corp.		1,981		86,173
Pool Corp.		789		102,294
Portland General Electric Co.		2,195		100,048
Portola Pharmaceuticals, Inc. (b)		1,432		69,710
Post Holdings, Inc. (b)		1,295		102,603
Potbelly Corp. (b)		577		7,097
Potlatch Corp.		963		48,054
Powell Industries, Inc.		195		5,587
Power Integrations, Inc.		675		49,646
PPG Industries, Inc.		7,028		821,011
PPL Corp.		13,834		428,162

	Number of Shares		Value
PQ Group Holdings, Inc. (b)		567	$	9,327
PRA Group, Inc. (b)		1,025		34,030
PRA Health Sciences, Inc. (b)		1,208		110,013
Praxair, Inc.		7,833		1,211,608
Preferred Apartment Communities, Inc. Class A		806		16,322
Preferred Bank		340		19,985
Preformed Line Products Co.		86		6,110
Premier Financial Bancorp, Inc.		273		5,482
Premier, Inc. Class A (b)		1,172		34,211
Presidio, Inc. (b)		503		9,643
Prestige Brands Holdings, Inc. (b)		1,289		57,244
The Priceline Group, Inc. (b)		1,347		2,340,736
PriceSmart, Inc.		517		44,514
Primerica, Inc.		1,073		108,963
Primo Water Corp. (b)		672		8,447
Primoris Services Corp.		1,043		28,359
Principal Financial Group, Inc.		5,364		378,484
ProAssurance Corp.		1,053		60,179
The Procter & Gamble Co.		57,416		5,275,382
Progenics Pharmaceuticals, Inc. (b)		1,866		11,103
Progress Software Corp.		1,122		47,764
The Progressive Corp.		11,684		658,043
Prologis, Inc.		35,156		2,267,914
Proofpoint, Inc. (b)		1,064		94,494
ProPetro Holding Corp. (a) (b)		1,277		25,744
PROS Holdings, Inc. (b)		662		17,510
Prosperity Bancshares, Inc.		1,354		94,875
Protagonist Therapeutics, Inc. (b)		247		5,138
Proto Labs, Inc. (b)		588		60,564
The Providence Service Corp. (b)		299		17,743
Provident Bancorp, Inc. (b)		129		3,412
Provident Financial Holdings, Inc.		200		3,680
Provident Financial Services, Inc.		1,428		38,513
Prudential Bancorp, Inc.		219		3,854
Prudential Financial, Inc.		11,766		1,352,855
PS Business Parks, Inc.		1,377		172,249
PTC Therapeutics, Inc. (b)		1,150		19,182
PTC, Inc. (b)		2,285		138,859
Public Service Enterprise Group, Inc.		10,213		525,969
Public Storage		10,938		2,286,042
Pulse Biosciences, Inc. (b)		239		5,640
PulteGroup, Inc.		5,473		181,977
Puma Biotechnology, Inc. (b)		707		69,887
Pure Cycle Corp. (b)		477		3,983
Pure Storage, Inc. Class A (b)		2,418		38,349
PVH Corp.		1,556		213,499
Pzena Investment Management, Inc. Class A		461		4,919
Q2 Holdings, Inc. (b)		820		30,217
QAD, Inc. Class A		266		10,334
QCR Holdings, Inc.		326		13,969
QEP Resources, Inc. (b)		4,941		47,285

The accompanying notes are an integral part of the portfolio of investments.

251

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Qorvo, Inc. (b)		2,531	$	168,565
QTS Realty Trust, Inc. Class A		3,604		195,193
Quad/Graphics, Inc.		824		18,622
Quaker Chemical Corp.		304		45,840
QUALCOMM, Inc.		40,566		2,597,035
Quality Care Properties, Inc. (b)		6,750		93,217
Quality Systems, Inc. (b)		1,374		18,659
Qualys, Inc. (b)		823		48,845
Quanex Building Products Corp.		899		21,037
Quanta Services, Inc. (b)		3,004		117,486
Quantenna Communications, Inc. (a) (b)		555		6,771
Quantum Corp. (b)		704		3,964
Quest Diagnostics, Inc.		2,743		270,158
Quidel Corp. (b)		734		31,819
QuinStreet, Inc. (b)		1,000		8,380
Quotient Technology, Inc. (b)		1,611		18,929
R1 RCM, Inc. (b)		2,645		11,664
Ra Pharmaceuticals, Inc. (b)		259		2,202
Radian Group, Inc.		5,378		110,841
Radiant Logistics, Inc. (b)		992		4,563
Radisys Corp. (b)		1,045		1,050
Radius Health, Inc. (a) (b)		973		30,912
RadNet, Inc. (b)		982		9,918
RAIT Financial Trust		2,047		768
Ralph Lauren Corp. (a)		1,103		114,370
Ramaco Resources, Inc. (a) (b)		233		1,603
Rambus, Inc. (b)		2,776		39,475
Ramco-Gershenson Properties Trust		5,868		86,436
Range Resources Corp.		4,650		79,329
Rapid7, Inc. (b)		556		10,375
Raven Industries, Inc.		946		32,495
Raymond James Financial, Inc.		2,582		230,573
Rayonier Advanced Materials, Inc.		1,121		22,924
Rayonier, Inc.		2,613		82,649
Raytheon Co.		7,986		1,500,170
RBC Bearings, Inc. (b)		593		74,955
RCI Hospitality Holdings, Inc.		239		6,687
RE/MAX Holdings, Inc. Class A		395		19,158
Reading International, Inc. Series A (b)		335		5,595
RealNetworks, Inc. (b)		735		2,514
Realogy Holdings Corp.		2,717		72,000
RealPage, Inc. (b)		1,421		62,950
Realty Income Corp.		18,753		1,069,296
Reata Pharmaceuticals, Inc. Class A (a) (b)		225		6,372
Recro Pharma, Inc. (b)		386		3,571
Red Hat, Inc. (b)		3,562		427,796
Red Lion Hotels Corp. (b)		474		4,669
Red Robin Gourmet Burgers, Inc. (b)		336		18,950
Red Rock Resorts, Inc. Class A		1,771		59,754
Redfin Corp. (a) (b)		278		8,707

	Number of Shares		Value
Redwood Trust, Inc.		2,003	$	29,684
Regal Beloit Corp.		898		68,787
Regal Entertainment Group Class A		2,332		53,659
Regency Centers Corp.		10,008		692,353
Regeneron Pharmaceuticals, Inc. (b)		2,172		816,585
REGENXBIO, Inc. (b)		732		24,339
Regional Management Corp. (b)		196		5,157
Regions Financial Corp.		23,347		403,436
Regis Corp. (b)		919		14,116
Reinsurance Group of America, Inc.		1,293		201,617
Reis, Inc.		251		5,183
Reliance Steel & Aluminum Co.		1,438		123,366
Reliant Bancorp, Inc.		179		4,590
Renasant Corp.		1,118		45,715
Renewable Energy Group, Inc. (b)		1,022		12,060
Rent-A-Center, Inc. (a)		1,122		12,454
Repligen Corp. (b)		897		32,543
Republic Bancorp, Inc. Class A		227		8,631
Republic First Bancorp, Inc. (a) (b)		1,305		11,027
Republic Services, Inc.		4,631		313,102
ResMed, Inc.		2,810		237,979
Resolute Energy Corp. (a) (b)		568		17,875
Resource Capital Corp. (a)		805		7,543
Resources Connection, Inc.		774		11,958
Retail Opportunity Investments Corp.		7,482		149,266
Retail Properties of America, Inc. Class A		15,131		203,361
Retrophin, Inc. (b)		1,014		21,365
REV Group, Inc.		569		18,510
Revance Therapeutics, Inc. (a) (b)		590		21,093
Revlon, Inc. Class A (a) (b)		263		5,733
REX American Resources Corp. (b)		153		12,667
Rexford Industrial Realty, Inc.		5,565		162,275
Rexnord Corp. (b)		2,510		65,310
RGC Resources, Inc.		171		4,631
RH (a) (b)		521		44,915
Rhythm Pharmaceuticals, Inc. (a) (b)		208		6,044
Ribbon Communications, Inc. (b)		1,252		9,678
Rigel Pharmaceuticals, Inc. (b)		3,078		11,943
RigNet, Inc. (b)		358		5,352
Ring Energy, Inc. (b)		1,191		16,555
RingCentral, Inc. Class A (b)		1,648		79,763
Rite Aid Corp. (a) (b)		20,739		40,856
Riverview Bancorp, Inc.		522		4,526
RLI Corp.		910		55,201
RLJ Lodging Trust		12,194		267,902
The RMR Group, Inc. Class A		181		10,733
Roadrunner Transportation Systems, Inc. (b)		815		6,284
Robert Half International, Inc.		2,455		136,351
Rockwell Automation, Inc.		2,584		507,368
Rockwell Collins, Inc.		3,265		442,799
Rockwell Medical, Inc. (a) (b)		1,264		7,356

The accompanying notes are an integral part of the portfolio of investments.

252

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Rogers Corp. (b)		439	$	71,083
Rollins, Inc.		1,948		90,640
Roper Technologies, Inc.		2,025		524,475
Rosetta Stone, Inc. (b)		295		3,679
Ross Stores, Inc.		7,623		611,746
Royal Gold, Inc.		1,317		108,152
RPC, Inc. (a)		1,125		28,721
RPM International, Inc.		2,615		137,078
RPX Corp.		1,188		15,967
RR Donnelley & Sons Co.		1,834		17,056
RSP Permian, Inc. (b)		2,611		106,215
RTI Surgical, Inc. (b)		1,288		5,281
The Rubicon Project, Inc. (b)		1,174		2,195
Rudolph Technologies, Inc. (b)		823		19,670
Rush Enterprises, Inc. Class A (b)		779		39,581
Rush Enterprises, Inc. Class B (b)		107		5,158
Ruth’s Hospitality Group, Inc.		788		17,060
Ryder System, Inc.		1,069		89,978
Ryerson Holding Corp. (b)		387		4,025
Ryman Hospitality Properties, Inc.		3,074		212,167
S&P Global, Inc.		7,073		1,198,166
S&T Bancorp, Inc.		910		36,227
Sabra Health Care REIT, Inc.		12,791		240,087
Sabre Corp.		4,095		83,947
Safeguard Scientifics, Inc. (b)		548		6,138
Safety Income and Growth, Inc.		269		4,734
Safety Insurance Group, Inc.		381		30,632
Saga Communications, Inc. Class A		119		4,814
Sage Therapeutics, Inc. (b)		947		155,980
Saia, Inc. (b)		661		46,766
Salem Media Group, Inc.		58		261
salesforce.com, Inc. (b)		18,550		1,896,366
Sally Beauty Holdings, Inc. (b)		2,532		47,500
Sanchez Energy Corp. (a) (b)		1,856		9,855
Sanderson Farms, Inc.		493		68,419
SandRidge Energy, Inc. (a) (b)		919		19,363
Sandy Spring Bancorp, Inc.		618		24,114
Sangamo Therapeutics, Inc. (b)		2,118		34,735
Sanmina Corp. (b)		1,803		59,499
Santander Consumer USA Holdings, Inc.		2,899		53,979
Sarepta Therapeutics, Inc. (a) (b)		1,546		86,019
Saul Centers, Inc.		778		48,042
SBA Communications Corp. (b)		2,412		394,024
SCANA Corp.		2,671		106,252
ScanSource, Inc. (b)		656		23,485
Schneider National, Inc. Class B (a)		1,029		29,388
Schnitzer Steel Industries, Inc. Class A		693		23,216
Scholastic Corp.		748		30,002
Schweitzer-Mauduit International, Inc.		798		36,197
Science Applications International Corp.		1,067		81,700
Scientific Games Corp. Class A (b)		1,297		66,536

	Number of Shares		Value
Scorpio Bulkers, Inc.		1,545	$	11,433
Scorpio Tankers, Inc.		5,954		18,160
The Scotts Miracle-Gro Co.		866		92,653
Scripps Networks Interactive, Inc. Class A		1,775		151,549
Seaboard Corp.		5		22,050
Seacoast Banking Corp. of Florida (b)		1,043		26,294
SEACOR Holdings, Inc. (b)		427		19,736
SEACOR Marine Holdings, Inc. (b)		429		5,019
Sealed Air Corp.		3,605		177,726
Sears Holdings Corp. (b)		316		1,131
Seattle Genetics, Inc. (b)		1,941		103,843
SeaWorld Entertainment, Inc. (a) (b)		1,787		24,250
SecureWorks Corp. Class A (b)		176		1,561
SEI Investments Co.		2,685		192,944
Select Energy Services, Inc. Class A (b)		497		9,065
Select Income REIT		4,404		110,673
Select Medical Holdings Corp. (b)		2,800		49,420
Selecta Biosciences, Inc. (b)		256		2,511
Selective Insurance Group, Inc.		1,410		82,767
SemGroup Corp. Class A		1,544		46,629
Sempra Energy		5,071		542,191
Semtech Corp. (b)		1,553		53,113
SendGrid, Inc. (b)		252		6,040
Seneca Foods Corp. Class A (b)		188		5,781
Senior Housing Properties Trust		15,853		303,585
Sensient Technologies Corp.		1,076		78,709
Sequential Brands Group, Inc. (a) (b)		1,130		2,011
Seres Therapeutics, Inc. (a) (b)		513		5,202
Seritage Growth Properties Class A (a)		1,894		76,631
Service Corp. International		3,689		137,673
ServiceMaster Global Holdings, Inc. (b)		2,668		136,788
ServiceNow, Inc. (b)		3,367		439,023
ServiceSource International, Inc. (b)		2,023		6,251
ServisFirst Bancshares, Inc.		1,083		44,945
Shake Shack, Inc. Class A (a) (b)		537		23,198
Shenandoah Telecommunications Co.		1,214		41,033
The Sherwin-Williams Co.		2,247		921,360
Shiloh Industries, Inc. (b)		232		1,902
Shoe Carnival, Inc.		335		8,961
Shore Bancshares, Inc.		350		5,845
Shutterfly, Inc. (b)		785		39,054
Shutterstock, Inc. (b)		486		20,913
SI Financial Group, Inc.		318		4,675
Sienna Biopharmaceuticals, Inc. (b)		203		3,684
Sientra, Inc. (a) (b)		389		5,469
Sierra Bancorp		271		7,198
Sigma Designs, Inc. (b)		1,003		6,971
Signature Bank (b)		1,078		147,966
Silgan Holdings, Inc.		1,525		44,820
Silicon Laboratories, Inc. (b)		1,016		89,713
Silver Spring Networks, Inc. (b)		1,099		17,848
SilverBow Resources, Inc. (b)		176		5,231

The accompanying notes are an integral part of the portfolio of investments.

253

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Silvercrest Asset Management Group, Inc. Class A		3	$	48
Simmons First National Corp. Class A		1,063		60,697
Simon Property Group, Inc.		23,034		3,955,859
Simpson Manufacturing Co., Inc.		977		56,090
Simulations Plus, Inc.		309		4,975
Sinclair Broadcast Group, Inc. Class A (a)		1,697		64,231
Sirius XM Holdings, Inc. (a)		29,229		156,667
SiteOne Landscape Supply, Inc. (b)		805		61,743
Six Flags Entertainment Corp.		1,323		88,072
SJW Group		440		28,085
Skechers U.S.A., Inc. Class A (b)		2,596		98,233
SkyWest, Inc.		1,215		64,516
Skyworks Solutions, Inc.		3,710		352,264
SL Green Realty Corp.		6,481		654,127
Sleep Number Corp. (b)		933		35,071
SLM Corp. (b)		8,805		99,496
SM Energy Co.		2,295		50,674
Smart & Final Stores, Inc. (b)		495		4,232
Smart Sand, Inc. (a) (b)		451		3,906
SmartFinancial, Inc. (b)		179		3,884
Snap-on, Inc.		1,139		198,528
Snyder’s-Lance, Inc.		2,112		105,769
Solaris Oilfield Infrastructure, Inc. Class A (b)		540		11,561
Sonic Automotive, Inc. Class A		706		13,026
Sonic Corp. (a)		872		23,963
Sonoco Products Co.		1,986		105,536
Sotheby’s (b)		891		45,976
South Jersey Industries, Inc.		1,942		60,649
South State Corp.		882		76,866
The Southern Co.		27,330		1,314,300
Southern Copper Corp.		2,831		134,331
Southern First Bancshares, Inc. (b)		173		7,136
Southern Missouri Bancorp, Inc.		159		5,977
Southern National Bancorp of Virginia, Inc.		499		7,999
Southside Bancshares, Inc.		726		24,452
Southwest Airlines Co.		15,114		989,211
Southwest Gas Holdings, Inc.		1,172		94,323
Southwestern Energy Co. (b)		10,168		56,737
SP Plus Corp. (b)		456		16,918
Spark Energy, Inc. Class A (a)		308		3,819
Spark Therapeutics, Inc. (b)		695		35,737
Spartan Motors, Inc.		903		14,222
SpartanNash Co.		793		21,157
Sparton Corp. (b)		258		5,949
Spectrum Brands Holdings, Inc.		480		53,952
Spectrum Pharmaceuticals, Inc. (b)		2,041		38,677
Speedway Motorsports, Inc.		327		6,170
Spire, Inc.		1,163		87,399

	Number of Shares		Value
Spirit AeroSystems Holdings, Inc. Class A		2,325	$	202,856
Spirit Airlines, Inc. (b)		1,375		61,669
Spirit Realty Capital, Inc.		30,272		259,734
Splunk, Inc. (b)		2,803		232,201
Spok Holdings, Inc.		537		8,404
Sportsman’s Warehouse Holdings, Inc. (a) (b)		903		5,969
Sprint Corp. (a) (b)		17,361		102,256
Sprouts Farmers Market, Inc. (b)		2,640		64,284
SPS Commerce, Inc. (b)		441		21,428
SPX Corp. (b)		943		29,601
SPX FLOW, Inc. (b)		958		45,553
Square, Inc. Class A (b)		4,874		168,982
SRC Energy, Inc. (b)		5,912		50,429
SS&C Technologies Holdings, Inc		3,496		141,518
The St. Joe Co. (a) (b)		957		17,274
STAAR Surgical Co. (b)		1,077		16,694
STAG Industrial, Inc.		6,573		179,640
Stamps.com, Inc. (b)		413		77,644
Standard Motor Products, Inc.		565		25,374
Standex International Corp.		330		33,611
Stanley Black & Decker, Inc.		3,079		522,476
Starbucks Corp.		38,722		2,223,804
Startek, Inc. (b)		274		2,732
Starwood Property Trust, Inc.		5,185		110,700
State Auto Financial Corp.		419		12,201
State Bank Financial Corp.		989		29,512
State Street Corp.		10,269		1,002,357
Steel Dynamics, Inc.		4,580		197,535
Steelcase, Inc. Class A		2,235		33,972
Stemline Therapeutics, Inc. (b)		553		8,627
Stepan Co.		521		41,143
Stericycle, Inc. (b)		1,675		113,883
Sterling Bancorp		5,318		130,823
Sterling Construction Co., Inc. (b)		683		11,119
Steven Madden Ltd. (b)		1,413		65,987
Stewart Information Services Corp.		546		23,096
Stifel Financial Corp.		1,642		97,798
Stock Yards Bancorp, Inc.		551		20,773
Stone Energy Corp. (b)		511		16,434
Stoneridge, Inc. (b)		702		16,048
STORE Capital Corp.		11,402		296,908
Straight Path Communications, Inc. Class B (b)		227		41,266
Stratus Properties, Inc.		167		4,960
Strayer Education, Inc.		279		24,993
Stryker Corp.		9,325		1,443,883
Sturm, Ruger & Co., Inc.		447		24,965
Sucampo Pharmaceuticals, Inc. Class A (b)		648		11,632
Summit Financial Group, Inc.		284		7,475
Summit Hotel Properties, Inc.		7,364		112,154

The accompanying notes are an integral part of the portfolio of investments.

254

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Summit Materials, Inc. Class A (b)		2,662	$	83,685
Sun Bancorp, Inc.		225		5,468
Sun Communities, Inc.		5,107		473,827
Sun Hydraulics Corp.		622		40,237
SunCoke Energy, Inc. (b)		1,684		20,191
SunPower Corp. (a) (b)		1,561		13,159
Sunrun, Inc. (a) (b)		2,229		13,151
Sunshine Bancorp, Inc. (b)		186		4,267
Sunstone Hotel Investors, Inc.		16,131		266,645
SunTrust Banks, Inc.		9,581		618,837
Super Micro Computer, Inc. (b)		1,019		21,323
Superior Energy Services, Inc. (b)		3,986		38,385
Superior Industries International, Inc.		646		9,593
Superior Uniform Group, Inc.		236		6,304
Supernus Pharmaceuticals, Inc. (b)		1,238		49,334
SUPERVALU, Inc. (b)		1,002		21,643
Surgery Partners, Inc. (a) (b)		497		6,014
Surmodics, Inc. (b)		350		9,800
Sutherland Asset Management Corp.		455		6,893
SVB Financial Group (b)		1,057		247,095
Switch, Inc. Class A (a)		731		13,297
Sykes Enterprises, Inc. (b)		1,027		32,299
Symantec Corp.		12,303		345,222
Synaptics, Inc. (b)		898		35,866
Synchronoss Technologies, Inc. (b)		1,114		9,959
Synchrony Financial		15,796		609,884
Syndax Pharmaceuticals, Inc. (b)		235		2,059
Syneos Health, Inc. (b)		1,327		57,857
Synergy Pharmaceuticals, Inc. (a) (b)		5,948		13,264
SYNNEX Corp.		711		96,660
Synopsys, Inc. (b)		3,011		256,658
Synovus Financial Corp.		2,404		115,248
Syntel, Inc. (b)		869		19,978
Syros Pharmaceuticals, Inc. (a) (b)		331		3,221
Sysco Corp.		13,192		801,150
Systemax, Inc.		302		10,048
T-Mobile US, Inc. (b)		8,056		511,637
T. Rowe Price Group, Inc.		4,752		498,627
Tableau Software, Inc. Class A (b)		1,289		89,199
Tabula Rasa HealthCare, Inc. (b)		254		7,125
Tactile Systems Technology, Inc. (a) (b)		379		10,983
Tailored Brands, Inc.		1,184		25,847
Take-Two Interactive Software, Inc. (b)		2,248		246,785
Tanger Factory Outlet Centers, Inc. (a)		6,078		161,128
Tapestry, Inc.		5,751		254,367
Targa Resources Corp.		4,253		205,930
Target Corp.		15,155		988,864
Taubman Centers, Inc.		3,867		253,018
Taylor Morrison Home Corp. Class A (b)		1,894		46,346
TCF Financial Corp.		3,175		65,087
TD Ameritrade Holding Corp.		5,095		260,507
Team, Inc. (a) (b)		766		11,413

	Number of Shares		Value
Tech Data Corp. (b)		858	$	84,058
TechTarget, Inc. (b)		508		7,071
Teekay Corp. (a)		1,365		12,722
Teekay Tankers Ltd. Class A (a)		5,096		7,134
TEGNA, Inc.		4,284		60,319
Tejon Ranch Co. (b)		489		10,152
Teladoc, Inc. (a) (b)		1,260		43,911
Teledyne Technologies, Inc. (b)		707		128,073
Teleflex, Inc.		906		225,431
Telenav, Inc. (b)		651		3,581
Telephone & Data Systems, Inc.		1,983		55,127
Teligent, Inc. (b)		963		3,496
Tellurian, Inc. (a) (b)		1,449		14,113
Tempur Sealy International, Inc. (b)		920		57,675
Tenet Healthcare Corp. (a) (b)		2,121		32,154
Tennant Co.		462		33,564
Tenneco, Inc.		1,285		75,224
Teradata Corp. (b)		2,435		93,650
Teradyne, Inc.		3,969		166,182
Terex Corp.		1,564		75,416
TerraForm Power, Inc. Class A (a)		1,138		13,610
Terreno Realty Corp.		3,628		127,198
Territorial Bancorp, Inc.		216		6,668
TESARO, Inc. (a) (b)		747		61,904
Tesla, Inc. (a) (b)		3,647		1,135,493
Tetra Tech, Inc.		1,371		66,014
TETRA Technologies, Inc. (b)		3,237		13,822
Tetraphase Pharmaceuticals, Inc. (b)		999		6,294
Texas Capital Bancshares, Inc. (b)		1,238		110,058
Texas Instruments, Inc.		27,390		2,860,612
Texas Roadhouse, Inc.		1,645		86,659
Textron, Inc.		5,305		300,210
TFS Financial Corp.		1,043		15,582
TG Therapeutics, Inc. (a) (b)		1,269		10,406
TherapeuticsMD, Inc. (a) (b)		4,085		24,673
Thermo Fisher Scientific, Inc.		10,943		2,077,857
Thermon Group Holdings, Inc. (b)		855		20,238
Thor Industries, Inc.		984		148,308
Tier REIT, Inc.		3,230		65,860
Tiffany & Co.		2,168		225,364
Tile Shop Holdings, Inc.		893		8,573
Tilly’s, Inc. Class A		349		5,151
Timberland Bancorp, Inc.		171		4,540
Time Warner, Inc.		21,288		1,947,213
Time, Inc.		2,519		46,476
The Timken Co.		1,389		68,269
TimkenSteel Corp. (a) (b)		737		11,195
Tiptree, Inc.		686		4,082
Titan International, Inc.		1,305		16,808
Titan Machinery, Inc. (b)		491		10,394
Tivity Health, Inc. (b)		951		34,759
TiVo Corp.		2,814		43,898
The TJX Cos., Inc.		17,460		1,334,992

The accompanying notes are an integral part of the portfolio of investments.

255

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Tobira Therapeutics, Inc. (c) (e)		505	$	4,161
Tocagen, Inc. (a) (b)		235		2,409
Toll Brothers, Inc.		2,962		142,235
Tompkins Financial Corp.		385		31,320
Tootsie Roll Industries, Inc. (a)		447		16,271
TopBuild Corp. (b)		892		67,560
Torchmark Corp.		2,326		210,991
The Toro Co.		2,100		136,983
Total System Services, Inc.		3,640		287,888
Tower International, Inc.		521		15,917
Towne Bank		1,339		41,174
Townsquare Media, Inc. Class A (b)		208		1,597
TPG RE Finance Trust, Inc.		288		5,486
TPI Composites, Inc. (b)		168		3,437
Tractor Supply Co.		2,532		189,267
The Trade Desk, Inc. Class A (a) (b)		615		28,124
TransDigm Group, Inc.		976		268,029
TransUnion (b)		3,181		174,828
The Travelers Cos., Inc.		7,563		1,025,845
Trecora Resources (b)		530		7,155
Tredegar Corp.		713		13,690
TreeHouse Foods, Inc. (b)		1,081		53,466
Trevena, Inc. (b)		1,659		2,654
Trex Co., Inc. (b)		708		76,740
TRI Pointe Group, Inc. (b)		3,822		68,490
Tribune Media Co. Class A		1,562		66,338
TriCo Bancshares		539		20,407
TriMas Corp. (b)		1,016		27,178
Trimble, Inc. (b)		5,039		204,785
TriNet Group, Inc. (b)		1,070		47,444
Trinity Industries, Inc.		3,039		113,841
Trinity Place Holdings, Inc. (b)		495		3,440
TripAdvisor, Inc. (b)		2,140		73,744
TriState Capital Holdings, Inc. (b)		593		13,639
Triumph Bancorp, Inc. (b)		411		12,947
Triumph Group, Inc.		1,274		34,653
tronc, Inc. (b)		497		8,742
TrueBlue, Inc. (b)		914		25,135
TrueCar, Inc. (a) (b)		1,639		18,357
Trupanion, Inc. (a) (b)		589		17,240
TrustCo Bank Corp NY		2,457		22,604
Trustmark Corp.		1,589		50,626
TTEC Holdings, Inc.		366		14,732
TTM Technologies, Inc. (b)		2,412		37,796
Tucows, Inc. Class A (a) (b)		236		16,532
Tupperware Brands Corp.		1,015		63,640
Turning Point Brands, Inc.		123		2,599
Tutor Perini Corp. (b)		982		24,894
Twenty-First Century Fox, Inc. Class A		28,599		987,523
Twenty-First Century Fox, Inc. Class B		12,051		411,180
Twilio, Inc. Class A (a) (b)		1,622		38,279

	Number of Shares		Value
Twin Disc, Inc. (b)		230	$	6,111
Twitter, Inc. (b)		13,450		322,934
Two Harbors Investment Corp.		3,445		56,016
Two River Bancorp		200		3,626
Tyler Technologies, Inc. (b)		701		124,112
Tyson Foods, Inc. Class A		5,626		456,100
U.S. Physical Therapy, Inc.		318		22,960
Ubiquiti Networks, Inc. (a) (b)		526		37,357
UDR, Inc.		17,822		686,503
UFP Technologies, Inc. (b)		175		4,865
UGI Corp.		3,462		162,541
Ulta Salon Cosmetics & Fragrance, Inc. (b)		1,175		262,800
The Ultimate Software Group, Inc. (b)		576		125,700
Ultra Clean Holdings, Inc. (b)		862		19,904
Ultragenyx Pharmaceutical, Inc. (b)		1,035		48,003
UMB Financial Corp.		1,109		79,759
UMH Properties, Inc.		745		11,101
Umpqua Holdings Corp.		5,449		113,339
Under Armour, Inc. Class A (a) (b)		3,790		54,690
Under Armour, Inc. Class C (a) (b)		3,832		51,042
Unifi, Inc. (b)		410		14,707
UniFirst Corp.		366		60,353
Union Bankshares Corp.		987		35,700
Union Bankshares, Inc.		109		5,772
Union Pacific Corp.		21,617		2,898,840
Unisys Corp. (a) (b)		1,325		10,799
Unit Corp. (b)		1,358		29,876
United Bankshares, Inc.		2,458		85,415
United Community Banks, Inc.		1,841		51,806
United Community Financial Corp.		1,236		11,285
United Continental Holdings, Inc. (b)		5,420		365,308
United Financial Bancorp, Inc.		1,349		23,796
United Fire Group, Inc.		560		25,525
United Insurance Holdings Corp.		449		7,745
United Natural Foods, Inc. (b)		1,225		60,356
United Parcel Service, Inc. Class B		15,500		1,846,825
United Rentals, Inc. (b)		1,701		292,419
United Security Bancshares/Fresno CA		361		3,971
United States Cellular Corp. (b)		320		12,042
United States Lime & Minerals, Inc.		54		4,163
United States Steel Corp.		3,523		123,974
United Technologies Corp.		16,753		2,137,180
United Therapeutics Corp. (b)		872		129,012
UnitedHealth Group, Inc.		21,495		4,738,788
Uniti Group, Inc. (a) (b)		3,288		58,494
Unitil Corp.		382		17,427
Unity Bancorp, Inc.		210		4,148
Univar, Inc. (b)		2,283		70,682
Universal Corp.		645		33,863
Universal Display Corp.		844		145,717
Universal Electronics, Inc. (b)		372		17,577
Universal Forest Products, Inc.		1,417		53,308

The accompanying notes are an integral part of the portfolio of investments.

256

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Universal Health Realty Income Trust		951	$	71,430
Universal Health Services, Inc. Class B		1,739		197,116
Universal Insurance Holdings, Inc.		831		22,728
Universal Logistics Holdings, Inc.		234		5,558
Univest Corp. of Pennsylvania		685		19,214
Unum Group		4,553		249,914
Upland Software, Inc. (b)		178		3,855
Uranium Energy Corp. (a) (b)		3,566		6,312
Urban Edge Properties		7,452		189,951
Urban Outfitters, Inc. (b)		1,608		56,376
Urstadt Biddle Properties, Inc. Class A		2,005		43,589
US Bancorp		42,770		2,291,617
US Concrete, Inc. (a) (b)		396		33,125
US Ecology, Inc.		574		29,274
US Foods Holding Corp. (b)		4,134		131,999
US Silica Holdings, Inc. (a)		1,970		64,143
USA Technologies, Inc. (b)		1,050		10,238
USANA Health Sciences, Inc. (b)		304		22,511
USG Corp. (b)		1,728		66,632
Utah Medical Products, Inc.		95		7,733
Vail Resorts, Inc.		809		171,888
Valero Energy Corp.		11,994		1,102,369
Valhi, Inc.		725		4,473
Valley National Bancorp		6,255		70,181
Valmont Industries, Inc.		447		74,135
Valvoline, Inc.		4,138		103,698
Vanda Pharmaceuticals, Inc. (b)		1,166		17,723
Varex Imaging Corp. (b)		984		39,527
Varian Medical Systems, Inc. (b)		1,849		205,516
Varonis Systems, Inc. (b)		501		24,324
VASCO Data Security International, Inc. (b)		754		10,481
Vector Group Ltd.		2,335		52,257
Vectren Corp.		1,691		109,949
Vectrus, Inc. (b)		290		8,947
Veeco Instruments, Inc. (b)		1,236		18,355
Veeva Systems, Inc. Class A (b)		2,199		121,561
Ventas, Inc.		23,580		1,415,036
Vera Bradley, Inc. (b)		546		6,650
Veracyte, Inc. (b)		609		3,977
VEREIT, Inc.		65,684		511,678
VeriFone Systems, Inc. (b)		2,607		46,170
Verint Systems, Inc. (b)		1,632		68,299
VeriSign, Inc. (a) (b)		1,710		195,692
Verisk Analytics, Inc. (b)		3,039		291,744
Veritex Holdings, Inc. (b)		380		10,484
Veritiv Corp. (b)		300		8,670
Verizon Communications, Inc.		91,572		4,846,906
Versartis, Inc. (b)		832		1,830
Verso Corp. Class A (b)		901		15,831
Versum Materials, Inc.		2,213		83,762
Vertex Pharmaceuticals, Inc. (b)		6,901		1,034,184

	Number of Shares		Value
VF Corp.		6,550	$	484,700
Viacom, Inc. Class A (a)		234		8,167
Viacom, Inc. Class B		7,075		217,981
Viad Corp.		533		29,528
ViaSat, Inc. (a) (b)		1,312		98,203
Viavi Solutions, Inc. (b)		5,440		47,546
Vicor Corp. (b)		380		7,942
ViewRay, Inc. (a) (b)		734		6,797
Village Super Market, Inc. Class A		216		4,953
VirnetX Holding Corp. (a) (b)		1,336		4,943
Virtu Financial, Inc. Class A (a)		617		11,291
Virtus Investment Partners, Inc.		175		20,134
Virtusa Corp. (b)		701		30,900
Visa, Inc. Class A		40,792		4,651,104
Vishay Intertechnology, Inc.		3,229		67,002
Vishay Precision Group, Inc. (b)		188		4,728
Vista Outdoor, Inc. (b)		1,272		18,533
Visteon Corp. (b)		635		79,464
Vistra Energy Corp. (b)		4,770		87,386
Vitamin Shoppe, Inc. (a) (b)		565		2,486
Viveve Medical, Inc. (a) (b)		401		1,993
Vivint Solar, Inc. (a) (b)		686		2,778
VMware, Inc. Class A (a) (b)		1,944		243,622
Vocera Communications, Inc. (b)		739		22,333
Vonage Holdings Corp. (b)		5,097		51,836
Vornado Realty Trust		11,552		903,135
VOXX International Corp. (b)		531		2,974
Voya Financial, Inc.		3,595		177,845
Voyager Therapeutics, Inc. (a) (b)		354		5,876
VSE Corp.		214		10,364
Vulcan Materials Co.		2,653		340,566
W&T Offshore, Inc. (b)		2,500		8,275
W.R. Berkley Corp.		1,899		136,063
W.R. Grace & Co.		1,357		95,166
W.W. Grainger, Inc.		1,032		243,810
Wabash National Corp.		1,553		33,700
WABCO Holdings, Inc. (b)		1,008		144,648
Wabtec Corp. (a)		1,738		141,525
Waddell & Reed Financial, Inc. Class A (a)		2,112		47,182
WageWorks, Inc. (b)		973		60,326
Wal-Mart Stores, Inc.		32,196		3,179,355
Walgreens Boots Alliance, Inc.		19,590		1,422,626
Walker & Dunlop, Inc. (b)		724		34,390
The Walt Disney Co.		34,610		3,720,921
Warrior Met Coal, Inc. (a)		752		18,913
Washington Federal, Inc.		2,153		73,740
Washington Prime Group, Inc.		13,359		95,116
Washington REIT		5,527		172,000
Washington Trust Bancorp, Inc.		398		21,194
WashingtonFirst Bankshares, Inc.		255		8,736
Waste Management, Inc.		11,915		1,028,264
Waters Corp. (b)		1,532		295,967

The accompanying notes are an integral part of the portfolio of investments.

257

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Waterstone Financial, Inc.		673	$	11,475
Watsco, Inc.		612		104,064
Watts Water Technologies, Inc. Class A		655		49,747
Wayfair, Inc. Class A (a) (b)		761		61,085
WD-40 Co.		360		42,480
Web.com Group, Inc. (b)		1,004		21,887
Webster Financial Corp.		1,825		102,492
WEC Energy Group, Inc.		6,363		422,694
Weight Watchers International, Inc. (a) (b)		731		32,369
Weingarten Realty Investors		8,138		267,496
Weis Markets, Inc.		254		10,513
Welbilt, Inc. (b)		2,563		60,256
WellCare Health Plans, Inc. (b)		891		179,189
Wells Fargo & Co.		99,232		6,020,405
Welltower, Inc.		24,396		1,555,733
The Wendy’s Co.		3,626		59,539
Werner Enterprises, Inc.		1,240		47,926
WesBanco, Inc.		977		39,715
Wesco Aircraft Holdings, Inc. (b)		1,463		10,826
WESCO International, Inc. (b)		932		63,516
West Bancorporation, Inc.		436		10,965
West Pharmaceutical Services, Inc.		1,488		146,821
Westamerica Bancorp. (a)		667		39,720
Westar Energy, Inc.		2,836		149,741
Western Alliance Bancorp (b)		1,930		109,277
Western Asset Mortgage Capital Corp.		1,060		10,547
Western Digital Corp.		5,968		474,635
Western New England Bancorp, Inc.		748		8,153
The Western Union Co.		9,254		175,919
Westlake Chemical Corp.		717		76,382
Westmoreland Coal Co. (b)		507		613
WestRock Co.		5,060		319,843
Westwood Holdings Group, Inc.		220		14,566
WEX, Inc. (b)		779		110,018
Weyco Group, Inc.		170		5,052
Weyerhaeuser Co.		14,994		528,688
WGL Holdings, Inc.		1,270		109,017
Whirlpool Corp.		1,414		238,457
Whitestone REIT (a)		933		13,445
Whiting Petroleum Corp. (b)		1,860		49,253
WideOpenWest, Inc. (a) (b)		540		5,708
WildHorse Resource Development Corp. (a) (b)		1,118		20,582
Willbros Group, Inc. (b)		1,042		1,480
Willdan Group, Inc. (b)		199		4,764
William Lyon Homes Class A (b)		640		18,611
The Williams Cos., Inc.		16,701		509,213
Williams-Sonoma, Inc. (a)		1,703		88,045
Willis Lease Finance Corp. (b)		86		2,147
Windstream Holdings, Inc.		4,988		9,228
Wingstop, Inc.		726		28,299

	Number of Shares		Value
Winmark Corp.		51	$	6,599
Winnebago Industries, Inc.		735		40,866
Wintrust Financial Corp.		1,348		111,035
WisdomTree Investments, Inc.		3,011		37,788
WMIH Corp. (b)		5,131		4,357
Wolverine World Wide, Inc.		2,261		72,081
Woodward, Inc.		1,303		99,732
Workday, Inc. Class A (b)		2,684		273,070
Workiva, Inc. (b)		656		14,038
World Acceptance Corp. (a) (b)		154		12,431
World Fuel Services Corp.		1,287		36,216
World Wrestling Entertainment, Inc. Class A (a)		1,010		30,886
Worldpay, Inc. Class A (b)		3,224		237,125
Worthington Industries, Inc.		1,042		45,911
WP Carey, Inc.		7,097		488,983
WPX Energy, Inc. (b)		7,880		110,872
WSFS Financial Corp.		794		37,993
Wyndham Worldwide Corp.		1,999		231,624
Wynn Resorts Ltd.		1,606		270,756
Xcel Energy, Inc.		10,235		492,406
Xcerra Corp. (b)		1,389		13,598
Xencor, Inc. (b)		1,003		21,986
Xenia Hotels & Resorts, Inc.		7,466		161,191
Xenith Bankshares, Inc. (b)		132		4,466
Xerox Corp.		4,572		133,274
Xilinx, Inc.		5,007		337,572
XO Group, Inc. (b)		645		11,907
Xperi Corp.		1,277		31,159
XPO Logistics, Inc. (b)		2,384		218,351
Xylem, Inc.		3,612		246,338
Yelp, Inc. (b)		2,030		85,179
Yext, Inc. (b)		716		8,613
The York Water Co.		338		11,458
YRC Worldwide, Inc. (b)		824		11,849
Yum China Holdings, Inc.		12,811		512,696
Yum! Brands, Inc.		9,253		755,137
ZAGG, Inc. (b)		731		13,487
Zayo Group Holdings, Inc. (b)		3,693		135,902
Zebra Technologies Corp. Class A (b)		1,060		110,028
Zendesk, Inc. (b)		2,511		84,972
Zillow Group, Inc. Class A (b)		1,088		44,325
Zillow Group, Inc. Class C (a) (b)		2,144		87,732
Zimmer Biomet Holdings, Inc.		4,060		489,920
Zions Bancorp		3,966		201,592
ZIOPHARM Oncology, Inc. (a) (b)		3,446		14,266
Zix Corp. (b)		1,174		5,142
Zoe’s Kitchen, Inc. (b)		446		7,457
Zoetis, Inc.		9,924		714,925
Zogenix, Inc. (b)		789		31,599
Zumiez, Inc. (b)		443		9,225

The accompanying notes are an integral part of the portfolio of investments.

258

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Zynerba Pharmaceuticals, Inc. (a) (b)		295	$	3,693
Zynga, Inc. Class A (b)		15,163		60,652
				649,058,101
TOTAL COMMON STOCK (Cost $936,558,436)				1,102,062,652
PREFERRED STOCK — 0.4%
Brazil — 0.2%
Banco Bradesco SA (b)		43,016		441,243
Braskem SA 2.700% BRL		2,300		30,043
Centrais Eletricas Brasileiras SA BRL (b)		3,400		23,286
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A (b)		2,200		51,963
Cia Energetica de Minas Gerais 1.480% BRL		10,800		22,312
Gerdau SA 0.170% BRL		14,400		54,034
Itau Unibanco Holding SA 0.410%		45,459		588,737
Itausa — Investimentos Itau SA 0.530% BRL		55,616		180,921
Lojas Americanas SA (b)		10,300		52,785
Petroleo Brasileiro SA BRL (b)		55,083		269,412
Telefonica Brasil SA 2.280% BRL		6,300		93,075
				1,807,811
Chile — 0.0%
Embotelladora Andina SA 2.020% CLP		4,238		21,142
Sociedad Quimica y Minera de Chile SA 1.910% CLP		1,384		81,974
				103,116
Colombia — 0.0%
Bancolombia SA 2.940% COP		6,463		64,329
Grupo Aval Acciones y Valores SA 4.390% COP		51,974		22,342
Grupo de Inversiones Suramericana SA 1.200% COP		1,868		24,418
				111,089
Germany — 0.1%
Bayerische Motoren Werke AG 4.630%		936		83,579
Draegerwerk AG & Co. KGaA 0.190% EUR		106		9,192
Fuchs Petrolub SE 1.770%		1,363		72,083
Henkel AG & Co. KGaA 1.360%		3,092		408,266
Jungheinrich AG 1.140% EUR		626		29,542
Porsche Automobil Holding SE 1.720%		2,623		219,540
Sartorius AG 0.590% EUR		456		43,516
Schaeffler AG 3.630%		3,338		58,924

	Number of Shares		Value
Sixt SE 3.200% EUR		238	$	15,110
STO SE & Co. KGaA 0.240% EUR		38		5,730
Volkswagen AG 1.420%		3,275		652,674
				1,598,156
Italy — 0.0%
Buzzi Unicem SpA 0.750% EUR		538		8,215
Danieli & C Officine Meccaniche SpA 0.830% EUR		543		9,029
Intesa Sanpaolo SpA 4.05%		15,072		48,061
Telecom Italia SpA — RSP 4.36%		105,456		75,324
				140,629
Republic of Korea — 0.1%
Amorepacific Corp. 1.000% KRW		120		18,600
Hyundai Motor Co. 3.940% KRW		547		52,134
Hyundai Motor Co. 4.290% KRW		351		30,726
LG Chem Ltd. 2.070% KRW		111		25,817
LG Household & Health Care Ltd. 1.190% KRW		29		18,895
Samsung Electronics Co. Ltd. 1.280% KRW		246		479,556
				625,728
Russia — 0.0%
Surgutneftegas OJSC 2.020% RUB		99,800		48,586
Transneft PJSC 4.410% RUB		7		21,623
				70,209
TOTAL PREFERRED STOCK (Cost $3,658,839)				4,456,738
TOTAL EQUITIES (Cost $940,217,275)				1,106,519,390
MUTUAL FUNDS — 2.0%
United Kingdom — 0.0%
F&C Commercial Property Trust Ltd.		26,565		48,709
MedicX Fund Ltd.		17,598		19,958
P2P Global Investments PLC		847		9,352
The Picton Property Income Ltd.		21,441		24,247
UK Commercial Property Trust Ltd.		26,817		32,065
				134,331
United States — 2.0%
iShares MSCI India ETF		184,500		6,654,915
State Street Navigator Securities Lending Prime Portfolio (f)		16,337,661		16,337,661
				22,992,576
TOTAL MUTUAL FUNDS (Cost $21,889,729)				23,126,907

The accompanying notes are an integral part of the portfolio of investments.

259

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
WARRANTS — 0.0%
Spain — 0.0%
Abengoa SA, B Shares Expires 3/31/25 (a) (b) (c) (e)		11,608	$	139
TOTAL WARRANTS (Cost $0)				139
RIGHTS — 0.0%
Spain — 0.0%
Faes Farma SA, Expires 12/29/17 (b)		3,647		451
Repsol SA, Expires 1/10/18 (b)		20,915		9,511
				9,962
TOTAL RIGHTS (Cost $9,969)				9,962
TOTAL LONG-TERM INVESTMENTS (Cost $962,116,973)				1,129,656,398
	Principal Amount
SHORT-TERM INVESTMENTS — 1.5%
Repurchase Agreement — 1.4%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/29/17, 0.540%, due 1/02/18 (g)	$	16,217,483		16,217,483
U.S. Treasury Bill — 0.1%
U.S. Treasury Bill (h) 0.000% 2/01/18		610,000		609,357
TOTAL SHORT-TERM INVESTMENTS (Cost $16,826,920)				16,826,840
TOTAL INVESTMENTS — 101.3% (Cost $978,943,893) (i)				1,146,483,238
Other Assets/(Liabilities) — (1.3)%				(14,805,216	)
NET ASSETS — 100.0%			$	1,131,678,022

Abbreviation Legend

ADR American Depositary Receipt

ETF Exchange-Traded Fund

GDR Global Depositary Receipt

REIT Real Estate Investment Trust

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2017, was $15,775,674 or 1.39% 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 December 31, 2017, these securities amounted to a value of $63,416 or 0.01% of net assets.

(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 December 31, 2017, these securities amounted to a value of $3,944,103 or 0.35% of net assets.

(e) Investment was valued using significant unobservable inputs.

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

(g) Maturity value of $16,218,456. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 2/15/24, and an aggregate market value, including accrued interest, of $16,558,208.

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

(i) See Note 3 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the portfolio of investments.

260

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

The Fund had the following open Forward contracts at December 31, 2017:

Forward Contracts

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Deliver
JPY	2,630,318	Bank of New York Mellon	3/22/18	$	23,524	$	88
AUD	156,940	BNP Paribas SA	3/21/18		120,299		(2,135	)
CAD	252,943	Morgan Stanley & Co. LLC	3/21/18		196,866		(4,569	)
CHF	5,967	Morgan Stanley & Co. LLC	3/21/18		6,095		(62	)
EUR	76,902	Morgan Stanley & Co. LLC	3/21/18		91,445		(1,253	)
					294,406		(5,884	)
GBP	65,894	Societe Generale	3/21/18		88,742		(452	)
				$	526,971	$	(8,383	)

The Fund had the following open Futures contracts at December 31, 2017:

Futures

	Expiration Date	Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Long
Topix Index	3/08/18		1	$	158,921	$	2,339
ASX SPI 200 Index	3/15/18		1		116,494		933
S&P TSX 60 Index	3/15/18		4		607,491		1,833
Euro Stoxx 50 Index	3/16/18		8		341,701		(6,415	)
FTSE 100 Index	3/16/18		1		99,542		3,583
Mini MSCI EAFE Index	3/16/18		46		4,646,798		57,852
Mini MSCI Emerging Market Index	3/16/18		28		1,566,611		62,569
Russell 2000 E Mini Index	3/16/18		22		1,676,911		13,239
S&P 500 E Mini Index	3/16/18		65		8,655,431		41,569
S&P Midcap 400 E Mini Index	3/16/18		17		3,222,250		11,830
						$	189,332

Currency Legend

AUD Australian Dollar

CAD Canadian Dollar

CHF Swiss Franc

EUR Euro

GBP British Pound

JPY Japanese Yen

The accompanying notes are an integral part of the portfolio of investments.

261

Notes to Portfolio of Investments (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 Trust consists of the following series (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 BlackRock Global Allocation Fund (“BlackRock Global Allocation 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 Equity Opportunities Fund (“Equity Opportunities Fund”)

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

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

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

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

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

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

MM S&P^® Mid Cap Index Fund (“S&P Mid Cap Index Fund”)

MM Russell 2000^® Small Cap Index Fund (“Russell 2000 Small Cap Index Fund”)

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

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

MM MSCI EAFE^® International Index Fund (“MSCI EAFE International Index Fund”)

MassMutual Select Overseas Fund (“Overseas Fund”)

MassMutual RetireSMART^SM Conservative Fund (“MM RetireSMART Conservative Fund”)

MassMutual RetireSMART^SM Moderate Fund (“MM RetireSMART Moderate Fund”)

MassMutual RetireSMART^SM Moderate Growth Fund (“MM RetireSMART Moderate Growth Fund”)

MassMutual RetireSMART^SM Growth Fund (“MM RetireSMART Growth Fund”)

MassMutual RetireSMART^SM In Retirement Fund (“MM RetireSMART In Retirement Fund”)

MassMutual RetireSMART^SM 2010 Fund (“MM RetireSMART 2010 Fund”)

MassMutual RetireSMART^SM 2015 Fund (“MM RetireSMART 2015 Fund”)

MassMutual RetireSMART^SM 2020 Fund (“MM RetireSMART 2020 Fund”)

MassMutual RetireSMART^SM 2025 Fund (“MM RetireSMART 2025 Fund”)

MassMutual RetireSMART^SM 2030 Fund (“MM RetireSMART 2030 Fund”)

MassMutual RetireSMART^SM 2035 Fund (“MM RetireSMART 2035 Fund”)

MassMutual RetireSMART^SM 2040 Fund (“MM RetireSMART 2040 Fund”)

MassMutual RetireSMART^SM 2045 Fund (“MM RetireSMART 2045 Fund”)

MassMutual RetireSMART^SM 2050 Fund (“MM RetireSMART 2050 Fund”)

MassMutual RetireSMART^SM 2055 Fund (“MM RetireSMART 2055 Fund”)

MassMutual RetireSMART^SM 2060 Fund (“MM RetireSMART 2060 Fund”)

MM Select Bond and Income Asset Fund (“Bond and Income Asset Fund”)

MM Select Equity Asset Fund (“Equity Asset 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.

262

Notes to Portfolio of Investments (Unaudited) (Continued)

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Basis of Consolidation

The accompanying portfolio of investments for the BlackRock Global Allocation Fund includes the accounts of MassMutual Select Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the BlackRock Global Allocation 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 BlackRock Global Allocation Fund to hold these commodity-related investments and still satisfy regulated investment company tax requirements. The BlackRock Global Allocation Fund may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions have been eliminated. As of December 31, 2017, the BlackRock Global Allocation Fund’s net assets were approximately $606,065,523, of which approximately $24,455,556 or approximately 4.04%, represents the Subsidiary’s net assets.

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

263

Notes to Portfolio of Investments (Unaudited) (Continued)

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 its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs.

Market approach: (i)    recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.

Income approach: (i)    future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.

Cost approach: (i)    audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

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

264

Notes to Portfolio of Investments (Unaudited) (Continued)

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

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.

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.

265

Notes to Portfolio of Investments (Unaudited) (Continued)

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 Growth Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2017. The MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, MM RetireSMART Growth Fund, 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 characterized all investments at Level 1, as of December 31, 2017. The Bond and Income Asset Fund characterized all investments at Level 2, as of as of December 31, 2017. 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 December 31, 2017, for the remaining Funds’ investments:

	Level 1			Level 2		Level 3			Total
Total Return Bond Fund
Asset Investments
Corporate Debt	$	-		$	246,665,115	$	-		$	246,665,115
Municipal Obligations		-			19,458,468		-			19,458,468
Non-U.S. Government Agency Obligations		-			128,462,572		-			128,462,572
U.S. Government Agency Obligations and Instrumentalities		-			278,526,339		-			278,526,339
U.S. Treasury Obligations		-			197,819,618		-			197,819,618
Short-Term Investments		-			121,161,958		-			121,161,958
Total Investments	$	-		$	992,094,070	$	-		$	992,094,070
Asset Derivatives
Forward Contracts	$	-		$	228,326	$	-		$	228,326
Futures Contracts		129,022			-		-			129,022
Total	$	129,022		$	228,326	$	-		$	357,348
Liability Derivatives
Futures Contracts	$	(336,873	)	$	-	$	-		$	(336,873	)
Strategic Bond Fund
Asset Investments
Preferred Stock	$	127,782		$	-	$	-		$	127,782
Bank Loans		-			29,925,127		-			29,925,127
Corporate Debt		-			137,299,191		-			137,299,191
Municipal Obligations		-			193,866		-			193,866
Non-U.S. Government Agency Obligations		-			69,168,902		681,209	**		69,850,111
Sovereign Debt Obligations		-			30,852,326		-			30,852,326
U.S. Government Agency Obligations and Instrumentalities		-			137,425,549		-			137,425,549
U.S. Treasury Obligations		-			127,025,222		-			127,025,222
Purchased Options		304,625			-		-			304,625
Short-Term Investments		-			55,097,553		-			55,097,553
Total Investments	$	432,407		$	586,987,736	$	681,209		$	588,101,352
Asset Derivatives
Forward Contracts	$	-		$	154,927	$	-		$	154,927
Futures Contracts		771,323			-		-			771,323
Swap Agreements		-			721,106		-			721,106
Total	$	771,323		$	876,033	$	-		$	1,647,356

266

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3		Total
Strategic Bond Fund (Continued)
Liability Derivatives
Forward Contracts	$	-		$	(723,855	)	$	-	$	(723,855	)
Futures Contracts		(894,011	)		-			-		(894,011	)
Swap Agreements		-			(419,535	)		-		(419,535	)
Total	$	(894,011	)	$	(1,143,390	)	$	-	$	(2,037,401	)
BlackRock Global Allocation Fund
Asset Investments
Common Stock*
Australia	$	-		$	47,082		$	-	$	47,082
Belgium		-			2,443,642			-		2,443,642
Bermuda		1,211,160			915,037			-		2,126,197
Brazil		1,203,463			18,819			-		1,222,282
Canada		2,722,331			-			-		2,722,331
Cayman Islands		1,289,294			172,330			-		1,461,624
China		-			55,571			-		55,571
Czech Republic		-			249,975			-		249,975
Denmark		-			22,060			-		22,060
Finland		-			1,452,830			-		1,452,830
France		53,013			16,285,675			-		16,338,688
Germany		-			11,385,139			-		11,385,139
Hong Kong		-			4,052,113			-		4,052,113
India		-			8,829,791			-		8,829,791
Indonesia		-			619,651			-		619,651
Ireland		320,194			-			-		320,194
Israel		16,061			-			-		16,061
Italy		-			6,135,732			-		6,135,732
Japan		-			50,639,039			-		50,639,039
Liberia		56,062			-			-		56,062
Mexico		19,204			-			-		19,204
Netherlands		12,687			8,296,664			-		8,309,351
Netherlands Antilles		904,374			-			-		904,374
Norway		-			8,652			-		8,652
Panama		21,769			-			-		21,769
Poland		-			13,892			-		13,892
Portugal		-			596,985			-		596,985
Republic of Korea		-			3,853,840			-		3,853,840
Singapore		771			1,573,644			-		1,574,415
South Africa		-			16,453			-		16,453
Spain		-			2,375,114			-		2,375,114
Sweden		-			1,096,629			-		1,096,629
Switzerland		1,515,222			7,484,601			-		8,999,823
Taiwan		-			3,768,709			-		3,768,709
Thailand		797,434			349,680			-		1,147,114
Turkey		-			13,080			-		13,080
United Kingdom		6,389,513			16,447,286			-		22,836,799
United States		169,217,413			-			27,649		169,245,062
Preferred Stock*
Brazil		-			11,491			-		11,491
Republic of Korea		-			13,646			-		13,646
United States		4,902,446			1,733,559			5,808,075		12,444,080

267

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
BlackRock Global Allocation Fund (Continued)
Asset Investments (Continued)
Bank Loans	$	-		$	2,300,504		$	-		$	2,300,504
Corporate Debt		-			24,158,935			2,292,862			26,451,797
Pass-Through Securities		-			-			525,696			525,696
Sovereign Debt Obligations		-			57,084,627			-			57,084,627
U.S. Treasury Obligations		-			91,421,534			-			91,421,534
Mutual Funds		23,001,660			-			-			23,001,660
Purchased Options		-			2,400,189			-			2,400,189
Warrants		-			4,064			-			4,064
Short-Term Investments		-			53,985,336			-			53,985,336
Total Investments	$	213,654,071		$	382,333,600		$	8,654,282		$	604,641,953
Asset Derivatives
Forward Contracts	$	-		$	488,249		$	-		$	488,249
Futures Contracts		8,618			-			-			8,618
Swap Agreements		-			1,746,213			-			1,746,213
Total	$	8,618		$	2,234,462		$	-		$	2,243,080
Liability Derivatives
Forward Contracts	$	-		$	(99,651	)	$	-		$	(99,651	)
Futures Contracts		(11,204	)		-			-			(11,204	)
Swap Agreements		-			(201,118	)		-			(201,118	)
Written Options		-			(560,796	)		-			(560,796	)
Total	$	(11,204	)	$	(861,565	)	$	-		$	(872,769	)
Diversified Value Fund
Asset Investments
Common Stock	$	240,566,473		$	4,113,594	*	$	-		$	244,680,067
Preferred Stock		628,215			-			-			628,215
Mutual Funds		2,848,389			-			-			2,848,389
Short-Term Investments		-			2,882,461			-			2,882,461
Total Investments	$	244,043,077		$	6,996,055		$	-		$	251,039,132
Fundamental Value Fund
Asset Investments
Common Stock	$	1,211,150,834		$	20,698,623	*	$	-		$	1,231,849,457
Short-Term Investments		-			33,312,698			-			33,312,698
Total Investments	$	1,211,150,834		$	54,011,321		$	-		$	1,265,162,155
Large Cap Value Fund
Asset Investments
Common Stock	$	189,406,415		$	822,012		$	-		$	190,228,427
Rights		-			-			-	+**		-
Short-Term Investments		-			7,944,978			-			7,944,978
Total Investments	$	189,406,415		$	8,766,990		$	-		$	198,173,405
S&P 500 Index Fund
Asset Investments
Common Stock	$	3,171,050,410		$	-		$	-		$	3,171,050,410
Short-Term Investments		-			15,175,118			-			15,175,118
Total Investments	$	3,171,050,410		$	15,175,118		$	-		$	3,186,225,528

268

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
S&P 500 Index Fund (Continued)
Liability Derivatives
Futures Contracts	$	(105,149	)	$	-		$	-		$	(105,149	)
Equity Opportunities Fund
Asset Investments
Common Stock	$	658,398,533		$	30,904,740	*	$	-		$	689,303,273
Preferred Stock		1,645,634			-			-			1,645,634
Mutual Funds		1,006			-			-			1,006
Short-Term Investments		-			19,166,647			-			19,166,647
Total Investments	$	660,045,173		$	50,071,387		$	-		$	710,116,560
Fundamental Growth Fund
Asset Investments
Common Stock	$	149,046,815		$	615,319	*	$	-		$	149,662,134
Mutual Funds		4,724,422			-			-			4,724,422
Short-Term Investments		-			161,938			-			161,938
Total Investments	$	153,771,237		$	777,257		$	-		$	154,548,494
Blue Chip Growth Fund
Asset Investments
Common Stock	$	2,307,706,738		$	66,688,914	*	$	-		$	2,374,395,652
Mutual Funds		1,027			-			-			1,027
Short-Term Investments		-			12,654,499			-			12,654,499
Total Investments	$	2,307,707,765		$	79,343,413		$	-		$	2,387,051,178
Mid-Cap Value Fund
Asset Investments
Common Stock	$	91,541,475		$	841,949	*	$	-		$	92,383,424
Mutual Funds		1,341,172			-			-			1,341,172
Short-Term Investments		-			2,929,290			-			2,929,290
Total Investments	$	92,882,647		$	3,771,239		$	-		$	96,653,886
Asset Derivatives
Forward Contracts	$	-		$	901		$	-		$	901
Liability Derivatives
Forward Contracts	$	-		$	(35,208	)	$	-		$	(35,208	)
Small Cap Value Equity Fund
Asset Investments
Common Stock	$	178,639,928		$	4,298,009	*	$	-	+**	$	182,937,937
Short-Term Investments		-			5,474,668			-			5,474,668
Total Investments	$	178,639,928		$	9,772,677		$	-		$	188,412,605
Small Company Value Fund
Asset Investments
Common Stock	$	243,161,601		$	-		$	-	+**	$	243,161,601
Warrants		15,132			-			-			15,132

269

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1		Level 2		Level 3			Total
Small Company Value Fund (Continued)
Asset Investments (Continued)
Mutual Funds	$	20,866,782	$	-	$	-		$	20,866,782
Short-Term Investments		-		5,941,532		-			5,941,532
Total Investments	$	264,043,515	$	5,941,532	$	-		$	269,985,047
Asset Derivatives
Futures Contracts	$	18,138	$	-	$	-		$	18,138
S&P Mid Cap Index Fund
Asset Investments
Common Stock	$	486,668,358	$	-	$	-		$	486,668,358
Mutual Funds		27,395,117		-		-			27,395,117
Short-Term Investments		-		5,661,029		-			5,661,029
Total Investments	$	514,063,475	$	5,661,029	$	-		$	519,724,504
Asset Derivatives
Futures Contracts	$	32,296	$	-	$	-		$	32,296
Russell 2000 Small Cap Index Fund
Asset Investments
Common Stock	$	288,154,808	$	13,796	$	-	+**	$	288,168,604
Rights		-		-		55,694	**		55,694
Mutual Funds		37,626,157		-		-			37,626,157
Short-Term Investments		-		7,863,981		-			7,863,981
Total Investments	$	325,780,965	$	7,877,777	$	55,694		$	333,714,436
Asset Derivatives
Futures Contracts	$	62,169	$	-	$	-		$	62,169
Mid Cap Growth Fund
Asset Investments
Common Stock	$	5,418,741,620	$	4,863,296	$	6,346,982	**	$	5,429,951,898
Preferred Stock		-		-		15,986,925	**		15,986,925
Mutual Funds		444,074,160		-		-			444,074,160
Short-Term Investments		-		149,172,041		-			149,172,041
Total Investments	$	5,862,815,780	$	154,035,337	$	22,333,907		$	6,039,185,024
Small Cap Growth Equity Fund
Asset Investments
Common Stock	$	541,873,265	$	-	$	760,075	**	$	542,633,340
Preferred Stock		-		-		2,296,996	**		2,296,996
Rights		-		-		38,235	**		38,235
Mutual Funds		83,788,651		-		-			83,788,651
Short-Term Investments		-		7,770,853		-			7,770,853
Total Investments	$	625,661,916	$	7,770,853	$	3,095,306		$	636,528,075
MSCI EAFE International Index Fund
Asset Investments
Common Stock*
Australia	$	-	$	15,682,739	$	-		$	15,682,739
Austria		-		587,342		-			587,342

270

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
MSCI EAFE International Index Fund (Continued)
Asset Investments (Continued)
Common Stock* (Continued)
Belgium	$	-		$	2,533,700		$	-		$	2,533,700
Bermuda		-			854,450			-			854,450
Cayman Islands		233,698			1,462,257			-			1,695,955
Denmark		-			4,196,369			-			4,196,369
Finland		-			2,144,647			-			2,144,647
France		326,299			22,584,863			-			22,911,162
Germany		-			21,246,374			-			21,246,374
Hong Kong		-			5,665,724			-			5,665,724
Ireland		84,648			1,261,518			-			1,346,166
Israel		477,770			599,682			-			1,077,452
Italy		-			4,362,323			-			4,362,323
Japan		-			55,311,112			-			55,311,112
Luxembourg		-			749,609			-			749,609
Mauritius		-			32,483			-			32,483
Netherlands		1,101,346			8,979,225			-			10,080,571
New Zealand		-			395,811			-			395,811
Norway		-			1,513,621			-			1,513,621
Papua New Guinea		-			130,401			-			130,401
Portugal		-			345,485			-	+**		345,485
Singapore		-			3,025,656			-			3,025,656
Spain		-			7,363,925			-			7,363,925
Sweden		-			6,106,619			-			6,106,619
Switzerland		-			18,616,299			-			18,616,299
United Kingdom		-			40,587,667			-			40,587,667
Preferred Stock*
Germany		-			1,293,934			-			1,293,934
Italy		-			103,717			-			103,717
Mutual Funds		3,278,614			-			-			3,278,614
Rights		8,433			-			-			8,433
Short-Term Investments		-			4,523,617			-			4,523,617
Total Investments	$	5,510,808		$	232,261,169		$	-		$	237,771,977
Asset Derivatives
Forwards Contracts	$	-		$	29,425		$	-		$	29,425
Futures Contracts		67,763			-			-			67,763
Total	$	67,763		$	29,425		$	-		$	97,188
Liability Derivatives
Forwards Contracts	$	-		$	(4,820	)	$	-		$	(4,820	)
Futures Contracts		(68,183	)		-			-			(68,183	)
Total	$	(68,183	)	$	(4,820	)	$	-		$	(73,003	)
Overseas Fund
Asset Investments
Common Stock*
Australia	$	-		$	9,358,832		$	-		$	9,358,832
Belgium		-			4,260,705			-			4,260,705
Brazil		3,427,398			-			-			3,427,398
Canada		13,120,562			-			-			13,120,562

271

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1		Level 2			Level 3		Total
Overseas Fund (Continued)
Asset Investments (Continued)
Common Stock* (Continued)
Cayman Islands	$	7,774,163	$	-		$	-	$	7,774,163
Denmark		-		9,629,583			-		9,629,583
France		-		91,875,907			-		91,875,907
Germany		-		75,804,776			-		75,804,776
Hong Kong		-		10,541,001			-		10,541,001
India		2,501,124		14,360,446			-		16,861,570
Indonesia		-		3,274,142			-		3,274,142
Ireland		4,979,099		-			-		4,979,099
Israel		4,182,207		-			-		4,182,207
Italy		-		17,817,749			-		17,817,749
Japan		-		65,343,398			-		65,343,398
Mexico		3,300,856		-			-		3,300,856
Netherlands		-		41,149,958			-		41,149,958
Republic of Korea		-		249,462			-		249,462
Singapore		-		5,728,780			-		5,728,780
Spain		-		6,179,413			-		6,179,413
Sweden		-		16,294,653			-		16,294,653
Switzerland		-		72,071,124			-		72,071,124
Taiwan		7,057,026		368,835			-		7,425,861
United Kingdom		7,101,976		103,109,651			-		110,211,627
United States		5,818,908		-			-		5,818,908
Mutual Funds		1,681,164		-			-		1,681,164
Short-Term Investments		-		15,603,085			-		15,603,085
Total Investments	$	60,944,483	$	563,021,500		$	-	$	623,965,983
Asset Derivatives
Forward Contracts	$	-	$	456,662		$	-	$	456,662
Liability Derivatives
Forward Contracts	$	-	$	(426,382	)	$	-	$	(426,382	)
Equity Asset Fund
Asset Investments
Common Stock*
Australia	$	51,869	$	24,274,204		$	-	$	24,326,073
Austria		-		1,326,198			-		1,326,198
Bahamas		2,518		-			-		2,518
Belgium		-		3,998,663			-		3,998,663
Bermuda		3,735,684		2,357,593			-		6,093,277
Brazil		37,235		3,358,597			-		3,395,832
British Virgin Islands		10,882		-			-		10,882
Canada		30,736,622		20,713			-		30,757,335
Cayman Islands		6,399,736		9,732,282			-		16,132,018
Chile		845,039		-			-		845,039
China		-		7,212,978			-		7,212,978
Colombia		-		207,894			-		207,894
Cyprus		-		8,056			-		8,056
Czech Republic		-		129,994			-		129,994
Denmark		-		5,392,887			-		5,392,887
Egypt		-		83,806			-		83,806

272

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1		Level 2		Level 3			Total
Equity Asset Fund (Continued)
Asset Investments (Continued)
Common Stock* (Continued)
Finland	$	-	$	3,099,083	$	-		$	3,099,083
France		-		29,983,356		-			29,983,356
Germany		-		28,940,048		-			28,940,048
Greece		-		258,631		-			258,631
Hong Kong		-		13,121,652		-			13,121,652
Hungary		-		249,610		-			249,610
Indonesia		-		1,713,525		-			1,713,525
Ireland		10,617,957		2,045,034		-			12,662,991
Israel		698,473		1,138,662		-			1,837,135
Italy		-		6,407,411		-			6,407,411
Japan		3,643		80,852,781		1,860	**		80,858,284
Liberia		411,755		-		-			411,755
Luxembourg		97,323		1,325,617		-			1,422,940
Malaysia		68,236		1,741,361		-			1,809,597
Malta		-		61,179		-			61,179
Marshall Islands		12,315		-		-			12,315
Mauritius		-		36,768		-			36,768
Mexico		2,218,195		-		-			2,218,195
Netherlands		6,056,466		11,870,644		-			17,927,110
New Zealand		-		888,084		-			888,084
Norway		-		2,220,472		-			2,220,472
Pakistan		-		59,178		-			59,178
Panama		891,142		3,744		-			894,886
Papua New Guinea		-		151,571		-			151,571
Peru		39,424		-		-			39,424
Philippines		-		876,570		-			876,570
Poland		-		1,001,989		-			1,001,989
Portugal		-		513,401		-			513,401
Puerto Rico		141,208		-		-			141,208
Qatar		-		425,078		-			425,078
Republic of Korea		21,381		11,056,475		-			11,077,856
Romania		-		91,556		-			91,556
Russia		68,660		2,384,919		-			2,453,579
Singapore		2,341,508		5,959,886		-			8,301,394
South Africa		-		5,287,371		-			5,287,371
Spain		-		9,828,279		-			9,828,279
Sweden		8,484		9,660,531		-			9,669,015
Switzerland		2,093,307		23,612,888		-			25,706,195
Taiwan		-		8,431,848		-			8,431,848
Thailand		-		1,732,212		-			1,732,212
Turkey		-		813,054		-			813,054
United Arab Emirates		-		534,062		-			534,062
United Kingdom		2,820,573		56,090,661		-	+**		58,911,234
United States		649,048,361		5,579		4,161	**		649,058,101
Preferred Stock
Brazil		-		1,807,811		-			1,807,811
Chile		103,116		-		-			103,116
Colombia		-		111,089		-			111,089
Germany		-		1,598,156		-			1,598,156

273

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
Equity Asset Fund (Continued)
Asset Investments (Continued)
Preferred Stock (Continued)
Italy	$	-		$	140,629		$	-		$	140,629
Republic of Korea		-			625,728			-			625,728
Russia		-			70,209			-			70,209
Mutual Funds		22,992,576			134,331			-			23,126,907
Warrants		-			-			139	**		139
Rights		9,962			-			-			9,962
Short-Term Investments		-			16,826,840			-			16,826,840
Total Investments	$	742,583,650		$	403,893,428		$	6,160		$	1,146,483,238
Asset Derivatives
Forward Contracts	$	-		$	88		$	-		$	88
Futures Contracts		195,747			-			-			195,747
Total	$	195,747		$	88		$	-		$	195,835
Liability Derivatives
Forward Contracts	$	-		$	(8,471	)	$	-		$	(8,471	)
Futures Contracts		(6,415	)		-			-			(6,415	)
Total	$	(6,415	)	$	(8,471	)	$	-		$	(14,886	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable.

** None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the period ended December 31, 2017 is not presented.

+ Represents a security at $0 value as of December 31, 2017.

The Funds, with the exception of the Strategic Bond Fund, BlackRock Global Allocation Fund, MSCI EAFE International Index Fund, and Equity Asset Fund, had no transfers between Levels of the fair value hierarchy during the period ended December 31, 2017. The Strategic Bond Fund, BlackRock Global Allocation Fund, MSCI EAFE International Index Fund, and Equity Asset Fund had transfers between Levels of the fair value hierarchy during the period ended December 31, 2017; however, none of the transfers individually or collectively had a material impact on the Funds. The Funds recognize 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 9/30/17		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 12/31/17		Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 12/31/17
BlackRock Global Allocation Fund
Common Stock	$	57,192	$	-	$	-	$	(29,543	)	$	42,391	$	(42,391	)	$	-		$	-	$	27,649	$	(68,484	)
Preferred Stock		7,398,880		-		-		(1,590,805	)		2,255,883		(2,255,883	)		-			-		5,808,075		(1,391,883	)
Corporate Debt†		1,078,543		-		446		13,618			-		(3,964	)		826,046	*		-		1,914,689		13,618
Corporate Debt		468,489		-		-		(60,757	)		-		(29,559	)		-			-		378,173		(60,757	)
Pass-Through Securities†		518,174		-		-		7,522			-		-			-			-		525,696		7,522
	$	9,521,278	$	-	$	446	$	(1,659,965	)	$	2,298,274	$	(2,331,797	)	$	826,046		$	-	$	8,654,282	$	(1,499,984	)

274

Notes to Portfolio of Investments (Unaudited) (Continued)

* Transfers occurred between Levels 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.

The BlackRock Global Allocation 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
BlackRock Global Allocation Fund
Common Stock — $27,649
Jawbone Health Hub, Inc.	$	26,870	Market Approach	Intrinsic Value Analysis		$1.36
Lookout, Inc.	$	779	Market Approach	Option Pricing Method/EV Multiple		5.75x
Corporate Debt — $378,173
AliphCom, Inc., Convertible	$	10,730	Asset Valuation	Future Cash Distribution		$0.41
AliphCom, Inc., Convertible	$	783	Asset Valuation	Future Cash Distribution		$0.41
Bio City Development Co. B.V., Convertible	$	366,660	Market Approach	Debt Restructure Analysis —
				Expected Recovery Rate		41.60%
				Cashflow Discount Rate		19.25%
REI Agro Ltd., Convertible	$	0	Worthless	Worthless		$0.00
Preferred Stock — $5,808,075
Domo, Inc. Series D-2, Convertible	$	959,373	Market Approach	Option Pricing Method		50%
				Probability Weighted Expected Return Model
				IPO 2018 Probability		25%
				IPO 2019 Probability		25%
Dropbox, Inc. Series C, Convertible	$	1,237,019	Market Approach	EV/Multiple		8.00x
Grand Rounds, Inc. Series C, Convertible	$	345,771	Market Approach	Option Pricing Method/EV Multiple		12.25x
Lookout, Inc. Series F	$	513,672	Market Approach	Option Pricing Method/EV Multiple		5.75x
Palantir Technologies, Inc. Series I	$	607,212	Market Approach	EV/Multiple		11.50x
				1 Year Revenue Growth Rate		38.6%
Uber Technologies, Inc., Series D	$	2,145,028	Market Approach	Market Transaction		$32.97
Total	$	6,213,897

275

Notes to Portfolio of Investments (Unaudited) (Continued)

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Gains or losses from derivatives can be substantially greater than their 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 at December 31, 2017, 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	BlackRock Global Allocation Fund	S&P 500 Index Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A	A	A
Directional Exposures to Currencies	M	A	A
Futures Contracts**
Hedging/Risk Management	A	A	A
Duration/Credit Quality Management	A	A	M
Substitution for Direct Investment	M	A	A	A
Interest Rate Swaps***
Hedging/Risk Management		A	A
Duration Management		A	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			M
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management		A	A
Duration/Credit Quality Management		A	M
Income		M	M
Substitution for Direct Investment		M	A
Credit Default Swaps (Protection Seller)
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Income		M
Substitution for Direct Investment		M
Option (Purchased)
Hedging/Risk Management		A	M
Duration/Credit Quality Management		A	A
Substitution for Direct Investment		M	A
Directional Investment		M	A

276

Notes to Portfolio of Investments (Unaudited) (Continued)

Type of Derivative and Objective for Use	Total Return Bond Fund	Strategic Bond Fund	BlackRock Global Allocation Fund	S&P 500 Index Fund
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	MSCI EAFE International Index Fund	Overseas Fund	Equity Asset Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A					A
Directional Exposures to Currencies					A		A
Futures Contracts**
Hedging/Risk Management		A
Substitution for Direct Investment		A	A	A	A		A

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

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

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

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

At December 31, 2017, 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	$	-	$	-	$	228,326	$	-		$	228,326
Futures Contracts		-		-		-		129,022			129,022
Total Value	$	-	$	-	$	228,326	$	129,022		$	357,348
Liability Derivatives
Futures Contracts	$	-	$	-	$	-	$	(336,873	)	$	(336,873	)
Strategic Bond Fund
Asset Derivatives
Purchased Options	$	-	$	-	$	-	$	304,625		$	304,625
Forward Contracts		-		-		154,927		-			154,927
Futures Contracts		-		-		-		771,323			771,323
Swap Agreements		355,479		-		-		365,627			721,106
Total Value	$	355,479	$	-	$	154,927	$	1,441,575		$	1,951,981

277

Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Strategic Bond Fund (Continued)
Liability Derivatives
Forward Contracts	$	-		$	-		$	(723,855	)	$	-		$	(723,855	)
Futures Contracts		-			-			(14,259	)		(879,752	)		(894,011	)
Swap Agreements		(390,854	)		-			-			(28,681	)		(419,535	)
Total Value	$	(390,854	)	$	-		$	(738,114	)	$	(908,433	)	$	(2,037,401	)
BlackRock Global Allocation Fund
Asset Derivatives
Purchased Options	$	-		$	1,703,734		$	563,554		$	132,901		$	2,400,189
Forward Contracts		-			-			488,249			-			488,249
Futures Contracts		-			8,618			-			-			8,618
Swap Agreements		-			1,211,336			361,801			173,076			1,746,213
Total Value	$	-		$	2,923,688		$	1,413,604		$	305,977		$	4,643,269
Liability Derivatives
Forward Contracts	$	-		$	-		$	(99,651	)	$	-		$	(99,651	)
Futures Contracts		-			(11,204	)		-			-			(11,204	)
Swap Agreements		(177,774	)		-			-			(23,344	)		(201,118	)
Written Options		-			(451,643	)		(1,707	)		(107,446	)		(560,796	)
Total Value	$	(177,774	)	$	(462,847	)	$	(101,358	)	$	(130,790	)	$	(872,769	)
S&P 500 Index Fund
Liability Derivatives
Futures Contracts	$	-		$	(105,149	)	$	-		$	-		$	(105,149	)
Mid-Cap Value Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	901		$	-		$	901
Liability Derivatives
Forward Contracts	$	-		$	-		$	(35,208	)	$	-		$	(35,208	)
Small Company Value Fund
Asset Derivatives
Futures Contracts	$	-		$	18,138		$	-		$	-		$	18,138
S&P Mid Cap Index Fund
Asset Derivatives
Futures Contracts	$	-		$	32,296		$	-		$	-		$	32,296
Russell 2000 Small Cap Index Fund
Asset Derivatives
Futures Contracts	$	-		$	62,169		$	-		$	-		$	62,169

278

Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
MSCI EAFE International Index Fund
Asset Derivatives
Forward Contracts	$	-	$	-		$	29,425		$	-	$	29,425
Futures Contracts		-		67,763			-			-		67,763
Total Value	$	-	$	67,763		$	29,425		$	-	$	97,188
Liability Derivatives
Forward Contracts	$	-	$	-		$	(4,820	)	$	-	$	(4,820	)
Futures Contracts		-		(68,183	)		-			-		(68,183	)
Total Value	$	-	$	(68,183	)	$	(4,820	)	$	-	$	(73,003	)
Overseas Fund
Asset Derivatives
Forward Contracts	$	-	$	-		$	456,662		$	-	$	456,662
Liability Derivatives
Forward Contracts	$	-	$	-		$	(426,382	)	$	-	$	(426,382	)
Equity Asset Fund
Asset Derivatives
Forward Contracts	$	-	$	-		$	88		$	-	$	88
Futures Contracts		-		195,747			-			-		195,747
Total Value	$	-	$	195,747		$	88		$	-	$	195,835
Liability Derivatives
Forward Contracts	$	-	$	-		$	(8,471	)	$	-	$	(8,471	)
Futures Contracts		-		(6,415	)		-			-		(6,415	)
Total Value	$	-	$	(6,415	)	$	(8,471	)	$	-	$	(14,886	)

At December 31, 2017, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:

	Number of Contracts, Notional Amounts or Shares/Units†
Fund Name	Futures Contracts		Forward Contracts		Swap Agreements		Purchased Options		Purchased Swaptions		Written Options		Written Swaptions
Total Return Bond Fund		1,016	$	42,873,774	$	-		-	$	-		-	$	-
Strategic Bond Fund		3,323		44,414,382		59,100,800		576,000		-		-		-
BlackRock Global Allocation Fund		30		36,268,074		42,918,676		30,689,519		192,546,720		18,016,448		74,454,387
S&P 500 Index Fund		585		-		-		-		-		-		-
Mid-Cap Value Fund		-		2,042,425		-		-		-		-		-
Small Company Value Fund		26		-		-		-		-		-		-
S&P Mid Cap Index Fund		28		-		-		-		-		-		-
Russell 2000 Small Cap Index Fund		109		-		-		-		-		-		-
MSCI EAFE International Index Fund		107		4,064,395		-		-		-		-		-
Overseas Fund		-		69,578,875		-		-		-		-		-
Equity Asset Fund		193		526,971		-		-		-		-		-

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, purchased swaptions, and written swaptions, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended December 31, 2017.

279

Notes to Portfolio of Investments (Unaudited) (Continued)

Further details regarding the derivatives and other investments held by the Fund(s) at December 31, 2017, 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.

Forward Foreign Currency Contracts, Foreign Currency Futures, and Foreign Currency Options. A Fund may enter into foreign currency exchange transactions, including foreign currency futures contracts and foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Futures contracts are exchange-traded and typically have minimal exposure to counterparty risk. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies or currency futures contracts. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency or currency futures contract, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. For example, futures contracts are exchange-traded and typically have minimal exposure to counterparty risk and forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of futures contracts and options, respectively, see “Futures Contracts” and “Options, Rights, and Warrants” below.

Foreign Currency Swaps. A Fund may also enter into currency swaps, as an alternative to the transactions described above. Currency swaps involve the individually negotiated exchange by a 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.

Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

280

Notes to Portfolio of Investments (Unaudited) (Continued)

Futures Contracts

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts and related options (see “Foreign Currency Exchange Transactions,” above, for a discussion of the use of futures contracts in connection with currency risk).

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

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

Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may

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enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Total Return Swaps. A Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment 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 total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters

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into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

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.

Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments. A Fund’s current exposure to a counterparty is the fair value of the transaction.

Options, Rights, and Warrants

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

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

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

Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

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When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other 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.

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Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments. A Fund’s current exposure to a counterparty is the fair value of the contract.

Inflation-Indexed Bonds

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

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

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

Bank Loans

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

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral 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 December 31, 2017, the Funds had no unfunded loan commitments.

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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.

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. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At December 31, 2017, 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 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 December 31, 2017.

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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 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.

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.

In addition, the MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, MM RetireSMART Growth Fund, 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 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

The BlackRock Global Allocation Fund and the Equity Asset Fund invest a significant amount of their assets and each of the MSCI EAFE International Index Fund and Overseas Fund invests substantially all of its assets in foreign securities. The other Funds and certain Underlying 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.

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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.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the BlackRock Global Allocation 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 BlackRock Global Allocation Fund in the current period nor carried forward to offset taxable income in future periods.

Dividends and Distributions to Shareholders

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

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

3. Federal Income Tax Information

At December 31, 2017, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Total Return Bond Fund	$	986,077,822	$	15,904,380	$	(9,888,132	)	$	6,016,248
Strategic Bond Fund		581,837,445		13,019,130		(6,755,223	)		6,263,907
BlackRock Global Allocation Fund		549,054,253		71,311,916		(15,724,216	)		55,587,700
Diversified Value Fund		207,227,364		45,431,220		(1,619,452	)		43,811,768
Fundamental Value Fund		985,509,427		308,872,214		(29,219,486	)		279,652,728
Large Cap Value Fund		159,137,019		44,600,953		(5,564,567	)		39,036,386
S&P 500 Index Fund		1,764,155,333		1,472,002,071		(49,931,876	)		1,422,070,195
Equity Opportunities Fund		626,353,085		92,417,880		(8,654,405	)		83,763,475
Fundamental Growth Fund		122,206,925		34,389,145		(2,047,576	)		32,341,569
Blue Chip Growth Fund		1,590,934,112		807,639,184		(11,522,118	)		796,117,066
Growth Opportunities Fund		540,113,607		248,640,986		(13,449,594	)		235,191,392
Mid-Cap Value Fund		86,068,680		12,533,672		(1,948,466	)		10,585,206
Small Cap Value Equity Fund		143,600,895		52,136,841		(7,325,131	)		44,811,710
Small Company Value Fund		224,779,549		48,456,442		(3,250,944	)		45,205,498
S&P Mid Cap Index Fund		447,114,853		89,929,711		(17,320,060	)		72,609,651
Russell 2000 Small Cap Index Fund		286,126,852		63,452,515		(15,864,931	)		47,587,584
Mid Cap Growth Fund		4,904,735,478		1,229,741,743		(95,292,197	)		1,134,449,546
Small Cap Growth Equity Fund		530,780,165		116,305,720		(10,557,810	)		105,747,910
MSCI EAFE International Index Fund		203,493,099		39,827,124		(5,548,246	)		34,278,878
Overseas Fund		525,601,491		108,540,678		(10,176,186	)		98,364,492
MM RetireSMART Conservative Fund		216,728,907		6,787,714		(3,961,951	)		2,825,763
MM RetireSMART Moderate Fund		287,398,125		19,770,273		(3,879,265	)		15,891,008
MM RetireSMART Moderate Growth Fund		245,665,773		23,237,888		(2,677,312	)		20,560,576
MM RetireSMART Growth Fund		111,040,482		10,984,855		(1,240,031	)		9,744,824
MM RetireSMART In Retirement Fund		82,293,072		3,055,593		(1,290,508	)		1,765,085
MM RetireSMART 2010 Fund		62,039,062		2,677,962		(927,457	)		1,750,505

288

Notes to Portfolio of Investments (Unaudited) (Continued)

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
MM RetireSMART 2015 Fund	$	77,859,848	$	3,656,185	$	(1,135,416	)	$	2,520,769
MM RetireSMART 2020 Fund		450,722,147		29,709,537		(5,254,296	)		24,455,241
MM RetireSMART 2025 Fund		262,388,136		21,230,824		(2,635,310	)		18,595,514
MM RetireSMART 2030 Fund		515,550,890		47,416,840		(5,268,027	)		42,148,813
MM RetireSMART 2035 Fund		198,397,035		19,360,232		(2,002,614	)		17,357,618
MM RetireSMART 2040 Fund		307,754,315		31,371,466		(3,133,977	)		28,237,489
MM RetireSMART 2045 Fund		118,059,018		12,119,661		(1,152,458	)		10,967,203
MM RetireSMART 2050 Fund		163,178,184		17,263,398		(1,669,886	)		15,593,512
MM RetireSMART 2055 Fund		41,405,718		3,672,458		(568,010	)		3,104,448
MM RetireSMART 2060 Fund		11,837,050		1,155,220		(155,904	)		999,316
Bond and Income Asset Fund		276,827,009		2,052,209		(5,658,742	)		(3,606,533	)
Equity Asset Fund		978,943,893		194,126,343		(26,586,998	)		167,539,345

4. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the period ended December 31, 2017, was as follows:

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART Conservative Fund
Barings Global Floating Rate Fund, Class Y*	$	1,758,980	$	54,277	$	-		$	(5,584	)	$	-		$	1,807,673		189,484	$	20,477	$	-
MassMutual Premier Core Bond Fund, Class I		34,467,365		1,903,677		(2,118,087	)		(740,761	)		(66,578	)		33,445,616		3,105,443		994,940		-
MassMutual Premier Disciplined Growth Fund, Class I		3,867,408		578,877		(302,164	)		(207,203	)		34,278			3,971,196		317,696		35,567		431,941
MassMutual Premier Disciplined Value Fund, Class I		3,791,618		566,519		(198,965	)		(272,390	)		19,589			3,906,371		237,325		75,426		379,724
MassMutual Premier High Yield Fund, Class I		5,994,832		605,315		(617,813	)		(380,848	)		37,753			5,639,239		624,500		348,700		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		4,215,100		215,491		(365,032	)		(51,392	)		(7,770	)		4,006,397		388,971		111,701		-
MassMutual Premier International Equity Fund, Class I		2,209,435		406,176		(62,605	)		47,507			8,630			2,609,143		189,618		31,846		-
MassMutual Premier Short-Duration Bond Fund, Class I		27,931,168		4,355,726		(885,818	)		(744,397	)		14,269			30,670,948		3,021,768		779,311		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		3,502,450		426,495		(145,729	)		93,576			38,541			3,915,333		293,283		47,313		-
MassMutual Select Blue Chip Growth Fund, Class I		887,274		108,617		(318,392	)		(42,964	)		62,056			696,591		34,485		5,226		37,339
MassMutual Select Diversified Value Fund, Class I		986,704		304,811		(126,447	)		(232,999	)		26,817			958,886		75,148		22,375		252,264
MassMutual Select Equity Opportunities Fund, Class I		2,744,970		1,199,564		(95,705	)		(736,873	)		5,332			3,117,288		184,893		65,860		851,165
MassMutual Select Fundamental Growth Fund, Class I		776,460		123,030		(99,599	)		(22,896	)		9,629			786,624		94,660		6,927		53,049
MassMutual Select Fundamental Value Fund, Class I		877,456		159,199		(103,378	)		(94,496	)		10,786			849,567		73,175		14,486		115,716
MassMutual Select Growth Opportunities Fund, Class I		552,887		125,254		(91,813	)		(64,761	)		9,585			531,152		48,909		-		75,097
MassMutual Select Large Cap Value Fund, Class I		809,478		71,733		(110,444	)		(13,774	)		17,124			774,117		95,807		14,042		31,981
MassMutual Select Mid Cap Growth Fund, Class I		913,691		80,663		(316,566	)		(63,065	)		56,184			670,907		31,249		-		41,295

289

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART Conservative Fund (Continued)
MassMutual Select Mid-Cap Value Fund, Class I	$	1,414,613	$	442,817	$	(153,190	)	$	(139,922	)	$	18,779		$	1,583,097		115,470	$	18,060	$	178,620
MassMutual Select Overseas Fund, Class I		5,943,048		1,156,565		(169,825	)		55,839			30,072			7,015,699		720,298		134,600		-
MassMutual Select Small Cap Growth Equity Fund, Class I		983,718		76,517		(320,959	)		(53,895	)		59,502			744,883		47,174		-		49,804
MassMutual Select Small Cap Value Equity Fund, Class I		1,352,861		171,561		(179,549	)		(116,630	)		26,233			1,254,476		75,435		6,254		133,593
MassMutual Select Small Company Value Fund, Class I		529,400		125,465		(84,380	)		(82,995	)		11,604			499,094		43,665		3,329		83,035
MassMutual Select Strategic Bond Fund, Class I		12,616,733		605,698		(975,212	)		(299,310	)		39,004			11,986,913		1,150,376		280,490		-
MassMutual Select Total Return Bond Fund, Class I		15,310,570		790,018		(1,236,066	)		(308,162	)		(39,289	)		14,517,071		1,488,930		397,923		-
MM Select Bond and Income Asset Fund, Class I		42,391,736		2,672,621		(1,416,878	)		(705,227	)		(33,871	)		42,908,381		4,460,331		707,300		-
MM Select Equity Asset Fund, Class I		30,861,676		3,115,026		(1,714,079	)		(472,083	)		293,692			32,084,232		2,725,933		667,866		1,170,687
Oppenheimer International Bond Fund, Class I**		6,374,826		280,109		(709,841	)		(25,427	)		31,009			5,950,676		1,000,114		70,799		-
Oppenheimer Real Estate Fund, Class I**		505,141		57,987		(50,688	)		(10,962	)		851			502,329		20,133		2,690		17,275
	$	214,571,598	$	20,779,808	$	(12,969,224	)	$	(5,692,094	)	$	713,811		$	217,403,899			$	4,863,508	$	3,902,585
MM RetireSMART Moderate Fund
Barings Global Floating Rate Fund, Class Y*	$	1,822,570	$	20,835	$	(36,300	)	$	(8,030	)	$	2,319		$	1,801,394		188,825	$	20,835	$	-
MassMutual Premier Core Bond Fund, Class I		29,039,362		1,105,277		(2,846,963	)		(572,912	)		(76,115	)		26,648,649		2,474,341		799,722		-
MassMutual Premier Disciplined Growth Fund, Class I		7,562,360		980,038		(654,829	)		(401,933	)		78,303			7,563,939		605,115		68,305		829,532
MassMutual Premier Disciplined Value Fund, Class I		7,322,560		1,040,478		(465,470	)		(531,293	)		49,466			7,415,741		450,531		144,393		726,942
MassMutual Premier High Yield Fund, Class I		5,768,011		402,993		(1,015,738	)		(341,976	)		41,550			4,854,840		537,635		304,697		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		3,562,514		125,109		(448,663	)		(41,755	)		(5,501	)		3,191,704		309,874		89,739		-
MassMutual Premier International Equity Fund, Class I		5,787,713		600,268		(289,810	)		115,016			27,375			6,240,562		453,529		76,655		-
MassMutual Premier Short-Duration Bond Fund, Class I		23,230,075		1,686,738		(1,397,238	)		(584,438	)		31,526			22,966,663		2,262,725		592,165		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		9,281,014		654,682		(584,920	)		222,156			116,399			9,689,331		725,793		125,134		-
MassMutual Select Blue Chip Growth Fund, Class I		5,029,710		518,850		(284,505	)		73,319			33,524			5,370,898		265,886		28,800		205,781
MassMutual Select Diversified Value Fund, Class I		4,808,414		1,728,502		(263,302	)		(1,170,314	)		41,937			5,145,237		403,232		120,966		1,363,828
MassMutual Select Equity Opportunities Fund, Class I		5,232,289		1,826,843		(316,315	)		(1,281,803	)		(382	)		5,460,632		323,881		116,220		1,502,005
MassMutual Select Fundamental Growth Fund, Class I		4,414,629		591,747		(243,865	)		(89,598	)		20,008			4,692,921		564,732		38,179		292,403
MassMutual Select Fundamental Value Fund, Class I		4,267,544		985,513		(235,028	)		(456,963	)		(2,014	)		4,559,052		392,683		78,321		625,629
MassMutual Select Growth Opportunities Fund, Class I		3,146,970		625,464		(174,947	)		(302,273	)		(1,012	)		3,294,202		303,334		-		413,872
MassMutual Select Large Cap Value Fund, Class I		3,930,558		427,320		(213,823	)		426			7,855			4,152,336		513,903		75,895		172,846

290

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART Moderate Fund (Continued)
MassMutual Select Mid Cap Growth Fund, Class I	$	2,386,466	$	159,864	$	(838,023	)	$	(167,708	)	$	152,235		$	1,692,834		78,846	$	-	$	105,251
MassMutual Select Mid-Cap Value Fund, Class I		3,788,463		541,689		(499,775	)		(423,180	)		110,847			3,518,044		256,604		46,764		462,503
MassMutual Select Overseas Fund, Class I		15,544,994		1,785,286		(784,606	)		116,580			104,909			16,767,163		1,721,475		323,581		-
MassMutual Select Small Cap Growth Equity Fund, Class I		2,662,642		158,570		(312,598	)		213			16,111			2,524,938		159,907		-		132,043
MassMutual Select Small Cap Value Equity Fund, Class I		3,681,096		404,773		(551,802	)		(320,840	)		85,053			3,298,280		198,333		16,564		353,822
MassMutual Select Small Company Value Fund, Class I		1,422,424		297,679		(213,813	)		(213,400	)		23,851			1,316,741		115,200		8,854		220,818
MassMutual Select Strategic Bond Fund, Class I		10,658,587		334,766		(1,227,238	)		(242,919	)		31,845			9,555,041		916,991		225,382		-
MassMutual Select Total Return Bond Fund, Class I		12,934,319		449,986		(1,596,184	)		(204,402	)		(74,565	)		11,509,154		1,180,426		318,005		-
MM Select Bond and Income Asset Fund, Class I		35,548,824		939,738		(2,219,344	)		(535,032	)		(56,195	)		33,677,991		3,500,831		559,515		-
MM Select Equity Asset Fund, Class I		85,320,078		6,424,004		(4,739,442	)		(1,253,278	)		822,423			86,573,785		7,355,462		1,815,139		3,181,714
Oppenheimer International Bond Fund, Class I**		5,323,818		127,754		(816,174	)		(1,309	)		4,117			4,638,206		779,530		57,343		-
Oppenheimer Real Estate Fund, Class I**		1,213,278		155,796		(197,918	)		(15,425	)		(6,013	)		1,149,718		46,081		6,246		40,234
	$	304,691,282	$	25,100,562	$	(23,468,633	)	$	(8,633,071	)	$	1,579,856		$	299,269,996			$	6,057,419	$	10,629,223
MM RetireSMART Moderate Growth Fund
Barings Global Floating Rate Fund, Class Y*	$	780,202	$	8,992	$	(1,800	)	$	(2,574	)	$	115		$	784,935		82,278	$	8,992	$	-
MassMutual Premier Core Bond Fund, Class I		8,022,999		679,511		(426,539	)		(182,947	)		(10,858	)		8,082,166		750,433		239,642		-
MassMutual Premier Disciplined Growth Fund, Class I		5,522,901		822,500		(477,522	)		(327,356	)		86,818			5,627,341		450,187		50,198		609,636
MassMutual Premier Disciplined Value Fund, Class I		5,313,435		866,117		(311,731	)		(395,683	)		39,453			5,511,591		334,848		105,982		533,558
MassMutual Premier High Yield Fund, Class I		2,502,764		235,054		(463,764	)		(150,107	)		20,088			2,144,035		237,435		131,696		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		1,039,574		87,047		(73,187	)		(12,971	)		(2,070	)		1,038,393		100,815		28,861		-
MassMutual Premier International Equity Fund, Class I		6,803,915		463,521		(314,443	)		118,043			46,213			7,117,249		517,242		86,569		-
MassMutual Premier Short-Duration Bond Fund, Class I		8,900,218		681,041		(1,223,422	)		(187,704	)		459			8,170,592		804,984		201,525		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		10,939,335		1,327,927		(635,661	)		281,670			128,279			12,041,550		901,989		150,190		-
MassMutual Select Blue Chip Growth Fund, Class I		8,337,525		825,249		(742,795	)		60,114			118,510			8,598,603		425,673		47,455		339,077
MassMutual Select Diversified Value Fund, Class I		7,705,558		3,068,145		(382,209	)		(1,927,707	)		68,366			8,532,153		668,664		198,464		2,237,587
MassMutual Select Equity Opportunities Fund , Class I		4,725,347		1,520,284		(383,678	)		(1,195,482	)		93,774			4,760,245		282,340		100,069		1,293,271
MassMutual Select Fundamental Growth Fund, Class I		7,320,537		940,019		(417,253	)		(139,806	)		26,588			7,730,085		930,215		62,909		481,802
MassMutual Select Fundamental Value Fund, Class I		6,834,569		1,826,003		(341,549	)		(747,398	)		(10,238	)		7,561,387		651,282		128,506		1,026,508

291

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART Moderate Growth Fund (Continued)
MassMutual Select Growth Opportunities Fund, Class I	$	5,219,012	$	998,804	$	(316,886	)	$	(502,095	)	$	3,175		$	5,402,010		497,423	$	-	$	682,026
MassMutual Select Large Cap Value Fund, Class I		6,292,706		895,905		(310,377	)		(3,329	)		11,767			6,886,672		852,311		124,522		283,592
MassMutual Select Mid Cap Growth Fund, Class I		2,829,759		242,548		(1,044,752	)		(170,789	)		153,099			2,009,865		93,613		-		122,887
MassMutual Select Mid-Cap Value Fund, Class I		4,573,541		974,527		(604,443	)		(380,529	)		2,105			4,565,201		332,983		56,603		559,802
MassMutual Select Overseas Fund, Class I		18,266,260		1,445,806		(849,805	)		175,217			82,172			19,119,650		1,963,003		365,146		-
MassMutual Select Small Cap Growth Equity Fund, Class I		3,201,369		223,915		(633,436	)		(65,889	)		85,361			2,811,320		178,044		-		158,756
MassMutual Select Small Cap Value Equity Fund, Class I		4,441,745		549,617		(685,464	)		(392,554	)		108,044			4,021,388		241,815		19,957		426,302
MassMutual Select Small Company Value Fund, Class I		1,700,272		386,460		(263,648	)		(294,494	)		67,229			1,595,819		139,617		10,593		264,203
MassMutual Select Strategic Bond Fund, Class I		2,983,984		145,298		(164,463	)		(67,673	)		5,513			2,902,659		278,566		67,606		-
MassMutual Select Total Return Bond Fund, Class I		3,609,255		225,790		(214,943	)		(79,751	)		(3,870	)		3,536,481		362,716		96,495		-
MM Select Bond and Income Asset Fund, Class I		11,587,457		565,548		(671,802	)		(178,690	)		(16,066	)		11,286,447		1,173,227		185,126		-
MM Select Equity Asset Fund, Class I		103,336,590		8,916,674		(5,472,154	)		(1,488,147	)		949,042			106,242,005		9,026,508		2,201,619		3,859,167
Oppenheimer International Bond Fund, Class I**		2,943,546		121,508		(315,758	)		(20,615	)		23,435			2,752,116		462,540		32,717		-
Oppenheimer Real Estate Fund, Class I**		1,434,918		227,881		(214,145	)		(31,204	)		5,196			1,422,646		57,020		7,528		48,029
	$	257,169,293	$	29,271,691	$	(17,957,629	)	$	(8,310,450	)	$	2,081,699		$	262,254,604			$	4,708,970	$	12,926,203
MM RetireSMART Growth Fund
Barings Global Floating Rate Fund, Class Y*	$	58,567	$	673	$	(500	)	$	(216	)	$	32		$	58,556		6,138	$	673	$	-
MassMutual Premier Core Bond Fund, Class I		919,469		65,611		(100,201	)		(24,337	)		3,315			863,857		80,210		25,781		-
MassMutual Premier Disciplined Growth Fund, Class I		1,171,678		196,124		(95,302	)		(68,224	)		14,189			1,218,465		97,477		10,946		132,933
MassMutual Premier Disciplined Value Fund, Class I		1,131,017		203,015		(60,940	)		(84,901	)		6,521			1,194,712		72,583		23,139		116,492
MassMutual Premier High Yield Fund, Class I		210,057		21,181		(135,601	)		(13,443	)		7,602			89,796		9,944		5,562		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		359,724		25,290		(49,100	)		(4,001	)		(950	)		330,963		32,132		9,254		-
MassMutual Premier International Equity Fund, Class I		3,365,420		338,175		(156,836	)		74,871			6,962			3,628,592		263,706		44,380		-
MassMutual Premier Short-Duration Bond Fund, Class I		1,156,785		72,729		(370,401	)		(25,899	)		6,093			839,307		82,690		21,518		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		5,311,118		872,863		(317,830	)		142,843			55,527			6,064,521		454,271		77,894		-
MassMutual Select Blue Chip Growth Fund, Class I		4,958,656		539,029		(271,289	)		73,598			29,511			5,329,505		263,837		28,461		203,364
MassMutual Select Diversified Value Fund, Class I		4,628,738		1,808,518		(231,096	)		(1,149,746	)		31,987			5,088,401		398,778		119,150		1,343,356
MassMutual Select Equity Opportunities Fund, Class I		2,126,619		791,045		(109,904	)		(550,420	)		16,569			2,273,909		134,870		48,180		622,667

292

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART Growth Fund (Continued)
MassMutual Select Fundamental Growth Fund, Class I	$	4,355,120	$	601,082	$	(228,918	)	$	(88,122	)	$	18,048		$	4,657,210		560,434	$	37,735	$	288,997
MassMutual Select Fundamental Value Fund, Class I		4,107,488		1,064,374		(206,144	)		(436,572	)		(19,322	)		4,509,824		388,443		77,163		616,374
MassMutual Select Growth Opportunities Fund, Class I		3,104,050		619,968		(153,271	)		(304,233	)		3,629			3,270,143		301,118		-		409,141
MassMutual Select Large Cap Value Fund, Class I		3,779,687		510,810		(187,134	)		(1,248	)		4,941			4,107,056		508,299		74,765		170,272
MassMutual Select Mid Cap Growth Fund, Class I		1,420,405		147,524		(486,796	)		(110,195	)		98,230			1,069,168		49,798		-		66,073
MassMutual Select Mid-Cap Value Fund, Class I		2,265,016		395,984		(287,001	)		(255,453	)		60,767			2,179,313		158,958		28,857		285,396
MassMutual Select Overseas Fund, Class I		9,049,448		999,783		(424,170	)		98,910			27,140			9,751,111		1,001,141		187,483		-
MassMutual Select Small Cap Growth Equity Fund, Class I		1,611,124		150,340		(184,003	)		(35,043	)		43,587			1,586,005		100,444		-		82,576
MassMutual Select Small Cap Value Equity Fund, Class I		2,226,224		319,349		(325,903	)		(201,296	)		51,389			2,069,763		124,460		10,349		221,062
MassMutual Select Small Company Value Fund, Class I		858,453		212,883		(123,721	)		(150,677	)		31,374			828,312		72,468		5,543		138,257
MassMutual Select Strategic Bond Fund, Class I		338,837		21,743		(44,499	)		(6,831	)		-			309,250		29,678		7,259		-
MassMutual Select Total Return Bond Fund, Class I		408,398		27,617		(62,401	)		(6,351	)		(2,498	)		364,765		37,412		10,030		-
MM Select Bond and Income Asset Fund, Class I		1,497,871		95,765		(277,449	)		(16,298	)		(7,027	)		1,292,862		134,393		21,375		-
MM Select Equity Asset Fund, Class I		52,196,196		5,491,513		(2,612,746	)		(769,426	)		443,735			54,749,272		4,651,595		1,142,993		2,003,526
Oppenheimer International Bond Fund, Class I**		189,753		12,328		(41,000	)		(649	)		609			161,041		27,066		1,982		-
Oppenheimer Real Estate Fund, Class I**		777,059		122,210		(128,703	)		(17,836	)		2,835			755,565		30,283		4,004		25,612
	$	113,582,977	$	15,727,526	$	(7,672,859	)	$	(3,931,195	)	$	934,795		$	118,641,244			$	2,024,476	$	6,726,098
MM RetireSMART In Retirement Fund
Barings Global Floating Rate Fund, Class Y*	$	644,764	$	7,399	$	(7,500	)	$	(2,147	)	$	121		$	642,637		67,362	$	7,399	$	-
MassMutual Premier Core Bond Fund, Class I		10,796,784		523,533		(780,596	)		(229,089	)		(22,559	)		10,288,073		955,253		309,454		-
MassMutual Premier Disciplined Growth Fund, Class I		1,837,854		258,941		(144,669	)		(107,669	)		25,103			1,869,560		149,565		16,918		205,468
MassMutual Premier Disciplined Value Fund, Class I		1,796,358		252,928		(91,069	)		(131,177	)		10,524			1,837,564		111,638		35,857		180,517
MassMutual Premier High Yield Fund, Class I		2,014,865		180,859		(277,705	)		(123,766	)		11,633			1,805,886		199,987		113,783		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		4,390,450		207,279		(221,759	)		(70,901	)		6,236			4,311,305		418,573		121,480		-
MassMutual Premier International Equity Fund, Class I		1,008,737		181,439		(29,106	)		19,530			6,159			1,186,759		86,247		14,597		-
MassMutual Premier Short-Duration Bond Fund, Class I		10,151,326		1,497,234		(325,281	)		(264,275	)		(1,305	)		11,057,699		1,089,428		283,479		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		1,556,987		164,131		(56,925	)		43,943			14,976			1,723,112		129,072		21,206		-
MassMutual Select Blue Chip Growth Fund, Class I		303,452		41,855		(124,497	)		(12,112	)		18,534			227,232		11,249		1,817		12,983
MassMutual Select Diversified Value Fund, Class I		364,528		104,132		(63,709	)		(78,716	)		6,752			332,987		26,096		7,857		88,582

293

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART In Retirement Fund (Continued)
MassMutual Select Equity Opportunities Fund, Class I	$	1,294,406	$	580,623	$	(47,084	)	$	(359,676	)	$	9,037		$	1,477,306		87,622	$	31,503	$	407,143
MassMutual Select Fundamental Growth Fund, Class I		264,171		47,461		(39,685	)		(7,341	)		2,532			267,138		32,147		2,407		18,432
MassMutual Select Fundamental Value Fund, Class I		325,706		52,603		(53,905	)		(33,083	)		3,881			295,202		25,427		5,090		40,656
MassMutual Select Growth Opportunities Fund, Class I		188,471		46,466		(36,261	)		(21,277	)		2,054			179,453		16,524		-		26,106
MassMutual Select Large Cap Value Fund, Class I		301,629		22,368		(56,383	)		(4,557	)		6,085			269,142		33,310		4,937		11,243
MassMutual Select Mid Cap Growth Fund, Class I		414,094		33,030		(148,310	)		(25,652	)		22,666			295,828		13,779		-		18,449
MassMutual Select Mid-Cap Value Fund, Class I		645,170		182,784		(72,553	)		(63,783	)		8,535			700,153		51,069		8,216		81,258
MassMutual Select Overseas Fund, Class I		2,710,548		519,254		(78,473	)		25,345			13,911			3,190,585		327,575		61,659		-
MassMutual Select Small Cap Growth Equity Fund, Class I		442,438		31,859		(133,371	)		(30,964	)		33,414			343,376		21,746		-		22,343
MassMutual Select Small Cap Value Equity Fund, Class I		609,525		73,500		(84,460	)		(54,622	)		14,027			557,970		33,552		2,808		59,988
MassMutual Select Small Company Value Fund, Class I		237,286		54,435		(38,769	)		(41,660	)		9,680			220,972		19,333		1,489		37,151
MassMutual Select Strategic Bond Fund, Class I		3,952,998		163,429		(355,645	)		(96,377	)		15,218			3,679,623		353,131		86,996		-
MassMutual Select Total Return Bond Fund, Class I		4,781,613		214,367		(457,381	)		(97,627	)		(9,866	)		4,431,106		454,472		122,715		-
MM Select Bond and Income Asset Fund, Class I		15,281,158		832,790		(525,624	)		(252,964	)		(14,072	)		15,321,288		1,592,649		255,100		-
MM Select Equity Asset Fund, Class I		13,784,069		1,309,887		(796,459	)		(215,511	)		133,642			14,215,628		1,207,785		298,695		523,576
Oppenheimer International Bond Fund, Class I**		2,267,140		81,929		(246,930	)		(8,663	)		10,591			2,104,067		353,625		25,232		-
Oppenheimer Real Estate Fund, Class I**		208,719		35,458		(19,690	)		(4,766	)		249			219,970		8,816		1,197		7,694
	$	82,575,246	$	7,701,973	$	(5,313,799	)	$	(2,249,557	)	$	337,758		$	83,051,621			$	1,841,891	$	1,741,589
MM RetireSMART 2010 Fund
Barings Global Floating Rate Fund, Class Y*	$	513,410	$	5,872	$	(9,700	)	$	(1,728	)	$	119		$	507,973		53,247	$	5,872	$	-
MassMutual Premier Core Bond Fund, Class I		7,625,759		348,963		(776,430	)		(148,127	)		(24,508	)		7,025,657		652,336		213,061		-
MassMutual Premier Disciplined Growth Fund, Class I		1,476,317		199,240		(172,438	)		(84,785	)		22,236			1,440,570		115,246		13,140		159,585
MassMutual Premier Disciplined Value Fund, Class I		1,437,038		194,306		(124,838	)		(107,676	)		14,736			1,413,566		85,879		27,806		139,986
MassMutual Premier High Yield Fund, Class I		1,582,846		131,510		(315,027	)		(97,217	)		14,135			1,316,247		145,764		84,210		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		3,101,876		138,183		(252,022	)		(50,249	)		6,317			2,944,105		285,835		83,609		-
MassMutual Premier International Equity Fund, Class I		923,539		122,873		(56,511	)		13,751			8,922			1,012,574		73,588		12,532		-
MassMutual Premier Short-Duration Bond Fund, Class I		7,004,489		994,161		(472,616	)		(175,468	)		(1,977	)		7,348,589		723,999		189,495		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		1,441,144		136,963		(112,526	)		18,747			34,456			1,518,784		113,767		18,976		-
MassMutual Select Blue Chip Growth Fund, Class I		487,925		46,648		(124,358	)		(13,534	)		24,004			420,685		20,826		2,740		19,579

294

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2010 Fund (Continued)
MassMutual Select Diversified Value Fund, Class I	$	506,967	$	153,841	$	(64,016	)	$	(113,379	)	$	5,889		$	489,302		38,347	$	11,633	$	131,152
MassMutual Select Equity Opportunities Fund, Class I		1,048,154		414,915		(78,174	)		(279,345	)		13,039			1,118,589		66,346		24,037		310,654
MassMutual Select Fundamental Growth Fund, Class I		427,759		54,804		(55,578	)		(10,280	)		3,741			420,446		50,595		3,634		27,829
MassMutual Select Fundamental Value Fund, Class I		450,584		79,020		(52,567	)		(46,144	)		2,516			433,409		37,331		7,530		60,151
MassMutual Select Growth Opportunities Fund, Class I		305,010		58,274		(45,689	)		(31,556	)		2,775			288,814		26,594		-		39,389
MassMutual Select Large Cap Value Fund, Class I		415,990		33,570		(55,987	)		(5,489	)		7,034			395,118		48,901		7,303		16,631
MassMutual Select Mid Cap Growth Fund, Class I		378,038		28,492		(150,870	)		(27,350	)		25,143			253,453		11,805		-		15,987
MassMutual Select Mid-Cap Value Fund, Class I		594,981		152,060		(86,864	)		(58,614	)		9,542			611,105		44,574		7,339		72,592
MassMutual Select Overseas Fund, Class I		2,480,362		358,950		(153,052	)		8,328			26,683			2,721,271		279,391		52,922		-
MassMutual Select Small Cap Growth Equity Fund, Class I		411,983		27,205		(125,845	)		(27,908	)		30,418			315,853		20,003		-		20,042
MassMutual Select Small Cap Value Equity Fund, Class I		569,321		65,493		(101,035	)		(51,429	)		15,344			497,694		29,927		2,525		53,932
MassMutual Select Small Company Value Fund, Class I		220,550		48,380		(44,861	)		(39,299	)		10,801			195,571		17,110		1,330		33,168
MassMutual Select Strategic Bond Fund, Class I		2,798,712		108,322		(337,138	)		(67,836	)		12,035			2,514,095		241,276		59,930		-
MassMutual Select Total Return Bond Fund, Class I		3,383,507		142,916		(416,207	)		(64,282	)		(9,705	)		3,036,229		311,408		84,774		-
MM Select Bond and Income Asset Fund, Class I		10,707,408		614,622		(768,085	)		(160,637	)		(21,481	)		10,371,827		1,078,152		174,079		-
MM Select Equity Asset Fund, Class I		12,978,218		1,130,939		(1,239,641	)		(270,129	)		204,598			12,803,985		1,087,849		271,123		475,245
Oppenheimer International Bond Fund, Class I**		1,595,645		53,378		(230,091	)		(8,773	)		10,040			1,420,199		238,689		17,470		-
Oppenheimer Real Estate Fund, Class I**		185,746		36,291		(38,616	)		(4,035	)		430			179,816		7,207		1,022		6,574
	$	65,053,278	$	5,880,191	$	(6,460,782	)	$	(1,904,443	)	$	447,282		$	63,015,526			$	1,378,092	$	1,582,496
MM RetireSMART 2015 Fund
Barings Global Floating Rate Fund, Class Y*	$	630,905	$	7,174	$	(19,801	)	$	(3,234	)	$	1,265		$	616,309		64,603	$	7,174	$	-
MassMutual Premier Core Bond Fund, Class I		8,741,019		392,730		(863,152	)		(220,763	)		26,101			8,075,935		749,855		241,050		-
MassMutual Premier Disciplined Growth Fund, Class I		1,899,154		260,816		(220,718	)		(114,368	)		36,269			1,861,153		148,892		16,722		203,082
MassMutual Premier Disciplined Value Fund, Class I		1,842,327		254,351		(154,216	)		(142,268	)		25,002			1,825,196		110,887		35,354		177,985
MassMutual Premier High Yield Fund, Class I		1,912,927		154,255		(374,494	)		(113,651	)		16,030			1,595,067		176,641		99,151		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		3,561,148		155,785		(277,120	)		(58,717	)		9,183			3,390,279		329,153		94,822		-
MassMutual Premier International Equity Fund, Class I		1,281,236		150,172		(80,515	)		14,335			17,048			1,382,276		100,456		16,910		-
MassMutual Premier Short-Duration Bond Fund, Class I		7,936,680		1,138,520		(548,874	)		(200,324	)		2,291			8,328,293		820,521		211,694		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		2,009,907		196,977		(161,221	)		30,113			43,728			2,119,504		158,764		26,186		-

295

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2015 Fund (Continued)
MassMutual Select Blue Chip Growth Fund, Class I	$	826,161	$	76,774	$	(170,681	)	$	(16,868	)	$	35,124		$	750,510		37,154	$	4,562	$	32,592
MassMutual Select Diversified Value Fund, Class I		822,191		260,009		(80,666	)		(186,894	)		8,918			823,558		64,542		19,256		217,105
MassMutual Select Equity Opportunities Fund, Class I		1,353,413		510,581		(102,310	)		(359,260	)		25,692			1,428,116		84,704		30,220		390,558
MassMutual Select Fundamental Growth Fund, Class I		724,755		89,937		(83,205	)		(18,274	)		8,031			721,244		86,792		6,047		46,312
MassMutual Select Fundamental Value Fund, Class I		731,646		135,345		(64,926	)		(76,947	)		4,785			729,903		62,869		12,470		99,607
MassMutual Select Growth Opportunities Fund, Class I		517,957		95,133		(66,861	)		(58,109	)		10,502			498,622		45,914		-		65,561
MassMutual Select Large Cap Value Fund, Class I		676,112		59,690		(72,994	)		(5,209	)		7,809			665,408		82,352		12,095		27,545
MassMutual Select Mid Cap Growth Fund, Class I		522,139		41,299		(206,818	)		(37,212	)		34,464			353,872		16,482		-		21,826
MassMutual Select Mid-Cap Value Fund, Class I		823,112		199,986		(117,851	)		(80,802	)		14,032			838,477		61,158		10,041		99,314
MassMutual Select Overseas Fund, Class I		3,430,165		452,092		(218,540	)		(2	)		48,954			3,712,669		381,178		71,308		-
MassMutual Select Small Cap Growth Equity Fund, Class I		574,716		39,644		(165,033	)		(42,404	)		46,080			453,003		28,689		-		27,652
MassMutual Select Small Cap Value Equity Fund, Class I		792,908		90,176		(136,652	)		(82,020	)		32,724			697,136		41,920		3,481		74,357
MassMutual Select Small Company Value Fund, Class I		307,478		67,863		(60,929	)		(55,081	)		15,761			275,092		24,068		1,838		45,849
MassMutual Select Strategic Bond Fund, Class I		3,208,458		121,908		(370,012	)		(81,981	)		18,801			2,897,174		278,040		67,913		-
MassMutual Select Total Return Bond Fund, Class I		3,879,931		160,757		(465,478	)		(74,516	)		(9,070	)		3,491,624		358,115		95,875		-
MM Select Bond and Income Asset Fund, Class I		12,232,531		767,276		(899,591	)		(182,989	)		(22,581	)		11,894,646		1,236,450		196,410		-
MM Select Equity Asset Fund, Class I		18,195,115		1,649,542		(1,697,899	)		(371,955	)		289,858			18,064,661		1,534,806		376,619		660,166
Oppenheimer International Bond Fund, Class I**		1,833,110		59,993		(256,503	)		(9,005	)		10,247			1,637,842		275,267		19,932		-
Oppenheimer Real Estate Fund, Class I**		254,364		56,241		(55,088	)		(6,086	)		827			250,258		10,030		1,393		9,016
	$	81,521,565	$	7,645,026	$	(7,992,148	)	$	(2,554,491	)	$	757,875		$	79,377,827			$	1,678,523	$	2,198,527
MM RetireSMART 2020 Fund
Barings Global Floating Rate Fund, Class Y*	$	2,994,289	$	34,290	$	(48,100	)	$	(12,467	)	$	3,072		$	2,971,084		311,434	$	34,289	$	-
MassMutual Premier Core Bond Fund, Class I		41,202,181		1,754,987		(2,882,156	)		(874,234	)		(75,080	)		39,125,698		3,632,841		1,171,745		-
MassMutual Premier Disciplined Growth Fund, Class I		11,738,296		1,564,842		(1,169,223	)		(717,611	)		214,784			11,631,088		930,487		104,861		1,273,495
MassMutual Premier Disciplined Value Fund, Class I		11,375,616		1,524,597		(749,823	)		(854,863	)		112,621			11,408,148		693,083		221,746		1,116,365
MassMutual Premier High Yield Fund, Class I		9,210,150		718,663		(1,531,080	)		(546,962	)		59,624			7,910,395		876,013		494,753		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		16,736,347		850,167		(1,041,482	)		(260,067	)		19,096			16,304,061		1,582,919		457,487		-
MassMutual Premier International Equity Fund, Class I		8,813,385		795,948		(465,836	)		175,478			36,946			9,355,921		679,936		114,770		-
MassMutual Premier Short-Duration Bond Fund, Class I		37,668,612		4,676,355		(1,971,073	)		(959,928	)		21,519			39,435,485		3,885,269		1,002,886		-

296

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2020 Fund (Continued)
MassMutual Premier Strategic Emerging Markets Fund, Class I	$	13,997,559	$	1,303,922	$	(937,218	)	$	293,424		$	221,395		$	14,879,082		1,114,538	$	185,626	$	-
MassMutual Select Blue Chip Growth Fund, Class I		7,329,691		575,625		(1,086,720	)		(78,488	)		233,728			6,973,836		345,239		40,729		291,020
MassMutual Select Diversified Value Fund, Class I		7,038,498		2,266,747		(429,789	)		(1,624,492	)		30,028			7,280,992		570,611		171,145		1,929,577
MassMutual Select Equity Opportunities Fund, Class I		8,183,850		2,836,492		(493,564	)		(2,014,377	)		9,703			8,522,104		505,463		181,259		2,342,559
MassMutual Select Fundamental Growth Fund, Class I		6,433,924		698,983		(554,564	)		(99,881	)		3,591			6,482,053		780,030		53,992		413,507
MassMutual Select Fundamental Value Fund, Class I		6,247,713		1,235,863		(382,651	)		(688,929	)		40,458			6,452,454		555,767		110,823		885,248
MassMutual Select Growth Opportunities Fund, Class I		4,585,816		786,763		(441,198	)		(412,346	)		(15,363	)		4,503,672		414,703		-		585,257
MassMutual Select Large Cap Value Fund, Class I		5,755,886		490,665		(383,303	)		(51,306	)		65,243			5,877,185		727,374		107,395		244,586
MassMutual Select Mid Cap Growth Fund, Class I		3,627,385		265,525		(1,411,699	)		(302,574	)		281,428			2,460,065		114,582		-		152,878
MassMutual Select Mid-Cap Value Fund, Class I		5,782,619		1,318,032		(804,828	)		(663,442	)		187,792			5,820,173		424,520		71,082		703,007
MassMutual Select Overseas Fund, Class I		23,669,631		2,396,606		(1,256,094	)		219,495			110,919			25,140,557		2,581,166		484,966		-
MassMutual Select Small Cap Growth Equity Fund, Class I		4,040,637		257,170		(1,032,899	)		(212,447	)		236,394			3,288,855		208,287		-		196,396
MassMutual Select Small Cap Value Equity Fund, Class I		5,597,401		632,639		(946,588	)		(503,654	)		150,811			4,930,609		296,489		24,751		528,706
MassMutual Select Small Company Value Fund, Class I		2,157,101		464,750		(402,819	)		(379,095	)		99,742			1,939,679		169,701		13,037		325,147
MassMutual Select Strategic Bond Fund, Class I		15,159,340		537,918		(1,387,529	)		(349,569	)		43,199			14,003,359		1,343,892		329,971		-
MassMutual Select Total Return Bond Fund, Class I		18,313,019		719,164		(1,603,058	)		(367,456	)		(41,641	)		17,020,028		1,745,644		469,775		-
MM Select Bond and Income Asset Fund, Class I		61,478,689		1,786,327		(4,786,015	)		(886,292	)		(123,629	)		57,469,080		5,973,917		953,797		-
MM Select Equity Asset Fund, Class I		125,480,017		10,963,605		(7,600,341	)		(1,969,361	)		1,253,089			128,127,009		10,885,897		2,685,196		4,706,817
Oppenheimer International Bond Fund, Class I**		8,600,004		249,507		(961,109	)		7,288			711			7,896,401		1,327,126		94,842		-
Oppenheimer Real Estate Fund, Class I**		1,754,881		350,743		(316,103	)		(38,025	)		2,560			1,754,056		70,303		9,663		61,955
	$	474,972,537	$	42,056,895	$	(37,076,862	)	$	(14,172,181	)	$	3,182,740		$	468,963,129			$	9,590,586	$	15,756,520
MM RetireSMART 2025 Fund
Barings Global Floating Rate Fund, Class Y*	$	1,294,925	$	33,339	$	-		$	(4,104	)	$	-		$	1,324,160		138,801	$	15,039	$	-
MassMutual Premier Core Bond Fund, Class I		15,704,032		1,082,634		(592,215	)		(369,825	)		(13,767	)		15,810,859		1,468,046		472,934		-
MassMutual Premier Disciplined Growth Fund, Class I		6,666,186		974,289		(454,194	)		(382,330	)		76,677			6,880,628		550,450		61,951		752,372
MassMutual Premier Disciplined Value Fund, Class I		6,460,108		982,222		(246,273	)		(495,769	)		53,815			6,754,103		410,334		131,111		660,067

297

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2025 Fund (Continued)
MassMutual Premier High Yield Fund, Class I	$	4,245,037	$	384,021	$	(640,807	)	$	(255,779	)	$	24,359		$	3,756,831		416,039	$	234,454	$	-
MassMutual Premier Inflation-Protected and Income Fund, Class I		6,679,436		498,673		(265,708	)		(111,050	)		10,165			6,811,516		661,312		190,910		-
MassMutual Premier International Equity Fund, Class I		5,948,810		521,326		(197,614	)		126,179			18,083			6,416,784		466,336		78,634		-
MassMutual Premier Short-Duration Bond Fund, Class I		16,254,828		1,322,700		(580,940	)		(397,815	)		5,620			16,604,393		1,635,901		419,773		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		9,648,137		971,451		(396,583	)		257,996			100,892			10,581,893		792,651		132,576		-
MassMutual Select Blue Chip Growth Fund, Class I		6,088,743		561,538		(605,222	)		(3,547	)		130,574			6,172,086		305,549		34,930		249,591
MassMutual Select Diversified Value Fund, Class I		5,716,790		2,121,012		(214,496	)		(1,391,035	)		19,874			6,252,145		489,980		146,400		1,650,595
MassMutual Select Equity Opportunities Fund, Class I		4,859,153		1,635,259		(209,704	)		(1,232,752	)		40,233			5,092,189		302,028		107,898		1,394,456
MassMutual Select Fundamental Growth Fund, Class I		5,346,116		656,105		(292,200	)		(78,784	)		(7,729	)		5,623,508		676,716		46,311		354,682
MassMutual Select Fundamental Value Fund, Class I		5,072,144		1,218,941		(191,656	)		(577,236	)		18,980			5,541,173		477,276		94,806		757,305
MassMutual Select Growth Opportunities Fund, Class I		3,810,566		714,045		(234,604	)		(378,313	)		9,475			3,921,169		361,065		-		502,128
MassMutual Select Large Cap Value Fund, Class I		4,670,258		543,446		(173,780	)		(22,595	)		29,632			5,046,961		624,624		91,870		209,230
MassMutual Select Mid Cap Growth Fund, Class I		2,469,677		206,890		(876,501	)		(176,702	)		158,832			1,782,196		83,009		-		110,138
MassMutual Select Mid-Cap Value Fund, Class I		3,928,371		892,979		(463,965	)		(440,830	)		107,733			4,024,288		293,529		49,600		490,547
MassMutual Select Overseas Fund, Class I		15,983,798		1,570,811		(535,248	)		145,588			78,537			17,243,486		1,770,378		331,530		-
MassMutual Select Small Cap Growth Equity Fund, Class I		2,772,864		201,781		(586,948	)		(128,234	)		143,650			2,403,113		152,192		-		139,546
MassMutual Select Small Cap Value Equity Fund, Class I		3,833,507		473,344		(546,881	)		(356,809	)		103,425			3,506,586		210,859		17,533		374,524
MassMutual Select Small Company Value Fund, Class I		1,480,943		337,488		(226,678	)		(256,470	)		56,475			1,391,758		121,764		9,314		232,298
MassMutual Select Strategic Bond Fund, Class I		5,803,329		249,130		(269,213	)		(130,753	)		8,357			5,660,850		543,268		132,914		-
MassMutual Select Total Return Bond Fund, Class I		6,996,323		396,010		(336,276	)		(156,902	)		(7,569	)		6,891,586		706,829		189,546		-
MM Select Bond and Income Asset Fund, Class I		25,541,507		897,000		(1,921,047	)		(372,527	)		(50,480	)		24,094,453		2,504,621		398,481		-
MM Select Equity Asset Fund, Class I		87,235,924		8,581,288		(3,270,070	)		(1,083,382	)		539,153			92,002,913		7,816,730		1,920,663		3,366,685
Oppenheimer International Bond Fund, Class I**		4,341,183		163,123		(401,711	)		(23,061	)		27,712			4,107,246		690,293		48,812		-
Oppenheimer Real Estate Fund, Class I**		1,305,301		142,321		(137,298	)		(27,523	)		1,384			1,284,185		51,470		7,031		45,250
	$	270,157,996	$	28,333,166	$	(14,867,832	)	$	(8,324,364	)	$	1,684,092		$	276,983,058			$	5,365,021	$	11,289,414
MM RetireSMART 2030 Fund
Barings Global Floating Rate Fund, Class Y*	$	2,278,122	$	26,208	$	(14,201	)	$	(8,078	)	$	907		$	2,282,958		239,304	$	26,208	$	-
MassMutual Premier Core Bond Fund, Class I		20,755,490		1,909,029		(818,618	)		(492,823	)		(22,080	)		21,330,998		1,980,594		635,810		-

298

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2030 Fund (Continued)
MassMutual Premier Disciplined Growth Fund, Class I	$	11,499,925	$	1,614,158	$	(743,098	)	$	(662,317	)	$	140,378		$	11,849,046		947,924	$	106,259	$	1,290,476
MassMutual Premier Disciplined Value Fund, Class I		11,100,717		1,742,427		(465,265	)		(833,181	)		75,384			11,620,082		705,959		224,650		1,130,987
MassMutual Premier High Yield Fund, Class I		7,012,040		572,891		(1,237,277	)		(418,904	)		52,680			5,981,430		662,395		370,638		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		9,587,554		768,649		(412,877	)		(154,163	)		9,974			9,799,137		951,373		273,676		-
MassMutual Premier International Equity Fund, Class I		13,158,458		833,541		(480,764	)		292,433			23,100			13,826,768		1,004,852		168,838		-
MassMutual Premier Short-Duration Bond Fund, Class I		25,924,710		1,571,723		(2,468,163	)		(576,250	)		6,088			24,458,108		2,409,666		612,417		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		21,139,422		2,321,949		(972,454	)		555,534			228,958			23,273,409		1,743,327		291,095		-
MassMutual Select Blue Chip Growth Fund, Class I		15,565,118		1,362,895		(1,383,177	)		184,455			140,880			15,870,171		785,652		88,526		632,546
MassMutual Select Diversified Value Fund, Class I		14,413,234		5,489,908		(592,215	)		(3,548,943	)		76,276			15,838,260		1,241,243		370,342		4,175,435
MassMutual Select Equity Opportunities Fund, Class I		9,474,280		3,027,134		(581,432	)		(2,392,562	)		135,930			9,663,350		573,152		204,454		2,642,323
MassMutual Select Fundamental Growth Fund, Class I		13,670,179		1,594,911		(724,277	)		(229,093	)		12,739			14,324,459		1,723,762		117,374		898,928
MassMutual Select Fundamental Value Fund, Class I		12,781,718		3,198,932		(528,841	)		(1,391,305	)		(23,480	)		14,037,024		1,209,046		239,825		1,915,713
MassMutual Select Growth Opportunities Fund, Class I		9,742,179		1,757,540		(563,214	)		(911,200	)		(22,421	)		10,002,884		921,076		-		1,272,458
MassMutual Select Large Cap Value Fund, Class I		11,773,664		1,477,890		(480,763	)		20,192			(5,689	)		12,785,294		1,582,338		232,403		529,284
MassMutual Select Mid Cap Growth Fund, Class I		5,460,198		428,602		(1,980,844	)		(398,149	)		361,002			3,870,809		180,289		-		238,696
MassMutual Select Mid-Cap Value Fund, Class I		8,812,281		1,883,206		(1,088,794	)		(882,007	)		143,733			8,868,419		646,858		109,984		1,087,745
MassMutual Select Overseas Fund, Class I		35,334,606		2,621,113		(1,298,063	)		321,740			168,781			37,148,177		3,813,981		713,275		-
MassMutual Select Small Cap Growth Equity Fund, Class I		6,173,500		411,581		(1,243,785	)		(251,166	)		285,408			5,375,538		340,439		-		307,991
MassMutual Select Small Cap Value Equity Fund, Class I		8,570,191		1,010,980		(1,263,446	)		(757,034	)		199,717			7,760,408		466,651		38,744		827,629
MassMutual Select Small Company Value Fund, Class I		3,282,151		729,191		(499,069	)		(567,070	)		126,041			3,071,244		268,700		20,520		511,782
MassMutual Select Strategic Bond Fund, Class I		7,744,285		384,956		(318,569	)		(175,225	)		10,763			7,646,210		733,801		179,304		-
MassMutual Select Total Return Bond Fund, Class I		9,315,547		815,253		(520,139	)		(211,347	)		(11,486	)		9,387,828		962,854		257,887		-
MM Select Bond and Income Asset Fund, Class I		38,613,997		1,150,662		(4,313,994	)		(508,562	)		(108,464	)		34,833,639		3,620,960		575,313		-
MM Select Equity Asset Fund, Class I		194,779,128		18,759,672		(7,985,052	)		(2,535,615	)		1,330,930			204,349,063		17,361,858		4,259,719		7,466,761
Oppenheimer International Bond Fund, Class I**		8,171,317		261,328		(652,316	)		(20,795	)		29,758			7,789,292		1,309,125		92,107		-
Oppenheimer Real Estate Fund, Class I**		2,651,752		493,850		(325,608	)		(59,317	)		3,474			2,764,151		110,788		14,946		96,120
	$	538,785,763	$	58,220,179	$	(33,956,315	)	$	(16,610,752	)	$	3,369,281		$	549,808,156			$	10,224,314	$	25,024,874

299

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2035 Fund
Barings Global Floating Rate Fund, Class Y*	$	591,918	$	15,476	$	(1	)	$	(1,876	)	$	-		$	605,517		63,471	$	6,876	$	-
MassMutual Premier Core Bond Fund, Class I		5,578,681		675,844		(169,497	)		(148,129	)		5,670			5,942,569		551,771		175,974		-
MassMutual Premier Disciplined Growth Fund, Class I		3,668,495		590,327		(198,087	)		(208,781	)		35,890			3,887,844		311,028		34,633		420,595
MassMutual Premier Disciplined Value Fund, Class I		3,538,342		635,307		(110,990	)		(262,980	)		15,297			3,814,976		231,773		73,247		368,758
MassMutual Premier High Yield Fund, Class I		1,882,836		203,309		(397,876	)		(112,101	)		15,692			1,591,860		176,286		97,298		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		2,548,717		261,309		(87,717	)		(41,830	)		2,687			2,683,166		260,502		74,446		-
MassMutual Premier International Equity Fund, Class I		5,281,971		421,243		(145,285	)		113,248			14,680			5,685,857		413,216		69,007		-
MassMutual Premier Short-Duration Bond Fund, Class I		7,377,555		611,511		(979,938	)		(157,247	)		316			6,852,197		675,093		168,821		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		8,469,762		1,200,639		(286,971	)		253,361			66,985			9,703,776		726,875		120,699		-
MassMutual Select Blue Chip Growth Fund, Class I		6,820,903		734,641		(496,584	)		80,442			60,302			7,199,704		356,421		39,586		282,851
MassMutual Select Diversified Value Fund, Class I		6,313,766		2,572,618		(192,051	)		(1,587,315	)		31,434			7,138,452		559,440		165,637		1,867,472
MassMutual Select Equity Opportunities Fund, Class I		3,561,535		1,215,874		(192,238	)		(908,949	)		46,251			3,722,473		220,787		78,118		1,009,588
MassMutual Select Fundamental Growth Fund, Class I		5,989,634		826,864		(248,933	)		(104,560	)		4,377			6,467,382		778,265		52,485		401,964
MassMutual Select Fundamental Value Fund, Class I		5,599,338		1,533,698		(171,474	)		(632,842	)		(1,011	)		6,327,709		545,022		107,269		856,860
MassMutual Select Growth Opportunities Fund, Class I		4,269,955		868,199		(197,804	)		(418,947	)		(283	)		4,521,120		416,309		-		569,095
MassMutual Select Large Cap Value Fund, Class I		5,155,446		758,305		(155,886	)		(363	)		5,430			5,762,932		713,234		103,941		236,720
MassMutual Select Mid Cap Growth Fund, Class I		2,203,011		214,640		(757,882	)		(191,965	)		174,843			1,642,647		76,509		-		100,147
MassMutual Select Mid-Cap Value Fund, Class I		3,545,866		802,967		(397,196	)		(391,006	)		87,820			3,648,451		266,116		45,109		446,134
MassMutual Select Overseas Fund, Class I		14,184,473		1,286,472		(392,207	)		135,051			63,898			15,277,687		1,568,551		291,153		-
MassMutual Select Small Cap Growth Equity Fund, Class I		2,495,080		211,888		(458,548	)		(119,047	)		132,456			2,261,829		143,244		-		127,494
MassMutual Select Small Cap Value Equity Fund, Class I		3,457,044		468,009		(459,863	)		(317,705	)		85,468			3,232,953		194,405		16,007		341,924
MassMutual Select Small Company Value Fund, Class I		1,326,719		322,169		(177,955	)		(233,401	)		50,097			1,287,629		112,653		8,527		212,667
MassMutual Select Strategic Bond Fund, Class I		2,077,408		164,105		(67,358	)		(49,606	)		4,450			2,128,999		204,319		49,538		-
MassMutual Select Total Return Bond Fund, Class I		2,499,436		308,688		(124,429	)		(61,954	)		383			2,622,124		268,936		71,488		-
MM Select Bond and Income Asset Fund, Class I		9,381,718		619,197		(268,746	)		(157,227	)		(6,615	)		9,568,327		994,629		156,719		-
MM Select Equity Asset Fund, Class I		80,660,078		8,015,945		(2,655,389	)		(945,045	)		452,963			85,528,552		7,266,657		1,768,381		3,099,754
Oppenheimer International Bond Fund, Class I**		2,166,773		113,035		(132,749	)		(5,788	)		8,943			2,150,214		361,381		24,973		-
Oppenheimer Real Estate Fund, Class I**		1,132,019		193,741		(102,948	)		(24,259	)		508			1,199,061		48,059		6,403		40,946
	$	201,778,479	$	25,846,020	$	(10,026,602	)	$	(6,500,821	)	$	1,358,931		$	212,456,007			$	3,806,335	$	10,382,969

300

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2040 Fund
Barings Global Floating Rate Fund, Class Y*	$	714,746	$	8,227	$	(3,500	)	$	(2,474	)	$	224		$	717,223		75,181	$	8,228	$	-
MassMutual Premier Core Bond Fund, Class I		7,723,234		798,066		(338,341	)		(186,515	)		(7,080	)		7,989,364		741,817		239,009		-
MassMutual Premier Disciplined Growth Fund, Class I		4,764,116		672,344		(288,505	)		(257,926	)		37,364			4,927,393		394,191		44,368		538,837
MassMutual Premier Disciplined Value Fund, Class I		4,592,080		750,322		(193,294	)		(336,739	)		19,817			4,832,186		293,571		93,811		472,284
MassMutual Premier High Yield Fund, Class I		2,151,917		171,452		(643,383	)		(119,802	)		21,353			1,581,537		175,143		98,765		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		3,303,026		267,389		(159,682	)		(49,680	)		(54	)		3,360,999		326,311		94,216		-
MassMutual Premier International Equity Fund, Class I		8,726,810		549,672		(323,972	)		183,842			24,874			9,161,226		665,787		112,277		-
MassMutual Premier Short-Duration Bond Fund, Class I		10,114,421		732,092		(1,918,222	)		(202,558	)		2,420			8,728,153		859,917		215,893		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		13,750,663		1,973,088		(656,112	)		369,283			144,698			15,581,620		1,167,163		196,225		-
MassMutual Select Blue Chip Growth Fund, Class I		11,894,008		997,382		(955,882	)		127,067			119,023			12,181,598		603,049		67,545		482,627
MassMutual Select Diversified Value Fund, Class I		11,053,553		4,099,159		(450,567	)		(2,686,852	)		36,523			12,051,816		944,500		282,714		3,187,468
MassMutual Select Equity Opportunities Fund, Class I		5,688,046		1,852,331		(279,556	)		(1,439,749	)		59,947			5,881,019		348,815		124,845		1,613,471
MassMutual Select Fundamental Growth Fund, Class I		10,445,984		1,180,599		(538,294	)		(169,605	)		3,028			10,921,712		1,314,285		89,554		685,864
MassMutual Select Fundamental Value Fund, Class I		9,804,232		2,357,994		(401,562	)		(1,080,834	)		1,444			10,681,274		920,006		183,084		1,462,471
MassMutual Select Growth Opportunities Fund, Class I		7,446,570		1,306,347		(404,164	)		(706,510	)		(6,697	)		7,635,546		703,089		-		970,977
MassMutual Select Large Cap Value Fund, Class I		9,029,554		1,052,435		(364,808	)		9,506			2,077			9,728,764		1,204,055		177,417		404,058
MassMutual Select Mid Cap Growth Fund , Class I		3,640,450		288,097		(1,270,494	)		(306,702	)		279,254			2,630,605		122,525		-		163,001
MassMutual Select Mid-Cap Value Fund, Class I		5,873,857		1,225,238		(711,783	)		(644,028	)		148,737			5,892,021		429,761		73,712		729,009
MassMutual Select Overseas Fund, Class I		23,426,506		1,738,847		(876,630	)		172,757			151,008			24,612,488		2,526,949		474,013		-
MassMutual Select Small Cap Growth Equity Fund, Class I		4,132,253		278,368		(779,071	)		(158,618	)		180,972			3,653,904		231,406		-		207,986
MassMutual Select Small Cap Value Equity Fund, Class I		5,733,463		679,211		(819,478	)		(516,166	)		138,808			5,215,838		313,640		26,129		558,160
MassMutual Select Small Company Value Fund, Class I		2,195,548		488,242		(312,969	)		(376,911	)		78,395			2,072,305		181,304		13,897		346,614
MassMutual Select Strategic Bond Fund, Class I		2,861,756		191,743		(131,174	)		(68,357	)		6,916			2,860,884		274,557		67,292		-
MassMutual Select Total Return Bond Fund, Class I		3,449,159		389,372		(221,535	)		(84,631	)		746			3,533,111		362,370		97,344		-
MM Select Bond and Income Asset Fund, Class I		12,643,950		562,972		(689,063	)		(197,193	)		(17,414	)		12,303,252		1,278,924		203,849		-
MM Select Equity Asset Fund, Class I		133,513,435		10,774,569		(5,591,150	)		(1,711,352	)		916,844			137,902,346		11,716,427		2,884,329		5,055,872
Oppenheimer International Bond Fund, Class I**		2,342,930		80,511		(177,694	)		176			2,875			2,248,798		377,949		26,536		-
Oppenheimer Real Estate Fund, Class I**		1,766,807		357,056		(220,519	)		(41,126	)		3,625			1,865,843		74,783		10,171		65,315
	$	322,783,074	$	35,823,125	$	(19,721,404	)	$	(10,481,697	)	$	2,349,727		$	330,752,825			$	5,905,223	$	16,944,014

301

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2045 Fund
Barings Global Floating Rate Fund, Class Y*	$	206,526	$	2,372	$	(2,101	)	$	(715	)	$	66		$	206,148		21,609	$	2,372	$	-
MassMutual Premier Core Bond Fund, Class I		2,733,543		180,736		(91,947	)		(69,316	)		3,130			2,756,146		255,910		81,585		-
MassMutual Premier Disciplined Growth Fund, Class I		1,304,426		208,250		(44,173	)		(69,701	)		6,525			1,405,327		112,426		12,529		152,165
MassMutual Premier Disciplined Value Fund, Class I		1,258,970		244,652		(34,279	)		(93,706	)		3,921			1,379,558		83,813		26,513		133,477
MassMutual Premier High Yield Fund, Class I		647,246		66,189		(216,018	)		(40,482	)		11,897			468,832		51,919		28,546		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		1,096,386		66,016		(62,535	)		(14,248	)		(1,642	)		1,083,977		105,240		30,061		-
MassMutual Premier International Equity Fund, Class I		3,270,404		308,621		(79,763	)		71,437			8,238			3,578,937		260,097		43,465		-
MassMutual Premier Short-Duration Bond Fund, Class I		3,540,614		184,255		(910,656	)		(84,074	)		19,686			2,749,825		270,919		69,778		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		5,138,409		815,799		(161,175	)		153,720			39,096			5,985,849		448,378		76,221		-
MassMutual Select Blue Chip Growth Fund, Class I		4,711,274		495,449		(137,553	)		81,975			15,246			5,166,391		255,762		27,356		195,468
MassMutual Select Diversified Value Fund, Class I		4,400,517		1,724,997		(115,691	)		(1,097,672	)		23,210			4,935,361		386,784		114,596		1,292,018
MassMutual Select Equity Opportunities Fund, Class I		2,069,727		771,938		(56,032	)		(540,021	)		14,602			2,260,214		134,058		47,464		613,415
MassMutual Select Fundamental Growth Fund, Class I		4,137,552		558,303		(112,047	)		(73,182	)		4,308			4,514,934		543,313		36,270		277,784
MassMutual Select Fundamental Value Fund, Class I		3,903,162		1,012,041		(103,166	)		(438,258	)		739			4,374,518		376,789		74,213		592,809
MassMutual Select Growth Opportunities Fund, Class I		2,949,516		587,815		(76,797	)		(293,383	)		3,495			3,170,646		291,956		-		393,259
MassMutual Select Large Cap Value Fund, Class I		3,592,802		480,460		(93,935	)		950			3,696			3,983,973		493,066		71,907		163,765
MassMutual Select Mid Cap Growth Fund, Class I		1,373,311		130,810		(432,948	)		(115,173	)		103,151			1,059,151		49,332		-		64,660
MassMutual Select Mid-Cap Value Fund, Class I		2,201,064		366,965		(231,690	)		(251,712	)		61,915			2,146,542		156,568		28,194		278,845
MassMutual Select Overseas Fund, Class I		8,787,141		922,760		(215,229	)		91,711			31,600			9,617,983		987,473		183,422		-
MassMutual Select Small Cap Growth Equity Fund, Class I		1,557,448		130,286		(131,451	)		(31,693	)		39,468			1,564,058		99,054		-		80,692
MassMutual Select Small Cap Value Equity Fund, Class I		2,155,673		290,484		(258,895	)		(204,183	)		56,802			2,039,881		122,663		10,107		215,905
MassMutual Select Small Company Value Fund, Class I		828,571		199,829		(92,813	)		(147,385	)		30,564			818,766		71,633		5,426		135,342
MassMutual Select Strategic Bond Fund, Class I		1,006,336		55,172		(54,049	)		(23,688	)		2,514			986,285		94,653		22,936		-
MassMutual Select Total Return Bond Fund, Class I		1,214,364		71,121		(72,601	)		(27,173	)		(943	)		1,184,768		121,515		32,273		-
MM Select Bond and Income Asset Fund, Class I		4,368,218		239,185		(454,091	)		(60,079	)		(11,343	)		4,081,890		424,313		66,802		-
MM Select Equity Asset Fund, Class I		50,353,383		5,323,839		(1,326,646	)		(554,231	)		234,799			54,031,144		4,590,582		1,118,013		1,959,739
Oppenheimer International Bond Fund, Class I**		628,699		33,002		(76,104	)		1,064			(639	)		586,022		98,491		6,966		-
Oppenheimer Real Estate Fund, Class I**		718,032		112,285		(57,546	)		(16,146	)		805			757,430		30,358		4,064		26,169
	$	120,153,314	$	15,583,631	$	(5,701,931	)	$	(3,845,364	)	$	704,906		$	126,894,556			$	2,221,079	$	6,575,512

302

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2050 Fund
Barings Global Floating Rate Fund, Class Y*	$	136,018	$	1,562	$	(1,400	)	$	(517	)	$	89		$	135,752		14,230	$	1,562	$	-
MassMutual Premier Core Bond Fund, Class I		1,952,997		165,598		(115,840	)		(51,244	)		3,962			1,955,473		181,567		58,287		-
MassMutual Premier Disciplined Growth Fund, Class I		1,700,706		266,112		(120,241	)		(96,642	)		17,666			1,767,601		141,408		15,852		192,524
MassMutual Premier Disciplined Value Fund, Class I		1,638,898		279,527		(71,464	)		(121,231	)		7,839			1,733,569		105,320		33,519		168,749
MassMutual Premier High Yield Fund, Class I		431,779		38,973		(238,170	)		(26,820	)		12,950			218,712		24,221		13,477		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		768,673		45,925		(50,697	)		(9,830	)		(1,323	)		752,748		73,082		21,013		-
MassMutual Premier International Equity Fund, Class I		4,908,784		420,635		(188,143	)		97,406			20,561			5,259,243		382,212		64,229		-
MassMutual Premier Short-Duration Bond Fund, Class I		2,500,987		129,928		(671,768	)		(58,697	)		13,496			1,913,946		188,566		48,965		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		7,652,179		1,232,839		(380,246	)		190,113			93,234			8,788,119		658,286		112,668		-
MassMutual Select Blue Chip Growth Fund, Class I		7,205,181		689,047		(316,826	)		101,332			46,103			7,724,837		382,418		41,114		293,775
MassMutual Select Diversified Value Fund, Class I		6,727,577		2,542,055		(277,110	)		(1,647,731	)		33,459			7,378,250		578,233		172,195		1,941,413
MassMutual Select Equity Opportunities Fund, Class I		3,073,919		1,125,677		(131,263	)		(803,180	)		32,055			3,297,208		195,564		69,616		899,697
MassMutual Select Fundamental Growth Fund, Class I		6,329,439		788,613		(263,856	)		(106,243	)		3,730			6,751,683		812,477		54,520		417,548
MassMutual Select Fundamental Value Fund, Class I		5,967,533		1,476,578		(247,212	)		(661,835	)		4,391			6,539,455		563,261		111,514		890,769
MassMutual Select Growth Opportunities Fund, Class I		4,510,782		848,361		(183,768	)		(444,650	)		9,576			4,740,301		436,492		-		591,050
MassMutual Select Large Cap Value Fund, Class I		5,494,035		679,449		(224,605	)		(2,868	)		9,844			5,955,855		737,111		108,056		246,091
MassMutual Select Mid Cap Growth Fund, Class I		2,064,322		195,404		(700,441	)		(168,645	)		151,522			1,542,162		71,829		-		94,829
MassMutual Select Mid-Cap Value Fund, Class I		3,314,744		545,739		(392,563	)		(384,895	)		101,578			3,184,603		232,283		42,034		415,715
MassMutual Select Overseas Fund, Class I		13,191,571		1,267,413		(507,863	)		105,736			76,383			14,133,240		1,451,051		270,856		-
MassMutual Select Small Cap Growth Equity Fund, Class I		2,342,959		191,840		(245,576	)		(59,712	)		71,496			2,301,007		145,726		-		119,370
MassMutual Select Small Cap Value Equity Fund, Class I		3,244,562		428,856		(450,096	)		(304,234	)		86,743			3,005,831		180,748		14,975		319,896
MassMutual Select Small Company Value Fund, Class I		1,246,006		296,621		(170,875	)		(224,328	)		52,349			1,199,773		104,967		7,999		199,493
MassMutual Select Strategic Bond Fund, Class I		722,688		39,091		(43,580	)		(15,384	)		229			703,044		67,471		16,444		-
MassMutual Select Total Return Bond Fund, Class I		871,386		51,971		(52,007	)		(18,370	)		(1,891	)		851,089		87,291		23,317		-
MM Select Bond and Income Asset Fund, Class I		3,155,030		190,581		(389,544	)		(41,558	)		(9,657	)		2,904,852		301,960		47,836		-
MM Select Equity Asset Fund, Class I		75,771,776		7,271,674		(3,141,663	)		(998,722	)		528,316			79,431,381		6,748,630		1,652,398		2,896,449
Oppenheimer International Bond Fund, Class I**		400,526		21,599		(54,925	)		56			209			367,465		61,759		4,380		-
Oppenheimer Real Estate Fund, Class I**		1,043,017		213,219		(127,616	)		(24,602	)		2,084			1,106,102		44,333		5,951		38,383
	$	168,368,074	$	21,444,887	$	(9,759,358	)	$	(5,777,295	)	$	1,366,993		$	175,643,301			$	3,012,777	$	9,725,751

303

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2055 Fund
Barings Global Floating Rate Fund, Class Y*	$	30,711	$	1,058	$	-		$	(97	)	$	-		$	31,672		3,320	$	358	$	-
MassMutual Premier Core Bond Fund, Class I		470,659		59,044		(30,842	)		(11,729	)		18			487,150		45,232		14,420		-
MassMutual Premier Disciplined Growth Fund, Class I		408,169		82,351		(30,680	)		(24,575	)		4,742			440,007		35,201		3,919		47,595
MassMutual Premier Disciplined Value Fund, Class I		394,193		85,144		(19,241	)		(30,237	)		2,101			431,960		26,243		8,294		41,754
MassMutual Premier High Yield Fund, Class I		106,889		17,558		(59,442	)		(6,331	)		2,544			61,218		6,779		3,694		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		184,367		19,040		(13,198	)		(2,556	)		(203	)		187,450		18,199		5,195		-
MassMutual Premier International Equity Fund, Class I		1,170,594		155,393		(49,626	)		21,542			7,043			1,304,946		94,836		15,839		-
MassMutual Premier Short-Duration Bond Fund, Class I		601,525		57,150		(167,968	)		(14,406	)		3,175			479,476		47,239		12,154		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		1,852,796		372,420		(100,362	)		50,738			18,333			2,193,925		164,339		27,919		-
MassMutual Select Blue Chip Growth Fund, Class I		1,727,748		243,401		(86,123	)		11,799			23,368			1,920,193		95,059		10,149		72,518
MassMutual Select Diversified Value Fund, Class I		1,612,990		693,730		(73,091	)		(416,265	)		16,806			1,834,170		143,744		42,513		479,315
MassMutual Select Equity Opportunities Fund, Class I		740,393		306,144		(34,622	)		(199,126	)		8,270			821,059		48,699		17,210		222,417
MassMutual Select Fundamental Growth Fund, Class I		1,517,514		259,202		(72,166	)		(38,243	)		12,053			1,678,360		201,969		13,458		103,073
MassMutual Select Fundamental Value Fund, Class I		1,431,213		422,619		(65,206	)		(175,692	)		12,923			1,625,857		140,039		27,534		219,939
MassMutual Select Growth Opportunities Fund, Class I		1,081,364		253,563		(48,472	)		(115,975	)		8,135			1,178,615		108,528		-		145,919
MassMutual Select Large Cap Value Fund, Class I		1,316,770		222,011		(59,243	)		(13,869	)		14,964			1,480,633		183,247		26,678		60,758
MassMutual Select Mid Cap Growth Fund, Class I		494,782		67,442		(166,163	)		(30,364	)		25,672			391,369		18,229		-		23,830
MassMutual Select Mid-Cap Value Fund, Class I		788,311		160,730		(95,888	)		(81,364	)		11,891			783,680		57,161		10,275		101,624
MassMutual Select Overseas Fund, Class I		3,151,675		446,610		(134,024	)		15,743			27,956			3,507,960		360,160		66,784		-
MassMutual Select Small Cap Growth Equity Fund, Class I		561,091		69,765		(60,838	)		(9,277	)		11,917			572,658		36,267		-		29,488
MassMutual Select Small Cap Value Equity Fund, Class I		775,145		134,802		(109,105	)		(71,067	)		16,853			746,628		44,896		3,692		78,876
MassMutual Select Small Company Value Fund, Class I		299,088		84,600		(41,206	)		(49,837	)		7,143			299,788		26,228		1,983		49,459
MassMutual Select Strategic Bond Fund, Class I		173,408		16,648		(11,344	)		(3,786	)		48			174,974		16,792		4,062		-
MassMutual Select Total Return Bond Fund, Class I		209,089		21,158		(14,141	)		(4,390	)		(600	)		211,116		21,653		5,739		-
MM Select Bond and Income Asset Fund, Class I		757,171		76,656		(96,526	)		(10,190	)		(2,450	)		724,661		75,329		11,835		-
MM Select Equity Asset Fund, Class I		18,188,016		2,522,107		(828,995	)		(265,195	)		141,275			19,757,208		1,678,607		408,030		715,227
Oppenheimer International Bond Fund, Class I**		97,245		10,582		(15,415	)		(674	)		740			92,478		15,543		1,085		-
Oppenheimer Real Estate Fund, Class I**		273,447		66,711		(45,402	)		(6,462	)		110			288,404		11,559		1,556		10,090
	$	40,416,363	$	6,927,639	$	(2,529,329	)	$	(1,481,885	)	$	374,827		$	43,707,615			$	744,375	$	2,401,882

304

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/17		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/17		Number of Shares Held as of 12/31/17		Dividend Income		Realized Gains Distributions
MM RetireSMART 2060 Fund
Barings Global Floating Rate Fund, Class Y*	$	9,753	$	113	$	-		$	(31	)	$	-		$	9,835		1,031	$	113	$	-
MassMutual Premier Core Bond Fund, Class I		144,726		9,603		(10,748	)		(3,191	)		(414	)		139,976		12,997		4,395		-
MassMutual Premier Disciplined Growth Fund, Class I		125,674		18,060		(10,784	)		(7,211	)		1,263			127,002		10,160		1,191		14,472
MassMutual Premier Disciplined Value Fund, Class I		121,261		18,663		(6,944	)		(9,375	)		834			124,439		7,560		2,520		12,686
MassMutual Premier High Yield Fund, Class I		32,368		2,120		(18,560	)		(1,979	)		875			14,824		1,642		1,074		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		56,759		2,650		(4,630	)		(743	)		(120	)		53,916		5,235		1,580		-
MassMutual Premier International Equity Fund, Class I		361,436		27,329		(18,285	)		6,890			1,887			379,257		27,562		4,822		-
MassMutual Premier Short-Duration Bond Fund, Class I		184,623		7,168		(52,773	)		(4,237	)		831			135,612		13,361		3,690		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		569,658		76,271		(36,986	)		12,369			8,760			630,072		47,196		8,487		-
MassMutual Select Blue Chip Growth Fund, Class I		531,888		44,202		(30,908	)		9,248			1,729			556,159		27,533		3,089		22,072
MassMutual Select Diversified Value Fund, Class I		496,753		183,150		(26,932	)		(118,637	)		(2,758	)		531,576		41,660		12,938		145,870
MassMutual Select Equity Opportunities Fund, Class I		227,886		80,022		(12,758	)		(55,445	)		(2,622	)		237,083		14,062		5,235		67,657
MassMutual Select Fundamental Growth Fund, Class I		467,062		52,815		(25,991	)		(6,519	)		(1,248	)		486,119		58,498		4,096		31,372
MassMutual Select Fundamental Value Fund, Class I		440,632		103,867		(24,027	)		(46,245	)		(3,268	)		470,959		40,565		8,379		66,932
MassMutual Select Growth Opportunities Fund, Class I		332,977		58,576		(17,860	)		(30,876	)		(1,765	)		341,052		31,404		-		44,413
MassMutual Select Large Cap Value Fund, Class I		405,548		44,820		(21,829	)		515			(133	)		428,921		53,084		8,119		18,491
MassMutual Select Mid Cap Growth Fund , Class I		152,465		12,364		(53,358	)		(6,881	)		5,529			110,119		5,129		-		7,201
MassMutual Select Mid-Cap Value Fund, Class I		243,463		37,942		(31,745	)		(21,142	)		(81	)		228,437		16,662		3,138		31,033
MassMutual Select Overseas Fund, Class I		971,536		83,332		(49,388	)		5,277			8,169			1,018,926		104,612		20,338		-
MassMutual Select Small Cap Growth Equity Fund, Class I		172,869		12,082		(20,606	)		869			(22	)		165,192		10,462		-		8,969
MassMutual Select Small Cap Value Equity Fund, Class I		238,881		29,174		(36,008	)		(20,945	)		4,578			215,680		12,969		1,124		24,013
MassMutual Select Small Company Value Fund, Class I		92,042		20,762		(13,761	)		(11,847	)		(1,108	)		86,088		7,532		602		15,023
MassMutual Select Strategic Bond Fund, Class I		53,399		2,209		(4,046	)		(1,228	)		76			50,410		4,838		1,236		-
MassMutual Select Total Return Bond Fund, Class I		64,447		2,941		(4,986	)		(1,481	)		(55	)		60,866		6,243		1,749		-
MM Select Bond and Income Asset Fund, Class I		232,947		10,699		(32,229	)		(2,878	)		(1,011	)		207,528		21,573		3,597		-
MM Select Equity Asset Fund, Class I		5,595,385		455,797		(305,488	)		(83,318	)		46,485			5,708,861		485,035		124,180		217,672
Oppenheimer International Bond Fund, Class I**		29,816		1,058		(4,953	)		12			-			25,933		4,359		328		-
Oppenheimer Real Estate Fund, Class I**		81,785		7,577		(13,345	)		(1,773	)		(55	)		74,189		2,974		432		2,890
	$	12,438,039	$	1,405,366	$	(889,928	)	$	(400,802	)	$	66,356		$	12,619,031			$	226,452	$	730,766

* Fund advised by Barings LLC.

** Fund advised by OFI Global Asset Management, Inc.

305

Notes to Portfolio of Investments (Unaudited) (Continued)

5.    New Accounting Pronouncements

In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments, for all reporting periods ending after August 1, 2017. Management is still evaluating the impact of the Rule; however, the Funds have adopted the Rule’s Regulation S-X amendments and the Funds’ financial statements are in compliance with those amendments.

In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.

6. Legal Proceedings

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.

The potential amounts sought to be recovered from the Diversified Value Fund and S&P 500 Index Fund, plus interest and the Official Committee’s court costs, are approximately $1,621,800 and $1,186,430, respectively.

In addition, on June 2, 2011, the Diversified Value Fund and S&P 500 Index Fund were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.

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.

7. Subsequent Events

Management has evaluated the events and transactions subsequent to December 31, 2017, through the date when the Portfolios of Investments were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ Portfolios of Investments other than those disclosed below.

Effective January 29, 2018, the MassMutual Select Large Cap Value Fund merged into the MassMutual Select Diversified Value Fund. Under the terms of the Agreement and Plan of Reorganization, the Large Cap Value Fund’s assets and liabilities were transferred to the Diversified Value Fund in return for shares of the Diversified Value Fund. Those shares were distributed pro rata to shareholders of the Large Cap Value Fund in exchange for their Fund shares. Shareholders of the Large Cap Value Fund thus became shareholders of the Diversified Value Fund and received shares of the Diversified Value Fund with a value equal to their shares of the Large Cap Value Fund at the time of the reorganization. The reorganization was a tax-free event for federal income tax purposes.

306

Item 2. 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-Q, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-Q 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 3. Exhibits.

(a) 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.

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	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date	2/26/2018

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	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date	2/26/2018
By	/s/ Renee Hitchcock
	Renee Hitchcock, Treasurer and Principal Financial Officer
Date	2/26/2018