MassMutual Select Total Return Bond Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 98.9%
BANK LOANS — 0.9%
Advertising — 0.1%
Broadcom, Inc., 2019 1st Lien Term Loan A3, 0.000% 11/04/22 (a)	$	500,000	$	496,875
Aerospace & Defense — 0.0%
TransDigm, Inc., 2018 Term Loan E, 1 mo. LIBOR + 2.500% 4.299% VRN 5/30/25		197,985		198,413
Auto Parts & Equipment — 0.0%
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.500% 5.305% VRN 4/30/26		249,375		249,844
Commercial Services — 0.0%
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 1 mo. LIBOR + 1.750% 3.515% VRN 1/15/25		126,810		127,549
Diversified Financial Services — 0.3%
Delos Finance S.A.R.L., 2018 Term Loan B, 3 mo. LIBOR + 1.750% 3.695% VRN 10/06/23		2,310,000		2,317,692
Entertainment — 0.0%
Churchill Downs, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.000% 3.800% VRN 12/27/24		98,492		98,862
Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 1 mo. LIBOR + 2.250% 4.049% VRN 10/15/25		173,250		173,790
				272,652
Environmental Controls — 0.0%
Clean Harbors, Inc., 2017 Term Loan B, 1 mo. LIBOR + 1.750% 3.549% VRN 6/28/24		98,485		99,076
Health Care – Services — 0.0%
Gentiva Health Services, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.750% 5.563% VRN 7/02/25		88,875		89,264
MPH Acquisition Holdings LLC, 2016 Term Loan B, 3 mo. LIBOR + 2.750% 4.695% VRN 6/07/23		103,134		101,531
				190,795
Lodging — 0.0%
Caesars Entertainment Operating Co., Exit Term Loan, 1 mo. LIBOR + 2.000% 3.799% VRN 10/07/24		106,265		106,815
Machinery – Construction & Mining — 0.0%
CommScope, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.250% 5.049% VRN 4/06/26		299,250		300,839
Media — 0.1%
CSC Holdings LLC, 2018 Incremental Term Loan, 1 mo. LIBOR + 2.250% 3.990% VRN 1/15/26		426,775		426,775
Telenet Financing USD LLC, USD Term Loan AN, 1 mo. LIBOR + 2.250% 3.990% VRN 8/15/26		300,000		301,437
				728,212
Packaging & Containers — 0.0%
Berry Global, Inc., USD Term Loan U, 3 mo. LIBOR + 2.500% 4.215% VRN 7/01/26		298,500		298,999
Real Estate Investment Trusts (REITS) — 0.0%
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 1 mo. LIBOR + 2.000% 3.799% VRN 3/21/25		108,772		109,134
Retail — 0.1%
1011778 B.C. Unlimited Liability Co., Term Loan B4, 1 mo. LIBOR + 1.750% 3.549% VRN 11/19/26		377,315		377,688
Software — 0.1%
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.500% 4.299% VRN 3/01/24		195,228		195,747
IQVIA, Inc., 2017 USD Term Loan B2, 3 mo. LIBOR + 1.750% 3.695% VRN 1/17/25		162,506		163,156
SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4, 1 mo. LIBOR + 2.250% 4.049% VRN 4/16/25		32,503		32,712
SS&C Technologies, Inc., 2018 Term Loan B3, 1 mo. LIBOR + 2.250% 4.049% VRN 4/16/25		46,235		46,533
				438,148
Telecommunications — 0.2%
Frontier Communications Corp., 2017 Term Loan B1, 1 mo. LIBOR + 3.750% 5.650% VRN 6/15/24		548,593		550,497
SBA Senior Finance II LLC, 2018 Term Loan B, 1 mo. LIBOR + 1.750% 3.550% VRN 4/11/25		492,500		493,938
Sprint Communications, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% 4.313% VRN 2/02/24		246,203		243,802
				1,288,237

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
Transportation — 0.0%
PODS LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.750% 4.490% VRN 12/06/24	$	128,036	$	128,556
TOTAL BANK LOANS (Cost $7,688,892)				7,729,524
CORPORATE DEBT — 23.2%
Agriculture — 0.4%
BAT Capital Corp. 4.390% 8/15/37		340,000		344,305
4.540% 8/15/47		1,845,000		1,855,558
Reynolds American, Inc. 5.850% 8/15/45		930,000		1,067,355
				3,267,218
Airlines — 0.7%
America West Airlines, Inc. 8.057% 1/02/22		568,061		584,433
Continental Airlines, Inc. 8.048% 5/01/22		655,230		667,699
5.983% 10/19/23		3,074,245		3,234,012
US Airways, Inc. 7.125% 4/22/25		886,700		995,862
				5,482,006
Auto Manufacturers — 1.7%
Daimler Finance NA LLC 2.000% 7/06/21 (b)		860,000		858,352
2.200% 10/30/21 (b)		1,305,000		1,307,183
Ford Motor Credit Co. LLC 2.343% 11/02/20		1,270,000		1,267,667
2.425% 6/12/20		570,000		569,651
3 mo. USD LIBOR + .810% 2.853% FRN 4/05/21		3,255,000		3,239,823
3 mo. USD LIBOR + .880% 2.881% FRN 10/12/21		455,000		451,096
3.339% 3/28/22		955,000		964,718
3.813% 10/12/21		520,000		529,639
4.250% 9/20/22		435,000		450,004
5.596% 1/07/22		2,326,000		2,451,333
5.875% 8/02/21		500,000		523,463
General Motors Co. 4.875% 10/02/23		150,000		160,989
General Motors Financial Co., Inc. 3.450% 4/10/22		1,400,000		1,431,831
				14,205,749
Banks — 2.3%
Bank of America Corp. 3 mo. USD LIBOR + .790% 3.004% VRN 12/20/23		425,000		434,922
3 mo. USD LIBOR + 1.070% 3.970% VRN 3/05/29		1,000,000		1,089,772
Discover Bank 4.200% 8/08/23		2,120,000		2,253,803
Global Bank Corp. 5.250% VRN 4/16/29 (b) (c)		200,000		215,000
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.201% 3.272% VRN 9/29/25		3,470,000		3,592,505
JP Morgan Chase & Co. 3 mo. USD LIBOR + 1.000% 4.023% VRN 12/05/24		2,130,000		2,271,586
Lloyds Banking Group PLC 3 mo. USD LIBOR + 1.249% 2.858% VRN 3/17/23		1,300,000		1,317,965
3 mo. USD LIBOR + .810% 2.907% VRN 11/07/23		1,300,000		1,319,596
Morgan Stanley 5.500% 1/26/20		2,000,000		2,004,248
Santander UK Group Holdings PLC 2.875% 8/05/21		1,000,000		1,009,318
Wells Fargo & Co. 3 mo. USD LIBOR + .825% 2.406% VRN 10/30/25		75,000		75,071
3.000% 4/22/26		1,345,000		1,383,582
Wells Fargo Bank NA 3 mo. USD LIBOR + .650% 2.082% VRN 9/09/22		1,816,000		1,818,814
				18,786,182
Beverages — 0.2%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. 4.900% 2/01/46		865,000		1,025,996
Bacardi Ltd. 4.700% 5/15/28 (b)		460,000		501,438
5.300% 5/15/48 (b)		430,000		499,608
				2,027,042
Biotechnology — 0.2%
Amgen, Inc. 4.400% 5/01/45		1,680,000		1,882,522
Chemicals — 0.2%
International Flavors & Fragrances, Inc. 5.000% 9/26/48		1,265,000		1,436,269
Commercial Services — 0.2%
IHS Markit Ltd. 4.000% 3/01/26 (b)		124,000		130,753
4.750% 2/15/25 (b)		505,000		551,672
4.750% 8/01/28		750,000		835,324
5.000% 11/01/22 (b)		335,000		357,097
				1,874,846
Diversified Financial Services — 1.2%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		250,000		258,039

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
Air Lease Corp. 4.750% 3/01/20	$	1,465,000	$	1,470,858
GE Capital International Funding Co. 2.342% 11/15/20		1,725,000		1,726,392
GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35		4,158,000		4,447,954
Park Aerospace Holdings Ltd. 4.500% 3/15/23 (b)		345,000		361,215
5.250% 8/15/22 (b)		1,245,000		1,326,423
				9,590,881
Electric — 1.5%
AEP Texas, Inc. 3.850% 10/01/25 (b)		2,000,000		2,085,805
Alabama Power Co. 3.950% 6/01/21		2,100,000		2,153,537
Ameren Illinois Co. 3.700% 12/01/47		480,000		515,429
Consolidated Edison Co. of New York, Inc. 4.650% 12/01/48		1,000,000		1,217,253
Duke Energy Carolinas LLC 3.700% 12/01/47		738,000		794,234
Entergy Louisiana LLC 3.780% 4/01/25		1,250,000		1,318,025
FirstEnergy Transmission LLC 5.450% 7/15/44 (b)		600,000		757,016
Metropolitan Edison Co. 4.000% 4/15/25 (b)		985,000		1,049,156
MidAmerican Energy Co. 4.400% 10/15/44		1,905,000		2,247,982
				12,138,437
Entertainment — 0.1%
Churchill Downs, Inc. 5.500% 4/01/27 (b)		394,000		417,640
Foods — 1.0%
Conagra Brands, Inc. 5.300% 11/01/38		545,000		647,256
Kraft Heinz Foods Co. 4.375% 6/01/46		1,000,000		985,770
4.875% 10/01/49 (b)		1,220,000		1,287,705
5.000% 6/04/42		1,965,000		2,099,641
5.200% 7/15/45		1,750,000		1,900,412
The Kroger Co. 5.400% 1/15/49		850,000		1,038,394
Post Holdings, Inc. 5.500% 12/15/29 (b)		500,000		533,150
				8,492,328
Gas — 0.2%
KeySpan Gas East Corp. 5.819% 4/01/41 (b)		1,337,000		1,730,022
Health Care – Products — 0.0%
Teleflex, Inc. 4.625% 11/15/27		226,000		239,517
Health Care – Services — 1.1%
Aetna, Inc. 3.500% 11/15/24		500,000		523,463
Anthem, Inc. 3.500% 8/15/24		2,000,000		2,096,948
CHS/Community Health Systems, Inc. 8.000% 3/15/26 (b)		184,000		189,520
8.625% 1/15/24 (b)		123,000		130,380
Encompass Health Corp. 4.750% 2/01/30		415,000		430,562
HCA, Inc. 5.125% 6/15/39		650,000		716,433
5.250% 4/15/25		644,000		720,578
5.250% 6/15/49		1,000,000		1,117,929
Molina Healthcare, Inc. 5.375% STEP 11/15/22		460,000		488,971
Providence St. Joseph Health Obligated Group 2.746% 10/01/26		2,000,000		2,019,585
Tenet Healthcare Corp. 4.875% 1/01/26 (b)		150,000		157,110
5.125% 11/01/27 (b)		342,000		361,237
WellCare Health Plans, Inc. 5.250% 4/01/25		255,000		265,200
				9,217,916
Household Products & Wares — 0.1%
Central Garden & Pet Co. 5.125% 2/01/28		22,000		22,770
Spectrum Brands, Inc. 5.750% 7/15/25		500,000		521,885
				544,655
Insurance — 1.2%
Farmers Exchange Capital II 3 mo. USD LIBOR + 3.744% 6.151% VRN 11/01/53 (b)		1,750,000		2,066,868
Farmers Exchange Capital III 3 mo. USD LIBOR + 3.454% 5.454% VRN 10/15/54 (b)		3,290,000		3,788,317
Teachers Insurance & Annuity Association of America 3 mo. USD LIBOR + 2.661% 4.375% VRN 9/15/54 (b)		4,000,000		4,173,869
				10,029,054
Media — 0.4%
CCO Holdings LLC/CCO Holdings Capital Corp. 5.375% 6/01/29 (b)		329,000		352,030

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
Charter Communications Operating LLC/Charter Communications Operating Capital 3.750% 2/15/28	$	1,220,000	$	1,265,521
CSC Holdings LLC 5.375% 2/01/28 (b)		50,000		53,313
ViacomCBS, Inc. 3.875% 4/01/24		891,000		943,562
Virgin Media Secured Finance PLC 5.500% 5/15/29 (b)		466,000		493,377
				3,107,803
Miscellaneous – Manufacturing — 0.5%
General Electric Co. 5.550% 5/04/20		875,000		884,393
4.625% 1/07/21		1,195,000		1,222,158
6.750% 3/15/32		890,000		1,143,395
5.875% 1/14/38		716,000		870,341
4.125% 10/09/42		370,000		381,708
				4,501,995
Oil & Gas — 1.1%
Antero Resources Corp. 5.000% 3/01/25 (d)		813,000		609,750
5.125% 12/01/22		392,000		349,860
5.625% 6/01/23 (d)		125,000		100,313
Canadian Natural Resources Ltd. 3.850% 6/01/27		375,000		399,399
EQT Corp. 3.900% 10/01/27 (d)		1,895,000		1,763,112
KazMunayGas National Co. JSC 5.375% 4/24/30 (b)		200,000		231,540
Matador Resources Co. 5.875% 9/15/26		265,000		265,662
Occidental Petroleum Corp. 4.500% 7/15/44		400,000		404,119
Petrobras Global Finance BV 5.093% 1/15/30 (b)		151,000		161,798
Petroleos Mexicanos 6.500% 1/23/29		870,000		915,240
6.625% 6/15/35		2,100,000		2,151,450
7.690% 1/23/50 (b)		850,000		927,639
Range Resources Corp. 4.875% 5/15/25 (d)		403,000		344,565
Transocean Guardian Ltd. 5.875% 1/15/24 (b)		302,600		309,408
Transocean Pontus Ltd. 6.125% 8/01/25 (b)		357,780		366,725
Transocean Poseidon Ltd. 6.875% 2/01/27 (b)		233,000		246,980
				9,547,560
Oil & Gas Services — 0.0%
Transocean Proteus Ltd. 6.250% 12/01/24 (b)		119,700		123,291
USA Compression Partners LP / USA Compression Finance Corp. 6.875% 9/01/27		217,000		226,027
				349,318
Packaging & Containers — 0.4%
Amcor Finance USA, Inc. 4.500% 5/15/28 (b)		965,000		1,032,161
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 4.125% 8/15/26 (b)		170,000		174,250
Ball Corp. 4.000% 11/15/23		200,000		210,000
Matthews International Corp. 5.250% 12/01/25 (b)		275,000		275,000
OI European Group BV 4.000% 3/15/23 (b)		75,000		75,562
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 3 mo. USD LIBOR + 3.500% 5.501% FRN 7/15/21 (b)		665,000		665,831
5.750% 10/15/20		600,847		601,598
WRKCo, Inc. 4.900% 3/15/29		450,000		512,185
				3,546,587
Pharmaceuticals — 2.5%
AbbVie, Inc. 4.250% 11/21/49 (b)		1,475,000		1,566,182
4.450% 5/14/46		1,848,000		1,979,369
Allergan Finance LLC 3.250% 10/01/22		1,000,000		1,022,149
Allergan Funding SCS 4.550% 3/15/35		576,000		629,693
Bausch Health Cos., Inc. 7.000% 3/15/24 (b)		152,000		158,080
Bayer US Finance II LLC 4.375% 12/15/28 (b)		2,535,000		2,767,174
4.625% 6/25/38 (b)		1,310,000		1,423,906
4.875% 6/25/48 (b)		760,000		871,385
Bayer US Finance LLC 3.375% 10/08/24 (b)		760,000		783,431
Becton Dickinson and Co. 3 mo. USD LIBOR + .875% 2.836% FRN 12/29/20		1,312,000		1,312,644
Bristol-Myers Squibb Co. 3.450% 11/15/27 (b)		500,000		535,136
Cigna Corp. 3.050% 10/15/27 (b)		1,395,000		1,414,878
4.125% 11/15/25		2,000,000		2,170,487

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
CVS Health Corp. 3.250% 8/15/29	$	425,000	$	431,945
5.050% 3/25/48		2,610,000		3,092,919
5.125% 7/20/45		610,000		723,652
				20,883,030
Pipelines — 1.5%
Energy Transfer Operating LP 5.500% 6/01/27		264,000		296,803
5.875% 1/15/24		1,000,000		1,107,140
Energy Transfer Partners LP 5.950% 10/01/43		750,000		837,775
EQM Midstream Partners LP 5.500% 7/15/28		795,000		781,432
Kinder Morgan Energy Partners LP 3.500% 9/01/23		1,006,000		1,042,614
Kinder Morgan, Inc. 5.550% 6/01/45		1,000,000		1,190,085
Peru LNG SRL 5.375% 3/22/30 (b)		200,000		197,002
Plains All American Pipeline LP/PAA Finance Corp. 4.650% 10/15/25		500,000		535,759
Rockies Express Pipeline LLC 4.950% 7/15/29 (b)		1,000,000		997,082
6.875% 4/15/40 (b)		745,000		774,800
Sunoco Logistics Partners Operations LP 4.250% 4/01/24		650,000		683,599
5.400% 10/01/47		1,275,000		1,386,280
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.875% 1/15/29 (b)		162,000		179,820
TC PipeLines LP 3.900% 5/25/27		1,500,000		1,568,455
Williams Cos., Inc. 4.000% 9/15/25		1,000,000		1,061,044
				12,639,690
Real Estate Investment Trusts (REITS) — 1.7%
American Campus Communities Operating Partnership LP 3.350% 10/01/20		3,000,000		3,024,930
Boston Properties LP 3.850% 2/01/23		1,000,000		1,047,885
GLP Capital LP/GLP Financing II, Inc. 4.000% 1/15/30		615,000		627,730
5.250% 6/01/25		500,000		548,800
5.300% 1/15/29		620,000		688,634
5.375% 4/15/26		1,680,000		1,857,072
Healthpeak Properties, Inc. 4.250% 11/15/23		1,206,000		1,287,033
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 5.625% 5/01/24		450,000		492,183
SL Green Operating Partnership LP 3.250% 10/15/22		1,000,000		1,024,687
Ventas Realty LP 3.750% 5/01/24		1,050,000		1,102,987
3.850% 4/01/27		1,000,000		1,056,192
Welltower, Inc. 3.750% 3/15/23		1,300,000		1,356,655
				14,114,788
Retail — 0.2%
Alimentation Couche-Tard, Inc. 2.700% 7/26/22 (b)		425,000		429,672
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750% 6/01/27 (b)		300,000		315,750
Rite Aid Corp. 6.125% 4/01/23 (b)		811,000		746,120
				1,491,542
Savings & Loans — 0.1%
Nationwide Building Society 3 mo. USD LIBOR + 1.181% 3.622% VRN 4/26/23 (b)		620,000		637,774
3 mo. USD LIBOR + 1.392% 4.363% VRN 8/01/24 (b)		300,000		318,283
				956,057
Semiconductors — 0.3%
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.000% 1/15/22		1,965,000		1,994,070
NXP BV/NXP Funding LLC 4.125% 6/01/21 (b)		500,000		512,644
				2,506,714
Software — 0.1%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.750% 3/01/25 (b)		255,000		262,012
IQVIA, Inc. 5.000% 5/15/27 (b)		266,000		281,389
SS&C Technologies, Inc. 5.500% 9/30/27 (b)		245,000		261,538
				804,939
Telecommunications — 2.1%
AT&T, Inc. 4.800% 6/15/44		3,050,000		3,480,035
4.850% 3/01/39		366,000		422,152
5.250% 3/01/37		1,875,000		2,240,220

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
Intelsat Jackson Holdings SA 8.500% 10/15/24 (b)	$	378,000	$	344,294
9.750% 7/15/25 (b)		1,379,000		1,275,575
Koninklijke KPN NV 8.375% 10/01/30		520,000		724,148
Level 3 Financing, Inc. 4.625% 9/15/27 (b)		166,000		169,951
5.375% 5/01/25		166,000		171,810
Sprint Communications, Inc. 7.000% 3/01/20 (b)		593,000		596,155
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 3.360% STEP 3/20/23 (b)		848,750		856,304
4.738% 9/20/29 (b)		2,685,000		2,843,361
T-Mobile USA, Inc. 4.500% 2/01/26		400,000		410,000
4.750% 2/01/28		175,000		183,367
6.000% 3/01/23		94,000		95,692
6.000% 4/15/24		279,000		288,067
6.500% 1/15/24		301,000		309,660
Vodafone Group PLC 4.875% 6/19/49		1,260,000		1,461,220
5.250% 5/30/48		1,300,000		1,561,589
				17,433,600
TOTAL CORPORATE DEBT (Cost $182,657,310)				193,245,907
MUNICIPAL OBLIGATIONS — 1.6%
New York City Water & Sewer System 6.124% 6/15/42		7,825,000		7,963,738
6.124% 6/15/42		2,175,000		2,216,912
New York State Dormitory Authority 5.051% 9/15/27		600,000		702,618
State of California 7.950% 3/01/36		2,100,000		2,119,866
				13,003,134
TOTAL MUNICIPAL OBLIGATIONS (Cost $13,181,886)				13,003,134
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 15.4%
Commercial MBS — 2.4%
BAMLL Commercial Mortgage Securities Trust, Series 2018-PARK, Class A, 4.091% VRN 8/10/38 (b) (c)		1,280,000		1,407,077
BX Trust, Series 2019-OC11, Class A 3.202% 12/09/41 (b)		420,000		431,090
CALI Mortgage Trust, Series 2019-101C, Class A 3.957% 3/10/39 (b)		945,000		1,030,768
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class A 2.808% 4/10/28 (b)		900,000		900,636
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A 3.251% 5/10/35 (b)		1,310,000		1,346,388
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.778% VRN 11/10/31 (b) (c)		1,220,000		1,240,824
Commercial Mortgage Trust Series 2016-787S, Class A, 3.545% 2/10/36 (b)		1,280,000		1,341,788
Series 2014-277P, Class A, 3.611% VRN 8/10/49 (b) (c)		1,340,000		1,411,633
Series 2013-300P, Class A1, 4.353% 8/10/30 (b)		1,240,000		1,323,958
CPT Mortgage Trust, Series 2019-CPT, Class A 2.865% 11/13/39 (b)		805,000		808,857
DC Office Trust, Series 2019-MTC, Class A 2.965% 9/15/45 (b)		860,000		871,506
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K157, Class A2, 3.990% VRN 5/25/33 (c)		2,635,000		2,930,512
Hudson Yards Mortgage Trust Series 2019-55HY, Class A, 3.041% 12/10/41 (b)		860,000		874,703
Series 2019-30HY, Class A, 3.228% 7/10/39 (b)		880,000		911,075
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A 3.397% 6/05/39 (b)		900,000		941,708
One Bryant Park Trust, Series 2019-OBP, Class A 2.516% 9/15/54 (b)		1,085,000		1,056,506
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, 3.834% VRN 1/15/32 (b) (c)		1,320,000		1,385,991
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2B, 4.144% VRN 1/05/43 (b) (c)		120,000		123,742
				20,338,762

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
Home Equity ABS — 1.1%
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W2, Series 2005-W2, Class M1, 1 mo. USD LIBOR + .490% 2.282% FRN 10/25/35	$	4,500,000	$	4,463,215
Bear Stearns Asset-Backed Securities Trust, Series 2007-HE4, Class 1A2, 1 mo. USD LIBOR + .190% 1.982% FRN 5/25/35		120,735		120,179
Home Equity Asset Trust, Series 2006-3, Class 1A1, 1 mo. USD LIBOR + .200% 1.992% FRN 7/25/36		1,082,188		1,075,044
Option One Mortgage Loan Trust, Series 2006-1, Class 1A1, 1 mo. USD LIBOR + .220% 2.012% FRN 1/25/36		2,450,518		2,425,530
Residential Asset Securities Corp., Series 2005-KS11, Class M1, 1 mo. USD LIBOR + .400% 2.192% FRN 12/25/35		871,233		870,052
				8,954,020
Other ABS — 3.6%
Ajax Mortgage Loan Trust, 2.860% STEP 7/25/59		4,163,759		4,154,665
Barings CLO Ltd., Series 2013-IA, Class AR, 3 mo. USD LIBOR + .800% 2.766% FRN 1/20/28 (b)		3,650,000		3,646,459
Countrywide Asset-Backed Certificates Series 2006-22, Class 2A3, 1 mo. USD LIBOR + .160% 1.952% FRN 1/25/34		131,455		128,143
Series 2004-5, Class M1, 1 mo. USD LIBOR + .855% 2.647% FRN 8/25/34		424,269		419,213
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .360% 2.152% FRN 10/25/35		820,858		818,970
GoldenTree Loan Opportunities Ltd., Series 2014-9A, Class AR2, 3 mo. USD LIBOR + 1.110% 3.038% FRN 10/29/29 (b)		2,100,000		2,101,365
GSAMP Trust, Series 2006-HE1, Class M1, 1 mo. USD LIBOR + .390% 2.182% FRN 1/25/36		4,959,888		4,919,818
LCM XVIII LP, 3 mo. USD LIBOR + 1.240% 3.241% FRN 7/15/27 (b)		1,400,000		1,400,325
Lehman XS Trust, Series 2005-4, Class 1A3, 1 mo. USD LIBOR + .800% 2.592% FRN 10/25/35		344,111		340,090
Madison Park Funding Ltd., Series 2018-30A, Class A, 3 mo. USD LIBOR + .750% 2.751% FRN 4/15/29 (b)		2,075,000		2,059,612
Magnetite CLO Ltd. Series 2012-7A, Class A1R2, 3 mo. USD LIBOR + .800% 2.801% FRN 1/15/28 (b)		1,489,000		1,484,877
Series 2019-21A, Class A, 3 mo. USD LIBOR + 1.280% 3.246% FRN 4/20/30 (b)		450,000		450,164
Morgan Stanley Capital, Inc. Trust Series 2006-HE1, Class A4, 1 mo. USD LIBOR + .290% 2.082% FRN 1/25/36		3,867,898		3,789,748
Series 2006-NC2, Class A2D, 1 mo. USD LIBOR + .290% 2.082% FRN 2/25/36		4,074,676		4,023,749
				29,737,198
Student Loans ABS — 4.8%
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700% 2.492% FRN 7/25/56 (b)		2,345,225		2,298,373
Education Loan Asset-Backed Trust, Series 2013-1, Class A2, 1 mo. USD LIBOR + .800% 2.592% FRN 4/26/32 (b)		4,100,000		4,067,487
Nelnet Student Loan Trust, Series 2019-4A, Class A, 1 mo. USD LIBOR + .870% 2.662% FRN 9/26/67 (b)		2,038,909		2,040,067
SLC Student Loan Trust Series 2006-2, Class A6, 3 mo. USD LIBOR + .160% 2.054% FRN 9/15/39		7,720,000		7,438,073
Series 2006-1, Class A6, 3 mo. USD LIBOR + .160% 2.054% FRN 3/15/55		7,380,000		6,964,254
SLM Student Loan Trust Series 2006-2, Class A6, 3 mo. USD LIBOR + .170% 2.110% FRN 1/25/41		2,414,570		2,306,103
Series 2014-1, Class A3, 1 mo. USD LIBOR + .600% 2.392% FRN 2/26/29		1,760,371		1,715,410
Series 2012-7, Class A3, 1 mo. USD LIBOR + .650% 2.442% FRN 5/26/26		3,150,536		3,073,826

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
Series 2008-5, Class B, 3 mo. USD LIBOR + 1.850% 3.790% FRN 7/25/73	$	3,735,000	$	3,761,512
Series 2008-9, Class B, 3 mo. USD LIBOR + 2.250% 4.190% FRN 10/25/83		3,630,000		3,656,408
Wachovia Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .170% 2.110% FRN 4/25/40 (b)		3,068,368		2,941,503
				40,263,016
WL Collateral CMO — 3.5%
American Home Mortgage Investment Trust, Series 2006-1, Class 12A1, 1 mo. USD LIBOR + .400% 2.192% FRN 3/25/46		2,770,471		2,520,446
Bear Stearns ALT-A Trust, Series 2005-4, Class 25A1, 3.907% VRN 5/25/35 (c)		1,941,832		1,798,550
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2, 4.663% VRN 3/25/36 (c)		8,922		8,534
CSMC Trust, Series 2018-RPL9, Class A, 3.850% VRN 9/25/57 (b) (c)		3,332,182		3,485,332
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1, 3.886% VRN 11/25/35 (c)		2,576,020		2,349,991
HarborView Mortgage Loan Trust Series 2006-10, Class 1A1A, 1 mo. USD LIBOR + .200% 1.964% FRN 11/19/36		3,898,567		3,493,189
Series 2007-6, Class 1A1A, 1 mo. LIBOR + .200% 1.964% FRN 8/19/37		3,826,879		3,349,616
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2, 4.107% VRN 8/25/35 (c)		510,521		497,519
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1, 3.925% VRN 4/25/34 (c)		776,895		749,185
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A, 12 mo. MTA + .750% 2.742% FRN 6/26/47 (b)		1,917,825		1,890,549
RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + .185% 1.977% FRN 8/25/36		928,101		928,646
Structured Asset Mortgage Investments Trust, Series 2006-AR1, Class 3A1, 1 mo. USD LIBOR + .230% 2.022% FRN 2/25/36		3,248,040		3,036,347
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2005-AR2, Class 2A1A, 1 mo. USD LIBOR + .310% 2.102% FRN 1/25/45		1,325,810		1,288,248
Series 2005-7, Class 4CB, 7.000% 8/25/35		3,621,378		2,508,990
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR3, Class A4, 5.194% VRN 4/25/37 (c)		1,844,199		1,772,767
				29,677,909
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $126,597,428)				128,970,905
SOVEREIGN DEBT OBLIGATIONS — 0.2%
Bahrain Government International Bond 7.000% 10/12/28 (b)		200,000		236,609
Colombia Government International Bond 4.500% 1/28/26		200,000		217,824
Oman Government International Bond 5.625% 1/17/28 (b)		200,000		206,750
Qatar Government International Bond 4.500% 4/23/28 (b)		200,000		229,004
Republic of South Africa Government International Bond 4.875% 4/14/26		200,000		208,076
Russian Foreign Bond 4.750% 5/27/26 (b)		200,000		223,096
				1,321,359
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,179,334)				1,321,359
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 35.0%
Collateralized Mortgage Obligations — 2.9%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series S8FX, Class A2, 3.291% 3/25/27		3,955,000		4,123,494

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
Series K155, Class A3, 3.750% 4/25/33	$	2,115,000	$	2,335,268
Federal National Mortgage Association Series 2018-43, Class CT, 3.000% 6/25/48		3,032,873		3,076,923
Series 2018-54, Class KA, 3.500% 1/25/47		3,277,984		3,380,891
Series 2018-38, Class PA, 3.500% 6/25/47		3,773,027		3,874,862
Federal National Mortgage Association. REMICS Series 2018-55, Class PA 3.500% 1/25/47		3,401,323		3,508,104
Government National Mortgage Association Series 2018-124, Class NW, 3.500% 9/20/48		1,502,788		1,541,486
Series 2019-15, Class GT, 3.500% 2/20/49		2,717,584		2,789,608
				24,630,636
Pass-Through Securities — 32.1%
Federal Home Loan Mortgage Corp. Pool #G18619 2.500% 11/01/31		991,844		1,004,374
Pool #G16770 2.500% 2/01/32		1,007,035		1,021,016
Pool #G16660 2.500% 7/01/32		1,629,188		1,649,771
Pool #G18596 3.000% 4/01/31		685,108		705,468
Pool #G18691 3.000% 6/01/33		345,747		354,941
Pool #G08710 3.000% 6/01/46		193,456		198,233
Pool #G08715 3.000% 8/01/46		4,006,486		4,105,426
Pool #G08721 3.000% 9/01/46		539,794		552,956
Pool #G08726 3.000% 10/01/46		7,239,407		7,415,923
Pool #G08732 3.000% 11/01/46		4,983,596		5,105,109
Pool #G08741 3.000% 1/01/47		3,091,897		3,167,285
Pool #G08795 3.000% 1/01/48		2,591,278		2,643,933
Pool #G18713 3.500% 11/01/33		3,113,030		3,228,384
Pool #G16756 3.500% 1/01/34		971,633		1,014,621
Pool #G07848 3.500% 4/01/44		7,612,459		8,096,193
Pool #G07924 3.500% 1/01/45		2,958,010		3,121,943
Pool #G60138 3.500% 8/01/45		4,859,261		5,158,931
Pool #G08711 3.500% 6/01/46		3,535,359		3,683,782
Pool #G08716 3.500% 8/01/46		5,095,825		5,309,760
Pool #G67703 3.500% 4/01/47		3,676,189		3,874,180
Pool #G67706 3.500% 12/01/47		3,131,807		3,300,478
Pool #G67707 3.500% 1/01/48		3,113,491		3,300,635
Pool #G67708 3.500% 3/01/48		7,475,986		7,848,253
Pool #G67709 3.500% 3/01/48		8,561,410		9,025,182
Pool #G67711 4.000% 3/01/48		1,088,653		1,165,034
Pool #G67713 4.000% 6/01/48		7,249,464		7,712,787
Pool #G67714 4.000% 7/01/48		4,436,043		4,745,895
Pool #G67717 4.000% 11/01/48		4,016,488		4,292,015
Pool #G67718 4.000% 1/01/49		3,582,583		3,805,953
Pool #G08843 4.500% 10/01/48		2,736,687		2,892,312
Pool #G08826 5.000% 6/01/48		829,362		888,708
Pool #G08844 5.000% 10/01/48		312,550		334,915
Federal National Mortgage Association Pool #MA3864 2.500% 12/01/34		8,250,428		8,324,394
Pool #MA3896 2.500% 1/01/35		12,970,000		13,086,277
Pool #AN1609 2.950% 5/01/31		2,178,610		2,248,017
Pool #MA3029 3.000% 6/01/32		787,526		810,738
Pool #MA1607 3.000% 10/01/33		3,715,325		3,831,493
Pool #MA3811 3.000% 10/01/49		4,267,671		4,299,752
Pool #MA3834 3.000% 11/01/49		759,724		770,658
Pool #AN1282 3.010% 4/01/28		1,900,000		1,964,668
Pool #AN6128 3.270% 7/01/32		1,880,000		1,987,658
Pool #BL2360 3.450% 5/01/34		1,760,000		1,887,736
Pool #AN0877 3.500% 2/01/31		935,707		995,116
Pool #AB4262 3.500% 1/01/32		2,785,357		2,906,621
Pool #MA1148 3.500% 8/01/42		6,515,850		6,852,467
Pool #CA0996 3.500% 1/01/48		205,118		215,202
Pool #MA3276 3.500% 2/01/48		816,999		846,696
Pool #MA3305 3.500% 3/01/48		2,746,604		2,846,440
Pool #MA3332 3.500% 4/01/48		112,520		116,610
Pool #AM7122 3.610% 11/01/34		1,804,307		1,953,658
Pool #BL1460 3.740% 2/01/29		4,400,000		4,796,439
Pool #BL0661 3.990% 11/01/33		4,250,307		4,793,702
Pool #MA2995 4.000% 5/01/47		2,284,132		2,400,067
Pool #AS9830 4.000% 6/01/47		2,009,732		2,111,740
Pool #MA3027 4.000% 6/01/47		2,129,608		2,237,699
Pool #AS9972 4.000% 7/01/47		1,716,718		1,802,244
Pool #AL9106 4.500% 2/01/46		723,772		775,971
Pool #CA1710 4.500% 5/01/48		3,964,614		4,204,705
Pool #CA1711 4.500% 5/01/48		72,141		76,510
Pool #CA2208 4.500% 8/01/48		3,173,114		3,351,391
Government National Mortgage Association II Pool #MA4126 3.000% 12/20/46		4,919,321		5,069,384
Pool #MA4836 3.000% 11/20/47		4,127,351		4,251,965
Pool #MA6209 3.000% 10/20/49		4,241,570		4,295,405
Pool #MA4127 3.500% 12/20/46		3,106,270		3,241,139
Pool #MA4382 3.500% 4/20/47		670,761		699,256
Pool #MA4719 3.500% 9/20/47		6,426,558		6,687,514
Pool #MA4837 3.500% 11/20/47		846,973		881,365
Pool #MA4962 3.500% 1/20/48		5,394,236		5,605,266
Pool #MA5019 3.500% 2/20/48		2,980,050		3,096,633
Pool #MA4838 4.000% 11/20/47		1,806,125		1,885,610
Pool #MA4901 4.000% 12/20/47		1,506,001		1,572,278
Pool #MA5078 4.000% 3/20/48		1,469,101		1,529,164
Pool #MA5466 4.000% 9/20/48		1,014,674		1,054,334
Pool #MA5528 4.000% 10/20/48		4,171,442		4,331,232
Pool #MA4264 4.500% 2/20/47		699,477		743,212
Pool #MA4512 4.500% 6/20/47		5,165,046		5,484,767
Pool #MA3666 5.000% 5/20/46		78,252		85,590
Pool #MA3806 5.000% 7/20/46		494,330		538,209
Pool #MA4072 5.000% 11/20/46		94,233		103,864
Pool #MA4454 5.000% 5/20/47		2,309,032		2,482,246
Government National Mortgage Association II TBA Pool #MA188 3.000% 7/01/49 (e)		5,675,000		5,831,063

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
Uniform Mortgage Back Securities TBA Pool #1048 2.500% 8/01/49 (e)	$	3,175,000	$	3,140,025
Pool #4241 3.000% 7/01/49 (e)		8,500,000		8,622,188
Pool #29800 5.000% 9/01/48 (e)		3,050,000		3,260,641
				267,711,415
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $286,781,770)				292,342,051
U.S. TREASURY OBLIGATIONS — 22.6%
U.S. Treasury Bonds & Notes — 22.6%
U.S. Treasury Inflation Index 0.125% 7/15/24		1,322,151		1,330,022
0.125% 10/15/24		7,191,295		7,232,687
0.250% 7/15/29		9,402,989		9,494,234
1.000% 2/15/49 (d)		9,150,404		10,167,440
U.S. Treasury Note 1.500% 11/30/21		3,145,000		3,140,866
1.500% 10/31/24 (d)		17,640,000		17,491,768
1.500% 11/30/24 (d)		80,770,000		80,113,784
1.750% 11/15/29		15,545,000		15,322,587
2.375% 11/15/49		44,115,000		43,984,036
				188,277,424
TOTAL U.S. TREASURY OBLIGATIONS (Cost $188,991,730)				188,277,424
TOTAL BONDS & NOTES (Cost $807,078,350)				824,890,304

	Number of Shares
MUTUAL FUNDS — 1.0%
Diversified Financial Services — 1.0%
State Street Navigator Securities Lending Prime Portfolio (f)		8,244,190	8,244,190
TOTAL MUTUAL FUNDS (Cost $8,244,190)			8,244,190
TOTAL LONG-TERM INVESTMENTS (Cost $815,322,540)			833,134,494

	Principal Amount
SHORT-TERM INVESTMENTS — 3.7%
Commercial Paper — 0.3%
Ford Motor Credit Co. 3.245% 10/08/20 (b)	$	2,200,000		2,148,610
Repurchase Agreement — 1.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (g)		15,155,811		15,155,811
Sovereign Debt Obligations — 1.5%
Japan Treasury Discount Bill 0.000% 1/14/20 JPY (h)		460,000,000		4,233,775
0.000% 1/20/20 JPY (h)		465,000,000		4,279,915
0.000% 1/27/20 JPY (h)		470,000,000		4,326,104
				12,839,794
U.S. Treasury Bill — 0.1%
U.S. Treasury Bill 0.000% 3/19/20 (i)		1,095,000		1,091,530
TOTAL SHORT-TERM INVESTMENTS (Cost $31,320,553)				31,235,745
TOTAL INVESTMENTS — 103.6% (Cost $846,643,093) (j)				864,370,239
Other Assets/(Liabilities) — (3.6)%				(29,664,809	)
NET ASSETS — 100.0%			$	834,705,430

Abbreviation Legend

ABS Asset-Backed Security

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) All or a portion of the security represents unsettled loan commitments at December 31, 2019 where the rate will be determined at time of settlement.

(b) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $100,163,571 or 12.00% of net assets.

(c) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $9,129,305 or 1.09% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $1,082,496 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

10

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

Notes to Portfolio of Investments (Continued)

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

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

(g) Maturity value of $15,156,485. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $15,461,152.

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

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

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

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Goldman Sachs International	1/21/20	USD	4,350,022	JPY	465,000,000	$	67,045
Goldman Sachs International	1/14/20	USD	4,312,952	JPY	460,000,000		77,610
Bank of America N.A.	1/27/20	USD	4,360,998	JPY	470,000,000		30,581
						$	175,236

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Ultra Bond	3/20/20		22	$	4,119,174		$	(122,737	)
U.S. Treasury Note 2 Year	3/31/20		325		70,072,302			(34,802	)
U.S. Treasury Note 5 Year	3/31/20		770		91,487,013			(157,794	)
							$	(315,333	)
Short
Euro-Bobl	3/06/20		107	$	(16,103,776	)	$	65,250
U.S. Treasury Ultra 10 Year	3/20/20		11		(1,569,437	)		21,703
							$	86,953

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/Reference	Frequency	Rate/Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
3-Month USD LIBOR	Quarterly	Fixed 2.263%	Semi-Annually	4/11/22		USD   45,835,000	$	557,181		$	-	$	557,181
3-Month USD LIBOR	Quarterly	Fixed 2.282%	Semi-Annually	5/08/22		USD   24,765,000		311,986			-		311,986
Fixed 2.337%	Semi-Annually	3-Month USD LIBOR	Quarterly	4/11/25		USD   18,845,000		(555,272	)		-		(555,272	)
Fixed 2.370%	Semi-Annually	3-Month USD LIBOR	Quarterly	5/08/25		USD   10,140,000		(313,215	)		-		(313,215	)
							$	680		$	-	$	680

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, 2019 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 100.0%
BANK LOANS — 4.7%
Advertising — 0.1%
Terrier Media Buyer, Inc., Term Loan B, 0.000% 12/17/26 (a)	$	580,000	$	585,440
Airlines — 0.0%
American Airlines, Inc., 2017 Incremental Term Loan, 1 mo. LIBOR + 2.000% 3.740% VRN 12/14/23		316,735		317,660
Auto Parts & Equipment — 0.1%
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.500% 5.305% VRN 4/30/26		448,875		449,719
Building Materials — 0.1%
APi Group DE, Inc., Term Loan B, 1 mo. LIBOR + 2.500% 4.299% VRN 10/01/26		370,000		372,620
Commercial Services — 0.4%
Allied Universal Holdco LLC 2019 Term Loan B, 1 mo. LIBOR + 4.250% 6.049% VRN 7/10/26		581,882		584,792
2019 Delayed Draw Term Loan, 3 mo. LIBOR + 4.250% 6.055% VRN 7/10/26		57,612		57,900
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 1 mo. LIBOR + 1.750% 3.515% VRN 1/15/25		741,097		745,418
BrightView Landscapes LLC, 2018 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% 4.313% VRN 8/15/25		236,400		237,877
Garda World Security Corp., 2019 1st Lien Term Loan B, 3 mo. LIBOR + 4.750% 6.660% VRN 10/30/26		250,000		251,407
Prime Security Services Borrower LLC, 2019 Term Loan B1, 1 mo. LIBOR + 3.250% 4.944% VRN 9/23/26		692,553		693,938
TKC Holdings, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.750% 5.550% VRN 2/01/23		347,290		320,473
Trans Union LLC, 2019 Term Loan B5, 1 mo. LIBOR + 1.750% 3.549% VRN 11/16/26		260,347		261,235
				3,153,040
Computers — 0.1%
Dell International LLC, 2019 Term Loan B, 1 mo. LIBOR + 2.000% 3.800% VRN 9/19/25		599,155		602,828
Western Digital Corp., 2018 Term Loan B4, 3 mo. LIBOR + 1.750% 3.452% VRN 4/29/23		126,474		126,975
				729,803
Diversified Financial Services — 0.2%
Citadel Securities LP, Term Loan B, 1 mo. LIBOR + 3.500% 5.299% VRN 2/27/26		248,747		249,215
Edelman Financial Center LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.250% 5.035% VRN 7/21/25		465,796		468,027
Focus Financial Partners LLC, 2018 Incremental Term Loan, 1 mo. LIBOR + 2.500% 4.299% VRN 7/03/24		328,813		330,809
Jane Street Group LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 8/25/22		357,211		356,318
LPL Holdings, Inc., 2019 Term Loan B1, 1 mo. LIBOR + 1.750% 3.542% VRN 11/12/26		50,565		50,755
VFH Parent LLC, 2019 Term Loan B, 1 mo. LIBOR + 3.500% 5.197% VRN 3/01/26		208,734		209,360
				1,664,484
Entertainment — 0.2%
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.000% 4.800% VRN 4/22/26		109,724		110,488
PCI Gaming Authority, Term Loan, 1 mo. LIBOR + 2.500% 4.299% VRN 5/29/26		289,662		291,350
Scientific Games International, Inc., 2018 Term Loan B5, 1 mo. LIBOR + 2.750% 4.549% VRN 8/14/24		813,626		814,985
Stars Group Holdings B.V. (The), 2018 USD Incremental Term Loan, 3 mo. LIBOR + 3.500% 5.445% VRN 7/10/25		26,722		26,932
				1,243,755
Environmental Controls — 0.0%
GFL Environmental, Inc., 2018 USD Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 5/30/25		99,747		99,818
Food Service — 0.1%
Aramark Services, Inc., 2019 Term Loan B4, 0.000% 12/10/26 (a)		770,000		773,611

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
Health Care – Products — 0.1%
HC Group Holdings II, Inc., Term Loan B, 1 mo. LIBOR + 4.500% 6.299% VRN 8/06/26	$	350,000	$	348,250
Health Care – Services — 0.4%
HCA, Inc., Term Loan B12, 1 mo. LIBOR + 1.750% 3.549% VRN 3/13/25		164,396		165,176
Jaguar Holding Co. II, 2018 Term Loan, 1 mo. LIBOR + 2.500% 4.299% VRN 8/18/22		474,793		477,006
MPH Acquisition Holdings LLC, 2016 Term Loan B, 3 mo. LIBOR + 2.750% 4.695% VRN 6/07/23		766,755		754,840
Phoenix Guarantor, Inc., Term Loan B, 1 mo. LIBOR + 4.500% 6.210% VRN 3/05/26		407,045		408,881
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.500% 6.299% VRN 11/17/25		895,594		902,087
				2,707,990
Holding Companies – Diversified — 0.0%
First Eagle Investment Management LLC, 2018 Term Loan B, 3 mo. LIBOR + 2.750% 4.695% VRN 12/02/24		208,123		209,076
Insurance — 0.1%
Asurion LLC 2017 Term Loan B4, 1 mo. LIBOR + 3.000% 4.799% VRN 8/04/22		504,834		507,464
2018 Term Loan B7, 1 mo. LIBOR + 3.000% 4.799% VRN 11/03/24		346,931		348,728
				856,192
Internet — 0.1%
McAfee LLC, 2018 USD Term Loan B, 1 mo. LIBOR + 3.750% 5.555% VRN 9/30/24		855,775		858,985
Investment Companies — 0.2%
RPI Finance Trust, Term Loan B6, 1 mo. LIBOR + 2.000% 3.799% VRN 3/27/23		671,501		676,645
UFC Holdings LLC, 2019 Term Loan, 1 mo. LIBOR + 3.250% 5.500% VRN 4/29/26		566,332		569,633
				1,246,278
Leisure Time — 0.1%
Alterra Mountain Co., Term Loan B1, 1 mo. LIBOR + 2.750% 4.549% VRN 7/31/24		376,162		378,983
Lodging — 0.6%
Boyd Gaming Corp., Term Loan B3, 2 days LIBOR + 2.250% 3.853% VRN 9/15/23		44,423		44,688
Caesars Entertainment Operating Co., Exit Term Loan, 1 mo. LIBOR + 2.000% 3.799% VRN 10/07/24		356,060		357,904
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1 mo. LIBOR + 2.750% 4.549% VRN 12/23/24		820,533		821,387
CityCenter Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.250% 4.049% VRN 4/18/24		489,109		490,786
Four Seasons Hotels Ltd., New 1st Lien Term Loan, 1 mo. LIBOR + 2.000% 3.799% VRN 11/30/23		261,378		263,045
Golden Nugget, Inc., 2017 Incremental Term Loan B, 1 mo. LIBOR + 2.750% 4.716% VRN 10/04/23		425,418		426,482
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.750% 3.542% VRN 6/22/26		746,204		750,868
Wynn Resorts Ltd., 2019 Term Loan A, 0.000% 9/20/24 (a)		930,000		930,391
				4,085,551
Machinery – Construction & Mining — 0.0%
Brookfield WEC Holdings, Inc., 2018 1st Lien Term Loan, 0.000% 8/01/25 (a)		159,597		160,569
Media — 0.3%
Charter Communications Operating, LLC, 2019 Term Loan B1, 1 mo. LIBOR + 1.750% 3.550% VRN 4/30/25		844,427		849,840
CSC Holdings LLC, 2019 Term Loan B5, 1 mo. LIBOR + 2.500% 4.240% VRN 4/15/27		140,000		140,466
Diamond Sports Group LLC, Term Loan, 1 mo. LIBOR + 3.250% 5.030% VRN 8/24/26		129,675		129,405
Entercom Media Corp., 2019 Term Loan, 1 mo. LIBOR + 2.500% 4.305% VRN 11/18/24		122,712		123,479
iHeartCommunications, Inc., Exit Term Loan, 1 mo. LIBOR + 4.000% 5.691% VRN 5/01/26		289,206		291,254
Univision Communications, Inc., Term Loan C5, 1 mo. LIBOR + 2.750% 4.549% VRN 3/15/24		414,056		408,268

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
Ziggo Secured Finance Partnership, USD Term Loan E, 1 mo. LIBOR + 2.500% 4.240% VRN 4/15/25	$	218,250	$	218,824
				2,161,536
Other Commerical Service — 0.0%
Atlantic Aviation FBO, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.750% 5.550% VRN 12/06/25		99,000		100,052
Packaging & Containers — 0.1%
Berry Global, Inc., Term Loan W, 1 mo. LIBOR + 2.000% 3.715% VRN 10/01/22		362,351		363,355
Reynolds Group Holdings, Inc., USD 2017 Term Loan, 1 mo. LIBOR + 2.750% 4.549% VRN 2/05/23		627,919		629,394
				992,749
Pharmaceuticals — 0.2%
Bausch Health Cos., Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.000% 4.740% VRN 6/02/25		330,791		332,445
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 0.000% 11/15/27 (a)		740,000		745,779
				1,078,224
Pipelines — 0.0%
Blackstone CQP Holdco LP, Term Loan B, 3 mo. LIBOR + 3.500% 5.408% VRN 9/30/24		129,350		129,856
Real Estate Investment Trusts (REITS) — 0.1%
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 1 mo. LIBOR + 2.000% 3.799% VRN 3/21/25		194,179		194,825
VICI Properties 1 LLC, Replacement Term Loan B, 1 mo. LIBOR + 2.000% 3.785% VRN 12/20/24		290,000		291,198
				486,023
Retail — 0.3%
1011778 B.C. Unlimited Liability Co., Term Loan B4, 1 mo. LIBOR + 1.750% 3.549% VRN 11/19/26		944,316		945,251
Academy, Ltd., 2015 Term Loan B, 1 mo. LIBOR + 4.000% 5.692% VRN 7/01/22		243,502		199,155
Albertsons LLC 2019 Term Loan B7, 1 mo. LIBOR + 2.750% 4.549% VRN 11/17/25		219,013		220,802
2019 Term Loan B8, 1 mo. LIBOR + 2.750% 4.549% VRN 8/17/26		274,098		276,299
Michaels Stores, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.500% 4.292% VRN 1/30/23		151,076		145,939
Party City Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.500% 4.300% VRN 8/19/22		188,260		174,425
				1,961,871
Software — 0.4%
Athenahealth, Inc., 2019 Term Loan B, 3 mo. LIBOR + 4.500% 6.401% VRN 2/11/26		784,723		787,666
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.500% 4.299% VRN 3/01/24		836,819		839,045
DCert Buyer, Inc., 2019 Term Loan B, 1 mo. LIBOR + 4.000% 5.799% VRN 10/16/26		760,000		761,710
MA FinanceCo. LLC, USD Term Loan B3, 1 mo. LIBOR + 2.500% 4.299% VRN 6/21/24		11,469		11,474
Seattle Spinco, Inc., USD Term Loan B3, 1 mo. LIBOR + 2.500% 4.299% VRN 6/21/24		77,452		77,484
				2,477,379
Telecommunications — 0.3%
Altice France S.A., USD Term Loan B12, 1 mo. LIBOR + 3.688% 5.427% VRN 1/31/26		273,653		273,653
Intelsat Jackson Holdings S.A., 2017 Term Loan B3, 1 mo. LIBOR + 3.750% 5.682% VRN 11/27/23		160,000		160,142
Level 3 Financing, Inc., 2019 Term Loan B, 1 mo. LIBOR + 1.750% 3.549% VRN 3/01/27		368,362		369,515
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 2.750% 4.452% VRN 9/18/26		899,425		903,616
Sprint Communications, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% 4.313% VRN 2/02/24		129,800		128,534
Virgin Media Bristol LLC, USD Term Loan N, 1 mo. LIBOR + 2.500% 4.240% VRN 1/31/28		613,954		617,411
				2,452,871
Transportation — 0.1%
Genesee & Wyoming, Inc., Term Loan, 0.000% 12/30/26 (a)		650,000		655,570

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
Global Medical Response, Inc., 2018 Term Loan B1, 1 mo. LIBOR + 3.250% 5.035% VRN 4/28/22	$	219,951	$	214,967
				870,537
TOTAL BANK LOANS (Cost $32,966,527)				32,952,922
CORPORATE DEBT — 29.4%
Aerospace & Defense — 0.6%
The Boeing Co. 2.700% 2/01/27		90,000		91,252
2.800% 3/01/27		150,000		152,433
3.100% 5/01/26		80,000		82,570
3.200% 3/01/29		450,000		469,314
3.250% 2/01/35		560,000		573,139
3.750% 2/01/50		170,000		180,798
4.875% 2/15/20		10,000		10,030
L3Harris Technologies, Inc. 5.054% 4/27/45		280,000		345,455
Lockheed Martin Corp. 3.550% 1/15/26		350,000		375,500
4.500% 5/15/36		60,000		71,165
Northrop Grumman Corp. 2.930% 1/15/25		340,000		350,608
3.250% 1/15/28		730,000		761,879
Raytheon Co. 3.125% 10/15/20		120,000		121,154
United Technologies Corp. 3.950% 8/16/25		350,000		381,702
4.125% 11/16/28		390,000		438,787
4.500% 6/01/42		80,000		95,914
				4,501,700
Agriculture — 0.9%
Altria Group, Inc. 2.850% 8/09/22		160,000		163,090
3.490% 2/14/22		160,000		164,676
3.800% 2/14/24		180,000		189,552
4.400% 2/14/26		620,000		674,031
4.750% 5/05/21		290,000		300,543
4.800% 2/14/29		530,000		590,772
5.800% 2/14/39		1,120,000		1,317,697
5.950% 2/14/49		100,000		121,247
6.200% 2/14/59		140,000		166,822
BAT Capital Corp. 3.557% 8/15/27		500,000		510,513
4.540% 8/15/47		1,110,000		1,116,352
Philip Morris International, Inc. 2.500% 8/22/22		80,000		81,028
2.500% 11/02/22		350,000		355,182
2.900% 11/15/21		240,000		244,269
4.500% 3/20/42		80,000		90,921
Reynolds American, Inc. 3.250% 6/12/20		65,000		65,296
5.850% 8/15/45		190,000		218,062
				6,370,053
Airlines — 0.0%
Delta Air Lines, Inc. Series 2007-1 Class A, 6.821% 2/10/24		144,215		156,565
2.900% 10/28/24		140,000		140,060
				296,625
Apparel — 0.0%
Hanesbrands, Inc. 4.625% 5/15/24 (b)		30,000		31,637
4.875% 5/15/26 (b)		110,000		116,463
				148,100
Auto Manufacturers — 0.3%
BMW US Capital LLC 1.850% 9/15/21 (b)		60,000		59,873
Fiat Chrysler Automobiles NV 4.500% 4/15/20		200,000		201,250
Ford Motor Co. 4.750% 1/15/43		140,000		124,428
Ford Motor Credit Co. LLC 3.200% 1/15/21		200,000		201,119
8.125% 1/15/20		420,000		420,785
General Motors Co. 5.150% 4/01/38		40,000		40,920
5.950% 4/01/49		110,000		121,947
6.250% 10/02/43		300,000		337,061
General Motors Financial Co., Inc. 2.450% 11/06/20		110,000		110,265
3.450% 4/10/22		30,000		30,682
4.250% 5/15/23		10,000		10,533
4.375% 9/25/21		80,000		82,894
				1,741,757
Banks — 9.5%
Banco Santander SA 3 mo. USD LIBOR + 1.120% 3.121% FRN 4/12/23		200,000		201,284
3.848% 4/12/23		400,000		417,290
4.379% 4/12/28		600,000		656,906
Bank of America Corp. 3 mo. USD LIBOR + .790% 3.004% VRN 12/20/23		270,000		276,303
3.300% 1/11/23		90,000		93,049
3 mo. USD LIBOR + 1.040% 3.419% VRN 12/20/28		770,000		808,611
3.500% 4/19/26		290,000		308,430
3 mo. USD LIBOR + .780% 3.550% VRN 3/05/24		470,000		487,792

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
3 mo. USD LIBOR + 1.370% 3.593% VRN 7/21/28	$	1,920,000	$	2,035,349
3 mo. USD LIBOR + 1.070% 3.970% VRN 3/05/29		600,000		653,863
3 mo. USD LIBOR + 1.210% 3.974% VRN 2/07/30		310,000		340,339
4.000% 4/01/24		270,000		289,192
4.000% 1/22/25		270,000		288,008
4.125% 1/22/24		290,000		311,732
4.200% 8/26/24		380,000		408,049
3 mo. USD LIBOR + 1.520% 4.330% VRN 3/15/50		250,000		301,388
4.450% 3/03/26		50,000		54,915
5.000% 1/21/44		1,010,000		1,317,348
3 mo. USD LIBOR + 3.705% 6.250% VRN (c)		170,000		188,912
Bank of Montreal 5 year USD Swap + 1.432% 3.803% VRN 12/15/32		90,000		93,865
Barclays PLC 3 mo. USD LIBOR + 1.902% 4.972% VRN 5/16/29		230,000		259,350
3 mo. USD LIBOR + 3.054% 5.088% VRN 6/20/30		1,210,000		1,349,199
BNP Paribas SA 3.375% 1/09/25 (b)		240,000		249,273
5 year USD Swap + 1.483% 4.375% VRN 3/01/33 (b) (d)		220,000		237,634
4.400% 8/14/28 (b)		1,120,000		1,244,627
4.625% 3/13/27 (b)		260,000		284,399
3 mo. USD LIBOR + 2.235% 4.705% VRN 1/10/25 (b)		880,000		953,522
3 mo. USD LIBOR + 2.567% 5.198% VRN 1/10/30 (b)		640,000		752,674
Citigroup, Inc. 3 mo. USD LIBOR + 1.151% 3.520% VRN 10/27/28		1,400,000		1,474,056
3 mo. USD LIBOR + 1.338% 3.980% VRN 3/20/30		710,000		777,315
3 mo. USD LIBOR + 1.192% 4.075% VRN 4/23/29		750,000		821,009
4.125% 7/25/28		360,000		392,857
4.300% 11/20/26		1,070,000		1,165,177
4.400% 6/10/25		340,000		369,611
4.450% 9/29/27		480,000		528,855
4.650% 7/30/45		441,000		546,421
4.650% 7/23/48		70,000		87,558
4.750% 5/18/46		40,000		47,845
5.300% 5/06/44		16,000		20,413
5.500% 9/13/25		170,000		194,393
3 mo. USD LIBOR + 4.068% 5.950% VRN (c)		100,000		105,880
3 mo. USD LIBOR + 3.905% 5.950% VRN (c)		500,000		545,625
3 mo. USD LIBOR + 3.423% 6.300% VRN (c)		80,000		86,686
6.625% 6/15/32		20,000		26,935
8.125% 7/15/39		310,000		517,532
Cooperatieve Rabobank UA 4.625% 12/01/23		250,000		270,980
4.750% 1/15/20 (b)		490,000		490,427
5.250% 8/04/45		295,000		377,511
Cooperatieve Rabobank UA Ltd. 4.375% 8/04/25		1,380,000		1,497,620
Credit Agricole SA 5 year USD Swap + 1.644% 4.000% VRN 1/10/33 (b)		790,000		833,839
Credit Suisse Group Funding Guernsey Ltd. 4.550% 4/17/26		500,000		555,117
Danske Bank A/S 3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (b)		420,000		423,723
5.000% 1/12/22 (b)		740,000		777,291
5.375% 1/12/24 (b)		610,000		667,727
Goldman Sachs Capital II 3 mo. USD LIBOR + .768% 4.000% VRN 1/31/20 (c)		18,000		15,750
The Goldman Sachs Group, Inc. 3.200% 2/23/23		300,000		308,435
3.500% 11/16/26		200,000		210,489
3.625% 2/20/24		1,270,000		1,333,181
3 mo. USD LIBOR + 1.510% 3.691% VRN 6/05/28		2,140,000		2,276,928
3.850% 7/08/24		90,000		95,193
4.000% 3/03/24		100,000		106,564
3 mo. USD LIBOR + 1.301% 4.223% VRN 5/01/29		210,000		231,542
4.250% 10/21/25		260,000		282,421
4.750% 10/21/45		480,000		585,992
5.150% 5/22/45		1,200,000		1,475,081
5.250% 7/27/21		100,000		104,942
6.000% 6/15/20		290,000		295,119
6.250% 2/01/41		770,000		1,076,736
6.750% 10/01/37		80,000		111,130
HSBC Holdings PLC 3.400% 3/08/21		490,000		497,785
3.900% 5/25/26		370,000		394,687
3 mo. USD LIBOR + 1.610% 3.973% VRN 5/22/30		760,000		819,557
4.250% 8/18/25		330,000		352,948
4.300% 3/08/26		500,000		544,529
3 mo. USD LIBOR + 1.535% 4.583% VRN 6/19/29		1,030,000		1,151,789

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
5 year USD ICE Swap + 3.453% 6.250% VRN (c)	$	270,000	$	286,537
5 year USD ICE Swap + 3.606% 6.500% VRN (c)		480,000		528,000
6.500% 9/15/37		300,000		414,761
Intesa Sanpaolo SpA 3.125% 7/14/22 (b)		300,000		304,018
3.375% 1/12/23 (b)		550,000		559,273
5.017% 6/26/24 (b)		900,000		945,697
5.710% 1/15/26 (b)		200,000		216,489
JP Morgan Chase & Co. 3 mo. USD LIBOR + .945% 3.509% VRN 1/23/29		780,000		829,074
3.625% 5/13/24		80,000		84,809
3.875% 9/10/24		300,000		321,172
3 mo. USD LIBOR + 1.000% 4.023% VRN 12/05/24		940,000		1,002,484
3 mo. USD LIBOR + 1.260% 4.203% VRN 7/23/29		310,000		346,050
4.250% 10/01/27		70,000		77,503
4.350% 8/15/21		40,000		41,541
3 mo. USD LIBOR + 1.330% 4.452% VRN 12/05/29		1,190,000		1,354,329
4.950% 6/01/45		290,000		369,129
Lloyds Banking Group PLC 3.900% 3/12/24		580,000		612,494
4.375% 3/22/28		200,000		220,598
4.550% 8/16/28		370,000		414,535
Mitsubishi UFJ Financial Group, Inc. 2.998% 2/22/22		160,000		163,077
Morgan Stanley 3 mo. USD LIBOR + 1.140% 3.772% VRN 1/24/29		820,000		882,691
3 mo. USD LIBOR + 1.628% 4.431% VRN 1/23/30		10,000		11,311
5.500% 7/24/20		200,000		204,036
Nordea Bank AB 4.875% 5/13/21 (b)		390,000		404,387
Royal Bank of Canada 2.150% 10/26/20		240,000		240,459
3.200% 4/30/21		270,000		274,823
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 1.762% 4.269% VRN 3/22/25		430,000		456,855
3 mo. USD LIBOR + 1.550% 4.519% VRN 6/25/24		200,000		212,474
5.125% 5/28/24		400,000		433,401
6.000% 12/19/23		240,000		266,928
6.100% 6/10/23		790,000		869,838
6.125% 12/15/22		110,000		120,407
Santander Holdings USA, Inc. 4.500% 7/17/25		50,000		53,977
Santander UK PLC 2.375% 3/16/20		140,000		140,074
5.000% 11/07/23 (b)		270,000		290,321
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		230,000		230,334
Svenska Handelsbanken AB 3.350% 5/24/21		250,000		254,934
The Toronto Dominion Bank 3.250% 6/11/21		330,000		337,036
UBS Group AG 3.491% 5/23/23 (b)		500,000		514,570
4.125% 9/24/25 (b)		210,000		228,490
4.253% 3/23/28 (b)		1,100,000		1,202,225
5 year USD Swap + 4.344% 7.000% VRN (b) (c)		1,050,000		1,147,125
UniCredit SpA 6.572% 1/14/22 (b)		640,000		687,377
US Bank NA/Cincinnati OH 3.150% 4/26/21		270,000		274,309
Wachovia Capital Trust III 3 mo. USD LIBOR + .930% 5.570% VRN (c)		630,000		634,725
Wells Fargo & Co. 3 mo. USD LIBOR + 1.170% 2.879% VRN 10/30/30		150,000		151,043
3.000% 10/23/26		350,000		358,716
3.450% 2/13/23		120,000		124,277
3.750% 1/24/24		270,000		285,478
4.150% 1/24/29		630,000		701,797
4.300% 7/22/27		530,000		580,821
4.400% 6/14/46		180,000		205,311
4.480% 1/16/24		991,000		1,070,303
4.600% 4/01/21		40,000		41,298
4.650% 11/04/44		400,000		470,475
4.750% 12/07/46		890,000		1,068,797
4.900% 11/17/45		880,000		1,076,488
5.375% 11/02/43		110,000		141,275
3 mo. USD LIBOR + 3.990% 5.875% VRN (c)		50,000		55,625
Westpac Banking Corp. 2.300% 5/26/20		50,000		50,067
2.600% 11/23/20		280,000		281,520
				66,864,472
Beverages — 0.5%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. 3.650% 2/01/26		790,000		842,584
4.900% 2/01/46		600,000		711,673
Anheuser-Busch InBev Finance, Inc. 3.300% 2/01/23		189,000		195,814
Anheuser-Busch InBev Worldwide, Inc. 2.500% 7/15/22		64,000		65,144

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
4.000% 4/13/28	$	90,000	$	99,050
4.150% 1/23/25		110,000		119,886
5.550% 1/23/49		470,000		610,679
Diageo Capital PLC 4.828% 7/15/20		200,000		203,030
Diageo Investment Corp. 2.875% 5/11/22		150,000		153,031
Molson Coors Brewing Co. 3.000% 7/15/26		80,000		80,996
3.500% 5/01/22		30,000		30,843
4.200% 7/15/46		80,000		79,852
PepsiCo, Inc. 4.000% 3/05/42		50,000		56,910
Pernod Ricard SA 4.450% 1/15/22 (b)		250,000		261,543
				3,511,035
Biotechnology — 0.1%
Amgen, Inc. 2.125% 5/01/20		60,000		60,022
3.625% 5/22/24		30,000		31,701
4.663% 6/15/51		34,000		40,060
Gilead Sciences, Inc. 2.550% 9/01/20		80,000		80,341
3.700% 4/01/24		210,000		222,711
4.500% 2/01/45		10,000		11,625
4.750% 3/01/46		200,000		240,507
				686,967
Chemicals — 0.2%
Equate Petrochemical BV 4.250% 11/03/26 (b)		430,000		459,559
Nutrien Ltd. 4.875% 3/30/20		50,000		50,326
OCP SA 4.500% 10/22/25 (b)		330,000		352,910
Syngenta Finance NV 3.933% 4/23/21 (b)		400,000		406,820
				1,269,615
Commercial Services — 0.3%
Cintas Corp. No 2 2.900% 4/01/22		160,000		163,221
3.700% 4/01/27		260,000		282,074
DP World PLC 5.625% 9/25/48 (b)		560,000		646,576
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.750% 4/15/26 (b)		210,000		228,245
United Rentals North America, Inc. 4.875% 1/15/28		150,000		156,184
5.500% 7/15/25		70,000		72,734
5.875% 9/15/26		90,000		96,548
6.500% 12/15/26		100,000		109,906
				1,755,488
Computers — 0.5%
Apple, Inc. 1.550% 8/04/21		210,000		209,212
2.000% 11/13/20		270,000		270,690
2.450% 8/04/26		800,000		811,425
Dell International LLC/EMC Corp. 4.420% 6/15/21 (b)		970,000		998,238
International Business Machines Corp. 3.000% 5/15/24		990,000		1,027,341
				3,316,906
Diversified Financial Services — 0.5%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		160,000		165,145
5.000% 10/01/21		150,000		157,284
American Express Credit Corp. 2.375% 5/26/20		280,000		280,338
GE Capital International Funding Co. 2.342% 11/15/20		215,000		215,174
GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35		380,000		406,499
ILFC E-Capital Trust II 4.150% VRN 12/21/65 (b) (e)		10,000		8,094
International Lease Finance Corp. 5.875% 8/15/22		70,000		76,266
8.625% 1/15/22		180,000		202,539
KKR Group Finance Co. II LLC 5.500% 2/01/43 (b)		20,000		24,462
Park Aerospace Holdings Ltd. 4.500% 3/15/23 (b)		10,000		10,470
5.250% 8/15/22 (b)		230,000		245,042
5.500% 2/15/24 (b)		50,000		54,895
Synchrony Financial 2.700% 2/03/20		200,000		200,069
Visa, Inc. 3.150% 12/14/25		1,020,000		1,078,410
4.300% 12/14/45		260,000		319,619
				3,444,306
Electric — 0.6%
Duke Energy Corp. 3.750% 4/15/24		100,000		105,991
Duke Energy Ohio, Inc. 3.650% 2/01/29		440,000		478,211
Exelon Corp. 5.625% 6/15/35		290,000		359,186
FirstEnergy Corp. 3.900% 7/15/27		710,000		759,468
4.250% 3/15/23		310,000		326,837

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
4.850% 7/15/47	$	240,000	$	285,512
7.375% 11/15/31		1,460,000		2,061,672
				4,376,877
Environmental Controls — 0.2%
Republic Services, Inc. 2.500% 8/15/24		230,000		232,634
Waste Management, Inc. 3.200% 6/15/26		140,000		146,675
3.450% 6/15/29		210,000		224,901
3.500% 5/15/24		90,000		94,615
4.000% 7/15/39		140,000		156,870
4.150% 7/15/49		200,000		228,848
4.600% 3/01/21		30,000		30,740
				1,115,283
Foods — 0.3%
Danone SA 2.077% 11/02/21 (b)		250,000		250,260
2.589% 11/02/23 (b)		310,000		314,916
2.947% 11/02/26 (b)		550,000		561,876
Kraft Heinz Foods Co. 3.000% 6/01/26		470,000		470,137
3.950% 7/15/25		60,000		63,534
4.875% 2/15/25 (b)		29,000		29,797
Mars, Inc. 2.700% 4/01/25 (b)		240,000		245,605
3.200% 4/01/30 (b)		140,000		148,292
WM Wrigley Jr. Co. 3.375% 10/21/20 (b)		10,000		10,097
				2,094,514
Health Care – Products — 0.2%
Abbott Laboratories 3.750% 11/30/26		119,000		130,025
4.750% 11/30/36		140,000		175,581
4.900% 11/30/46		360,000		473,133
Medtronic, Inc. 3.500% 3/15/25		194,000		207,966
4.625% 3/15/45		28,000		35,268
				1,021,973
Health Care – Services — 0.5%
Aetna, Inc. 2.800% 6/15/23		40,000		40,650
Anthem, Inc. 2.950% 12/01/22		330,000		337,615
3.125% 5/15/22		50,000		51,257
3.350% 12/01/24		120,000		125,260
3.650% 12/01/27		340,000		360,057
3.700% 8/15/21		70,000		71,633
CommonSpirit Health 4.350% 11/01/42		20,000		20,543
Fresenius Medical Care US Finance II, Inc. 4.125% 10/15/20 (b)		50,000		50,498
4.750% 10/15/24 (b)		70,000		75,689
5.875% 1/31/22 (b)		50,000		53,505
HCA, Inc. 4.500% 2/15/27		40,000		43,140
4.750% 5/01/23		250,000		267,829
5.000% 3/15/24		50,000		54,658
5.250% 6/15/26		60,000		67,220
5.375% 2/01/25		30,000		33,175
5.375% 9/01/26		30,000		33,412
5.500% 6/15/47		130,000		149,435
5.625% 9/01/28		20,000		22,792
5.875% 2/15/26		10,000		11,371
Humana, Inc. 3.150% 12/01/22		40,000		41,052
3.950% 3/15/27		190,000		204,493
4.625% 12/01/42		70,000		78,801
4.800% 3/15/47		10,000		11,721
4.950% 10/01/44		60,000		70,882
UnitedHealth Group, Inc. 2.700% 7/15/20		250,000		251,040
2.875% 12/15/21		160,000		163,211
3.700% 8/15/49		120,000		128,984
3.750% 7/15/25		50,000		54,013
3.875% 12/15/28		110,000		121,801
3.875% 8/15/59		210,000		226,809
4.250% 6/15/48		200,000		232,494
5.800% 3/15/36		70,000		92,959
				3,547,999
Home Builders — 0.1%
Lennar Corp. 4.500% 4/30/24		120,000		126,900
4.750% 11/29/27		190,000		204,725
5.000% 6/15/27		20,000		21,700
NVR, Inc. 3.950% 9/15/22		100,000		104,198
Toll Brothers Finance Corp. 4.375% 4/15/23		110,000		114,950
				572,473
Housewares — 0.0%
Newell Brands, Inc. 3.850% STEP 4/01/23		113,000		117,431
Insurance — 0.3%
Ambac Assurance Corp. 5.100% 6/07/20 (b)		4,362		6,455
Ambac LSNI LLC 3 mo. USD LIBOR + 5.000% 6.945% FRN 2/12/23 (b)		17,156		17,370
American International Group, Inc. 6.250% 3/15/87		234,000		255,060

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
Berkshire Hathaway Finance Corp. 4.250% 1/15/49	$	550,000	$	652,561
Brighthouse Financial, Inc. 4.700% 6/22/47		70,000		64,863
Chubb INA Holdings, Inc. 2.300% 11/03/20		70,000		70,248
MetLife Capital Trust IV 7.875% 12/15/67 (b)		200,000		267,000
MetLife, Inc. 6.400% 12/15/66		190,000		232,750
Reliance Standard Life Global Funding II 2.500% 1/15/20 (b)		90,000		90,005
Teachers Insurance & Annuity Association of America 4.900% 9/15/44 (b)		200,000		245,680
6.850% 12/16/39 (b)		22,000		32,027
Voya Financial, Inc. 5.700% 7/15/43		160,000		200,420
				2,134,439
Internet — 0.2%
Amazon.com, Inc. 3.150% 8/22/27		470,000		498,098
3.875% 8/22/37		160,000		181,853
4.050% 8/22/47		210,000		247,138
4.950% 12/05/44		180,000		235,875
Prosus NV 4.850% 7/06/27 (b)		430,000		468,441
				1,631,405
Iron & Steel — 0.2%
ArcelorMittal SA 3.600% 7/16/24		320,000		328,145
4.550% 3/11/26		220,000		233,626
6.125% 6/01/25		480,000		551,514
6.250% STEP 2/25/22		50,000		53,895
7.000% STEP 10/15/39		60,000		73,136
Vale Overseas Ltd. 6.875% 11/21/36		174,000		226,200
				1,466,516
Leisure Time — 0.0%
VOC Escrow Ltd. 5.000% 2/15/28 (b)		210,000		219,975
Lodging — 0.3%
Las Vegas Sands Corp. 3.200% 8/08/24		1,040,000		1,070,790
Sands China Ltd. 4.600% 8/08/23		200,000		211,072
5.125% 8/08/25		750,000		823,005
				2,104,867
Machinery – Construction & Mining — 0.0%
ABB Finance USA, Inc. 4.375% 5/08/42		20,000		24,002
Machinery – Diversified — 0.0%
John Deere Capital Corp. 1.700% 1/15/20		40,000		39,996
Media — 1.3%
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20		300,000		301,912
4.200% 3/15/28		920,000		980,771
4.908% 7/23/25		340,000		374,400
5.050% 3/30/29		640,000		726,181
5.375% 4/01/38		480,000		547,699
5.750% 4/01/48		470,000		548,924
6.484% 10/23/45		160,000		198,356
6.834% 10/23/55		60,000		78,577
Comcast Corp. 3.150% 3/01/26		130,000		136,292
3.375% 8/15/25		170,000		180,443
3.950% 10/15/25		170,000		185,540
3.999% 11/01/49		55,000		60,992
4.150% 10/15/28		1,460,000		1,644,462
4.200% 8/15/34		160,000		182,606
4.250% 10/15/30		430,000		491,861
4.250% 1/15/33		20,000		23,182
4.700% 10/15/48		20,000		24,695
6.500% 11/15/35		200,000		283,642
DISH DBS Corp. 5.875% 11/15/24		440,000		449,625
7.750% 7/01/26		50,000		52,970
Fox Corp. 5.476% 1/25/39 (b)		90,000		110,123
5.576% 1/25/49 (b)		230,000		293,018
NBCUniversal Media LLC 4.375% 4/01/21		170,000		175,332
Time Warner Cable, Inc. 4.125% 2/15/21		140,000		142,266
6.550% 5/01/37		10,000		12,267
6.750% 6/15/39		120,000		151,620
7.300% 7/01/38		210,000		273,942
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		28,053
ViacomCBS, Inc. 3.875% 4/01/24		30,000		31,770
4.250% 9/01/23		50,000		53,254
The Walt Disney Co. 6.200% 12/15/34		20,000		28,090
6.650% 11/15/37		120,000		178,383
				8,951,248
Mining — 1.0%
Alcoa Nederland Holding BV 6.750% 9/30/24 (b)		240,000		252,502

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
Anglo American Capital PLC 3.625% 9/11/24 (b)	$	560,000	$	580,971
3.750% 4/10/22 (b)		200,000		205,290
4.750% 4/10/27 (b)		470,000		514,124
Barrick Gold Corp. 5.250% 4/01/42		80,000		95,476
Barrick North America Finance LLC 5.700% 5/30/41		180,000		222,033
5.750% 5/01/43		210,000		267,394
BHP Billiton Finance USA Ltd. 2.875% 2/24/22		20,000		20,389
5.000% 9/30/43		300,000		384,211
5 year USD Swap + 5.093% 6.750% VRN 10/19/75 (b)		500,000		587,085
Freeport-McMoRan, Inc. 3.550% 3/01/22		99,000		100,237
3.875% 3/15/23		10,000		10,182
4.550% 11/14/24		10,000		10,571
5.450% 3/15/43		216,000		223,560
Glencore Funding LLC 2.875% 4/16/20 (b)		80,000		80,106
3.875% 10/27/27 (b)		170,000		175,573
4.000% 3/27/27 (b)		1,470,000		1,527,918
4.125% 5/30/23 (b)		130,000		135,474
4.125% 3/12/24 (b)		510,000		534,172
Southern Copper Corp. 5.250% 11/08/42		870,000		1,001,365
Teck Resources Ltd. 6.000% 8/15/40		20,000		22,327
				6,950,960
Miscellaneous – Manufacturing — 0.6%
3M Co. 2.375% 8/26/29		250,000		246,677
Eaton Corp. 2.750% 11/02/22		570,000		581,630
4.150% 11/02/42		110,000		123,092
General Electric Co. 5.500% 1/08/20		40,000		40,014
4.375% 9/16/20		60,000		60,930
5.300% 2/11/21		75,000		77,380
4.650% 10/17/21		170,000		177,244
6.750% 3/15/32		210,000		269,790
6.150% 8/07/37		330,000		410,381
5.875% 1/14/38		286,000		347,650
6.875% 1/10/39		1,196,000		1,598,505
				3,933,293
Oil & Gas — 3.9%
Apache Corp. 4.250% 1/15/44		570,000		525,701
4.375% 10/15/28		1,060,000		1,108,748
4.750% 4/15/43		90,000		86,961
5.100% 9/01/40		460,000		468,343
6.000% 1/15/37		17,000		18,961
BP Capital Markets America, Inc. 3.119% 5/04/26		290,000		303,047
3.410% 2/11/26		270,000		287,685
3.588% 4/14/27		330,000		353,330
BP Capital Markets PLC 3.506% 3/17/25		550,000		585,613
3.535% 11/04/24		110,000		117,159
3.561% 11/01/21		20,000		20,625
Cimarex Energy Co. 3.900% 5/15/27		560,000		580,961
4.375% 3/15/29		230,000		243,982
CNOOC Finance USA LLC 3.500% 5/05/25		1,040,000		1,086,364
Concho Resources, Inc. 3.750% 10/01/27		30,000		31,555
4.300% 8/15/28		1,060,000		1,155,828
ConocoPhillips Holding Co. 6.950% 4/15/29		125,000		169,991
Continental Resources, Inc. 3.800% 6/01/24		110,000		113,772
4.375% 1/15/28		220,000		233,944
4.500% 4/15/23		560,000		585,113
Devon Energy Corp. 4.750% 5/15/42		10,000		11,219
5.000% 6/15/45		960,000		1,114,247
5.600% 7/15/41		460,000		559,412
5.850% 12/15/25		220,000		260,889
Diamondback Energy, Inc. 5.375% 5/31/25		100,000		104,992
Ecopetrol SA 5.875% 5/28/45		1,300,000		1,532,375
EOG Resources, Inc. 4.150% 1/15/26		120,000		131,911
Exxon Mobil Corp. 3.043% 3/01/26		210,000		220,322
4.114% 3/01/46		520,000		610,508
KazMunayGas National Co. JSC 5.375% 4/24/30 (b)		200,000		231,540
Noble Energy, Inc. 3.850% 1/15/28		460,000		486,080
4.950% 8/15/47		70,000		77,804
5.250% 11/15/43		120,000		135,213
Oasis Petroleum, Inc. 6.875% 3/15/22		20,000		19,250
6.875% 1/15/23 (d)		30,000		29,325
Occidental Petroleum Corp. 2.600% 8/13/21		220,000		221,628
2.700% 8/15/22		310,000		313,222
2.900% 8/15/24		530,000		538,660
3.000% 2/15/27		130,000		130,248
3.125% 2/15/22		120,000		122,121
3.200% 8/15/26		300,000		303,603

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
3.400% 4/15/26	$	170,000	$	174,203
3.500% 8/15/29		220,000		224,592
4.100% 2/15/47		580,000		563,967
4.200% 3/15/48		120,000		119,210
4.400% 4/15/46		50,000		50,652
4.625% 6/15/45		80,000		82,798
4.850% 3/15/21		311,000		320,355
5.550% 3/15/26		560,000		635,102
6.450% 9/15/36		240,000		294,820
6.600% 3/15/46		630,000		812,234
6.950% 7/01/24		230,000		270,963
7.875% 9/15/31		160,000		214,693
Petrobras Global Finance BV 5.299% 1/27/25		3,391,000		3,697,919
5.999% 1/27/28		900,000		1,026,936
6.125% 1/17/22		89,000		94,998
6.250% 3/17/24		332,000		372,189
7.375% 1/17/27		260,000		317,200
Petroleos Mexicanos 6.375% 1/23/45		220,000		211,961
6.625% 6/15/35		763,000		781,694
6.875% 8/04/26		160,000		175,787
Range Resources Corp. 4.875% 5/15/25 (d)		60,000		51,300
5.000% 3/15/23 (d)		270,000		248,351
5.875% 7/01/22		10,000		9,925
Shell International Finance BV 2.875% 5/10/26		380,000		394,326
4.000% 5/10/46		310,000		353,278
4.375% 3/25/20		210,000		211,108
4.375% 5/11/45		190,000		226,826
4.550% 8/12/43		100,000		121,952
Sinopec Group Overseas Development 2014 Ltd. 4.375% 4/10/24 (b)		330,000		356,016
WPX Energy, Inc. 8.250% 8/01/23		30,000		34,500
				27,682,107
Oil & Gas Services — 0.1%
Halliburton Co. 3.800% 11/15/25		240,000		256,030
4.850% 11/15/35		30,000		33,944
5.000% 11/15/45		500,000		571,565
Schlumberger Holdings Corp. 3.900% 5/17/28 (b)		51,000		54,336
				915,875
Packaging & Containers — 0.0%
WestRock RKT LLC 4.000% 3/01/23		30,000		31,320
Pharmaceuticals — 2.7%
AbbVie, Inc. 2.300% 11/21/22 (b)		1,310,000		1,316,621
2.600% 11/21/24 (b)		1,120,000		1,129,063
2.900% 11/06/22		80,000		81,649
2.950% 11/21/26 (b)		260,000		264,723
3.200% 11/21/29 (b)		850,000		864,751
3.600% 5/14/25		130,000		137,342
Allergan Funding SCS 3.450% 3/15/22		30,000		30,689
3.800% 3/15/25		180,000		189,163
4.550% 3/15/35		90,000		98,390
Becton Dickinson and Co. 3.363% 6/06/24		750,000		781,156
3.734% 12/15/24		65,000		68,911
4.685% 12/15/44		40,000		46,812
Bristol-Myers Squibb Co. 2.250% 8/15/21 (b)		240,000		241,501
2.600% 5/16/22 (b)		350,000		355,831
2.900% 7/26/24 (b)		700,000		722,819
3.200% 6/15/26 (b)		520,000		546,322
3.400% 7/26/29 (b)		250,000		267,556
3.550% 8/15/22 (b)		40,000		41,572
3.625% 5/15/24 (b)		40,000		42,276
3.875% 8/15/25 (b)		10,000		10,810
5.000% 8/15/45 (b)		640,000		820,986
5.250% 8/15/43 (b)		70,000		90,836
Cigna Corp. 3.400% 9/17/21		210,000		214,969
3.750% 7/15/23		570,000		597,814
4.125% 11/15/25		160,000		173,639
4.375% 10/15/28		1,230,000		1,362,702
CVS Health Corp. 2.750% 12/01/22		120,000		121,949
3.350% 3/09/21		101,000		102,679
3.700% 3/09/23		940,000		979,796
3.875% 7/20/25		124,000		132,073
4.100% 3/25/25		310,000		332,836
4.300% 3/25/28		2,840,000		3,102,533
5.050% 3/25/48		560,000		663,615
5.125% 7/20/45		350,000		415,210
CVS Pass-Through Trust 5.298% 1/11/27 (b)		7,258		7,754
5.880% 1/10/28		83,356		91,996
6.036% 12/10/28		73,554		82,175
6.943% 1/10/30		64,248		75,271
GlaxoSmithKline Capital PLC 2.850% 5/08/22		20,000		20,441
Johnson & Johnson 3.625% 3/03/37		690,000		762,215
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22		40,000		38,200
3.650% 11/10/21		50,000		48,938
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21		160,000		156,600

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
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21	$	750,000	$	726,337
2.800% 7/21/23		310,000		287,525
7.125% 1/31/25 (b)		390,000		400,608
				19,047,654
Pipelines — 1.4%
Blue Racer Midstream LLC/Blue Racer Finance Corp. 6.125% 11/15/22 (b)		150,000		147,000
Cameron LNG LLC 2.902% 7/15/31 (b)		110,000		110,258
3.302% 1/15/35 (b)		360,000		363,596
DCP Midstream Operating LP 6.450% 11/03/36 (b)		70,000		73,500
El Paso Natural Gas Co. LLC 8.375% 6/15/32		289,000		403,969
Energy Transfer LP/Regency Energy Finance Corp. 4.500% 11/01/23		30,000		31,787
5.875% 3/01/22		100,000		106,142
Energy Transfer Operating LP 6.250% 4/15/49		30,000		36,204
Enterprise Products Operating LLC 4.150% 10/16/28		2,600,000		2,878,043
5.700% 2/15/42		40,000		51,617
Kinder Morgan Energy Partners LP 3.500% 3/01/21		110,000		111,404
3.500% 9/01/23		120,000		124,368
5.500% 3/01/44		30,000		34,935
Kinder Morgan, Inc. 4.300% 6/01/25		230,000		249,547
4.300% 3/01/28		140,000		152,658
5.550% 6/01/45		100,000		119,009
MPLX LP 4.000% 3/15/28		210,000		217,512
4.500% 4/15/38		620,000		630,896
4.700% 4/15/48		620,000		631,742
4.800% 2/15/29		320,000		351,232
4.875% 12/01/24		150,000		163,079
5.500% 2/15/49		250,000		284,021
Southern Natural Gas Co. LLC 8.000% 3/01/32		248,000		359,959
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.500% 3/01/30 (b)		150,000		154,125
Transcontinental Gas Pipe Line Co. LLC 7.850% 2/01/26		60,000		76,258
Western Midstream Operating LP 5.500% 8/15/48		20,000		17,592
The Williams Cos., Inc. 3.750% 6/15/27		350,000		365,071
5.250% 3/15/20		130,000		130,763
7.500% 1/15/31		330,000		430,692
7.750% 6/15/31		580,000		773,566
				9,580,545
Real Estate Investment Trusts (REITS) — 0.1%
GLP Capital LP/GLP Financing II, Inc. 5.250% 6/01/25		10,000		10,976
5.375% 4/15/26		40,000		44,216
WEA Finance LLC/Westfield UK & Europe Finance PLC 3.750% 9/17/24 (b)		220,000		231,632
4.750% 9/17/44 (b)		250,000		290,701
				577,525
Retail — 0.2%
McDonald’s Corp. 3.500% 3/01/27		210,000		224,357
3.700% 1/30/26		350,000		377,665
3.800% 4/01/28		110,000		120,302
QVC, Inc. 5.950% 3/15/43		10,000		9,369
Walmart, Inc. 3.700% 6/26/28		560,000		617,004
				1,348,697
Semiconductors — 0.0%
Intel Corp. 3.700% 7/29/25		70,000		75,720
Software — 0.7%
Microsoft Corp. 1.550% 8/08/21		360,000		359,524
2.400% 2/06/22		540,000		547,634
2.400% 8/08/26		1,620,000		1,639,188
2.700% 2/12/25		100,000		103,339
2.875% 2/06/24		380,000		394,311
3.300% 2/06/27		690,000		737,546
3.750% 2/12/45		400,000		454,895
3.950% 8/08/56		100,000		118,516
4.100% 2/06/37		170,000		201,111
salesforce.com, Inc. 3.250% 4/11/23		270,000		280,861
3.700% 4/11/28		90,000		98,737
				4,935,662
Telecommunications — 0.9%
America Movil SAB de CV 5.000% 3/30/20		100,000		100,614
AT&T, Inc. 3.000% 2/15/22		60,000		61,203
3.400% 5/15/25		580,000		607,418
4.250% 3/01/27		260,000		285,579

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
4.350% 6/15/45	$	390,000	$	421,049
6.250% 3/29/41		20,000		26,045
Qwest Corp. 6.875% 9/15/33		85,000		85,382
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 3.360% STEP 3/20/23 (b)		87,500		88,279
4.738% 9/20/29 (b)		220,000		232,976
Telefonica Emisiones SA 5.213% 3/08/47		150,000		178,036
Verizon Communications, Inc. 2.625% 8/15/26		300,000		304,679
3.376% 2/15/25		100,000		105,931
3.500% 11/01/24		160,000		169,675
3.875% 2/08/29		130,000		143,405
4.125% 3/16/27		130,000		144,331
4.329% 9/21/28		820,000		930,675
4.400% 11/01/34		270,000		312,999
4.500% 8/10/33		670,000		782,098
4.522% 9/15/48		240,000		287,987
4.862% 8/21/46		130,000		161,381
5.250% 3/16/37		170,000		213,508
5.500% 3/16/47		30,000		40,736
Vodafone Group PLC 4.375% 5/30/28		580,000		643,080
				6,327,066
Transportation — 0.2%
Union Pacific Corp. 3.750% 7/15/25		190,000		203,728
3.839% 3/20/60 (b)		600,000		608,775
3.950% 9/10/28		620,000		685,106
				1,497,609
Trucking & Leasing — 0.0%
DAE Funding LLC 5.750% 11/15/23 (b)		60,000		62,925
TOTAL CORPORATE DEBT (Cost $190,298,787)				206,292,980
MUNICIPAL OBLIGATIONS — 0.0%
Northeast Ohio Regional Sewer District 5.000% 11/15/43		50,000		56,498
State of California 5.000% 4/01/42		70,000		75,853
5.000% 11/01/43		50,000		56,555
				188,906
TOTAL MUNICIPAL OBLIGATIONS (Cost $173,256)				188,906
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.8%
Auto Floor Plan ABS — 0.2%
Ford Credit Floorplan Master, Series 2018-4, Class A 4.060% 11/15/30		1,100,000		1,189,429
Automobile ABS — 0.1%
Hertz Vehicle Financing II LP Series 2019-3A, Class A, 2.670% 12/26/25 (b)		750,000		747,725
Series 2015-1A, Class C, 4.350% 3/25/21 (b)		250,000		250,307
				998,032
Commercial MBS — 3.3%
Banc of America Merrill Lynch Trust, Series 2016-GG10, Class AJA, 5.808% VRN 8/10/45 (b) (e)		715,230		323,923
BANK, Series 2017-BNK4, Class XA, 1.425% VRN 5/15/50 (e)		3,689,636		277,536
BBCCRE Trust, Series 2015-GTP, Class E, 4.563% VRN 8/10/33 (b) (e)		1,020,000		962,277
BX Trust Series 2018-IND, Class G, 1 mo. USD LIBOR + 2.050% 3.790% FRN 11/15/35 (b)		357,000		357,887
Series 2018-IND, Class H, 1 mo. USD LIBOR + 3.000% 4.740% FRN 11/15/35 (b)		1,533,000		1,534,433
CD Mortgage Trust, Series 2017-CD3, Class A4 3.631% 2/10/50		400,000		428,184
CHT Mortgage Trust, Series 2017-CSMO, Class A, 1 mo. USD LIBOR + .930% 2.670% FRN 11/15/36 (b)		460,000		459,568
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class AS 3.571% 2/10/48		390,000		403,565
Credit Suisse Commercial Mortgage Trust, Series 2019-RIO Class A 4.764% 12/15/22		2,500,000		2,499,978
Credit Suisse Mortgage Trust Series 2017-LSTK, Class A, 2.761% 4/05/33 (b)		430,000		430,441
Series 2014-USA, Class A2, 3.953% 9/15/37 (b)		190,000		200,165
Series 2014-USA, Class E, 4.373% 9/15/37 (b)		140,000		132,424
Series 2014-USA, Class F, 4.373% 9/15/37 (b)		230,000		207,968

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
Series 2018-PLUM, Class A, 1 mo. USD LIBOR + 3.231% 4.971% FRN 8/15/20 (b)	$	107,583	$	107,641
Series 2006-C5, Class AJ, 5.373% 12/15/39		92,328		42,471
Series 2007-C5, Class AM, 5.869% VRN 9/15/40 (e)		29,250		18,427
Series 2017-CHOP, Class G, 1 mo. USD LIBOR + 5.620% 7.360% FRN 7/15/32 (b)		1,700,000		1,708,084
FREMF Mortgage Trust Series 2012-K20, Class X2A, 0.200% 5/25/45 (b)		3,135,082		11,781
Series 2019-KF58, Class B, 1 mo. USD LIBOR + 2.150% 3.847% FRN 1/25/26 (b)		1,457,756		1,461,174
GS Mortgage Securities Trust Series 2018-SRP5, Class A, 1 mo. USD LIBOR + 1.300% 3.040% FRN 9/15/31 (b)		1,350,000		1,349,668
Series 2015-GC30, Class AS, 3.777% VRN 5/10/50 (e)		280,000		294,998
Series 2006-GG8, Class AJ, 5.622% 11/10/39		85,463		52,987
JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class XA, 0.752% VRN 4/15/47 (e)		1,324,470		27,755
Series 2014-C21, Class AS, 3.997% 8/15/47		250,000		263,109
Series 2015-C31, Class B, 4.617% VRN 8/15/48 (e)		160,000		172,626
Series 2013-C17, Class B, 4.892% VRN 1/15/47 (e)		30,000		32,534
JPMCC Commercial Mortgage Securities Trust, Series 2019-BOLT, Class A, 1 mo. USD LIBOR + 1.150% 2.890% FRN 7/15/34 (b)		871,158		871,250
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class XA, 0.904% VRN 10/15/50 (e)		7,891,425		417,041
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A3, 3.127% VRN 4/20/48 (b) (e)		263,351		265,218
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ, 6.025% VRN 9/12/49 (e)		39,330		16,519
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4 3.306% 4/15/48		420,000		437,198
Morgan Stanley Capital I Trust Series 2019-BPR, Class A, 1 mo. USD LIBOR + 1.400% 3.140% FRN 5/15/36 (b)		1,360,000		1,357,450
Series 2006-IQ12, Class AJ, 5.399% 12/15/43		21,610		14,479
Series 2007-IQ13, Class AJ, 5.438% 3/15/44		3,680		3,696
Natixis Commercial Mortgage Securities Trust Series 2019-FAME, Class A, 3.047% 8/15/34 (b)		1,270,000		1,284,715
Series 2019-10K, Class E, 4.135% VRN 5/15/39 (b) (e)		1,710,000		1,636,952
Shops at Crystals Trust, Series 2016-CSTL, Class A 3.126% 7/05/36 (b)		320,000		323,394
Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 1 mo. USD LIBOR + .750% 2.460% FRN 11/11/34 (b)		267,326		266,825
UBS Commercial Mortgage Trust Series 2017-C1, Class A4, 3.460% 6/15/50		170,000		180,190
Series 2017-C2, Class A4, 3.487% 8/15/50		570,000		604,194
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A, 4.104% VRN 9/14/22 (b) (e)		171,790		172,494
Wells Fargo Commercial Mortgage Trust Series 2019-C52, Class XA, 1.624% VRN 8/15/52 (e)		5,917,831		697,761
Series 2015-NXSI, Class AS, 3.406% 5/15/48		190,000		196,828
Series 2013-LC12, Class B, 4.284% VRN 7/15/46 (e)		140,000		145,717
WFRBS Commercial Mortgage Trust Series 2014-C24, Class AS, 3.931% 11/15/47		190,000		199,957
Series 2014-C24, Class B, 4.204% VRN 11/15/47 (e)		190,000		196,813
Series 2014-C24, Class C, 4.290% VRN 11/15/47 (e)		190,000		189,425
				23,239,720
Home Equity ABS — 0.6%
Asset Backed Securities Corp. Home Equity Loan Trust Series 2007-HE1, Class A4, 1 mo. USD LIBOR + .140% 1.932% FRN 12/25/36		1,686,604		1,616,950

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
Series 2003-HE6, Class A3B, 1 mo. USD LIBOR + .960% 2.752% FRN 11/25/33	$	1,249,236	$	1,171,537
GSAA Home Equity Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .270% 2.062% FRN 3/25/36		426,060		281,492
RBSSP Resecuritization Trust, Series 2010-4, Class 6A2, 5.825% STEP 2/26/36 (b)		1,483,718		1,485,774
				4,555,753
Manufactured Housing ABS — 0.2%
Conseco Finance Corp., Series 1996-4, Class M1, 7.750% VRN 6/15/27 (e)		1,196,717		1,195,171
Other ABS — 2.4%
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I 4.194% 6/07/49 (b)		1,230,000		1,245,934
Community Funding CLO Ltd., Series 2015-1A, Class A, 5.750% STEP 11/01/27 (b)		679,398		699,889
Dividend Solar Loans LLC, Series 2019-1, Class A 3.670% 8/22/39 (b)		1,329,557		1,332,650
Fanniemae Grantor Trust, Series 2017-T1, Class A 2.898% 6/25/27		99,805		102,351
HSI Asset Securitization Corp., Series 2005-II, Class 2A4, 1 mo. USD LIBOR + .390% 2.182% FRN 11/25/35		2,190,534		2,054,282
Legacy Mortgage Asset Trust Series 2019-GS5, Class A1, 3.200% STEP 5/25/59 (b)		1,697,533		1,695,335
Series 2019-GS1, Class A1, 4.000% STEP 1/25/59 (b)		1,395,480		1,408,590
Magnolia Finance XI DAC, Series 2019-1OTF, Class A1, 3 mo. USD LIBOR + 2.900% 4.999% FRN 8/09/24 (b)		1,000,000		998,686
PFCA Home Equity Investment Trust, Series 2003-IFC6, Class A, 4.419% VRN 4/22/35 (b) (e)		853,004		862,247
Popular ABS Mortgage Pass-Through Trust, Series 2005-2, Class M2, 5.717% STEP 4/25/35		1,579,949		1,268,037
RAMP Trust, Series 2006-NC3, Class M1, 1 mo. USD LIBOR + .340% 2.132% FRN 3/25/36		2,080,000		2,018,960
SBA Small Business Investment Cos. Series 2019-10A, Class 1, 3.113% 3/10/29		544,106		565,019
Series 2018-10B, Class 1, 3.548% 9/10/28		409,248		430,615
Structured Asset Investment Loan Trust, Series 2004-8, Class A9, 1 mo. USD LIBOR + 1.000% 2.792% FRN 9/25/34		1,292,532		1,291,758
United States Small Business Administration Series 2019-25G, Class 1, 2.690% 7/01/44		270,000		274,533
Series 2019-20D, Class 1, 2.980% 4/01/39		281,923		288,113
				16,536,999
Student Loans ABS — 1.0%
Navient Student Loan Trust Series 2017-2A, Class A, 1 mo. USD LIBOR + 1.050% 2.842% FRN 12/27/66 (b)		1,553,986		1,552,514
Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150% 2.942% FRN 7/26/66 (b)		1,030,000		1,036,637
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% 3.092% FRN 3/25/66 (b)		650,000		658,669
SLM Student Loan Trust Series 2005-A, Class A4, 3 mo. USD LIBOR + .310% 2.204% FRN 12/15/38		1,210,000		1,178,956
Series 2003-7A, Class A5A, 3 mo. USD LIBOR + 1.200% 3.094% FRN 12/15/33 (b)		481,496		477,269
Series 2013-M1, Class M1, 3.500% 10/28/29 (b)		27,179		26,940
SoFi Professional Loan Program LLC, Series 2019-A, Class A2FX 3.690% 6/15/48 (b)		1,720,000		1,784,370
				6,715,355
WL Collateral CMO — 2.9%
BCAP LLC Trust, Series 2011-RR5, Class 11A4, 1 mo. USD LIBOR + .150% 2.008% FRN 5/28/36 (b)		708,722		703,735
Bear Stearns Asset -Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650% 5.858% FRN 11/25/35		828,924		202,528
Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. USD LIBOR + .350% 2.142% FRN 5/25/37		2,105,083		964,139

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
Credit Suisse Mortgage Trust Series 2015-4R, Class 3A3, 1 mo. USD LIBOR + .310% 2.328% FRN 10/27/36 (b)	$	880,000	$	504,978
Series 2018-J1, Class A2, 3.500% VRN 2/25/48 (b) (e)		3,868,702		3,955,143
Series 2015-2R, Class 7A2, 3.876% VRN 8/27/36 (b) (e)		2,450,501		2,062,218
Flagstar Mortgage Trust, Series 2018-2, Class A4, 3.500% VRN 4/25/48 (b) (e)		971,696		992,193
GMACM Mortgage Loan Trust, Series 2005-AF2, Class A1 6.000% 12/25/35		2,482,776		2,415,128
GSMSC Resecuritization Trust, Series 2014-2R, Class 3B, 1 mo. USD LIBOR + .610% 2.318% FRN 11/26/37 (b)		1,220,000		1,070,284
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.260% VRN 10/25/35 (e)		74,745		60,432
HarborView Mortgage Loan Trust, Series 2006-2, Class 1A, 4.694% VRN 2/25/36 (e)		42,640		25,699
JP Morgan Mortgage Trust Series 2018-3, Class A1, 3.500% VRN 9/25/48 (b) (e)		1,733,581		1,747,827
Series 2018-4, Class A1, 3.500% VRN 10/25/48 (b) (e)		827,971		829,512
Series 2018-5, Class A1, 3.500% VRN 10/25/48 (b) (e)		947,569		967,260
Morgan Stanley Resecuritization Trust, Series 2015-R3, Class 7A2, 12 mo. MTA + .770% 3.096% FRN 4/26/47 (b)		300,000		293,192
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1, 4.000% VRN 5/25/57 (b) (e)		587,839		611,117
Prime Mortgage Trust Series 2006-DR1, Class 1A1, 5.500% 5/25/35 (b)		12,845		12,075
Series 2006-DR1, Class 2A2, 6.000% 5/25/35 (b)		723,501		612,068
RBSSP Resecuritization Trust, Series 2013-4, Class 1A2, 1 mo. USD LIBOR + 1.500% 3.208% FRN 12/26/37 (b)		2,087,164		1,863,476
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1, 4.326% VRN 8/25/36 (e)		253,039		211,670
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150% 4.390% FRN 3/25/46		290,447		324,058
				20,428,732
WL Collateral PAC — 0.0%
Countrywide Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. USD LIBOR + 28.600% 21.432% FRN 7/25/36		62,131		94,997
WL Collateral Support CMO — 0.1%
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1B, 12 mo. MTA + 1.000% 3.240% FRN 2/25/46		909,366		843,725
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $73,954,177)				75,797,913
SOVEREIGN DEBT OBLIGATIONS — 7.9%
Provincia de Buenos Aires 6.500% 2/15/23 (b)		170,000		70,550
7.875% 6/15/27 (b)		160,000		68,000
9.125% 3/16/24 (b)		160,000		70,000
Abu Dhabi Government International Bond 2.500% 10/11/22 (b)		870,000		880,675
Argentina POM Politica Monetaria ARLLMONP 56.590% FRN 6/21/20 ARS (f) (g)		6,380,000		69,970
Argentine Bonos del Tesoro 18.200% 10/03/21 ARS (f) (g)		12,970,000		83,623
Argentine Republic Government International Bond 3.750% STEP 12/31/38		110,000		53,626
5.625% 1/26/22		770,000		398,475
6.875% 4/22/21		220,000		118,800
6.875% 1/11/48		1,450,000		694,188
7.125% 7/06/36		220,000		104,502
7.500% 4/22/26		610,000		317,200
Brazil Notas do Tesouro Nacional Serie F 10.000% 1/01/21 BRL (g)		8,458,000		2,108,364
10.000% 1/01/23 BRL (g)		13,781,000		3,641,176
10.000% 1/01/27 BRL (g)		963,000		269,871
Brazilian Government International Bond 4.625% 1/13/28		420,000		451,080
5.000% 1/27/45		510,000		529,788
5.625% 1/07/41		2,350,000		2,632,000

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
Colombia Government International Bond 5.625% 2/26/44	$	520,000	$	646,100
Ecuador Government International Bond 7.875% 1/23/28 (b)		330,000		293,291
Egypt Government International Bond 5.577% 2/21/23 (b)		370,000		386,976
Indonesia Government International Bond 3.500% 1/11/28 (d)		400,000		417,516
3.750% 4/25/22 (b)		1,030,000		1,063,444
4.350% 1/11/48		450,000		495,487
5.125% 1/15/45 (b)		1,360,000		1,618,564
5.125% 1/15/45 (b)		200,000		238,024
Kenya Government International Bond 6.875% 6/24/24 (b)		200,000		216,271
7.250% 2/28/28 (b)		200,000		217,223
Kuwait International Government Bond 3.500% 3/20/27 (b)		530,000		569,559
Mexican Bonos 7.750% 11/13/42 MXN (g)		34,785,600		1,951,066
8.000% 11/07/47 MXN (g)		164,010,000		9,499,178
8.500% 5/31/29 MXN (g)		75,560,000		4,447,999
8.500% 11/18/38 MXN (g)		30,070,000		1,813,392
Mexico Government International Bond 4.750% 3/08/44		1,220,000		1,348,100
Nigeria Government International Bond 6.500% 11/28/27 (b)		200,000		204,044
7.143% 2/23/30 (b)		210,000		213,744
Peruvian Government International Bond 6.550% 3/14/37		750,000		1,096,875
Qatar Government International Bond 4.000% 3/14/29 (b)		580,000		647,282
4.817% 3/14/49 (b)		1,280,000		1,584,000
Republic of Poland Government International Bond 4.000% 1/22/24		910,000		978,936
Russian Federal Bond — OFZ 6.900% 5/23/29 RUB (g)		228,650,000		3,883,012
7.000% 1/25/23 RUB (g)		30,640,000		513,368
7.000% 8/16/23 RUB (g)		63,590,000		1,065,625
7.050% 1/19/28 RUB (g)		221,886,000		3,774,471
7.250% 5/10/34 RUB (g)		60,500,000		1,050,797
7.700% 3/16/39 RUB (g)		86,260,000		1,573,273
7.750% 9/16/26 RUB (g)		8,260,000		145,031
8.150% 2/03/27 RUB (g)		55,120,000		992,788
				55,298,774
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $55,831,301)				55,507,324
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 36.8%
Collateralized Mortgage Obligations — 2.3%
Federal Home Loan Mortgage Corp. Series 3422, Class AI, 0.250% STEP 1/15/38		13,661		111
Series 4793, Class CB, 3.000% 5/15/48		898,017		908,672
Series 4793, Class CD, 3.000% 6/15/48		620,943		627,289
Series 4813, Class CJ, 3.000% 8/15/48		756,413		762,440
Series 353, Class S1, 1 mo. USD LIBOR + 6.000% 4.260% FRN 12/15/46		431,223		80,907
Series 334, Class S7, 1 mo. USD LIBOR + 6.100% 4.360% FRN 8/15/44		206,388		38,099
Series 3621, Class SB, 1 mo. USD LIBOR + 6.230% 4.490% FRN 1/15/40		39,868		7,720
Series 4203, Class PS, 1 mo. USD LIBOR + 6.250% 4.510% FRN 9/15/42		217,270		30,225
Series 3973, Class SA, 1 mo. USD LIBOR + 6.490% 4.750% FRN 12/15/41		270,910		54,870
Series R007, Class ZA, 6.000% 5/15/36		111,273		127,557
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K094, Class X1, 0.881% VRN 6/25/29 (e)		999,723		71,441
Series K735, Class X1, 0.965% VRN 5/25/26 (e)		1,099,564		59,355
Series K099, Class X1, 1.006% VRN 9/25/29 (e)		2,059,438		150,643
Series K007, Class X1, 1.010% VRN 4/25/20 (e)		203,603		26
Series KC05, Class X1, 1.204% VRN 6/25/27 (e)		3,499,973		234,153
Series K736, Class X1, 1.312% VRN 7/25/26 (e)		4,099,678		293,207
Series K091, Class A2, 3.505% 3/25/29		700,000		757,677

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
Federal National Mortgage Association Series 2006-118, Class IP1, 1.768% FRN 12/25/36 (e)	$	101,605	$	7,440
Series 2006-118, Class IP2, 1.768% FRN 12/25/36 (e)		79,671		5,696
Series 2005-88, Class IP, 2.274% FRN 10/25/35 (e)		42,038		2,257
Series 2006-88, Class IP, 2.466% 3/25/36		56,419		2,911
Series 409, Class C2, 3.000% 4/25/27		122,150		8,265
Series 2006-59, Class IP, 3.078% FRN 7/25/36 (e)		111,666		10,087
Series 409, Class C13, 3.500% 11/25/41		149,438		23,208
Series 409, Class C18, 4.000% 4/25/42		157,982		27,187
Series 2013-124, Class SB, 1 mo. USD LIBOR + 5.950% 4.158% FRN 12/25/43		480,613		86,576
Series 2016-61, Class BS, 1 mo. USD LIBOR + 6.100% 4.308% FRN 9/25/46		152,574		24,932
Series 2016-60, Class QS, 1 mo. USD LIBOR + 6.100% 4.308% FRN 9/25/46		324,848		54,374
Series 2017-76, Class SB, 1 mo. USD LIBOR + 6.100% 4.308% FRN 10/25/57		954,334		166,600
Series 2012-133, Class CS, 1 mo. USD LIBOR + 6.150% 4.358% FRN 12/25/42		151,802		27,557
Series 2012-134, Class SK, 1 mo. USD LIBOR + 6.150% 4.358% FRN 12/25/42		297,293		56,499
Series 2013-54, Class BS, 1 mo. USD LIBOR + 6.150% 4.358% FRN 6/25/43		382,492		70,409
Series 2017-85, Class SC, 1 mo. USD LIBOR + 6.200% 4.408% FRN 11/25/47		271,434		47,964
Series 409, Class C22, 4.500% 11/25/39		87,663		15,731
Series 2012-35, Class SC, 1 mo. USD LIBOR + 6.500% 4.708% FRN 4/25/42		130,027		26,973
Series 2011-87, Class SG, 1 mo. USD LIBOR + 6.550% 4.758% FRN 4/25/40		224,209		24,779
Series 2011-96, Class SA, 1 mo. USD LIBOR + 6.550% 4.758% FRN 10/25/41		255,655		47,207
Series 2012-74, Class SA, 1 mo. USD LIBOR + 6.650% 4.858% FRN 3/25/42		67,606		11,229
Series 2011-59, Class NZ, 5.500% 7/25/41		498,545		560,150
Series 2013-9, Class CB, 5.500% 4/25/42		425,482		468,170
Series 2012-46, Class BA, 6.000% 5/25/42		108,771		123,901
Series 2012-28, Class B, 6.500% 6/25/39		21,524		23,189
Series 2013-9, Class BC, 6.500% 7/25/42		121,719		140,840
Series 2012-51, Class B, 7.000% 5/25/42		91,172		106,393
Federal National Mortgage Association ACES Series 2014-M4, Class X2, 0.168% VRN 3/25/24 (e)		4,583,161		28,469
Series 2019-M28, Class AV, 2.232% 2/25/27		499,756		494,139
Series 2019-M19, Class A2, 2.560% 9/25/29		1,649,881		1,660,293
Series 2019-M5, Class A2, 3.273% 1/25/29		620,000		656,914
Series 2019-M6, Class A2, 3.450% 1/01/29		680,000		727,147
Series 2019-M1, Class A2, 3.555% VRN 9/25/28 (e)		1,580,000		1,709,115
Series 2019-M4, Class A2, 3.610% 2/25/31		330,000		357,845
Government National Mortgage Association Series 2012-144, Class IO, 0.403% VRN 1/16/53 (e)		5,834,314		139,388
Series 2012-135, Class IO, 0.574% VRN 1/16/53 (e)		5,102,493		161,568
Series 2014-186, Class IO, 0.757% VRN 8/16/54 (e)		2,622,532		112,900
Series 2017-41, Class IO, 0.791% VRN 7/16/58 (e)		1,895,536		116,484
Series 2014-22, Class IA, 1.688% FRN 11/20/42 (e)		38,325		1,484
Series 2017-H18, Class BI, 1.759% VRN 9/20/67 (e)		4,851,766		434,790
Series 2012-H27, Class AI, 1.782% VRN 10/20/62 (e)		735,889		35,453
Series 2018-H07, Class FD, 1 mo. USD LIBOR + .300% 2.074% FRN 5/20/68		504,410		504,537
Series 2010-H28, Class FE, 1 mo. USD LIBOR + .400% 2.174% FRN 12/20/60		149,048		149,464

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
Series 2014-H20, Class FA, 1 mo. USD LIBOR + .430% 2.204% FRN 10/20/64	$	1,447,813	$	1,444,101
Series 2017-H20, Class IB, 2.223% VRN 10/20/67 (e)		96,363		10,301
Series 2011-H08, Class FG, 1 mo. USD LIBOR + .480% 2.254% FRN 3/20/61		132,342		132,986
Series 2011-H09, Class AF, 1 mo. USD LIBOR + .500% 2.274% FRN 3/20/61		93,902		94,364
Series 2017-H15, Class KI, 2.356% VRN 7/20/67 (e)		189,521		24,792
Series 2019-123, Class A, 3.000% 10/20/49		400,000		403,216
Series 2012-66, Class CI, 3.500% 2/20/38		102,246		4,736
Series 2013-53, Class OI, 3.500% 4/20/43		843,219		106,769
Series 2014-117, Class SJ, 1 mo. USD LIBOR + 5.600% 3.835% FRN 8/20/44		145,014		22,959
Series 2014-176, Class IA, 4.000% 11/20/44		96,035		15,488
Series 2015-167, Class OI, 4.000% 4/16/45		105,081		22,272
Series 2016-135, Class SB, 1 mo. USD LIBOR + 6.100% 4.360% FRN 10/16/46		153,031		34,773
Series 2016-21, Class ST, 1 mo. USD LIBOR + 6.150% 4.385% FRN 2/20/46		113,532		24,692
Series 2016-84, Class IG, 4.500% 11/16/45		472,751		91,720
Series 2010-31, Class GS, 1 mo. USD LIBOR + 6.500% 4.735% FRN 3/20/39		6,380		181
Series 2010-85, Class HS, 1 mo. USD LIBOR + 6.650% 4.885% FRN 1/20/40		40,298		3,935
				16,102,191
Pass-Through Securities — 33.9%
Federal Home Loan Mortgage Corp. Pool #SD8029 2.500% 12/01/49		1,799,820		1,780,219
Pool #ZS7932 3.000% 12/01/32		608,781		626,724
Pool #SB0036 3.000% 4/01/33		2,677,035		2,755,102
Pool #SB0094 3.000% 6/01/33		385,151		396,022
Pool #C91981 3.000% 2/01/38		251,390		257,828
Pool #C91987 3.000% 4/01/38		164,138		168,342
Pool #G67701 3.000% 10/01/46		1,155,541		1,192,744
Pool #Q45638 3.000% 1/01/47		324,910		332,426
Pool #G08747 3.000% 2/01/47		546,721		560,052
Pool #G61587 3.000% 4/01/47		949,117		972,259
Pool #G60985 3.000% 5/01/47		2,215,614		2,286,253
Pool #G08778 3.000% 9/01/47		177,042		180,971
Pool #G61637 3.000% 9/01/47		924,792		951,386
Pool #G61739 3.000% 9/01/48		267,717		276,085
Pool #ZT1780 3.000% 3/01/49		1,918,649		1,949,260
Pool #ZN4906 3.000% 4/01/49		87,337		88,594
Pool #ZT1867 3.000% 4/01/49		1,496,732		1,519,209
Pool #ZN6631 3.000% 6/01/49		282,994		287,067
Pool #ZN6682 3.000% 6/01/49		186,913		189,603
Pool #ZN6689 3.000% 6/01/49		193,466		196,432
Pool #QA0120 3.000% 6/01/49		97,261		98,813
Pool #QA0241 3.000% 6/01/49		278,956		283,407
Pool #QA0445 3.000% 6/01/49		191,126		194,175
Pool #QA0794 3.000% 7/01/49		196,324		199,150
Pool #QA1033 3.000% 7/01/49		5,673,199		5,754,850
Pool #RA1103 3.000% 7/01/49		388,429		397,297
Pool #QA1597 3.000% 8/01/49		476,841		483,704
Pool #QA1627 3.000% 8/01/49		95,756		97,403
Pool #QA2090 3.000% 8/01/49		98,688		100,386
Pool #RA1224 3.000% 8/01/49		2,999,324		3,050,927
Pool #RA1293 3.000% 9/01/49		783,039		806,054
Pool #RA1343 3.000% 9/01/49		197,599		201,492
Pool #RA1352 3.000% 9/01/49		787,320		800,866
Pool #QA2427 3.000% 9/01/49		492,808		501,287
Pool #RA1341 3.000% 9/01/49		592,298		605,820
Pool #RA1344 3.000% 9/01/49		1,067,835		1,088,876
Pool #RA1340 3.000% 9/01/49		689,655		703,244
Pool #RA1355 3.000% 9/01/49		979,884		996,743
Pool #RA1496 3.000% 10/01/49		1,384,288		1,411,565
Pool #RA1461 3.000% 10/01/49		2,196,401		2,239,680
Pool #RA1493 3.000% 10/01/49		1,684,790		1,723,253
Pool #RA1460 3.000% 10/01/49		791,701		807,301
Pool #RA-1981 3.000% 1/01/50 (h)		700,000		714,012
Pool #QA5768 3.000% 1/01/50		100,000		101,955
Pool #QA5770 3.000% 1/01/50		100,000		102,236
Pool #QA5771 3.000% 1/01/50		200,000		204,410
Pool #U90245 3.500% 10/01/42		105,763		111,294
Pool #U99045 3.500% 3/01/43		442,350		465,482
Pool #U99114 3.500% 2/01/44		54,695		57,556
Pool #U99124 3.500% 3/01/45		486,693		512,145
Pool #Q41209 3.500% 6/01/46		332,784		349,459
Pool #Q48752 3.500% 6/01/47		303,142		317,100
Pool #ZS4755 3.500% 2/01/48		1,116,687		1,156,928
Pool #V84260 3.500% 6/01/48		2,066,998		2,167,987
Pool #ZT0711 3.500% 10/01/48		3,947,510		4,074,960
Pool #ZT1593 3.500% 1/01/49		3,638,316		3,751,236
Pool #ZT1776 3.500% 3/01/49		2,921,509		3,009,443
Pool #V85283 3.500% 3/01/49		723,329		752,339
Pool #ZT1863 3.500% 4/01/49		674,765		694,020
Pool #RA1371 3.500% 9/01/49		196,194		204,000
Pool #RA1741 3.500% 11/01/49		199,488		207,425
Pool #QA5120 3.500% 11/01/49 (h)		400,000		414,539

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
Pool #RA1880 3.500% 12/01/49 (h)	$	499,440	$	517,594
Pool #G14492 4.000% 10/01/25		196,609		205,076
Pool #U90316 4.000% 10/01/42		84,330		90,487
Pool #U91254 4.000% 4/01/43		103,480		111,100
Pool #Q19135 4.000% 6/01/43		44,920		48,425
Pool #Q19236 4.000% 6/01/43		45,565		48,933
Pool #U99054 4.000% 6/01/43		1,110,987		1,192,103
Pool #Q19615 4.000% 7/01/43		46,031		49,622
Pool #Q19985 4.000% 7/01/43		1,425,787		1,526,323
Pool #U95137 4.000% 8/01/43		49,751		53,414
Pool #C09071 4.000% 2/01/45		545,666		577,087
Pool #Q40459 4.000% 3/01/46		1,150,061		1,214,937
Pool #ZS4699 4.000% 1/01/47		124,160		130,811
Pool #ZS4727 4.000% 7/01/47		939,304		985,806
Pool #V83342 4.000% 8/01/47		288,841		306,850
Pool #Q55429 4.000% 4/01/48		79,673		83,570
Pool #Q55997 4.000% 5/01/48		536,878		562,467
Pool #Q57230 4.000% 7/01/48		1,486,716		1,552,000
Pool #G08836 4.000% 9/01/48		612,003		638,877
Pool #G61727 4.000% 11/01/48		1,527,978		1,595,552
Pool #ZT1952 4.000% 5/01/49		2,746,010		2,855,354
Pool #SD8026 4.000% 11/01/49 (h)		982,428		1,023,850
Pool #U99076 4.500% 12/01/43		372,576		404,591
Pool #U92272 4.500% 12/01/43		56,353		61,196
Pool #U99084 4.500% 2/01/44		343,264		372,760
Pool #U99091 4.500% 3/01/44		110,208		119,678
Pool #Q26207 4.500% 5/01/44		33,901		36,549
Pool #G08683 4.500% 12/01/45		34,246		36,578
Pool #Q47940 4.500% 2/01/47		400,665		426,829
Pool #V83157 4.500% 4/01/47		2,490,444		2,653,080
Pool #Q49177 4.500% 6/01/47		359,885		385,749
Pool #G08837 4.500% 9/01/48		986,243		1,039,369
Pool #G06496 5.000% 6/01/41		65,095		71,403
Pool #Q55401 5.000% 4/01/48		516,752		554,052
Pool #Q56002 5.000% 5/01/48		231,143		247,683
Pool #Q57925 5.000% 8/01/48		432,791		463,760
Pool #G08844 5.000% 10/01/48		133,000		142,517
Pool #Q59125 5.000% 10/01/48		155,262		166,226
Pool #Q59799 5.000% 11/01/48		206,797		221,052
Pool #ZT1596 5.000% 1/01/49		1,233,366		1,317,358
Pool #G06875 5.500% 12/01/38		8,722		9,816
Pool #G06669 6.500% 9/01/39		18,907		22,106
Pool #G07509 6.500% 9/01/39		16,161		18,987
Pool #G07335 7.000% 3/01/39		39,231		46,169
Federal National Mortgage Association Pool #AP9633 2.500% 10/01/42		95,753		95,488
Pool #MA3801 2.500% 10/01/49		1,799,821		1,780,783
Pool #BL3522 2.520% 10/01/29		70,000		70,409
Pool #BL3561 2.740% 8/01/29		200,000		204,739
Pool #BL3729 2.765% 8/01/31		200,000		202,853
Pool #BL3774 2.765% 8/01/31		100,000		101,427
Pool #BL3775 2.765% 8/01/31		200,000		202,853
Pool #BL3776 2.765% 8/01/31		100,000		101,427
Pool #BL3771 2.770% 8/01/31		400,000		405,907
Pool #AM8674 2.810% 4/01/25		50,000		51,363
Pool #BL3152 2.840% 8/01/31		100,000		102,175
Pool #BL3648 2.850% 8/01/31		310,000		317,018
Pool #BL3413 2.870% 7/01/31		100,000		102,475
Pool #MA3060 3.000% 7/01/32		733,326		754,482
Pool #MA3090 3.000% 8/01/32		613,007		630,692
Pool #BJ2544 3.000% 12/01/37		162,339		166,400
Pool #AQ7306 3.000% 1/01/43		51,497		52,978
Pool #AR1202 3.000% 1/01/43		54,898		56,477
Pool #BC0884 3.000% 5/01/46		414,022		425,803
Pool #AS7533 3.000% 7/01/46		290,163		298,601
Pool #AS7738 3.000% 8/01/46		661,408		680,228
Pool #BC1509 3.000% 8/01/46		72,788		74,723
Pool #AS7844 3.000% 9/01/46		143,929		147,709
Pool #BC2817 3.000% 9/01/46		215,331		220,987
Pool #BD8104 3.000% 10/01/46		294,710		303,925
Pool #AL9397 3.000% 10/01/46		150,002		153,942
Pool #AS8359 3.000% 11/01/46		781,041		799,604
Pool #BE0072 3.000% 11/01/46		1,313,420		1,351,203
Pool #MA2806 3.000% 11/01/46		2,310,462		2,365,376
Pool #AS8269 3.000% 11/01/46		2,945,309		3,015,311
Pool #BM4579 3.000% 4/01/47		2,224,003		2,286,592
Pool #BM1565 3.000% 4/01/47		1,267,783		1,307,423
Pool #890843 3.000% 9/01/47		681,019		700,610
Pool #MA3237 3.000% 1/01/48		89,825		91,595
Pool #BO1205 3.000% 6/01/49		196,306		199,132
Pool #BN7652 3.000% 7/01/49		2,434,747		2,490,332
Pool #BN9558 3.000% 7/01/49		92,810		94,146
Pool #CA3809 3.000% 7/01/49		96,724		98,932
Pool #BO3074 3.000% 8/01/49		93,992		95,345
Pool #BO3815 3.000% 8/01/49		388,398		393,988
Pool #CA4017 3.000% 8/01/49		590,744		600,908
Pool #FM1341 3.000% 8/01/49		97,098		98,738
Pool #CA4078 3.000% 9/01/49		197,488		200,515
Pool #CA4110 3.000% 9/01/49		887,556		907,818
Pool #CA4121 3.000% 9/01/49		981,516		1,000,857
Pool #BO5586 3.000% 9/01/49		95,353		97,023
Pool #CA4133 3.000% 9/01/49		393,485		403,698
Pool #CA4134 3.000% 9/01/49		690,004		703,601
Pool #FM1503 3.000% 9/01/49		197,837		201,735
Pool #BN7753 3.000% 9/01/49 (h)		1,390,799		1,425,159
Pool #BO3106 3.000% 10/01/49		391,507		397,142
Pool #BO2256 3.000% 10/01/49		2,380,287		2,427,190
Pool #BO2822 3.000% 10/01/49		99,687		101,122
Pool #BO2864 3.000% 10/01/49		396,151		401,853
Pool #FM1867 3.000% 11/01/49		198,318		201,544
Pool #BO9217 3.000% 12/01/49 (h)		500,000		507,665
Pool #FM2075 3.000% 12/01/49 (h)		900,000		920,828
Pool #BO8893 3.000% 1/01/50		100,000		102,205
Pool #BO8932 3.000% 1/01/50		100,000		102,205
Pool #MA3905 3.000% 1/01/50 (h)		700,000		710,075
Pool #AN4073 3.070% 1/01/29		120,000		125,450

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
Pool #AN8048 3.080% 1/01/28	$	210,000	$	219,270
Pool #BL2454 3.160% 5/01/29		188,628		199,033
Pool #BL2040 3.190% 5/01/29		99,088		104,718
Pool #BL2465 3.240% 5/01/29		350,000		372,736
Pool #BL2457 3.260% 5/01/29		140,000		149,178
Pool #BL2225 3.300% 4/01/29		100,000		106,464
Pool #BL2431 3.310% 5/01/31		100,000		105,723
Pool #BL2201 3.350% 5/01/29		70,000		74,311
Pool #FM1578 3.500% 9/01/34		1,930,465		2,016,570
Pool #FM1579 3.500% 10/01/34		1,339,902		1,397,154
Pool #MA1177 3.500% 9/01/42		44,749		47,061
Pool #MA1213 3.500% 10/01/42		277,595		291,936
Pool #AL3026 3.500% 12/01/42		69,285		72,930
Pool #BM4751 3.500% 3/01/43		840,305		884,241
Pool #BM4750 3.500% 2/01/45		178,569		187,961
Pool #AS6340 3.500% 12/01/45		196,354		206,130
Pool #AS6328 3.500% 12/01/45		1,234,418		1,288,160
Pool #AS6541 3.500% 1/01/46		194,200		204,658
Pool #AS6562 3.500% 1/01/46		191,292		200,815
Pool #BM4897 3.500% 12/01/46		1,218,223		1,282,300
Pool #BH4101 3.500% 10/01/47		406,765		422,186
Pool #CA0907 3.500% 12/01/47		84,176		88,314
Pool #CA0858 3.500% 12/01/47		756,759		785,449
Pool #MA3238 3.500% 1/01/48		80,682		83,741
Pool #CA1526 3.500% 4/01/48		794,994		833,828
Pool #MA3383 3.500% 6/01/48		2,620,264		2,709,775
Pool #BM5521 3.500% 7/01/48		1,763,784		1,836,714
Pool #890876 3.500% 2/01/49		180,888		189,668
Pool #BN5424 3.500% 4/01/49		2,211,450		2,285,614
Pool #CA3471 3.500% 5/01/49		930,729		967,469
Pool #CA3478 3.500% 5/01/49		726,450		750,812
Pool #CA3634 3.500% 6/01/49		483,186		504,675
Pool #BN6683 3.500% 6/01/49		1,477,657		1,519,823
Pool #BO0955 3.500% 6/01/49		97,449		100,748
Pool #CA3637 3.500% 6/01/49		485,075		501,343
Pool #MA3686 3.500% 6/01/49		5,378,955		5,532,450
Pool #CA3860 3.500% 7/01/49		1,553,008		1,622,076
Pool #BO2252 3.500% 10/01/49 (h)		594,925		621,384
Pool #CA4430 3.500% 10/01/49		296,528		308,326
Pool #FM1962 3.500% 11/01/49 (h)		599,156		621,684
Pool #FM2091 3.500% 12/01/49 (h)		200,000		208,895
Pool #BF0145 3.500% 3/01/57		2,409,794		2,535,040
Pool #BL0405 3.640% 11/01/28		300,000		325,488
Pool #FM1035 4.000% 5/01/34		91,389		96,426
Pool #AK8441 4.000% 4/01/42		35,483		37,994
Pool #AO2711 4.000% 5/01/42		42,536		45,546
Pool #AO6086 4.000% 6/01/42		31,523		33,753
Pool #AP0692 4.000% 7/01/42		26,591		28,314
Pool #AP5333 4.000% 7/01/42		158,842		169,833
Pool #AP2530 4.000% 8/01/42		32,431		34,675
Pool #AP2958 4.000% 8/01/42		30,523		32,635
Pool #AP4903 4.000% 9/01/42		42,423		45,358
Pool #AP7399 4.000% 9/01/42		76,784		82,097
Pool #AP9229 4.000% 10/01/42		30,243		32,336
Pool #AP9766 4.000% 10/01/42		155,430		166,671
Pool #MA1217 4.000% 10/01/42		219,581		235,461
Pool #AQ3599 4.000% 11/01/42		26,568		28,390
Pool #MA1253 4.000% 11/01/42		128,320		137,600
Pool #AQ7003 4.000% 12/01/42		59,258		63,321
Pool #AQ4555 4.000% 12/01/42		68,115		72,786
Pool #AQ7082 4.000% 1/01/43		89,599		95,743
Pool #AL3508 4.000% 4/01/43		48,097		51,815
Pool #AQ4078 4.000% 6/01/43		45,343		48,849
Pool #AQ4080 4.000% 6/01/43		40,906		43,903
Pool #AT8394 4.000% 6/01/43		44,618		48,067
Pool #AB9683 4.000% 6/01/43		79,209		84,764
Pool #AT9637 4.000% 7/01/43		145,030		155,654
Pool #AT9653 4.000% 7/01/43		97,281		104,803
Pool #AT9657 4.000% 7/01/43		78,737		84,259
Pool #AS0070 4.000% 8/01/43		47,871		51,363
Pool #MA1547 4.000% 8/01/43		54,294		58,255
Pool #AS4347 4.000% 1/01/45		96,898		103,936
Pool #AS9453 4.000% 4/01/47		1,037,421		1,102,073
Pool #AS9588 4.000% 5/01/47		298,807		317,428
Pool #BH2623 4.000% 8/01/47		2,546,787		2,673,666
Pool #BJ9930 4.000% 4/01/48		2,831,240		2,967,866
Pool #BO0968 4.000% 6/01/49		293,660		306,592
Pool #MA3804 4.000% 10/01/49		3,633,382		3,786,577
Pool #BF0104 4.000% 2/01/56		139,196		149,741
Pool #BF0183 4.000% 1/01/57		73,479		79,046
Pool #BF0191 4.000% 6/01/57		152,185		163,239
Pool #MA0706 4.500% 4/01/31		26,194		27,993
Pool #MA0734 4.500% 5/01/31		83,986		89,754
Pool #MA0776 4.500% 6/01/31		28,527		30,486
Pool #MA0913 4.500% 11/01/31		20,688		22,128
Pool #MA0939 4.500% 12/01/31		24,899		26,633
Pool #993117 4.500% 1/01/39		6,756		7,343
Pool #AA0856 4.500% 1/01/39		11,240		12,216
Pool #AA3495 4.500% 2/01/39		14,230		15,465
Pool #935520 4.500% 8/01/39		27,200		29,561
Pool #AD5481 4.500% 5/01/40		570,895		620,453
Pool #AD6914 4.500% 6/01/40		61,766		67,128
Pool #AD8685 4.500% 8/01/40		156,627		170,224
Pool #MA1591 4.500% 9/01/43		101,218		109,847
Pool #MA1629 4.500% 10/01/43		101,924		110,613
Pool #AL4341 4.500% 10/01/43		7,375		7,969
Pool #AU6423 4.500% 10/01/43		195,973		211,761
Pool #MA1664 4.500% 11/01/43		52,489		56,964
Pool #MA1711 4.500% 12/01/43		99,873		108,386
Pool #AL4741 4.500% 1/01/44		46,501		50,465
Pool #AW0318 4.500% 2/01/44		222,789		240,110
Pool #AL5562 4.500% 4/01/44		22,424		24,230
Pool #890604 4.500% 10/01/44		435,454		472,847
Pool #AS4271 4.500% 1/01/45		49,127		54,236
Pool #CA2855 4.500% 12/01/48		356,748		376,680
Pool #FM1458 4.500% 4/01/49		455,825		481,150

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
Pool #FM1637 4.500% 5/01/49	$	1,126,647	$	1,205,437
Pool #BF0148 4.500% 4/01/56		3,101,451		3,391,037
Pool #BF0222 4.500% 9/01/57		788,919		862,581
Pool #915154 5.000% 4/01/37		51,579		56,983
Pool #974965 5.000% 4/01/38		161,644		178,834
Pool #983077 5.000% 5/01/38		45,009		49,814
Pool #310088 5.000% 6/01/38		45,847		50,702
Pool #AE2266 5.000% 3/01/40		92,888		102,552
Pool #BM3904 5.000% 5/01/48		189,050		202,668
Pool #MA3501 5.000% 10/01/48		725,906		776,701
Pool #CA2652 5.000% 11/01/48		1,149,778		1,235,983
Pool #BN0341 5.000% 12/01/48		366,681		392,339
Pool #937948 5.500% 6/01/37		8,491		9,575
Pool #995072 5.500% 8/01/38		21,790		24,568
Pool #BF0141 5.500% 9/01/56		706,261		786,580
Pool #481473 6.000% 2/01/29		30		33
Pool #867557 6.000% 2/01/36		2,119		2,369
Pool #AE0469 6.000% 12/01/39		160,555		184,906
Pool #AL4324 6.500% 5/01/40		107,041		125,645
Pool #AE0758 7.000% 2/01/39		59,607		70,034
Government National Mortgage Association I Pool #AA5649 3.000% 9/15/42		157,078		162,149
Pool #AB2892 3.000% 9/15/42		204,322		210,919
Pool #AB9108 3.000% 10/15/42		1,253,596		1,294,067
Pool #AB9109 3.000% 10/15/42		110,404		113,969
Pool #AB9207 3.000% 11/15/42		96,422		99,535
Pool #784571 3.500% 6/15/48		404,173		425,220
Pool #487588 6.000% 4/15/29		1,884		2,071
Pool #595077 6.000% 10/15/32		391		439
Pool #596620 6.000% 10/15/32		220		248
Pool #604706 6.000% 10/15/33		48,290		54,484
Pool #636251 6.000% 3/15/35		5,272		5,992
Pool #782034 6.000% 1/15/36		54,616		61,882
Pool #658029 6.000% 7/15/36		22,485		25,567
Government National Mortgage Association II Pool #MA6241 2.500% 9/20/49		296,788		293,858
Pool #MA6242 2.500% 10/20/49		99,455		98,473
Pool #MA6273 2.500% 11/20/49		99,800		98,814
Pool #MA4836 3.000% 11/20/47		7,930		8,169
Pool #MA5018 3.000% 2/20/48		708,298		729,904
Pool #MA6338 3.000% 12/20/49		4,300,000		4,417,733
Pool #MA1995 3.500% 6/20/44		147,747		154,855
Pool #MA2678 3.500% 3/20/45		68,799		72,044
Pool #MA3663 3.500% 5/20/46		1,147,061		1,197,940
Pool #MA3937 3.500% 9/20/46		174,321		181,889
Pool #BC4732 3.500% 10/20/47		582,191		608,560
Pool #BD0384 3.500% 10/20/47		393,093		410,898
Pool #MA4837 3.500% 11/20/47		75,623		78,693
Pool #MA5019 3.500% 2/20/48		1,155,058		1,200,245
Pool #784674 3.500% 4/20/48		3,010,955		3,175,558
Pool #MA5762 3.500% 2/20/49		382,119		394,053
Pool #MA6154 3.500% 9/20/49		4,387,962		4,543,857
Pool #784825 3.500% 10/20/49		697,943		719,086
Pool #MA6219 3.500% 10/20/49		2,190,516		2,270,565
Pool #MA4511 4.000% 6/20/47		1,107,752		1,157,541
Pool #MA4720 4.000% 9/20/47		1,540,070		1,607,846
Pool #MA4838 4.000% 11/20/47		1,186,506		1,238,722
Pool #MA4901 4.000% 12/20/47		462,369		482,717
Pool #MA5020 4.000% 2/20/48		473,653		493,203
Pool #MA5078 4.000% 3/20/48		599,633		624,148
Pool #MA5137 4.000% 4/20/48		527,052		548,517
Pool #MA5330 4.000% 7/20/48		1,159,405		1,205,448
Pool #MA5931 4.000% 5/20/49		672,391		694,995
Pool #BM9734 4.000% 10/20/49		99,720		104,514
Pool #BM9743 4.000% 11/20/49		99,862		104,662
Pool #783298 4.500% 4/20/41		202,782		220,974
Pool #783368 4.500% 7/20/41		28,092		30,612
Pool #MA5265 4.500% 6/20/48		970,376		1,022,256
Pool #MA5331 4.500% 7/20/48		238,462		251,062
Pool #BJ1835 4.500% 9/20/48		72,194		75,738
Pool #BJ1853 4.500% 9/20/48		99,004		103,864
Pool #MA5467 4.500% 9/20/48		1,163,629		1,224,295
Pool #MA5711 4.500% 1/20/49		2,588,536		2,712,569
Pool #MA5818 4.500% 3/20/49		444,944		464,839
Pool #MA5877 4.500% 4/20/49		537,667		560,364
Pool #4747 5.000% 7/20/40		121,232		133,281
Pool #MA5712 5.000% 1/20/49		1,138,232		1,201,831
Government National Mortgage Association II TBA Pool #307 2.500% 9/01/49 (h)		6,400,000		6,426,500
Pool #MA188 3.000% 7/01/49 (h)		8,300,000		8,528,250
Uniform Mortgage Backed Securities TBA Pool #4241 3.000% 7/01/49 (h)		3,800,000		3,854,625
Pool #1963 3.500% 8/01/48 (h)		300,000		308,648
				237,917,353
Whole Loans — 0.6%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-HQ1, Class M3, 1 mo. USD LIBOR + 3.800% 5.592% FRN 3/25/25		790,018		808,734
Series 2017-DNA1, Class B1, 1 mo. USD LIBOR + 4.950% 6.742% FRN 7/25/29		1,450,000		1,645,153

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
Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.300% 4.092% FRN 8/25/31 (b)	$	1,670,000	$	1,681,430
				4,135,317
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $255,179,865)				258,154,861
U.S. TREASURY OBLIGATIONS — 10.4%
U.S. Treasury Bonds & Notes — 10.4%
U.S. Treasury Bond 2.750% 8/15/47		1,800,000		1,935,085
2.875% 8/15/45 (d)		3,850,000		4,218,493
3.000% 2/15/48		5,850,000		6,592,839
3.000% 8/15/48		5,520,000		6,232,544
3.000% 2/15/49		130,000		147,023
3.125% 5/15/48		8,480,000		9,788,219
3.750% 11/15/43		20,710,000		25,949,462
U.S. Treasury Inflation Index 0.750% 2/15/42		819,943		851,575
1.000% 2/15/46		1,563,869		1,719,733
1.000% 2/15/48		3,088,790		3,417,655
1.000% 2/15/49 (d)		6,800,423		7,556,267
1.375% 2/15/44		2,219,301		2,617,069
2.125% 2/15/40		404,790		529,058
U.S. Treasury Note 1.500% 11/30/24		240,000		238,050
2.125% 5/15/22		80,000		80,991
2.250% 11/15/25		900,000		924,421
2.875% 5/15/49		370,000		408,940
				73,207,424
TOTAL U.S. TREASURY OBLIGATIONS (Cost $69,125,363)				73,207,424
TOTAL BONDS & NOTES (Cost $677,529,276)				702,102,330
TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $41,831)				50,188

	Number of shares
MUTUAL FUNDS — 0.0%
Diversified Financial Services — 0.0%
State Street Navigator Securities Lending Prime Portfolio (i)		336,775	336,775
TOTAL MUTUAL FUNDS (Cost $336,775)			336,775
TOTAL LONG-TERM INVESTMENTS (Cost $677,907,882)			702,489,293

	Principal Amount
SHORT-TERM INVESTMENTS — 2.7%
Commercial Paper — 0.4%
Santander UK PLC, 0.000% 1/07/20 (b)	$	2,750,000		2,749,081
Discount Notes — 0.5%
Federal Home Loan Bank, 1.877% 1/23/20		3,300,000		3,297,093
Repurchase Agreement — 1.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (j)		12,827,332		12,827,332
TOTAL SHORT-TERM INVESTMENTS (Cost $18,872,677)				18,873,506
TOTAL INVESTMENTS — 102.7% (Cost $696,780,559) (k)				721,362,799
Other Assets/(Liabilities) — (2.7)%				(19,067,405	)
NET ASSETS — 100.0%			$	702,295,394

Abbreviation Legend

ABS Asset-Backed Security

ARLLMONP  Argentina Blended Historical Policy Rate

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

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

34

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

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) All or a portion of the security represents unsettled loan commitments at December 31, 2019 where the rate will be determined at time of settlement.

(b) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $96,219,971 or 13.70% of net assets.

(c) Security is perpetual and has no stated maturity date.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $8,530,154 or 1.21% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $8,417,037 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(e) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019.

(f) The Government of Argentina announced a re-profiling of government debt to extend maturity dates and instituted foreign exchange restrictions. Holders of the impacted security will receive 15% of the outstanding maturity proceeds on the original maturity date; 25% of the original maturity date 90 calendar days later; and 60% of the original maturity date 180 calendar days later.

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

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

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

(j) Maturity value of $12,827,902. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $13,085,677.

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

(#) Exchange-Traded Options Purchased

Description	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
U.S. Treasury Note 5 Year Future	1/24/20		118.50		146	USD	17,316,972	$	50,188	$	41,831	$	8,357

Exchange-Traded Options Written

Description	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
U.S. Treasury Long Bond Future	1/24/20		168.00		90	USD	14,031,567	$	(90	)	$	(22,579	)	$	22,489
U.S. Treasury Note 10 Year Future	2/21/20		133.50		187	USD	24,014,895		(5,844	)		(23,942	)		18,098
								$	(5,934	)	$	(46,521	)	$	40,587

Interest Rate Swaptions Written

			Paid by Fund		Received by Fund
Description	Counterparty	Expiration Date	Rate	Frequency	Rate	Frequency	Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
5-Year Interest Rate Swap, 2/06/25	Goldman Sachs & Co.	2/04/20	1.37%	Semi-Annually	3-Month USD LIBOR	Quarterly	USD	2,560,000	$	(536	)	$	(7,136	)	$	6,600
Put
5-Year Interest Rate Swap, 2/06/25	Goldman Sachs & Co.	2/04/20	3-Month USD LIBOR	Quarterly	1.77%	Semi- Annually	USD	2,560,000	$	(7,020	)	$	(6,080	)	$	(940	)
									$	(7,556	)	$	(13,216	)	$	5,660

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

35

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

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Barclays Bank PLC	1/17/20	IDR	144,534,594,997	USD	10,035,731	$	362,519
Barclays Bank PLC	1/17/20	INR	476,752,015	USD	6,655,062		15,070
Barclays Bank PLC	1/17/20	MXN	141,148,171	USD	7,037,949		412,295
Barclays Bank PLC	1/17/20	USD	2,217,236	CNY	15,810,000		(51,346	)
Barclays Bank PLC	1/17/20	USD	336,503	JPY	35,769,253		7,113
Barclays Bank PLC	1/17/20	USD	2,337,285	EUR	2,110,000		(31,562	)
BNP Paribas SA	1/17/20	USD	12,086,671	EUR	10,804,589		(43,388	)
Citibank N.A.	1/17/20	EUR	2,650,000	USD	2,952,050		23,043
Citibank N.A.	1/17/20	GBP	4,205,887	USD	5,342,839		230,530
Citibank N.A.	1/17/20	USD	1,831,874	GBP	1,358,713		31,396
Citibank N.A.	1/17/20	ZAR	16,890,000	USD	1,098,965		104,743
Citibank N.A.	1/17/20	CAD	27,927,472	USD	21,164,944		343,617
Citibank N.A.	1/17/20	BRL	17,463,262	USD	4,173,378		165,783
Citibank N.A.	1/17/20	AUD	1,197,575	USD	804,888		35,813
Citibank N.A.	1/17/20	RUB	45,344,008	USD	704,537		25,331
Citibank N.A.	1/17/20	USD	4,959,618	PHP	257,796,000		(128,890	)
Citibank N.A.	1/17/20	USD	1,861,429	CNY	13,305,495		(47,781	)
Citibank N.A.	1/17/20	USD	10,000,125	EUR	8,955,577		(54,090	)
Citibank N.A.	1/17/20	USD	3,543,393	RUB	228,650,118		(137,017	)
						$	1,263,179

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
Euro-BTP	3/06/20		135	$	21,542,924		$	29,722
U.S. Treasury Long Bond	3/20/20		350		55,578,300			(1,011,112	)
U.S. Treasury Note 10 Year	3/20/20		1,084		140,158,694			(949,381	)
U.S. Treasury Ultra Bond	3/20/20		265		49,654,510			(1,515,604	)
U.S. Treasury Note 2 Year	3/31/20		121		26,110,599			(35,099	)
U.S. Treasury Note 5 Year	3/31/20		665		79,069,404			(194,170	)
90 Day Eurodollar	6/15/20		253		61,540,607			640,468
90 Day Eurodollar	12/14/20		282		69,446,711			(88,811	)
90 Day Eurodollar	3/15/21		426		104,875,570			(36,970	)
							$	(3,160,957	)
Short
Euro-Bund	3/06/20		463	$	(89,396,494	)	$	853,010
Euro-Buxl 30 Year Bond	3/06/20		4		(911,643	)		21,552
Japanese Government Bond 10 Year	3/13/20		6		(8,416,133	)		12,654
90 Day Eurodollar	3/16/20		286		(70,291,272	)		31,797
U.S. Treasury Ultra 10 Year	3/20/20		55		(7,849,264	)		110,592
UK Long Gilt	3/27/20		47		(8,268,807	)		89,589
							$	1,119,194

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

36

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

Centrally Cleared Credit Default Swaps — Sell Protection††

Reference Obligation/Index	Rate Received by Fund			Payment Frequency	Termination Date	Credit Rating	Notional Amount		Value		Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
CDX.NA.IG.33†		1.000	%	Quarterly	12/20/24	NR*	USD	27,335,000	$	708,687	$	541,676	$	167,011
CDX.NA.HY.33†		5.000	%	Quarterly	12/20/24	NR*	USD	4,811,400		463,638		356,044		107,594
									$	1,172,325	$	897,720	$	274,605

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/Reference	Frequency	Rate/ Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
Fixed 1.498%	Annually	6-Month EURIBOR	Semi-Annually	8/23/47	EUR	600,800	$	(154,164	)	$	(643	)	$	(153,521	)
28  Day-MXN-TIIE-Banxico	Monthly	Fixed 7.450%	Monthly	7/18/29	MXN	88,370,000		221,908			37,242			184,666
28  Day-MXN-TIIE-Banxico	Monthly	Fixed 7.440%	Monthly	7/20/29	MXN	91,920,000		227,265			46,911			180,354
Fixed 1.350%	Annually	Fed Funds	Annually	9/15/21	USD	20,013,000		33,269			(3,806	)		37,075
Fixed 1.550%	Semi-Annually	3-Month USD LIBOR	Quarterly	6/30/26	USD	109,282,000		1,529,606			329,273			1,200,333
Fixed 1.520%	Semi-Annually	3-Month USD LIBOR	Quarterly	7/31/26	USD	31,369,000		504,503			115,740			388,763
Fixed 1.550%	Annually	Fed Funds	Annually	11/15/26	USD	24,577,000		4,760			31,827			(27,067	)
Fixed 1.850%	Semi-Annually	3-Month USD LIBOR	Quarterly	11/15/44	USD	22,465,000		1,080,038			47,291			1,032,747
Fixed 1.810%	Semi-Annually	3-Month USD LIBOR	Quarterly	11/15/44	USD	2,300,000		128,984			3,078			125,906
Fixed 1.656%	Semi-Annually	3-Month USD LIBOR	Quarterly	8/23/49	USD	12,270,000		1,227,078			(45,785	)		1,272,863
							$	4,803,247		$	561,128		$	4,242,119

OTC Interest Rate Swaps

Paid by the Fund

Received by the Fund

Rate/Reference

Frequency

Rate/Reference

Frequency

Counterparty

Termination Date

Notional Amount

Value

Upfront Premium Paid/ (Received)

Unrealized Appreciation (Depreciation)

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.

1/02/20

BRL

42,358,000

$

335,012

$

-

$

335,012

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.

1/02/20

BRL

8,600,000

68,018

1,942

66,076

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.

1/02/20

BRL

14,700,000

116,263

12,549

103,714

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.

1/02/20

BRL

9,600,000

75,927

5,100

70,827

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.

1/02/20

BRL

4,482,000

35,448

4,369

31,079

BRL CDI

Maturity

Fixed 7.024%

Maturity

Citibank N.A.

1/04/27

BRL

9,300,000

57,642

-

57,642

BRL CDI

Maturity

Fixed 7.024%

Maturity

Citibank N.A.

1/04/27

BRL

11,000,000

68,178

5,820

62,358

BRL CDI

Maturity

Fixed 7.024%

Maturity

Citibank N.A.

1/04/27

BRL

11,846,000

73,422

7,253

66,169

$

829,910

$

37,033

$

792,877

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

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

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

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

37

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

Currency Legend

ARS Argentinean Peso

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

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

ZAR South African Rand

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

38

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 59.6%
COMMON STOCK — 58.6%
Argentina — 0.0%
YPF SA Sponsored ADR (a)		1,134	$	13,131
Australia — 0.1%
The AGL Energy Ltd.		2,947		42,538
BHP Group Ltd.		640		17,530
Coles Group Ltd.		206		2,152
Newcrest Mining Ltd.		11,935		252,646
Quintis Group (Acquired 7/20/16-12/04/18, Cost $355,478) (b) (c) (d) (e)		578,796		422,417
South32 Ltd.		10,262		19,537
Wesfarmers Ltd.		127		3,700
Woolworths Group Ltd.		386		9,822
				770,342
Austria — 0.1%
Erste Group Bank AG (c)		8,025		301,837
Belgium — 0.1%
KBC Group NV		5,853		441,348
Bermuda — 0.2%
Brilliance China Automotive Holdings Ltd.		68,000		70,706
CK Infrastructure Holdings Ltd.		27,000		192,558
Hongkong Land Holdings Ltd.		1,000		5,755
Jardine Matheson Holdings Ltd.		5,700		316,951
Kunlun Energy Co. Ltd		14,000		12,355
Marvell Technology Group Ltd.		16,804		446,314
				1,044,639
Brazil — 0.6%
Azul SA ADR (a) (c)		58,589		2,507,609
B3 SA — Brasil Bolsa Balcao		222		2,372
Banco BTG Pactual SA		100		1,894
Banco do Brasil SA		2,336		30,747
Banco Santander Brasil SA		1,127		13,718
Engie Brasil Energia SA		669		8,459
JBS SA		21,857		140,300
Notre Dame Intermedica Participacoes SA		33,896		575,723
Petrobras Distribuidora SA		7,018		52,526
Vale SA		100		1,324
				3,334,672
Canada — 0.6%
Barrick Gold Corp.		15,203		282,389
Constellation Software, Inc.		2		1,942
Enbridge, Inc.		71,159		2,829,263
Fairfax Financial Holdings Ltd.		65		30,521
Imperial Oil Ltd.		237		6,269
Nutrien Ltd.		176		8,426
Thomson Reuters Corp.		387		27,684
Wheaton Precious Metals Corp.		10,870		323,451
				3,509,945
Cayman Islands — 1.6%
Agile Group Holdings Ltd.		14,000		21,090
Alibaba Group Holding Ltd. (c)		30,600		813,665
Alibaba Group Holding Ltd. Sponsored ADR (c)		15,965		3,386,176
ANTA Sports Products Ltd.		22,000		197,022
China East Education Holdings Ltd. (c)		500		1,047
China Hongqiao Group Ltd.		2,000		1,208
China Mengniu Dairy Co. Ltd. (c)		20,000		81,049
Country Garden Services Holdings Co. Ltd.		2,344		7,908
Dali Foods Group Co. Ltd. (f)		18,000		13,309
Hengan International Group Co. Ltd.		13,500		96,386
Huazhu Group Ltd. ADR		2,647		106,065
HUYA, Inc. ADR (a) (c)		271		4,864
JD.com, Inc. ADR (c)		1,371		48,300
Kingdee International Software Group Co. Ltd.		224,000		224,134
Kingsoft Corp. Ltd. (c)		39,000		101,148
Li Ning Co. Ltd.		35,500		106,409
Momo, Inc. Sponsored ADR		692		23,182
New Oriental Education & Technology Group, Inc. Sponsored ADR (c)		1,173		142,226
TAL Education Group Sponsored ADR (c)		2,454		118,283
Tencent Holdings Ltd.		76,500		3,690,249
Tencent Music Entertainment Group ADR (c)		1,103		12,949
Vipshop Holdings Ltd. ADR (c)		1,424		20,178
Want Want China Holdings Ltd.		259,000		242,544
WH Group Ltd. (f)		109,500		113,458
Wharf Real Estate Investment Co. Ltd.		17,000		104,242
Wuxi Biologics Cayman, Inc. (c) (f)		8,000		101,468
				9,778,559
Chile — 0.0%
Cia Cervecerias Unidas SA ADR (a)		5,784		109,722
China — 0.6%
Agricultural Bank of China Ltd. Class H		17,000		7,497
Aier Eye Hospital Group Co. Ltd. Class A		17,899		101,755
Air China Ltd. Class H		4,000		4,075
Anhui Conch Cement Co. Ltd. Class A		2,700		21,276
Anhui Conch Cement Co. Ltd. Class H		5,500		40,190
Asymchem Laboratories Tianjin Co. Ltd. Class A		5,479		101,874
Autobio Diagnostics Co. Ltd. Class A		7,094		98,147

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

39

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

	Number of Shares		Value
Beijing Capital International Airport Co. Ltd. Class H		30,000	$	29,089
CGN Power Co. Ltd. Class H (f)		3,000		802
China CITIC Bank Class H		38,000		22,824
China International Travel Service Corp. Ltd.		7,400		94,635
China Longyuan Power Group Corp. Class H		14,000		8,863
China Merchants Bank Co. Ltd. Class H		18,500		95,355
China Petroleum & Chemical Corp. Class H		52,000		31,343
China Telecom Corp. Ltd. Class H		6,000		2,463
Daqin Railway Co. Ltd. Class A		1,500		1,768
Foshan Haitian Flavouring & Food Co. Ltd. Class A		5,700		88,004
GF Securities Co. Ltd. Class H		800		975
Glodon Co. Ltd. Class A		17,000		82,984
Great Wall Motor Co. Ltd. Class A		48,600		61,831
Gree Electric Appliances, Inc. of Zhuhai Class A		7,300		68,594
Guangzhou Automobile Group Co. Ltd.		80,000		99,734
Guangzhou Automobile Group Co. Ltd. Class A		35,400		59,438
Guangzhou Baiyun International Airport Co. Ltd.		36,700		91,995
Guotai Junan Securities Co. Ltd. Class H (f)		3,600		6,386
Haier Smart Home Co. Ltd. Class A		25,900		72,634
Haitong Securities Co. Ltd. Class H		11,200		13,247
Han’s Laser Technology Industry Group Co. Ltd. Class A		19,599		112,586
Hangzhou Hikvision Digital Technology Co. Ltd. Class A		82,300		387,522
Hangzhou Robam Appliances Co. Ltd. Class A		15,900		77,249
Hangzhou Tigermed Consulting Co. Ltd. Class A		9,999		90,690
Huadian Power International Corp. Ltd. Class H		8,000		3,039
Hundsun Technologies, Inc. Class A		8,899		99,438
Industrial & Commercial Bank of China Ltd. Class H		133,000		102,663
Inner Mongolia Yili Industrial Group Co. Ltd. Class A		21,299		94,620
Inspur Electronic Information Industry Co. Ltd. Class A		23,900		103,342
Jiangsu Hengrui Medicine Co. Ltd. Class A		8,000		100,599
Laobaixing Pharmacy Chain JSC. Class A		8,200		75,449
Ping An Insurance Group Co. of China Ltd. Class A		7,344		90,143
Shanghai International Airport Co. Ltd. Class A		7,000		79,183
Shanghai Jahwa United Co. Ltd. Class A		17,600		78,187
Shenzhen Goodix Technology Co. Ltd. Class A		400		11,838
Shenzhen Inovance Technology Co. Ltd. Class A		23,400		102,962
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. Class A		3,300		85,983
Sinopec Engineering Group Co. Ltd. Class H		14,000		8,385
Sinopec Shanghai Petrochemical Co. Ltd. Class H		88,000		26,562
Tsingtao Brewery Co. Ltd.		900		6,589
Tsingtao Brewery Co. Ltd. Class H		4,000		26,879
Venustech Group, Inc. Class A		20,399		99,170
Weichai Power Co. Ltd. Class H		8,000		16,926
Wuhan Raycus Fiber Laser Technologies Co. Ltd. Class A		6,599		111,638
WuXi AppTec Co. Ltd. Class A		7,300		96,617
Yanzhou Coal Mining Co. Ltd. Class H		10,000		8,987
Yifeng Pharmacy Chain Co. Ltd. Class A		8,000		84,079
Yonyou Network Technology Co. Ltd. Class A		18,499		75,539
Zhejiang Expressway Co. Ltd. Class H		10,000		9,127
Zhuzhou CSR Times Electric Co. Ltd. Class H		2,000		7,249
Zijin Mining Group Co. Ltd. Class H		28,000		13,962
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H		3,200		2,686
				3,597,666
Czech Republic — 0.0%
CEZ AS		7,834		176,091
Denmark — 0.0%
AP Moller — Maersk A/S Class A		38		51,522
AP Moller — Maersk A/S Class B		33		47,618
Novo Nordisk A/S Class B		2,606		151,147
				250,287
Finland — 0.0%
Nokia OYJ		3,958		14,684
France — 2.2%
BNP Paribas SA		7,789		463,657
Cie de Saint-Gobain		8,121		333,689
Credit Agricole SA		26,142		380,863
Danone SA		51,348		4,262,070
Dassault Aviation SA		579		762,610
Eiffage SA		2,068		236,970
Electricite de France SA		621		6,927
EssilorLuxottica SA		4,560		696,575

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

40

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

	Number of Shares		Value
Kering SA		47	$	30,962
L’Oreal SA		10		2,970
Renault SA		489		23,198
Safran SA		15,899		2,464,573
Sanofi		15,141		1,520,719
Schneider Electric SA		20		2,057
Societe Generale SA		11,574		404,404
Sodexo SA		12,506		1,483,270
Vivendi SA		163		4,725
				13,080,239
Germany — 1.6%
adidas AG		121		39,326
Fresenius SE & Co. KGaA		23,487		1,325,750
HeidelbergCement AG		66		4,811
Infineon Technologies AG		41,594		953,829
Knorr-Bremse AG		17,489		1,780,153
SAP SE		109		14,690
Siemens AG		38,719		5,061,344
Vonovia SE		5,107		274,941
Wirecard AG		178		21,507
				9,476,351
Hong Kong — 0.6%
Beijing Enterprises Holdings Ltd.		4,500		20,673
China Mobile Ltd.		4,500		37,997
China Overseas Land & Investment Ltd.		70,000		273,388
China Resources Cement Holdings Ltd.		34,000		43,311
China Resources Pharmaceutical Group Ltd. (f)		8,000		7,429
China Resources Power Holdings Co. Ltd.		16,000		22,470
China Taiping Insurance Holdings Co. Ltd.		1,000		2,487
China Unicom Hong Kong Ltd.		4,000		3,776
CITIC Ltd.		11,000		14,744
CLP Holdings Ltd.		18,500		194,799
CNOOC Ltd.		24,000		40,000
Fosun International Ltd.		36,000		52,606
Hang Lung Properties Ltd.		105,000		229,545
HKT Trust & HKT Ltd.		119,000		167,763
Hysan Development Co. Ltd.		26,000		102,300
Lenovo Group Ltd.		144,000		96,874
Link REIT		16,000		169,863
Power Assets Holdings Ltd.		11,000		80,429
Sun Art Retail Group Ltd.		12,500		15,169
Sun Hung Kai Properties Ltd.		123,250		1,890,560
				3,466,183
India — 1.0%
Asian Paints Ltd.		6,997		175,535
Hero MotoCorp Ltd.		5,322		182,508
Hindustan Petroleum Corp. Ltd.		2,429		8,993
Hindustan Unilever Ltd.		13,510		363,524
Housing Development Finance Corp. Ltd.		49,562		1,678,723
ICICI Bank Ltd.		35,411		268,123
Infosys Ltd.		405		4,169
InterGlobe Aviation Ltd. (f)		38		711
Larsen & Toubro Ltd.		8,605		157,483
Oil & Natural Gas Corp. Ltd.		49,984		90,212
Reliance Industries Ltd.		132,132		2,810,257
Vedanta Ltd.		15,303		32,683
Wipro Ltd.		2,957		10,201
Zee Entertainment Enterprises Ltd.		41,024		168,014
				5,951,136
Indonesia — 0.1%
Bank Central Asia Tbk PT		119,400		286,843
Ireland — 0.1%
Accenture PLC Class A		2,844		598,861
Eaton Corp. PLC		187		17,713
Medtronic PLC		2,033		230,644
Willis Towers Watson PLC		73		14,741
				861,959
Italy — 1.3%
Enel SpA		387,912		3,085,997
Intesa Sanpaolo		111,698		294,451
RAI Way SpA (f)		108,048		743,699
Snam SpA		33,702		177,578
UniCredit SpA		248,323		3,630,555
				7,932,280
Japan — 3.9%
Aeon Co. Ltd.		400		8,241
AGC, Inc.		900		32,115
Ajinomoto Co., Inc.		113,000		1,878,733
Alfresa Holdings Corp.		5,800		118,417
Astellas Pharma, Inc.		92,150		1,574,098
Canon Marketing Japan, Inc. (a)		5,000		115,826
Daikin Industries Ltd.		6,600		928,162
Daiwa House Industry Co. Ltd.		300		9,294
Denso Corp.		19,170		864,745
Dowa Holdings Co. Ltd.		2,700		100,197
East Japan Railway Co.		22,853		2,062,801
FamilyMart Co. Ltd.		500		11,976
FUJIFILM Holdings Corp.		600		28,609
Hitachi Ltd.		800		33,698
Hoya Corp.		19,020		1,816,032
Japan Airlines Co. Ltd.		77,500		2,418,422
Japan Aviation Electronics Industry Ltd.		6,200		124,902
Kamigumi Co. Ltd.		4,800		105,165
KDDI Corp.		10,000		297,498
Keyence Corp.		700		247,767

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

41

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

	Number of Shares		Value
Kinden Corp.		19,600	$	303,424
Kyocera Corp.		100		6,815
Kyowa Kirin Co. Ltd.		400		9,398
Mabuchi Motor Co. Ltd.		3,700		139,821
Maeda Road Construction Co. Ltd.		5,000		122,342
Medipal Holdings Corp.		6,700		147,795
Mitsubishi Estate Co. Ltd.		17,100		326,904
Mitsubishi Heavy Industries Ltd.		1,300		50,278
Murata Manufacturing Co. Ltd.		24,310		1,502,965
NEC Corp.		700		29,086
Nippo Corp.		4,600		98,746
Nippon Telegraph & Telephone Corp.		10,480		265,456
Nissan Motor Co. Ltd.		200		1,162
NTT Data Corp.		300		4,010
Okumura Corp.		5,846		160,544
Olympus Corp.		200		3,080
Otsuka Holdings Co. Ltd. (a)		900		40,025
Recruit Holdings Co. Ltd.		200		7,526
Seino Holdings Co. Ltd.		7,100		95,754
Sekisui House Ltd.		800		17,085
Seven & i Holdings Co. Ltd.		2,600		95,131
Shin-Etsu Chemical Co. Ltd.		17,088		1,873,455
Shionogi & Co. Ltd.		100		6,178
Sompo Holdings, Inc.		200		7,837
Sony Corp.		100		6,807
Stanley Electric Co. Ltd.		3,300		95,408
Subaru Corp.		47,630		1,177,673
Suzuken Co. Ltd.		2,700		109,872
Suzuki Motor Corp.		38,337		1,605,808
Toagosei Co. Ltd.		17,900		206,483
Toda Corp.		24,900		164,126
Tokyo Gas Co. Ltd.		22,497		545,808
Tokyo Steel Manufacturing Co. Ltd.		24,100		173,740
Toyota Industries Corp.		18,121		1,044,244
TV Asahi Holdings Corp.		8,300		153,527
Yamato Kogyo Co. Ltd.		2,800		69,962
Z Holdings Corp.		3,100		12,988
				23,457,961
Liberia — 0.2%
Royal Caribbean Cruises Ltd.		8,084		1,079,295
Malaysia — 0.0%
Malaysia Airports Holdings Bhd		40,600		75,436
Mexico — 0.0%
America Movil SAB de C.V. Class L		30,428		24,301
Netherlands — 1.8%
ABN AMRO Bank NV (f)		83,161		1,518,946
Adyen NV (c) (f)		506		416,364
ASML Holding NV		4,818		1,434,849
Fiat Chrysler Automobiles NV		3,187		47,200
ING Groep NV		222,249		2,670,998
Koninklijke Ahold Delhaize NV		1,227		30,751
Koninklijke Philips NV		76,888		3,758,990
NXP Semiconductor NV		6,637		844,625
Schlumberger Ltd.		3,920		157,584
				10,880,307
Poland — 0.0%
Polski Koncern Naftowy ORLEN SA		80		1,809
Portugal — 0.0%
Jeronimo Martins SGPS SA		10,936		180,116
Republic of Korea — 0.3%
Hana Financial Group, Inc.		1,072		34,027
Hyundai Mobis Co. Ltd.		76		16,806
Industrial Bank Of Korea (c)		151		1,540
Kakao Corp. (c)		811		107,395
KB Financial Group, Inc. (c)		683		28,202
Kia Motors Corp.		141		5,371
KT&G Corp. (c)		6,301		510,796
LG Chem Ltd.		710		194,203
LG Electronics, Inc. (c)		858		53,207
LG Uplus Corp.		2,698		33,098
NCSoft Corp.		486		226,606
POSCO		982		200,074
S-Oil Corp.		1,164		95,316
Samsung SDI Co. Ltd. (c)		26		5,286
Shinhan Financial Group Co. Ltd. (c)		1,358		50,789
SK Telecom Co. Ltd.		695		142,963
Woongjin Coway Co. Ltd.		1,904		152,975
				1,858,654
Singapore — 0.5%
CapitaLand Ltd.		793,700		2,213,731
ComfortDelGro Corp. Ltd.		103,900		184,030
DBS Group Holdings Ltd.		4,700		90,594
Singapore Telecommunications Ltd.		73,500		184,317
United Overseas Bank Ltd.		18,900		371,761
				3,044,433
South Africa — 0.0%
Aspen Pharmacare Holdings Ltd. (c)		3,186		27,184
Discovery Ltd.		179		1,543
Kumba Iron Ore Ltd.		718		21,369
MTN Group Ltd.		640		3,769
Old Mutual Ltd.		17,804		24,971
				78,836
Spain — 0.4%
Cellnex Telecom SA (f)		57,936		2,497,005
Repsol SA		2,328		36,520
Telefonica SA		4,587		32,060
				2,565,585
Sweden — 0.0%
Assa Abloy AB Class B		824		19,255
Atlas Copco AB Class B		507		17,591
Hennes & Mauritz AB Class B		1,784		36,265

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

42

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

	Number of Shares		Value
Telefonaktiebolaget LM Ericsson Class B		3,385	$	29,660
				102,771
Switzerland — 1.3%
Chubb Ltd.		10,369		1,614,038
Cie Financiere Richemont SA		2,121		166,493
Nestle SA		34,176		3,702,510
Novartis AG Registered		166		15,727
Roche Holding AG		7,385		2,394,646
				7,893,414
Taiwan — 1.1%
Cathay Financial Holding Co. Ltd.		138,000		196,048
Chunghwa Telecom Co. Ltd.		46,000		168,831
Far EasTone Telecommunications Co. Ltd.		53,000		127,510
Formosa Chemicals & Fibre Corp.		47,000		137,324
Formosa Petrochemical Corp.		36,000		117,216
Formosa Plastics Corp.		48,000		159,985
Fubon Financial Holding Co. Ltd.		160,000		247,881
Globalwafers Co. Ltd.		1,000		12,771
Hon Hai Precision Industry Co. Ltd.		100,080		303,297
MediaTek, Inc.		2,000		29,602
Nan Ya Plastics Corp.		61,000		148,272
Taiwan Mobile Co. Ltd.		49,000		183,125
Taiwan Semiconductor Manufacturing Co. Ltd.		421,000		4,662,352
Uni-President Enterprises Corp.		95,000		235,147
Yageo Corp.		8,000		116,742
				6,846,103
Thailand — 0.2%
Advanced Info Service PCL		36,800		261,683
Intouch Holdings PCL		110,700		211,579
PTT Global Chemical PCL		97,900		186,297
The Siam Cement PCL		13,000		168,393
Thai Beverage PCL		132,300		87,571
Thai Oil PCL		57,700		134,360
				1,049,883
Turkey — 0.0%
BIM Birlesik Magazalar AS		684		5,368
Tupras Turkiye Petrol Rafineriileri AS		509		10,854
				16,222
United Kingdom — 1.8%
AstraZeneca PLC		11,825		1,183,075
Berkeley Group Holdings PLC		4,790		310,611
Coca-Cola European Partners PLC		471		23,964
Ferguson PLC		17,591		1,598,258
GlaxoSmithKline PLC		739		17,386
Glencore PLC		369		1,154
HSBC Holdings PLC		219,260		1,721,881
NMC Health PLC (a)		27,178		638,013
RELX PLC		1,257		31,711
Rio Tinto PLC		9		535
Rolls-Royce Holdings PLC		2,466		22,330
Royal Dutch Shell PLC Class A		1,712		50,888
Royal Dutch Shell PLC Class A		12,503		368,329
Royal Dutch Shell PLC Class A Sponsored ADR		11,685		689,181
Royal Dutch Shell PLC Class B		1,183		35,250
Vodafone Group PLC		2,093,139		4,063,561
				10,756,127
United States — 36.3%
Abbott Laboratories		11,839		1,028,336
AbbVie, Inc.		24,226		2,144,970
Adobe, Inc. (c)		3,523		1,161,921
The AES Corp.		2,532		50,387
Agilent Technologies, Inc.		27,860		2,376,737
Air Products & Chemicals, Inc.		16,570		3,893,784
Alexion Pharmaceuticals, Inc. (c)		151		16,331
Ally Financial, Inc.		1,010		30,866
Alphabet, Inc. Class C (c)		7,032		9,401,925
Altria Group, Inc.		1,072		53,504
Amazon.com, Inc. (c)		4,723		8,727,348
American Tower Corp.		1,493		343,121
Ameriprise Financial, Inc.		401		66,799
Amgen, Inc.		480		115,714
Anthem, Inc.		16,695		5,042,391
Apple, Inc.		31,079		9,126,348
Applied Materials, Inc.		20,477		1,249,916
Autodesk, Inc. (c)		15,420		2,828,953
AutoZone, Inc. (c)		69		82,200
Bank of America Corp.		141,445		4,981,693
The Bank of New York Mellon Corp.		75		3,775
Baxter International, Inc.		2,692		225,105
Becton Dickinson and Co.		11,655		3,169,810
Berkshire Hathaway, Inc. Class B (c)		3,135		710,078
Biogen, Inc. (c)		111		32,937
Booking Holdings, Inc. (c)		25		51,343
Bristol-Myers Squibb Co.		33,127		2,126,422
Broadcom, Inc.		3		948
C.H. Robinson Worldwide, Inc.		3,333		260,641
Capital One Financial Corp.		435		44,766
Cardinal Health, Inc.		293		14,820
Centene Corp. (c)		37		2,326
Cerner Corp.		498		36,548
The Charles Schwab Corp.		30,530		1,452,007
Charter Communications, Inc. Class A (c)		7,291		3,536,718
Chevron Corp.		440		53,024
Cigna Corp.		130		26,584
Cintas Corp.		188		50,587
Cisco Systems, Inc.		16,195		776,712
Citigroup, Inc.		31,362		2,505,510
Citrix Systems, Inc.		13,592		1,507,353

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

43

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

	Number of Shares		Value
Colgate-Palmolive Co.		50,591	$	3,482,684
Comcast Corp. Class A (g)		135,168		6,078,505
ConocoPhillips		641		41,684
Corning, Inc.		8,843		257,420
Costco Wholesale Corp.		254		74,656
CSX Corp.		1,006		72,794
Cummins, Inc.		280		50,109
D.R. Horton, Inc.		40,410		2,131,628
Dell Technologies Class C (c)		512		26,312
Delta Air Lines, Inc.		1,101		64,387
Discover Financial Services		709		60,137
Dollar Tree, Inc. (c)		8,528		802,058
Dover Corp.		10,417		1,200,663
Dow, Inc. (c)		10,823		592,343
Dropbox, Inc. (c)		49,079		879,005
DuPont de Nemours, Inc.		29,682		1,905,584
eBay, Inc.		1,550		55,971
Edwards Lifesciences Corp. (c)		443		103,347
Emerson Electric Co.		54,206		4,133,750
EOG Resources, Inc.		99		8,292
The Estee Lauder Cos., Inc. Class A		144		29,742
Exelon Corp.		5,769		263,009
Expedia Group, Inc.		482		52,123
Exxon Mobil Corp.		2,827		197,268
Facebook, Inc. Class A (c)		17,324		3,555,751
Fieldwood Energy LLC (c)		4,052		73,613
Fieldwood Energy LLC (c)		1,094		19,875
Fifth Third Bancorp		2,061		63,355
FleetCor Technologies, Inc. (c)		11,572		3,329,496
Ford Motor Co.		1,575		14,648
Fortune Brands Home & Security, Inc.		2,877		187,983
Franklin Resources, Inc.		1,063		27,617
General Electric Co.		2,241		25,010
General Motors Co.		931		34,075
Gilead Sciences, Inc.		30,406		1,975,782
Global Payments, Inc.		1,390		253,758
The Goldman Sachs Group, Inc.		183		42,077
The Hartford Financial Services Group, Inc.		6,007		365,045
HCA Healthcare, Inc.		16,740		2,474,339
Hess Corp.		7,594		507,355
Hewlett Packard Enterprise Co.		2,721		43,155
The Home Depot, Inc.		12,212		2,666,857
Honeywell International, Inc.		359		63,543
HP, Inc.		1,249		25,667
Humana, Inc.		15		5,498
Huntsman Corp.		1,303		31,480
Incyte Corp. (c)		113		9,867
Intel Corp.		2,044		122,333
Intuit, Inc.		2,572		673,684
Intuitive Surgical, Inc. (c)		89		52,612
Jawbone Health Hub, Inc. (Acquired 1/24/17, Cost $0) (b) (c) (d) (e)		19,705		-
Johnson & Johnson		28,368		4,138,040
JP Morgan Chase & Co.		39,408		5,493,475
KLA Corp.		519		92,470
The Kroger Co.		1,820		52,762
L3 Harris Technologies, Inc.		81		16,027
LafargeHolcim Ltd. (c)		922		51,127
Lam Research Corp.		165		48,246
Lear Corp.		205		28,126
Lennar Corp. Class A		33,157		1,849,829
Liberty Broadband Corp. Class C (c)		9,123		1,147,217
Liberty Media Corp-Liberty SiriusXM Class A (c)		12,042		582,110
Liberty Media Corp-Liberty SiriusXM Class C (c)		20,179		971,417
Lockheed Martin Corp.		59		22,973
Lookout, Inc. (Acquired 3/04/15, Cost $42,391) (b) (c) (d) (e)		3,711		2,227
Lowe’s Cos., Inc.		19,796		2,370,769
LyondellBasell Industries NV Class A		8,818		833,125
Marathon Petroleum Corp.		13,376		805,904
Marsh & McLennan Cos., Inc.		31,068		3,461,286
Masco Corp.		7,711		370,051
Mastercard, Inc. Class A		3,425		1,022,671
McDonald’s Corp.		13,709		2,709,036
McKesson Corp.		360		49,795
Merck & Co., Inc.		38,733		3,522,766
Micron Technology, Inc. (c)		14,371		772,872
Microsoft Corp.		64,596		10,186,789
Mondelez International Inc. Class A		4,684		257,995
Monster Beverage Corp. (c)		444		28,216
Morgan Stanley		63,321		3,236,970
Motorola Solutions, Inc.		2,825		455,221
Newmont Mining Corp.		42,938		1,865,656
NextEra Energy, Inc.		15,583		3,773,579
NIKE, Inc. Class B		630		63,825
Northrop Grumman Corp.		105		36,117
NVIDIA Corp.		5,142		1,209,913
Omnicom Group, Inc.		2,103		170,385
ONEOK, Inc.		49,453		3,742,109
Oracle Corp.		26,527		1,405,400
Packaging Corporation of America		332		37,181
PayPal Holdings, Inc. (c)		6,449		697,588
Peloton Interactive, Inc. Class A (a) (c)		8,221		233,476
PepsiCo, Inc.		3,202		437,617
Pfizer, Inc.		76,482		2,996,565
Philip Morris International, Inc.		1,638		139,377
Phillips 66		477		53,143
Pioneer Natural Resources Co.		3,393		513,598
PPG Industries, Inc.		13,618		1,817,867
The Procter & Gamble Co.		1,366		170,613
The Progressive Corp.		51		3,692
Prudential Financial, Inc.		428		40,121

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

44

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

	Number of Shares		Value
PTC, Inc. (c)		2,671	$	200,031
QUALCOMM, Inc.		9,244		815,598
Raytheon Co.		24,905		5,472,625
Regeneron Pharmaceuticals, Inc. (c)		31		11,640
Regions Financial Corp.		61,500		1,055,340
Reinsurance Group of America, Inc. Class A		414		67,507
Rockwell Automation, Inc.		206		41,750
Ross Stores, Inc.		605		70,434
Salesforce.com, Inc. (c)		15,522		2,524,498
ServiceNow, Inc. (c)		3,768		1,063,782
The Simply Good Foods Co. (c)		6,209		177,205
Square, Inc. Class A (c)		83		5,192
Starbucks Corp.		728		64,006
Stryker Corp.		1,507		316,380
Sysco Corp.		513		43,882
Target Corp.		11,360		1,456,466
Tesla Motors, Inc. (c)		848		354,744
Texas Instruments, Inc.		8,532		1,094,570
Thermo Fisher Scientific, Inc.		5,085		1,651,964
The TJX Cos., Inc.		35,303		2,155,601
The Travelers Cos., Inc.		2,108		288,691
Truist Financial Corp.		43,841		2,469,125
U.S. Bancorp		7,845		465,130
Uber Technologies, Inc. (c)		80,583		2,396,538
Union Pacific Corp.		15,087		2,727,579
United Airlines Holdings, Inc. (c)		747		65,803
United Parcel Service, Inc. Class B		181		21,188
United Rentals, Inc. (c)		151		25,182
United Technologies Corp.		23,337		3,494,949
UnitedHealth Group, Inc.		18,790		5,523,884
Valero Energy Corp.		502		47,012
VeriSign, Inc. (c)		415		79,962
Verizon Communications, Inc.		5,239		321,675
Visa, Inc. Class A		5,721		1,074,976
Vistra Energy Corp.		12,295		282,662
VMware, Inc. Class A (a) (c)		332		50,394
Walmart, Inc.		24,980		2,968,623
The Walt Disney Co.		548		79,257
Wells Fargo & Co.		5,765		310,157
Western Digital Corp.		627		39,796
Weyerhaeuser Co.		13,603		410,811
The Williams Cos., Inc.		84,414		2,002,300
Workday, Inc. Class A (c)		3		493
Wyndham Destinations, Inc.		847		43,781
Xcel Energy, Inc.		526		33,396
Xilinx, Inc.		9,181		897,626
Yum China Holdings, Inc.		5,127		246,147
Yum! Brands, Inc.		551		55,502
Zoetis, Inc.		472		62,469
				217,634,861
TOTAL COMMON STOCK (Cost $296,677,944)				351,944,028
PREFERRED STOCK — 1.0%
Brazil — 0.1%
Banco Bradesco SA 5.940%		128		1,152
Itau Unibanco Holding SA 5.160%		34,626		318,635
				319,787
Germany — 0.3%
Henkel AG & Co. KGaA, 1.980%		16,734		1,730,506
United States — 0.6%
C3.ai, Inc., Series D (Acquired 10/07/19, Cost $501,053) (b) (c) (d) (e)		113,005		569,545
C3.ai, Inc., Series E (Acquired 10/07/19, Cost $57,548) (b) (c) (d) (e)		12,979		65,414
Citigroup Capital XIII, 8.305% 3 mo. USD LIBOR + 6.370% 8.306% VRN		17,781		494,312
Databricks, Inc., Series F (Acquired 10/22/19, Cost $283,760) (b) (c) (d) (e)		6,607		283,760
GMAC Capital Trust I 7.694%, Series 2, 7.542%, 3 mo. USD LIBOR + 5.785% 7.695% VRN		19,532		508,808
Grand Rounds, Inc., Series C (Acquired 3/31/15, Cost $336,853) (b) (c) (d) (e)		121,323		317,866
Grand Rounds, Inc., Series D (Acquired 5/01/18, Cost $185,458) (b) (c) (d) (e)		76,520		198,187
Lookout, Inc., Series F (Acquired 9/19/14-10/22/14, Cost $628,910) (b) (c) (d) (e)		55,056		416,774
Palantir Technologies, Inc., Series I (Acquired 3/27/14, Cost $656,474) (b) (c) (d) (e)		107,092		633,985
Wells Fargo & Co. Series L, 7.500% 7.500% (a) (h)		171		247,950
				3,736,601
TOTAL PREFERRED STOCK (Cost $5,756,439)				5,786,894
TOTAL EQUITIES (Cost $302,434,383)				357,730,922

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

45

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

	Principal Amount		Value
BONDS & NOTES — 24.6%
BANK LOANS — 0.4%
France — 0.1%
Casino Guichard Perrachon SA, EUR Term Loan B, 3 mo. EURIBOR + 5.500% 5.500% VRN 1/31/24 EUR (j)	$	592,000	$	669,611
Netherlands — 0.2%
Ziggo BV, 2019 EUR Term Loan H, 3 mo. EURIBOR + 3.000% 3.000% VRN 1/31/29 EUR (j)		1,042,786		1,168,909
United States — 0.1%
Fieldwood Energy LLC Exit 1st Lien TL, 3 mo. LIBOR + 5.250% 7.177% VRN 4/11/22		130,182		108,340
Exit 2nd Lien TL, 3 mo. LIBOR + 7.250% 9.177% VRN 4/11/23		175,746		97,539
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.750% 3.542% VRN 6/22/26		515,275		518,496
				724,375
TOTAL BANK LOANS (Cost $2,625,977)				2,562,895
CORPORATE DEBT — 4.6%
Australia — 0.3%
Quintis (Australia) Pty Limited First Lien Note, (Acquired 7/20/16, Cost $1,003,952), 7.500% 10/01/26 (b) (d) (e) (f)		1,005,252		1,005,252
Quintis (Australia) Pty Limited Second Lien Note, (Acquired 7/20/16, Cost $1,077,000), 12.000% 10/01/28 (a) (b) (d) (e) (f)		1,095,355		1,095,355
				2,100,607
France — 0.1%
Danone SA 2.589% 11/02/23 (f)		490,000		497,770
India — 0.0%
REI Agro Ltd., Convertible 5.500% 11/13/14 (f) (i)		618,000		6
Japan — 0.2%
Mitsubishi UFJ Financial Group, Inc. 3.777% 3/02/25		164,000		175,215
Sumitomo Mitsui Financial Group, Inc. 3.936% 10/16/23		846,000		897,593
				1,072,808
Luxembourg — 0.1%
Allergan Funding SCS 3.450% 3/15/22		378,000		386,681
Intelsat Jackson Holdings SA 8.000% 2/15/24 (f)		117,000		120,071
				506,752
Netherlands — 0.2%
Bio City Development Co. B.V. (Acquired 7/05/11, Cost $1,400,000) 8.000% 7/06/20 (b) (d) (e) (f) (i)		1,400,000		185,500
ING Groep NV 4.100% 10/02/23		590,000		627,348
5 year USD Swap + 4.445% 6.000% VRN (h)		280,000		281,484
				1,094,332
Singapore — 0.1%
CapitaLand Ltd. 1.950% 10/17/23 SGD (f) (j)		500,000		375,575
United Kingdom — 0.4%
Ellaktor Value PLC 6.375% 12/15/24 EUR (f) (j)		420,000		487,697
HSBC Holdings PLC 3 mo. USD LIBOR + 1.055% 3.262% VRN 3/13/23		202,000		206,618
5 year USD ICE Swap + 3.705% 6.375% VRN (h)		705,000		758,756
Lloyds Bank PLC 5 Year UK Gilt + 13.400% 13.000% VRN GBP (h) (j)		365,000		874,213
UBS Group AG 4.125% 9/24/25 (f)		220,000		239,371
				2,566,655
United States — 3.2%
Allergan Sales LLC 5.000% 12/15/21 (f)		190,000		198,727
American Express Co. 3 mo. USD LIBOR + 3.285% 4.900% VRN (h)		260,000		260,975
Apple, Inc. 3.200% 5/11/27		552,000		582,476
3.350% 2/09/27		684,000		728,587
AvalonBay Communities, Inc. 3.500% 11/15/24		79,000		83,488
Bank of America Corp. 4.000% 1/22/25		204,000		217,606
4.125% 1/22/24		477,000		512,745
Becton Dickinson and Co. 2.894% 6/06/22		439,000		446,311
3.125% 11/08/21		370,000		377,189
BP Capital Markets America, Inc. 3.790% 2/06/24		325,000		345,893

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

46

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

	Principal Amount		Value
Broadcom, Inc. Co. 3.125% 4/15/21 (f)	$	646,000	$	653,843
Capital One Financial Corp. 3.200% 1/30/23		271,000		278,639
3.300% 10/30/24		195,000		203,091
Cigna Corp. 3.400% 9/17/21		518,000		530,256
3.750% 7/15/23		441,000		462,519
Citigroup, Inc. 3 mo. USD LIBOR + .897% 3.352% VRN 4/24/25		657,000		683,809
3 mo. USD LIBOR + 4.059% 5.875% VRN (h)		858,000		862,290
3 mo. USD LIBOR + 4.095% 5.950% VRN (h)		357,000		365,293
Comcast Corp. 3.700% 4/15/24		776,000		827,677
CSC Holdings LLC 5.500% 5/15/26 (f)		200,000		211,748
CVS Health Corp. 3.700% 3/09/23		864,000		900,578
Energy Transfer Operating LP 4.050% 3/15/25		122,000		128,268
Enterprise Products Operating LLC 3.350% 3/15/23		333,000		344,537
3.900% 2/15/24		78,000		82,772
Frontier Communications Corp. 8.000% 4/01/27 (f)		104,000		108,680
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.053% 2.908% VRN 6/05/23		382,000		388,298
3.625% 2/20/24		445,000		467,138
3 mo. USD LIBOR + 3.922% 5.375% VRN (h)		405,000		410,010
The Home Depot, Inc. 2.950% 6/15/29		75,000		78,038
Hughes Satellite Systems Corp. 7.625% 6/15/21		70,000		74,791
iHeartCommunications, Inc. 6.375% 5/01/26		330,510		358,603
8.375% 5/01/27		117,060		129,351
JP Morgan Chase & Co. 3 mo. USD LIBOR + 1.000% 4.023% VRN 12/05/24		509,000		542,834
Marsh & McLennan Cos., Inc. 4.375% 3/15/29		93,000		106,033
McDonald’s Corp. 3.350% 4/01/23		231,000		240,611
Morgan Stanley SOFRRATE + 1.152% 2.720% VRN 7/22/25		345,000		349,362
3.875% 4/29/24		289,000		307,230
3 mo. USD LIBOR + 3.610% 5.611% VRN (h)		294,000		296,587
NBCUniversal Enterprise, Inc. 5.250% (f) (h)		300,000		309,750
Nextera Energy Capital Co. Guar 2.900% 4/01/22		263,000		268,422
ONEOK Partners LP 4.900% 3/15/25		275,000		302,892
ONEOK, Inc. 2.750% 9/01/24		164,000		165,558
PayPal Holdings, Inc. 2.650% 10/01/26		85,000		86,194
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920% 5.625% VRN 6/15/43		148,000		159,100
3 mo. USD LIBOR + 4.175% 5.875% VRN 9/15/42		224,000		240,800
QUALCOMM, Inc. 2.900% 5/20/24		497,000		513,969
TransDigm, Inc. 6.250% 3/15/26 (f)		1,008,000		1,091,271
USB Capital IX 3 mo. USD LIBOR + 1.020% 3.500% VRN (h)		110,000		96,250
Verizon Communications, Inc. 3.500% 11/01/24		424,000		449,640
Vistra Operations Co. LLC 5.625% 2/15/27 (f)		349,000		367,759
Walgreen Co. 3.100% 9/15/22		205,000		209,283
Wells Fargo & Co. 3.069% 1/24/23		78,000		79,610
3.750% 1/24/24		251,000		265,389
Wells Fargo Bank NA 3.550% 8/14/23		301,000		315,470
The Williams Cos., Inc. 3.700% 1/15/23		223,000		230,974
				19,299,214
TOTAL CORPORATE DEBT (Cost $28,280,201)				27,513,719
PASS-THROUGH SECURITIES — 0.1%
United States — 0.1%
BX Trust 2019-OC11 Series 2019-OC11, Class D, 4.076% 12/09/41 (f)		204,000		206,671
Series 2019-OC11, Class E, 4.076% 12/09/41 (f)		286,000		276,527
				483,198
TOTAL PASS-THROUGH SECURITIES (Cost $484,570)				483,198

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

47

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

	Principal Amount		Value
SOVEREIGN DEBT OBLIGATIONS — 5.7%
Argentina — 0.2%
Argentine Republic Government International Bond 3.375% 1/15/23 EUR (j)	$	315,000	$	158,012
5.250% 1/15/28 EUR (f) (j)		100,000		48,199
5.875% 1/11/28		919,000		431,930
6.875% 1/26/27		915,000		455,212
7.820% 12/31/33 EUR (j)		347,154		224,374
				1,317,727
Australia — 0.2%
Australia Government International Bond 3.000% 3/21/47 AUD (f) (j)		1,628,000		1,383,990
Brazil — 0.5%
Brazil Notas do Tesouro Nacional Serie F 10.000% 1/01/23 BRL (j)		10,491,000		2,771,902
Canada — 1.4%
Canadian Government Bond 1.500% 9/01/24 CAD (j)		9,574,000		7,310,170
Canadian Government International Bond 0.750% 3/01/21 CAD (j)		1,279,000		973,706
				8,283,876
Indonesia — 0.2%
Indonesia Treasury Bond 8.250% 5/15/29 IDR (j)		15,640,000,000		1,214,473
Italy — 1.3%
Italy Buoni Poliennali Del Tesoro 3.000% 8/01/29 EUR (f) (j)		3,805,000		4,915,535
3.850% 9/01/49 EUR (f) (j)		1,751,000		2,541,749
				7,457,284
Japan — 0.4%
Japan Government Thirty Year Bond 0.400% 9/20/49 JPY (j)		226,550,000		2,074,802
Mexico — 0.2%
Mexican Bonos 8.000% 9/05/24 MXN (j)		12,738,500		706,855
United Mexican States 10.000% 12/05/24 MXN (j)		11,979,800		719,130
				1,425,985
Russia — 0.1%
Russian Federal Bond — OFZ 6.900% 5/23/29 RUB (j)		38,388,000		651,918
South Africa — 0.2%
Republic of South Africa Government Bond 8.000% 1/31/30 ZAR (j)		20,764,941		1,383,162
Spain — 1.0%
Spain Government Bond 0.600% 10/31/29 EUR (f) (j)		3,668,000		4,167,520
2.700% 10/31/48 EUR (f) (j)		1,325,000		1,972,183
				6,139,703
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $34,803,283)				34,104,822
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 3.2%
United States — 3.2%
Uniform Mortgage Backed Securities TBA Pool #10160 (k)		18,723,527		18,992,678
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $18,960,497)				18,992,678
U.S. TREASURY OBLIGATIONS — 10.6%
United States — 10.6%
U.S. Treasury Inflation Index 0.125% 10/15/24		3,173,297		3,191,562
0.500% 4/15/24		25,267,380		25,675,871
0.625% 4/15/23		2,524,555		2,563,625
U.S. Treasury Note 1.625% 10/31/26		9,855,400		9,731,631
1.750% 11/15/20 (l)		5,200,000		5,204,479
1.750% 11/15/29 (g)		10,867,100		10,711,617
2.250% 8/15/49 (a)		794,300		772,705
2.375% 5/15/29 (g)		3,054,500		3,177,099
2.375% 11/15/49 (g)		2,629,200		2,621,395
				63,649,984
TOTAL U.S. TREASURY OBLIGATIONS (Cost $63,791,839)				63,649,984
TOTAL BONDS & NOTES (Cost $148,946,367)				147,307,296

	Number of Shares
MUTUAL FUNDS — 2.1%
Diversified Financial Services — 2.1%
United States — 2.1%
Financial Select Sector SPDR Fund (a)		24,767	762,328
Industrial Select Sector SPDR Fund		9,054	737,629
iShares China Large-Cap ETF (a)		13,836	603,665

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

48

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

	Number of Shares		Value
iShares MSCI Emerging Markets ETF (a)		33,450	$	1,500,901
iShares Russell 2000 Index Fund (a)		6,100		1,010,587
iShares S&P 500 Value ETF		5,829		758,295
SPDR Gold Shares (l)		28,188		4,028,065
SPDR S&P 500 ETF Trust		5,895		1,897,365
State Street Navigator Securities Lending Prime Portfolio (m)		1,272,875		1,272,875
				12,571,710
TOTAL MUTUAL FUNDS (Cost $12,375,021)				12,571,710
TOTAL PURCHASED OPTIONS (#) — 0.4% (Cost $2,531,807)				2,193,729
RIGHTS — 0.0%
Spain — 0.0%
Repsol SA, Expires 1/10/20 (c)		2,328		1,105
TOTAL RIGHTS (Cost $1,100)				1,105
TOTAL LONG-TERM INVESTMENTS (Cost $466,288,678)				519,804,762

	Principal Amount
SHORT-TERM INVESTMENTS — 15.8%
Repurchase Agreement — 0.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (n)	$	1,460,037	1,460,037
Sovereign Debt Obligations — 2.9%
Japan Treasury Discount Bill 0.000% 1/08/20 JPY (j)		532,900,000	4,904,625
0.000% 1/20/20 JPY (j)		514,850,000	4,738,740
0.000% 2/03/20 JPY (j)		412,050,000	3,792,840
0.000% 2/10/20 JPY (j)		464,500,000	4,275,753
			17,711,958
U.S. Treasury Bill — 12.7%
U.S. Treasury Bill 0.000% 1/02/20		1,050,000	1,050,000
0.000% 1/02/20		2,025,000	2,025,000
0.000% 1/09/20		1,035,000	1,034,717
0.000% 1/14/20		1,000,000	999,512
0.000% 1/16/20		7,000,000	6,996,196
0.000% 1/16/20		10,000,000	9,994,565

	Number of Shares
0.000% 1/21/20	$	4,000,000		3,996,897
0.000% 1/21/20		4,000,000		3,996,897
0.000% 2/04/20		4,000,000		3,994,261
0.000% 2/04/20		2,000,000		1,997,131
0.000% 3/12/20		1,000,000		997,079
0.000% 4/16/20		7,000,000		6,969,014
0.000% 4/23/20		10,000,000		9,952,314
0.000% 4/23/20		3,000,000		2,985,694
0.000% 5/07/20		2,000,000		1,989,334
0.000% 5/07/20		5,000,000		4,973,334
0.000% 5/14/20		10,000,000		9,943,558
0.000% 5/21/20		2,250,000		2,236,645
				76,132,148
TOTAL SHORT-TERM INVESTMENTS (Cost $95,327,177)				95,304,143
TOTAL INVESTMENTS — 102.5% (Cost $561,615,855) (o)				615,108,905
Other Assets/(Liabilities) — (2.5)%				(14,870,843	)
NET ASSETS — 100.0%			$	600,238,062

	Number of Shares
EQUITIES SOLD SHORT — (0.2)%
United States — (0.1)%
3M Co.		(3,466	)	(611,472	)
Netflix, Inc. (c)		(938	)	(303,508	)
				(914,980	)
Germany — (0.1)%
TUI AG		(26,688	)	(337,418	)
TOTAL EQUITIES SOLD SHORT (Cost $(1,232,661))				(1,252,398	)

Abbreviation Legend

ADR American Depositary Receipt

ETF Exchange-Traded Fund

REIT Real Estate Investment Trust

SOFR Secured Overnight Financing Rate

TBA To Be Announced

VRN Variable Rate Note

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

49

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

Notes to Consolidated 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, 2019, was $4,947,274 or 0.82% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $3,811,879 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(b) Investment was valued using significant unobservable inputs.

(c) Non-income producing security.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $5,196,282 or 0.87% of net assets.

(e) Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $5,196,282 or 0.87% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(f) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $27,880,326 or 4.64% of net assets.

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

(h) Security is perpetual and has no stated maturity date.

(i) 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, 2019, these securities amounted to a value of $185,506 or 0.03% of net assets.

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

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

(l) 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.

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

(n) Maturity value of $1,460,102. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,491,099.

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

(#) OTC Options Purchased

Description	Counterparty	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
Qualcomm, Inc.	Citibank N.A.	1/17/20		82.00		11,340	USD	929,880	$	76,718	$	56,700	$	20,018
JP Morgan Chase & Co.	Citibank N.A.	1/17/20		136.00		8,271	USD	1,124,856		33,161		14,986		18,175
Qualcomm, Inc.	Citibank N.A.	2/21/20		90.00		9,283	USD	835,470		28,408		26,735		1,673
Alibaba Group Holding Ltd.	Citibank N.A.	2/21/20		190.00		4,395	USD	835,050		107,661		43,950		63,711
Emerson Electric Co.	Citibank N.A.	3/20/20		78.00		20,470	USD	1,596,660		42,128		44,940		(2,812	)
DAX 30 Index	Citibank N.A.	3/20/20		14,000.00		78	EUR	1,092,000		4,459		7,485		(3,026	)
Fedex Corp.	Credit Suisse International	1/17/20		162.00		8,213	USD	1,330,506		2,944		112,781		(109,837	)
Euro STOXX 50 Index	Credit Suisse International	1/17/20		3,775.00		2,164	EUR	8,169,100		49,541		93,013		(43,472	)
BP PLC Sponsored ADR	Credit Suisse International	3/20/20		40.00		27,868	USD	1,114,720		8,531		32,015		(23,484	)
Euro STOXX 50 Index	Credit Suisse International	3/20/20		3,600.00		160	EUR	576,000		32,740		14,291		18,449
Euro STOXX 50 Index	Credit Suisse International	3/20/20		3,900.00		354	EUR	1,380,600		7,913		7,398		515
USD Call JPY Put	Deutsche Bank AG	2/26/20		110.00		4,670,000	USD	4,670,000		12,147		20,175		(8,028	)
Euro STOXX 50 Index	Goldman Sachs International	1/17/20		3,775.00		369	EUR	1,392,975		8,447		9,891		(1,444	)
DAX 30 Index	Goldman Sachs International	1/17/20		13,400.00		79	EUR	1,058,600		6,181		7,244		(1,063	)
Euro STOXX 50 Index	Goldman Sachs International	3/20/20		3,800.00		217	EUR	824,600		13,208		7,531		5,677
DAX 30 Index	Goldman Sachs International	3/20/20		13,600.00		61	EUR	829,600		11,045		7,388		3,657
Alphabet, Inc. Class C	JP Morgan Chase Bank N.A.	1/17/20		1,315.00		1,129	USD	1,484,635		38,313		53,130		(14,817	)
SPDR Gold Shares (l)	Morgan Stanley & Co. LLC	1/17/20		142.00		9,521	USD	1,351,982		17,820		12,378		5,442
SPDR Gold Shares (l)	Morgan Stanley & Co. LLC	1/17/20		145.00		18,118	USD	2,627,110		12,350		45,425		(33,075	)
SPDR Gold Shares (l)	Morgan Stanley & Co. LLC	3/20/20		146.00		31,060	USD	4,534,760		74,991		112,034		(37,043	)
Agilent Technologies, Inc.	Nomura International PLC	2/21/20		82.50		8,666	USD	714,945		40,369		21,145		19,224
Lowe’s Cos., Inc.	Nomura International PLC	2/21/20		123.00		10,285	USD	1,265,055		20,936		25,682		(4,746	)
The Home Depot Inc.	Nomura International PLC	3/20/20		225.00		5,750	USD	1,293,750		26,172		32,932		(6,760	)
Lowe’s Cos., Inc.	Nomura International PLC	4/17/20		125.00		6,236	USD	779,500		21,719		24,944		(3,225	)
SPDR Gold Shares (l)	Societe Generale	1/17/20		143.50		11,342	USD	1,627,577		12,814		27,561		(14,747	)
SPDR Gold Shares (l)	Societe Generale	2/21/20		141.50		20,761	USD	2,937,682		71,720		41,769		29,951
SPDR Gold Shares (l)	Societe Generale	2/21/20		143.00		26,088	USD	3,730,584		70,269		44,118		26,151

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

50

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

Description	Counterparty	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call (Continued)
Alibaba Group Holding Ltd.	Societe Generale	2/21/20		215.00		3,463	USD	744,545	$	23,699	$	22,856	$	843
Facebook, Inc.	UBS AG	2/21/20		208.00		8,795	USD	1,829,360		68,947		67,866		1,081
										945,351		1,038,363		(93,012	)
Put
USD Put JPY Call	Bank of America N.A.	3/11/20		99.00		3,435,500	USD	3,435,500	$	1,354	$	11,004	$	(9,650	)
USD Put RUB Call	Bank of America N.A.	4/30/20		63.00		1,446,749	USD	1,446,749		29,077		16,632		12,445
USD Put IDR Call	Bank of America N.A.	5/04/20		14,000.00		1,446,749	USD	1,446,749		19,618		13,939		5,679
EUR Put USD Call	Bank of America N.A.	7/23/20		1.12		819,000	EUR	819,000		7,703		11,418		(3,715	)
USD Put TRY Call	Citibank N.A.	5/04/20		5.70		2,893,499	USD	2,893,499		14,601		43,215		(28,614	)
USD Put ZAR Call	Citibank N.A.	5/04/20		14.40		2,893,499	USD	2,893,499		112,846		53,602		59,244
USD Put MXN Call	Citibank N.A.	5/04/20		19.00		1,447,000	USD	1,447,000		17,280		17,849		(569	)
USD Put BRL Call	JP Morgan Chase Bank N.A.	5/04/20		3.93		1,447,000	USD	1,447,000		17,658		22,327		(4,669	)
USD Put JPY Call	Morgan Stanley & Co. LLC	1/08/20		108.00		6,863,000	USD	6,863,000		9,450		31,329		(21,879	)
EUR Put USD Call	Morgan Stanley & Co. LLC	3/17/20		1.08		7,840,000	EUR	7,840,000		4,529		46,994		(42,465	)
USD Put JPY Call	UBS AG	3/11/20		102.00		6,871,000	USD	6,871,000		6,637		48,268		(41,631	)
										240,753		316,577		(75,824	)
									$	1,186,104	$	1,354,940	$	(168,836	)

(#) Exchange-Traded Options Purchased

Description	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
Consumer Discretionary Select Sector SPDR Fund ETF	1/17/20		126.00		629	USD	7,925,400	$	64,158	$	48,583	$	15,575
Johnson & Johnson	1/17/20		135.00		22	USD	297,000		24,662		3,327		21,335
iShares Russell 2000 ETF	1/17/20		167.00		76	USD	1,269,200		11,020		10,658		362
SPDR S&P 500 Trust ETF	1/17/20		310.00		157	USD	4,867,000		208,810		34,263		174,547
SPDR S&P 500 Trust ETF	1/17/20		321.00		518	USD	16,627,800		204,610		113,332		91,278
SPDR S&P 500 Trust ETF	1/17/20		323.00		453	USD	14,631,900		124,122		162,754		(38,632	)
SPDR S&P 500 Trust ETF	1/17/20		330.00		484	USD	15,972,000		15,972		30,544		(14,572	)
Halliburton Co.	2/21/20		22.00		138	USD	303,600		39,606		12,039		27,567
Halliburton Co.	2/21/20		23.00		130	USD	299,000		25,350		16,951		8,399
The Williams Cos., Inc.	2/21/20		23.00		128	USD	294,400		16,000		10,655		5,345
Schlumberger Ltd.	2/21/20		37.50		159	USD	596,250		55,491		25,822		29,669
Valero Energy Corp.	3/20/20		100.00		61	USD	610,000		10,065		17,167		(7,102	)
BP PLC Sponsored ADR	4/17/20		39.00		157	USD	612,300		11,618		12,502		(884	)
Marathon Petroleum Corp.	4/17/20		62.50		98	USD	612,500		29,890		34,762		(4,872	)
									841,374		533,359		308,015
Put
Fedex Corp.	1/17/20		130.00		46	USD	598,000	$	552	$	773	$	(221	)
SPDR S&P 500 Trust ETF	1/17/20		302.00		295	USD	8,909,000		12,390		69,100		(56,710	)
SPDR S&P 500 Trust ETF	1/17/20		303.00		88	USD	2,666,400		3,784		25,166		(21,382	)
									16,726		95,039		(78,313	)
								$	858,100	$	628,398	$	229,702

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

51

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

(#) Interest Rate Swaptions Purchased

			Paid by Fund		Received by Fund
Description	Counterparty	Expiration Date	Rate	Frequency	Rate	Frequency	Notional Amount		Value		Premium Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
10-Year Interest Rate Swap, 8/17/30	Bank of America N.A.	8/13/20	3-Month USD LIBOR BBA	Quarterly	1.08%	Semi-Annually	USD	3,353,261	$	6,601	$	30,167	$	(23,566	)
5-Year Interest Rate Swap, 1/06/25	Goldman Sachs International	1/02/20	3-Month USD LIBOR BBA	Quarterly	1.30%	Semi-Annually	USD	30,778,388		-		207,987		(207,987	)
										6,601		238,154		(231,553	)
Put
10-Year Interest Rate Swap, 8/17/30	Bank of America N.A.	8/13/20	2.08%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	USD	3,353,261	$	39,834	$	28,858	$	10,976
10-Year Interest Rate Swap, 1/08/30	Morgan Stanley & Co. LLC	1/06/20	1.86%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	USD	17,542,931		87,694		106,135		(18,441	)
										127,528		134,993		(7,465	)
									$	134,129	$	373,147	$	(239,018	)

(#) Interest Rate Caps Purchased

Description	Counterparty	Expiration Date	Exercise Price			Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
2Y-10Y CMS Index Cap	Goldman Sachs International	2/27/20		0.50	%	USD	45,250,000	$	967	$	58,825	$	(57,858	)
2Y-10Y CMS Index Cap	Goldman Sachs International	8/27/20		0.50	%	USD	45,685,000		14,429		116,497		(102,068	)
								$	15,396	$	175,322	$	(159,926	)

OTC Options Written

Description	Counterparty	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
Qualcomm, Inc.	Citibank N.A.	1/17/20		86.00		10,307	USD	886,402	$	(36,404	)	$	(15,409	)	$	(20,995	)
JP Morgan Chase & Co.	Citibank N.A.	1/17/20		146.00		8,271	USD	1,207,566		(2,120	)		(3,314	)		1,194
Qualcomm, Inc.	Citibank N.A.	2/21/20		100.00		9,283	USD	928,300		(4,700	)		(6,870	)		2,170
Alibaba Group Holding Ltd.	Citibank N.A.	2/21/20		205.00		4,395	USD	900,975		(55,625	)		(20,283	)		(35,342	)
Emerson Electric Co.	Citibank N.A.	3/20/20		88.00		20,470	USD	1,801,360		(3,017	)		(5,248	)		2,231
Comcast Corp. Class A	Citibank N.A.	6/19/20		40.00		27,454	USD	1,098,160		(164,973	)		(158,410	)		(6,563	)
Fedex Corp.	Credit Suisse International	1/17/20		190.00		8,213	USD	1,560,470		(25	)		(35,908	)		35,883
BP PLC Sponsored ADR	Credit Suisse International	3/20/20		43.00		27,868	USD	1,198,324		(1,387	)		(9,754	)		8,367
SPDR Gold Shares (l)	Morgan Stanley & Co. LLC	1/17/20		155.00		10,353	USD	1,604,715		(580	)		(9,719	)		9,139
UnitedHealth Group, Inc.	Morgan Stanley & Co. LLC	1/17/20		275.00		1,890	USD	519,750		(37,797	)		(3,355	)		(34,442	)
USD Call ZAR Put	Morgan Stanley & Co. LLC	3/05/20		15.65		1,457,000	USD	1,457,000		(3,554	)		(13,405	)		9,851
EUR Call USD Put	Morgan Stanley & Co. LLC	3/17/20		1.15		7,840,000	EUR	7,840,000		(25,353	)		(45,648	)		20,295
SPDR Gold Shares (l)	Morgan Stanley & Co. LLC	3/20/20		158.00		10,353	USD	1,635,774		(6,701	)		(16,549	)		9,848
Raytheon Co.	Nomura Internationa PLC	1/17/20		235.00		2,511	USD	590,085		(232	)		(3,114	)		2,882
Agilent Technologies, Inc.	Nomura Internationa PLC	2/21/20		88.50		8,666	USD	766,941		(13,631	)		(5,372	)		(8,259	)
Lowe’s Cos., Inc.	Nomura Internationa PLC	2/21/20		130.00		10,285	USD	1,337,050		(4,205	)		(8,405	)		4,200
The Home Depot, Inc.	Nomura Internationa PLC	3/20/20		240.00		5,750	USD	1,380,000		(6,576	)		(8,987	)		2,411

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

52

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

Description	Counterparty	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call (Continued)
Lowe’s Cos., Inc.	Nomura Internationa PLC	4/17/20		135.00		6,236	USD	841,860	$	(5,952	)	$	(7,920	)	$	1,968
Alibaba Group Holding Ltd.	Societe Generale	2/21/20		235.00		3,463	USD	813,805		(4,585	)		(5,586	)		1,001
Facebook, Inc.	UBS AG	2/21/20		223.00		8,795	USD	1,961,285		(24,724	)		(24,144	)		(580	)
										(402,141	)		(407,400	)		5,259
Put
DJ Euro STOXX Banks Index	Barclays Bank PLC	6/18/21		103.00		7,986	EUR	822,558	$	(175,878	)	$	(197,173	)	$	21,295
Topix Banks Index	BNP Paribas SA	3/13/20		155.80		538,108	JPY	83,836,365		(32,995	)		(47,412	)		14,417
JP Morgan Chase & Co.	Citibank N.A.	1/17/20		120.00		6,204	USD	744,480		(373	)		(3,909	)		3,536
Qualcomm, Inc.	Citibank N.A.	2/21/20		76.00		4,642	USD	352,792		(2,838	)		(8,449	)		5,611
Emerson Electric Co.	Citibank N.A.	3/20/20		65.00		10,235	USD	665,275		(5,113	)		(9,063	)		3,950
Fedex Corp.	Credit Suisse International	1/17/20		130.00		4,637	USD	602,810		(330	)		(22,605	)		22,275
Sumitomo Mitsui Financial Group, Inc.	Morgan Stanley & Co. LLC	3/13/20		3,832.77		20,764	JPY	79,583,734		(10,236	)		(46,100	)		35,864
Sumitomo Mitsui Financial Group, Inc.	Morgan Stanley & Co. LLC	9/11/20		3,820.96		11,088	JPY	42,366,804		(19,025	)		(28,576	)		9,551
Sumitomo Mitsui Financial Group, Inc.	Morgan Stanley & Co. LLC	12/11/20		3,786.60		11,181	JPY	42,337,938		(25,102	)		(34,358	)		9,256
USD Put ZAR Call	Morgan Stanley & Co. LLC	3/05/20		14.20		1,457,000	USD	1,457,000		(37,245	)		(12,268	)		(24,977	)
SPDR Gold Shares (l)	Morgan Stanley & Co. LLC	3/20/20		134.00		10,353	USD	1,387,302		(3,730	)		(16,791	)		13,061
Topix Banks Index	Morgan Stanley & Co. LLC	4/10/20		157.82		477,857	JPY	75,413,576		(41,070	)		(45,285	)		4,215
Agilent Technologies, Inc.	Nomura Internationa PLC	2/21/20		75.00		4,333	USD	324,975		(2,381	)		(7,973	)		5,592
The Home Depot, Inc.	Nomura Internationa PLC	3/20/20		205.00		2,875	USD	589,375		(9,605	)		(8,120	)		(1,485	)
BP PLC Sponsored ADR	Nomura International PLC	4/17/20		34.50		49,859	USD	1,720,136		(27,852	)		(76,857	)		49,005
SPDR Gold Shares (l)	Societe Generale	2/21/20		133.50		10,381	USD	1,385,864		(1,288	)		(12,218	)		10,930
Alibaba Group Holding Ltd.	Societe Generale	2/21/20		190.00		3,463	USD	657,970		(6,163	)		(11,774	)		5,611
USD Put JPY Call	UBS AG	3/11/20		99.00		6,871,000	USD	6,871,000		(2,707	)		(25,079	)		22,372
DJ Euro STOXX Banks Index	UBS AG	9/17/21		103.00		8,131	EUR	837,493		(188,232	)		(211,576	)		23,344
										(592,163	)		(825,586	)		233,423
									$	(994,304	)	$	(1,232,986	)	$	238,682

Exchange-Traded Options Written

Description	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
The Charles Schwab Corp.	1/17/20		47.00		30	USD	141,000	$	(4,350	)	$	(1,853	)	$	(2,497	)
Agilent Technologies, Inc.	1/17/20		82.50		28	USD	231,000		(9,100	)		(1,927	)		(7,173	)
HCA Healthcare, Inc.	1/17/20		145.00		16	USD	232,000		(6,880	)		(1,996	)		(4,884	)
Halliburton Co.	2/21/20		24.00		138	USD	331,200		(19,872	)		(4,935	)		(14,937	)
Halliburton Co.	2/21/20		25.00		130	USD	325,000		(12,740	)		(7,208	)		(5,532	)
The Williams Cos., Inc.	2/21/20		25.00		128	USD	320,000		(2,944	)		(2,145	)		(799	)
Schlumberger Ltd.	2/21/20		42.50		159	USD	675,750		(14,469	)		(5,796	)		(8,673	)
Bristol-Myers Squibb Co.	3/20/20		65.00		50	USD	325,000		(10,950	)		(4,688	)		(6,262	)
Valero Energy Corp.	3/20/20		110.00		61	USD	671,000		(1,647	)		(4,236	)		2,589
BP PLC Sponsored ADR	4/17/20		43.00		157	USD	675,100		(1,256	)		(1,922	)		666
Marathon Petroleum Corp.	4/17/20		70.00		98	USD	686,000		(8,820	)		(12,641	)		3,821
									(93,028	)		(49,347	)		(43,681	)

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

53

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

Description	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Put
United Rentals, Inc.	1/17/20		135.00		28	USD	378,000	$	(196	)	$	(5,221	)	$	5,025
United Rentals, Inc.	1/17/20		140.00		20	USD	280,000		(180	)		(5,755	)		5,575
Mcdonald’s Corp.	1/17/20		190.00		81	USD	1,539,000		(3,078	)		(22,111	)		19,033
The Home Depot, Inc.	1/17/20		210.00		24	USD	504,000		(1,560	)		(11,484	)		9,924
									(5,014	)		(44,571	)		39,557
								$	(98,042	)	$	(93,918	)	$	(4,124	)

Interest Rate Swaptions Written

			Paid by Fund		Received by Fund
Description	Counterparty	Expiration Date	Rate	Frequency	Rate	Frequency	Notional Amount		Value			Premium Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
2-Year Interest Rate Swap, 8/17/22	Bank of America N.A.	8/13/20	0.88%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	USD	16,561,103	$	(6,468	)	$	(36,184	)	$	29,716
5-Year Interest Rate Swap, 1/06/25	Goldman Sachs International	1/02/20	1.10%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	USD	30,778,388		-			(111,931	)		111,931
										(6,468	)		(148,115	)		141,647
Put
2-Year Interest Rate Swap, 8/17/22	Bank of America N.A.	8/13/20	3-Month USD LIBOR BBA	Quarterly	1.88%	Semi-Annually	USD	16,561,103	$	(21,844	)	$	(31,674	)	$	9,830
10-Year Interest Rate Swap, 1/08/30	Morgan Stanley & Co. LLC	1/06/20	3-Month USD LIBOR BBA	Quarterly	2.01%	Semi-Annually	USD	17,542,931		(5,473	)		(43,858	)		38,385
										(27,317	)		(75,532	)		48,215
									$	(33,785	)	$	(223,647	)	$	189,862

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of America N.A.	2/07/20	AUD	2,120,000	USD	1,459,185	$	29,834
Bank of America N.A.	3/27/20	AUD	1,709,000	USD	1,182,346		19,436
Bank of America N.A.	3/27/20	NOK	53,994	CAD	7,881		81
Bank of America N.A.	3/27/20	CAD	1,563,000	NOK	10,692,483		(14,205	)
Bank of America N.A.	4/30/20	USD	1,445,929	RUB	94,665,000		(59,130	)
Barclays Bank PLC	2/28/20	JPY	448,429,000	USD	4,156,366		(17,501	)
BNP Paribas SA	1/15/20	BRL	1,246,750	USD	301,109		8,690
BNP Paribas SA	3/05/20	EUR	2,805,000	USD	3,106,804		51,745
BNP Paribas SA	3/05/20	USD	577,267	ZAR	8,637,668		(34,430	)
BNP Paribas SA	4/30/20	RUB	33,132,750	USD	508,171		18,600
Citibank N.A.	1/15/20	BRL	2,493,500	USD	603,827		15,771
Citibank N.A.	2/28/20	USD	1,350,447	INR	98,137,000		(16,788	)
Citibank N.A.	3/05/20	USD	1,418,819	SGD	1,935,000		(20,665	)
Citibank N.A.	5/04/20	USD	1,439,480	MXN	28,749,000		(53,972	)
Credit Suisse International	1/15/20	USD	1,235,170	BRL	4,987,000		(4,027	)
Credit Suisse International	1/24/20	USD	1,800,493	BRL	7,488,000		(59,768	)
Credit Suisse International	2/14/20	USD	437,993	BRL	1,825,074		(15,070	)
Credit Suisse International	5/04/20	BRL	5,889,000	USD	1,434,942		21,057
Credit Suisse International	5/04/20	USD	1,396,987	BRL	5,889,000		(59,012	)
Deutsche Bank AG	1/15/20	BRL	1,246,750	USD	301,942		7,857
Deutsche Bank AG	1/16/20	USD	91,141	GBP	74,400		(7,446	)
Deutsche Bank AG	1/24/20	USD	1,051,094	JPY	113,576,676		4,805
Deutsche Bank AG	2/14/20	CHF	1,333,000	USD	1,353,386		27,762

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

54

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

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Deutsche Bank AG	3/05/20	EUR	2,000	USD	2,216	$	36
Deutsche Bank AG	3/05/20	JPY	148,384,000	USD	1,375,067		(5,076	)
Deutsche Bank AG	3/06/20	EUR	998,000	USD	1,112,601		11,260
Deutsche Bank AG	3/06/20	CHF	1,339,000	USD	1,362,599		26,809
Deutsche Bank AG	3/06/20	USD	1,529,415	BRL	6,437,000		(66,900	)
Goldman Sachs International	3/26/20	EUR	3,487,000	USD	3,911,592		20,136
Goldman Sachs International	3/26/20	USD	2,775,297	JPY	302,317,000		(19,427	)
Goldman Sachs International	5/04/20	MXN	28,749,000	USD	1,462,458		30,994
HSBC Bank PLC	3/27/20	NOK	10,651,850	CAD	1,555,119		15,646
HSBC Bank PLC	4/03/20	ZAR	22,586,000	USD	1,555,178		38,269
JP Morgan Chase Bank N.A.	1/10/20	USD	2,779,220	GBP	2,250,000		(201,737	)
JP Morgan Chase Bank N.A.	1/16/20	GBP	9,301,000	USD	11,406,235		918,494
JP Morgan Chase Bank N.A.	1/24/20	JPY	342,004,000	USD	3,170,809		(20,207	)
JP Morgan Chase Bank N.A.	1/24/20	USD	473,199	JPY	51,058,215		2,842
JP Morgan Chase Bank N.A.	1/30/20	ZAR	12,031,000	USD	813,661		42,261
JP Morgan Chase Bank N.A.	4/30/20	RUB	61,532,250	USD	946,650		31,638
JP Morgan Chase Bank N.A.	5/04/20	IDR	20,830,918,000	USD	1,456,198		27,282
JP Morgan Chase Bank N.A.	5/04/20	USD	1,445,588	IDR	20,830,918,000		(37,892	)
Morgan Stanley & Co. LLC	1/16/20	USD	233,637	GBP	187,000		(14,156	)
Morgan Stanley & Co. LLC	1/24/20	USD	574,568	JPY	62,198,083		1,588
Morgan Stanley & Co. LLC	2/07/20	AUD	2,118,000	USD	1,463,714		23,900
Morgan Stanley & Co. LLC	3/05/20	USD	22	ZAR	332		(2	)
Morgan Stanley & Co. LLC	3/05/20	USD	1,237,740	CLP	993,905,000		(84,936	)
Morgan Stanley & Co. LLC	3/11/20	AUD	3,436,000	USD	2,352,700		62,565
Morgan Stanley & Co. LLC	3/12/20	NZD	884,000	USD	576,966		18,714
Morgan Stanley & Co. LLC	3/12/20	USD	580,218	NZD	884,000		(15,462	)
Morgan Stanley & Co. LLC	3/13/20	NOK	8,507,000	USD	928,107		41,090
Morgan Stanley & Co. LLC	3/13/20	NZD	1,771,000	USD	1,158,045		35,353
Morgan Stanley & Co. LLC	3/13/20	EUR	3,540,000	USD	3,936,112		52,094
Morgan Stanley & Co. LLC	3/13/20	JPY	264,963,000	USD	2,452,082		(4,613	)
Morgan Stanley & Co. LLC	3/13/20	USD	1,162,419	NZD	1,771,000		(30,979	)
Morgan Stanley & Co. LLC	3/19/20	EUR	1,782,000	USD	1,989,298		19,086
Morgan Stanley & Co. LLC	3/19/20	AUD	1,731,000	USD	1,197,281		19,731
Morgan Stanley & Co. LLC	3/20/20	EUR	1,264,000	USD	1,411,397		13,271
Morgan Stanley & Co. LLC	3/20/20	AUD	1,709,000	USD	1,180,648		20,926
Morgan Stanley & Co. LLC	3/26/20	AUD	1,729,000	USD	1,187,815		28,001
Morgan Stanley & Co. LLC	3/27/20	AUD	430,000	USD	297,166		5,214
State Street Bank and Trust Co.	1/09/20	JPY	293,992,000	USD	2,732,488		(26,428	)
State Street Bank and Trust Co.	2/27/20	GBP	2,033,000	USD	2,635,465		61,562
UBS AG	1/24/20	EUR	2,615,000	USD	2,921,818		15,256
UBS AG	3/12/20	EUR	1,978,000	USD	2,206,526		21,772
						$	921,599

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
Euro-BTP	3/06/20		11	$	1,755,219	$	2,552
DAX Index	3/20/20		1		369,728		1,737
FTSE 100 Index	3/20/20		6		595,203		787
Mini MSCI Emerging Market Index	3/20/20		15		834,116		6,034
Nasdaq 100 E Mini Index	3/20/20		27		4,701,468		24,747
U.S. Treasury Note 10 Year	3/20/20		16		2,075,929		(21,179	)
U.S. Treasury Ultra 10 Year	3/20/20		8		1,124,261		1,364
U.S. Treasury Ultra Bond	3/20/20		4		724,755		1,870
U.S. Treasury Note 2 Year	3/31/20		437		94,207,002		(33,502	)
						$	(15,590	)

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

55

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

	Expiration Date	Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Short
Euro-Bund	3/06/20		23	$	(4,423,930	)	$	25,442
Yen Denom Nikkei	3/12/20		13		(1,395,363	)		(5,976	)
Euro Stoxx 50 Index	3/20/20		14		(584,469	)		(1,126	)
S&P 500 E Mini Index	3/20/20		28		(4,520,979	)		(2,561	)
U.S. Treasury Note 5 Year	3/31/20		72		(8,536,203	)		(3,672	)
							$	12,107

Centrally Cleared Credit Default Swaps — Buy Protection

Reference Obligation/Index	Rate Paid by Fund			Payment Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.IG Series 33		1.000	%	Quarterly	12/20/24	USD	23,180,083	$	(600,967	)	$	(546,557	)	$	(54,410	)
CDX.NA.HY Series 33		5.000	%	Quarterly	12/20/24	USD	536,061		(51,641	)		(38,518	)		(13,123	)
								$	(652,608	)	$	(585,075	)	$	(67,533	)

OTC Credit Default Swaps — Buy Protection

Reference Obligation/Index	Rate Paid by Fund			Payment Frequency	Counterparty	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
TUI AG		5.000	%	Quarterly	Credit  Suisse International	12/20/24	EUR	258,000	$	(31,098	)	$	(25,490	)	$	(5,608	)

Centrally Cleared Credit Default Swaps — Sell Protection††

Reference Obligation/Index

Rate Received by Fund

Payment Frequency

Termination Date

Credit Rating

Notional Amount

Value

Upfront Premium Paid/ (Received)

Unrealized Appreciation (Depreciation)

iTraxx Europe Crossover Series 32†

5.000

%

Quarterly

12/20/24

BB-

EUR

1,067,556

$

163,170

$

160,912

$

2,258

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/Reference	Frequency	Rate/Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
3-Month CDOR	Semi-Annually	Fixed 1.908%	Semi-Annually	7/09/21	CAD	18,033,107	$	(18,122	)	$	139	$	(18,261	)
3-Month CDOR	Semi-Annually	Fixed 1.905%	Semi-Annually	7/09/21	CAD	1,104,892		(1,143	)		8		(1,151	)
Fixed 1.550%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	9/27/24	USD	5,381,182		43,351			70		43,281
Fixed 1.555%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	11/08/24	USD	8,181,222		62,973			99		62,874
3-Month USD LIBOR BBA	Quarterly	Fixed 1.280%	Semi-Annually	11/29/24	USD	4,057,000		(84,397	)		49		(84,446	)
Fixed 1.530%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	12/02/24	USD	8,114,516		73,372			99		73,273
3-Month USD LIBOR BBA	Quarterly	Fixed 1.750%	Semi-Annually	11/08/29	USD	1,975,000		(25,638	)		35		(25,673	)
							$	50,396		$	499	$	49,897

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

56

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

OTC Total Return Swaps

Paid by the Fund			Received by the Fund
Rate/Reference		Frequency	Rate/Reference	Frequency	No. of Contracts		Counterparty	Termination Date	Value			Upfront Premium Received (Paid)/ Received		Unrealized Appreciation (Depreciation)
USD	157,788	Maturity	S&P 500 Dividend Index Future December 2021	Maturity		3,250	BNP Paribas SA	12/17/21	$	44,850		$	-	$	44,850
USD	131,931	Maturity	S&P 500 Dividend Index Future December 2020	Maturity		2,750	Goldman Sachs International	12/18/20		35,269			-		35,269
EUR	536,808	Quarterly	Euro STOXX Bank Futures March 2020	Quarterly		5,450	Morgan Stanley & Co. LLC	3/20/20		(9,763	)		-		(9,763	)
									$	70,356		$	-	$	70,356

OTC Total Return Swaps (a)

Reference Entity	Counterparty	Termination Date	Notional Amount		Net Value of Reference Entities		Unrealized Appreciation/ (Depreciation)			Gross Notional Amount Asset %
Equity Securities Short	J.P. Morgan Chase Bank N.A.	01/10/2020	USD	754,484	$	807,214	$	(52,730	)		0.1	%
Equity Securities Short	Citigroup Global Markets Inc.	01/22/2020	USD	621,116		630,065		(8,949	)		0.1	%
					$	1,437,279	$	(61,679	)

(a) The Fund receives or pays the total return on a portfolio of long and short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specific benchmark, plus or minus a spread in a range of (17.5) – 17.5 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:

1 month USD LIBOR

1 week USD LIBOR

Federal Funds Rate

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

†† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the creditworthiness of the underlying issuer. As the credit rating declines, the likelihood of payment by the fund increases.Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

Currency Legend

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CHF Swiss Franc

CLP Chilean Peso

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

INR Indian Rupee

JPY Japanese Yen

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

RUB Russian Ruble

SGD Singapore Dollar

USD U.S. Dollar

ZAR South African Rand

Abbreviation Legend

CDOR Canadian Dollar Offered Rate

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

57

MassMutual Select Diversified Value Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.3%
COMMON STOCK — 96.9%
Basic Materials — 2.6%
Chemicals — 2.3%
Celanese Corp.		3,574	$	440,031
CF Industries Holdings, Inc.		34,448		1,644,548
Dow, Inc.		34,865		1,908,161
DuPont de Nemours, Inc.		42,852		2,751,098
Eastman Chemical Co.		3,954		313,394
FMC Corp.		3,803		379,616
Huntsman Corp.		5,500		132,880
LyondellBasell Industries NV Class A		11,375		1,074,710
				8,644,438
Forest Products & Paper — 0.1%
International Paper Co.		11,470		528,193
Iron & Steel — 0.2%
Nucor Corp.		8,821		496,446
Reliance Steel & Aluminum Co.		1,805		216,167
Steel Dynamics, Inc.		6,200		211,048
				923,661
				10,096,292
Communications — 7.0%
Advertising — 0.2%
The Interpublic Group of Cos., Inc.		9,490		219,219
Omnicom Group, Inc.		6,278		508,643
				727,862
Internet — 0.2%
eBay, Inc.		23,600		852,196
Media — 3.2%
Comcast Corp. Class A		195,224		8,779,224
Fox Corp. Class B		86,483		3,147,981
The Walt Disney Co.		3,051		441,266
				12,368,471
Telecommunications — 3.4%
Cisco Systems, Inc.		55,168		2,645,857
Juniper Networks, Inc.		9,601		236,473
Verizon Communications, Inc.		162,343		9,967,860
				12,850,190
				26,798,719
Consumer, Cyclical — 5.1%
Airlines — 0.8%
Alaska Air Group, Inc.		3,578		242,409
Delta Air Lines, Inc.		18,881		1,104,161
JetBlue Airways Corp. (a)		8,254		154,515
Southwest Airlines Co.		15,314		826,650
United Airlines Holdings, Inc. (a)		7,316		644,466
				2,972,201
Apparel — 0.1%
Ralph Lauren Corp.		1,363		159,771
Skechers U.S.A., Inc. Class A (a)		3,300		142,527
				302,298
Auto Manufacturers — 1.0%
Cummins, Inc.		4,390		785,634
Ford Motor Co.		113,046		1,051,328
General Motors Co.		35,379		1,294,871
PACCAR, Inc.		10,078		797,170
				3,929,003
Auto Parts & Equipment — 0.3%
Allison Transmission Holdings, Inc.		3,564		172,212
Aptiv PLC		7,306		693,851
BorgWarner, Inc.		6,024		261,321
				1,127,384
Distribution & Wholesale — 0.2%
HD Supply Holdings, Inc. (a)		4,251		170,975
LKQ Corp. (a)		8,900		317,730
W.W. Grainger, Inc.		1,608		544,340
				1,033,045
Home Builders — 0.4%
D.R. Horton, Inc.		10,778		568,539
Lennar Corp. Class A		8,158		455,135
PulteGroup, Inc.		7,377		286,228
Toll Brothers, Inc.		4,119		162,742
				1,472,644
Home Furnishing — 0.1%
Whirlpool Corp.		1,834		270,570
Housewares — 0.1%
Newell Brands, Inc.		12,400		238,328
Leisure Time — 0.3%
Harley-Davidson, Inc.		4,454		165,644
Norwegian Cruise Line Holdings Ltd. (a)		6,114		357,119
Polaris, Inc.		1,789		181,942
Royal Caribbean Cruises Ltd.		5,214		696,121
				1,400,826
Lodging — 0.6%
Hyatt Hotels Corp. Class A		947		84,955
Las Vegas Sands Corp.		32,412		2,237,725
				2,322,680
Retail — 1.1%
AutoZone, Inc. (a)		677		806,517
Best Buy Co., Inc.		7,544		662,363
CarMax, Inc. (a)		4,457		390,745
Genuine Parts Co.		4,223		448,610
Target Corp.		13,386		1,716,219

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

58

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

	Number of Shares		Value
Williams-Sonoma, Inc. (b)		2,300	$	168,912
				4,193,366
Textiles — 0.1%
Mohawk Industries, Inc. (a)		2,100		286,398
				19,548,743
Consumer, Non-cyclical — 19.2%
Agriculture — 2.0%
Archer-Daniels-Midland Co.		16,147		748,413
Philip Morris International, Inc.		80,818		6,876,804
				7,625,217
Beverages — 0.1%
Molson Coors Brewing Co. Class B		4,105		221,260
Biotechnology — 2.6%
Amgen, Inc.		17,289		4,167,859
Bio-Rad Laboratories, Inc. Class A (a)		686		253,841
Corteva, Inc.		37,767		1,116,393
Gilead Sciences, Inc.		67,792		4,405,124
				9,943,217
Commercial Services — 0.3%
AMERCO		541		203,319
H&R Block, Inc. (b)		5,072		119,091
ManpowerGroup, Inc.		1,744		169,342
Quanta Services, Inc.		4,129		168,092
Robert Half International, Inc.		2,997		189,260
United Rentals, Inc. (a)		2,195		366,060
				1,215,164
Foods — 1.8%
Campbell Soup Co.		7,373		364,374
The J.M. Smucker Co.		2,823		293,959
Kellogg Co.		9,921		686,136
The Kraft Heinz Co.		35,500		1,140,615
Tyson Foods, Inc. Class A		47,458		4,320,576
US Foods Holding Corp. (a)		2,436		102,044
				6,907,704
Health Care – Products — 0.1%
Henry Schein, Inc. (a)		4,209		280,824
Health Care – Services — 2.7%
Anthem, Inc.		19,750		5,965,093
DaVita, Inc. (a)		4,100		307,623
Encompass Health Corp.		2,900		200,883
HCA Healthcare, Inc.		9,888		1,461,545
Humana, Inc.		3,500		1,282,820
Laboratory Corp. of America Holdings (a)		2,897		490,086
Quest Diagnostics, Inc.		3,984		425,451
Universal Health Services, Inc. Class B		2,400		344,304
				10,477,805
Household Products & Wares — 1.1%
Avery Dennison Corp.		1,985		259,678
Kimberly-Clark Corp.		27,561		3,791,015
				4,050,693
Pharmaceuticals — 8.5%
AmerisourceBergen Corp.		5,953		506,124
Becton Dickinson and Co.		7,966		2,166,513
Cardinal Health, Inc.		8,500		429,930
CVS Health Corp.		52,929		3,932,095
Jazz Pharmaceuticals PLC (a)		1,700		253,776
Johnson & Johnson		101,853		14,857,297
McKesson Corp.		5,218		721,754
Merck & Co., Inc.		73,967		6,727,299
Perrigo Co. PLC		4,000		206,640
Pfizer, Inc.		72,976		2,859,200
				32,660,628
				73,382,512
Energy — 8.5%
Oil & Gas — 7.7%
Chevron Corp.		54,282		6,541,524
ConocoPhillips		28,576		1,858,297
Exxon Mobil Corp.		114,780		8,009,349
Hess Corp.		4,615		308,328
HollyFrontier Corp.		4,600		233,266
Noble Energy, Inc.		13,000		322,920
Occidental Petroleum Corp.		71,716		2,955,417
Phillips 66		12,842		1,430,727
Total SA		120,607		6,665,014
Valero Energy Corp.		12,000		1,123,800
				29,448,642
Pipelines — 0.8%
TC Energy Corp.		56,426		3,008,070
				32,456,712
Financial — 30.6%
Banks — 18.9%
Bank of America Corp.		260,184		9,163,680
The Bank of New York Mellon Corp.		26,832		1,350,455
Citigroup, Inc.		63,600		5,081,004
Citizens Financial Group, Inc.		12,642		513,392
Commerce Bancshares, Inc.		3,311		224,949
Cullen/Frost Bankers, Inc.		1,669		163,195
Fifth Third Bancorp		92,810		2,852,979
The Goldman Sachs Group, Inc.		10,300		2,368,279
Huntington Bancshares, Inc.		29,991		452,264
JP Morgan Chase & Co.		123,198		17,173,801
KeyCorp		28,720		581,293
M&T Bank Corp.		3,925		666,269
Morgan Stanley		142,594		7,289,405
Northern Trust Corp.		6,133		651,570
The PNC Financial Services Group, Inc.		12,726		2,031,451

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

59

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

	Number of Shares		Value
Popular, Inc.		2,846	$	167,203
Regions Financial Corp.		28,135		482,797
Signature Bank		1,428		195,079
State Street Corp.		57,421		4,542,001
SVB Financial Group (a)		1,500		376,560
US Bancorp		45,354		2,689,039
Wells Fargo & Co.		240,984		12,964,939
Western Alliance Bancorp		3,000		171,000
Zions Bancorp NA		4,908		254,823
				72,407,427
Diversified Financial Services — 3.5%
Ally Financial, Inc.		11,098		339,155
American Express Co.		23,832		2,966,846
Ameriprise Financial, Inc.		4,141		689,808
BlackRock, Inc.		3,945		1,983,151
Capital One Financial Corp.		13,485		1,387,741
The Charles Schwab Corp.		31,122		1,480,162
Credit Acceptance Corp. (a) (b)		551		243,724
Discover Financial Services		9,400		797,308
Eaton Vance Corp.		3,300		154,077
Franklin Resources, Inc.		12,726		330,621
LPL Financial Holdings, Inc.		2,385		220,016
OneMain Holdings, Inc.		4,000		168,600
Raymond James Financial, Inc.		4,084		365,355
Santander Consumer USA Holdings, Inc.		9,858		230,381
SEI Investments Co.		3,699		242,211
Synchrony Financial		18,802		677,060
T. Rowe Price Group, Inc.		6,775		825,466
The Western Union Co. (b)		11,575		309,979
				13,411,661
Insurance — 7.4%
Aflac, Inc.		21,286		1,126,029
Alleghany Corp. (a)		451		360,606
The Allstate Corp.		9,439		1,061,416
American Financial Group, Inc.		4,221		462,833
American International Group, Inc.		97,050		4,981,576
Arch Capital Group Ltd. (a)		11,830		507,389
Assurant, Inc.		1,800		235,944
Athene Holding Ltd. Class A (a)		4,125		193,999
Chubb Ltd.		43,415		6,757,979
Cincinnati Financial Corp.		4,141		435,426
Equitable Holdings, Inc.		13,500		334,530
Everest Re Group Ltd.		1,093		302,586
Fidelity National Financial, Inc.		5,565		252,373
Globe Life, Inc.		6,683		703,386
The Hanover Insurance Group, Inc.		1,000		136,670
The Hartford Financial Services Group, Inc.		8,768		532,831
Lincoln National Corp.		5,204		307,088
Loews Corp.		8,691		456,191
Markel Corp. (a)		446		509,854
MetLife, Inc.		60,729		3,095,357
Old Republic International Corp.		6,200		138,694
Principal Financial Group, Inc.		8,077		444,235
The Progressive Corp.		11,916		862,599
Prudential Financial, Inc.		11,737		1,100,226
Reinsurance Group of America, Inc.		1,859		303,128
The Travelers Cos., Inc.		15,461		2,117,384
Voya Financial, Inc.		4,357		265,690
W.R. Berkley Corp.		4,582		316,616
				28,302,635
Real Estate — 0.2%
CBRE Group, Inc. Class A (a)		9,776		599,171
The Howard Hughes Corp. (a)		361		45,775
				644,946
Real Estate Investment Trusts (REITS) — 0.6%
SL Green Realty Corp.		24,436		2,245,180
Savings & Loans — 0.0%
New York Community Bancorp, Inc.		13,591		163,364
				117,175,213
Industrial — 10.6%
Aerospace & Defense — 3.9%
The Boeing Co.		12,308		4,009,454
General Dynamics Corp.		8,448		1,489,805
L3 Harris Technologies, Inc.		17,050		3,373,683
Lockheed Martin Corp.		8,222		3,201,482
Northrop Grumman Corp.		4,905		1,687,173
Raytheon Co.		6,332		1,391,394
				15,152,991
Building Materials — 0.7%
Fortune Brands Home & Security, Inc.		4,084		266,849
Johnson Controls International PLC		44,675		1,818,719
Masco Corp.		8,238		395,342
Owens Corning		3,217		209,491
				2,690,401
Electrical Components & Equipment — 0.4%
Acuity Brands, Inc.		1,147		158,286
Emerson Electric Co.		15,498		1,181,877
Hubbell, Inc.		1,608		237,695
				1,577,858
Electronics — 0.2%
Arrow Electronics, Inc. (a)		2,356		199,647
Gentex Corp.		6,893		199,759
Sensata Technologies Holding PLC (a)		4,625		249,149
				648,555
Engineering & Construction — 0.0%
AECOM (a)		4,287		184,898

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

60

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

	Number of Shares		Value
Environmental Controls — 0.1%
Pentair PLC		4,251	$	194,993
Hand & Machine Tools — 0.3%
Lincoln Electric Holdings, Inc.		1,600		154,768
Snap-on, Inc.		1,589		269,177
Stanley Black & Decker, Inc.		4,154		688,484
				1,112,429
Machinery – Construction & Mining — 0.7%
Caterpillar, Inc.		16,060		2,371,741
Oshkosh Corp.		1,969		186,366
				2,558,107
Machinery – Diversified — 0.6%
AGCO Corp.		2,250		173,813
Crane Co.		1,038		89,662
Deere & Co.		9,170		1,588,794
Dover Corp.		3,703		426,808
				2,279,077
Miscellaneous – Manufacturing — 1.4%
A.O. Smith Corp.		3,000		142,920
Eaton Corp. PLC		12,079		1,144,123
General Electric Co.		316,236		3,529,194
Parker-Hannifin Corp.		3,813		784,791
				5,601,028
Packaging & Containers — 0.2%
Crown Holdings, Inc. (a)		4,000		290,160
Packaging Corp. of America		2,756		308,644
Sonoco Products Co.		2,336		144,178
				742,982
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc.		1,193		299,300
Transportation — 2.0%
C.H. Robinson Worldwide, Inc.		3,793		296,613
CSX Corp.		22,600		1,635,336
Knight-Swift Transportation Holdings, Inc.		4,896		175,473
United Parcel Service, Inc. Class B		47,176		5,522,422
				7,629,844
				40,672,463
Technology — 10.0%
Computers — 1.4%
Cognizant Technology Solutions Corp. Class A		14,070		872,621
Hewlett Packard Enterprise Co.		37,528		595,194
International Business Machines Corp.		24,176		3,240,551
Leidos Holdings, Inc.		3,674		359,648
NetApp, Inc.		6,500		404,625
				5,472,639
Office & Business Equipment — 0.1%
Xerox Holdings Corp.		5,531		203,928
Semiconductors — 5.8%
Applied Materials, Inc.		23,158		1,413,564
Broadcom, Inc.		11,500		3,634,230
Intel Corp.		126,287		7,558,277
Lam Research Corp.		3,509		1,026,032
Micron Technology, Inc. (a)		31,800		1,710,204
ON Semiconductor Corp. (a)		11,925		290,732
Qorvo, Inc. (a)		3,303		383,908
QUALCOMM, Inc.		63,041		5,562,107
Skyworks Solutions, Inc.		4,905		592,916
				22,171,970
Software — 2.7%
CDK Global, Inc.		3,132		171,258
Electronic Arts, Inc. (a)		8,500		913,835
Microsoft Corp.		26,104		4,116,601
Oracle Corp.		94,828		5,023,987
				10,225,681
				38,074,218
Utilities — 3.3%
Electric — 3.3%
AES Corp.		13,115		260,989
American Electric Power Co., Inc.		11,736		1,109,169
Edison International		34,145		2,574,874
Evergy, Inc.		6,600		429,594
Eversource Energy		7,134		606,889
NRG Energy, Inc.		7,200		286,200
OGE Energy Corp.		4,105		182,549
Pinnacle West Capital Corp.		2,778		249,826
Public Service Enterprise Group, Inc.		14,693		867,622
The Southern Co.		79,578		5,069,119
Vistra Energy Corp.		14,000		321,860
WEC Energy Group, Inc.		7,631		703,807
				12,662,498
TOTAL COMMON STOCK (Cost $329,539,609)				370,867,370
PREFERRED STOCK — 1.4%
Consumer, Non-cyclical — 0.3%
Pharmaceuticals — 0.3%
Becton Dickinson and Co. Convertible 6.125%		20,457		1,339,115
Utilities — 1.1%
Electric — 1.1%
Sempra Energy Convertible 6.000%		25,592		3,071,552
Sempra Energy Convertible 6.750%		2,159		257,072

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
The Southern Co. Convertible 6.750%		15,436	$	832,000
				4,160,624
TOTAL PREFERRED STOCK (Cost $4,797,311)				5,499,739
TOTAL EQUITIES (Cost $334,336,920)				376,367,109
MUTUAL FUNDS — 1.5%
Diversified Financial Services — 1.5%
iShares Russell 1000 Value ETF		42,025		5,735,572
TOTAL MUTUAL FUNDS (Cost $5,730,486)				5,735,572
TOTAL LONG-TERM INVESTMENTS (Cost $340,067,406)				382,102,681
SHORT-TERM INVESTMENTS — 1.4%
Mutual Fund — 0.0%
T. Rowe Price Government Reserve Investment Fund		104		104

	Principal Amount
Repurchase Agreement — 1.4%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (c)	$	5,247,710		5,247,710
TOTAL SHORT-TERM INVESTMENTS (Cost $5,247,814)				5,247,814
TOTAL INVESTMENTS — 101.2% (Cost $345,315,220) (d)				387,350,495
Other Assets/(Liabilities) — (1.2)%				(4,635,260	)
NET ASSETS — 100.0%			$	382,715,235

Abbreviation Legend

ETF Exchange-Traded Fund

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $783,706 or 0.20% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $799,062 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(c) Maturity value of $5,247,943. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $5,357,672.

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

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

62

MassMutual Select Fundamental Value Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.7%
COMMON STOCK — 99.7%
Basic Materials — 4.5%
Chemicals — 3.8%
Air Products & Chemicals, Inc.		15,692	$	3,687,462
DuPont de Nemours, Inc.		149,626		9,605,989
Element Solutions, Inc. (a)		187,338		2,188,108
FMC Corp.		20,599		2,056,192
Linde PLC		29,848		6,354,639
The Mosaic Co.		104,809		2,268,067
				26,160,457
Mining — 0.7%
Barrick Gold Corp.		284,479		5,288,465
				31,448,922
Communications — 8.3%
Internet — 2.1%
Alphabet, Inc. Class A (a)		5,742		7,690,777
Booking Holdings, Inc. (a)		738		1,515,653
eBay, Inc.		73,227		2,644,227
NortonLifeLock, Inc.		99,549		2,540,491
				14,391,148
Media — 3.5%
Altice USA, Inc. Class A (a)		53,927		1,474,364
Comcast Corp. Class A		361,947		16,276,757
Discovery, Inc. Class A (a) (b)		52,328		1,713,219
Fox Corp. Class A		123,451		4,576,328
				24,040,668
Telecommunications — 2.7%
AT&T, Inc.		139,095		5,435,833
Verizon Communications, Inc.		218,526		13,417,496
				18,853,329
				57,285,145
Consumer, Cyclical — 8.6%
Airlines — 0.4%
Southwest Airlines Co.		47,999		2,590,986
Apparel — 0.2%
PVH Corp.		14,176		1,490,606
Entertainment — 0.4%
SeaWorld Entertainment, Inc. (a)		94,582		2,999,195
Food Services — 0.5%
Aramark		72,610		3,151,274
Home Builders — 1.0%
Lennar Corp. Class A		96,016		5,356,733
Toll Brothers, Inc.		39,057		1,543,142
				6,899,875
Home Furnishing — 0.6%
Whirlpool Corp.		29,008		4,279,550
Leisure Time — 0.8%
Norwegian Cruise Line Holdings Ltd. (a)		47,535		2,776,519
Royal Caribbean Cruises Ltd.		22,713		3,032,413
				5,808,932
Lodging — 1.3%
Las Vegas Sands Corp.		60,683		4,189,554
MGM Resorts International		93,608		3,114,338
Wyndham Destinations, Inc.		26,665		1,378,314
				8,682,206
Retail — 3.1%
Advance Auto Parts, Inc.		18,977		3,039,356
AutoZone, Inc. (a)		4,408		5,251,295
Best Buy Co., Inc.		27,523		2,416,519
Dollar General Corp.		22,709		3,542,150
Lowe’s Cos., Inc.		62,288		7,459,611
				21,708,931
Textiles — 0.3%
Mohawk Industries, Inc. (a)		15,207		2,073,931
				59,685,486
Consumer, Non-cyclical — 18.7%
Beverages — 0.9%
Coca-Cola European Partners PLC		48,449		2,465,085
Molson Coors Brewing Co. Class B		65,592		3,535,409
				6,000,494
Biotechnology — 1.7%
Biogen, Inc. (a)		10,102		2,997,566
Corteva, Inc. (a)		296,666		8,769,447
				11,767,013
Commercial Services — 0.2%
Nielsen Holdings PLC		50,353		1,022,166
Cosmetics & Personal Care — 1.3%
The Procter & Gamble Co.		70,834		8,847,167
Foods — 0.6%
Mondelez International, Inc. Class A		47,199		2,599,721
Tyson Foods, Inc. Class A		17,516		1,594,657
				4,194,378
Health Care – Products — 3.0%
Envista Holdings Corp. (a)		48,229		1,429,507
Medtronic PLC		139,387		15,813,455
Zimmer Biomet Holdings, Inc.		23,401		3,502,662
				20,745,624
Health Care – Services — 4.5%
Anthem, Inc.		27,981		8,451,101
Humana, Inc.		8,122		2,976,876
Quest Diagnostics, Inc.		21,763		2,324,071
UnitedHealth Group, Inc.		50,137		14,739,275

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

63

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

	Number of Shares		Value
Universal Health Services, Inc. Class B		19,690	$	2,824,727
				31,316,050
Pharmaceuticals — 6.5%
Cigna Corp.		59,041		12,073,294
CVS Health Corp.		174,901		12,993,395
GlaxoSmithKline PLC Sponsored ADR		75,951		3,568,937
Johnson & Johnson		30,764		4,487,545
McKesson Corp.		26,650		3,686,228
Novo Nordisk A/S Sponsored ADR		22,936		1,327,536
Pfizer, Inc.		181,998		7,130,682
				45,267,617
				129,160,509
Energy — 10.5%
Oil & Gas — 10.1%
BP PLC Sponsored ADR		88,747		3,349,312
Chevron Corp.		19,093		2,300,897
Cimarex Energy Co.		54,662		2,869,208
ConocoPhillips		105,537		6,863,071
EOG Resources, Inc.		71,924		6,024,354
Hess Corp.		87,357		5,836,321
Kosmos Energy Ltd.		547,538		3,120,967
Marathon Petroleum Corp.		115,171		6,939,053
Noble Energy, Inc.		151,346		3,759,435
Parsley Energy, Inc. Class A		106,808		2,019,739
Phillips 66		69,240		7,714,028
Total SA Sponsored ADR		96,035		5,310,736
Valero Energy Corp.		145,706		13,645,367
				69,752,488
Oil & Gas Services — 0.4%
Schlumberger Ltd.		76,247		3,065,130
				72,817,618
Financial — 26.2%
Banks — 12.4%
Bank of America Corp.		444,826		15,666,772
The Bank of New York Mellon Corp.		50,730		2,553,241
Citigroup, Inc.		115,802		9,251,422
ING Groep NV		216,596		2,609,982
JP Morgan Chase & Co.		142,987		19,932,388
Northern Trust Corp.		68,440		7,271,065
Truist Financial Corp.		51,840		2,919,629
US Bancorp		136,911		8,117,453
Wells Fargo & Co.		328,965		17,698,317
				86,020,269
Diversified Financial Services — 1.9%
American Express Co.		50,491		6,285,624
Discover Financial Services		24,985		2,119,228
E*TRADE Financial Corp.		43,420		1,969,965
Navient Corp.		66,700		912,456
SLM Corp.		199,380		1,776,476
				13,063,749
Insurance — 8.0%
American International Group, Inc.		159,699		8,197,350
Aon PLC		5,845		1,217,455
Berkshire Hathaway, Inc. Class B (a)		83,043		18,809,239
Chubb Ltd.		98,124		15,273,982
Everest Re Group Ltd.		12,700		3,515,868
Fidelity National Financial, Inc.		38,529		1,747,290
The Travelers Cos., Inc.		24,042		3,292,552
Willis Towers Watson PLC		16,514		3,334,837
				55,388,573
Real Estate Investment Trusts (REITS) — 2.8%
Equity Residential		26,472		2,142,114
Healthpeak Properties, Inc.		187,534		6,464,297
Liberty Property Trust		43,862		2,633,913
MGM Growth Properties LLC Class A (b)		105,004		3,251,974
Simon Property Group, Inc.		33,602		5,005,354
				19,497,652
Savings & Loans — 1.1%
New York Community Bancorp, Inc.		636,027		7,645,045
				181,615,288
Industrial — 11.3%
Aerospace & Defense — 2.9%
General Dynamics Corp.		17,287		3,048,562
Spirit AeroSystems Holdings, Inc. Class A		36,077		2,629,292
United Technologies Corp.		97,381		14,583,779
				20,261,633
Building Materials — 1.2%
CRH PLC Sponsored ADR		93,020		3,751,497
Owens Corning		70,819		4,611,733
				8,363,230
Engineering & Construction — 0.4%
Jacobs Engineering Group, Inc.		32,093		2,882,914
Hand & Machine Tools — 1.0%
Stanley Black & Decker, Inc.		39,958		6,622,639
Machinery – Diversified — 1.7%
Deere & Co.		13,470		2,333,812
Dover Corp.		32,288		3,721,515
Westinghouse Air Brake Technologies Corp. (b)		71,379		5,553,286
				11,608,613
Miscellaneous – Manufacturing — 1.7%
Eaton Corp. PLC		29,410		2,785,715

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

64

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

	Number of Shares		Value
General Electric Co.		839,558	$	9,369,468
				12,155,183
Transportation — 2.4%
C.H. Robinson Worldwide, Inc.		19,500		1,524,900
J.B. Hunt Transport Services, Inc.		16,869		1,969,962
Kansas City Southern		28,773		4,406,872
Union Pacific Corp.		16,063		2,904,030
United Parcel Service, Inc. Class B		48,903		5,724,585
				16,530,349
				78,424,561
Technology — 7.0%
Semiconductors — 4.7%
Broadcom, Inc.		10,011		3,163,676
KLA Corp.		18,145		3,232,895
Lam Research Corp.		11,237		3,285,699
Marvell Technology Group Ltd.		123,703		3,285,552
Microchip Technology, Inc.		24,622		2,578,416
Micron Technology, Inc. (a)		81,815		4,400,011
NXP Semiconductor NV		34,417		4,379,907
QUALCOMM, Inc.		60,733		5,358,472
Texas Instruments, Inc.		22,984		2,948,617
				32,633,245
Software — 2.3%
Microsoft Corp.		31,596		4,982,689
Oracle Corp.		203,555		10,784,344
				15,767,033
				48,400,278
Utilities — 4.6%
Electric — 4.6%
Dominion Energy, Inc.		101,035		8,367,719
Edison International		128,862		9,717,483
Entergy Corp.		44,396		5,318,641
Exelon Corp.		191,596		8,734,861
				32,138,704
TOTAL COMMON STOCK (Cost $604,834,646)				690,976,511
TOTAL EQUITIES (Cost $604,834,646)				690,976,511
MUTUAL FUNDS — 0.1%
Diversified Financial Services — 0.1%
State Street Navigator Securities Lending Prime Portfolio (c)		687,990		687,990
TOTAL MUTUAL FUNDS (Cost $687,990)				687,990
TOTAL LONG-TERM INVESTMENTS (Cost $605,522,636)				691,664,501

	Principal Amount
SHORT-TERM INVESTMENTS — 1.2%
Repurchase Agreement — 1.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	8,215,670		8,215,670
TOTAL SHORT-TERM INVESTMENTS (Cost $8,215,670)				8,215,670
TOTAL INVESTMENTS — 101.0% (Cost $613,738,306) (e)				699,880,171
Other Assets/(Liabilities) — (1.0)%				(7,090,735	)
NET ASSETS — 100.0%			$	692,789,436

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, 2019, was $3,461,572 or 0.50% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $2,837,179 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

(d) Maturity value of $8,216,035. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $8,386,145.

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

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

65

MM S&P 500 Index Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.2%
COMMON STOCK — 100.2%
Basic Materials — 2.1%
Chemicals — 1.8%
Air Products & Chemicals, Inc.		28,964	$	6,806,250
Albemarle Corp. (a)		14,094		1,029,426
Celanese Corp.		15,816		1,947,266
CF Industries Holdings, Inc.		28,521		1,361,593
Dow, Inc.		97,211		5,320,358
DuPont de Nemours, Inc.		98,238		6,306,880
Eastman Chemical Co.		17,552		1,391,171
Ecolab, Inc.		32,984		6,365,582
FMC Corp.		17,254		1,722,294
International Flavors & Fragrances, Inc. (a)		14,222		1,834,922
Linde PLC		70,701		15,052,243
LyondellBasell Industries NV Class A		33,629		3,177,268
The Mosaic Co.		46,340		1,002,798
PPG Industries, Inc.		31,106		4,152,340
The Sherwin-Williams Co.		10,806		6,305,733
				63,776,124
Forest Products & Paper — 0.1%
International Paper Co.		50,912		2,344,498
Iron & Steel — 0.1%
Nucor Corp.		39,376		2,216,081
Mining — 0.1%
Freeport-McMoRan, Inc.		191,396		2,511,115
Newmont Goldcorp Corp.		108,357		4,708,112
				7,219,227
				75,555,930
Communications — 14.7%
Advertising — 0.1%
The Interpublic Group of Cos., Inc.		51,004		1,178,192
Omnicom Group, Inc.		28,976		2,347,636
				3,525,828
Internet — 9.1%
Alphabet, Inc. Class A (b)		39,491		52,893,850
Alphabet, Inc. Class C (b)		39,394		52,670,566
Amazon.com, Inc. (b)		54,885		101,418,698
Booking Holdings, Inc. (b)		5,515		11,326,321
CDW Corp.		18,775		2,681,821
eBay, Inc.		100,735		3,637,541
Expedia Group, Inc.		18,593		2,010,647
F5 Networks, Inc. (b)		8,229		1,149,180
Facebook, Inc. Class A (b)		317,180		65,101,195
Netflix, Inc. (b)		57,759		18,689,080
NortonLifeLock, Inc.		75,672		1,931,149
Twitter, Inc. (b)		101,266		3,245,575
VeriSign, Inc. (b)		13,567		2,614,090
				319,369,713
Media — 2.3%
Charter Communications, Inc. Class A (b)		20,654		10,018,842
Comcast Corp. Class A		598,030		26,893,409
Discovery, Inc. Class A (a) (b)		21,827		714,616
Discovery, Inc. Class C (b)		43,853		1,337,078
DISH Network Corp. Class A (b)		33,749		1,197,077
Fox Corp. Class A		46,493		1,723,496
Fox Corp. Class B		22,068		803,275
News Corp. Class A		49,069		693,836
News Corp. Class B		16,975		246,307
ViacomCBS, Inc. Class B		71,763		3,011,893
The Walt Disney Co.		237,490		34,348,179
				80,988,008
Telecommunications — 3.2%
Arista Networks, Inc. (b)		7,071		1,438,242
AT&T, Inc.		962,874		37,629,116
CenturyLink, Inc.		129,298		1,708,027
Cisco Systems, Inc.		558,894		26,804,556
Corning, Inc.		101,449		2,953,180
Juniper Networks, Inc.		43,618		1,074,311
Motorola Solutions, Inc.		22,556		3,634,674
T-Mobile US, Inc. (b)		41,621		3,263,919
Verizon Communications, Inc.		545,020		33,464,228
				111,970,253
				515,853,802
Consumer, Cyclical — 8.4%
Airlines — 0.4%
Alaska Air Group, Inc.		16,307		1,104,799
American Airlines Group, Inc. (a)		52,207		1,497,297
Delta Air Lines, Inc.		75,998		4,444,363
Southwest Airlines Co.		62,307		3,363,332
United Airlines Holdings, Inc. (b)		28,642		2,523,074
				12,932,865
Apparel — 0.7%
Capri Holdings Ltd. (b)		19,530		745,070
Hanesbrands, Inc.		46,618		692,277
NIKE, Inc. Class B		164,399		16,655,263
PVH Corp.		9,539		1,003,026
Ralph Lauren Corp.		6,502		762,164
Tapestry, Inc.		36,345		980,225
Under Armour, Inc. Class A (a) (b)		26,011		561,838
Under Armour, Inc. Class C (b)		26,502		508,308
VF Corp.		43,302		4,315,477
				26,223,648
Auto Manufacturers — 0.5%
Cummins, Inc.		20,159		3,607,655

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

66

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

	Number of Shares		Value
Ford Motor Co.		510,754	$	4,750,012
General Motors Co.		165,564		6,059,642
PACCAR, Inc.		45,698		3,614,712
				18,032,021
Auto Parts & Equipment — 0.1%
Aptiv PLC		33,775		3,207,611
BorgWarner, Inc.		27,939		1,211,994
				4,419,605
Distribution & Wholesale — 0.3%
Copart, Inc. (b)		27,124		2,466,657
Fastenal Co.		76,131		2,813,040
LKQ Corp. (b)		41,050		1,465,485
W.W. Grainger, Inc.		5,720		1,936,334
				8,681,516
Entertainment — 0.0%
Live Nation Entertainment, Inc. (b)		18,561		1,326,555
Home Builders — 0.2%
D.R. Horton, Inc.		43,802		2,310,556
Lennar Corp. Class A		36,842		2,055,415
NVR, Inc. (b)		457		1,740,443
PulteGroup, Inc.		34,460		1,337,048
				7,443,462
Home Furnishing — 0.1%
Leggett & Platt, Inc.		16,797		853,792
Whirlpool Corp.		8,521		1,257,103
				2,110,895
Housewares — 0.0%
Newell Brands, Inc.		49,458		950,583
Leisure Time — 0.2%
Carnival Corp.		53,175		2,702,885
Harley-Davidson, Inc.		19,733		733,870
Norwegian Cruise Line Holdings Ltd. (b)		27,433		1,602,362
Royal Caribbean Cruises Ltd.		22,784		3,041,892
				8,081,009
Lodging — 0.5%
Hilton Worldwide Holdings, Inc.		37,018		4,105,666
Las Vegas Sands Corp.		44,733		3,088,366
Marriott International, Inc. Class A		35,768		5,416,348
MGM Resorts International		67,876		2,258,235
Wynn Resorts Ltd.		12,827		1,781,286
				16,649,901
Retail — 5.3%
Advance Auto Parts, Inc.		9,091		1,456,015
AutoZone, Inc. (b)		3,140		3,740,713
Best Buy Co., Inc.		30,210		2,652,438
CarMax, Inc. (b)		21,538		1,888,236
Chipotle Mexican Grill, Inc. (b)		3,401		2,847,011
Costco Wholesale Corp.		58,238		17,117,313
Darden Restaurants, Inc.		16,204		1,766,398
Dollar General Corp.		33,462		5,219,403
Dollar Tree, Inc. (b)		30,974		2,913,105
The Gap, Inc.		28,107		496,932
Genuine Parts Co.		19,157		2,035,048
The Home Depot, Inc.		143,927		31,430,778
Kohl’s Corp.		19,938		1,015,841
L Brands, Inc.		31,131		564,094
Lowe’s Cos., Inc.		100,760		12,067,018
Macy’s, Inc. (a)		41,024		697,408
McDonald’s Corp.		99,166		19,596,193
Nordstrom, Inc. (a)		14,650		599,624
O’Reilly Automotive, Inc. (b)		9,998		4,381,723
Ross Stores, Inc.		47,676		5,550,440
Starbucks Corp.		155,531		13,674,286
Target Corp.		66,741		8,556,864
Tiffany & Co.		14,174		1,894,355
The TJX Cos., Inc.		159,788		9,756,655
Tractor Supply Co.		15,650		1,462,336
Ulta Salon Cosmetics & Fragrance, Inc. (b)		7,535		1,907,410
Walgreens Boots Alliance, Inc.		98,604		5,813,692
Walmart, Inc.		187,110		22,236,152
Yum! Brands, Inc.		39,914		4,020,537
				187,358,018
Textiles — 0.0%
Mohawk Industries, Inc. (b)		8,081		1,102,087
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		16,554		1,748,268
				297,060,433
Consumer, Non-cyclical — 22.0%
Agriculture — 0.9%
Altria Group, Inc.		246,540		12,304,811
Archer-Daniels-Midland Co.		73,010		3,384,014
Philip Morris International, Inc.		205,301		17,469,062
				33,157,887
Beverages — 1.8%
Brown-Forman Corp. Class B		24,222		1,637,407
The Coca-Cola Co.		508,032		28,119,571
Constellation Brands, Inc. Class A		22,016		4,177,536
Molson Coors Brewing Co. Class B		24,789		1,336,127
Monster Beverage Corp. (b)		49,742		3,161,104
PepsiCo, Inc.		183,956		25,141,267
				63,573,012
Biotechnology — 1.8%
Alexion Pharmaceuticals, Inc. (b)		29,045		3,141,217
Amgen, Inc.		78,258		18,865,656
Biogen, Inc. (b)		23,758		7,049,711
Corteva, Inc.		98,167		2,901,817
Gilead Sciences, Inc.		167,243		10,867,450
Illumina, Inc. (b)		19,286		6,397,938

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

67

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

	Number of Shares		Value
Incyte Corp. (b)		23,676	$	2,067,388
Regeneron Pharmaceuticals, Inc. (b)		10,490		3,938,785
Vertex Pharmaceuticals, Inc. (b)		33,958		7,435,104
				62,665,066
Commercial Services — 2.1%
Automatic Data Processing, Inc.		57,212		9,754,646
Cintas Corp.		10,940		2,943,735
Equifax, Inc.		15,909		2,229,169
FleetCor Technologies, Inc. (b)		11,500		3,308,780
Gartner, Inc. (b)		11,932		1,838,721
Global Payments, Inc.		39,492		7,209,660
H&R Block, Inc. (a)		27,085		635,956
IHS Markit Ltd. (b)		53,311		4,016,984
MarketAxess Holdings, Inc.		4,957		1,879,248
Moody’s Corp.		21,318		5,061,107
Nielsen Holdings PLC		45,401		921,640
PayPal Holdings, Inc. (b)		154,648		16,728,274
Quanta Services, Inc.		18,985		772,879
Robert Half International, Inc.		15,302		966,321
Rollins, Inc.		18,148		601,788
S&P Global, Inc.		32,235		8,801,767
United Rentals, Inc. (b)		9,761		1,627,842
Verisk Analytics, Inc.		21,538		3,216,485
				72,515,002
Cosmetics & Personal Care — 1.6%
Colgate-Palmolive Co.		113,402		7,806,594
Coty, Inc. Class A		41,277		464,366
The Estee Lauder Cos., Inc. Class A		29,136		6,017,750
The Procter & Gamble Co.		328,599		41,042,015
				55,330,725
Foods — 1.3%
Campbell Soup Co.		22,515		1,112,691
Conagra Brands, Inc.		63,653		2,179,479
General Mills, Inc.		79,555		4,260,966
The Hershey Co.		19,461		2,860,378
Hormel Foods Corp. (a)		36,305		1,637,718
The J.M. Smucker Co.		15,221		1,584,963
Kellogg Co.		32,605		2,254,962
The Kraft Heinz Co.		82,395		2,647,351
The Kroger Co.		105,367		3,054,589
Lamb Weston Holdings, Inc.		19,018		1,636,118
McCormick & Co., Inc.		16,168		2,744,195
Mondelez International, Inc. Class A		189,486		10,436,889
Sysco Corp.		67,570		5,779,938
Tyson Foods, Inc. Class A		39,030		3,553,291
				45,743,528
Health Care – Products — 3.8%
Abbott Laboratories		232,878		20,227,783
ABIOMED, Inc. (b)		6,110		1,042,305
Baxter International, Inc.		67,189		5,618,344
Boston Scientific Corp. (b)		183,269		8,287,424
The Cooper Cos., Inc.		6,618		2,126,297
Danaher Corp.		84,388		12,951,870
Dentsply Sirona, Inc.		29,453		1,666,745
Edwards Lifesciences Corp. (b)		27,386		6,388,880
Henry Schein, Inc. (b)		19,741		1,317,120
Hologic, Inc. (b)		35,186		1,837,061
IDEXX Laboratories, Inc. (b)		11,304		2,951,814
Intuitive Surgical, Inc. (b)		15,233		9,004,988
Medtronic PLC		176,588		20,033,909
ResMed, Inc.		18,888		2,927,073
Steris PLC		11,180		1,704,056
Stryker Corp.		42,425		8,906,704
Teleflex, Inc.		6,066		2,283,485
Thermo Fisher Scientific, Inc.		52,841		17,166,456
Varian Medical Systems, Inc. (b)		12,137		1,723,575
Zimmer Biomet Holdings, Inc.		27,162		4,065,608
				132,231,497
Health Care – Services — 2.1%
Anthem, Inc.		33,300		10,057,599
Centene Corp. (b)		54,038		3,397,369
DaVita, Inc. (b)		11,935		895,483
HCA Healthcare, Inc.		34,811		5,145,414
Humana, Inc.		17,483		6,407,869
IQVIA Holdings, Inc. (b)		23,799		3,677,184
Laboratory Corp. of America Holdings (b)		12,712		2,150,489
Quest Diagnostics, Inc.		17,744		1,894,882
UnitedHealth Group, Inc.		124,909		36,720,748
Universal Health Services, Inc. Class B		10,700		1,535,022
WellCare Health Plans, Inc. (b)		6,659		2,198,868
				74,080,927
Healthcare – Products — 0.1%
Align Technology, Inc. (b)		9,440		2,634,138
Household Products & Wares — 0.3%
Avery Dennison Corp.		11,119		1,454,588
Church & Dwight Co., Inc.		32,228		2,266,917
The Clorox Co.		16,542		2,539,859
Kimberly-Clark Corp.		45,113		6,205,293
				12,466,657
Pharmaceuticals — 6.2%
AbbVie, Inc.		195,005		17,265,743
Allergan PLC		43,257		8,269,441
AmerisourceBergen Corp.		19,751		1,679,230
Becton Dickinson and Co.		35,664		9,699,538
Bristol-Myers Squibb Co.		309,288		19,853,197
Cardinal Health, Inc.		38,146		1,929,425
Cigna Corp.		49,064		10,033,097
CVS Health Corp.		171,731		12,757,896
Eli Lilly & Co.		111,615		14,669,559
Johnson & Johnson		346,958		50,610,763

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

68

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

	Number of Shares		Value
McKesson Corp.		23,600	$	3,264,352
Merck & Co., Inc.		335,787		30,539,827
Mylan NV (b)		66,647		1,339,605
Perrigo Co. PLC		18,331		946,979
Pfizer, Inc.		728,860		28,556,735
Zoetis, Inc.		63,022		8,340,962
				219,756,349
				774,154,788
Energy — 4.4%
Oil & Gas — 3.6%
Apache Corp.		49,361		1,263,148
Cabot Oil & Gas Corp.		54,116		942,160
Chevron Corp.		249,212		30,032,538
Cimarex Energy Co.		13,905		729,874
Concho Resources, Inc.		26,341		2,306,681
ConocoPhillips		144,116		9,371,864
Devon Energy Corp.		50,488		1,311,173
Diamondback Energy, Inc.		21,572		2,003,176
EOG Resources, Inc.		76,753		6,428,831
Exxon Mobil Corp.		557,676		38,914,631
Helmerich & Payne, Inc.		13,654		620,301
Hess Corp.		34,263		2,289,111
HollyFrontier Corp.		19,388		983,166
Marathon Oil Corp.		106,289		1,443,405
Marathon Petroleum Corp.		85,792		5,168,968
Noble Energy, Inc.		62,263		1,546,613
Occidental Petroleum Corp.		118,196		4,870,857
Phillips 66		58,540		6,521,941
Pioneer Natural Resources Co.		21,646		3,276,555
Valero Energy Corp.		53,891		5,046,892
				125,071,885
Oil & Gas Services — 0.4%
Baker Hughes Co.		86,322		2,212,433
Halliburton Co.		116,461		2,849,801
National Oilwell Varco, Inc.		51,707		1,295,260
Schlumberger Ltd.		182,014		7,316,963
TechnipFMC PLC		56,076		1,202,269
				14,876,726
Pipelines — 0.4%
Kinder Morgan, Inc.		256,685		5,434,022
ONEOK, Inc.		54,570		4,129,312
The Williams Cos., Inc.		158,981		3,771,029
				13,334,363
				153,282,974
Financial — 17.6%
Banks — 6.5%
Bank of America Corp.		1,066,783		37,572,097
The Bank of New York Mellon Corp.		110,514		5,562,170
Citigroup, Inc.		287,717		22,985,711
Citizens Financial Group, Inc.		57,125		2,319,846
Comerica, Inc.		18,921		1,357,582
Fifth Third Bancorp		93,638		2,878,432
First Republic Bank		22,167		2,603,514
The Goldman Sachs Group, Inc.		41,990		9,654,761
Huntington Bancshares, Inc.		135,423		2,042,179
JP Morgan Chase & Co.		413,264		57,609,002
KeyCorp		130,726		2,645,894
M&T Bank Corp.		17,512		2,972,662
Morgan Stanley		162,067		8,284,865
Northern Trust Corp.		27,576		2,929,674
The PNC Financial Services Group, Inc.		57,697		9,210,172
Regions Financial Corp.		127,465		2,187,299
State Street Corp.		47,927		3,791,026
SVB Financial Group (b)		6,880		1,727,155
Truist Financial Corp.		177,238		9,982,044
US Bancorp		187,110		11,093,752
Wells Fargo & Co.		507,077		27,280,743
Zions Bancorp NA		22,162		1,150,651
				227,841,231
Diversified Financial Services — 4.2%
Alliance Data Systems Corp.		5,293		593,875
American Express Co.		88,468		11,013,381
Ameriprise Financial, Inc.		16,717		2,784,718
BlackRock, Inc.		15,466		7,774,758
Capital One Financial Corp.		61,401		6,318,777
Cboe Global Markets, Inc.		14,526		1,743,120
The Charles Schwab Corp.		150,672		7,165,960
CME Group, Inc.		47,378		9,509,712
Discover Financial Services		41,507		3,520,624
E*TRADE Financial Corp.		29,814		1,352,661
Franklin Resources, Inc.		36,412		945,984
Intercontinental Exchange, Inc.		73,509		6,803,258
Invesco Ltd.		50,786		913,132
Mastercard, Inc. Class A		116,994		34,933,238
Nasdaq, Inc.		15,037		1,610,463
Raymond James Financial, Inc.		16,609		1,485,841
Synchrony Financial		77,514		2,791,279
T. Rowe Price Group, Inc.		30,622		3,730,985
Visa, Inc. Class A		225,573		42,385,167
The Western Union Co. (a)		54,717		1,465,321
				148,842,254
Insurance — 4.0%
Aflac, Inc.		97,198		5,141,774
The Allstate Corp.		42,421		4,770,241
American International Group, Inc.		114,843		5,894,891
Aon PLC		30,728		6,400,335
Arthur J Gallagher & Co.		24,659		2,348,277
Assurant, Inc.		7,927		1,039,071
Berkshire Hathaway, Inc. Class B (b)		257,866		58,406,649

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

69

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

	Number of Shares		Value
Chubb Ltd.		59,815	$	9,310,803
Cincinnati Financial Corp.		20,218		2,125,923
Everest Re Group Ltd.		5,432		1,503,795
Globe Life, Inc.		13,294		1,399,194
The Hartford Financial Services Group, Inc.		47,541		2,889,067
Lincoln National Corp.		26,363		1,555,681
Loews Corp.		33,495		1,758,153
Marsh & McLennan Cos., Inc.		66,628		7,423,025
MetLife, Inc.		102,836		5,241,551
Principal Financial Group, Inc.		33,685		1,852,675
The Progressive Corp.		76,588		5,544,205
Prudential Financial, Inc.		53,260		4,992,592
The Travelers Cos., Inc.		33,799		4,628,773
Unum Group		26,897		784,317
W.R. Berkley Corp.		19,013		1,313,798
Willis Towers Watson PLC		17,095		3,452,164
				139,776,954
Real Estate — 0.1%
CBRE Group, Inc. Class A (b)		44,667		2,737,640
Real Estate Investment Trusts (REITS) — 2.8%
Alexandria Real Estate Equities, Inc.		15,327		2,476,537
American Tower Corp.		58,460		13,435,277
Apartment Investment & Management Co. Class A		19,615		1,013,115
AvalonBay Communities, Inc.		18,542		3,888,257
Boston Properties, Inc.		18,657		2,572,054
Crown Castle International Corp.		54,820		7,792,663
Digital Realty Trust, Inc. (a)		27,484		3,290,934
Duke Realty Corp.		47,650		1,652,026
Equinix, Inc.		11,249		6,566,041
Equity Residential		45,685		3,696,830
Essex Property Trust, Inc.		8,792		2,645,161
Extra Space Storage, Inc.		16,937		1,788,886
Federal Realty Investment Trust		9,359		1,204,784
Healthpeak Properties, Inc.		65,905		2,271,745
Host Hotels & Resorts, Inc.		92,953		1,724,278
Iron Mountain, Inc. (a)		37,178		1,184,863
Kimco Realty Corp.		55,520		1,149,819
Mid-America Apartment Communities, Inc.		15,271		2,013,634
Prologis, Inc.		83,046		7,402,720
Public Storage		19,783		4,212,988
Realty Income Corp.		43,010		3,166,826
Regency Centers Corp.		22,404		1,413,468
SBA Communications Corp.		14,739		3,551,952
Simon Property Group, Inc.		40,415		6,020,218
SL Green Realty Corp.		10,925		1,003,789
UDR, Inc.		39,248		1,832,882
Ventas, Inc.		48,571		2,804,490
Vornado Realty Trust		21,201		1,409,867
Welltower, Inc.		52,997		4,334,095
Weyerhaeuser Co.		98,102		2,962,680
				100,482,879
Savings & Loans — 0.0%
People’s United Financial, Inc.		58,302		985,304
				620,666,262
Industrial — 8.9%
Aerospace & Defense — 2.4%
Arconic, Inc.		50,063		1,540,439
The Boeing Co.		70,473		22,957,284
General Dynamics Corp.		30,790		5,429,816
L3 Harris Technologies, Inc.		29,060		5,750,102
Lockheed Martin Corp.		32,685		12,726,885
Northrop Grumman Corp.		20,772		7,144,945
Raytheon Co.		36,597		8,041,825
TransDigm Group, Inc.		6,608		3,700,480
United Technologies Corp.		107,051		16,031,958
				83,323,734
Building Materials — 0.3%
Fortune Brands Home & Security, Inc.		17,963		1,173,702
Johnson Controls International PLC		102,004		4,152,583
Martin Marietta Materials, Inc.		8,201		2,293,328
Masco Corp.		36,900		1,770,831
Vulcan Materials Co.		17,414		2,507,442
				11,897,886
Electrical Components & Equipment — 0.3%
AMETEK, Inc.		29,989		2,991,103
Emerson Electric Co.		80,026		6,102,783
				9,093,886
Electronics — 1.3%
Agilent Technologies, Inc.		40,341		3,441,491
Allegion PLC		11,998		1,494,231
Amphenol Corp. Class A		38,842		4,203,870
FLIR Systems, Inc.		17,985		936,479
Fortive Corp.		38,769		2,961,564
Garmin Ltd.		19,272		1,880,176
Honeywell International, Inc.		94,281		16,687,737
Keysight Technologies, Inc. (b)		24,848		2,550,150
Mettler-Toledo International, Inc. (b)		3,248		2,576,574
PerkinElmer, Inc.		14,750		1,432,225
TE Connectivity Ltd.		44,349		4,250,408
Waters Corp. (b)		8,482		1,981,819
				44,396,724
Engineering & Construction — 0.0%
Jacobs Engineering Group, Inc.		18,020		1,618,737
Environmental Controls — 0.3%
Pentair PLC		21,431		983,040
Republic Services, Inc.		27,845		2,495,747

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

70

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

	Number of Shares		Value
Waste Management, Inc.		51,263	$	5,841,932
				9,320,719
Hand & Machine Tools — 0.1%
Snap-on, Inc.		7,126		1,207,144
Stanley Black & Decker, Inc.		20,169		3,342,810
				4,549,954
Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		72,775		10,747,412
Machinery – Diversified — 0.7%
Deere & Co.		41,556		7,199,992
Dover Corp.		19,391		2,235,007
Flowserve Corp.		17,108		851,465
IDEX Corp.		10,116		1,739,952
Rockwell Automation, Inc.		15,134		3,067,208
Roper Technologies, Inc.		13,672		4,843,032
Westinghouse Air Brake Technologies Corp.		24,019		1,868,678
Xylem, Inc.		23,464		1,848,729
				23,654,063
Miscellaneous – Manufacturing — 1.4%
3M Co.		75,956		13,400,157
A.O. Smith Corp.		17,792		847,611
Eaton Corp. PLC		54,562		5,168,113
General Electric Co.		1,151,400		12,849,624
Illinois Tool Works, Inc.		38,756		6,961,740
Ingersoll-Rand PLC		31,750		4,220,210
Parker-Hannifin Corp.		17,091		3,517,670
Textron, Inc.		30,066		1,340,943
				48,306,068
Packaging & Containers — 0.3%
Amcor PLC		209,643		2,272,530
Ball Corp.		43,335		2,802,474
Packaging Corp. of America		12,535		1,403,795
Sealed Air Corp.		20,960		834,837
WestRock Co.		34,662		1,487,346
				8,800,982
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		5,336		1,338,696
Transportation — 1.5%
C.H. Robinson Worldwide, Inc.		18,000		1,407,600
CSX Corp.		102,444		7,412,848
Expeditors International of Washington, Inc.		22,610		1,764,032
FedEx Corp.		31,522		4,766,442
J.B. Hunt Transport Services, Inc.		11,376		1,328,489
Kansas City Southern		13,237		2,027,379
Norfolk Southern Corp.		34,168		6,633,034
Old Dominion Freight Line, Inc.		8,423		1,598,517
Union Pacific Corp.		91,479		16,538,488
United Parcel Service, Inc. Class B		92,330		10,808,150
				54,284,979
				311,333,840
Technology — 18.8%
Computers — 6.2%
Accenture PLC Class A		83,825		17,651,030
Apple, Inc.		550,445		161,638,174
Cognizant Technology Solutions Corp. Class A		72,422		4,491,612
DXC Technology Co.		33,201		1,248,026
Fortinet, Inc. (b)		18,784		2,005,380
Hewlett Packard Enterprise Co.		169,035		2,680,895
HP, Inc.		196,582		4,039,760
International Business Machines Corp.		117,036		15,687,505
Leidos Holdings, Inc.		17,226		1,686,253
NetApp, Inc.		29,695		1,848,514
Seagate Technology PLC		30,321		1,804,100
Western Digital Corp.		39,372		2,498,941
				217,280,190
Office & Business Equipment — 0.1%
Xerox Holdings Corp.		24,139		890,005
Zebra Technologies Corp. Class A (b)		7,101		1,813,879
				2,703,884
Semiconductors — 4.2%
Advanced Micro Devices, Inc. (b)		146,728		6,728,946
Analog Devices, Inc.		48,492		5,762,789
Applied Materials, Inc.		122,331		7,467,084
Broadcom, Inc.		52,337		16,539,539
Intel Corp.		572,989		34,293,392
IPG Photonics Corp. (b)		4,839		701,268
KLA Corp.		20,980		3,738,007
Lam Research Corp.		19,029		5,564,079
Maxim Integrated Products, Inc.		35,560		2,187,296
Microchip Technology, Inc.		31,379		3,286,009
Micron Technology, Inc. (b)		146,349		7,870,649
NVIDIA Corp.		80,619		18,969,651
Qorvo, Inc. (b)		15,158		1,761,814
QUALCOMM, Inc.		150,895		13,313,466
Skyworks Solutions, Inc.		22,211		2,684,866
Texas Instruments, Inc.		123,332		15,822,262
Xilinx, Inc.		33,165		3,242,542
				149,933,659
Software — 8.3%
Activision Blizzard, Inc.		101,030		6,003,203
Adobe, Inc. (b)		63,785		21,036,931
Akamai Technologies, Inc. (b)		21,334		1,842,831
ANSYS, Inc. (b)		11,325		2,915,168
Autodesk, Inc. (b)		28,873		5,297,041

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

71

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

	Number of Shares		Value
Broadridge Financial Solutions, Inc.		14,967	$	1,849,023
Cadence Design Systems, Inc. (b)		37,058		2,570,343
Cerner Corp.		41,055		3,013,026
Citrix Systems, Inc.		16,105		1,786,045
Electronic Arts, Inc. (b)		38,541		4,143,543
Fidelity National Information Services, Inc.		81,056		11,274,079
Fiserv, Inc. (b)		75,295		8,706,361
Intuit, Inc.		34,337		8,993,890
Jack Henry & Associates, Inc.		10,073		1,467,334
Microsoft Corp.		1,005,416		158,554,103
MSCI, Inc.		11,273		2,910,463
Oracle Corp.		285,512		15,126,426
Paychex, Inc.		42,007		3,573,115
salesforce.com, Inc. (b)		116,923		19,016,357
ServiceNow, Inc. (b)		24,880		7,024,122
Synopsys, Inc. (b)		19,775		2,752,680
Take-Two Interactive Software, Inc. (b)		14,938		1,828,859
				291,684,943
				661,602,676
Utilities — 3.3%
Electric — 3.1%
AES Corp.		87,595		1,743,140
Alliant Energy Corp.		31,195		1,706,990
Ameren Corp.		32,405		2,488,704
American Electric Power Co., Inc.		64,990		6,142,205
CenterPoint Energy, Inc.		65,801		1,794,393
CMS Energy Corp.		37,178		2,336,266
Consolidated Edison, Inc.		44,233		4,001,760
Dominion Energy, Inc.		108,641		8,997,648
DTE Energy Co.		25,126		3,263,114
Duke Energy Corp.		96,178		8,772,395
Edison International		47,736		3,599,772
Entergy Corp.		25,957		3,109,649
Evergy, Inc.		29,968		1,950,617
Eversource Energy		42,432		3,609,690
Exelon Corp.		128,090		5,839,623
FirstEnergy Corp.		72,070		3,502,602
NextEra Energy, Inc.		64,312		15,573,794
NRG Energy, Inc.		33,824		1,344,504
Pinnacle West Capital Corp.		15,088		1,356,864
PPL Corp.		95,455		3,424,925
Public Service Enterprise Group, Inc.		66,450		3,923,872
Sempra Energy		37,100		5,619,908
The Southern Co.		138,583		8,827,737
WEC Energy Group, Inc.		41,473		3,825,055
Xcel Energy, Inc.		68,892		4,373,953
				111,129,180
Gas — 0.1%
Atmos Energy Corp.		15,869		1,775,106
NiSource, Inc.		49,459		1,376,939
				3,152,045
Water — 0.1%
American Water Works Co., Inc.		23,581		2,896,926
				117,178,151
TOTAL COMMON STOCK (Cost $1,933,360,420)				3,526,688,856
TOTAL EQUITIES (Cost $1,933,360,420)				3,526,688,856
MUTUAL FUNDS — 0.1%
Diversified Financial Services — 0.1%
State Street Navigator Securities Lending Prime Portfolio (c)		2,973,691		2,973,691
TOTAL MUTUAL FUNDS (Cost $2,973,691)				2,973,691
TOTAL LONG-TERM INVESTMENTS (Cost $1,936,334,111)				3,529,662,547

	Principal Amount
SHORT-TERM INVESTMENTS — 0.5%
Repurchase Agreement — 0.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	9,337,106		9,337,106
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill 0.000% 1/09/20 (e)		5,885,000		5,883,391
TOTAL SHORT-TERM INVESTMENTS (Cost $15,219,530)				15,220,497
TOTAL INVESTMENTS — 100.8% (Cost $1,951,553,641) (f)				3,544,883,044
Other Assets/(Liabilities) — (0.8)%				(26,780,732	)
NET ASSETS — 100.0%			$	3,518,102,312

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, 2019, was $10,402,622 or 0.30% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $7,579,520 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

72

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

Notes to Portfolio of Investments (Continued)

(b) Non-income producing security.

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

(d) Maturity value of $9,337,521. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $9,527,607.

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

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

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
S&P 500 E Mini Index	3/20/20		116	$	18,487,168	$	253,212

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

73

MassMutual Select Equity Opportunities Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.7%
COMMON STOCK — 98.5%
Basic Materials — 3.9%
Chemicals — 3.9%
CF Industries Holdings, Inc.		47,500	$	2,267,649
Dow, Inc.		49,800		2,725,554
DuPont de Nemours, Inc.		60,000		3,852,000
Linde PLC		77,586		16,518,059
				25,363,262
Communications — 2.5%
Media — 1.4%
Comcast Corp. Class A		90,700		4,078,779
Fox Corp. Class B		122,500		4,459,000
The Walt Disney Co.		3,950		571,289
				9,109,068
Telecommunications — 1.1%
Cisco Systems, Inc.		78,800		3,779,248
Verizon Communications, Inc.		60,600		3,720,840
				7,500,088
				16,609,156
Consumer, Cyclical — 10.5%
Apparel — 3.3%
NIKE, Inc. Class B		211,469		21,423,925
Lodging — 0.5%
Las Vegas Sands Corp.		46,300		3,196,552
Retail — 6.7%
McDonald’s Corp.		125,039		24,708,957
The TJX Cos., Inc.		313,258		19,127,533
				43,836,490
				68,456,967
Consumer, Non-cyclical — 33.6%
Agriculture — 0.7%
Philip Morris International, Inc.		51,100		4,348,099
Beverages — 9.5%
The Coca-Cola Co.		446,606		24,719,642
Diageo PLC		422,551		17,806,158
PepsiCo, Inc.		144,618		19,764,942
				62,290,742
Biotechnology — 0.7%
Corteva, Inc.		51,400		1,519,384
Gilead Sciences, Inc.		44,200		2,872,116
				4,391,500
Cosmetics & Personal Care — 2.9%
Colgate-Palmolive Co.		272,691		18,772,048
Foods — 0.8%
Tyson Foods, Inc. Class A		57,500		5,234,800
Health Care – Products — 7.7%
Baxter International, Inc.		169,175		14,146,414
Danaher Corp.		76,528		11,745,517
Medtronic PLC		217,271		24,649,395
				50,541,326
Health Care – Services — 4.9%
Anthem, Inc.		17,800		5,376,134
UnitedHealth Group, Inc.		91,645		26,941,797
				32,317,931
Household Products & Wares — 0.8%
Kimberly-Clark Corp.		39,400		5,419,470
Pharmaceuticals — 5.6%
Becton Dickinson and Co.		11,350		3,086,860
CVS Health Corp.		75,600		5,616,324
Johnson & Johnson		188,874		27,551,050
				36,254,234
				219,570,150
Energy — 2.8%
Oil & Gas — 2.2%
Hess Corp.		6,200		414,222
Occidental Petroleum Corp.		101,600		4,186,936
Total SA		171,500		9,477,476
				14,078,634
Pipelines — 0.6%
TC Energy Corp.		79,900		4,259,469
				18,338,103
Financial — 22.9%
Banks — 7.1%
Fifth Third Bancorp		132,700		4,079,198
JP Morgan Chase & Co.		50,900		7,095,460
Morgan Stanley		136,600		6,982,992
The PNC Financial Services Group, Inc.		88,007		14,048,557
State Street Corp.		66,900		5,291,790
Wells Fargo & Co.		169,000		9,092,200
				46,590,197
Diversified Financial Services — 3.6%
American Express Co.		113,069		14,075,960
Visa, Inc. Class A		50,021		9,398,946
				23,474,906
Insurance — 7.6%
American International Group, Inc.		101,400		5,204,862
Chubb Ltd.		177,387		27,612,061
Marsh & McLennan Cos., Inc.		125,959		14,033,092
MetLife, Inc.		46,900		2,390,493
				49,240,508

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

74

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

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 4.6%
American Tower Corp.		46,021	$	10,576,546
Public Storage		77,572		16,519,733
SL Green Realty Corp.		34,300		3,151,484
				30,247,763
				149,553,374
Industrial — 13.6%
Aerospace & Defense — 6.2%
The Boeing Co.		17,600		5,733,376
General Dynamics Corp.		117,612		20,740,876
L3 Harris Technologies, Inc.		23,850		4,719,200
Lockheed Martin Corp.		23,869		9,294,111
				40,487,563
Building Materials — 0.4%
Johnson Controls International PLC		63,800		2,597,298
Machinery – Diversified — 0.7%
Deere & Co.		26,910		4,662,427
Miscellaneous – Manufacturing — 0.8%
General Electric Co.		452,000		5,044,320
Transportation — 5.5%
Canadian National Railway Co.		168,592		15,251,243
Union Pacific Corp.		91,438		16,531,076
United Parcel Service, Inc. Class B		38,400		4,495,104
				36,277,423
				89,069,031
Technology — 7.0%
Computers — 1.8%
Accenture PLC Class A		55,833		11,756,755
Semiconductors — 1.2%
QUALCOMM, Inc.		90,150		7,953,935
Software — 4.0%
Microsoft Corp.		163,932		25,852,076
				45,562,766
Utilities — 1.7%
Electric — 1.7%
Edison International		48,000		3,619,680
The Southern Co.		113,800		7,249,060
				10,868,740
TOTAL COMMON STOCK (Cost $526,362,422)				643,391,549
PREFERRED STOCK — 1.2%
Consumer, Non-cyclical — 0.3%
Pharmaceuticals — 0.3%
Becton Dickinson and Co. Convertible 6.125%		28,422		1,860,504
Utilities — 0.9%
Electric — 0.9%
Sempra Energy Convertible 6.000%		36,700		4,404,734
Sempra Energy Convertible 6.750%		2,750		327,443
The Southern Co. Convertible 6.750%		23,301		1,255,924
				5,988,101
TOTAL PREFERRED STOCK (Cost $6,540,293)				7,848,605
TOTAL EQUITIES (Cost $532,902,715)				651,240,154
TOTAL LONG-TERM INVESTMENTS (Cost $532,902,715)				651,240,154
SHORT-TERM INVESTMENTS — 2.0%
Mutual Fund — 0.0%
T. Rowe Price Government Reserve Investment Fund		1,048		1,048

	Principal Amount
Repurchase Agreement — 2.0%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (a)	$	12,679,162		12,679,162
TOTAL SHORT-TERM INVESTMENTS (Cost $12,680,210)				12,680,210
TOTAL INVESTMENTS — 101.7% (Cost $545,582,925) (b)				663,920,364
Other Assets/(Liabilities) — (1.7)%				(10,879,536	)
NET ASSETS — 100.0%			$	653,040,828

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Maturity value of $12,679,726. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $12,936,568.

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

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

75

MassMutual Select Fundamental Growth Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.2%
COMMON STOCK — 98.2%
Basic Materials — 1.1%
Chemicals — 1.1%
The Sherwin-Williams Co.		2,781	$	1,622,825
Communications — 18.0%
Internet — 16.4%
Alibaba Group Holding Ltd. Sponsored ADR (a)		7,704		1,634,018
Alphabet, Inc. Class C (a)		7,290		9,746,876
Amazon.com, Inc. (a)		2,680		4,952,211
Booking Holdings, Inc. (a)		516		1,059,725
Facebook, Inc. Class A (a)		31,486		6,462,501
VeriSign, Inc. (a)		3,642		701,741
				24,557,072
Media — 1.6%
Comcast Corp. Class A		55,280		2,485,942
				27,043,014
Consumer, Cyclical — 8.2%
Airlines — 1.1%
Southwest Airlines Co.		28,953		1,562,883
Apparel — 1.1%
NIKE, Inc. Class B		16,806		1,702,616
Distribution & Wholesale — 1.2%
W.W. Grainger, Inc.		5,151		1,743,716
Retail — 4.8%
AutoZone, Inc. (a)		712		848,213
The Home Depot, Inc.		10,800		2,358,504
O’Reilly Automotive, Inc. (a)		2,670		1,170,154
Ross Stores, Inc.		10,517		1,224,389
The TJX Cos., Inc.		26,592		1,623,708
				7,224,968
				12,234,183
Consumer, Non-cyclical — 21.9%
Beverages — 1.4%
The Coca-Cola Co.		37,538		2,077,728
Biotechnology — 5.7%
Amgen, Inc.		12,727		3,068,098
Biogen, Inc. (a)		5,946		1,764,357
Regeneron Pharmaceuticals, Inc. (a)		4,192		1,574,012
Vertex Pharmaceuticals, Inc. (a)		9,510		2,082,214
				8,488,681
Commercial Services — 7.6%
Experian PLC		23,538		796,117
FleetCor Technologies, Inc. (a)		6,877		1,978,650
Global Payments, Inc.		13,181		2,406,323
IHS Markit Ltd. (a)		22,093		1,664,707
PayPal Holdings, Inc. (a)		22,880		2,474,930
S&P Global, Inc.		7,675		2,095,659
				11,416,386
Cosmetics & Personal Care — 0.6%
The Procter & Gamble Co.		6,862		857,064
Health Care – Products — 2.5%
Danaher Corp.		9,112		1,398,510
Thermo Fisher Scientific, Inc.		7,171		2,329,643
				3,728,153
Health Care – Services — 4.1%
ICON PLC (a)		9,041		1,557,131
UnitedHealth Group, Inc.		15,820		4,650,764
				6,207,895
				32,775,907
Financial — 11.6%
Banks — 1.0%
M&T Bank Corp.		9,053		1,536,747
Diversified Financial Services — 8.3%
American Express Co.		20,657		2,571,590
Intercontinental Exchange, Inc.		17,764		1,644,058
Mastercard, Inc. Class A		12,110		3,615,925
Visa, Inc. Class A		24,888		4,676,455
				12,508,028
Insurance — 2.0%
Assurant, Inc.		8,442		1,106,577
Brown & Brown, Inc.		46,729		1,844,861
				2,951,438
Real Estate Investment Trusts (REITS) — 0.3%
American Tower Corp.		2,002		460,100
				17,456,313
Industrial — 8.7%
Aerospace & Defense — 3.4%
Aerojet Rocketdyne Holdings, Inc. (a)		18,958		865,622
Lockheed Martin Corp.		6,187		2,409,094
Northrop Grumman Corp.		5,071		1,744,272
				5,018,988
Building Materials — 1.2%
Fortune Brands Home & Security, Inc.		27,143		1,773,524
Machinery – Diversified — 2.8%
Deere & Co.		7,522		1,303,262
Rockwell Automation, Inc.		7,579		1,536,036
Roper Technologies, Inc.		3,975		1,408,064
				4,247,362

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

76

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

	Number of Shares		Value
Miscellaneous – Manufacturing — 1.3%
Illinois Tool Works, Inc.		10,878	$	1,954,015
				12,993,889
Technology — 28.7%
Computers — 8.6%
Apple, Inc.		33,667		9,886,315
Check Point Software Technologies Ltd. (a)		7,766		861,715
Fortinet, Inc. (a)		8,774		936,712
NetApp, Inc.		19,207		1,195,636
				12,880,378
Semiconductors — 4.9%
Broadcom, Inc.		7,752		2,449,787
QUALCOMM, Inc.		26,236		2,314,802
Texas Instruments, Inc.		20,085		2,576,705
				7,341,294
Software — 15.2%
Adobe, Inc. (a)		6,871		2,266,124
Fidelity National Information Services, Inc.		12,339		1,716,232
Intuit, Inc.		2,824		739,690
Microsoft Corp.		83,686		13,197,282
salesforce.com, Inc. (a)		16,217		2,637,533
ServiceNow, Inc. (a)		1,954		551,653
SS&C Technologies Holdings, Inc		26,394		1,620,592
				22,729,106
				42,950,778
TOTAL COMMON STOCK (Cost $123,842,409)				147,076,909
TOTAL EQUITIES (Cost $123,842,409)				147,076,909
TOTAL LONG-TERM INVESTMENTS (Cost $123,842,409)				147,076,909

	Principal Amount
SHORT-TERM INVESTMENTS — 1.3%
Repurchase Agreement — 1.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (b)	$	1,996,281		1,996,281
TOTAL SHORT-TERM INVESTMENTS (Cost $1,996,281)				1,996,281
TOTAL INVESTMENTS — 99.5% (Cost $125,838,690) (c)				149,073,190
Other Assets/(Liabilities) — 0.5%				757,427
NET ASSETS — 100.0%			$	149,830,617

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 $1,996,370. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $2,041,263.

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

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

77

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.4%
COMMON STOCK — 99.4%
Basic Materials — 0.4%
Chemicals — 0.4%
Air Products & Chemicals, Inc.		6,677	$	1,569,028
Linde PLC		29,872		6,359,749
The Sherwin-Williams Co.		8,535		4,980,514
				12,909,291
Communications — 30.2%
Internet — 28.3%
Alibaba Group Holding Ltd. Sponsored ADR (a)		814,390		172,732,119
Alphabet, Inc. Class A (a)		51,475		68,945,100
Alphabet, Inc. Class C (a)		102,209		136,655,477
Amazon.com, Inc. (a)		140,739		260,063,154
Booking Holdings, Inc. (a)		13,634		28,000,555
Facebook, Inc. Class A (a)		1,013,294		207,978,593
IAC/InterActiveCorp (a)		48,856		12,170,518
Match Group, Inc. (a) (b)		41,053		3,370,862
Netflix, Inc. (a)		85,052		27,520,276
Spotify Technology SA (a)		31,381		4,693,028
Tencent Holdings Ltd.		899,700		43,400,219
Trip.com Group Ltd. ADR (a)		84,889		2,847,177
				968,377,078
Media — 0.8%
FactSet Research Systems, Inc.		96,415		25,868,145
Telecommunications — 1.1%
Cisco Systems, Inc.		807,201		38,713,360
Motorola Solutions, Inc.		932		150,182
				38,863,542
				1,033,108,765
Consumer, Cyclical — 6.0%
Airlines — 0.3%
United Airlines Holdings, Inc. (a)		112,479		9,908,275
Apparel — 0.4%
NIKE, Inc. Class B		110,273		11,171,757
VF Corp.		27,889		2,779,418
				13,951,175
Auto Manufacturers — 0.1%
Ferrari NV		13,538		2,241,081
Auto Parts & Equipment — 0.3%
Aptiv PLC		111,889		10,626,098
Leisure Time — 0.1%
Royal Caribbean Cruises Ltd.		32,407		4,326,659
Lodging — 0.7%
Hilton Worldwide Holdings, Inc.		90,530		10,040,682
Marriott International, Inc. Class A		53,676		8,128,157
Wynn Resorts Ltd.		40,251		5,589,656
				23,758,495
Retail — 4.1%
Chipotle Mexican Grill, Inc. (a)		1,700		1,423,087
Dollar General Corp.		142,803		22,274,412
Dollar Tree, Inc. (a)		40,805		3,837,710
Lululemon Athletica, Inc. (a)		37,682		8,729,789
Restaurant Brands International, Inc.		49,953		3,185,503
Ross Stores, Inc.		145,627		16,953,895
Starbucks Corp.		395,833		34,801,638
The TJX Cos., Inc.		48,700		2,973,622
Yum China Holdings, Inc.		425,101		20,409,099
Yum! Brands, Inc.		275,177		27,718,579
				142,307,334
				207,119,117
Consumer, Non-cyclical — 24.6%
Agriculture — 0.0%
Philip Morris International, Inc.		265		22,549
Beverages — 2.7%
The Coca-Cola Co.		696,227		38,536,164
Constellation Brands, Inc. Class A		358		67,931
Monster Beverage Corp. (a)		837,040		53,193,892
				91,797,987
Biotechnology — 3.4%
Alexion Pharmaceuticals, Inc. (a)		63,183		6,833,241
Amgen, Inc.		120,503		29,049,658
Exact Sciences Corp. (a) (b)		30,248		2,797,335
Regeneron Pharmaceuticals, Inc. (a)		121,645		45,675,265
Seattle Genetics, Inc. (a)		8,600		982,636
Vertex Pharmaceuticals, Inc. (a)		142,568		31,215,264
				116,553,399
Commercial Services — 3.6%
Ant International Co. Ltd., Class C (Acquired 6/07/18, Cost $3,358,253) (a) (c) (d) (e)		598,619		3,849,120
Automatic Data Processing, Inc.		102,799		17,527,230
Cintas Corp.		7,276		1,957,826
CoStar Group, Inc. (a)		13,429		8,034,571
Equifax, Inc.		24,881		3,486,326
FleetCor Technologies, Inc. (a)		33,195		9,550,865
Global Payments, Inc.		194,150		35,444,024
IHS Markit Ltd. (a)		30,239		2,278,509
PayPal Holdings, Inc. (a)		278,149		30,087,377
S&P Global, Inc.		39,104		10,677,347
				122,893,195
Cosmetics & Personal Care — 2.0%
Colgate-Palmolive Co.		380,667		26,205,116
The Procter & Gamble Co.		346,078		43,225,142
				69,430,258

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

78

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

	Number of Shares		Value
Foods — 1.0%
Danone SA Sponsored ADR		2,135,799	$	35,219,325
Health Care – Products — 3.6%
Abbott Laboratories		13,420		1,165,661
Alcon, Inc. (a)		3,967		224,413
Boston Scientific Corp. (a)		4,334		195,983
Danaher Corp.		142,785		21,914,642
Intuitive Surgical, Inc. (a)		46,922		27,737,940
Stryker Corp.		158,332		33,240,220
Teleflex, Inc.		1,204		453,234
Thermo Fisher Scientific, Inc.		68,195		22,154,510
Varian Medical Systems, Inc. (a)		110,953		15,756,436
				122,843,039
Health Care – Services — 2.3%
Anthem, Inc.		62,305		18,817,979
Centene Corp. (a)		135,140		8,496,252
HCA Healthcare, Inc.		59,776		8,835,491
UnitedHealth Group, Inc.		123,981		36,447,934
WellCare Health Plans, Inc. (a)		19,075		6,298,756
				78,896,412
Pharmaceuticals — 6.0%
Becton Dickinson and Co.		95,920		26,087,362
Cigna Corp.		161,714		33,068,896
Merck & Co., Inc.		206,187		18,752,708
Novartis AG Sponsored ADR		359,563		34,047,020
Novo Nordisk A/S Sponsored ADR		748,535		43,325,206
Roche Holding AG Sponsored ADR		1,142,644		46,459,905
Zoetis, Inc.		20,154		2,667,382
				204,408,479
				842,064,643
Energy — 0.9%
Oil & Gas — 0.2%
Concho Resources, Inc.		24,799		2,171,649
Pioneer Natural Resources Co.		23,417		3,544,631
				5,716,280
Oil & Gas Services — 0.7%
Schlumberger Ltd.		640,823		25,761,084
				31,477,364
Financial — 10.1%
Banks — 0.4%
Citigroup, Inc.		5,850		467,356
The Goldman Sachs Group, Inc.		6,142		1,412,230
JP Morgan Chase & Co.		2,029		282,843
Morgan Stanley		142,305		7,274,632
State Street Corp.		35,653		2,820,152
				12,257,213
Diversified Financial Services — 8.8%
American Express Co.		6,119		761,754
The Charles Schwab Corp.		147,849		7,031,698
Intercontinental Exchange, Inc.		115,629		10,701,464
Mastercard, Inc. Class A		204,884		61,176,314
SEI Investments Co.		543,845		35,610,971
TD Ameritrade Holding Corp.		215,808		10,725,658
Visa, Inc. Class A		935,728		175,823,291
				301,831,150
Insurance — 0.9%
American International Group, Inc.		61,385		3,150,892
Chubb Ltd.		24,331		3,787,364
Marsh & McLennan Cos., Inc.		59,634		6,643,824
Willis Towers Watson PLC		88,160		17,803,030
				31,385,110
Real Estate Investment Trusts (REITS) — 0.0%
American Tower Corp.		582		133,755
				345,607,228
Industrial — 5.1%
Aerospace & Defense — 1.7%
The Boeing Co.		128,232		41,772,856
L3 Harris Technologies, Inc.		32,701		6,470,547
Northrop Grumman Corp.		27,174		9,347,041
				57,590,444
Electronics — 0.2%
Agilent Technologies, Inc.		4,589		391,488
Fortive Corp.		8,721		666,197
Honeywell International, Inc.		32,576		5,765,952
				6,823,637
Machinery – Diversified — 1.5%
Deere & Co.		225,393		39,051,591
Roper Technologies, Inc.		36,222		12,830,919
				51,882,510
Transportation — 1.7%
Canadian Pacific Railway Ltd.		17,175		4,378,766
Expeditors International of Washington, Inc.		524,368		40,911,191
Kansas City Southern		13,953		2,137,042
Norfolk Southern Corp.		17,357		3,369,515
Union Pacific Corp.		33,486		6,053,934
United Parcel Service, Inc. Class B		1,850		216,561
				57,067,009
				173,363,600
Technology — 22.0%
Computers — 1.5%
Apple, Inc.		166,360		48,851,614
Semiconductors — 4.3%
Advanced Micro Devices, Inc. (a)		119,000		5,457,340
Applied Materials, Inc.		125,687		7,671,935
Broadcom, Inc.		1,144		361,527
KLA Corp.		31,365		5,588,302
Lam Research Corp.		17,735		5,185,714

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

79

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

	Number of Shares		Value
Marvell Technology Group Ltd.		294,382	$	7,818,786
Maxim Integrated Products, Inc.		39,205		2,411,500
Microchip Technology, Inc.		11,288		1,182,079
NVIDIA Corp.		249,270		58,653,231
QUALCOMM, Inc.		575,253		50,754,572
Texas Instruments, Inc.		21,013		2,695,758
Xilinx, Inc.		1,151		112,533
				147,893,277
Software — 16.2%
Atlassian Corp. PLC Class A (a)		12,539		1,508,943
Autodesk, Inc. (a)		373,940		68,603,032
Cerner Corp.		442,362		32,464,947
DocuSign, Inc. (a)		50,886		3,771,162
Electronic Arts, Inc. (a)		48,244		5,186,712
Fidelity National Information Services, Inc.		223,025		31,020,547
Fiserv, Inc. (a)		260,333		30,102,305
Intuit, Inc.		132,748		34,770,684
Microsoft Corp.		997,488		157,303,858
Oracle Corp.		1,274,920		67,545,262
Paycom Software, Inc. (a)		16,746		4,433,671
salesforce.com, Inc. (a)		216,979		35,289,465
ServiceNow, Inc. (a)		126,922		35,832,619
Splunk, Inc. (a)		97,734		14,637,621
Synopsys, Inc. (a)		17,507		2,436,974
Veeva Systems, Inc. Class A (a)		13,644		1,919,165
VMware, Inc. Class A (a) (b)		58,599		8,894,742
Workday, Inc. Class A (a)		113,765		18,708,654
				554,430,363
				751,175,254
Utilities — 0.1%
Electric — 0.1%
NextEra Energy, Inc.		345		83,545
Sempra Energy		33,277		5,040,800
				5,124,345
TOTAL COMMON STOCK (Cost $2,197,730,789)				3,401,949,607
TOTAL EQUITIES (Cost $2,197,730,789)				3,401,949,607
MUTUAL FUNDS — 0.1%
Diversified Financial Services — 0.1%
State Street Navigator Securities Lending Prime Portfolio (f)		2,690,436		2,690,436
TOTAL MUTUAL FUNDS (Cost $2,690,436)				2,690,436
TOTAL LONG-TERM INVESTMENTS (Cost $2,200,421,225)				3,404,640,043
SHORT-TERM INVESTMENTS — 0.3%
Mutual Fund — 0.0%
T. Rowe Price Government Reserve Investment Fund		1,070		1,070

	Principal Amount
Repurchase Agreement — 0.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (g)	$	9,663,229		9,663,229
TOTAL SHORT-TERM INVESTMENTS (Cost $9,664,299)				9,664,299
TOTAL INVESTMENTS — 99.8% (Cost $2,210,085,524) (h)				3,414,304,342
Other Assets/(Liabilities) — 0.2%				5,648,169
NET ASSETS — 100.0%			$	3,419,952,511

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, 2019, was $14,205,008 or 0.42% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $11,847,389 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (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, 2019, these securities amounted to a value of $3,849,120 or 0.11% of net assets.

(e) Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $3,849,120 or 0.11% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

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

(g) Maturity value of $9,663,658. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $9,856,677.

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

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

80

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.7%
COMMON STOCK — 97.7%
Communications — 24.0%
Internet — 20.5%
Alibaba Group Holding Ltd. Sponsored ADR (a)		49,500	$	10,498,950
Alphabet, Inc. Class A (a)		20,372		27,286,053
Amazon.com, Inc. (a)		9,670		17,868,613
Facebook, Inc. Class A (a)		55,057		11,300,449
Match Group, Inc. (a) (b)		157,700		12,948,747
Netflix, Inc. (a)		57,874		18,726,290
				98,629,102
Media — 2.5%
Charter Communications, Inc. Class A (a)		24,263		11,769,496
Telecommunications — 1.0%
Arista Networks, Inc. (a)		24,136		4,909,263
				115,307,861
Consumer, Cyclical — 6.9%
Retail — 4.7%
Dollar Tree, Inc. (a)		99,914		9,396,912
Domino’s Pizza, Inc.		26,670		7,835,112
Floor & Decor Holdings, Inc. Class A (a) (b)		104,300		5,299,483
				22,531,507
Toys, Games & Hobbies — 2.2%
Hasbro, Inc.		100,017		10,562,796
				33,094,303
Consumer, Non-cyclical — 23.2%
Beverages — 3.6%
Constellation Brands, Inc. Class A		60,336		11,448,756
Monster Beverage Corp. (a)		95,400		6,062,670
				17,511,426
Biotechnology — 4.0%
Illumina, Inc. (a)		48,362		16,043,610
Mirati Therapeutics, Inc. (a) (b)		24,050		3,099,083
				19,142,693
Commercial Services — 4.4%
CoStar Group, Inc. (a)		20,825		12,459,598
PayPal Holdings, Inc. (a)		80,396		8,696,435
				21,156,033
Health Care – Products — 2.4%
ABIOMED, Inc. (a)		12,800		2,183,552
Edwards Lifesciences Corp. (a)		39,600		9,238,284
				11,421,836
Health Care – Services — 5.0%
IQVIA Holdings, Inc. (a)		86,521		13,368,360
UnitedHealth Group, Inc.		36,504		10,731,446
				24,099,806
Healthcare – Products — 1.2%
Align Technology, Inc. (a)		20,150		5,622,656
Pharmaceuticals — 2.6%
Sarepta Therapeutics, Inc. (a) (b)		29,205		3,768,613
Zoetis, Inc.		64,324		8,513,281
				12,281,894
				111,236,344
Financial — 14.7%
Diversified Financial Services — 11.9%
The Charles Schwab Corp.		190,455		9,058,040
CME Group, Inc.		33,964		6,817,254
Mastercard, Inc. Class A		32,789		9,790,468
Visa, Inc. Class A		167,425		31,459,157
				57,124,919
Private Equity — 1.9%
KKR & Co., Inc. Class A		319,659		9,324,453
Real Estate Investment Trusts (REITS) — 0.9%
Crown Castle International Corp.		30,236		4,298,047
				70,747,419
Industrial — 2.4%
Packaging & Containers — 2.4%
Ball Corp.		180,328		11,661,812
Technology — 26.5%
Semiconductors — 2.7%
Applied Materials, Inc.		111,469		6,804,067
Texas Instruments, Inc.		46,300		5,939,827
				12,743,894
Software — 23.8%
Activision Blizzard, Inc.		68,300		4,058,386
Adobe, Inc. (a)		36,200		11,939,122
Atlassian Corp. PLC Class A (a)		23,600		2,840,024
Autodesk, Inc. (a)		43,303		7,944,368
Intuit, Inc.		37,050		9,704,506
Microsoft Corp.		222,294		35,055,764
salesforce.com, Inc. (a)		46,634		7,584,554
Sea Ltd. (a) (b)		33,100		1,331,282
ServiceNow, Inc. (a)		73,936		20,873,612
Take-Two Interactive Software, Inc. (a)		56,937		6,970,797
Twilio, Inc. Class A (a) (b)		25,800		2,535,624
Workday, Inc. Class A (a)		22,900		3,765,905
				114,603,944
				127,347,838
TOTAL COMMON STOCK (Cost $321,183,514)				469,395,577
TOTAL EQUITIES (Cost $321,183,514)				469,395,577

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

81

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

	Number of Shares		Value
MUTUAL FUNDS — 2.7%
Diversified Financial Services — 2.7%
State Street Navigator Securities Lending Prime Portfolio (c)		13,185,365	$	13,185,365
TOTAL MUTUAL FUNDS (Cost $13,185,365)				13,185,365
TOTAL LONG-TERM INVESTMENTS (Cost $334,368,879)				482,580,942

	Principal Amount
SHORT-TERM INVESTMENTS — 3.8%
Repurchase Agreement — 3.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	18,149,297		18,149,297
TOTAL SHORT-TERM INVESTMENTS (Cost $18,149,297)				18,149,297
TOTAL INVESTMENTS — 104.2% (Cost $352,518,176) (e)				500,730,239
Other Assets/(Liabilities) — (4.2)%				(20,132,243	)
NET ASSETS — 100.0%			$	480,597,996

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, 2019, was $27,444,107 or 5.71% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $14,782,365 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

(d) Maturity value of $18,150,104. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $18,515,334.

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

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

82

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 95.5%
COMMON STOCK — 95.5%
Basic Materials — 1.0%
Forest Products & Paper — 1.0%
Mondi PLC		45,514	$	1,074,429
Communications — 0.7%
Telecommunications — 0.7%
Rogers Communications, Inc. Class B		14,145		702,375
Consumer, Cyclical — 13.5%
Airlines — 1.5%
Southwest Airlines Co.		29,677		1,601,964
Auto Manufacturers — 3.0%
Cummins, Inc.		6,373		1,140,512
Honda Motor Co. Ltd. Sponsored ADR		35,133		994,615
PACCAR, Inc.		12,475		986,773
				3,121,900
Auto Parts & Equipment — 1.3%
Aptiv PLC		5,233		496,977
BorgWarner, Inc.		20,647		895,667
				1,392,644
Food Services — 0.9%
Sodexo SA		8,167		968,644
Home Builders — 1.5%
PulteGroup, Inc.		22,337		866,675
Thor Industries, Inc.		9,123		677,748
				1,544,423
Leisure Time — 1.0%
Carnival Corp.		20,501		1,042,066
Retail — 4.3%
Advance Auto Parts, Inc.		9,073		1,453,132
Genuine Parts Co.		12,006		1,275,398
MSC Industrial Direct Co., Inc. Class A		13,605		1,067,584
Target Corp.		6,167		790,671
				4,586,785
				14,258,426
Consumer, Non-cyclical — 17.1%
Foods — 6.0%
Conagra Brands, Inc.		35,100		1,201,824
The J.M. Smucker Co.		7,016		730,576
Kellogg Co.		8,552		591,456
Koninklijke Ahold Delhaize NV		45,037		1,128,711
Mondelez International, Inc. Class A		10,633		585,666
Orkla ASA		110,225		1,117,122
Sysco Corp.		10,641		910,231
				6,265,586
Health Care – Products — 5.3%
Henry Schein, Inc. (a)		13,821		922,137
Hologic, Inc. (a)		16,753		874,674
Siemens Healthineers AG (b)		14,960		718,366
Zimmer Biomet Holdings, Inc.		20,539		3,074,278
				5,589,455
Health Care – Services — 2.6%
Quest Diagnostics, Inc.		15,359		1,640,188
Universal Health Services, Inc. Class B		7,635		1,095,317
				2,735,505
Household Products & Wares — 0.9%
Kimberly-Clark Corp.		6,844		941,392
Pharmaceuticals — 2.3%
Cardinal Health, Inc.		25,489		1,289,234
McKesson Corp.		8,450		1,168,804
				2,458,038
				17,989,976
Energy — 4.9%
Oil & Gas — 2.9%
ConocoPhillips		22,778		1,481,254
Imperial Oil Ltd. (c)		22,486		594,813
Noble Energy, Inc.		37,636		934,878
				3,010,945
Oil & Gas Services — 2.0%
Baker Hughes Co.		41,874		1,073,231
Schlumberger Ltd.		26,538		1,066,827
				2,140,058
				5,151,003
Financial — 27.3%
Banks — 13.2%
Comerica, Inc.		23,455		1,682,896
Commerce Bancshares, Inc.		18,690		1,269,799
First Hawaiian, Inc.		48,057		1,386,445
M&T Bank Corp.		7,769		1,318,788
Northern Trust Corp.		24,451		2,597,674
Prosperity Bancshares, Inc.		7,496		538,887
State Street Corp.		13,680		1,082,088
Truist Financial Corp.		46,525		2,620,288
UMB Financial Corp.		10,408		714,405
Westamerica Bancorp.		9,255		627,211
				13,838,481
Diversified Financial Services — 1.6%
Ameriprise Financial, Inc.		9,856		1,641,812
Insurance — 5.9%
Aflac, Inc.		15,937		843,067
Arthur J Gallagher & Co.		2,965		282,357
Brown & Brown, Inc.		12,746		503,212

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

83

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

	Number of Shares		Value
Chubb Ltd.		10,421	$	1,622,133
Globe Life, Inc.		3,925		413,106
ProAssurance Corp.		26,585		960,782
Reinsurance Group of America, Inc.		7,758		1,265,019
The Travelers Cos., Inc.		2,449		335,391
				6,225,067
Real Estate Investment Trusts (REITS) — 5.8%
Empire State Realty Trust, Inc. Class A		51,172		714,361
MGM Growth Properties LLC Class A		37,288		1,154,810
Piedmont Office Realty Trust, Inc. Class A		42,021		934,547
Welltower, Inc.		16,486		1,348,225
Weyerhaeuser Co.		66,130		1,997,126
				6,149,069
Savings & Loans — 0.8%
Capitol Federal Financial, Inc.		64,542		886,162
				28,740,591
Industrial — 15.7%
Aerospace & Defense — 0.8%
BAE Systems PLC		109,926		823,631
Building Materials — 1.4%
Johnson Controls International PLC		37,493		1,526,340
Electrical Components & Equipment — 4.1%
Emerson Electric Co.		25,762		1,964,610
Hubbell, Inc.		11,728		1,733,633
Schneider Electric SE		5,676		583,879
				4,282,122
Electronics — 2.5%
nVent Electric PLC		61,539		1,574,168
TE Connectivity Ltd.		11,198		1,073,216
				2,647,384
Environmental Controls — 0.8%
Republic Services, Inc.		9,964		893,073
Miscellaneous – Manufacturing — 2.5%
Eaton Corp. PLC		8,523		807,299
IMI PLC		64,536		1,009,866
Textron, Inc.		17,621		785,897
				2,603,062
Packaging & Containers — 2.6%
Graphic Packaging Holding Co.		32,460		540,459
Packaging Corp. of America		7,512		841,269
Sonoco Products Co.		12,088		746,071
WestRock Co.		13,559		581,817
				2,709,616
Transportation — 1.0%
Heartland Express, Inc.		47,884		1,007,958
				16,493,186
Technology — 5.3%
Computers — 0.7%
HP, Inc.		38,372		788,545
Semiconductors — 3.5%
Applied Materials, Inc.		23,376		1,426,871
Maxim Integrated Products, Inc.		21,928		1,348,791
Microchip Technology, Inc.		8,562		896,613
				3,672,275
Software — 1.1%
Cerner Corp.		15,918		1,168,222
				5,629,042
Utilities — 10.0%
Electric — 8.1%
Ameren Corp.		13,230		1,016,064
Edison International		20,029		1,510,387
Eversource Energy		9,275		789,024
NorthWestern Corp.		15,518		1,112,175
Pinnacle West Capital Corp.		15,181		1,365,227
WEC Energy Group, Inc.		6,675		615,635
Xcel Energy, Inc.		32,593		2,069,330
				8,477,842
Gas — 1.9%
Atmos Energy Corp.		8,431		943,092
Spire, Inc.		12,984		1,081,697
				2,024,789
				10,502,631
TOTAL COMMON STOCK (Cost $89,273,081)				100,541,659
TOTAL EQUITIES (Cost $89,273,081)				100,541,659
MUTUAL FUNDS — 3.1%
Diversified Financial Services — 3.1%
iShares Russell Mid-Cap Value ETF		34,654		3,284,160
TOTAL MUTUAL FUNDS (Cost $3,028,996)				3,284,160
TOTAL LONG-TERM INVESTMENTS (Cost $92,302,077)				103,825,819

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

84

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.9%
Repurchase Agreement — 1.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	1,945,164	$	1,945,164
TOTAL SHORT-TERM INVESTMENTS (Cost $1,945,164)				1,945,164
TOTAL INVESTMENTS — 100.5% (Cost $94,247,241) (e)				105,770,983
Other Assets/(Liabilities) — (0.5)%				(508,197	)
NET ASSETS — 100.0%			$	105,262,786

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 exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $718,366 or 0.68% of net assets.

(c) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $188,482 or 0.18% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $198,640 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(d) Maturity value of $1,945,251. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,984,704.

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

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of America N.A.	3/31/20	JPY	2,493,544	USD	23,054	$	4
Bank of America N.A.	3/31/20	USD	619,078	JPY	67,348,165		(3,702	)
Credit Suisse International	3/31/20	USD	3,002,684	EUR	2,674,664		(14,057	)
Credit Suisse International	3/31/20	EUR	75,815	USD	84,667		844
Goldman Sachs & Co.	3/31/20	USD	955,792	NOK	8,614,626		(25,686	)
Goldman Sachs & Co.	3/31/20	NOK	219,890	USD	24,992		60
JP Morgan Chase Bank N.A.	3/31/20	USD	2,438,110	GBP	1,850,882		(19,479	)
Morgan Stanley & Co. LLC	3/31/20	USD	1,096,662	CAD	1,442,322		(14,392	)
						$	(76,408	)

Currency Legend

CAD Canadian Dollar

EUR Euro

GBP British Pound

JPY Japanese Yen

NOK Norwegian Krone

USD U.S. Dollar

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

85

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.6%
COMMON STOCK — 99.6%
Basic Materials — 5.2%
Chemicals — 3.2%
Orion Engineered Carbons SA		43,760	$	844,568
PolyOne Corp.		29,055		1,068,934
Sensient Technologies Corp.		8,120		536,651
Stepan Co.		6,040		618,738
				3,068,891
Forest Products & Paper — 0.8%
Neenah, Inc.		10,180		716,977
Iron & Steel — 1.1%
Allegheny Technologies, Inc. (a)		49,958		1,032,132
Mining — 0.1%
Ferroglobe PLC (a)		117,793		110,726
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c)		234,800		-
				110,726
				4,928,726
Communications — 1.5%
Telecommunications — 1.5%
Ciena Corp. (a)		33,884		1,446,508
Consumer, Cyclical — 9.8%
Apparel — 0.6%
Kontoor Brands, Inc.		14,360		602,976
Auto Parts & Equipment — 3.6%
Adient PLC (a)		57,840		1,229,100
American Axle & Manufacturing Holdings, Inc. (a)		107,138		1,152,805
Cooper Tire & Rubber Co.		14,640		420,900
Gentherm, Inc. (a)		13,040		578,845
				3,381,650
Food Services — 1.1%
Aramark		22,800		989,520
Home Builders — 0.8%
TRI Pointe Group, Inc. (a)		47,420		738,804
Home Furnishing — 1.7%
Whirlpool Corp.		10,722		1,581,817
Office Furnishings — 0.6%
Steelcase, Inc. Class A		28,200		576,972
Retail — 0.2%
The Cato Corp. Class A		13,330		231,942
Storage & Warehousing — 1.2%
Mobile Mini, Inc.		30,876		1,170,509
				9,274,190
Consumer, Non-cyclical — 11.6%
Agriculture — 1.9%
Darling Ingredients, Inc. (a)		63,527		1,783,838
Beverages — 0.7%
C&C Group PLC (d)		121,936		655,459
Commercial Services — 3.5%
AMN Healthcare Services, Inc. (a)		7,320		456,109
BrightView Holdings, Inc. (a)		22,030		371,646
CBIZ, Inc. (a)		8,150		219,724
Forrester Research, Inc.		11,437		476,923
Huron Consulting Group, Inc. (a)		14,110		969,639
ICF International, Inc.		6,540		599,195
SEACOR Marine Holdings Inc. (a)		14,714		202,906
				3,296,142
Foods — 1.7%
Cranswick PLC		16,802		755,391
Post Holdings, Inc. (a)		4,660		508,406
SunOpta, Inc. (a) (d)		127,226		318,065
				1,581,862
Health Care – Products — 0.6%
Invacare Corp.		37,298		336,428
Natus Medical, Inc. (a)		7,650		252,374
				588,802
Health Care – Services — 1.1%
Encompass Health Corp.		15,379		1,065,303
Household Products & Wares — 2.1%
Acco Brands Corp.		71,580		669,989
Helen of Troy Ltd. (a)		2,280		409,921
Spectrum Brands Holdings, Inc.		13,640		876,916
				1,956,826
				10,928,232
Energy — 3.3%
Oil & Gas — 2.4%
Callon Petroleum Co. (a)		230,014		1,110,968
Kosmos Energy Ltd.		114,190		650,883
Magnolia Oil & Gas Corp. Class A (a) (d)		39,420		495,903
				2,257,754
Oil & Gas Services — 0.9%
Era Group, Inc. (a)		14,950		152,042
Thermon Group Holdings, Inc. (a)		27,630		740,484
				892,526
				3,150,280
Financial — 23.5%
Banks — 8.1%
1st Source Corp.		8,670		449,800
Atlantic Union Bankshares Corp.		16,730		628,211

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

86

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

	Number of Shares		Value
First Midwest Bancorp, Inc.		28,460	$	656,288
Great Western Bancorp, Inc.		17,650		613,161
Hancock Whitney Corp.		17,740		778,431
International Bancshares Corp.		18,960		816,607
Prosperity Bancshares, Inc.		16,804		1,208,039
Synovus Financial Corp.		14,610		572,712
Texas Capital Bancshares, Inc. (a)		23,188		1,316,383
Webster Financial Corp.		11,320		604,035
				7,643,667
Diversified Financial Services — 1.5%
PRA Group, Inc. (a)		38,816		1,409,021
Insurance — 6.5%
Alleghany Corp. (a)		1,618		1,293,704
Argo Group International Holdings Ltd.		2,550		167,663
Assured Guaranty Ltd.		11,360		556,867
Kemper Corp.		9,190		712,225
MGIC Investment Corp.		107,531		1,523,714
Reinsurance Group of America, Inc.		4,260		694,636
White Mountains Insurance Group Ltd.		1,090		1,215,906
				6,164,715
Real Estate — 0.8%
Alexander & Baldwin, Inc.		33,880		710,125
Real Estate Investment Trusts (REITS) — 5.1%
Brandywine Realty Trust		49,070		772,852
Corporate Office Properties Trust		26,500		778,570
DiamondRock Hospitality Co.		33,044		366,128
Physicians Realty Trust		49,370		935,068
PotlatchDeltic Corp.		14,023		606,775
RPT Realty		61,540		925,562
Summit Hotel Properties, Inc.		33,760		416,598
				4,801,553
Savings & Loans — 1.5%
Banc of California, Inc.		43,010		738,912
Northwest Bancshares, Inc.		39,650		659,379
				1,398,291
				22,127,372
Industrial — 31.7%
Aerospace & Defense — 1.6%
Astronics Corp. (a)		16,211		453,097
Barnes Group, Inc.		13,508		836,956
Park Aerospace Corp.		15,636		254,398
				1,544,451
Building Materials — 5.0%
American Woodmark Corp. (a)		9,360		978,214
Gibraltar Industries, Inc. (a)		29,365		1,481,170
Louisiana-Pacific Corp.		4,490		133,218
Simpson Manufacturing Co., Inc.		17,529		1,406,352
Tyman PLC		193,884		698,996
				4,697,950
Electrical Components & Equipment — 2.0%
Belden, Inc.		17,730		975,150
Encore Wire Corp.		16,076		922,762
				1,897,912
Electronics — 4.9%
Coherent, Inc. (a)		2,740		455,799
FARO Technologies, Inc. (a)		19,109		962,138
II-VI, Inc. (a)		49,436		1,664,510
Vishay Intertechnology, Inc.		70,192		1,494,388
				4,576,835
Engineering & Construction — 1.4%
Primoris Services Corp.		57,912		1,287,963
Environmental Controls — 0.7%
Clean Harbors, Inc. (a)		8,050		690,288
Hand & Machine Tools — 2.1%
Colfax Corp. (a)		36,259		1,319,102
Luxfer Holdings PLC		36,092		668,063
				1,987,165
Machinery – Construction & Mining — 1.2%
Terex Corp.		38,348		1,142,003
Machinery – Diversified — 0.2%
Albany International Corp. Class A		2,450		186,004
Metal Fabricate & Hardware — 3.1%
Mueller Industries, Inc.		31,530		1,001,078
TriMas Corp. (a)		37,690		1,183,843
Valmont Industries, Inc.		5,130		768,371
				2,953,292
Miscellaneous – Manufacturing — 3.7%
Actuant Corp. Class A		47,122		1,226,586
ESCO Technologies, Inc.		8,110		750,175
Federal Signal Corp.		46,181		1,489,337
				3,466,098
Packaging & Containers — 1.2%
Matthews International Corp. Class A		10,240		390,861
Sealed Air Corp.		19,030		757,965
				1,148,826
Transportation — 3.9%
Air Transport Services Group, Inc. (a)		53,040		1,244,318
Dorian LPG Ltd. (a)		26,437		409,245
Forward Air Corp.		8,930		624,654
Saia, Inc. (a)		4,420		411,590
Scorpio Tankers, Inc.		15,342		603,554
SEACOR Holdings, Inc. (a)		8,840		381,446
				3,674,807

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

87

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

	Number of Shares		Value
Trucking & Leasing — 0.7%
GATX Corp.		8,040	$	666,114
				29,919,708
Technology — 11.4%
Computers — 1.8%
MTS Systems Corp.		15,844		760,987
WNS Holdings Ltd. ADR (a)		13,810		913,532
				1,674,519
Semiconductors — 8.2%
Brooks Automation, Inc.		48,764		2,046,138
Cohu, Inc.		44,612		1,019,384
CTS Corp.		15,920		477,759
Diodes, Inc. (a)		41,120		2,317,934
Onto Innovation, Inc. (a)		22,328		815,865
Photronics, Inc. (a)		69,110		1,089,174
				7,766,254
Software — 1.4%
Allscripts Healthcare Solutions, Inc. (a)		59,760		586,545
CDK Global, Inc.		12,690		693,889
				1,280,434
				10,721,207
Utilities — 1.6%
Gas — 1.6%
New Jersey Resources Corp.		5,950		265,192
Spire, Inc.		4,700		391,556
UGI Corp.		19,145		864,588
				1,521,336
TOTAL COMMON STOCK (Cost $80,947,874)				94,017,559
TOTAL EQUITIES (Cost $80,947,874)				94,017,559
MUTUAL FUNDS — 0.4%
Diversified Financial Services — 0.4%
State Street Navigator Securities Lending Prime Portfolio (e)		346,374		346,374
TOTAL MUTUAL FUNDS (Cost $346,374)				346,374
TOTAL LONG-TERM INVESTMENTS (Cost $81,294,248)				94,363,933

	Principal Amount
SHORT-TERM INVESTMENTS — 3.1%
Repurchase Agreement — 3.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (f)	$	2,928,313		2,928,313
TOTAL SHORT-TERM INVESTMENTS (Cost $2,928,313)				2,928,313
TOTAL INVESTMENTS — 103.1% (Cost $84,222,561) (g)				97,292,246
Other Assets/(Liabilities) — (3.1)%				(2,904,578	)
NET ASSETS — 100.0%			$	94,387,668

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) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $0 or 0.00% of net assets.

(c) Investment was valued using significant unobservable inputs.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $865,943 or 0.92% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $564,010 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

(f) Maturity value of $2,928,443. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $2,992,481.

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

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

88

MassMutual Select Small Company Value Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.1%
COMMON STOCK — 98.1%
Basic Materials — 2.5%
Chemicals — 1.7%
Innophos Holdings, Inc.		19,149	$	612,386
Minerals Technologies, Inc.		19,497		1,123,612
Orion Engineered Carbons SA		89,428		1,725,960
				3,461,958
Forest Products & Paper — 0.0%
Neenah, Inc.		871		61,345
Iron & Steel — 0.8%
Carpenter Technology Corp.		32,608		1,623,226
Mining — 0.0%
Ferroglobe Representation & Warranty Insurance Trust (a) (b)		49,975		-
				5,146,529
Communications — 3.5%
Internet — 0.5%
Criteo SA Sponsored ADR (c)		57,441		995,452
Media — 0.9%
Entravision Communications Corp. Class A		216,776		567,953
Houghton Mifflin Harcourt Co. (c)		174,782		1,092,388
Townsquare Media, Inc. Class A		17,158		171,065
				1,831,406
Telecommunications — 2.1%
A10 Networks, Inc. (c)		198,249		1,361,971
Casa Systems, Inc. (c)		196,889		805,276
Extreme Networks, Inc. (c) (d)		131,008		965,529
LogMeIn, Inc.		14,814		1,270,152
				4,402,928
				7,229,786
Consumer, Cyclical — 13.1%
Airlines — 1.4%
Hawaiian Holdings, Inc.		52,252		1,530,461
SkyWest, Inc.		22,880		1,478,734
				3,009,195
Apparel — 0.6%
Skechers U.S.A., Inc. Class A (c)		26,724		1,154,210
Auto Manufacturers — 0.6%
REV Group, Inc.		102,118		1,248,903
Auto Parts & Equipment — 1.3%
Cooper-Standard Holding, Inc. (c)		22,658		751,340
Dana, Inc.		96,786		1,761,505
Spartan Motors, Inc.		9,388		169,735
				2,682,580
Entertainment — 0.2%
Accel Entertainment, Inc. (c) (d)		39,279		490,988
Home Builders — 0.9%
Taylor Morrison Home Corp. (c)		85,769		1,874,910
Leisure Time — 1.0%
Callaway Golf Co.		75,413		1,598,755
Camping World Holdings, Inc. Class A		13,042		192,239
Malibu Boats, Inc. Class A (c)		7,404		303,194
				2,094,188
Office Furnishings — 0.5%
Knoll, Inc.		41,569		1,050,033
Retail — 6.3%
Bloomin’ Brands, Inc.		69,577		1,535,564
BMC Stock Holdings, Inc. (c)		20,689		593,567
Citi Trends, Inc.		63,696		1,472,652
El Pollo Loco Holdings, Inc. (c) (d)		128,024		1,938,283
Foundation Building Materials, Inc. (c)		13,141		254,278
GMS, Inc. (c)		7,083		191,808
MarineMax, Inc. (c)		19,463		324,838
MSC Industrial Direct Co., Inc. Class A		1,223		95,969
Papa John’s International, Inc. (d)		30,903		1,951,525
Penske Automotive Group, Inc.		19,305		969,497
Red Robin Gourmet Burgers, Inc. (c) (d)		30,260		999,185
Regis Corp. (c)		99,882		1,784,891
Signet Jewelers Ltd. (d)		44,372		964,647
				13,076,704
Textiles — 0.3%
UniFirst Corp.		3,117		629,572
				27,311,283
Consumer, Non-cyclical — 9.4%
Beverages — 0.8%
Cott Corp.		123,617		1,691,080
Commercial Services — 2.1%
The Brink’s Co.		10,177		922,850
Cass Information Systems, Inc.		3,338		192,736
EVERTEC, Inc.		29,195		993,798
Healthcare Services Group, Inc.		19,730		479,834
Korn Ferry		14,672		622,093
Viad Corp.		17,184		1,159,920
				4,371,231
Foods — 3.2%
Fresh Del Monte Produce, Inc.		44,439		1,554,476
The Hain Celestial Group, Inc. (c) (d)		88,446		2,295,616
Nomad Foods Ltd. (c)		105,578		2,361,780

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

89

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

	Number of Shares		Value
Weis Markets, Inc.		9,459	$	382,995
				6,594,867
Health Care – Products — 0.2%
Patterson Cos., Inc. (d)		26,422		541,123
Health Care – Services — 2.0%
ICON PLC (c)		9,559		1,646,347
Molina Healthcare, Inc. (c)		11,067		1,501,681
The Providence Service Corp. (c)		17,589		1,040,917
				4,188,945
Household Products & Wares — 0.7%
Spectrum Brands Holdings, Inc.		21,434		1,377,992
Pharmaceuticals — 0.4%
Premier, Inc. Class A (c)		23,456		888,513
				19,653,751
Energy — 4.1%
Oil & Gas — 1.0%
Callon Petroleum Co. (c) (d)		45,179		218,215
Centennial Resource Development, Inc. Class A (c)		21,604		99,810
Earthstone Energy, Inc. Class A (c)		29,402		186,115
Magnolia Oil & Gas Corp. Class A (c) (d)		41,780		525,592
Parsley Energy, Inc. Class A		14,478		273,779
QEP Resources, Inc.		119,069		535,810
WPX Energy, Inc. (c)		18,532		254,630
				2,093,951
Oil & Gas Services — 3.1%
Dril-Quip, Inc. (c)		28,953		1,358,185
Helix Energy Solutions Group, Inc. (c)		120,692		1,162,264
Liberty Oilfield Services, Inc. Class A		6,275		69,778
MRC Global, Inc. (c)		78,594		1,072,022
NCS Multistage Holdings, Inc. (c)		72,038		151,280
NexTier Oilfield Solutions, Inc. (c)		14,016		93,907
Oil States International, Inc. (c)		73,837		1,204,282
Patterson-UTI Energy, Inc.		79,284		832,482
RPC, Inc. (d)		96,563		505,990
				6,450,190
				8,544,141
Financial — 39.2%
Banks — 19.6%
1st Source Corp.		25,558		1,325,949
Ameris Bancorp		6,370		270,980
Associated Banc-Corp.		82,339		1,814,752
Bank of Marin Bancorp		20,496		923,345
Bank OZK		1,873		57,136
BankUnited, Inc.		100,428		3,671,648
Carter Bank & Trust (c)		60,338		1,431,217
CrossFirst Bankshares, Inc. (c)		36,293		523,345
First Hawaiian, Inc.		43,745		1,262,043
HarborOne Bancorp, Inc. (c)		8,849		97,251
Heritage Financial Corp.		67,962		1,923,325
Hilltop Holdings, Inc.		16,469		410,572
Home BancShares, Inc.		85,907		1,688,932
IBERIABANK Corp.		29,316		2,193,716
Independent Bank Group, Inc.		45,192		2,505,444
Opus Bank		48,010		1,242,019
Origin Bancorp, Inc.		21,815		825,480
Prosperity Bancshares, Inc.		4,809		345,719
Sandy Spring Bancorp, Inc.		48,499		1,837,142
Signature Bank		9,294		1,269,653
South State Corp.		2,093		181,568
Synovus Financial Corp.		47,487		1,861,490
Texas Capital Bancshares, Inc. (c)		52,269		2,967,311
Towne Bank		13,581		377,823
TriCo Bancshares		37,776		1,541,639
UMB Financial Corp.		16,216		1,113,066
Umpqua Holdings Corp.		107,504		1,902,821
Valley National Bancorp		140,911		1,613,431
Webster Financial Corp.		36,342		1,939,209
Zions Bancorp NA		35,358		1,835,787
				40,953,813
Diversified Financial Services — 0.7%
Ares Management Corp. Class A		21,045		751,096
Deluxe Corp.		12,431		620,555
				1,371,651
Insurance — 6.1%
AMERISAFE, Inc.		7,720		509,752
Axis Capital Holdings Ltd.		24,974		1,484,455
Essent Group Ltd.		33,558		1,744,680
First American Financial Corp.		17,128		998,905
The Hanover Insurance Group, Inc.		2,551		348,645
James River Group Holdings Ltd.		23,351		962,295
Kemper Corp.		22,144		1,716,160
ProAssurance Corp.		42,474		1,535,010
ProSight Global, Inc. (c)		17,784		286,856
RenaissanceRe Holdings Ltd.		2,057		403,213
Selective Insurance Group, Inc.		20,432		1,331,962
State Auto Financial Corp.		25,980		805,900
White Mountains Insurance Group Ltd.		579		645,880
				12,773,713
Investment Companies — 0.8%
Compass Diversified Holdings (e)		71,034		1,765,905
Real Estate Investment Trusts (REITS) — 9.9%
Armada Hoffler Properties, Inc.		65,415		1,200,365
Brandywine Realty Trust		62,882		990,392
CareTrust REIT, Inc.		12,640		260,763
City Office REIT, Inc.		119,230		1,611,990

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

90

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

	Number of Shares		Value
Cousins Properties, Inc.		62,719	$	2,584,023
Easterly Government Properties, Inc.		54,023		1,281,966
Empire State Realty Trust, Inc. Class A		63,413		885,245
Four Corners Property Trust, Inc.		6,984		196,879
Highwoods Properties, Inc.		5,405		264,359
Independence Realty Trust, Inc.		138,530		1,950,502
Kite Realty Group Trust		47,876		935,018
Lexington Realty Trust		23,745		252,172
National Health Investors, Inc.		4,826		393,222
National Storage Affiliates Trust		59,604		2,003,887
Physicians Realty Trust		29,145		552,006
RLJ Lodging Trust		94,282		1,670,677
Sabra Health Care REIT, Inc.		13,900		296,626
STAG Industrial, Inc.		70,458		2,224,359
Summit Hotel Properties, Inc. (d)		31,234		385,428
Urstadt Biddle Properties, Inc. Class A		3,516		87,337
Weingarten Realty Investors		20,270		633,235
				20,660,451
Savings & Loans — 2.1%
Pacific Premier Bancorp, Inc.		16,602		541,308
Sterling Bancorp		79,306		1,671,771
WSFS Financial Corp.		47,066		2,070,433
				4,283,512
				81,809,045
Industrial — 14.5%
Aerospace & Defense — 0.9%
AAR Corp.		40,029		1,805,308
Building Materials — 1.2%
Masonite International Corp. (c)		28,952		2,090,624
Tecnoglass, Inc.		53,135		438,364
				2,528,988
Electrical Components & Equipment — 1.9%
Belden, Inc.		37,678		2,072,290
EnerSys		21,556		1,613,035
Graham Corp.		9,168		200,596
				3,885,921
Electronics — 2.1%
Advanced Energy Industries, Inc. (c)		3,313		235,886
Avnet, Inc.		12,800		543,232
Coherent, Inc. (c)		6,370		1,059,649
II-VI, Inc. (c) (d)		19,499		656,531
Tech Data Corp. (c)		2,316		332,578
TTM Technologies, Inc. (c)		101,654		1,529,893
				4,357,769
Engineering & Construction — 1.3%
Dycom Industries, Inc. (c)		10,193		480,600
Primoris Services Corp.		65,892		1,465,438
Tutor Perini Corp. (c)		65,135		837,636
				2,783,674
Environmental Controls — 0.2%
CECO Environmental Corp. (c)		41,258		316,036
Charah Solutions, Inc. (c)		88,276		215,394
				531,430
Hand & Machine Tools — 1.7%
Colfax Corp. (c)		16,465		598,997
Kennametal, Inc.		44,953		1,658,316
Regal Beloit Corp.		14,410		1,233,640
				3,490,953
Machinery – Construction & Mining — 0.4%
Terex Corp.		29,699		884,436
Machinery – Diversified — 0.5%
Cactus, Inc. Class A		9,459		324,633
DXP Enterprises, Inc. (c)		7,174		285,597
Hurco Cos., Inc.		8,209		314,897
Mueller Water Products, Inc. Class A		8,021		96,092
				1,021,219
Metal Fabricate & Hardware — 0.6%
The Timken Co.		17,091		962,394
Valmont Industries, Inc.		1,544		231,261
				1,193,655
Miscellaneous – Manufacturing — 0.9%
EnPro Industries, Inc.		10,299		688,797
Trinseo SA		29,539		1,099,146
				1,787,943
Packaging & Containers — 1.9%
Graphic Packaging Holding Co.		179,759		2,992,987
Silgan Holdings, Inc.		34,538		1,073,441
				4,066,428
Transportation — 0.9%
Covenant Transportation Group, Inc. Class A (c)		38,835		501,942
Hub Group, Inc. Class A (c)		27,741		1,422,836
				1,924,778
				30,262,502
Technology — 10.3%
Computers — 3.5%
NCR Corp. (c)		62,435		2,195,215
NetScout Systems, Inc. (c)		62,126		1,495,373
TTEC Holdings, Inc.		8,881		351,865
Unisys Corp. (c)		157,935		1,873,109
WNS Holdings Ltd. ADR (c)		21,062		1,393,251
				7,308,813

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

91

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

	Number of Shares		Value
Semiconductors — 3.7%
Cypress Semiconductor Corp.		15,736	$	367,121
KEMET Corp.		32,600		881,830
Kulicke & Soffa Industries, Inc.		117,515		3,196,408
Magnachip Semiconductor Corp. (c)		114,490		1,329,229
MaxLinear, Inc. (c)		65,291		1,385,475
Onto Innovation, Inc. (c)		13,190		481,962
				7,642,025
Software — 3.1%
CommVault Systems, Inc. (c)		34,198		1,526,599
Donnelley Financial Solutions, Inc. (c)		82,818		867,105
InnerWorkings, Inc. (c)		86,430		476,229
Sapiens International Corp. NV		6,197		142,531
Teradata Corp. (c)		51,544		1,379,833
Verint Systems, Inc. (c)		37,101		2,053,911
				6,446,208
				21,397,046
Utilities — 1.5%
Electric — 1.5%
Black Hills Corp.		19,621		1,541,033
PNM Resources, Inc.		33,408		1,694,120
				3,235,153
TOTAL COMMON STOCK (Cost $188,415,784)				204,589,236
TOTAL EQUITIES (Cost $188,415,784)				204,589,236
MUTUAL FUNDS — 0.5%
Diversified Financial Services — 0.5%
State Street Navigator Securities Lending Prime Portfolio (f)		1,173,074		1,173,074
TOTAL MUTUAL FUNDS (Cost $1,173,074)				1,173,074
TOTAL LONG-TERM INVESTMENTS (Cost $189,588,858)				205,762,310

	Principal Amount
SHORT-TERM INVESTMENTS — 1.3%
Repurchase Agreement — 1.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (g)	$	2,639,923		2,639,923
TOTAL SHORT-TERM INVESTMENTS (Cost $2,639,923)				2,639,923
TOTAL INVESTMENTS — 99.9% (Cost $192,228,781) (h)				208,402,233
Other Assets/(Liabilities) — 0.1%				182,885
NET ASSETS — 100.0%			$	208,585,118

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $0 or 0.00% of net assets.

(b) Investment was valued using significant unobservable inputs.

(c) Non-income producing security.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $6,101,242 or 2.93% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $5,035,363 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(e) Security is a Master Limited Partnership

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

(g) Maturity value of $2,640,040. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $2,699,403.

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

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

92

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

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.3%
COMMON STOCK — 100.3%
Basic Materials — 4.3%
Chemicals — 2.3%
Ashland Global Holdings, Inc.		15,536	$	1,188,970
Cabot Corp.		14,796		703,106
The Chemours Co. (a)		42,339		765,912
Ingevity Corp. (b)		10,835		946,762
Minerals Technologies, Inc.		9,081		523,338
NewMarket Corp.		1,911		929,740
Olin Corp.		41,233		711,269
PolyOne Corp.		20,082		738,817
RPM International, Inc.		33,510		2,572,228
Sensient Technologies Corp.		10,864		718,002
Valvoline, Inc.		48,880		1,046,521
				10,844,665
Forest Products & Paper — 0.1%
Domtar Corp.		14,722		562,969
Iron & Steel — 1.4%
Allegheny Technologies, Inc. (b)		32,284		666,988
Carpenter Technology Corp.		12,198		607,216
Commercial Metals Co.		30,708		683,867
Reliance Steel & Aluminum Co.		17,254		2,066,339
Steel Dynamics, Inc.		55,751		1,897,764
United States Steel Corp. (a)		43,975		501,755
				6,423,929
Mining — 0.5%
Compass Minerals International, Inc.		8,851		539,557
Royal Gold, Inc.		16,979		2,075,683
				2,615,240
				20,446,803
Communications — 3.5%
Internet — 0.6%
Etsy, Inc. (b)		30,628		1,356,820
TripAdvisor, Inc.		27,191		826,063
Yelp, Inc. (b)		16,417		571,804
				2,754,687
Media — 1.9%
AMC Networks, Inc. Class A (b)		11,447		452,157
Cable One, Inc.		1,301		1,936,499
FactSet Research Systems, Inc.		9,833		2,638,194
John Wiley & Sons, Inc. Class A		11,422		554,195
Meredith Corp.		10,355		336,227
The New York Times Co. Class A (a)		37,336		1,201,099
TEGNA, Inc.		55,960		933,972
World Wrestling Entertainment, Inc. Class A (a)		12,273		796,150
				8,848,493
Telecommunications — 1.0%
Ciena Corp. (b)		39,866		1,701,880
InterDigital, Inc.		8,015		436,737
LogMeIn, Inc.		12,603		1,080,581
Telephone & Data Systems, Inc.		25,401		645,947
ViaSat, Inc. (b)		14,941		1,093,607
				4,958,752
				16,561,932
Consumer, Cyclical — 14.4%
Airlines — 0.3%
JetBlue Airways Corp. (b)		74,697		1,398,328
Apparel — 1.0%
Carter’s, Inc.		11,363		1,242,431
Columbia Sportswear Co. (a)		7,494		750,824
Deckers Outdoor Corp. (b)		7,234		1,221,533
Skechers U.S.A., Inc. Class A (b)		34,723		1,499,686
				4,714,474
Auto Parts & Equipment — 1.1%
Adient PLC (b)		22,587		479,974
Dana, Inc.		37,440		681,408
Delphi Technologies PLC		22,589		289,817
Lear Corp.		14,203		1,948,652
The The Goodyear Tire & Rubber Co.		60,109		934,995
Visteon Corp. (b)		7,285		630,808
				4,965,654
Distribution & Wholesale — 1.0%
KAR Auction Services, Inc. (a)		33,229		724,060
Pool Corp.		10,351		2,198,345
Resideo Technologies, Inc. (b)		31,198		372,192
Watsco, Inc.		8,468		1,525,510
				4,820,107
Entertainment — 1.4%
Churchill Downs, Inc.		9,156		1,256,203
Cinemark Holdings, Inc. (a)		27,695		937,476
Eldorado Resorts, Inc. (a) (b)		17,004		1,014,119
Marriott Vacations Worldwide Corp.		9,678		1,246,139
Penn National Gaming, Inc. (b)		27,913		713,456
Scientific Games Corp. Class A (b)		13,777		368,948
Six Flags Entertainment Corp.		20,310		916,184
				6,452,525
Food Services — 0.2%
GrubHub, Inc. (a) (b)		23,606		1,148,196
Home Builders — 0.8%
KB Home		22,371		766,654
Thor Industries, Inc. (a)		14,213		1,055,884
Toll Brothers, Inc.		33,588		1,327,062

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

93

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

	Number of Shares		Value
TRI Pointe Group, Inc. (b)		35,845	$	558,465
				3,708,065
Home Furnishing — 0.2%
Tempur Sealy International, Inc. (b)		11,761		1,023,913
Housewares — 0.7%
The Scotts Miracle-Gro Co.		10,241		1,087,389
The Toro Co.		27,591		2,198,175
				3,285,564
Leisure Time — 0.6%
Brunswick Corp.		21,078		1,264,258
Polaris, Inc.		14,911		1,516,449
				2,780,707
Lodging — 1.3%
Boyd Gaming Corp.		20,836		623,830
Caesars Entertainment Corp. (b)		144,356		1,963,242
Choice Hotels International, Inc. (a)		8,164		844,402
Wyndham Destinations, Inc.		23,401		1,209,598
Wyndham Hotels & Resorts, Inc.		24,551		1,542,048
				6,183,120
Office Furnishings — 0.2%
Herman Miller, Inc.		15,143		630,706
HNI Corp.		11,226		420,526
				1,051,232
Retail — 5.3%
American Eagle Outfitters, Inc.		41,529		610,476
AutoNation, Inc. (b)		15,267		742,434
Bed Bath & Beyond, Inc.		33,070		572,111
BJ’s Wholesale Club Holdings, Inc. (a) (b)		31,594		718,448
Brinker International, Inc. (a)		9,743		409,206
Casey’s General Stores, Inc.		9,543		1,517,242
The Cheesecake Factory, Inc. (a)		10,519		408,768
Cracker Barrel Old Country Store, Inc. (a)		6,238		959,030
Dick’s Sporting Goods, Inc. (a)		16,421		812,675
Dillard’s, Inc. Class A (a)		2,513		184,655
Domino’s Pizza, Inc.		10,598		3,113,481
Dunkin’ Brands Group, Inc.		21,454		1,620,635
FirstCash, Inc.		10,971		884,592
Five Below, Inc. (b)		14,422		1,843,997
Foot Locker, Inc.		27,653		1,078,191
Jack in the Box, Inc.		6,080		474,422
MSC Industrial Direct Co., Inc. Class A		11,562		907,270
Nu Skin Enterprises, Inc. Class A		14,526		595,276
Ollie’s Bargain Outlet Holdings, Inc. (a) (b)		14,124		922,439
Papa John’s International, Inc. (a)		5,781		365,070
RH (b)		4,226		902,251
Sally Beauty Holdings, Inc. (a) (b)		30,060		548,595
Texas Roadhouse, Inc. (a)		16,931		953,554
Urban Outfitters, Inc. (b)		18,021		500,443
The Wendy’s Co.		47,678		1,058,928
Williams-Sonoma, Inc. (a)		20,100		1,476,144
World Fuel Services Corp.		16,751		727,328
				24,907,661
Toys, Games & Hobbies — 0.3%
Mattel, Inc. (a) (b)		89,656		1,214,839
				67,654,385
Consumer, Non-cyclical — 16.0%
Beverages — 0.2%
The Boston Beer Co., Inc. Class A (b)		2,373		896,638
Biotechnology — 1.6%
Arrowhead Pharmaceuticals, Inc. (b)		25,900		1,642,837
Bio-Rad Laboratories, Inc. Class A (b)		5,591		2,068,838
Exelixis, Inc. (b)		78,639		1,385,619
Ligand Pharmaceuticals, Inc. (a) (b)		4,514		470,765
Nektar Therapeutics (a) (b)		45,359		979,074
United Therapeutics Corp. (b)		11,357		1,000,324
				7,547,457
Commercial Services — 4.2%
Aaron’s, Inc.		17,358		991,315
Adtalem Global Education, Inc. (b)		13,836		483,845
ASGN, Inc. (b)		13,667		969,947
Avis Budget Group, Inc. (b)		14,674		473,090
The Brink’s Co.		12,993		1,178,205
CoreLogic, Inc. (b)		20,713		905,365
FTI Consulting, Inc. (b)		9,742		1,078,050
Graham Holdings Co. Class B		1,116		713,113
Grand Canyon Education, Inc. (b)		12,484		1,195,842
Green Dot Corp. Class A (b)		12,292		286,404
Healthcare Services Group, Inc.		19,293		469,206
HealthEquity, Inc. (b)		18,258		1,352,370
Insperity, Inc.		9,714		835,793
Liveramp Holdings, Inc. (b)		17,653		848,580
ManpowerGroup, Inc.		15,229		1,478,736
Sabre Corp.		70,919		1,591,422
Service Corp. International		47,306		2,177,495
WEX, Inc. (b)		11,190		2,343,857
WW International, Inc. (b)		11,985		457,947
				19,830,582
Cosmetics & Personal Care — 0.1%
Edgewell Personal Care Co. (b)		14,088		436,164
Foods — 1.9%
Flowers Foods, Inc.		49,998		1,086,957
The Hain Celestial Group, Inc. (a) (b)		20,785		539,475
Ingredion, Inc.		17,280		1,606,176
Lancaster Colony Corp.		5,129		821,153
Pilgrim’s Pride Corp. (b)		13,494		441,456

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

94

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

	Number of Shares		Value
Post Holdings, Inc. (b)		17,182	$	1,874,556
Sanderson Farms, Inc.		5,063		892,202
Sprouts Farmers Market, Inc. (b)		30,259		585,512
Tootsie Roll Industries, Inc. (a)		4,508		153,903
TreeHouse Foods, Inc. (b)		14,479		702,231
				8,703,621
Health Care – Products — 4.2%
Avanos Medical, Inc. (b)		12,413		418,318
Bio-Techne Corp.		9,859		2,164,149
Cantel Medical Corp. (a)		9,690		687,021
Globus Medical, Inc. Class A (b)		19,911		1,172,360
Haemonetics Corp. (b)		13,165		1,512,658
Hill-Rom Holdings, Inc.		17,292		1,963,161
ICU Medical, Inc. (b)		5,004		936,348
Integra LifeSciences Holdings Corp. (b)		18,428		1,073,984
LivaNova PLC (b)		12,524		944,685
Masimo Corp. (b)		12,702		2,007,678
NuVasive, Inc. (b)		13,442		1,039,604
Patterson Cos., Inc. (a)		22,104		452,690
Penumbra, Inc. (a) (b)		8,313		1,365,577
Repligen Corp. (b)		12,155		1,124,338
West Pharmaceutical Services, Inc.		19,135		2,876,565
				19,739,136
Health Care – Services — 3.1%
Acadia Healthcare Co., Inc. (b)		23,118		767,980
Amedisys, Inc. (b)		8,352		1,394,116
Catalent, Inc. (b)		37,866		2,131,856
Charles River Laboratories International, Inc. (b)		12,634		1,929,970
Chemed Corp.		4,140		1,818,536
Encompass Health Corp.		25,537		1,768,948
MEDNAX, Inc. (b)		21,816		606,267
Molina Healthcare, Inc. (b)		16,219		2,200,756
Syneos Health, Inc. (b)		16,131		959,391
Tenet Healthcare Corp. (b)		26,874		1,022,018
				14,599,838
Household Products & Wares — 0.2%
Helen of Troy Ltd. (b)		6,505		1,169,534
Pharmaceuticals — 0.5%
PRA Health Sciences, Inc. (b)		16,362		1,818,636
Prestige Consumer Healthcare, Inc. (b)		12,977		525,569
				2,344,205
				75,267,175
Energy — 2.7%
Energy – Alternate Sources — 0.5%
First Solar, Inc. (b)		19,684		1,101,516
SolarEdge Technologies, Inc. (b)		12,575		1,195,757
				2,297,273
Oil & Gas — 1.5%
Chesapeake Energy Corp. (a) (b)		308,096		254,364
CNX Resources Corp. (b)		48,325		427,676
EQT Corp. (a)		65,433		713,220
Matador Resources Co. (b)		28,510		512,325
Murphy Oil Corp. (a)		38,610		1,034,748
Murphy USA, Inc. (b)		7,469		873,873
PBF Energy, Inc. Class A		26,188		821,518
Transocean Ltd. (a) (b)		149,664		1,029,688
WPX Energy, Inc. (b)		108,292		1,487,932
				7,155,344
Oil & Gas Services — 0.4%
Apergy Corp. (b)		20,093		678,742
Core Laboratories NV		11,535		434,523
NOW, Inc. (b)		27,924		313,866
Patterson-UTI Energy, Inc.		50,155		526,627
				1,953,758
Pipelines — 0.3%
Antero Midstream Corp. (a)		76,867		583,421
Equitrans Midstream Corp. (a)		52,404		700,117
				1,283,538
				12,689,913
Financial — 27.2%
Banks — 7.0%
Associated Banc-Corp.		41,119		906,263
BancorpSouth Bank		24,791		778,685
Bank of Hawaii Corp.		10,368		986,619
Bank OZK		31,230		952,671
Cathay General Bancorp		19,418		738,855
Commerce Bancshares, Inc.		26,884		1,826,499
Cullen/Frost Bankers, Inc.		14,792		1,446,362
East West Bancorp, Inc.		37,673		1,834,675
F.N.B. Corp.		84,236		1,069,797
First Financial Bankshares, Inc. (a)		35,260		1,237,626
First Horizon National Corp.		80,316		1,330,033
Fulton Financial Corp.		42,645		743,302
Hancock Whitney Corp.		22,538		988,967
Home BancShares, Inc.		39,976		785,928
International Bancshares Corp.		14,697		633,000
PacWest Bancorp		30,910		1,182,926
Pinnacle Financial Partners, Inc.		18,571		1,188,544
Prosperity Bancshares, Inc.		24,381		1,752,750
Signature Bank		13,963		1,907,485
Synovus Financial Corp.		38,018		1,490,306
TCF Financial Corp. (a)		39,733		1,859,504
Texas Capital Bancshares, Inc. (b)		13,120		744,822
Trustmark Corp.		16,755		578,215
UMB Financial Corp.		11,082		760,669
Umpqua Holdings Corp.		57,006		1,009,006
United Bankshares, Inc.		26,459		1,022,905
Valley National Bancorp		101,919		1,166,973

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

95

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

	Number of Shares		Value
Webster Financial Corp.		23,658	$	1,262,391
Wintrust Financial Corp.		14,681		1,040,883
				33,226,661
Diversified Financial Services — 3.0%
Affiliated Managers Group, Inc.		12,740		1,079,588
Deluxe Corp.		10,863		542,281
Eaton Vance Corp.		29,355		1,370,585
Evercore, Inc. Class A		10,057		751,861
Federated Investors, Inc. Class B		24,718		805,560
Interactive Brokers Group, Inc. Class A		19,912		928,297
Janus Henderson Group PLC		40,229		983,599
Jefferies Financial Group, Inc.		65,410		1,397,812
Legg Mason, Inc.		20,983		753,500
LendingTree, Inc. (a) (b)		1,966		596,563
Navient Corp.		50,249		687,406
SEI Investments Co.		32,633		2,136,809
SLM Corp.		108,843		969,791
Stifel Financial Corp.		17,593		1,067,015
				14,070,667
Insurance — 5.2%
Alleghany Corp. (b)		3,730		2,982,396
American Financial Group, Inc.		19,326		2,119,096
Brighthouse Financial, Inc. (b)		28,251		1,108,287
Brown & Brown, Inc.		60,442		2,386,250
CNO Financial Group, Inc.		38,987		706,834
First American Financial Corp.		29,070		1,695,362
Genworth Financial, Inc. Class A (b)		129,070		567,908
The Hanover Insurance Group, Inc.		10,152		1,387,474
Kemper Corp.		16,276		1,261,390
Mercury General Corp.		6,936		337,991
Old Republic International Corp.		73,923		1,653,658
Primerica, Inc.		10,666		1,392,553
Reinsurance Group of America, Inc.		16,220		2,644,833
RenaissanceRe Holdings Ltd.		11,435		2,241,489
RLI Corp.		10,302		927,386
Selective Insurance Group, Inc.		15,439		1,006,469
				24,419,376
Real Estate — 0.6%
Alexander & Baldwin, Inc.		17,648		369,902
Jones Lang LaSalle, Inc.		13,325		2,319,749
				2,689,651
Real Estate Investment Trusts (REITS) — 10.7%
American Campus Communities, Inc.		35,382		1,664,016
Brixmor Property Group, Inc.		77,387		1,672,333
Camden Property Trust		25,076		2,660,564
CoreCivic, Inc.		31,132		541,074
CoreSite Realty Corp.		9,733		1,091,264
Corporate Office Properties Trust		28,886		848,671
Cousins Properties, Inc.		38,094		1,569,473
CyrusOne, Inc.		29,328		1,918,931
Diversified Healthcare Trust		60,527		510,848
Douglas Emmett, Inc.		42,462		1,864,082
EastGroup Properties, Inc.		9,909		1,314,627
EPR Properties		20,206		1,427,352
First Industrial Realty Trust, Inc.		32,870		1,364,434
The GEO Group, Inc.		31,746		527,301
Healthcare Realty Trust, Inc.		34,466		1,150,130
Highwoods Properties, Inc.		26,675		1,304,674
JBG SMITH Properties		30,358		1,210,981
Kilroy Realty Corp.		25,187		2,113,189
Lamar Advertising Co. Class A (a)		22,286		1,989,248
Liberty Property Trust		40,820		2,451,241
Life Storage, Inc.		12,133		1,313,761
The Macerich Co. (a)		28,368		763,667
Mack-Cali Realty Corp.		23,465		542,745
Medical Properties Trust, Inc.		133,757		2,823,610
National Retail Properties, Inc.		44,432		2,382,444
Omega Healthcare Investors, Inc.		56,437		2,390,107
Park Hotels & Resorts, Inc.		62,160		1,608,079
Pebblebrook Hotel Trust (a)		33,768		905,320
PotlatchDeltic Corp.		17,236		745,802
PS Business Parks, Inc.		5,197		856,829
Rayonier, Inc.		33,537		1,098,672
Sabra Health Care REIT, Inc.		49,962		1,066,189
Service Properties Trust		42,810		1,041,567
Spirit Realty Capital, Inc. (a)		25,932		1,275,336
Tanger Factory Outlet Centers, Inc. (a)		24,082		354,728
Taubman Centers, Inc. (a)		16,056		499,181
Urban Edge Properties		30,058		576,512
Weingarten Realty Investors		31,149		973,095
				50,412,077
Savings & Loans — 0.7%
New York Community Bancorp, Inc.		121,345		1,458,567
Sterling Bancorp		52,623		1,109,293
Washington Federal, Inc.		20,389		747,257
				3,315,117
				128,133,549
Industrial — 19.3%
Aerospace & Defense — 0.9%
Mercury Systems, Inc. (b)		14,434		997,533
Teledyne Technologies, Inc. (b)		9,433		3,268,912
				4,266,445
Building Materials — 1.9%
Eagle Materials, Inc.		10,747		974,323
Lennox International, Inc.		9,062		2,210,856
Louisiana-Pacific Corp.		30,406		902,146
MDU Resources Group, Inc.		51,745		1,537,344
Owens Corning		28,182		1,835,212

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

96

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

	Number of Shares		Value
Trex Co., Inc. (b)		15,023	$	1,350,267
				8,810,148
Electrical Components & Equipment — 1.9%
Acuity Brands, Inc.		10,247		1,414,086
Belden, Inc.		10,037		552,035
Energizer Holdings, Inc. (a)		16,714		839,377
EnerSys		10,904		815,946
Hubbell, Inc.		14,084		2,081,897
Littelfuse, Inc.		6,318		1,208,634
Universal Display Corp.		10,970		2,260,588
				9,172,563
Electronics — 3.9%
Arrow Electronics, Inc. (b)		21,062		1,784,794
Avnet, Inc.		26,078		1,106,750
Coherent, Inc. (a) (b)		6,206		1,032,368
Gentex Corp.		65,478		1,897,552
II-VI, Inc. (a) (b)		22,649		762,592
Jabil, Inc.		35,784		1,478,953
National Instruments Corp.		30,491		1,290,989
nVent Electric PLC		40,198		1,028,265
SYNNEX Corp.		10,505		1,353,044
Tech Data Corp. (b)		9,132		1,311,355
Trimble, Inc. (b)		64,366		2,683,419
Vishay Intertechnology, Inc.		34,415		732,695
Woodward, Inc.		14,596		1,728,750
				18,191,526
Engineering & Construction — 1.3%
AECOM (b)		40,580		1,750,215
Dycom Industries, Inc. (b)		8,190		386,159
EMCOR Group, Inc.		14,581		1,258,340
Fluor Corp.		36,592		690,857
KBR, Inc.		36,630		1,117,215
MasTec, Inc. (b)		15,657		1,004,553
				6,207,339
Environmental Controls — 0.8%
Clean Harbors, Inc. (b)		13,336		1,143,562
Stericycle, Inc. (b)		23,635		1,508,149
Tetra Tech, Inc.		14,049		1,210,462
				3,862,173
Hand & Machine Tools — 1.1%
Colfax Corp. (b)		21,788		792,648
Kennametal, Inc.		21,463		791,770
Lincoln Electric Holdings, Inc.		15,733		1,521,853
MSA Safety, Inc.		9,233		1,166,682
Regal Beloit Corp.		10,574		905,240
				5,178,193
Machinery – Construction & Mining — 0.5%
Oshkosh Corp.		17,579		1,663,852
Terex Corp.		16,957		504,980
				2,168,832
Machinery – Diversified — 2.3%
AGCO Corp.		16,263		1,256,317
Cognex Corp.		44,209		2,477,472
Crane Co.		13,212		1,141,253
Curtiss-Wright Corp.		11,082		1,561,343
Graco, Inc.		43,176		2,245,152
Nordson Corp.		13,242		2,156,327
				10,837,864
Metal Fabricate & Hardware — 0.5%
The Timken Co.		17,592		990,606
Valmont Industries, Inc.		5,557		832,327
Worthington Industries, Inc.		9,512		401,216
				2,224,149
Miscellaneous – Manufacturing — 2.0%
AptarGroup, Inc.		16,477		1,905,071
Axon Enterprise, Inc. (a) (b)		15,281		1,119,792
Carlisle Cos., Inc.		14,654		2,371,603
Donaldson Co., Inc.		32,787		1,889,187
ITT, Inc.		22,612		1,671,253
Trinity Industries, Inc.		25,314		560,705
				9,517,611
Packaging & Containers — 0.6%
Greif, Inc. Class A		6,711		296,626
O-I Glass, Inc.		39,819		475,041
Silgan Holdings, Inc.		19,880		617,870
Sonoco Products Co.		25,980		1,603,486
				2,993,023
Transportation — 1.4%
Kirby Corp. (b)		15,566		1,393,624
Knight-Swift Transportation Holdings, Inc.		31,914		1,143,798
Landstar System, Inc.		10,171		1,158,172
Ryder System, Inc.		13,772		747,957
Werner Enterprises, Inc.		11,567		420,923
XPO Logistics, Inc. (a) (b)		23,867		1,902,200
				6,766,674
Trucking & Leasing — 0.2%
GATX Corp. (a)		9,145		757,663
				90,954,203
Technology — 8.6%
Computers — 1.7%
CACI International, Inc. Class A (b)		6,470		1,617,435
Lumentum Holdings, Inc. (b)		19,971		1,583,700
MAXIMUS, Inc.		16,589		1,234,056
NCR Corp. (b)		32,980		1,159,577
NetScout Systems, Inc. (b)		17,162		413,090
Perspecta, Inc.		35,705		944,040
Science Applications International Corp.		12,743		1,108,896
				8,060,794

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

97

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

	Number of Shares		Value
Semiconductors — 3.2%
Cabot Microelectronics Corp.		7,512	$	1,084,132
Cirrus Logic, Inc. (b)		14,945		1,231,617
Cree, Inc. (b)		27,851		1,285,324
Cypress Semiconductor Corp.		95,591		2,230,138
MKS Instruments, Inc.		14,133		1,554,771
Monolithic Power Systems, Inc.		10,443		1,859,063
Semtech Corp. (b)		17,166		908,081
Silicon Laboratories, Inc. (b)		11,267		1,306,747
Synaptics, Inc. (b)		8,652		569,042
Teradyne, Inc.		43,332		2,954,809
				14,983,724
Software — 3.7%
ACI Worldwide, Inc. (b)		29,789		1,128,556
Allscripts Healthcare Solutions, Inc. (b)		41,840		410,660
Blackbaud, Inc.		12,792		1,018,243
CDK Global, Inc.		31,396		1,716,733
Ceridian HCM Holding, Inc. (b)		26,084		1,770,582
CommVault Systems, Inc. (b)		10,783		481,353
Fair Isaac Corp. (b)		7,493		2,807,477
j2 Global, Inc.		11,935		1,118,429
Manhattan Associates, Inc. (b)		16,533		1,318,507
PTC, Inc. (b)		26,890		2,013,792
Teradata Corp. (b)		28,958		775,206
Tyler Technologies, Inc. (b)		10,090		3,027,202
				17,586,740
				40,631,258
Utilities — 4.3%
Electric — 2.0%
ALLETE, Inc.		13,266		1,076,801
Black Hills Corp.		15,880		1,247,215
Hawaiian Electric Industries, Inc.		28,285		1,325,435
IDACORP, Inc.		12,974		1,385,623
NorthWestern Corp.		13,084		937,730
OGE Energy Corp.		51,867		2,306,526
PNM Resources, Inc.		20,697		1,049,545
				9,328,875
Gas — 1.7%
National Fuel Gas Co.		22,390		1,042,031
New Jersey Resources Corp.		24,499		1,091,920
ONE Gas, Inc.		13,695		1,281,441
Southwest Gas Holdings, Inc.		14,136		1,073,912
Spire, Inc.		13,207		1,100,275
UGI Corp.		54,032		2,440,085
				8,029,664
Water — 0.6%
Aqua America, Inc.		55,872		2,622,632
				19,981,171
TOTAL COMMON STOCK (Cost $404,103,016)				472,320,389
TOTAL EQUITIES (Cost $404,103,016)				472,320,389
MUTUAL FUNDS — 1.7%
Diversified Financial Services — 1.7%
State Street Navigator Securities Lending Prime Portfolio (c)		8,151,599		8,151,599
TOTAL MUTUAL FUNDS (Cost $8,151,599)				8,151,599
TOTAL LONG-TERM INVESTMENTS (Cost $412,254,615)				480,471,988

	Principal Amount
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.7%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	2,985,964		2,985,964
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill 0.000% 1/09/20 (e)		905,000		904,752
TOTAL SHORT-TERM INVESTMENTS (Cost $3,890,567)				3,890,716
TOTAL INVESTMENTS — 102.9% (Cost $416,145,182) (f)				484,362,704
Other Assets/(Liabilities) — (2.9)%				(13,560,014	)
NET ASSETS — 100.0%			$	470,802,690

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, 2019, was $37,704,251 or 8.01% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $30,393,176 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(b) Non-income producing security.

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

98

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

Notes to Portfolio of Investments (Continued)

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

(d) Maturity value of $2,986,096. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $3,049,040.

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

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

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
S&P Midcap 400 E mini Index	3/20/20		25	$	5,103,839	$	58,161

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

99

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.2%
COMMON STOCK — 100.2%
Basic Materials — 3.1%
Chemicals — 1.8%
AdvanSix, Inc. (a)		4,111	$	82,055
American Vanguard Corp.		4,246		82,670
Amyris, Inc. (a) (b)		8,821		27,257
Balchem Corp.		4,760		483,759
Codexis, Inc. (a) (b)		7,888		126,129
Ferro Corp. (a)		12,045		178,627
GCP Applied Technologies, Inc. (a)		7,942		180,363
H.B. Fuller Co.		7,549		389,302
Hawkins, Inc.		1,473		67,478
Ingevity Corp. (a)		6,216		543,154
Innophos Holdings, Inc.		2,868		91,719
Innospec, Inc.		3,604		372,798
Intrepid Potash, Inc. (a)		13,711		37,157
Koppers Holdings, Inc. (a)		2,815		107,589
Kraton Corp. (a)		4,627		117,156
Kronos Worldwide, Inc.		3,367		45,118
Marrone Bio Innovations, Inc. (a)		7,629		7,705
Minerals Technologies, Inc.		5,125		295,354
Oil-Dri Corp. of America		759		27,514
OMNOVA Solutions, Inc. (a)		6,339		64,087
Orion Engineered Carbons SA		8,947		172,677
PolyOne Corp.		11,367		418,192
PQ Group Holdings, Inc. (a)		5,527		94,954
Quaker Chemical Corp. (b)		1,946		320,156
Rayonier Advanced Materials, Inc.		7,167		27,521
Rogers Corp. (a)		2,741		341,885
Sensient Technologies Corp.		6,281		415,111
Stepan Co.		3,042		311,622
Tronox Holdings PLC Class A		13,509		154,273
Valhi, Inc.		4,403		8,234
				5,591,616
Forest Products & Paper — 0.2%
Clearwater Paper Corp. (a)		2,385		50,944
Neenah, Inc.		2,470		173,962
P.H. Glatfelter Co.		6,399		117,102
Schweitzer-Mauduit International, Inc.		4,584		192,482
Verso Corp. Class A (a)		5,172		93,251
				627,741
Iron & Steel — 0.5%
AK Steel Holding Corp. (a) (b)		46,429		152,751
Allegheny Technologies, Inc. (a)		18,623		384,751
Carpenter Technology Corp.		6,978		347,365
Cleveland-Cliffs, Inc. (b)		39,875		334,950
Commercial Metals Co.		17,457		388,767
Schnitzer Steel Industries, Inc. Class A		3,861		83,707
				1,692,291
Mining — 0.6%
Century Aluminum Co. (a)		7,345		55,198
Coeur Mining, Inc. (a)		35,190		284,335
Compass Minerals International, Inc.		5,061		308,519
Contura Energy, Inc. (a)		2,781		25,168
Covia Holdings Corp. (a) (b)		6,313		12,879
Energy Fuels, Inc. (a) (b)		13,473		25,733
Ferroglobe Representation & Warranty Insurance Trust (c) (d)		10,133		-
Gold Resource Corp.		8,777		48,625
Hecla Mining Co.		72,532		245,883
Kaiser Aluminum Corp.		2,315		256,710
Livent Corp. (a) (b)		21,536		184,133
Novagold Resources, Inc. (a)		34,337		307,659
United States Lime & Minerals, Inc.		304		27,451
Uranium Energy Corp. (a) (b)		25,136		23,105
				1,805,398
				9,717,046
Communications — 3.8%
Advertising — 0.1%
Boston Omaha Corp. Class A (a) (b)		1,519		31,960
Clear Channel Outdoor Holdings, Inc. (a)		7,174		20,518
Fluent, Inc. (a)		6,474		16,185
Marchex, Inc. Class B (a)		5,255		19,864
MDC Partners, Inc. Class A (a)		8,133		22,610
National CineMedia, Inc.		9,095		66,302
Quotient Technology, Inc. (a)		11,140		109,840
SharpSpring, Inc. (a) (b)		1,503		17,239
Telaria, Inc. (a)		6,696		58,992
				363,510
Internet — 1.6%
1-800-Flowers.com, Inc. Class A (a)		3,699		53,636
8x8, Inc. (a)		13,922		254,773
Boingo Wireless, Inc. (a)		6,383		69,894
Cardlytics, Inc. (a) (b)		2,115		132,949
Cargurus, Inc. (a)		11,078		389,724
Cars.com, Inc. (a)		9,931		121,357
ChannelAdvisor Corp. (a)		3,937		35,590
Cogent Communications Holdings, Inc.		6,266		412,365
Comscore, Inc. (a)		7,430		36,704
DHI Group, Inc. (a)		7,213		21,711
Endurance International Group Holdings, Inc. (a)		10,757		50,558
ePlus, Inc. (a)		1,970		166,051
Eventbrite, Inc. Class A (a)		5,376		108,434
Everquote, Inc. Class A (a) (b)		1,287		44,208
Groupon, Inc. (a) (b)		66,671		159,344
HealthStream, Inc. (a)		3,835		104,312
Lands’ End, Inc. (a) (b)		1,587		26,662

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

100

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

	Number of Shares		Value
Leaf Group Ltd. (a)		2,675	$	10,700
Limelight Networks, Inc. (a)		17,105		69,788
Liquidity Services, Inc. (a)		3,919		23,357
Livexlive Media, Inc. (a) (b)		4,338		6,702
The Meet Group, Inc. (a)		10,200		51,102
NIC, Inc.		9,751		217,935
OptimizeRx Corp. (a)		2,042		20,971
Overstock.com, Inc. (a)		4,011		28,278
Perficient, Inc. (a)		4,702		216,621
Q2 Holdings, Inc. (a)		6,451		523,047
QuinStreet, Inc. (a)		6,830		104,567
Realreal, Inc. (a) (b)		2,589		48,803
The Rubicon Project, Inc. (a)		7,270		59,323
Shutterstock, Inc. (a)		2,811		120,536
Stamps.com, Inc. (a)		2,435		203,371
Stitch Fix, Inc. Class A (a) (b)		6,074		155,859
TechTarget, Inc. (a)		3,427		89,445
Travelzoo (a)		808		8,646
TrueCar, Inc. (a)		15,490		73,577
Tucows, Inc. Class A (a) (b)		1,419		87,666
Upwork, Inc. (a)		8,543		91,154
VirnetX Holding Corp. (a) (b)		9,075		34,485
Yelp, Inc. (a)		10,097		351,679
Zix Corp. (a)		7,977		54,084
				4,839,968
Media — 0.8%
Central European Media Enterprises Ltd. Class A (a)		13,435		60,861
Cumulus Media, Inc. Class A (a)		2,154		37,846
The E.W. Scripps Co. Class A		8,051		126,481
Entercom Communications Corp. Class A		17,456		80,996
Entravision Communications Corp. Class A		9,064		23,748
Gannett Co., Inc.		17,227		109,908
Gray Television, Inc. (a)		13,510		289,654
Hemisphere Media Group, Inc. (a)		2,523		37,467
Houghton Mifflin Harcourt Co. (a)		15,343		95,894
Lee Enterprises, Inc. (a)		8,129		11,543
Liberty Latin America Ltd. Class A (a)		6,808		131,394
Liberty Latin America Ltd. Class C (a) (b)		16,840		327,706
Meredith Corp.		5,924		192,352
MSG Networks, Inc. Class A (a)		6,319		109,951
Saga Communications, Inc. Class A		586		17,814
Scholastic Corp.		4,398		169,103
TEGNA, Inc.		32,127		536,200
Tribune Publishing Co.		2,593		34,124
Value Line, Inc.		196		5,666
WideOpenWest, Inc. (a)		3,736		27,721
				2,426,429
Telecommunications — 1.3%
A10 Networks, Inc. (a)		7,241		49,746
Acacia Communications, Inc. (a)		5,615		380,753
ADTRAN, Inc.		6,954		68,775
Airgain, Inc. (a)		1,245		13,309
Anterix, Inc. (a) (b)		1,592		68,790
ATN International, Inc.		1,626		90,064
CalAmp Corp. (a) (b)		4,880		46,750
Calix, Inc. (a)		6,920		55,360
Cambium Networks Corp. (a)		636		5,559
Casa Systems, Inc. (a)		4,545		18,589
Cincinnati Bell, Inc. (a) (b)		7,194		75,321
Clearfield, Inc. (a)		1,612		22,471
Consolidated Communications Holdings, Inc.		10,489		40,697
DASAN Zhone Solutions, Inc. (a)		1,173		10,393
Extreme Networks, Inc. (a)		17,674		130,257
Frontier Communications Corp. (a) (b)		15,426		13,723
Gogo, Inc. (a) (b)		8,179		52,346
GTT Communications, Inc. (a) (b)		5,133		58,260
Harmonic, Inc. (a)		13,027		101,611
IDT Corp. Class B (a)		2,530		18,241
Infinera Corp. (a) (b)		26,380		209,457
Inseego Corp. (a) (b)		6,782		49,712
Intelsat SA (a) (b)		9,836		69,147
InterDigital, Inc.		4,629		252,234
Iridium Communications, Inc. (a)		14,654		361,075
KVH Industries, Inc. (a)		2,321		25,833
Loral Space & Communications, Inc. (a)		1,862		60,180
Maxar Technologies, Inc. (b)		8,890		139,306
NeoPhotonics Corp. (a)		5,817		51,306
NETGEAR, Inc. (a)		4,385		107,476
Ooma, Inc. (a)		2,910		38,499
ORBCOMM, Inc. (a)		11,024		46,411
Plantronics, Inc. (b)		5,017		137,165
Preformed Line Products Co.		464		28,002
Ribbon Communications, Inc. (a)		8,856		27,454
RigNet, Inc. (a)		2,087		13,774
Shenandoah Telecommunications Co.		7,098		295,348
Sonim Technologies, Inc. (a) (b)		1,607		5,834
Spok Holdings, Inc.		2,588		31,651
Tessco Technologies, Inc.		945		10,603
Viavi Solutions, Inc. (a)		33,978		509,670
Vonage Holdings Corp. (a)		33,649		248,666
				4,039,818
				11,669,725
Consumer, Cyclical — 12.2%
Airlines — 0.5%
Allegiant Travel Co.		1,928		335,549
Hawaiian Holdings, Inc.		6,869		201,193

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

101

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

	Number of Shares		Value
Mesa Air Group, Inc. (a)		3,166	$	28,304
SkyWest, Inc.		7,274		470,119
Spirit Airlines, Inc. (a)		10,151		409,187
				1,444,352
Apparel — 0.9%
Centric Brands, Inc. (a) (b)		2,500		5,425
Crocs, Inc. (a)		10,200		427,278
Deckers Outdoor Corp. (a)		4,155		701,613
Delta Apparel, Inc. (a)		936		29,110
Kontoor Brands, Inc.		6,549		274,992
Oxford Industries, Inc.		2,455		185,156
Rocky Brands, Inc.		990		29,136
Steven Madden Ltd.		12,421		534,227
Superior Group of Cos, Inc.		1,615		21,867
Unifi, Inc. (a)		2,134		53,905
Vince Holding Corp. (a) (b)		467		8,084
Weyco Group, Inc.		917		24,255
Wolverine World Wide, Inc.		11,770		397,120
				2,692,168
Auto Manufacturers — 0.1%
Blue Bird Corp. (a)		2,197		50,355
Navistar International Corp. (a)		7,281		210,712
REV Group, Inc.		4,052		49,556
Wabash National Corp.		7,937		116,595
				427,218
Auto Parts & Equipment — 1.1%
Adient PLC (a)		13,006		276,377
American Axle & Manufacturing Holdings, Inc. (a)		16,616		178,788
Commercial Vehicle Group, Inc. (a)		4,537		28,810
Cooper Tire & Rubber Co.		7,452		214,245
Cooper-Standard Holding, Inc. (a)		2,480		82,237
Dana, Inc.		21,410		389,662
Dorman Products, Inc. (a)		4,005		303,259
Douglas Dynamics, Inc.		3,302		181,610
Gentherm, Inc. (a)		4,908		217,866
Meritor, Inc. (a)		11,088		290,395
Methode Electronics, Inc.		5,396		212,333
Miller Industries, Inc.		1,632		60,596
Modine Manufacturing Co. (a)		7,219		55,586
Motorcar Parts of America, Inc. (a) (b)		2,728		60,098
Spartan Motors, Inc.		4,978		90,002
Standard Motor Products, Inc.		3,107		165,355
Telenav, Inc. (a)		4,917		23,897
Tenneco, Inc. Class A		7,422		97,228
Titan International, Inc.		7,724		27,961
Visteon Corp. (a)		4,138		358,309
				3,314,614
Distribution & Wholesale — 0.7%
Anixter International, Inc. (a)		4,510		415,371
BlueLinx Holdings, Inc. (a) (b)		1,330		18,952
Core-Mark Holding Co., Inc.		6,736		183,152
EVI Industries, Inc. (b)		690		18,658
Fossil Group, Inc. (a) (b)		6,867		54,112
G-III Apparel Group Ltd. (a)		6,524		218,554
H&E Equipment Services, Inc.		4,714		157,589
ScanSource, Inc. (a)		3,734		137,971
SiteOne Landscape Supply, Inc. (a) (b)		6,042		547,707
Systemax, Inc.		1,830		46,043
Titan Machinery, Inc. (a)		2,817		41,635
Triton International Ltd.		7,993		321,319
Veritiv Corp. (a)		1,855		36,488
Wesco Aircraft Holdings, Inc. (a)		8,007		88,237
				2,285,788
Entertainment — 1.3%
AMC Entertainment Holdings, Inc. Class A (b)		7,532		54,532
Churchill Downs, Inc.		5,194		712,617
Eldorado Resorts, Inc. (a) (b)		9,737		580,715
Eros International PLC (a) (b)		10,788		36,571
Everi Holdings, Inc. (a)		10,172		136,610
Golden Entertainment, Inc. (a)		2,604		50,049
IMAX Corp. (a)		7,802		159,395
Liberty Media Corp-Liberty Braves Class A (a)		1,465		43,437
Liberty Media Corp-Liberty Braves Class C (a)		5,373		158,718
Marriott Vacations Worldwide Corp.		6,122		788,269
Monarch Casino & Resort, Inc. (a)		1,647		79,962
Penn National Gaming, Inc. (a)		16,255		415,478
RCI Hospitality Holdings, Inc.		1,330		27,265
Reading International, Inc. Series A (a) (b)		2,492		27,885
Red Rock Resorts, Inc. Class A		10,302		246,733
Scientific Games Corp. Class A (a)		8,299		222,247
SeaWorld Entertainment, Inc. (a)		7,006		222,160
Twin River Worldwide Holdings, Inc. (b)		2,569		65,895
				4,028,538
Home Builders — 1.2%
Beazer Homes USA, Inc. (a)		4,273		60,378
Cavco Industries, Inc. (a)		1,280		250,086
Century Communities, Inc. (a)		4,000		109,400
Forestar Group, Inc. (a) (b)		1,778		37,071
Green Brick Partners, Inc. (a)		3,608		41,420
Installed Building Products, Inc. (a)		3,367		231,885
KB Home		12,691		434,921
LCI Industries		3,618		387,596
LGI Homes, Inc. (a) (b)		2,941		207,782
M.D.C. Holdings, Inc.		7,459		284,635
M/I Homes, Inc. (a)		4,003		157,518
Meritage Home Corp. (a)		5,374		328,405
Skyline Champion Corp. (a)		7,489		237,401

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

102

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

	Number of Shares		Value
Taylor Morrison Home Corp. (a)		15,604	$	341,104
TRI Pointe Group, Inc. (a)		20,440		318,455
William Lyon Homes Class A (a)		4,652		92,947
Winnebago Industries, Inc.		4,569		242,066
				3,763,070
Home Furnishing — 0.3%
Daktronics, Inc.		5,313		32,356
Ethan Allen Interiors, Inc.		3,488		66,481
Flexsteel Industries, Inc.		1,106		22,032
Hamilton Beach Brands Holding Co. Class A		995		19,004
Hooker Furniture Corp.		1,711		43,956
iRobot Corp. (a) (b)		4,034		204,241
Purple Innovation, Inc. (a)		1,141		9,938
Sleep Number Corp. (a)		4,128		203,263
Sonos, Inc. (a)		10,506		164,104
Universal Electronics, Inc. (a)		1,961		102,482
				867,857
Housewares — 0.0%
Lifetime Brands, Inc.		1,736		12,065
Tupperware Brands Corp.		7,178		61,587
				73,652
Leisure Time — 0.6%
Acushnet Holdings Corp.		5,236		170,170
Callaway Golf Co.		13,857		293,768
Camping World Holdings, Inc. Class A		4,783		70,502
Clarus Corp.		3,387		45,928
Drive Shack, Inc. (a) (b)		8,655		31,677
Escalade, Inc.		1,627		15,993
Fox Factory Holding Corp. (a)		5,579		388,131
Johnson Outdoors, Inc. Class A		718		55,071
Liberty TripAdvisor Holdings, Inc. Class A (a)		10,674		78,454
Lindblad Expeditions Holdings, Inc. (a)		3,321		54,298
Malibu Boats, Inc. Class A (a)		3,037		124,365
Marine Products Corp.		1,141		16,430
MasterCraft Boat Holdings, Inc. (a)		2,725		42,919
OneSpaWorld Holdings Ltd. (a)		6,691		112,677
Vista Outdoor, Inc. (a)		8,542		63,894
YETI Holdings, Inc. (a) (b)		6,092		211,880
				1,776,157
Lodging — 0.2%
BBX Capital Corp.		9,728		46,403
Bluegreen Vacations Corp. (b)		1,032		10,671
Boyd Gaming Corp.		11,943		357,573
Century Casinos, Inc. (a)		3,932		31,141
The Marcus Corp.		3,273		103,983
Red Lion Hotels Corp. (a)		3,604		13,443
The St. Joe Co. (a) (b)		4,906		97,286
Target Hospitality Corp. (a)		4,713		23,565
				684,065
Office Furnishings — 0.4%
CompX International, Inc.		300		4,377
Herman Miller, Inc.		8,723		363,313
HNI Corp.		6,346		237,721
Interface, Inc.		8,555		141,927
Kimball International, Inc. Class B		5,340		110,378
Knoll, Inc.		7,234		182,731
Steelcase, Inc. Class A		12,907		264,077
				1,304,524
Retail — 4.6%
Abercrombie & Fitch Co. Class A (b)		9,279		160,434
America’s Car-Mart, Inc. (a)		914		100,229
American Eagle Outfitters, Inc.		23,520		345,744
Asbury Automotive Group, Inc. (a)		2,862		319,943
Ascena Retail Group, Inc. (a) (b)		1,145		8,776
At Home Group, Inc. (a)		7,059		38,824
Barnes & Noble Education, Inc. (a)		5,765		24,617
Bassett Furniture Industries, Inc.		1,472		24,553
Beacon Roofing Supply, Inc. (a)		10,072		322,103
Bed Bath & Beyond, Inc.		18,042		312,127
Big Lots, Inc. (b)		5,791		166,317
Biglari Holdings, Inc. (a)		138		15,790
BJ’s Restaurants, Inc.		2,822		107,123
BJ’s Wholesale Club Holdings, Inc. (a) (b)		16,521		375,688
Bloomin’ Brands, Inc.		12,920		285,144
BMC Stock Holdings, Inc. (a)		9,857		282,797
Boot Barn Holdings, Inc. (a)		4,130		183,909
Brinker International, Inc.		5,562		233,604
The Buckle, Inc. (b)		4,235		114,514
Caleres, Inc.		5,828		138,415
Cannae Holdings, Inc. (a)		10,002		371,974
Carrols Restaurant Group, Inc. (a)		5,182		36,533
The Cato Corp. Class A		3,289		57,229
The Cheesecake Factory, Inc. (b)		6,188		240,466
Chico’s FAS, Inc.		17,020		64,846
The Children’s Place, Inc. (b)		2,267		141,733
Chuy’s Holdings, Inc. (a)		2,434		63,089
Citi Trends, Inc.		1,656		38,287
Conn’s, Inc. (a) (b)		2,664		33,007
The Container Store Group, Inc. (a)		2,380		10,044
Cracker Barrel Old Country Store, Inc. (b)		3,551		545,931
Dave & Buster’s Entertainment, Inc. (b)		4,555		182,974
Del Taco Restaurants, Inc. (a)		4,155		32,845
Denny’s Corp. (a)		8,647		171,902
Designer Brands, Inc. (b)		9,195		144,729
Dillard’s, Inc. Class A (b)		1,475		108,383
Dine Brands Global, Inc. (b)		2,357		196,857

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

103

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

	Number of Shares		Value
Duluth Holdings, Inc. Class B (a) (b)		1,634	$	17,206
El Pollo Loco Holdings, Inc. (a)		2,819		42,680
Express, Inc. (a)		9,950		48,456
Fiesta Restaurant Group, Inc. (a)		3,528		34,892
FirstCash, Inc.		6,189		499,019
Foundation Building Materials, Inc. (a)		3,002		58,089
Freshpet, Inc. (a)		5,107		301,773
Gaia, Inc. (a) (b)		1,490		11,905
GameStop Corp. Class A (b)		13,288		80,791
Genesco, Inc. (a)		2,141		102,597
GMS, Inc. (a)		5,891		159,528
GNC Holdings, Inc. Class A (a) (b)		11,837		31,960
Group 1 Automotive, Inc.		2,612		261,200
Guess?, Inc.		6,798		152,139
The Habit Restaurants, Inc. Class A (a)		3,005		31,342
Haverty Furniture Cos., Inc.		2,660		53,626
Hibbett Sports, Inc. (a)		2,635		73,885
Hudson Ltd. Class A (a)		5,770		88,512
J Alexander’s Holdings, Inc. (a)		1,843		17,619
J. Jill, Inc. (b)		2,431		2,747
Jack in the Box, Inc.		3,833		299,089
JC Penney Co., Inc. (a) (b)		46,988		52,627
Kura Sushi USA, Inc.Class A (a)		496		12,623
La-Z-Boy, Inc.		6,654		209,468
Lithia Motors, Inc. Class A		3,316		487,452
The Lovesac Co. (a)		1,294		20,769
Lumber Liquidators Holdings, Inc. (a) (b)		4,263		41,649
MarineMax, Inc. (a)		3,120		52,073
The Michaels Cos., Inc. (a)		12,520		101,287
Movado Group, Inc.		2,348		51,046
National Vision Holdings, Inc. (a)		11,598		376,123
Noodles & Co. (a) (b)		4,337		24,027
Office Depot, Inc.		80,554		220,718
Papa John’s International, Inc.		3,263		206,058
Party City Holdco, Inc. (a) (b)		8,079		18,905
PC Connection, Inc.		1,672		83,031
PetIQ, Inc. (a) (b)		2,873		71,969
PetMed Express, Inc. (b)		2,888		67,926
Potbelly Corp. (a)		3,305		13,947
PriceSmart, Inc.		3,313		235,289
Red Robin Gourmet Burgers, Inc. (a)		1,878		62,012
Regis Corp. (a) (b)		3,446		61,580
RH (a)		2,446		522,221
Rite Aid Corp. (a) (b)		8,172		126,421
RTW RetailWinds, Inc. (a)		4,052		3,246
Rush Enterprises, Inc. Class A		4,003		186,139
Rush Enterprises, Inc. Class B		656		29,979
Ruth’s Hospitality Group, Inc.		4,129		89,868
Sally Beauty Holdings, Inc. (a) (b)		17,897		326,620
Shake Shack, Inc. Class A (a) (b)		4,313		256,925
Shoe Carnival, Inc. (b)		1,390		51,819
Signet Jewelers Ltd. (b)		7,599		165,202
Sonic Automotive, Inc. Class A		3,590		111,290
Sportsman’s Warehouse Holdings, Inc. (a)		6,104		49,015
Tailored Brands, Inc. (b)		7,164		29,659
Texas Roadhouse, Inc. (b)		9,762		549,796
Tilly’s, Inc. Class A		3,340		40,915
Vera Bradley, Inc. (a)		2,911		34,350
Waitr Holdings, Inc. (a) (b)		7,971		2,567
Wingstop, Inc.		4,349		375,014
Winmark Corp.		363		71,983
World Fuel Services Corp.		9,560		415,095
Zumiez, Inc. (a)		2,920		100,857
				14,380,095
Storage & Warehousing — 0.1%
Mobile Mini, Inc.		6,483		245,770
Textiles — 0.2%
Culp, Inc.		1,656		22,555
UniFirst Corp.		2,240		452,435
				474,990
Toys, Games & Hobbies — 0.0%
Funko, Inc. (a) (b)		3,229		55,410
				37,818,268
Consumer, Non-cyclical — 24.6%
Agriculture — 0.5%
22nd Century Group, Inc. (a) (b)		16,539		18,193
Alico, Inc.		615		22,035
The Andersons, Inc.		4,638		117,249
Cadiz, Inc. (a) (b)		1,943		21,412
Darling Ingredients, Inc. (a)		24,277		681,698
Greenlane Holdings, Inc. Class A (a) (b)		2,012		6,549
Limoneira Co. (b)		2,278		43,806
Phibro Animal Health Corp. Class A		3,077		76,402
Pyxus International, Inc. (a) (b)		1,206		10,782
Tejon Ranch Co. (a)		3,118		49,826
Turning Point Brands, Inc.		1,171		33,490
Universal Corp.		3,623		206,728
Vector Group Ltd. (b)		16,533		221,377
				1,509,547
Beverages — 0.3%
The Boston Beer Co., Inc. Class A (a)		1,236		467,023
Celsius Holdings, Inc. (a) (b)		4,513		21,798
Coca-Cola Bottling Co. Consolidated		698		198,267
Craft Brew Alliance, Inc. (a)		1,743		28,759
Farmer Brothers Co. (a)		1,476		22,229
MGP Ingredients, Inc. (b)		1,894		91,764
National Beverage Corp. (a) (b)		1,723		87,907
New Age Beverages Corp. (a) (b)		10,993		20,007
Primo Water Corp. (a) (b)		5,077		56,989
Youngevity International, Inc. (a) (b)		1,253		4,085
				998,828

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

104

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

	Number of Shares		Value
Biotechnology — 6.5%
Abeona Therapeutics, Inc. (a)		4,990	$	16,317
ACADIA Pharmaceuticals, Inc. (a)		16,642		711,945
Acceleron Pharma, Inc. (a)		6,656		352,901
Acer Therapeutics, Inc. (a)		762		3,056
Achillion Pharmaceuticals, Inc. (a)		20,007		120,642
Acorda Therapeutics, Inc. (a) (b)		6,817		13,907
ADMA Biologics, Inc. (a)		7,439		29,756
Aduro Biotech, Inc. (a)		9,406		11,099
Adverum Biotechnologies, Inc. (a)		7,974		91,860
Affimed NV (a)		10,851		29,732
Agenus, Inc. (a)		15,891		64,676
AgeX Therapeutics, Inc. (a) (b)		3,231		5,880
Akero Therapeutics, Inc. (a)		702		15,581
Albireo Pharma, Inc. (a)		1,568		39,859
Aldeyra Therapeutics, Inc. (a)		3,425		19,899
Allakos, Inc. (a) (b)		2,884		275,018
Allogene Therapeutics, Inc. (a) (b)		5,686		147,722
AMAG Pharmaceuticals, Inc. (a) (b)		4,915		59,816
Amicus Therapeutics, Inc. (a)		37,813		368,299
AnaptysBio, Inc. (a) (b)		3,621		58,841
Anavex Life Sciences Corp. (a) (b)		6,526		16,902
ANI Pharmaceuticals, Inc. (a)		1,342		82,761
Apellis Pharmaceuticals, Inc. (a)		7,234		221,505
Applied Therapeutics, Inc. (a) (b)		945		25,780
Aprea Therapeutics, Inc. (a) (b)		952		43,687
Arcus Biosciences, Inc. (a)		4,793		48,409
Ardelyx, Inc. (a)		6,817		51,162
Arena Pharmaceuticals, Inc. (a)		7,459		338,788
Arqule, Inc. (a)		16,587		331,077
Arrowhead Pharmaceuticals, Inc. (a) (b)		13,806		875,715
Assembly Biosciences, Inc. (a)		3,452		70,628
Atara Biotherapeutics, Inc. (a)		7,622		125,534
Athersys, Inc. (a) (b)		19,450		23,924
Atreca, Inc. Class A (a) (b)		956		14,789
Audentes Therapeutics, Inc. (a)		6,651		397,996
Avid Bioservices, Inc. (a)		8,455		64,850
Avrobio, Inc. (a) (b)		3,053		61,457
Baudax Bio, Inc. (a)		1,101		7,619
BioCryst Pharmaceuticals, Inc. (a) (b)		21,889		75,517
Biohaven Pharmaceutical Holding Co. Ltd. (a)		5,796		315,534
Blueprint Medicines Corp. (a)		7,221		578,474
Bridgebio Pharma, Inc. (a)		3,345		117,242
Cabaletta Bio, Inc. (a)		958		13,383
Calithera Biosciences, Inc. (a)		6,943		39,645
Cara Therapeutics, Inc. (a) (b)		5,890		94,888
CASI Pharmaceuticals, Inc. (a) (b)		7,416		22,915
CEL-SCI Corp. (a) (b)		4,004		36,637
Centogene NV (a)		284		2,860
Cerecor, Inc. (a)		3,257		17,555
ChemoCentryx, Inc. (a)		6,022		238,170
ChromaDex Corp. (a) (b)		6,340		27,325
Constellation Pharmaceuticals, Inc. (a) (b)		2,285		107,646
Cortexyme, Inc. (a) (b)		1,682		94,427
Crinetics Pharmaceuticals, Inc. (a) (b)		1,683		42,226
Cue Biopharma, Inc. (a)		2,949		46,815
Cymabay Therapeutics, Inc. (a)		9,920		19,443
CytomX Therapeutics, Inc. (a)		6,704		55,710
Deciphera Pharmaceuticals, Inc. (a)		2,918		181,616
Denali Therapeutics, Inc. (a) (b)		7,063		123,037
Dicerna Pharmaceuticals, Inc. (a)		7,623		167,935
Dynavax Technologies Corp. (a) (b)		12,319		70,465
Editas Medicine, Inc. (a) (b)		7,645		226,368
Eidos Therapeutics, Inc. (a)		1,650		94,693
Eiger BioPharmaceuticals, Inc. (a)		3,386		50,451
ElectroCore, Inc. (a)		1,859		2,956
Emergent BioSolutions, Inc. (a)		6,756		364,486
Enochian Biosciences, Inc. (a) (b)		2,031		10,196
Enzo Biochem, Inc. (a)		6,574		17,290
Epizyme, Inc. (a) (b)		11,448		281,621
Esperion Therapeutics, Inc. (a) (b)		3,740		223,016
Evelo Biosciences, Inc. (a) (b)		2,028		8,234
Evolus, Inc. (a)		2,729		33,212
Exagen, Inc. (a)		483		12,268
EyePoint Pharmaceuticals, Inc. (a) (b)		9,404		14,576
Fate Therapeutics, Inc. (a) (b)		8,967		175,484
FibroGen, Inc. (a)		11,611		497,996
Five Prime Therapeutics, Inc. (a)		4,981		22,863
Forty Seven, Inc. (a)		3,281		129,173
Frequency Therapeutics, Inc. (a)		844		14,795
Galera Therapeutics, Inc. (a)		244		3,211
Geron Corp. (a) (b)		27,365		37,216
GlycoMimetics, Inc. (a)		5,093		26,942
Gossamer Bio, Inc. (a)		6,352		99,282
Halozyme Therapeutics, Inc. (a)		21,148		374,954
Homology Medicines, Inc. (a) (b)		3,671		75,990
IGM Biosciences, Inc. (a) (b)		730		27,857
ImmunoGen, Inc. (a)		21,626		110,401
Immunomedics, Inc. (a) (b)		25,876		547,536
Innoviva, Inc. (a)		9,472		134,124
Inovio Pharmaceuticals, Inc. (a) (b)		14,005		46,216
Insmed, Inc. (a)		13,181		314,762
Intercept Pharmaceuticals, Inc. (a) (b)		3,719		460,858
Intrexon Corp. (a) (b)		10,632		58,263
Iovance Biotherapeutics, Inc. (a)		17,322		479,473
Kaleido Biosciences, Inc. (a) (b)		1,675		8,409
Karuna Therapeutics, Inc. (a)		673		50,704
Karyopharm Therapeutics, Inc. (a)		8,869		170,019
Kezar Life Sciences, Inc. (a)		2,364		9,480
Kindred Biosciences, Inc. (a)		5,374		45,572
Kiniksa Pharmaceuticals Ltd. Class A (a)		2,118		23,425
Krystal Biotech, Inc. (a)		1,555		86,116
Lexicon Pharmaceuticals, Inc. (a) (b)		6,278		26,054

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

105

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

	Number of Shares		Value
Ligand Pharmaceuticals, Inc. (a) (b)		2,528	$	263,645
Lineage Cell Therapeutics, Inc. (a) (b)		15,491		13,787
Liquidia Technologies, Inc. (a)		2,039		8,717
Livongo Health, Inc. (a)		2,151		53,904
MacroGenics, Inc. (a)		7,006		76,225
Magenta Therapeutics, Inc. (a) (b)		2,779		42,130
Marker Therapeutics, Inc. (a) (b)		4,118		11,860
The Medicines Co. (a) (b)		11,173		949,035
MEI Pharma, Inc. (a)		10,346		25,658
MeiraGTx Holdings PLC (a)		2,533		50,711
Menlo Therapeutics, Inc. (a)		2,349		10,899
Mersana Therapeutics, Inc. (a)		5,455		31,257
Mirati Therapeutics, Inc. (a) (b)		4,027		518,919
Molecular Templates, Inc. (a)		2,583		36,123
Mustang Bio, Inc. (a)		4,232		17,267
Myriad Genetics, Inc. (a)		10,512		286,242
NeoGenomics, Inc. (a)		14,109		412,688
Neon Therapeutics, Inc. (a)		2,248		2,653
NextCure, Inc. (a)		2,081		117,223
NGM Biopharmaceuticals, Inc. (a) (b)		3,604		66,638
Novavax, Inc. (a) (b)		3,566		14,193
Omeros Corp. (a)		7,074		99,673
Oncocyte Corp. (a) (b)		3,266		7,349
Organogenesis Holdings, Inc. (a)		1,598		7,686
Osmotica Pharmaceuticals PLC (a) (b)		1,338		9,353
Oyster Point Pharma, Inc. (a) (b)		827		20,212
Pacific Biosciences of California, Inc. (a)		21,293		109,446
Palatin Technologies, Inc. (a) (b)		34,381		26,893
PDL BioPharma, Inc. (a)		16,660		54,062
Pfenex, Inc. (a)		4,352		47,785
Phathom Pharmaceuticals, Inc. (a) (b)		1,586		49,388
Pieris Pharmaceuticals, Inc. (a)		6,671		24,149
PolarityTE, Inc. (a) (b)		2,133		5,546
Precision BioSciences, Inc. (a)		5,311		73,770
Prevail Therapeutics, Inc. (a) (b)		1,091		17,271
Prothena Corp. PLC (a)		5,962		94,378
PTC Therapeutics, Inc. (a)		8,926		428,716
Puma Biotechnology, Inc. (a) (b)		4,566		39,952
Radius Health, Inc. (a) (b)		6,737		135,818
RAPT Therapeutics, Inc. (a)		227		6,267
REGENXBIO, Inc. (a)		4,966		203,457
Replimune Group, Inc. (a)		1,916		27,495
resTORbio, Inc. (a) (b)		2,272		3,385
Retrophin, Inc. (a) (b)		6,230		88,466
Rigel Pharmaceuticals, Inc. (a)		25,038		53,581
Rocket Pharmaceuticals, Inc. (a) (b)		4,404		100,235
Rubius Therapeutics, Inc. (a) (b)		5,167		49,086
Sangamo Therapeutics, Inc. (a) (b)		16,940		141,788
Satsuma Pharmaceuticals, Inc. (a)		653		12,851
Savara, Inc. (a) (b)		5,071		22,718
Scholar Rock Holding Corp. (a) (b)		2,592		34,163
Solid Biosciences, Inc. (a) (b)		2,906		12,932
Sorrento Therapeutics, Inc. (a) (b)		18,505		62,547
SpringWorks Therapeutics, Inc. (a) (b)		1,541		59,313
Stemline Therapeutics, Inc. (a)		6,927		73,634
Stoke Therapeutics, Inc. (a)		1,353		38,317
Strongbridge Biopharma PLC (a)		5,499		11,493
Syndax Pharmaceuticals, Inc. (a)		3,053		26,805
Synlogic, Inc. (a)		2,381		6,143
Synthorx, Inc. (a)		1,412		98,685
TCR2 Therapeutics, Inc. (a)		1,731		24,719
Theravance Biopharma, Inc. (a) (b)		6,605		171,003
Tocagen, Inc. (a)		3,129		1,668
Translate Bio, Inc. (a) (b)		5,117		41,652
TransMedics Group, Inc. (a) (b)		2,106		40,035
Twist Bioscience Corp. (a) (b)		3,216		67,536
Tyme Technologies, Inc. (a) (b)		8,972		12,561
Ultragenyx Pharmaceutical, Inc. (a)		8,080		345,097
UNITY Biotechnology, Inc. (a) (b)		4,221		30,433
VBI Vaccines, Inc. (a) (b)		22,626		31,224
Veracyte, Inc. (a)		7,007		195,635
Vericel Corp. (a) (b)		6,650		115,710
Viela Bio, Inc. (a)		805		21,856
Viking Therapeutics, Inc. (a) (b)		9,775		78,395
Vir Biotechnology, Inc. (a)		1,054		13,254
WaVe Life Sciences Ltd. (a) (b)		3,345		26,810
X4 Pharmaceuticals, Inc. (a)		1,754		18,768
XBiotech, Inc. (a) (b)		2,804		52,337
Xencor, Inc. (a)		7,018		241,349
Y-mAbs Therapeutics, Inc. (a)		3,495		109,219
ZIOPHARM Oncology, Inc. (a) (b)		23,675		111,746
				20,270,985
Commercial Services — 4.9%
Aaron’s, Inc.		9,992		570,643
ABM Industries, Inc.		9,867		372,085
Acacia Research Corp. (a)		6,892		18,333
Adtalem Global Education, Inc. (a)		7,960		278,361
American Public Education, Inc. (a)		2,231		61,107
AMN Healthcare Services, Inc. (a)		6,813		424,518
Arlo Technologies, Inc. (a)		10,972		46,192
ASGN, Inc. (a)		7,560		536,533
Avis Budget Group, Inc. (a)		8,499		274,008
Barrett Business Services, Inc.		1,088		98,420
BG Staffing, Inc.		1,405		30,755
BrightView Holdings, Inc. (a)		4,557		76,877
The Brink’s Co.		7,377		668,946
CAI International, Inc. (a)		2,413		69,929
Cardtronics PLC Class A (a)		5,469		244,191
Care.com, Inc. (a)		3,306		49,689
Carriage Services, Inc.		2,425		62,080
Cass Information Systems, Inc.		2,068		119,406
CBIZ, Inc. (a)		7,566		203,979
Chegg, Inc. (a)		17,507		663,690
Cimpress PLC (a) (b)		2,943		370,141

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

106

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

	Number of Shares		Value
Collectors Universe, Inc.		1,324	$	30,518
Corvel Corp. (a)		1,297		113,306
CRA International, Inc.		1,127		61,388
Cross Country Healthcare, Inc. (a)		5,330		61,935
Emerald Expositions Events, Inc.		3,692		38,951
Ennis, Inc.		3,730		80,754
EVERTEC, Inc.		9,005		306,530
Evo Payments, Inc. Class A (a)		5,297		139,894
Forrester Research, Inc.		1,585		66,095
Franklin Covey Co. (a)		1,436		46,282
FTI Consulting, Inc. (a)		5,505		609,183
GP Strategies Corp. (a)		1,843		24,383
Green Dot Corp. Class A (a)		7,208		167,946
The Hackett Group, Inc.		3,525		56,894
Harsco Corp. (a)		11,505		264,730
Healthcare Services Group, Inc.		11,049		268,712
HealthEquity, Inc. (a)		10,237		758,255
Heidrick & Struggles International, Inc.		2,828		91,910
Herc Holdings, Inc. (a)		3,559		174,177
Hertz Global Holdings, Inc. (a)		15,033		236,770
HMS Holdings Corp. (a)		12,976		384,090
Huron Consulting Group, Inc. (a)		3,322		228,288
ICF International, Inc.		2,693		246,733
Information Services Group, Inc. (a)		4,938		12,493
Insperity, Inc.		5,552		477,694
International Money Express, Inc. (a)		2,638		31,762
K12, Inc. (a)		5,827		118,579
Kelly Services, Inc. Class A		4,895		110,529
Kforce, Inc.		2,984		118,465
Korn Ferry		8,369		354,846
Laureate Education, Inc. Class A (a)		17,446		307,224
Liveramp Holdings, Inc. (a)		9,907		476,229
Medifast, Inc.		1,639		179,602
Monro, Inc. (b)		4,832		377,862
National Research Corp. Class A		1,773		116,912
Perdoceo Education Corp. (a)		10,178		187,173
PRGX Global, Inc. (a)		3,052		15,016
Priority Technology Holdings, Inc. (a)		994		2,435
Progyny, Inc. (a) (b)		1,705		46,802
Quad/Graphics, Inc. (b)		4,811		22,467
R1 RCM, Inc. (a)		15,416		200,100
Rent-A-Center, Inc.		7,300		210,532
Resources Connection, Inc.		4,458		72,799
Rosetta Stone, Inc. (a)		3,061		55,527
RR Donnelley & Sons Co. (b)		10,478		41,388
SEACOR Marine Holdings Inc. (a)		2,925		40,336
ShotSpotter, Inc. (a) (b)		1,219		31,085
SP Plus Corp. (a)		3,360		142,565
Strategic Education, Inc.		3,154		501,171
Team, Inc. (a)		4,344		69,374
Textainer Group Holdings Ltd. (a)		7,734		82,831
TriNet Group, Inc. (a)		6,628		375,211
TrueBlue, Inc. (a)		5,705		137,262
Vectrus, Inc. (a)		1,697		86,988
Viad Corp.		2,977		200,947
Willdan Group, Inc. (a) (b)		1,486		47,225
WW International, Inc. (a)		6,937		265,063
				15,214,101
Cosmetics & Personal Care — 0.2%
Edgewell Personal Care Co. (a)		8,031		248,640
elf Beauty, Inc. (a)		3,813		61,504
Inter Parfums, Inc.		2,595		188,682
Revlon, Inc. Class A (a) (b)		1,047		22,427
				521,253
Foods — 1.4%
B&G Foods, Inc. (b)		9,372		168,040
BellRing Brands, Inc. Class A (a)		5,882		125,228
Bridgford Foods Corp. (a)		263		6,520
Cal-Maine Foods, Inc.		4,648		198,702
Calavo Growers, Inc.		2,383		215,876
The Chefs’ Warehouse, Inc. (a)		3,652		139,178
Fresh Del Monte Produce, Inc.		4,496		157,270
HF Foods Group, Inc. (a)		1,143		22,288
Hostess Brands, Inc. (a)		17,780		258,521
Ingles Markets, Inc. Class A		2,082		98,916
J&J Snack Foods Corp.		2,241		412,949
John B Sanfilippo & Son, Inc.		1,272		116,108
Lancaster Colony Corp.		2,799		448,120
Landec Corp. (a)		3,879		43,871
Nathan’s Famous, Inc.		425		30,124
Natural Grocers by Vitamin Cottage, Inc.		1,295		12,782
Performance Food Group Co. (a)		15,211		783,062
Sanderson Farms, Inc.		2,941		518,263
Seneca Foods Corp. Class A (a)		1,009		41,157
The Simply Good Foods Co. (a)		12,230		349,044
SpartanNash Co.		5,398		76,868
Tootsie Roll Industries, Inc. (b)		2,403		82,038
United Natural Foods, Inc. (a)		7,805		68,372
Village Super Market, Inc. Class A		1,229		28,513
Weis Markets, Inc.		1,376		55,714
				4,457,524
Health Care – Products — 4.3%
Accelerate Diagnostics, Inc. (a) (b)		3,957		66,873
Accuray, Inc. (a)		13,430		37,873
Alphatec Holdings, Inc. (a)		5,640		40,016
AngioDynamics, Inc. (a)		5,381		86,150
Apyx Medical Corp. (a)		4,750		40,185
AtriCure, Inc. (a)		5,620		182,706
Atrion Corp.		211		158,567
Avanos Medical, Inc. (a)		7,033		237,012
AxoGen, Inc. (a) (b)		5,087		91,006
Axonics Modulation Technologies, Inc. (a) (b)		2,260		62,625

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

107

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

	Number of Shares		Value
BioLife Solutions, Inc. (a) (b)		1,015	$	16,423
BioSig Technologies, Inc. (a) (b)		2,381		14,096
BioTelemetry, Inc. (a) (b)		4,915		227,564
Cardiovascular Systems, Inc. (a)		5,105		248,052
CareDx, Inc. (a)		6,067		130,865
Castle Biosciences, Inc. (a)		545		18,732
Celcuity, Inc. (a)		914		9,725
Cerus Corp. (a)		20,495		86,489
ConforMIS, Inc. (a)		9,706		14,559
CONMED Corp.		4,029		450,563
CryoLife, Inc. (a)		5,350		144,932
Cutera, Inc. (a)		2,060		73,769
CytoSorbents Corp. (a) (b)		4,348		16,740
GenMark Diagnostics, Inc. (a)		8,103		38,975
Glaukos Corp. (a) (b)		5,767		314,128
Globus Medical, Inc. Class A (a)		11,242		661,929
Haemonetics Corp. (a)		7,573		870,138
Hanger, Inc. (a)		5,337		147,355
Inogen, Inc. (a)		2,717		185,653
Inspire Medical Systems, Inc. (a)		2,010		149,162
Integer Holdings Corp. (a)		4,811		386,949
Intersect ENT, Inc. (a)		4,479		111,527
Invacare Corp.		4,973		44,856
iRadimed Corp. (a) (b)		671		15,688
iRhythm Technologies, Inc. (a)		3,914		266,504
Lantheus Holdings, Inc. (a)		5,717		117,256
LeMaitre Vascular, Inc. (b)		2,442		87,790
LivaNova PLC (a)		7,181		541,663
Luminex Corp.		6,256		144,889
Meridian Bioscience, Inc.		6,371		62,245
Merit Medical Systems, Inc. (a)		7,939		247,856
Misonix, Inc. (a)		1,117		20,787
NanoString Technologies, Inc. (a)		4,982		138,599
Natus Medical, Inc. (a)		4,974		164,092
Nevro Corp. (a)		4,422		519,762
Novocure Ltd. (a)		12,845		1,082,448
NuVasive, Inc. (a)		7,679		593,894
OPKO Health, Inc. (a) (b)		56,952		83,719
OraSure Technologies, Inc. (a)		9,239		74,189
Orthofix Medical, Inc. (a)		2,668		123,208
OrthoPediatrics Corp. (a) (b)		1,333		62,638
Patterson Cos., Inc. (b)		12,378		253,501
Pulse Biosciences, Inc. (a)		1,573		21,094
Quanterix Corp. (a)		1,918		45,322
Quidel Corp. (a)		5,241		393,232
Repligen Corp. (a)		7,724		714,470
Rockwell Medical, Inc. (a) (b)		9,121		22,255
RTI Surgical Holdings, Inc. (a)		8,629		23,643
SeaSpine Holdings Corp. (a)		2,242		26,926
Shockwave Medical, Inc. (a) (b)		3,768		165,491
Sientra, Inc. (a)		5,690		50,869
Silk Road Medical, Inc. (a)		2,377		95,983
Soliton, Inc. (a) (b)		779		8,553
STAAR Surgical Co. (a) (b)		6,559		230,680
Surmodics, Inc. (a)		1,906		78,966
Tactile Systems Technology, Inc. (a)		2,722		183,762
Tandem Diabetes Care, Inc. (a) (b)		8,290		494,167
TransEnterix, Inc. (a) (b)		2,151		3,162
Utah Medical Products, Inc.		518		55,892
Varex Imaging Corp. (a)		5,548		165,386
ViewRay, Inc. (a) (b)		10,550		44,521
Wright Medical Group NV (a)		18,655		568,604
Zynex, Inc. (a) (b)		2,365		18,613
				13,378,513
Health Care – Services — 2.2%
Addus HomeCare Corp. (a)		1,835		178,399
Amedisys, Inc. (a)		4,634		773,507
American Renal Associates Holdings, Inc. (a)		2,789		28,922
Apollo Medical Holdings, Inc. (a) (b)		928		17,084
Avalon GloboCare Corp. (a)		3,297		6,363
Brookdale Senior Living, Inc. (a)		27,400		199,198
Catasys, Inc. (a)		1,073		17,501
Cellular Biomedicine Group, Inc. (a) (b)		1,704		27,673
Community Health Systems, Inc. (a)		12,813		37,158
The Ensign Group, Inc.		7,497		340,139
Genesis Healthcare, Inc. (a)		12,374		20,293
Invitae Corp. (a) (b)		12,886		207,851
The Joint Corp. (a)		1,869		30,166
LHC Group, Inc. (a)		4,446		612,481
Magellan Health, Inc. (a)		3,257		254,860
Medpace Holdings, Inc. (a)		4,095		344,226
Natera, Inc. (a)		9,213		310,386
National HealthCare Corp.		1,800		155,574
Neuronetics, Inc. (a)		1,937		8,697
The Pennant Group, Inc. (a)		3,756		124,211
Personalis, Inc. (a)		1,311		14,290
The Providence Service Corp. (a)		1,718		101,671
RadNet, Inc. (a)		6,154		124,926
Select Medical Holdings Corp. (a)		16,276		379,882
SI-BONE, Inc. (a)		2,386		51,299
Surgery Partners, Inc. (a)		3,650		57,141
Syneos Health, Inc. (a)		9,206		547,527
Teladoc Health, Inc. (a) (b)		10,677		893,878
Tenet Healthcare Corp. (a)		15,205		578,246
Tivity Health, Inc. (a) (b)		7,002		142,456
Triple-S Management Corp. Class B (a)		3,427		63,365
U.S. Physical Therapy, Inc.		1,870		213,834
Vapotherm, Inc. (a)		2,155		26,205
				6,889,409
Household Products & Wares — 0.5%
Acco Brands Corp.		14,361		134,419
Central Garden & Pet Co. (a)		1,519		47,195

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

108

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

	Number of Shares		Value
Central Garden & Pet Co. Class A (a)		6,168	$	181,093
Helen of Troy Ltd. (a)		3,714		667,740
Quanex Building Products Corp.		4,820		82,326
WD-40 Co. (b)		2,037		395,463
				1,508,236
Pharmaceuticals — 3.8%
89bio, Inc. (a)		431		11,331
AcelRx Pharmaceuticals, Inc. (a) (b)		11,002		23,214
Aclaris Therapeutics, Inc. (a)		4,681		8,847
Adamas Pharmaceuticals, Inc. (a)		3,240		12,280
Aeglea BioTherapeutics, Inc. (a)		3,971		30,338
Aerie Pharmaceuticals, Inc. (a)		6,306		152,416
Aimmune Therapeutics, Inc. (a) (b)		6,650		222,575
Akcea Therapeutics, Inc. (a) (b)		1,798		30,458
Akebia Therapeutics, Inc. (a)		17,589		111,162
Akorn, Inc. (a)		13,658		20,487
Alector, Inc. (a) (b)		4,482		77,225
Amneal Pharmaceuticals, Inc. (a)		17,472		84,215
Amphastar Pharmaceuticals, Inc. (a)		5,284		101,928
Anika Therapeutics, Inc. (a)		2,006		104,011
Antares Pharma, Inc. (a)		24,187		113,679
Arvinas Holding Co. LLC (a)		3,136		128,858
Assertio Therapeutics, Inc. (a)		9,803		12,254
Athenex, Inc. (a) (b)		10,174		155,357
Axcella Health, Inc. (a) (b)		1,144		4,587
Axsome Therapeutics, Inc. (a) (b)		3,729		385,429
Beyondspring, Inc. (a)		1,974		30,597
BioDelivery Sciences International, Inc. (a)		12,335		77,957
BioSpecifics Technologies Corp. (a)		911		51,872
Bioxcel Therapeutics, Inc. (a)		916		13,383
Calyxt, Inc. (a) (b)		1,413		9,905
Catalyst Pharmaceuticals, Inc. (a) (b)		14,306		53,647
cbdMD, Inc. (a) (b)		1,432		3,236
Checkpoint Therapeutics, Inc. (a)		3,501		6,022
Chiasma, Inc. (a) (b)		5,059		25,093
Chimerix, Inc. (a)		7,487		15,199
Clovis Oncology, Inc. (a) (b)		7,454		77,708
Coherus Biosciences, Inc. (a)		9,295		167,356
Collegium Pharmaceutical, Inc. (a)		4,778		98,331
Concert Pharmaceuticals, Inc. (a)		3,170		29,243
Corbus Pharmaceuticals Holdings, Inc. (a) (b)		8,662		47,295
Corcept Therapeutics, Inc. (a)		14,125		170,912
CorMedix, Inc. (a) (b)		3,581		26,070
Cyclerion Therapeutics, Inc. (a)		3,441		9,360
Cytokinetics, Inc. (a)		8,244		87,469
Dermira, Inc. (a) (b)		6,981		105,832
Diplomat Pharmacy, Inc. (a)		8,619		34,476
Eagle Pharmaceuticals, Inc. (a)		1,322		79,426
Eloxx Pharmaceuticals, Inc. (a) (b)		3,812		28,056
Enanta Pharmaceuticals, Inc. (a)		2,561		158,219
Endo International PLC (a)		33,159		155,516
Evofem Biosciences, Inc. (a) (b)		2,147		13,247
Flexion Therapeutics, Inc. (a) (b)		4,984		103,169
Fulcrum Therapeutics, Inc. (a)		656		10,916
G1 Therapeutics, Inc. (a)		4,991		131,912
Galectin Therapeutics, Inc. (a) (b)		5,899		16,871
Global Blood Therapeutics, Inc. (a)		8,564		680,752
Gritstone Oncology, Inc. (a) (b)		3,549		31,835
Harpoon Therapeutics, Inc. (a)		1,064		15,737
Heron Therapeutics, Inc. (a) (b)		12,422		291,917
Heska Corp. (a) (b)		1,042		99,969
Hookipa Pharma, Inc. (a) (b)		1,472		18,003
Intellia Therapeutics, Inc. (a) (b)		5,713		83,810
Intra-Cellular Therapies, Inc. (a) (b)		6,632		227,544
Ironwood Pharmaceuticals, Inc. (a) (b)		22,760		302,936
Jounce Therapeutics, Inc. (a)		2,327		20,315
Kadmon Holdings, Inc. (a)		23,128		104,770
Kala Pharmaceuticals, Inc. (a) (b)		3,313		12,225
KalVista Pharmaceuticals, Inc. (a) (b)		1,957		34,854
Kodiak Sciences, Inc. (a) (b)		3,508		252,401
Kura Oncology, Inc. (a)		5,074		69,767
La Jolla Pharmaceutical Co. (a) (b)		3,097		12,171
Lannett Co., Inc. (a) (b)		4,714		41,577
Lifevantage Corp. (a)		1,971		30,767
LogicBio Therapeutics, Inc. (a) (b)		1,194		8,597
Madrigal Pharmaceuticals, Inc. (a)		1,150		104,776
Mallinckrodt PLC (a) (b)		12,815		44,724
MannKind Corp. (a) (b)		27,001		34,831
Marinus Pharmaceuticals, Inc. (a)		7,729		16,695
MediciNova, Inc. (a) (b)		6,147		41,431
Millendo Therapeutics, Inc. (a)		1,427		9,618
Minerva Neurosciences, Inc. (a)		4,282		30,445
Mirum Pharmaceuticals, Inc. (a) (b)		388		9,514
Momenta Pharmaceuticals, Inc. (a)		14,591		287,880
Morphic Holding, Inc. (a) (b)		727		12,475
MyoKardia, Inc. (a) (b)		6,567		478,636
Nature’s Sunshine Products, Inc. (a)		1,372		12,252
Neogen Corp. (a)		7,582		494,801
Ocular Therapeutix, Inc. (a) (b)		6,150		24,293
Odonate Therapeutics, Inc. (a)		1,733		56,236
Optinose, Inc. (a) (b)		3,786		34,907
Option Care Health, Inc. (a)		18,683		69,688
Owens & Minor, Inc.		8,999		46,525
Pacira BioSciences, Inc. (a) (b)		6,052		274,156
Paratek Pharmaceuticals, Inc. (a) (b)		4,705		18,961
PhaseBio Pharmaceuticals, Inc. (a) (b)		2,084		12,733
Portola Pharmaceuticals, Inc. (a)		11,265		269,008
Prestige Consumer Healthcare, Inc. (a)		7,466		302,373
Principia Biopharma, Inc. (a)		2,719		148,947
Progenics Pharmaceuticals, Inc. (a)		12,852		65,417
Protagonist Therapeutics, Inc. (a)		2,518		17,752
Ra Pharmaceuticals, Inc. (a)		5,144		241,408
Reata Pharmaceuticals, Inc. Class A (a) (b)		3,307		676,050

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

109

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

	Number of Shares		Value
Recro Pharma, Inc. (a)		2,932	$	53,744
Revance Therapeutics, Inc. (a)		6,667		108,205
Rhythm Pharmaceuticals, Inc. (a) (b)		4,331		99,440
Senseonics Holdings, Inc. (a) (b)		18,105		16,584
Seres Therapeutics, Inc. (a)		5,377		18,551
SIGA Technologies, Inc. (a) (b)		8,022		38,265
Spectrum Pharmaceuticals, Inc. (a)		16,664		60,657
Spero Therapeutics, Inc. (a)		1,555		14,951
Supernus Pharmaceuticals, Inc. (a)		7,275		172,563
Sutro Biopharma, Inc. (a)		1,650		18,150
Syros Pharmaceuticals, Inc. (a) (b)		5,171		35,732
TG Therapeutics, Inc. (a) (b)		12,737		141,381
TherapeuticsMD, Inc. (a) (b)		32,723		79,190
Tricida, Inc. (a) (b)		3,214		121,296
Turning Point Therapeutics I (a)		4,093		254,953
UroGen Pharma Ltd. (a) (b)		2,755		91,934
USANA Health Sciences, Inc. (a)		1,841		144,611
Vanda Pharmaceuticals, Inc. (a)		7,673		125,914
Verrica Pharmaceuticals, Inc. (a) (b)		1,819		28,904
Voyager Therapeutics, Inc. (a)		3,487		48,644
Xeris Pharmaceuticals, Inc. (a)		3,990		28,130
Zogenix, Inc. (a)		6,311		328,992
Zynerba Pharmaceuticals, Inc. (a)		3,386		20,451
				11,856,667
				76,605,063
Diversified — 0.0%
Holding Company – Diversified — 0.0%
GTY Technology Holdings, Inc. (a) (b)		5,841		34,403
Energy — 3.3%
Coal — 0.2%
Advanced Emissions Solutions, Inc. (b)		2,367		24,853
Arch Coal, Inc. Class A		2,217		159,048
CONSOL Energy, Inc. (a) (b)		3,753		54,456
Hallador Energy Co.		3,076		9,136
NACCO Industries, Inc. Class A		525		24,586
Peabody Energy Corp.		9,429		85,992
Ramaco Resources, Inc. (a) (b)		1,416		5,069
SunCoke Energy, Inc.		10,724		66,811
Warrior Met Coal, Inc.		7,628		161,180
				591,131
Energy – Alternate Sources — 0.6%
Clean Energy Fuels Corp. (a)		19,941		46,662
Enphase Energy, Inc. (a) (b)		13,608		355,577
FutureFuel Corp.		3,848		47,677
Green Plains, Inc.		5,045		77,844
Pattern Energy Group, Inc. Class A		13,079		349,929
Plug Power, Inc. (a) (b)		36,179		114,325
Renewable Energy Group, Inc. (a) (b)		5,460		147,147
REX American Resources Corp. (a)		832		68,191
Sunnova Energy International, Inc. (a) (b)		1,992		22,231
SunPower Corp. (a) (b)		9,288		72,446
Sunrun, Inc. (a) (b)		16,799		231,994
TerraForm Power, Inc. Class A		11,713		180,263
TPI Composites, Inc. (a) (b)		4,208		77,890
Vivint Solar, Inc. (a)		6,518		47,321
				1,839,497
Oil & Gas — 1.6%
Abraxas Petroleum Corp. (a)		23,953		8,410
Altus Midstream Co. Class A (a) (b)		7,653		21,888
Amplify Energy Corp.		1,789		11,825
Berry Petroleum Corp.		9,272		87,435
Bonanza Creek Energy, Inc. (a)		2,735		63,835
Brigham Minerals, Inc. Class A		2,382		51,070
California Resources Corp. (a) (b)		7,102		64,131
Callon Petroleum Co. (a) (b)		56,530		273,037
Chaparral Energy, Inc. Class A (a) (b)		4,716		8,300
CNX Resources Corp. (a)		27,700		245,145
Comstock Resources, Inc. (a) (b)		2,279		18,756
CVR Energy, Inc.		4,400		177,892
Delek US Holdings, Inc.		10,921		366,181
Denbury Resources, Inc. (a) (b)		71,446		100,739
Diamond Offshore Drilling, Inc. (a) (b)		9,646		69,355
Earthstone Energy, Inc. Class A (a) (b)		2,818		17,838
Evolution Petroleum Corp.		4,128		22,580
Extraction Oil & Gas, Inc. (a) (b)		12,518		26,538
Falcon Minerals Corp.		5,557		39,232
Goodrich Petroleum Corp. (a)		1,370		13,755
Gulfport Energy Corp. (a) (b)		23,872		72,571
HighPoint Resources Corp. (a)		16,168		27,324
Jagged Peak Energy, Inc. (a) (b)		9,844		83,576
Laredo Petroleum, Inc. (a)		27,092		77,754
Magnolia Oil & Gas Corp. Class A (a) (b)		15,004		188,750
Mammoth Energy Services, Inc. (b)		1,855		4,081
Matador Resources Co. (a)		16,460		295,786
Montage Resources Corp. (a)		3,248		25,789
Murphy USA, Inc. (a)		4,310		504,270
Nabors Industries Ltd.		51,916		149,518
Noble Corp. PLC (a) (b)		36,856		44,964
Northern Oil and Gas, Inc. (a) (b)		44,559		104,268
Oasis Petroleum, Inc. (a)		47,656		155,359
Pacific Drilling SA (a)		4,536		18,507
Panhandle Oil & Gas, Inc. Class A		2,306		25,850
Par Pacific Holdings, Inc. (a)		5,284		122,800
Parker Drilling Co. (a)		1,308		29,430
PDC Energy, Inc. (a) (b)		9,106		238,304
Penn Virginia Corp. (a)		2,013		61,095
PrimeEnergy Corp. (a)		79		11,950
QEP Resources, Inc.		35,721		160,745
Ring Energy, Inc. (a) (b)		9,144		24,140
Rosehill Resources, Inc. (a)		1,588		2,033

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

110

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

	Number of Shares		Value
SandRidge Energy, Inc. (a)		4,500	$	19,080
Seadrill Ltd. (a) (b)		8,905		22,619
SilverBow Resources, Inc. (a)		1,011		10,009
SM Energy Co.		16,458		184,988
Southwestern Energy Co. (a) (b)		79,841		193,215
SRC Energy, Inc. (a)		35,758		147,323
Talos Energy, Inc. (a)		3,008		90,691
Tellurian, Inc. (a) (b)		13,918		101,323
Trecora Resources (a)		3,148		22,508
Unit Corp. (a)		8,064		5,609
W&T Offshore, Inc. (a)		13,997		77,823
Whiting Petroleum Corp. (a) (b)		13,270		97,402
				5,089,396
Oil & Gas Services — 0.9%
Archrock, Inc.		19,170		192,467
DMC Global, Inc. (b)		2,093		94,059
Dril-Quip, Inc. (a)		5,373		252,048
Era Group, Inc. (a)		2,846		28,944
Exterran Corp. (a)		4,124		32,291
Flotek Industries, Inc. (a)		7,787		15,574
Forum Energy Technologies, Inc. (a)		12,590		21,151
Frank’s International NV (a)		15,473		79,995
FTS International, Inc. (a) (b)		4,902		5,098
Geospace Technologies Corp. (a)		1,877		31,477
Helix Energy Solutions Group, Inc. (a)		20,866		200,940
Independence Contract Drilling, Inc. (a)		7,216		7,193
KLX Energy Services Holdings, Inc. (a)		3,163		20,370
Liberty Oilfield Services, Inc. Class A		7,884		87,670
Matrix Service Co. (a)		4,029		92,184
McDermott International, Inc. (a) (b)		26,778		18,118
MRC Global, Inc. (a)		11,656		158,988
National Energy Services Reunited Corp. (a) (b)		3,602		32,850
Natural Gas Services Group, Inc. (a)		1,909		23,404
NCS Multistage Holdings, Inc. (a)		1,963		4,122
Newpark Resources, Inc. (a)		12,915		80,977
NexTier Oilfield Solutions, Inc. (a)		23,343		156,398
Nine Energy Service, Inc. (a) (b)		2,415		18,885
NOW, Inc. (a)		15,987		179,694
Oceaneering International, Inc. (a)		14,683		218,924
Oil States International, Inc. (a)		8,922		145,518
ProPetro Holding Corp. (a)		11,687		131,479
RPC, Inc. (b)		8,487		44,472
Select Energy Services, Inc. Class A (a)		8,663		80,393
Smart Sand, Inc. (a) (b)		3,094		7,797
Solaris Oilfield Infrastructure, Inc. Class A (b)		4,604		64,456
TETRA Technologies, Inc. (a)		17,966		35,213
Thermon Group Holdings, Inc. (a)		4,794		128,479
US Silica Holdings, Inc.		10,861		66,795
US Well Services, Inc. (a)		3,044		5,753
				2,764,176
Pipelines — 0.0%
NextDecade Corp. (a)		1,732		10,634
				10,294,834
Financial — 25.5%
Banks — 9.7%
The The Bank of Princeton		814		25,633
1st Constitution Bancorp		1,315		29,101
1st Source Corp.		2,057		106,717
ACNB Corp.		1,013		38,312
Alerus Financial Corp. (b)		444		10,145
Allegiance Bancshares, Inc. (a) (b)		2,784		104,678
Amalgamated Bank Class A		1,978		38,472
Amerant Bancorp, Inc. (a)		2,867		62,472
American National Bankshares, Inc.		1,585		62,718
Ameris Bancorp		9,049		384,944
Ames National Corp.		1,270		35,636
Arrow Financial Corp.		1,900		71,820
Atlantic Capital Bancshares, Inc. (a)		3,131		57,454
Atlantic Union Bankshares Corp.		11,806		443,315
BancFirst Corp.		2,739		171,023
The Bancorp, Inc. (a)		7,514		97,457
BancorpSouth Bank		14,661		460,502
Bank First Corp. (b)		856		59,929
Bank of Commerce Holdings		2,635		30,487
Bank of Marin Bancorp		1,950		87,847
The Bank of NT Butterfield & Son Ltd.		8,203		303,675
Bank7 Corp.		519		9,840
Bankwell Financial Group, Inc.		1,010		29,128
Banner Corp.		5,190		293,702
Bar Harbor Bankshares		2,259		57,356
Baycom Corp. (a)		1,633		37,134
BCB Bancorp, Inc.		2,007		27,677
Bridge Bancorp, Inc.		2,396		80,338
Bridgewater Bancshares, Inc. (a)		3,247		44,744
Bryn Mawr Bank Corp.		2,921		120,462
Business First Bancshares, Inc.		1,849		46,096
Byline Bancorp, Inc.		3,469		67,888
C&F Financial Corp.		489		27,056
Cadence BanCorp		18,611		337,417
Cambridge Bancorp		637		51,056
Camden National Corp.		2,235		102,944
Capital Bancorp, Inc. /MD (a)		1,205		17,942
Capital City Bank Group, Inc.		1,996		60,878
Capstar Financial Holdings, Inc.		2,098		34,932
Carolina Financial Corp.		3,456		149,403
Carter Bank & Trust (a)		3,406		80,790
Cathay General Bancorp		11,347		431,753
CenterState Bank Corp.		17,809		444,869
Central Pacific Financial Corp.		4,082		120,746

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
Central Valley Community Bancorp		1,603	$	34,737
Century Bancorp, Inc. Class A		412		37,064
Chemung Financial Corp.		540		22,950
Citizens & Northern Corp.		1,792		50,624
City Holding Co.		2,367		193,976
Civista Bancshares, Inc.		2,276		54,624
CNB Financial Corp.		2,154		70,393
Coastal Financial Corp. (a)		1,123		18,496
Codorus Valley Bancorp, Inc.		1,412		32,518
Colony Bankcorp, Inc.		1,129		18,629
Columbia Banking System, Inc.		10,653		433,417
Community Bank System, Inc.		7,524		533,753
The Community Financial Corp.		742		26,393
Community Trust Bancorp, Inc.		2,311		107,785
ConnectOne Bancorp, Inc.		4,878		125,462
CrossFirst Bankshares, Inc. (a)		994		14,333
Customers Bancorp, Inc. (a)		4,156		98,954
CVB Financial Corp.		19,770		426,637
Eagle Bancorp, Inc.		4,837		235,223
Enterprise Bancorp, Inc.		1,300		44,031
Enterprise Financial Services Corp.		3,566		171,917
Equity Bancshares, Inc. Class A (a)		2,176		67,173
Esquire Financial Holdings, Inc. (a)		968		25,236
Evans Bancorp, Inc.		689		27,629
Farmers & Merchants Bancorp, Inc./ Archbold OH (b)		1,457		43,929
Farmers National Banc Corp.		3,795		61,934
FB Financial Corp.		2,496		98,817
Fidelity D&D Bancorp, Inc. (b)		396		24,635
Financial Institutions, Inc.		2,313		74,247
First BanCorp		31,829		337,069
First Bancorp		4,320		172,411
First Bancorp, Inc.		1,535		46,403
The First Bancshares, Inc.		2,419		85,923
First Bank/Hamilton NJ		2,518		27,824
First Busey Corp.		7,604		209,110
First Business Financial Services, Inc.		1,227		32,307
First Choice Bancorp		1,530		41,249
First Commonwealth Financial Corp.		14,428		209,350
First Community Bancshares, Inc.		2,283		70,819
First Financial Bancorp		14,426		366,997
First Financial Bankshares, Inc.		19,242		675,394
First Financial Corp.		1,965		89,840
First Foundation, Inc.		5,714		99,424
First Guaranty Bancshares, Inc.		804		17,503
First Internet Bancorp		1,451		34,403
First Interstate BancSystem, Inc. Class A		5,563		233,201
First Merchants Corp.		8,080		336,047
First Mid Bancshares, Inc.		2,172		76,563
First Midwest Bancorp, Inc.		15,793		364,187
First Northwest Bancorp		1,354		24,548
The First of Long Island Corp.		3,479		87,253
Flagstar Bancorp, Inc.		5,118		195,763
FNCB Bancorp, Inc.		2,599		21,962
Franklin Financial Network, Inc.		1,953		67,046
Franklin Financial Services Corp.		637		24,646
Fulton Financial Corp.		23,703		413,143
FVCBankcorp, Inc. (a)		1,739		30,380
German American Bancorp Inc.		3,641		129,692
Glacier Bancorp, Inc.		12,849		590,926
Great Southern Bancorp, Inc.		1,625		102,895
Great Western Bancorp, Inc.		8,400		291,816
Guaranty Bancshares, Inc.		1,184		38,930
Hancock Whitney Corp.		12,835		563,200
Hanmi Financial Corp.		4,546		90,897
HarborOne Bancorp, Inc. (a)		3,742		41,125
Hawthorn Bancshares, Inc.		860		21,930
HBT Financial, Inc. (a)		1,344		25,523
Heartland Financial USA, Inc.		5,158		256,559
Heritage Commerce Corp.		8,094		103,846
Heritage Financial Corp.		5,371		151,999
Hilltop Holdings, Inc.		10,333		257,602
Home BancShares, Inc.		22,942		451,040
HomeStreet, Inc. (a)		3,326		113,084
Hope Bancorp, Inc.		17,871		265,563
Horizon Bancorp, Inc.		5,431		103,189
Howard Bancorp, Inc. (a)		1,884		31,802
IBERIABANK Corp.		7,716		577,388
Independent Bank Corp. of Michigan		3,188		72,208
Independent Bank Corp. of Massachusetts		4,912		408,924
Independent Bank Group, Inc.		5,290		293,278
International Bancshares Corp.		8,233		354,595
Investar Holding Corp.		1,328		31,872
Kearny Financial Corp.		11,659		161,244
Lakeland Bancorp, Inc.		7,281		126,544
Lakeland Financial Corp.		3,666		179,377
LCNB Corp.		1,780		34,354
Level One Bancorp, Inc.		764		19,222
Live Oak Bancshares, Inc.		3,866		73,493
Luther Burbank Corp.		2,869		33,080
Macatawa Bank Corp.		3,879		43,173
Mackinac Financial Corp.		1,399		24,427
MainStreet Bancshares, Inc. (a)		1,078		24,794
Mercantile Bank Corp.		2,395		87,346
Merchants Bancorp		1,310		25,820
Meta Financial Group, Inc.		5,256		191,897
Metrocity Bankshares, Inc. (b)		2,349		41,131
Metropolitan Bank Holding Corp. (a)		1,017		49,050
Mid Penn Bancorp, Inc.		1,046		30,125
Midland States Bancorp, Inc.		3,281		95,018
MidWestOne Financial Group, Inc.		1,761		63,801
MVB Financial Corp.		1,460		36,383
National Bank Holdings Corp. Class A		4,322		152,221
National Bankshares, Inc.		940		42,234
NBT Bancorp, Inc.		6,340		257,150
Nicolet Bankshares, Inc. (a)		1,383		102,135

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
Northeast Bank		1,225	$	26,938
Northrim BanCorp, Inc.		954		36,538
Norwood Financial Corp.		883		34,349
Oak Valley Bancorp (b)		958		18,643
OFG Bancorp		7,544		178,114
Ohio Valley Banc Corp.		586		23,217
Old National Bancorp		24,984		456,957
Old Second Bancorp, Inc.		4,338		58,433
OP Bancorp		1,973		20,460
Opus Bank		3,291		85,138
Origin Bancorp, Inc.		2,861		108,260
Orrstown Financial Services, Inc.		1,470		33,251
Pacific Mercantile Bancorp (a)		2,956		24,003
Park National Corp.		1,973		201,996
Parke Bancorp, Inc.		1,284		32,601
PCB Bancorp		1,758		30,378
PCSB Financial Corp.		2,401		48,620
Peapack Gladstone Financial Corp.		2,754		85,099
Penns Woods Bancorp, Inc.		982		34,920
People’s Utah Bancorp		2,362		71,143
Peoples Bancorp of North Carolina, Inc.		670		22,009
Peoples Bancorp, Inc.		2,616		90,671
Peoples Financial Services Corp.		1,031		51,911
Pioneer Bancorp, Inc. (a)		1,642		25,139
Ponce de Leon Federal Bank (a)		1,248		18,346
Preferred Bank		2,066		124,146
Premier Financial Bancorp, Inc.		1,873		33,976
Provident Bancorp, Inc. (a)		1,232		15,338
QCR Holdings, Inc.		2,150		94,299
RBB Bancorp		2,402		50,850
Red River Bancshares, Inc. (a) (b)		727		40,756
Reliant Bancorp, Inc.		1,530		34,027
Renasant Corp.		8,226		291,365
Republic Bancorp, Inc. Class A		1,442		67,486
Republic First Bancorp, Inc. (a)		6,549		27,375
Richmond Mutual Bancorporation, Inc. (a)		1,957		31,234
S&T Bancorp, Inc.		5,640		227,236
Sandy Spring Bancorp, Inc.		5,210		197,355
SB One Bancorp		1,244		31,000
Seacoast Banking Corp. of Florida (a)		7,447		227,655
Select Bancorp, Inc. (a)		2,240		27,552
ServisFirst Bancshares, Inc.		7,042		265,343
Shore Bancshares, Inc.		1,877		32,585
Sierra Bancorp		2,119		61,705
Silvergate Capital Corp. (a)		473		7,525
Simmons First National Corp. Class A (b)		14,088		377,418
SmartFinancial, Inc.		1,841		43,540
South Plains Financial, Inc.		1,498		31,263
South State Corp.		4,942		428,718
Southern First Bancshares, Inc. (a)		1,037		44,062
Southern National Bancorp of Virginia, Inc.		2,920		47,742
Southside Bancshares, Inc.		4,720		175,301
Spirit of Texas Bancshares, Inc. (a)		2,005		46,115
Sterling Bancorp, Inc.		2,375		19,237
Stock Yards Bancorp, Inc.		2,973		122,071
Summit Financial Group, Inc.		1,650		44,698
Tompkins Financial Corp.		2,124		194,346
Towne Bank		9,862		274,361
TriCo Bancshares		3,948		161,118
TriState Capital Holdings, Inc. (a)		3,661		95,625
Triumph Bancorp, Inc. (a)		3,455		131,359
TrustCo Bank Corp NY		14,198		123,097
Trustmark Corp.		9,536		329,087
UMB Financial Corp.		6,555		449,935
Union Bankshares, Inc.		590		21,393
United Bankshares, Inc.		14,434		558,018
United Community Banks, Inc.		11,666		360,246
United Security Bancshares/Fresno CA		2,065		22,157
Unity Bancorp, Inc.		1,170		26,407
Univest Corp. of Pennsylvania		4,233		113,360
Valley National Bancorp		57,309		656,188
Veritex Holdings, Inc.		7,431		216,465
Walker & Dunlop, Inc.		4,114		266,094
Washington Trust Bancorp, Inc. (b)		2,205		118,607
WesBanco, Inc.		9,610		363,162
West Bancorporation, Inc.		2,384		61,102
Westamerica Bancorp.		3,858		261,457
Western New England Bancorp, Inc.		3,622		34,880
				30,111,242
Diversified Financial Services — 2.3%
Aircastle Ltd.		7,746		247,949
Altisource Portfolio Solutions SA (a)		887		17,146
Ares Management Corp. Class A		10,558		376,815
Artisan Partners Asset Management, Inc. Class A		7,393		238,942
Assetmark Financial Holdings (a)		2,045		59,346
Associated Capital Group, Inc. Class A (b)		293		11,486
B. Riley Financial, Inc.		3,036		76,446
Blucora, Inc. (a)		7,217		188,652
Boston Private Financial Holdings, Inc.		12,236		147,199
Brightsphere Investment Grou (a)		9,676		98,889
CBTX, Inc.		2,639		82,126
Cohen & Steers, Inc.		3,377		211,941
Columbia Financial, Inc. (a)		7,777		131,742
Cowen, Inc. (a)		4,164		65,583
Curo Group Holdings Corp. (a)		2,276		27,722
Deluxe Corp.		6,233		311,151
Diamond Hill Investment Group, Inc.		471		66,157
Elevate Credit, Inc. (a)		3,176		14,133
Encore Capital Group, Inc. (a) (b)		4,560		161,242

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
Enova International, Inc. (a)		4,860	$	116,932
EZCORP, Inc. Class A (a) (b)		7,544		51,450
Federal Agricultural Mortgage Corp. Class C		1,327		110,805
Federated Investors, Inc. Class B		14,256		464,603
Focus Financial Partners, Inc. Class A (a)		4,556		134,265
Gain Capital Holdings, Inc.		2,892		11,423
GAMCO Investors, Inc. Class A		830		16,177
Greenhill & Co., Inc.		2,184		37,303
Hamilton Lane, Inc. Class A		3,267		194,713
Houlihan Lokey, Inc.		6,205		303,238
I3 Verticals, Inc. Class A (a)		2,141		60,483
INTL. FCStone, Inc. (a)		2,344		114,458
Ladenburg Thalmann Financial Services, Inc.		17,230		59,960
LendingClub Corp. (a)		9,921		125,203
Marlin Business Services Corp.		1,272		27,959
MMA Capital Holdings, Inc. (a)		744		23,659
Moelis & Co. Class A		6,974		222,610
Mr Cooper Group, Inc. (a)		11,219		140,350
Nelnet, Inc. Class A		2,658		154,802
Ocwen Financial Corp. (a)		19,363		26,527
On Deck Capital, Inc. (a)		9,483		39,260
Oportun Financial Corp. (a)		1,068		25,418
Oppenheimer Holdings, Inc. Class A		1,389		38,170
Paysign, Inc. (a) (b)		4,575		46,436
PennyMac Financial Services, Inc.		3,687		125,506
Piper Jaffray Cos.		2,044		163,397
PJT Partners, Inc. Class A		3,368		151,998
PRA Group, Inc. (a)		6,684		242,629
Pzena Investment Management, Inc. Class A		2,521		21,731
Regional Management Corp. (a)		1,221		36,667
Sculptor Capital Management, Inc.		2,501		55,272
Siebert Financial Corp. (a)		1,003		8,676
Silvercrest Asset Management Group, Inc. Class A		1,316		16,555
Stifel Financial Corp.		9,817		595,401
Virtus Investment Partners, Inc.		957		116,486
Waddell & Reed Financial, Inc. Class A (b)		10,235		171,129
Westwood Holdings Group, Inc.		1,213		35,929
WisdomTree Investments, Inc.		19,611		94,917
World Acceptance Corp. (a)		808		69,811
				6,986,975
Insurance — 2.9%
Ambac Financial Group, Inc. (a)		6,660		143,656
American Equity Investment Life Holding Co.		13,341		399,296
AMERISAFE, Inc.		2,835		187,195
Argo Group International Holdings Ltd.		4,803		315,797
BRP Group, Inc. (a)		2,220		35,631
Citizens, Inc. (a) (b)		7,322		49,424
CNO Financial Group, Inc.		22,347		405,151
Crawford & Co. Class A		2,506		28,744
Donegal Group, Inc. Class A		1,556		23,060
eHealth, Inc. (a)		3,370		323,790
Employers Holdings, Inc.		4,687		195,682
Enstar Group Ltd. (a)		1,705		352,696
Essent Group Ltd.		14,232		739,922
FBL Financial Group, Inc. Class A		1,414		83,327
Fednat Holding Co.		1,743		28,986
FGL Holdings (b)		21,551		229,518
Genworth Financial, Inc. Class A (a)		74,994		329,974
Global Indemnity Ltd.		1,179		34,934
Goosehead Insurance, Inc. Class A (b)		1,693		71,783
Greenlight Capital Re Ltd. Class A (a)		4,363		44,110
GWG Holdings, Inc. (a) (b)		276		2,710
Hallmark Financial Services, Inc. (a)		1,915		33,647
HCI Group, Inc. (b)		926		42,272
Health Insurance Innovations, Inc. Class A (a) (b)		1,401		27,025
Heritage Insurance Holdings, Inc.		3,970		52,602
Horace Mann Educators Corp.		6,145		268,291
Independence Holding Co.		709		29,835
Investors Title Co.		208		33,114
James River Group Holdings Ltd.		4,407		181,612
Kinsale Capital Group, Inc.		3,030		308,030
MBIA, Inc. (a)		11,090		103,137
National General Holdings Corp.		9,979		220,536
National Western Life Group, Inc. Class A		336		97,736
NI Holdings, Inc. (a)		1,361		23,409
NMI Holdings, Inc. Class A (a)		9,651		320,220
Palomar Holdings, Inc. (a)		1,849		93,356
ProAssurance Corp.		7,913		285,976
ProSight Global, Inc. (a)		1,351		21,792
Protective Insurance Corp. Class B		1,324		21,303
Radian Group, Inc.		29,902		752,334
RLI Corp.		5,909		531,928
Safety Insurance Group, Inc.		2,170		200,790
Selective Insurance Group, Inc.		8,658		564,415
State Auto Financial Corp.		2,533		78,574
Stewart Information Services Corp.		3,456		140,970
Third Point Reinsurance Ltd. (a)		11,056		116,309
Tiptree, Inc.		3,606		29,353
Trupanion, Inc. (a) (b)		4,297		160,966
United Fire Group, Inc.		3,103		135,694
United Insurance Holdings Corp.		3,068		38,687
Universal Insurance Holdings, Inc.		4,389		122,848
Watford Holdings Ltd. (a)		2,819		70,926
				9,133,073
Investment Companies — 0.1%
Ellington Financial, Inc.		4,514		82,741

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
Medallion Financial Corp. (a)		3,137	$	22,806
Rafael Holdings, Inc. Class B (a)		1,508		26,903
				132,450
Private Equity — 0.1%
Kennedy-Wilson Holdings, Inc.		18,193		405,704
Safeguard Scientifics, Inc.		2,778		30,502
				436,206
Real Estate — 0.7%
Alexander & Baldwin, Inc.		10,211		214,023
American Realty Investors, Inc. (a)		319		5,464
Consolidated-Tomoka Land Co.		710		42,827
Cushman & Wakefield PLC (a) (b)		16,656		340,449
eXp World Holdings, Inc. (a) (b)		3,043		34,477
FRP Holdings, Inc. (a)		1,013		50,458
Griffin Industrial Realty, Inc.		149		5,893
Legacy Housing Corp. (a)		839		13,961
Marcus & Millichap, Inc. (a) (b)		3,400		126,650
Maui Land & Pineapple Co., Inc. (a)		1,071		12,049
McGrath RentCorp		3,595		275,161
Newmark Group, Inc. Class A		21,207		285,340
RE/MAX Holdings, Inc. Class A		2,679		103,115
Realogy Holdings Corp. (b)		16,947		164,047
Redfin Corp. (a) (b)		13,234		279,767
The RMR Group, Inc. Class A		2,238		102,142
Stratus Properties, Inc. (a)		831		25,744
				2,081,567
Real Estate Investment Trusts (REITS) — 8.3%
Acadia Realty Trust		12,618		327,185
AG Mortgage Investment Trust, Inc.		4,904		75,620
Agree Realty Corp.		6,116		429,160
Alexander’s, Inc.		311		102,739
American Assets Trust, Inc.		7,181		329,608
American Finance Trust, Inc. (b)		15,893		210,741
Anworth Mortgage Asset Corp.		14,534		51,160
Apollo Commercial Real Estate Finance, Inc.		22,887		418,603
Ares Commercial Real Estate Corp.		3,910		61,934
Arlington Asset Investment Corp. Class A (b)		5,488		30,568
Armada Hoffler Properties, Inc.		8,107		148,763
ARMOUR Residential REIT, Inc.		8,673		154,987
Ashford Hospitality Trust, Inc.		13,040		36,382
Blackstone Mortgage Trust, Inc. Class A (b)		18,687		695,530
Bluerock Residential Growth REIT, Inc.		3,396		40,922
Braemar Hotels & Resorts, Inc.		4,355		38,890
BRT Apartments Corp.		1,412		23,962
Capstead Mortgage Corp.		13,818		109,439
CareTrust REIT, Inc.		14,177		292,471
Catchmark Timber Trust, Inc. Class A		7,342		84,213
CBL & Associates Properties, Inc. (b)		25,002		26,252
Cedar Realty Trust, Inc.		12,312		36,320
Chatham Lodging Trust		6,763		124,033
Cherry Hill Mortgage Investment Corp. (b)		2,289		33,397
CIM Commercial Trust Corp.		203		2,943
City Office REIT, Inc.		7,857		106,227
Clipper Realty, Inc.		2,210		23,426
Colony Credit Real Estate Inc. (b)		12,040		158,446
Community Healthcare Trust, Inc.		2,826		121,122
CoreCivic, Inc.		17,662		306,966
CorEnergy Infrastructure Trust, Inc.		1,893		84,636
CorePoint Lodging Inc.		5,905		63,065
DiamondRock Hospitality Co.		29,862		330,871
Diversified Healthcare Trust		35,145		296,624
Dynex Capital, Inc. (b)		3,279		55,546
Easterly Government Properties, Inc.		10,951		259,867
EastGroup Properties, Inc.		5,603		743,350
Essential Properties Realty Trust, Inc. (b)		11,902		295,289
Exantas Capital Corp.		4,542		53,641
Farmland Partners, Inc. (b)		4,031		27,330
First Industrial Realty Trust, Inc.		18,642		773,829
Four Corners Property Trust, Inc.		10,185		287,115
Franklin Street Properties Corp.		15,510		132,766
Front Yard Residential Corp.		7,250		89,465
The GEO Group, Inc.		17,658		293,299
Getty Realty Corp.		4,893		160,833
Gladstone Commercial Corp.		4,463		97,561
Gladstone Land Corp.		2,710		35,149
Global Medical REIT, Inc.		4,873		64,470
Global Net Lease, Inc.		13,292		269,562
Granite Point Mortgage Trust, Inc. (b)		8,076		148,437
Great Ajax Corp.		2,464		36,492
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b)		9,394		302,299
Healthcare Realty Trust, Inc.		19,556		652,584
Hersha Hospitality Trust		5,066		73,710
Independence Realty Trust, Inc.		13,483		189,841
Industrial Logistics Properties Trust		9,613		215,523
Innovative Industrial Properties, Inc. (b)		1,675		127,082
Invesco Mortgage Capital, Inc.		21,251		353,829
Investors Real Estate Trust		1,714		124,265
iStar, Inc. (b)		8,881		128,863
Jernigan Capital, Inc. (b)		3,159		60,463
Kite Realty Group Trust		12,223		238,715
KKR Real Estate Finance Trust, Inc. (b)		3,659		74,717
Ladder Capital Corp.		15,263		275,345
Lexington Realty Trust		35,688		379,007
LTC Properties, Inc.		5,848		261,815
Mack-Cali Realty Corp.		12,880		297,914
Monmouth Real Estate Investment Corp.		13,746		199,042
National Health Investors, Inc.		6,290		512,509

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
National Storage Affiliates Trust		8,814	$	296,327
New Senior Investment Group, Inc.		12,414		94,967
New York Mortgage Trust, Inc.		38,656		240,827
NexPoint Residential Trust, Inc.		2,919		131,355
Office Properties, Inc. ome Trust		7,090		227,873
One Liberty Properties, Inc.		2,298		62,483
Orchid Island Capital, Inc. (b)		9,302		54,417
Pebblebrook Hotel Trust (b)		19,226		515,449
Pennsylvania REIT (b)		10,360		55,219
PennyMac Mortgage Investment Trust		13,208		294,406
Physicians Realty Trust		27,873		527,915
Piedmont Office Realty Trust, Inc. Class A		18,563		412,841
PotlatchDeltic Corp.		9,786		423,440
Preferred Apartment Communities, Inc. Class A (b)		6,796		90,523
PS Business Parks, Inc.		2,961		488,180
QTS Realty Trust, Inc. Class A		8,496		461,078
Ready Capital Corp. REIT		4,717		72,736
Redwood Trust, Inc.		16,452		272,116
Retail Opportunity Investments Corp.		16,829		297,200
Retail Value, Inc.		2,183		80,334
Rexford Industrial Realty, Inc.		16,355		746,933
RLJ Lodging Trust		24,968		442,433
RPT Realty		11,650		175,216
Ryman Hospitality Properties, Inc.		6,781		587,641
Sabra Health Care REIT, Inc.		28,542		609,086
Safehold, Inc.		1,572		63,352
Saul Centers, Inc.		1,804		95,215
Seritage Growth Properties Class A (b)		5,019		201,162
STAG Industrial, Inc.		19,761		623,855
Summit Hotel Properties, Inc. (b)		15,286		188,629
Sunstone Hotel Investors, Inc.		33,234		462,617
Tanger Factory Outlet Centers, Inc. (b)		13,408		197,500
Terreno Realty Corp.		9,743		527,486
TPG RE Finance Trust, Inc.		7,313		148,235
Transcontinental Realty Investors, Inc. (a)		139		5,543
UMH Properties, Inc.		5,292		83,243
Uniti Group, Inc. (b)		27,536		226,071
Universal Health Realty Income Trust		1,904		223,453
Urban Edge Properties		17,088		327,748
Urstadt Biddle Properties, Inc. Class A		4,339		107,781
Washington Prime Group, Inc. (b)		27,487		100,053
Washington Real Estate Investment Trust		11,894		347,067
Western Asset Mortgage Capital Corp.		7,650		79,024
Whitestone REIT (b)		5,636		76,762
Xenia Hotels & Resorts, Inc.		16,789		362,810
				25,777,330
Savings & Loans — 1.4%
Axos Financial, Inc. (a)		8,587		260,014
Banc of California, Inc.		6,667		114,539
BankFinancial Corp.		2,121		27,743
Berkshire Hills Bancorp, Inc.		6,659		218,948
Brookline Bancorp, Inc.		11,556		190,212
Capitol Federal Financial, Inc.		19,602		269,135
Community Bankers Trust Corp.		3,181		28,247
Dime Community Bancshares, Inc.		4,654		97,222
Entegra Financial Corp. (a)		964		29,074
ESSA Bancorp, Inc.		1,369		23,205
First Capital, Inc. (b)		458		33,434
First Defiance Financial Corp.		2,884		90,817
First Financial Northwest, Inc.		1,180		17,629
Flushing Financial Corp.		3,938		85,081
FS Bancorp, Inc.		607		38,721
Greene County Bancorp, Inc.		471		13,560
Hingham Institution for Savings		200		42,040
Home Bancorp Inc.		1,088		42,639
HomeTrust Bancshares, Inc.		2,325		62,380
Investors Bancorp, Inc.		33,612		400,487
Malvern Bancorp, Inc. (a)		1,109		25,607
Meridian Bancorp, Inc.		7,158		143,804
MutualFirst Financial, Inc.		878		34,830
Northfield Bancorp, Inc.		6,452		109,426
Northwest Bancshares, Inc.		14,925		248,203
OceanFirst Financial Corp.		8,083		206,440
Pacific Premier Bancorp, Inc.		8,587		279,979
Provident Financial Holdings, Inc.		886		19,403
Provident Financial Services, Inc.		9,067		223,502
Prudential Bancorp, Inc.		1,255		23,255
Riverview Bancorp, Inc.		3,191		26,198
Southern Missouri Bancorp, Inc.		1,163		44,613
Territorial Bancorp, Inc.		1,128		34,900
Timberland Bancorp, Inc.		1,060		31,524
United Community Financial Corp.		6,930		80,804
Washington Federal, Inc.		11,707		429,062
Waterstone Financial, Inc.		3,507		66,738
WSFS Financial Corp.		7,574		333,180
				4,446,595
				79,105,438
Government — 0.0%
Multi-National — 0.0%
Banco Latinoamericano de Comercio Exterior SA		4,516		96,552
Industrial — 14.6%
Aerospace & Defense — 1.1%
AAR Corp.		4,946		223,065
Aerojet Rocketdyne Holdings, Inc. (a)		10,802		493,219
Aerovironment, Inc. (a)		3,142		193,987
Astronics Corp. (a)		3,370		94,192
Barnes Group, Inc.		6,976		432,233
Coda Octopus Group, Inc. (a) (b)		704		5,893
Ducommun, Inc. (a)		1,611		81,404

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
Kaman Corp.		4,107	$	270,733
Kratos Defense & Security Solutions, Inc. (a)		13,398		241,298
Mercury Systems, Inc. (a)		8,018		554,124
Moog, Inc. Class A		4,759		406,085
National Presto Industries, Inc. (b)		721		63,729
Park Aerospace Corp.		2,760		44,905
Triumph Group, Inc.		7,277		183,890
				3,288,757
Building Materials — 1.8%
AAON, Inc.		6,088		300,808
American Woodmark Corp. (a)		2,500		261,275
Apogee Enterprises, Inc.		3,913		127,173
Armstrong Flooring, Inc. (a)		2,586		11,042
Boise Cascade Co.		5,731		209,354
Builders FirstSource, Inc. (a)		16,869		428,641
Caesarstone Ltd. (b)		3,250		48,978
Continental Building Products, Inc. (a)		5,134		187,032
Cornerstone Building Brands, Inc. (a)		6,664		56,711
Forterra, Inc. (a)		2,647		30,599
Gibraltar Industries, Inc. (a)		4,781		241,154
Griffon Corp.		5,369		109,152
JELD-WEN Holding, Inc. (a)		9,969		233,374
Louisiana-Pacific Corp.		17,471		518,365
Masonite International Corp. (a)		3,654		263,855
Patrick Industries, Inc.		3,359		176,112
PGT Innovations, Inc. (a)		8,374		124,856
Select Interior Concepts, Inc. Class A (a)		3,068		27,581
Simpson Manufacturing Co., Inc.		6,626		531,604
Summit Materials, Inc. Class A (a)		16,649		397,911
Trex Co., Inc. (a)		8,690		781,057
Universal Forest Products, Inc.		8,809		420,189
US Concrete, Inc. (a) (b)		2,329		97,026
				5,583,849
Electrical Components & Equipment — 0.9%
American Superconductor Corp. (a) (b)		3,194		25,073
Belden, Inc.		5,787		318,285
Encore Wire Corp.		3,022		173,463
Energous Corp. (a) (b)		4,231		7,489
EnerSys		6,312		472,327
Generac Holdings, Inc. (a)		9,042		909,535
Graham Corp.		1,428		31,244
Insteel Industries, Inc.		2,732		58,710
nLight, Inc. (a) (b)		4,885		99,068
Novanta, Inc. (a)		4,980		440,431
Powell Industries, Inc.		1,321		64,716
Vicor Corp. (a) (b)		2,664		124,462
				2,724,803
Electronics — 2.3%
Advanced Energy Industries, Inc. (a)		5,640		401,568
Akoustis Technologies, Inc. (a) (b)		3,924		31,392
Alarm.com Holdings, Inc. (a)		5,461		234,659
Allied Motion Technologies, Inc.		1,034		50,149
Applied Optoelectronics, Inc. (a) (b)		2,800		33,264
Atkore International Group, Inc. (a)		6,945		280,995
Badger Meter, Inc.		4,248		275,823
Bel Fuse, Inc. Class B		1,473		30,197
Benchmark Electronics, Inc.		5,504		189,117
Brady Corp. Class A		7,075		405,115
Comtech Telecommunications Corp.		3,544		125,777
Digimarc Corp. (a) (b)		1,736		58,260
FARO Technologies, Inc. (a)		2,541		127,939
Fitbit, Inc. Class A (a)		33,221		218,262
Fluidigm Corp. (a)		10,280		35,774
GoPro, Inc. Class A (a) (b)		18,619		80,807
II-VI, Inc. (a) (b)		13,224		445,252
IntriCon Corp. (a)		1,248		22,464
Itron, Inc. (a)		5,072		425,794
Kimball Electronics, Inc. (a)		3,630		63,707
Knowles Corp. (a)		12,055		254,963
Mesa Laboratories, Inc.		591		147,395
Napco Security Technologies, Inc. (a)		1,671		49,111
NVE Corp.		712		50,837
OSI Systems, Inc. (a)		2,491		250,943
Plexus Corp. (a)		4,284		329,611
Sanmina Corp. (a)		10,133		346,954
SMART Global Holdings, Inc. (a)		2,039		77,360
Stoneridge, Inc. (a)		3,915		114,788
Tech Data Corp. (a)		5,249		753,756
Transcat, Inc. (a)		1,036		33,007
TTM Technologies, Inc. (a)		14,612		219,911
Vishay Intertechnology, Inc.		19,636		418,050
Vishay Precision Group, Inc. (a)		1,558		52,972
Watts Water Technologies, Inc. Class A		4,096		408,617
Wrap Technologies, Inc. (a) (b)		1,155		7,380
ZAGG, Inc. (a) (b)		4,329		35,108
				7,087,078
Engineering & Construction — 1.6%
Aegion Corp. (a)		4,550		101,783
Arcosa, Inc.		7,202		320,849
Comfort Systems USA, Inc.		5,391		268,741
Concrete Pumping Holdings, Inc. (a)		2,364		12,931
Construction Partners, Inc. Class A (a) (b)		2,600		43,862
Dycom Industries, Inc. (a)		4,513		212,788
EMCOR Group, Inc.		8,255		712,406
Exponent, Inc.		7,656		528,341
Granite Construction, Inc. (b)		6,885		190,508
Great Lakes Dredge & Dock Corp. (a)		9,005		102,027

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
IES Holdings, Inc. (a)		1,207	$	30,972
Iteris, Inc. (a)		5,927		29,576
KBR, Inc.		20,932		638,426
MasTec, Inc. (a)		8,874		569,356
Mistras Group, Inc. (a)		2,641		37,687
MYR Group, Inc. (a)		2,432		79,259
NV5 Global, Inc. (a) (b)		1,536		77,491
Primoris Services Corp.		6,551		145,694
Sterling Construction Co., Inc. (a)		3,785		53,293
TopBuild Corp. (a)		4,947		509,937
Tutor Perini Corp. (a)		5,911		76,015
VSE Corp.		1,295		49,262
Willscot Corp. (a)		7,624		140,968
				4,932,172
Environmental Controls — 0.7%
Advanced Disposal Services, Inc. (a)		10,738		352,958
AquaVenture Holdings Ltd. (a)		2,068		56,084
Casella Waste Systems, Inc. Class A (a)		6,772		311,715
CECO Environmental Corp. (a)		4,455		34,125
Charah Solutions, Inc. (a)		1,503		3,667
Covanta Holding Corp.		17,525		260,071
Energy Recovery, Inc. (a) (b)		5,519		54,031
Evoqua Water Technologies Corp. (a)		11,047		209,341
Heritage-Crystal Clean, Inc. (a)		2,261		70,928
Pure Cycle Corp. (a)		2,550		32,105
Tetra Tech, Inc.		8,067		695,053
US Ecology, Inc.		3,539		204,943
				2,285,021
Hand & Machine Tools — 0.5%
Franklin Electric Co., Inc.		6,844		392,298
Kennametal, Inc.		12,153		448,324
Luxfer Holdings PLC		4,051		74,984
MSA Safety, Inc.		5,218		659,347
				1,574,953
Machinery – Construction & Mining — 0.3%
Argan, Inc.		2,166		86,943
Astec Industries, Inc.		3,272		137,424
Bloom Energy Corp. Class A (a) (b)		8,199		61,247
Hyster-Yale Materials Handling, Inc.		1,501		88,499
The Manitowoc Co., Inc. (a)		5,140		89,950
SPX Corp. (a)		6,479		329,651
Terex Corp.		9,390		279,634
				1,073,348
Machinery – Diversified — 1.3%
Alamo Group, Inc.		1,448		181,796
Albany International Corp. Class A		4,541		344,753
Altra Industrial Motion Corp.		9,517		344,611
Applied Industrial Technologies, Inc.		5,682		378,933
Briggs & Stratton Corp. (b)		6,161		41,032
Cactus, Inc. Class A		6,979		239,519
Chart Industries, Inc. (a)		5,337		360,194
Columbus McKinnon Corp.		3,437		137,583
CSW Industrials, Inc.		2,198		169,246
DXP Enterprises, Inc. (a)		2,443		97,256
Gencor Industries, Inc. (a)		1,308		15,264
The Gorman-Rupp Co.		2,572		96,450
Hurco Cos., Inc.		911		34,946
Ichor Holdings Ltd. (a)		3,286		109,325
Kadant, Inc.		1,623		170,967
Lindsay Corp. (b)		1,583		151,952
Mueller Water Products, Inc. Class A		23,062		276,283
NN, Inc.		6,225		57,581
SPX FLOW, Inc. (a)		6,193		302,652
Tennant Co.		2,655		206,878
Twin Disc, Inc. (a)		1,551		17,092
Welbilt, Inc. (a)		19,084		297,901
				4,032,214
Metal Fabricate & Hardware — 1.0%
Advanced Drainage Systems, Inc.		6,413		249,081
AZZ, Inc.		3,837		176,310
CIRCOR International, Inc. (a)		2,882		133,264
The Eastern Co.		764		23,325
Helios Technologies, Inc.		4,320		199,714
Lawson Products, Inc. (a)		635		33,084
LB Foster Co. Class A (a)		1,499		29,051
Mayville Engineering Co., Inc. (a)		958		8,986
Mueller Industries, Inc.		8,244		261,747
Northwest Pipe Co. (a)		1,377		45,868
Olympic Steel, Inc.		1,394		24,980
Omega Flex, Inc.		435		46,671
Park-Ohio Holdings Corp.		1,243		41,827
RBC Bearings, Inc. (a)		3,586		567,807
Rexnord Corp. (a)		15,712		512,525
Ryerson Holding Corp. (a)		2,418		28,605
Synalloy Corp.		1,197		15,453
TimkenSteel Corp. (a)		5,940		46,688
Tredegar Corp.		3,797		84,863
TriMas Corp. (a)		6,656		209,065
Worthington Industries, Inc.		5,743		242,240
				2,981,154
Miscellaneous – Manufacturing — 1.5%
Actuant Corp. Class A		8,147		212,066
American Outdoor Brands Corp. (a)		8,021		74,435
Axon Enterprise, Inc. (a) (b)		8,623		631,893
Chase Corp.		1,079		127,840
EnPro Industries, Inc.		3,054		204,252
ESCO Technologies, Inc.		3,790		350,575
Fabrinet (a)		5,402		350,266
Federal Signal Corp.		8,782		283,219
Haynes International, Inc.		1,842		65,907
Hillenbrand, Inc.		10,833		360,847
John Bean Technologies Corp.		4,611		519,475

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
LSB Industries, Inc. (a) (b)		3,299	$	13,856
Lydall, Inc. (a)		2,537		52,059
Materion Corp.		3,015		179,242
Myers Industries, Inc.		5,209		86,886
NL Industries, Inc. (a)		1,160		4,536
Proto Labs, Inc. (a)		3,991		405,286
Raven Industries, Inc.		5,348		184,292
Standex International Corp.		1,816		144,100
Sturm, Ruger & Co., Inc.		2,463		115,835
Trinseo SA		5,805		216,004
				4,582,871
Packaging & Containers — 0.1%
Greif, Inc. Class A		3,829		169,242
Greif, Inc. Class B		877		45,402
Matthews International Corp. Class A		4,521		172,566
UFP Technologies, Inc. (a)		977		48,469
				435,679
Transportation — 1.3%
Air Transport Services Group, Inc. (a)		8,627		202,389
ArcBest Corp.		3,762		103,831
Ardmore Shipping Corp. (a)		4,958		44,870
Atlas Air Worldwide Holdings, Inc. (a)		3,485		96,082
Costamare, Inc.		7,654		72,943
Covenant Transportation Group, Inc. Class A (a)		1,833		23,692
CryoPort, Inc. (a) (b)		4,664		76,769
Daseke, Inc. (a) (b)		6,948		21,956
DHT Holdings, Inc.		13,419		111,109
Diamond S Shipping, Inc. (a)		3,330		55,744
Dorian LPG Ltd. (a)		4,103		63,514
Eagle Bulk Shipping, Inc. (a)		6,534		30,056
Echo Global Logistics, Inc. (a)		3,897		80,668
Forward Air Corp.		4,152		290,432
GasLog Ltd.		5,882		57,585
Genco Shipping & Trading Ltd.		2,299		24,415
Golar LNG Ltd.		14,045		199,720
Heartland Express, Inc.		6,769		142,488
Hub Group, Inc. Class A (a)		4,748		243,525
International Seaways, Inc. (a)		3,768		112,136
Marten Transport Ltd.		5,784		124,298
Matson, Inc.		6,240		254,592
Nordic American Tankers Ltd.		20,731		101,997
Overseas Shipholding Group, Inc. Class A (a)		9,816		22,577
PAM Transportation Services, Inc. (a)		295		17,024
Radiant Logistics, Inc. (a)		5,892		32,818
Roadrunner Transportation Systems, Inc. (a) (b)		541		4,983
Safe Bulkers, Inc. (a)		7,470		12,699
Saia, Inc. (a)		3,843		357,860
Scorpio Bulkers, Inc.		7,984		50,858
Scorpio Tankers, Inc.		6,527		256,772
SEACOR Holdings, Inc. (a)		2,600		112,190
SFL Corp. Ltd.		12,088		175,760
Teekay Corp.		10,200		54,264
Teekay Tankers Ltd. (a)		3,559		85,309
Tidewater, Inc. (a) (b)		5,804		111,901
Universal Logistics Holdings, Inc.		1,224		23,207
US Xpress Enterprises, Inc. Class A (a) (b)		3,053		15,357
Werner Enterprises, Inc.		6,719		244,504
YRC Worldwide, Inc. (a) (b)		4,881		12,447
				4,125,341
Trucking & Leasing — 0.2%
GATX Corp. (b)		5,176		428,832
General Finance Corp. (a)		1,661		18,387
The Greenbrier Cos., Inc.		4,777		154,918
Willis Lease Finance Corp. (a)		437		25,744
				627,881
				45,335,121
Technology — 9.6%
Computers — 2.4%
3D Systems Corp. (a)		17,119		149,791
Agilysys, Inc. (a)		3,065		77,882
Conduent, Inc. (a)		25,820		160,084
Cubic Corp.		4,595		292,104
Diebold Nixdorf, Inc. (a) (b)		11,322		119,560
Exlservice Holdings, Inc. (a)		4,973		345,425
ForeScout Technologies, Inc. (a) (b)		6,253		205,098
Insight Enterprises, Inc. (a)		5,158		362,556
Inspired Entertainment, Inc. (a)		1,342		9,059
Lumentum Holdings, Inc. (a)		11,431		906,478
MAXIMUS, Inc.		9,401		699,340
Mitek Systems, Inc. (a)		5,511		42,159
MTS Systems Corp.		2,653		127,424
NetScout Systems, Inc. (a)		10,562		254,227
Onespan, Inc. (a) (b)		4,908		84,025
PAR Technology Corp. (a) (b)		1,714		52,688
Parsons Corp. (a)		2,847		117,524
Perspecta, Inc.		20,656		546,145
Ping Identity Holding Corp. (a)		2,023		49,159
PlayAGS, Inc. (a)		3,860		46,822
Qualys, Inc. (a)		4,960		413,515
Rapid7, Inc. (a)		7,278		407,714
Rimini Street, Inc. (a)		2,990		11,601
Science Applications International Corp.		8,551		744,108
SecureWorks Corp. Class A (a) (b)		1,168		19,459
Startek, Inc. (a)		2,468		19,695
Stratasys Ltd. (a)		7,594		153,589
Sykes Enterprises, Inc. (a)		5,684		210,251
Tenable Holdings, Inc. (a)		5,597		134,104
TTEC Holdings, Inc.		2,110		83,598
Unisys Corp. (a)		7,505		89,009

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
Varonis Systems, Inc. (a) (b)		4,386	$	340,836
Virtusa Corp. (a)		4,251		192,698
Vocera Communications, Inc. (a)		4,675		97,053
				7,564,780
Office & Business Equipment — 0.1%
AstroNova, Inc.		1,042		14,296
Pitney Bowes, Inc. (b)		25,363		102,213
				116,509
Semiconductors — 2.6%
Adesto Technologies Corp. (a) (b)		4,066		34,561
Alpha & Omega Semiconductor Ltd. (a)		2,980		40,588
Ambarella, Inc. (a)		4,641		281,059
Amkor Technology, Inc. (a)		14,465		188,045
AVX Corp.		6,931		141,878
Axcelis Technologies, Inc. (a)		4,800		115,656
AXT, Inc. (a)		5,730		24,925
Brooks Automation, Inc.		10,501		440,622
Cabot Microelectronics Corp.		4,287		618,700
CEVA, Inc. (a)		3,173		85,544
Cirrus Logic, Inc. (a)		8,612		709,715
Cohu, Inc.		5,993		136,940
CTS Corp.		4,790		143,748
Diodes, Inc. (a)		6,082		342,842
DSP Group, Inc. (a)		3,176		49,990
FormFactor, Inc. (a)		11,140		289,306
GSI Technology, Inc. (a)		2,321		16,456
Impinj, Inc. (a) (b)		2,479		64,107
Inphi Corp. (a)		6,648		492,085
KEMET Corp.		8,411		227,518
Lattice Semiconductor Corp. (a)		18,647		356,904
MACOM Technology Solutions Holdings, Inc. (a)		6,738		179,231
MaxLinear, Inc. (a)		9,757		207,044
Onto Innovation, Inc. (a)		7,110		259,799
Photronics, Inc. (a)		9,640		151,926
Power Integrations, Inc.		4,198		415,224
Rambus, Inc. (a)		16,384		225,690
Semtech Corp. (a)		9,752		515,881
Silicon Laboratories, Inc. (a)		6,353		736,821
Synaptics, Inc. (a)		4,976		327,271
Ultra Clean Holdings, Inc. (a)		5,837		136,994
Veeco Instruments, Inc. (a)		7,188		105,556
Xperi Corp.		7,227		133,699
				8,196,325
Software — 4.5%
ACI Worldwide, Inc. (a)		17,017		644,689
Allscripts Healthcare Solutions, Inc. (a)		23,898		234,559
Altair Engineering, Inc. Class A (a) (b)		5,908		212,156
American Software, Inc. Class A		4,178		62,169
Appfolio, Inc. Class A (a) (b)		2,335		256,733
Appian Corp. (a) (b)		5,033		192,311
Avaya Holdings Corp. (a) (b)		16,370		220,995
Avid Technology, Inc. (a) (b)		4,209		36,113
Bandwidth, Inc. Class A (a)		2,373		151,991
Benefitfocus, Inc. (a) (b)		4,373		95,944
Blackbaud, Inc.		7,217		574,473
Blackline, Inc. (a)		6,383		329,107
Bottomline Technologies de, Inc. (a)		6,394		342,718
Box, Inc. Class A (a)		21,220		356,072
Brightcove, Inc. (a)		5,705		49,576
Castlight Health, Inc. Class B (a)		15,295		20,342
Cision Ltd. (a)		13,554		135,133
Cloudera, Inc. (a) (b)		35,585		413,854
CommVault Systems, Inc. (a)		6,039		269,581
Computer Programs & Systems, Inc.		1,847		48,761
Cornerstone OnDemand, Inc. (a)		8,421		493,050
CSG Systems International, Inc.		4,840		250,615
Daily Journal Corp. (a) (b)		166		48,210
Digi International, Inc. (a)		4,167		73,839
Digital Turbine, Inc. (a)		11,650		83,064
Domo, Inc. Class B (a)		2,613		56,754
Donnelley Financial Solutions, Inc. (a)		4,619		48,361
Ebix, Inc. (b)		3,402		113,661
eGain Corp. (a)		3,098		24,536
Envestnet, Inc. (a)		7,126		496,183
Everbridge, Inc. (a)		4,920		384,154
Evolent Health, Inc. Class A (a) (b)		10,971		99,288
Exela Technologies, Inc. (a)		7,133		2,908
Five9, Inc. (a)		8,839		579,662
Glu Mobile, Inc. (a)		16,893		102,203
Health Catalyst, Inc. (a)		1,204		41,779
Ideanomics, Inc. (a) (b)		7,768		6,647
Immersion Corp. (a)		4,620		34,327
InnerWorkings, Inc. (a)		6,617		36,460
Inovalon Holdings, Inc. Class A (a)		10,753		202,371
Instructure, Inc. (a)		5,101		245,919
Intelligent Systems Corp. (a)		1,022		40,819
j2 Global, Inc.		6,889		645,568
LivePerson, Inc. (a) (b)		9,175		339,475
Majesco (a)		1,144		9,438
ManTech International Corp. Class A		3,979		317,842
MicroStrategy, Inc. Class A (a)		1,231		175,578
MobileIron, Inc. (a)		14,679		71,340
Model N, Inc. (a)		4,880		171,142
NextGen Healthcare, Inc. (a)		8,176		131,388
Omnicell, Inc. (a)		6,124		500,453
Pareteum Corp. (a) (b)		16,331		7,142
PDF Solutions, Inc. (a)		4,192		70,803
Phreesia, Inc. (a) (b)		1,518		40,440
Phunware, Inc. (a) (b)		4,729		5,627
Progress Software Corp.		6,593		273,939

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
PROS Holdings, Inc. (a)		4,877	$	292,230
QAD, Inc. Class A		1,683		85,715
SailPoint Technologies Holding, Inc. (a)		12,690		299,484
Simulations Plus, Inc. (b)		1,728		50,233
SPS Commerce, Inc. (a)		5,190		287,630
SVMK, Inc. (a)		12,820		229,093
Synchronoss Technologies, Inc. (a)		5,766		27,388
Tabula Rasa HealthCare, Inc. (a) (b)		2,879		140,150
TiVo Corp.		18,472		156,643
Upland Software, Inc. (a) (b)		3,419		122,092
Verint Systems, Inc. (a)		9,810		543,082
Verra Mobility Corp. (a) (b)		18,828		263,404
Workiva, Inc. (a)		5,466		229,845
Yext, Inc. (a) (b)		13,957		201,260
Zuora, Inc. Class A (a)		13,059		187,135
				13,987,646
				29,865,260
Utilities — 3.5%
Electric — 1.9%
ALLETE, Inc.		7,662		621,924
Ameresco, Inc. Class A (a) (b)		3,266		57,155
Atlantic Power Corp. (a)		15,793		36,798
Avista Corp.		9,830		472,725
Black Hills Corp.		9,020		708,431
Clearway Energy, Inc. Class A		5,115		97,799
Clearway Energy, Inc. Class C		10,928		218,014
El Paso Electric Co.		6,015		408,358
Genie Energy Ltd. Class B		2,188		16,913
MGE Energy, Inc.		5,159		406,632
NorthWestern Corp.		7,489		536,737
Ormat Technologies, Inc.		5,872		437,581
Otter Tail Corp.		5,840		299,534
PNM Resources, Inc.		11,747		595,690
Portland General Electric Co.		13,261		739,831
Spark Energy, Inc. Class A (b)		1,677		15,479
Unitil Corp.		2,177		134,582
				5,804,183
Gas — 1.1%
Chesapeake Utilities Corp.		2,369		227,021
New Jersey Resources Corp.		13,119		584,714
Northwest Natural Holding Co.		4,491		331,122
ONE Gas, Inc.		7,719		722,267
RGC Resources, Inc.		1,081		30,895
South Jersey Industries, Inc. (b)		13,705		451,991
Southwest Gas Holdings, Inc.		8,023		609,507
Spire, Inc.		7,348		612,162
				3,569,679
Water — 0.5%
American States Water Co.		5,426		470,109
Artesian Resources Corp. Class A		1,199		44,615
California Water Service Group		7,121		367,159
Consolidated Water Co. Ltd.		2,075		33,822
Global Water Resources, Inc.		1,753		23,052
Middlesex Water Co.		2,407		153,013
PICO Holdings, Inc. (a)		2,783		30,947
SJW Group		3,905		277,489
The York Water Co.		1,913		88,208
				1,488,414
				10,862,276
TOTAL COMMON STOCK (Cost $273,128,432)				311,403,986
TOTAL EQUITIES (Cost $273,128,432)				311,403,986
WARRANTS — 0.0%
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
GTx, Inc. CVR (a) (b) (c) (d)		111		-
TOTAL WARRANTS (Cost $227)				-
RIGHTS — 0.0%
Basic Materials — 0.0%
Chemicals — 0.0%
A. Schulman, Inc. CVR (c) (d)		3,820		1,998
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
Tobira Therapeutics Inc. CVR (c) (d)		1,376		10,471
Pharmaceuticals — 0.0%
Omthera Pharmaceuticals Inc. CVR (c) (d)		428		-
				10,471
TOTAL RIGHTS (Cost $1,737)				12,469
MUTUAL FUNDS — 4.8%
Diversified Financial Services — 4.8%
State Street Navigator Securities Lending Prime Portfolio (e)		15,034,121		15,034,121
TOTAL MUTUAL FUNDS (Cost $15,034,121)				15,034,121
TOTAL LONG-TERM INVESTMENTS (Cost $288,164,517)				326,450,576

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

121

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.7%
Repurchase Agreement — 0.5%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (f)	$	1,404,086	$	1,404,086
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill 0.000% 1/09/20 (g)		535,000		534,853
TOTAL SHORT-TERM INVESTMENTS (Cost $1,938,851)				1,938,939
TOTAL INVESTMENTS — 105.7% (Cost $290,103,368) (h)				328,389,515
Other Assets/(Liabilities) — (5.7)%				(17,600,986	)
NET ASSETS — 100.0%			$	310,788,529

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, 2019, was $40,374,112 or 12.99% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $26,430,827 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (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, 2019, these securities amounted to a value of $12,469 or 0.00% of net assets.

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

(f) Maturity value of $1,404,148. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,434,540.

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

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

Futures contracts

	Expiration Date	Number of Contracts	Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
Russell 2000 E Mini index	3/20/20	27	$	2,250,831	$	4,479

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

122

MassMutual Select Mid Cap Growth Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.3%
COMMON STOCK — 97.1%
Basic Materials — 2.6%
Chemicals — 2.2%
Air Products & Chemicals, Inc.		170,000	$	39,948,300
FMC Corp.		462,835		46,200,190
RPM International, Inc.		712,000		54,653,120
The Sherwin-Williams Co.		72,016		42,024,216
Valvoline, Inc.		712,000		15,243,920
				198,069,746
Mining — 0.4%
Kirkland Lake Gold Ltd. (a)		760,000		33,493,200
				231,562,946
Communications — 3.0%
Internet — 2.3%
Chewy, Inc. Class A (a) (b)		104,000		3,016,000
IAC/InterActiveCorp (b)		510,181		127,091,189
Shopify, Inc. Class A (b)		5,000		1,987,900
Spotify Technology SA (b)		218,000		32,601,900
Twitter, Inc. (b)		1,435,231		45,999,153
				210,696,142
Telecommunications — 0.7%
Corning, Inc.		2,197,000		63,954,670
				274,650,812
Consumer, Cyclical — 15.9%
Airlines — 0.8%
Alaska Air Group, Inc.		288,000		19,512,000
JetBlue Airways Corp. (b)		1,182,503		22,136,456
United Airlines Holdings, Inc. (b)		382,000		33,650,380
				75,298,836
Apparel — 1.3%
Capri Holdings Ltd. (b)		599,031		22,853,033
Levi Strauss & Co. Class A (a)		475,000		9,162,750
Tapestry, Inc.		1,141,000		30,772,770
Under Armour, Inc. Class A (a) (b)		767,629		16,580,786
Under Armour, Inc. Class C (b)		570,000		10,932,600
VF Corp.		251,000		25,014,660
				115,316,599
Auto Parts & Equipment — 1.2%
Aptiv PLC		661,000		62,775,170
BorgWarner, Inc.		504,362		21,879,224
Visteon Corp. (b)		271,000		23,465,890
				108,120,284
Entertainment — 1.6%
Eldorado Resorts, Inc. (a) (b)		782,918		46,693,229
Live Nation Entertainment, Inc. (b)		562,597		40,208,808
Vail Resorts, Inc.		239,000		57,319,370
				144,221,407
Leisure Time — 1.1%
Norwegian Cruise Line Holdings Ltd. (b)		1,630,000		95,208,300
Lodging — 2.1%
Hilton Worldwide Holdings, Inc.		481,000		53,347,710
Marriott International, Inc. Class A		287,000		43,460,410
MGM Resorts International		2,776,000		92,357,520
				189,165,640
Retail — 7.8%
Advance Auto Parts, Inc.		98,777		15,820,124
Burlington Stores, Inc. (b)		472,017		107,634,037
CarMax, Inc. (b)		271,000		23,758,570
Carvana Co. (a) (b)		105,756		9,734,840
Casey’s General Stores, Inc.		366,000		58,190,340
Darden Restaurants, Inc.		165,000		17,986,650
Dollar General Corp.		1,021,191		159,285,372
Dollar Tree, Inc. (b)		625,000		58,781,250
Domino’s Pizza, Inc.		70,688		20,766,721
Dunkin’ Brands Group, Inc.		479,000		36,183,660
Floor & Decor Holdings, Inc. Class A (a) (b)		383,895		19,505,705
O’Reilly Automotive, Inc. (b)		199,818		87,572,237
Ross Stores, Inc.		214,936		25,022,849
Tiffany & Co.		189,000		25,259,850
Ulta Salon Cosmetics & Fragrance, Inc. (b)		87,000		22,023,180
Yum! Brands, Inc.		211,576		21,312,050
				708,837,435
				1,436,168,501
Consumer, Non-cyclical — 29.3%
Biotechnology — 3.3%
ACADIA Pharmaceuticals, Inc. (b)		142,000		6,074,760
Alnylam Pharmaceuticals, Inc. (b)		232,000		26,719,440
Argenx SE ADR (a) (b)		117,000		18,780,840
BioMarin Pharmaceutical, Inc. (b)		269,352		22,773,712
Exact Sciences Corp. (a) (b)		564,724		52,225,676
Illumina, Inc. (b)		29,938		9,931,632
Incyte Corp. (b)		655,485		57,236,950
Sage Therapeutics, Inc. (a) (b)		247,797		17,888,465
Seattle Genetics, Inc. (a) (b)		729,877		83,395,746
				295,027,221
Commercial Services — 10.6%
Booz Allen Hamilton Holding Corp.		259,912		18,487,541
Bright Horizons Family Solutions, Inc. (b)		91,713		13,783,547
Cintas Corp.		201,267		54,156,924
Clarivate Analytics PLC (a) (b)		1,675,000		28,140,000

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

123

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

	Number of Shares		Value
CoreLogic, Inc. (b)		1,178,000	$	51,490,380
CoStar Group, Inc. (b)		96,000		57,436,800
Equifax, Inc.		220,000		30,826,400
FleetCor Technologies, Inc. (b)		249,000		71,642,280
Gartner, Inc. (b)		192,000		29,587,200
Global Payments, Inc.		870,954		159,001,362
IHS Markit Ltd. (b)		1,519,229		114,473,905
MarketAxess Holdings, Inc.		71,000		26,916,810
Moody’s Corp.		162,197		38,507,190
Quanta Services, Inc.		602,950		24,546,095
ServiceMaster Global Holdings, Inc. (b)		753,000		29,110,980
Square, Inc. Class A (a) (b)		379,990		23,772,174
TransUnion		815,000		69,772,150
Verisk Analytics, Inc.		429,000		64,066,860
WeWork Companies, Inc., Class A (Acquired 5/26/15, Cost $240,273) (c) (d) (e)		16,955		238,726
WEX, Inc. (b)		274,618		57,521,486
				963,478,810
Foods — 0.9%
Conagra Brands, Inc.		730,000		24,995,200
Sprouts Farmers Market, Inc. (b)		1,157,000		22,387,950
TreeHouse Foods, Inc. (b)		674,000		32,689,000
				80,072,150
Health Care – Products — 9.9%
Alcon, Inc. (a) (b)		893,716		50,557,514
Align Technology, Inc. (b)		61,698		17,216,210
Avantor, Inc. (b)		2,192,000		39,784,800
Bruker Corp.		1,799,000		91,695,030
The Cooper Cos., Inc.		510,073		163,881,354
Edwards Lifesciences Corp. (b)		78,262		18,257,742
Hologic, Inc. (b)		2,584,000		134,910,640
ICU Medical, Inc. (b)		154,000		28,816,480
IDEXX Laboratories, Inc. (b)		131,793		34,415,106
Insulet Corp. (b)		101,231		17,330,747
ResMed, Inc.		144,372		22,373,329
Steris PLC		193,918		29,556,982
Teleflex, Inc.		567,417		213,598,455
West Pharmaceutical Services, Inc.		227,000		34,124,910
				896,519,299
Health Care – Services — 1.3%
Acadia Healthcare Co., Inc. (b)		1,003,000		33,319,660
Catalent, Inc. (b)		1,528,000		86,026,400
				119,346,060
Household Products & Wares — 0.5%
Avery Dennison Corp.		383,000		50,104,060
Pharmaceuticals — 2.8%
Alkermes PLC (b)		1,445,000		29,478,000
Ascendis Pharma A/S ADR (b)		80,000		11,129,600
DexCom, Inc. (b)		51,971		11,368,137
Elanco Animal Health, Inc. (b)		1,723,000		50,742,350
Neurocrine Biosciences, Inc. (b)		289,000		31,064,610
Perrigo Co. PLC		962,000		49,696,920
PRA Health Sciences, Inc. (b)		527,000		58,576,050
Sarepta Therapeutics, Inc. (a) (b)		94,000		12,129,760
				254,185,427
				2,658,733,027
Energy — 2.3%
Oil & Gas — 2.3%
Concho Resources, Inc.		1,197,115		104,831,361
Continental Resources, Inc.		680,000		23,324,000
Noble Energy, Inc.		1,087,641		27,017,002
Pioneer Natural Resources Co.		269,000		40,718,530
Venture Global LNG, Inc. Series B (Acquired 3/08/18, Cost $652,320) (b) (c) (d) (e)		216		1,123,200
Venture Global LNG, Inc. Series C (Acquired 10/16/17-3/08/18, Cost $4,872,708) (b) (c) (d) (e)		1,328		6,905,600
				203,919,693
Financial — 9.1%
Banks — 1.2%
Fifth Third Bancorp		953,000		29,295,220
Texas Capital Bancshares, Inc. (b)		248,329		14,097,637
Webster Financial Corp.		1,124,661		60,011,911
				103,404,768
Diversified Financial Services — 2.4%
Cboe Global Markets, Inc.		477,000		57,240,000
E*TRADE Financial Corp.		869,000		39,426,530
LPL Financial Holdings, Inc.		184,927		17,059,516
Nasdaq, Inc.		276,185		29,579,413
SLM Corp.		1,485,000		13,231,350
TD Ameritrade Holding Corp.		717,000		35,634,900
Tradeweb Markets, Inc. Class A		548,000		25,399,800
				217,571,509
Insurance — 3.9%
Aon PLC		396,860		82,661,970
Assurant, Inc.		383,000		50,203,640
Axis Capital Holdings Ltd.		669,000		39,765,360
Fidelity National Financial, Inc.		1,537,000		69,702,950
The Progressive Corp.		236,000		17,084,040
Willis Towers Watson PLC		479,000		96,729,260
				356,147,220
Private Equity — 0.9%
KKR & Co., Inc. Class A		2,899,077		84,566,076
Real Estate Investment Trusts (REITS) — 0.7%
Brixmor Property Group, Inc.		772,412		16,691,823
SBA Communications Corp.		184,608		44,488,682
				61,180,505
				822,870,078

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

124

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

	Number of Shares		Value
Industrial — 19.3%
Aerospace & Defense — 1.5%
L3 Harris Technologies, Inc.		685,934	$	135,725,761
Building Materials — 1.0%
Martin Marietta Materials, Inc.		76,000		21,252,640
Masco Corp.		264,387		12,687,932
Owens Corning		252,412		16,437,070
Vulcan Materials Co.		246,870		35,546,811
				85,924,453
Electronics — 5.2%
Agilent Technologies, Inc.		1,387,798		118,393,048
Allegion PLC		132,000		16,439,280
Amphenol Corp. Class A		314,631		34,052,513
FLIR Systems, Inc.		437,000		22,754,590
Fortive Corp.		865,000		66,077,350
Keysight Technologies, Inc. (b)		803,000		82,411,890
National Instruments Corp.		1,012,000		42,848,080
Sensata Technologies Holding PLC (b)		1,633,000		87,969,710
				470,946,461
Engineering & Construction — 0.7%
Jacobs Engineering Group, Inc.		265,234		23,825,970
KBR, Inc.		1,402,036		42,762,098
				66,588,068
Environmental Controls — 1.2%
Stericycle, Inc. (a) (b)		408,992		26,097,779
Waste Connections, Inc.		864,473		78,485,504
				104,583,283
Hand & Machine Tools — 0.6%
Colfax Corp. (b)		1,574,000		57,262,120
Machinery – Construction & Mining — 0.7%
BWX Technologies, Inc. (a)		1,068,976		66,362,030
Machinery – Diversified — 3.9%
Cognex Corp.		262,000		14,682,480
Gardner Denver Holdings, Inc. (a) (b)		2,348,000		86,124,640
IDEX Corp.		480,000		82,560,000
Rockwell Automation, Inc.		149,608		30,321,053
Roper Technologies, Inc.		225,838		79,998,595
Xylem, Inc.		722,000		56,886,380
				350,573,148
Miscellaneous – Manufacturing — 1.0%
Textron, Inc.		2,108,000		94,016,800
Packaging & Containers — 2.3%
Ball Corp.		2,537,804		164,119,785
Sealed Air Corp.		1,046,000		41,662,180
				205,781,965
Transportation — 1.2%
J.B. Hunt Transport Services, Inc.		524,000		61,192,720
Kirby Corp. (b)		255,919		22,912,428
Knight-Swift Transportation Holdings, Inc.		802,679		28,768,015
				112,873,163
				1,750,637,252
Technology — 14.1%
Computers — 0.8%
Genpact Ltd.		849,474		35,822,319
Leidos Holdings, Inc.		407,214		39,862,178
				75,684,497
Semiconductors — 6.6%
Advanced Micro Devices, Inc. (b)		893,582		40,979,670
Entegris, Inc.		598,000		29,953,820
KLA Corp.		90,817		16,180,865
Lam Research Corp.		212,818		62,227,983
Marvell Technology Group Ltd. (a)		3,535,532		93,903,730
Maxim Integrated Products, Inc.		765,000		47,055,150
Microchip Technology, Inc. (a)		1,596,551		167,190,821
Monolithic Power Systems, Inc.		111,439		19,838,371
Skyworks Solutions, Inc.		477,000		57,659,760
Xilinx, Inc.		621,000		60,715,170
				595,705,340
Software — 6.7%
Atlassian Corp. PLC Class A (b)		345,000		41,517,300
Autodesk, Inc. (b)		102,092		18,729,798
Black Knight, Inc. (a) (b)		529,000		34,109,920
Ceridian HCM Holding, Inc. (a) (b)		765,000		51,928,200
DocuSign, Inc. (b)		717,000		53,136,871
Electronic Arts, Inc. (b)		232,031		24,945,653
Fidelity National Information Services, Inc.		380,000		52,854,200
Fiserv, Inc. (b)		708,000		81,866,040
Guidewire Software, Inc. (a) (b)		124,671		13,685,136
Medallia, Inc. (a) (b)		525,184		16,338,474
Slack Technologies, Inc. Class A (a) (b)		614,000		13,802,721
Splunk, Inc. (b)		545,516		81,701,932
SS&C Technologies Holdings, Inc		825,362		50,677,226
Veeva Systems, Inc. Class A (b)		153,000		21,520,980
Workday, Inc. Class A (b)		305,000		50,157,250
Zoom Video Communications, Inc. Class A (a) (b)		48,000		3,265,919
				610,237,620
				1,281,627,457

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

125

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

	Number of Shares		Value
Utilities — 1.5%
Electric — 1.2%
Eversource Energy		480,000	$	40,833,600
Sempra Energy		480,000		72,710,400
				113,544,000
Gas — 0.3%
Atmos Energy Corp.		215,000		24,049,900
				137,593,900
TOTAL COMMON STOCK (Cost $6,870,539,709)				8,797,763,666
PREFERRED STOCK — 0.2%
Communications — 0.1%
Internet — 0.1%
Roofoods, Ltd., Series F (Acquired 9/12/17, Cost $5,955,543) (b) (c) (d) (e)		16,844		6,546,421
Roofoods, Ltd., Series G (Acquired 9/12/17, Cost $5,955,543) (b) (c) (d) (e)		630		263,278
				6,809,699
Consumer, Cyclical — 0.1%
Auto Manufacturers — 0.1%
Rivian Automotive, Inc., Series D (Acquired 12/23/19, Cost $11,560,694) (b) (c) (d) (e)		1,076,014		11,560,694
Consumer, Non-cyclical — 0.0%
Commercial Services — 0.0%
WeWork Companies, Inc., Series D-1 (Acquired 12/09/14, Cost $1,394,302) (b) (c) (d) (e)		83,736		1,179,003
WeWork Companies, Inc., Series D-2 (Acquired 12/09/14, Cost $1,095,513) (b) (c) (d) (e)		65,792		926,351
				2,105,354
TOTAL PREFERRED STOCK (Cost $20,269,329)				20,475,747
TOTAL EQUITIES (Cost $6,890,809,038)				8,818,239,413
MUTUAL FUNDS — 0.8%
Diversified Financial Services — 0.8%
State Street Navigator Securities Lending Prime Portfolio (f)		75,899,317		75,899,317
TOTAL MUTUAL FUNDS (Cost $75,899,317)				75,899,317
TOTAL LONG-TERM INVESTMENTS (Cost $6,966,708,355)				8,894,138,730

	Principal Amount
SHORT-TERM INVESTMENTS — 3.6%
Mutual Fund — 1.7%
T. Rowe Price Treasury Reserve Fund	$	153,084,508		153,084,508
Repurchase Agreement — 1.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (g)		169,281,174		169,281,174
TOTAL SHORT-TERM INVESTMENTS (Cost $322,365,682)				322,365,682
TOTAL INVESTMENTS — 101.7% (Cost $7,289,074,037) (h)				9,216,504,412
Other Assets/(Liabilities) — (1.7)%				(151,383,197	)
NET ASSETS — 100.0%			$	9,065,121,215

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, 2019, was $384,969,787 or 4.25% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $316,266,326 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (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, 2019, these securities amounted to a value of $28,743,273 or 0.32% of net assets.

(d) Investment was valued using significant unobservable inputs.

(e) Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $28,743,273 or 0.32% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

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

(g) Maturity value of $169,288,698. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $172,674,383.

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

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

126

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 97.8%
Basic Materials — 1.8%
Chemicals — 1.0%
Huntsman Corp.		21,551	$	520,671
Ingevity Corp. (a)		23,307		2,036,566
Innospec, Inc.		5,307		548,956
Methanex Corp. (b)		33,877		1,308,669
Orion Engineered Carbons SA		70,028		1,351,540
				5,766,402
Iron & Steel — 0.8%
Carpenter Technology Corp.		84,518		4,207,306
				9,973,708
Communications — 5.3%
Advertising — 0.8%
The Trade Desk, Inc. Class A (a) (b)		16,405		4,261,691
Internet — 3.2%
Anaplan, Inc. (a)		49,455		2,591,442
Cardlytics, Inc. (a) (b)		19,080		1,199,369
DraftKings, Inc. (Acquired 8/22/17, Cost $1,072,661) (a) (c) (d)		281,739		964,111
Mimecast Ltd. (a)		85,715		3,718,316
Q2 Holdings, Inc. (a) (b)		32,859		2,664,208
RingCentral, Inc. Class A (a) (b)		23,962		4,041,670
Roku, Inc. (a) (b)		19,942		2,670,234
Veracode, Inc. (Escrow Shares) (Acquired 8/26/14, Cost $57,059) (a) (c) (d) (e)		30,294		16,480
				17,865,830
Media — 0.9%
Cable One, Inc.		2,282		3,396,689
The New York Times Co. Class A (b)		50,388		1,620,982
				5,017,671
Telecommunications — 0.4%
Ciena Corp. (a)		51,389		2,193,796
				29,338,988
Consumer, Cyclical — 13.4%
Apparel — 1.3%
Carter’s, Inc. (b)		20,657		2,258,636
Deckers Outdoor Corp. (a)		11,356		1,917,574
Skechers U.S.A., Inc. Class A (a)		36,453		1,574,405
Under Armour, Inc. Class C (a)		74,353		1,426,091
				7,176,706
Auto Parts & Equipment — 0.1%
Visteon Corp. (a) (b)		10,286		890,665
Distribution & Wholesale — 0.8%
Pool Corp.		20,974		4,454,458
Entertainment — 1.1%
Churchill Downs, Inc. (b)		8,528		1,170,042
Cinemark Holdings, Inc. (b)		61,582		2,084,551
Marriott Vacations Worldwide Corp.		24,706		3,181,144
				6,435,737
Home Builders — 1.2%
Cavco Industries, Inc. (a)		8,752		1,709,966
Skyline Champion Corp. (a)		151,387		4,798,968
				6,508,934
Leisure Time — 2.9%
Acushnet Holdings Corp.		108,874		3,538,405
BRP, Inc.		55,247		2,516,971
Lindblad Expeditions Holdings, Inc. (a)		88,116		1,440,696
Peloton Interactive, Inc. Class A (a) (b)		40,949		1,162,952
Planet Fitness, Inc. Class A (a)		78,078		5,830,865
YETI Holdings, Inc. (a) (b)		49,109		1,708,011
				16,197,900
Lodging — 0.4%
Choice Hotels International, Inc. (b)		20,986		2,170,582
Retail — 5.6%
BMC Stock Holdings, Inc. (a)		59,626		1,710,670
Boot Barn Holdings, Inc. (a)		84,436		3,759,935
The Cheesecake Factory, Inc. (b)		82,059		3,188,813
The Children’s Place, Inc. (b)		18,409		1,150,931
FirstCash, Inc.		20,157		1,625,259
Five Below, Inc. (a)		13,562		1,734,037
Floor & Decor Holdings, Inc. Class A (a) (b)		37,129		1,886,524
Freshpet, Inc. (a)		54,791		3,237,600
La-Z-Boy, Inc.		55,438		1,745,188
Lithia Motors, Inc. Class A		5,021		738,087
Nu Skin Enterprises, Inc. Class A		40,520		1,660,510
Ollie’s Bargain Outlet Holdings, Inc. (a) (b)		27,848		1,818,753
Rush Enterprises, Inc. Class A		68,563		3,188,179
Sonic Automotive, Inc. Class A		15,359		476,129
Wingstop, Inc.		37,582		3,240,696
				31,161,311
				74,996,293
Consumer, Non-cyclical — 27.5%
Biotechnology — 3.9%
10X Genomics, Inc. Class A (a)		7,114		542,442
ACADIA Pharmaceuticals, Inc. (a) (b)		18,329		784,115
Acceleron Pharma, Inc. (a)		17,277		916,027
Amicus Therapeutics, Inc. (a) (b)		185,648		1,808,211
Apellis Pharmaceuticals, Inc. (a) (b)		31,466		963,489

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

127

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

	Number of Shares		Value
Arena Pharmaceuticals, Inc. (a)		29,785	$	1,352,835
Blueprint Medicines Corp. (a)		27,473		2,200,862
CRISPR Therapeutics AG (a)		11,647		709,361
CytomX Therapeutics, Inc. (a)		25,770		214,149
Epizyme, Inc. (a) (b)		13,813		339,800
Forty Seven, Inc. (a) (b)		18,315		721,062
Iovance Biotherapeutics, Inc. (a)		64,720		1,791,450
Karyopharm Therapeutics, Inc. (a)		50,406		966,283
NeoGenomics, Inc. (a)		40,877		1,195,652
Orchard Therapeutics PLC (a)		57,186		786,307
PTC Therapeutics, Inc. (a) (b)		17,771		853,541
Sage Therapeutics, Inc. (a) (b)		9,716		701,398
Sangamo Therapeutics, Inc. (a) (b)		151,125		1,264,916
Theravance Biopharma, Inc. (a) (b)		12,600		326,214
Veracyte, Inc. (a) (b)		44,123		1,231,914
Y-mAbs Therapeutics, Inc. (a)		61,832		1,932,250
				21,602,278
Commercial Services — 5.8%
Avalara, Inc. (a)		22,314		1,634,500
Bright Horizons Family Solutions, Inc. (a)		22,622		3,399,860
The Brink’s Co.		21,979		1,993,056
Cardtronics PLC Class A (a)		49,296		2,201,066
Chegg, Inc. (a)		52,578		1,993,232
Euronet Worldwide, Inc. (a)		13,219		2,082,786
Grand Canyon Education, Inc. (a)		9,586		918,243
HealthEquity, Inc. (a) (b)		20,955		1,552,137
HMS Holdings Corp. (a)		96,778		2,864,629
Liveramp Holdings, Inc. (a)		40,707		1,956,785
Monro, Inc. (b)		16,200		1,266,840
Paylocity Holding Corp. (a) (b)		26,069		3,149,657
Strategic Education, Inc.		21,231		3,373,606
TriNet Group, Inc. (a)		69,062		3,909,600
				32,295,997
Foods — 2.3%
Grocery Outlet Holding Corp. (a) (b)		30,712		996,605
Nomad Foods Ltd. (a)		51,336		1,148,386
Performance Food Group Co. (a)		82,510		4,247,615
Sanderson Farms, Inc.		18,988		3,346,065
The Simply Good Foods Co. (a)		103,139		2,943,587
				12,682,258
Health Care – Products — 8.4%
Adaptive Biotechnologies Corp. (a)		7,678		229,726
Avanos Medical, Inc. (a)		27,658		932,075
Bio-Techne Corp.		19,693		4,322,810
CareDx, Inc. (a)		46,555		1,004,191
Globus Medical, Inc. Class A (a)		71,934		4,235,474
Haemonetics Corp. (a)		51,023		5,862,543
Hill-Rom Holdings, Inc.		17,710		2,010,616
Inspire Medical Systems, Inc. (a)		28,991		2,151,422
Insulet Corp. (a)		40,892		7,000,710
iRhythm Technologies, Inc. (a) (b)		37,392		2,546,021
Masimo Corp. (a)		25,192		3,981,848
Novocure Ltd. (a)		29,461		2,482,678
Penumbra, Inc. (a) (b)		8,828		1,450,176
Repligen Corp. (a)		52,931		4,896,118
Tandem Diabetes Care, Inc. (a) (b)		67,422		4,019,025
				47,125,433
Health Care – Services — 3.1%
Acadia Healthcare Co., Inc. (a) (b)		40,300		1,338,766
Addus HomeCare Corp. (a)		18,729		1,820,833
Amedisys, Inc. (a)		38,418		6,412,733
LHC Group, Inc. (a)		13,070		1,800,523
Medpace Holdings, Inc. (a) (b)		22,861		1,921,696
Molina Healthcare, Inc. (a)		9,431		1,279,692
Teladoc Health, Inc. (a) (b)		31,289		2,619,515
				17,193,758
Pharmaceuticals — 4.0%
Aerie Pharmaceuticals, Inc. (a) (b)		18,961		458,287
Agios Pharmaceuticals, Inc. (a) (b)		20,534		980,499
Ascendis Pharma A/S ADR (a)		6,707		933,078
G1 Therapeutics, Inc. (a) (b)		48,384		1,278,789
Galapagos NV Sponsored ADR (a) (b)		10,118		2,092,706
Global Blood Therapeutics, Inc. (a) (b)		30,249		2,404,493
Heron Therapeutics, Inc. (a) (b)		42,291		993,838
Kodiak Sciences, Inc. (a) (b)		19,339		1,391,441
MyoKardia, Inc. (a) (b)		23,952		1,745,742
Portola Pharmaceuticals, Inc. (a) (b)		18,800		448,944
PRA Health Sciences, Inc. (a)		42,764		4,753,219
Principia Biopharma, Inc. (a) (b)		22,100		1,210,638
Reata Pharmaceuticals, Inc. Class A (a) (b)		4,921		1,006,000
Revance Therapeutics, Inc. (a) (b)		52,106		845,680
Rhythm Pharmaceuticals, Inc. (a) (b)		35,609		817,583
Tricida, Inc. (a) (b)		19,100		720,834
UroGen Pharma Ltd. (a) (b)		13,904		463,976
				22,545,747
				153,445,471
Energy — 1.5%
Energy – Alternate Sources — 0.6%
First Solar, Inc. (a) (b)		39,212		2,194,304
SunPower Corp. (a) (b)		134,630		1,050,114
				3,244,418
Oil & Gas — 0.9%
Delek US Holdings, Inc.		51,108		1,713,651
Matador Resources Co. (a)		66,464		1,194,358
Viper Energy Partners LP		87,170		2,149,612
				5,057,621
				8,302,039

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

128

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

	Number of Shares		Value
Financial — 16.0%
Banks — 3.8%
Ameris Bancorp		80,825	$	3,438,296
Atlantic Union Bankshares Corp.		88,716		3,331,286
BancorpSouth Bank		117,818		3,700,663
First Interstate BancSystem, Inc. Class A		47,353		1,985,038
National Bank Holdings Corp. Class A		55,561		1,956,858
Pinnacle Financial Partners, Inc. (b)		40,401		2,585,664
Seacoast Banking Corp. of Florida (a)		66,488		2,032,538
South State Corp.		23,931		2,076,014
				21,106,357
Diversified Financial Services — 2.5%
Air Lease Corp.		37,607		1,787,085
Ares Management Corp. Class A		32,110		1,146,006
Cohen & Steers, Inc.		16,711		1,048,782
Hamilton Lane, Inc. Class A		54,186		3,229,486
LPL Financial Holdings, Inc.		37,216		3,433,176
PRA Group, Inc. (a)		96,275		3,494,782
				14,139,317
Insurance — 2.6%
Assured Guaranty Ltd.		35,594		1,744,818
eHealth, Inc. (a) (b)		16,974		1,630,862
James River Group Holdings Ltd.		40,977		1,688,662
Kemper Corp.		33,063		2,562,382
Kinsale Capital Group, Inc. (b)		13,704		1,393,149
MGIC Investment Corp.		110,954		1,572,218
NMI Holdings, Inc. Class A (a)		52,023		1,726,123
Primerica, Inc.		16,367		2,136,876
Third Point Reinsurance Ltd. (a)		29,500		310,340
				14,765,430
Private Equity — 0.7%
Kennedy-Wilson Holdings, Inc.		173,167		3,861,624
Real Estate — 0.7%
McGrath RentCorp		53,760		4,114,791
Real Estate Investment Trusts (REITS) — 4.7%
Americold Realty Trust		36,343		1,274,186
Brandywine Realty Trust		112,772		1,776,159
CoreSite Realty Corp.		9,217		1,033,410
First Industrial Realty Trust, Inc.		58,785		2,440,165
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b)		128,236		4,126,634
Life Storage, Inc.		17,932		1,941,677
MFA Financial, Inc.		237,570		1,817,411
NexPoint Residential Trust, Inc.		55,247		2,486,115
PotlatchDeltic Corp. (b)		56,483		2,444,019
PS Business Parks, Inc.		8,650		1,426,126
Redwood Trust, Inc.		99,633		1,647,930
Xenia Hotels & Resorts, Inc. (b)		164,049		3,545,099
				25,958,931
Savings & Loans — 1.0%
OceanFirst Financial Corp.		46,442		1,186,129
Sterling Bancorp		197,782		4,169,244
				5,355,373
				89,301,823
Industrial — 17.1%
Aerospace & Defense — 2.0%
Aerojet Rocketdyne Holdings, Inc. (a) (b)		127,225		5,809,094
HEICO Corp.		15,375		1,755,056
Mercury Systems, Inc. (a)		53,856		3,721,988
				11,286,138
Building Materials — 1.4%
American Woodmark Corp. (a) (b)		16,300		1,703,513
Louisiana-Pacific Corp.		123,010		3,649,706
Summit Materials, Inc. Class A (a)		21,569		515,499
Trex Co., Inc. (a) (b)		24,019		2,158,828
				8,027,546
Electrical Components & Equipment — 1.4%
EnerSys		46,604		3,487,378
Generac Holdings, Inc. (a)		15,524		1,561,559
Novanta, Inc. (a)		32,278		2,854,666
				7,903,603
Electronics — 0.7%
Watts Water Technologies, Inc. Class A		14,688		1,465,275
Woodward, Inc.		18,008		2,132,867
				3,598,142
Engineering & Construction — 0.4%
KBR, Inc.		34,228		1,043,954
TopBuild Corp. (a)		9,424		971,426
				2,015,380
Environmental Controls — 1.4%
Casella Waste Systems, Inc. Class A (a)		74,568		3,432,365
Clean Harbors, Inc. (a)		49,786		4,269,150
				7,701,515
Hand & Machine Tools — 0.3%
Kennametal, Inc.		51,740		1,908,689
Machinery – Construction & Mining — 0.8%
Argan, Inc.		84,762		3,402,347
SPX Corp. (a)		15,792		803,497
				4,205,844
Machinery – Diversified — 1.9%
Applied Industrial Technologies, Inc.		9,932		662,365
Chart Industries, Inc. (a)		83,745		5,651,950
Curtiss-Wright Corp.		15,248		2,148,291

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

129

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

	Number of Shares		Value
SPX FLOW, Inc. (a)		43,887	$	2,144,757
				10,607,363
Metal Fabricate & Hardware — 2.6%
Advanced Drainage Systems, Inc.		151,801		5,895,951
RBC Bearings, Inc. (a)		18,405		2,914,248
Rexnord Corp. (a)		172,309		5,620,719
				14,430,918
Miscellaneous – Manufacturing — 2.3%
Actuant Corp. Class A		66,504		1,731,099
Axon Enterprise, Inc. (a) (b)		15,620		1,144,634
Federal Signal Corp.		45,382		1,463,569
ITT, Inc.		70,920		5,241,697
John Bean Technologies Corp.		27,513		3,099,615
				12,680,614
Packaging & Containers — 0.7%
Graphic Packaging Holding Co.		232,301		3,867,812
Transportation — 0.9%
CryoPort, Inc. (a) (b)		48,637		800,565
Kirby Corp. (a)		24,916		2,230,729
Saia, Inc. (a)		22,855		2,128,258
				5,159,552
Trucking & Leasing — 0.3%
GATX Corp. (b)		22,130		1,833,470
				95,226,586
Technology — 14.9%
Computers — 2.5%
Endava PLC Sponsored ADR (a) (b)		27,869		1,298,695
EPAM Systems, Inc. (a)		4,596		975,087
ForeScout Technologies, Inc. (a)		28,724		942,147
Globant SA (a)		12,235		1,297,522
Kornit Digital Ltd. (a) (b)		60,473		2,069,991
Lumentum Holdings, Inc. (a) (b)		14,895		1,181,174
Rapid7, Inc. (a)		74,584		4,178,196
Science Applications International Corp.		23,018		2,003,026
				13,945,838
Office & Business Equipment — 0.3%
Zebra Technologies Corp. Class A (a)		7,664		1,957,692
Semiconductors — 4.7%
Cohu, Inc. (b)		80,780		1,845,823
Entegris, Inc.		105,758		5,297,418
Lattice Semiconductor Corp. (a)		222,628		4,261,100
MKS Instruments, Inc.		32,334		3,557,064
Monolithic Power Systems, Inc.		24,191		4,306,482
Silicon Laboratories, Inc. (a)		12,244		1,420,059
Tower Semiconductor Ltd. (a) (b)		228,298		5,492,850
				26,180,796
Software — 7.4%
Alteryx, Inc. Class A (a) (b)		23,084		2,310,016
Bandwidth, Inc. Class A (a) (b)		37,203		2,382,852
Bill.Com Holdings, Inc. (a)		1,980		75,339
Cloudera, Inc. (a) (b)		119,627		1,391,262
Coupa Software, Inc. (a) (b)		28,060		4,103,775
Fair Isaac Corp. (a)		2,767		1,036,740
Five9, Inc. (a)		54,347		3,564,076
Guidewire Software, Inc. (a) (b)		15,963		1,752,258
HubSpot, Inc. (a)		33,123		5,249,995
ManTech International Corp. Class A		34,261		2,736,769
MongoDB, Inc. (a) (b)		20,982		2,761,441
Omnicell, Inc. (a) (b)		86,900		7,101,468
Phreesia, Inc. (a) (b)		20,078		534,878
PROS Holdings, Inc. (a)		19,056		1,141,836
SailPoint Technologies Holding, Inc. (a)		52,245		1,232,982
SVMK, Inc. (a)		103,800		1,854,906
Zynga, Inc. Class A (a)		348,176		2,130,837
				41,361,430
				83,445,756
Utilities — 0.3%
Electric — 0.3%
Black Hills Corp.		22,599		1,774,925
TOTAL COMMON STOCK (Cost $454,335,943)				545,805,589
PREFERRED STOCK — 0.2%
Communications — 0.1%
Internet — 0.1%
The Honest Company, Inc., Series D (Acquired 8/03/15, Cost $650,636) (a) (c) (d) (e)		14,220		554,296
Technology — 0.1%
Software — 0.1%
MarkLogic Corp., Series F (Acquired 4/27/15, Cost $894,502) (a) (c) (d) (e)		77,018		737,062
TOTAL PREFERRED STOCK (Cost $1,545,139)				1,291,358
TOTAL EQUITIES (Cost $455,881,082)				547,096,947
MUTUAL FUNDS — 4.0%
Diversified Financial Services — 4.0%
iShares Russell 2000 Index Fund (b)		40,331		6,681,637

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

130

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

	Number of Shares		Value
State Street Navigator Securities Lending Prime Portfolio (f)		15,619,251	$	15,619,251
				22,300,888
TOTAL MUTUAL FUNDS (Cost $22,194,461)				22,300,888
TOTAL LONG-TERM INVESTMENTS (Cost $478,075,543)				569,397,835

	Principal Amount
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (g)	$	14,137,464		14,137,464
TOTAL SHORT-TERM INVESTMENTS (Cost $14,137,464)				14,137,464
TOTAL INVESTMENTS — 104.6% (Cost $492,213,007) (h)				583,535,299
Other Assets/(Liabilities) — (4.6)%				(25,464,548	)
NET ASSETS — 100.0%			$	558,070,751

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, 2019, was $101,824,073 or 18.25% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $88,433,855 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $2,271,949 or 0.41% of net assets.

(d) Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $2,271,949 or 0.41% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(e) Investment was valued using significant unobservable inputs.

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

(g) Maturity value of $14,138,092. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $14,422,525.

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

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

131

MM MSCI EAFE International Index Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.8%
COMMON STOCK — 99.2%
Australia — 6.7%
The AGL Energy Ltd.		10,497	$	151,519
Alumina Ltd.		38,789		62,647
AMP Ltd.		53,650		72,137
APA Group		19,587		152,972
Aristocrat Leisure Ltd.		9,292		220,374
ASX Ltd.		2,956		163,022
Aurizon Holdings Ltd.		32,341		118,977
AusNet Services		29,454		35,122
Australia & New Zealand Banking Group Ltd.		44,998		779,571
Bendigo & Adelaide Bank Ltd.		8,270		56,872
BHP Group Ltd.		46,872		1,283,843
BlueScope Steel Ltd.		7,966		84,406
Boral Ltd.		20,051		63,237
Brambles Ltd.		24,530		202,190
Caltex Australia Ltd.		3,848		91,917
Challenger Ltd.		8,875		50,548
CIMIC Group Ltd.		1,649		38,473
Coca-Cola Amatil Ltd.		8,486		65,983
Cochlear Ltd.		968		153,018
Coles Group Ltd.		18,631		194,587
Commonwealth Bank of Australia		28,188		1,584,695
Computershare Ltd.		7,899		93,108
Crown Resorts Ltd.		6,282		53,028
CSL Ltd.		7,215		1,400,223
Dexus		16,638		136,908
Flight Centre Travel Group Ltd. (a)		864		26,726
Fortescue Metals Group Ltd.		22,874		172,403
Goodman Group		25,575		240,410
The GPT Group		30,881		121,562
Harvey Norman Holdings Ltd. (a)		9,263		26,506
Incitec Pivot Ltd.		23,451		52,469
Insurance Australia Group Ltd.		35,483		191,159
LendLease Group		9,297		115,062
Macquarie Group Ltd.		5,090		493,692
Magellan Financial Group Ltd.		1,974		79,211
Medibank Pvt. Ltd.		44,277		98,246
Mirvac Group		65,607		146,735
National Australia Bank Ltd.		46,275		801,823
Newcrest Mining Ltd.		12,455		263,654
Orica Ltd.		6,092		94,153
Origin Energy Ltd.		27,095		161,058
Qantas Airways Ltd.		10,321		51,565
QBE Insurance Group Ltd.		21,302		193,066
Ramsay Health Care Ltd.		2,533		129,239
REA Group Ltd.		895		65,250
Rio Tinto Ltd.		5,934		419,664
Santos Ltd.		29,395		169,182
Scentre Group		86,667		233,326
SEEK Ltd.		5,258		83,432
Sonic Healthcare Ltd.		7,130		144,153
South32 Ltd.		75,462		143,667
Stockland		37,724		122,537
Suncorp Group Ltd.		20,570		187,419
Sydney Airport		17,221		104,924
Tabcorp Holdings Ltd.		32,375		103,073
Telstra Corp. Ltd.		66,113		164,707
TPG Telecom Ltd.		6,332		29,874
Transurban Group		43,506		456,180
Treasury Wine Estates Ltd.		11,718		133,910
Vicinity Centres		47,238		82,695
Washington H Soul Pattinson & Co. Ltd.		1,775		26,855
Wesfarmers Ltd.		17,916		521,963
Westpac Banking Corp.		56,083		955,718
WiseTech Global Ltd. (a)		2,222		36,479
Woodside Petroleum Ltd.		15,264		369,136
Woolworths Group Ltd.		20,208		514,184
Worley Ltd.		5,330		57,502
				15,893,946
Austria — 0.2%
ANDRITZ AG		1,224		52,697
Erste Group Bank AG		4,897		184,186
OMV AG		2,270		127,522
Raiffeisen Bank International AG		2,364		59,301
Verbund AG		1,145		57,497
voestalpine AG		1,860		51,829
				533,032
Belgium — 1.0%
Ageas		2,848		168,485
Anheuser-Busch InBev SA/NV		12,138		995,334
Colruyt SA		965		50,371
Galapagos NV (b)		695		144,659
Groupe Bruxelles Lambert SA		1,354		142,848
KBC Group NV		3,897		293,855
Proximus SADP		2,511		71,907
Solvay SA		1,213		141,058
Telenet Group Holding NV		750		33,783
UCB SA		1,984		157,870
Umicore SA		3,181		155,081
				2,355,251
Bermuda — 0.3%
CK Infrastructure Holdings Ltd.		11,000		78,449
Dairy Farm International Holdings Ltd.		5,700		32,513
Hongkong Land Holdings Ltd.		17,600		101,284
Jardine Matheson Holdings Ltd.		3,500		194,619
Jardine Strategic Holdings Ltd.		3,700		113,444

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

132

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

	Number of Shares		Value
Kerry Properties Ltd.		11,000	$	35,054
NWS Holdings Ltd.		26,368		37,011
Yue Yuen Industrial Holdings Ltd.		12,000		35,476
				627,850
Cayman Islands — 0.7%
ASM Pacific Technology Ltd.		5,000		69,511
BeiGene Ltd. ADR (b)		583		96,638
Budweiser Brewing Co. APAC Ltd. (b) (c)		19,400		65,502
CK Asset Holdings Ltd.		40,745		295,293
CK Hutchison Holdings Ltd.		43,245		413,221
Melco Resorts & Entertainment Ltd. ADR		3,405		82,299
Sands China Ltd.		37,200		199,488
WH Group Ltd. (c)		143,572		148,761
Wharf Real Estate Investment Co. Ltd.		20,000		122,638
Wynn Macau Ltd.		25,200		62,336
				1,555,687
Denmark — 1.8%
AP Moller — Maersk A/S Class A		60		81,351
AP Moller — Maersk A/S Class B		103		148,624
Carlsberg A/S Class B		1,725		257,328
Chr Hansen Holding A/S		1,743		138,464
Coloplast A/S Class B		1,936		240,689
Danske Bank A/S		10,767		174,128
Demant A/S (a) (b)		1,660		52,310
DSV PANALPINA A/S		3,507		405,965
Genmab A/S (b)		1,026		228,370
H Lundbeck A/S		1,147		43,967
ISS A/S		2,475		59,433
Novo Nordisk A/S Class B		28,181		1,634,489
Novozymes A/S Class B		3,542		173,416
Orsted A/S (c)		2,953		305,947
Pandora A/S		1,605		69,817
Tryg A/S		1,868		55,374
Vestas Wind Systems A/S		3,039		307,232
				4,376,904
Finland — 1.1%
Elisa OYJ		2,410		133,171
Fortum OYJ		7,184		177,226
Kone OYJ Class B		5,542		362,316
Metso OYJ		1,689		66,681
Neste OYJ		6,560		228,262
Nokia OYJ		91,725		340,285
Nokian Renkaat OYJ		2,000		57,647
Nordea Bank Abp		52,784		426,982
Orion OYJ Class B		1,659		76,784
Sampo OYJ Class A		7,184		313,442
Stora Enso OYJ Class R		9,355		135,946
UPM-Kymmene OYJ		8,321		288,385
Wartsila OYJ Abp		7,010		77,408
				2,684,535
France — 10.6%
Accor SA		2,933		137,685
Aeroports de Paris		476		94,217
Air Liquide SA		7,470		1,061,686
Alstom SA		3,125		148,041
Amundi SA (c)		936		73,578
Arkema SA		1,157		123,412
Atos SE		1,649		137,876
AXA SA		31,023		875,237
BioMerieux		726		64,673
BNP Paribas SA		17,855		1,062,858
Bollore SA (b)		85		362
Bollore SA		14,853		64,831
Bouygues SA		3,636		154,787
Bureau Veritas SA		4,615		120,594
Capgemini SE		2,492		305,263
Carrefour SA		9,594		161,161
Casino Guichard Perrachon SA (a)		921		43,175
Cie de Saint-Gobain		7,895		324,402
Cie Generale des Etablissements Michelin SCA		2,685		329,353
CNP Assurances		2,968		59,134
Covivio		705		80,079
Credit Agricole SA		18,433		268,550
Danone SA		9,910		822,566
Dassault Aviation SA		40		52,685
Dassault Systemes SE		2,065		340,612
Edenred		3,886		201,081
Eiffage SA		1,270		145,528
Electricite de France SA		10,222		114,030
Engie SA		28,701		463,808
EssilorLuxottica SA		4,501		687,562
Eurazeo SE		586		40,170
Eutelsat Communications SA		2,857		46,472
Faurecia SE		1,290		69,944
Gecina SA		746		133,718
Getlink SE		7,234		125,893
Hermes International		496		371,178
ICADE		524		57,126
Iliad SA (a)		440		57,093
Ingenico Group SA		972		105,672
Ipsen SA		600		53,163
JCDecaux SA		1,295		39,966
Kering SA		1,205		793,820
Klepierre		3,190		121,260
L’Oreal SA		4,029		1,196,508
Legrand SA		4,157		339,183
LVMH Moet Hennessy Louis Vuitton SE		4,435		2,065,517
Natixis SA		16,032		71,453
Orange SA		31,387		461,211
Pernod Ricard SA		3,366		602,532
Peugeot SA		9,604		230,009

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

133

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

	Number of Shares		Value
Publicis Groupe SA		3,420	$	154,853
Remy Cointreau SA		358		44,031
Renault SA		3,142		149,056
Safran SA		5,256		814,755
Sanofi		17,946		1,802,446
Sartorius Stedim Biotech		445		73,784
Schneider Electric SE		8,762		901,330
SCOR SE		2,489		104,569
SEB SA		387		57,559
Societe Generale SA		12,896		450,596
Sodexo SA		1,472		174,586
Suez		5,478		82,907
Teleperformance		938		229,186
Thales SA		1,723		179,261
Total SA		38,244		2,113,450
Ubisoft Entertainment SA (b)		1,343		92,904
Unibail Rodamco Westfield		11,160		87,857
Unibail Rodamco Westfield		1,295		204,308
Unibail Rodamco Westfield		359		56,720
Valeo SA		3,857		136,566
Veolia Environnement SA		8,709		231,982
Vinci SA		8,205		911,538
Vivendi SA		13,565		393,183
Wendel SA		483		64,284
Worldline SA (b) (c)		1,641		116,466
				25,128,891
Germany — 8.0%
adidas AG		2,869		932,445
Allianz SE Registered		6,772		1,660,567
BASF SE		14,576		1,105,395
Bayer AG Registered		14,870		1,215,474
Bayerische Motoren Werke AG		5,290		435,481
Beiersdorf AG		1,618		193,607
Brenntag AG		2,587		140,666
Carl Zeiss Meditec AG		673		85,834
Commerzbank AG		15,321		94,873
Continental AG		1,699		220,630
Covestro AG (c)		2,809		130,579
Daimler AG Registered		14,596		809,249
Delivery Hero AG (b) (c)		1,842		145,792
Deutsche Bank AG Registered		30,318		235,203
Deutsche Boerse AG		3,053		480,140
Deutsche Lufthansa AG Registered		4,022		74,016
Deutsche Post AG Registered		15,600		595,601
Deutsche Telekom AG Registered		52,941		865,139
Deutsche Wohnen SE		5,785		236,413
E.ON SE		36,010		385,123
Evonik Industries AG		2,957		90,638
Fraport AG Frankfurt Airport Services Worldwide		688		58,477
Fresenius Medical Care AG & Co. KGaA		3,351		248,537
Fresenius SE & Co. KGaA		6,579		371,359
GEA Group AG		2,370		78,361
Hannover Rueck SE		927		179,225
HeidelbergCement AG		2,317		168,887
Henkel AG & Co. KGaA		1,644		154,802
HOCHTIEF AG		407		52,092
Infineon Technologies AG		20,066		460,151
KION Group AG		1,005		69,393
Knorr-Bremse AG		768		78,172
LANXESS AG		1,411		94,816
Merck KGaA		2,013		238,211
METRO AG		2,772		44,682
MTU Aero Engines AG		836		238,725
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered		2,293		676,468
Puma SE		340		26,069
Puma SE		980		75,135
RWE AG		9,210		282,971
SAP SE		15,681		2,113,325
Siemens AG Registered		12,200		1,594,783
Siemens Healthineers AG (c)		2,536		121,777
Symrise AG		2,117		222,716
Telefonica Deutschland Holding AG		12,902		37,395
thyssenkrupp AG		6,262		84,556
TUI AG		6,303		79,689
Uniper SE		3,386		112,069
United Internet AG Registered		2,076		68,224
Volkswagen AG		556		108,052
Vonovia SE		8,324		448,132
Wirecard AG		1,819		219,778
Zalando SE (b) (c)		2,050		103,874
				19,043,768
Hong Kong — 2.6%
AIA Group Ltd.		192,780		2,028,365
The Bank of East Asia Ltd.		17,995		40,209
BOC Hong Kong Holdings Ltd.		60,500		210,682
CLP Holdings Ltd.		25,499		268,496
Galaxy Entertainment Group Ltd.		34,000		250,607
Hang Lung Properties Ltd.		33,000		72,143
Hang Seng Bank Ltd.		12,300		254,533
Henderson Land Development Co. Ltd.		24,325		119,454
HK Electric Investments & HK Electric Investments Ltd. Class SS		43,706		43,074
HKT Trust & HKT Ltd.		57,840		81,541
Hong Kong & China Gas Co. Ltd.		159,813		312,255
Hong Kong Exchanges & Clearing Ltd.		19,181		621,686
Link REIT		34,223		363,326
MTR Corp. Ltd.		24,028		142,432
New World Development Co. Ltd.		101,890		139,739

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

134

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

	Number of Shares		Value
PCCW Ltd.		71,136	$	42,002
Power Assets Holdings Ltd.		23,000		168,170
Sino Land Co. Ltd.		50,341		73,347
SJM Holdings Ltd.		34,000		38,811
Sun Hung Kai Properties Ltd.		25,758		395,108
Swire Pacific Ltd. Class A		8,000		74,558
Swire Properties Ltd.		19,996		66,447
Techtronic Industries Co. Ltd.		21,403		175,136
Vitasoy International Holdings Ltd.		12,000		43,524
Wheelock & Co. Ltd.		11,000		73,355
				6,099,000
Ireland — 0.7%
AIB Group PLC		13,857		48,531
Bank of Ireland Group PLC		15,045		82,964
CRH PLC (b)		12,709		509,784
DCC PLC		1,482		129,001
Flutter Entertainment PLC		1,257		153,505
James Hardie Industries PLC		7,352		144,138
Kerry Group PLC Class A		2,500		311,253
Kingspan Group PLC		2,587		159,330
Smurfit Kappa Group PLC		3,496		134,665
				1,673,171
Israel — 0.6%
Azrieli Group Ltd.		718		52,524
Bank Hapoalim B.M.		18,105		150,397
Bank Leumi Le-Israel BM		24,573		179,083
Check Point Software Technologies Ltd. (b)		1,964		217,925
CyberArk Software Ltd. (b)		600		69,948
Elbit Systems Ltd.		390		60,729
Israel Chemicals Ltd.		11,207		52,875
Israel Discount Bank Ltd. Class A		17,833		82,764
Mizrahi Tefahot Bank Ltd.		2,307		61,522
Nice Ltd. (b)		946		146,651
Teva Pharmaceutical Industries Ltd. Sponsored ADR (b)		17,907		175,489
Wix.com Ltd. (b)		764		93,498
				1,343,405
Italy — 1.9%
Assicurazioni Generali SpA		17,753		366,478
Atlantia SpA		8,209		191,492
Davide Campari-Milano SpA		9,775		89,271
Enel SpA		129,259		1,028,308
Eni SpA		40,290		626,059
FinecoBank Banca Fineco SpA		10,061		120,764
Intesa Sanpaolo SpA		238,986		629,999
Leonardo SpA		6,438		75,448
Mediobanca Banca di Credito Finanziario SpA		9,657		106,371
Moncler SpA		3,010		135,384
Pirelli & C SpA (c)		6,657		38,372
Poste Italiane SpA (c)		8,592		97,516
Prysmian SpA		4,071		98,101
Recordati SpA		1,755		73,996
Snam SpA		31,816		167,640
Telecom Italia SpA (b)		148,473		92,645
Terna Rete Elettrica Nazionale SpA		22,183		148,426
UniCredit SpA		31,633		462,484
				4,548,754
Japan — 24.3%
ABC-Mart, Inc.		500		34,083
Acom Co. Ltd.		6,300		28,596
Advantest Corp.		3,300		186,708
Aeon Co. Ltd.		10,400		214,253
AEON Financial Service Co. Ltd.		1,800		28,312
Aeon Mall Co. Ltd.		1,500		26,591
AGC, Inc.		2,700		96,344
Air Water, Inc.		2,400		35,386
Aisin Seiki Co. Ltd.		2,600		96,161
Ajinomoto Co. Inc.		7,300		121,369
Alfresa Holdings Corp.		3,100		63,292
Alps Electric Co. Ltd.		3,300		74,544
Amada Holdings Co. Ltd.		5,800		65,870
ANA Holdings, Inc.		2,000		66,915
Aozora Bank Ltd.		1,900		50,185
Asahi Group Holdings Ltd.		5,700		260,374
Asahi Intecc Co. Ltd.		3,200		94,219
Asahi Kasei Corp.		20,600		231,144
Astellas Pharma, Inc.		30,600		522,706
Bandai Namco Holdings, Inc.		3,300		200,245
The Bank of Kyoto Ltd.		800		34,106
Benesse Holdings, Inc.		1,100		28,924
Bridgestone Corp. (a)		9,100		338,000
Brother Industries Ltd.		3,600		74,126
Calbee, Inc.		1,300		42,280
Canon, Inc. (a)		16,000		436,336
Casio Computer Co. Ltd.		3,200		64,304
Central Japan Railway Co.		2,300		462,191
Century Tokyo Leasing Corp.		700		37,585
The Chiba Bank Ltd.		9,700		55,773
Chubu Electric Power Co. Inc.		10,200		143,874
Chugai Pharmaceutical Co. Ltd.		3,500		322,364
The Chugoku Electric Power Co., Inc.		4,900		64,617
Coca-Cola Bottlers Japan Holdings, Inc. (a)		2,100		53,924
Concordia Financial Group Ltd.		17,400		71,374
Credit Saison Co. Ltd.		2,600		45,065
CyberAgent, Inc.		1,700		59,185
Dai Nippon Printing Co. Ltd.		3,900		105,845
Dai-ichi Life Holdings, Inc.		16,800		276,678
Daicel Corp.		3,800		36,249
Daifuku Co. Ltd.		1,700		102,800
Daiichi Sankyo Co. Ltd.		9,000		594,296

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

135

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

	Number of Shares		Value
Daikin Industries Ltd.		4,000	$	562,522
Daito Trust Construction Co. Ltd.		1,200		148,621
Daiwa House Industry Co. Ltd.		9,100		281,932
Daiwa House REIT Investment Corp.		29		75,761
Daiwa Securities Group, Inc.		23,300		118,201
Denso Corp.		6,900		311,254
Dentsu, Inc. (a)		3,600		123,960
Disco Corp.		400		95,213
East Japan Railway Co.		4,800		433,267
Eisai Co. Ltd.		4,100		305,375
Electric Power Development Co. Ltd.		2,600		63,183
FamilyMart Co. Ltd.		4,000		95,805
FANUC Corp.		3,100		572,533
Fast Retailing Co. Ltd.		900		533,464
Fuji Electric Co. Ltd.		2,000		61,118
FUJIFILM Holdings Corp.		5,700		271,788
Fujitsu Ltd.		3,200		301,961
Fukuoka Financial Group, Inc.		2,900		55,356
GMO Payment Gateway, Inc.		700		48,157
Hakuhodo DY Holdings, Inc.		3,700		59,509
Hamamatsu Photonics KK		2,200		90,145
Hankyu Hanshin Holdings, Inc.		3,700		158,223
Hikari Tsushin, Inc.		300		75,309
Hino Motors Ltd.		4,200		44,378
Hirose Electric Co. Ltd.		525		67,117
Hisamitsu Pharmaceutical Co., Inc.		800		38,917
Hitachi Chemical Co. Ltd.		1,700		71,152
Hitachi Construction Machinery Co. Ltd.		1,700		50,578
Hitachi High-Technologies Corp.		1,100		77,731
Hitachi Ltd.		15,500		652,892
Hitachi Metals Ltd.		3,500		51,419
Honda Motor Co. Ltd.		25,800		727,745
Hoshizaki Corp.		900		80,136
Hoya Corp.		6,000		572,881
Hulic Co. Ltd.		4,500		54,168
Idemitsu Kosan Co. Ltd.		3,171		88,220
IHI Corp.		2,300		53,905
Iida Group Holdings Co. Ltd.		2,500		43,760
Inpex Corp.		16,700		174,205
Isetan Mitsukoshi Holdings Ltd.		5,800		52,152
Isuzu Motors Ltd.		9,000		106,027
ITOCHU Corp.		21,800		504,853
Itochu Techno-Solutions Corp.		1,700		47,994
J Front Retailing Co. Ltd.		3,600		50,213
Japan Airlines Co. Ltd.		1,600		49,929
Japan Airport Terminal Co. Ltd.		800		44,274
Japan Exchange Group, Inc.		7,700		135,543
Japan Post Bank Co. Ltd.		5,400		51,754
Japan Post Holdings Co. Ltd.		24,400		229,164
Japan Post Insurance Co. Ltd.		3,200		54,775
Japan Prime Realty Investment Corp.		14		61,488
Japan Real Estate Investment Corp.		21		139,319
Japan Retail Fund Investment Corp.		45		96,747
Japan Tobacco, Inc. (a)		19,400		432,486
JFE Holdings, Inc.		8,000		102,484
JGC Holdings Corp.		3,300		53,103
JSR Corp.		3,000		54,832
JTEKT Corp.		3,300		38,923
JXTG Holdings, Inc.		50,900		232,745
Kajima Corp.		7,500		100,231
Kakaku.com, Inc.		2,300		59,126
Kamigumi Co. Ltd.		1,900		41,628
The Kansai Electric Power Co., Inc.		11,300		130,667
Kansai Paint Co. Ltd.		2,800		68,434
Kao Corp.		7,700		635,080
Kawasaki Heavy Industries Ltd.		2,300		50,285
KDDI Corp.		28,100		835,969
Keihan Holdings Co. Ltd.		1,500		73,014
Keikyu Corp.		3,500		67,459
Keio Corp.		1,700		102,709
Keisei Electric Railway Co. Ltd.		2,000		77,562
Keyence Corp.		2,900		1,026,464
Kikkoman Corp.		2,300		112,518
Kintetsu Group Holdings Co. Ltd.		2,800		151,740
Kirin Holdings Co. Ltd.		12,800		279,177
Kobayashi Pharmaceutical Co. Ltd.		800		67,744
Koito Manufacturing Co. Ltd.		1,600		74,053
Komatsu Ltd.		14,600		350,040
Konami Holdings Corp.		1,600		65,974
Konica Minolta, Inc.		7,100		46,470
Kose Corp.		500		73,078
Kubota Corp.		16,200		253,786
Kuraray Co. Ltd. (a)		5,100		62,542
Kurita Water Industries Ltd.		1,300		38,516
Kyocera Corp.		5,100		347,547
Kyowa Kirin Co. Ltd.		4,100		96,334
Kyushu Electric Power Co, Inc.		6,000		51,831
Kyushu Railway Co.		2,600		87,168
Lawson, Inc.		800		45,306
LINE Corp. (b)		1,000		49,184
Lion Corp.		3,700		72,218
LIXIL Group Corp.		4,200		72,386
M3, Inc.		6,900		208,364
Makita Corp.		3,500		121,167
Marubeni Corp.		25,600		189,169
Marui Group Co. Ltd.		3,300		80,328
Maruichi Steel Tube Ltd.		900		25,244
Mazda Motor Corp.		8,000		68,088
McDonald’s Holdings Co. Japan Ltd. (a)		1,100		53,010
Mebuki Financial Group Inc.		13,300		33,934
Medipal Holdings Corp.		2,700		59,559
MEIJI Holdings Co. Ltd.		1,800		121,570
Mercari, Inc. (b)		1,200		24,640
MinebeaMitsumi, Inc.		5,500		113,501
MISUMI Group, Inc.		4,200		103,860

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

136

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

	Number of Shares		Value
Mitsubishi Chemical Holding Corp.		21,200	$	157,946
Mitsubishi Corp.		21,700		575,697
Mitsubishi Electric Corp.		29,000		394,318
Mitsubishi Estate Co. Ltd.		18,500		353,668
Mitsubishi Gas Chemical Co., Inc.		2,600		39,510
Mitsubishi Heavy Industries Ltd.		4,900		189,508
Mitsubishi Materials Corp.		1,800		48,807
Mitsubishi Motors Corp.		10,600		44,124
Mitsubishi Tanabe Pharma Corp.		3,500		64,549
Mitsubishi UFJ Financial Group, Inc.		195,600		1,057,140
Mitsubishi UFJ Lease & Finance Co. Ltd.		6,400		41,191
Mitsui & Co. Ltd.		26,200		465,888
Mitsui Chemicals, Inc.		2,900		70,485
Mitsui Fudosan Co. Ltd.		14,100		344,377
Mitsui OSK Lines Ltd.		2,000		54,923
Mizuho Financial Group, Inc.		381,600		586,886
MonotaRO Co. Ltd.		2,100		56,290
MS&AD Insurance Group Holdings, Inc.		7,300		240,361
Murata Manufacturing Co. Ltd.		9,000		556,425
Nabtesco Corp. (a)		1,800		53,114
Nagoya Railroad Co. Ltd.		2,700		83,797
NEC Corp.		4,100		170,361
Nexon Co. Ltd. (b)		8,200		108,461
NGK Insulators Ltd.		3,800		65,919
NGK Spark Plug Co. Ltd.		2,600		50,436
NH Foods Ltd.		1,200		49,706
Nidec Corp.		3,600		491,775
Nikon Corp.		5,200		63,560
Nintendo Co. Ltd.		1,800		726,563
Nippon Building Fund, Inc.		22		161,208
Nippon Express Co. Ltd.		1,200		70,211
Nippon Paint Holdings Co. Ltd. (a)		2,400		124,167
Nippon Prologis REIT, Inc.		33		84,069
Nippon Shinyaku Co. Ltd.		700		60,873
Nippon Steel Corp.		12,400		186,559
Nippon Telegraph & Telephone Corp.		20,600		521,794
Nippon Yusen KK		2,300		41,439
Nissan Chemical Corp.		2,100		87,791
Nissan Motor Co. Ltd.		38,100		221,429
Nisshin Seifun Group, Inc.		3,200		55,773
Nissin Foods Holdings Co. Ltd.		1,100		81,651
Nitori Holdings Co. Ltd.		1,300		205,416
Nitto Denko Corp.		2,500		140,263
Nomura Holdings, Inc.		54,000		277,384
Nomura Real Estate Holdings, Inc.		2,100		50,535
Nomura Real Estate Master Fund, Inc.		62		105,955
Nomura Research Institute Ltd.		5,400		116,185
NSK Ltd.		5,700		53,759
NTT Data Corp.		10,100		135,018
NTT DOCOMO, Inc.		21,600		603,620
Obayashi Corp.		9,800		108,661
Obic Co. Ltd.		1,000		135,082
Odakyu Electric Railway Co. Ltd.		4,700		109,618
Oji Holdings Corp.		14,000		75,559
Olympus Corp.		19,000		292,584
Omron Corp.		3,100		180,596
Ono Pharmaceutical Co. Ltd.		5,700		130,165
Oracle Corp.		600		54,549
Oriental Land Co. Ltd.		3,200		436,741
ORIX Corp.		20,900		347,888
Orix JREIT, Inc.		39		84,564
Osaka Gas Co. Ltd.		5,500		105,089
Otsuka Corp.		1,700		67,897
Otsuka Holdings Co. Ltd.		6,400		284,622
Pan Pacific International Holding Corp.		7,200		119,505
Panasonic Corp.		35,000		328,276
Park24 Co. Ltd.		1,800		44,093
PeptiDream, Inc. (b)		1,500		76,805
Persol Holdings Co. Ltd.		2,800		52,629
Pigeon Corp. (a)		1,900		70,056
Pola Orbis Holdings, Inc. (a)		1,600		38,223
Rakuten, Inc. (a) (b)		13,900		119,221
Recruit Holdings Co. Ltd.		21,700		816,578
Renesas Electronics Corp. (b)		13,000		89,517
Resona Holdings, Inc.		34,600		150,869
Ricoh Co. Ltd.		11,400		123,531
Rinnai Corp.		600		46,856
Rohm Co. Ltd.		1,500		120,903
Ryohin Keikaku Co. Ltd.		4,000		93,297
Sankyo Co. Ltd.		800		26,516
Santen Pharmaceutical Co. Ltd.		5,700		108,681
SBI Holdings, Inc.		3,642		76,718
Secom Co. Ltd.		3,400		303,420
Sega Sammy Holdings, Inc.		2,800		40,783
Seibu Holdings, Inc.		3,500		57,739
Seiko Epson Corp.		4,100		61,901
Sekisui Chemical Co. Ltd.		5,500		95,204
Sekisui House Ltd.		9,900		211,425
Seven & i Holdings Co. Ltd.		12,200		446,383
Seven Bank Ltd.		10,000		32,864
SG Holdings Co. Ltd.		2,500		56,431
Sharp Corp. (a)		3,600		55,011
Shimadzu Corp.		3,800		118,847
Shimamura Co. Ltd.		400		30,524
Shimano, Inc.		1,200		194,832
Shimizu Corp.		8,600		87,497
Shin-Etsu Chemical Co. Ltd.		5,800		635,887
Shinsei Bank Ltd. (a)		2,800		42,743
Shionogi & Co. Ltd.		4,400		271,846
Shiseido Co. Ltd. (a)		6,300		450,478
The Shizuoka Bank Ltd.		7,200		53,601
Showa Denko KK (a)		2,300		60,584
SMC Corp.		900		411,398
Softbank Corp.		27,200		364,509

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

137

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

	Number of Shares		Value
SoftBank Group Corp.		25,200	$	1,097,120
Sohgo Security Services Co. Ltd.		1,200		64,989
Sompo Holdings, Inc.		5,200		203,758
Sony Corp.		20,300		1,381,756
Sony Financial Holdings, Inc.		2,400		57,448
Square Enix Holdings Co. Ltd.		1,400		69,949
Stanley Electric Co. Ltd.		2,200		63,606
Subaru Corp.		9,900		244,782
Sumco Corp. (a)		3,800		63,647
Sumitomo Chemical Co. Ltd.		25,000		113,303
Sumitomo Corp.		18,600		277,307
Sumitomo Dainippon Pharma Co. Ltd.		2,600		50,726
Sumitomo Electric Industries Ltd.		11,700		175,547
Sumitomo Heavy Industries Ltd.		1,800		51,025
Sumitomo Metal Mining Co. Ltd.		3,900		125,788
Sumitomo Mitsui Financial Group, Inc.		21,100		776,737
Sumitomo Mitsui Trust Holdings, Inc.		5,100		201,256
Sumitomo Realty & Development Co. Ltd.		5,300		184,859
Sumitomo Rubber Industries Ltd.		3,000		36,497
Sundrug Co. Ltd.		1,200		43,368
Suntory Beverage & Food Ltd.		2,200		92,001
Suzuken Co. Ltd.		1,200		48,832
Suzuki Motor Corp.		5,700		238,754
Sysmex Corp.		2,700		183,523
T&D Holdings, Inc.		8,500		107,284
Taiheiyo Cement Corp.		2,100		61,443
Taisei Corp.		3,200		132,488
Taisho Pharmaceutical Holdings Co. Ltd.		600		44,333
Taiyo Nippon Sanso Corp.		2,100		46,522
Takeda Pharmaceutical Co. Ltd.		23,741		940,568
TDK Corp.		2,100		236,027
Teijin Ltd.		2,800		52,245
Terumo Corp.		10,400		367,427
THK Co. Ltd.		1,900		50,997
Tobu Railway Co. Ltd.		3,100		112,659
Toho Co. Ltd.		1,900		79,117
Toho Gas Co. Ltd.		1,200		48,860
Tohoku Electric Power Co., Inc.		7,200		71,212
Tokio Marine Holdings, Inc.		10,100		563,942
Tokyo Electric Power Co. Holdings, Inc. (b)		23,700		101,203
Tokyo Electron Ltd.		2,500		549,382
Tokyo Gas Co. Ltd.		5,800		140,716
Tokyu Corp.		7,600		140,426
Tokyu Fudosan Holdings Corp.		10,500		72,500
Toppan Printing Co. Ltd.		4,800		98,954
Toray Industries, Inc.		22,000		150,307
Toshiba Corp.		7,800		264,251
Tosoh Corp.		4,100		63,097
TOTO Ltd.		2,400		101,143
Toyo Seikan Group Holdings Ltd.		2,400		41,604
Toyo Suisan Kaisha Ltd.		1,300		55,292
Toyoda Gosei Co. Ltd.		1,100		27,452
Toyota Industries Corp.		2,300		132,540
Toyota Motor Corp.		36,500		2,569,957
Toyota Tsusho Corp.		3,200		112,162
Trend Micro, Inc. (a) (b)		2,100		107,464
Tsuruha Holdings, Inc.		600		76,979
Unicharm Corp.		6,200		209,421
United Urban Investment Corp.		48		90,069
USS Co. Ltd.		3,700		69,871
Welcia Holdings Co. Ltd.		800		50,958
West Japan Railway Co.		2,600		224,513
Yakult Honsha Co. Ltd.		1,700		93,577
Yamada Denki Co. Ltd.		11,000		58,223
Yamaha Corp.		2,400		132,297
Yamaha Motor Co. Ltd. (a)		4,800		95,948
Yamato Holdings Co. Ltd.		5,000		85,506
Yamazaki Baking Co. Ltd.		2,000		35,736
Yaskawa Electric Corp.		3,900		147,164
Yokogawa Electric Corp.		3,600		63,762
The Yokohama Rubber Co. Ltd.		1,800		34,832
Z Holdings Corp.		43,000		180,157
ZOZO, Inc.		1,600		30,610
				57,806,988
Luxembourg — 0.3%
ArcelorMittal SA		10,875		192,100
Aroundtown SA		14,985		134,193
Eurofins Scientific SE (a)		185		102,738
Millicom International Cellular SA		1,544		74,003
SES SA		6,082		85,514
Tenaris SA		7,982		90,270
				678,818
Netherlands — 5.0%
ABN AMRO Bank NV (c)		6,624		120,988
Adyen NV (a) (b) (c)		169		139,062
Aegon NV		29,654		135,737
AerCap Holdings NV (b)		2,031		124,846
Airbus SE		9,299		1,364,328
Akzo Nobel NV		3,557		362,665
Altice Europe NV (b)		10,706		69,185
ASML Holding NV		6,803		2,026,003
CNH Industrial NV		16,556		181,742
EXOR NV		1,695		131,451
Ferrari NV		354		58,717
Ferrari NV		1,554		257,249
Fiat Chrysler Automobiles NV		6,112		90,520
Fiat Chrysler Automobiles NV		11,145		163,720
Heineken Holding NV		1,907		185,164
Heineken NV		4,093		436,606
ING Groep NV		61,811		742,847
Koninklijke Ahold Delhaize NV		19,044		477,278

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

138

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

	Number of Shares		Value
Koninklijke DSM NV		2,952	$	385,344
Koninklijke KPN NV (a)		56,200		166,052
Koninklijke Philips NV		14,502		708,991
Koninklijke Vopak NV		1,054		57,221
NN Group NV		4,944		187,996
NXP Semiconductor NV		4,500		572,670
Prosus NV (b)		7,713		577,143
QIAGEN NV (b)		3,636		124,298
Randstad NV		1,898		116,229
STMicroelectronics NV		10,596		285,979
Unilever NV		23,354		1,343,699
Wolters Kluwer NV		4,443		324,753
				11,918,483
New Zealand — 0.3%
a2 Milk Co. Ltd. (b)		12,155		123,033
Auckland International Airport Ltd.		15,656		92,238
Fisher & Paykel Healthcare Corp. Ltd.		9,581		143,773
Fletcher Building Ltd.		14,358		49,264
Mercury NZ Ltd.		8,994		30,592
Meridian Energy Ltd.		20,728		69,802
Ryman Healthcare Ltd.		6,396		70,433
Spark New Zealand Ltd.		28,912		84,334
				663,469
Norway — 0.6%
Det Norske Oljeselskap ASA		1,763		57,840
DNB ASA		15,264		286,047
Equinor ASA (a)		15,466		309,297
Gjensidige Forsikring ASA		3,473		72,977
Mowi ASA		6,924		180,084
Norsk Hydro ASA		22,731		84,861
Orkla ASA		11,163		113,136
Schibsted ASA Class B		1,499		43,012
Telenor ASA		11,280		202,313
Yara International ASA		2,835		118,131
				1,467,698
Papua New Guinea — 0.0%
Oil Search Ltd.		22,950		117,076
Portugal — 0.1%
Banco Espirito Santo SA (b) (d)		39,664		-
EDP - Energias de Portugal SA		40,995		177,717
Galp Energia SGPS SA		7,434		124,337
Jeronimo Martins SGPS SA		3,859		63,558
				365,612
Singapore — 1.3%
Ascendas REIT		43,444		95,980
CapitaLand Commercial Trust		40,643		60,175
CapitaLand Ltd.		40,300		112,402
CapitaLand Mall Trust		41,100		75,190
City Developments Ltd.		6,800		55,454
ComfortDelGro Corp. Ltd.		34,800		61,639
DBS Group Holdings, Ltd.		29,063		560,197
Genting Singapore Ltd.		103,000		70,515
Jardine Cycle & Carriage Ltd.		1,777		39,770
Keppel Corp. Ltd.		24,100		121,423
Mapletree Commercial Trust		28,600		50,828
Oversea-Chinese Banking Corp. Ltd.		52,529		429,515
SATS Ltd.		11,200		42,185
Sembcorp Industries Ltd.		16,500		28,138
Singapore Airlines Ltd.		7,200		48,441
Singapore Exchange Ltd.		13,700		90,373
Singapore Press Holdings Ltd. (a)		26,900		43,616
Singapore Technologies Engineering Ltd.		27,000		79,175
Singapore Telecommunications Ltd.		132,700		332,774
Suntec REIT		35,300		48,312
United Overseas Bank Ltd.		20,093		395,228
UOL Group Ltd.		8,269		51,213
Venture Corp. Ltd.		4,400		53,091
Wilmar International Ltd.		31,500		96,610
Yangzijiang Shipbuilding Holdings Ltd.		39,700		33,169
				3,075,413
Spain — 2.8%
ACS Actividades de Construccion y Servicios SA		4,365		174,977
Aena SME SA (c)		1,079		207,039
Amadeus IT Group SA		6,891		564,627
Banco Bilbao Vizcaya Argentaria SA		105,553		594,840
Banco de Sabadell SA		91,180		106,803
Banco Santander SA		267,234		1,128,374
Bankia SA		19,111		40,909
Bankinter SA		11,327		83,280
CaixaBank SA		58,727		185,202
Cellnex Telecom SAU (c)		3,800		163,778
Enagas SA (a)		3,572		91,251
Endesa SA		4,783		127,697
Ferrovial SA		8,149		247,216
Grifols SA		4,745		167,537
Iberdrola SA		97,175		1,000,809
Industria de Diseno Textil SA		17,573		622,487
Mapfre SA		18,733		49,832
Naturgy Energy Group SA		4,761		119,854
Red Electrica Corp. SA		6,894		138,674
Repsol SA		22,834		358,205
Siemens Gamesa Renewable Energy SA		3,998		70,254
Telefonica SA		73,866		516,268
				6,759,913
Sweden — 2.5%
Alfa Laval AB		4,969		125,184
Assa Abloy AB Class B		15,706		367,015

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

139

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

	Number of Shares		Value
Atlas Copco AB Class A		10,629	$	423,699
Atlas Copco AB Class B		6,044		209,698
Boliden AB		4,596		122,247
Electrolux AB Series B		3,676		90,218
Epiroc AB Class A		10,467		127,918
Epiroc AB Class B		6,026		71,523
Essity AB Class B		9,848		317,481
Hennes & Mauritz AB Class B		13,139		267,087
Hexagon AB Class B		4,020		225,235
Husqvarna AB Class B		6,940		55,572
ICA Gruppen AB		1,485		69,352
Industrivarden AB Class C		2,655		64,116
Investor AB Class B		7,278		397,645
Kinnevik AB		3,931		96,195
L E Lundbergforetagen AB Class B		1,182		51,925
Lundin Petroleum AB		3,013		102,397
Sandvik AB		17,789		347,680
Securitas AB Class B		5,061		87,322
Skandinaviska Enskilda Banken AB Class A		26,688		251,056
Skanska AB Class B		5,471		123,711
SKF AB Class B		5,643		114,327
Svenska Handelsbanken AB Class A		24,934		268,472
Swedbank AB Class A		14,629		218,171
Swedish Match AB		2,862		147,547
Tele2 AB Class B		8,232		119,412
Telefonaktiebolaget LM Ericsson Class B		48,506		425,025
Telia Co AB		42,797		183,838
Volvo AB Class B		23,920		401,413
				5,872,481
Switzerland — 9.4%
ABB Ltd. Registered		29,612		714,860
Adecco Group AG Registered		2,395		151,412
Alcon, Inc. (b)		6,747		382,216
Baloise Holding AG Registered		780		140,974
Barry Callebaut AG Registered		49		108,324
Chocoladefabriken Lindt & Spruengli AG		16		124,207
Chocoladefabriken Lindt & Spruengli AG Registered		2		176,699
Cie Financiere Richemont SA Registered		8,273		649,410
Clariant AG		3,190		71,382
Coca-Cola HBC AG		3,273		111,631
Credit Suisse Group AG Registered		40,956		555,812
Dufry AG Registered		686		68,005
EMS-Chemie Holding AG Registered		133		87,526
Geberit AG Registered		601		337,394
Givaudan SA Registered		149		466,329
Julius Baer Group Ltd.		3,530		182,304
Kuehne & Nagel International AG Registered		900		151,710
LafargeHolcim Ltd. Registered		3,557		197,242
LafargeHolcim Ltd. Registered		4,338		238,354
Lonza Group AG Registered		1,174		428,175
Nestle SA Registered		47,507		5,146,744
Novartis AG Registered		34,261		3,245,968
Pargesa Holding SA		683		56,741
Partners Group Holding AG (a)		300		274,941
Roche Holding AG		11,208		3,634,284
Schindler Holding AG		656		166,909
Schindler Holding AG Registered		334		81,830
SGS SA Registered		83		227,209
Sika AG Registered		2,039		383,983
Sonova Holding AG Registered		844		193,095
Straumann Holding AG Registered		168		164,900
The Swatch Group AG		470		131,010
The Swatch Group AG Registered		907		47,891
Swiss Life Holding AG Registered		541		271,420
Swiss Prime Site AG Registered		1,196		138,646
Swiss Re AG		4,703		528,589
Swisscom AG Registered		402		212,892
Temenos Group AG Registered		1,029		162,687
UBS Group AG Registered		61,245		772,964
Vifor Pharma AG		711		129,878
Zurich Insurance Group AG		2,404		985,977
				22,302,524
United Kingdom — 16.4%
3i Group PLC		14,922		217,490
Admiral Group PLC		2,932		89,791
Anglo American PLC		16,516		476,682
Antofagasta PLC		6,685		81,452
Ashtead Group PLC		7,538		241,221
Associated British Foods PLC		5,443		188,562
AstraZeneca PLC		20,954		2,096,419
Auto Trader Group PLC (c)		15,140		119,652
Aveva Group PLC		949		58,667
Aviva PLC		61,619		343,746
BAE Systems PLC		50,248		376,488
Barclays PLC		273,187		652,385
Barratt Developments PLC		15,695		155,570
The Berkeley Group Holdings PLC		1,780		115,425
BHP Group PLC		33,610		793,866
BP PLC		325,295		2,041,989
British American Tobacco PLC		36,585		1,558,712
The British Land Co. PLC		13,857		117,984
BT Group PLC		136,615		350,119
Bunzl PLC		5,382		147,254
Burberry Group PLC		6,844		200,294
Carnival PLC		2,661		127,069
Centrica PLC		93,994		112,024
Coca-Cola European Partners PLC		3,768		191,716
Compass Group PLC		25,234		632,133
Croda International PLC		2,154		146,297

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

140

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

	Number of Shares		Value
Diageo PLC		37,786	$	1,592,289
Direct Line Insurance Group PLC		20,357		84,820
easyJet PLC		2,711		51,568
Evraz PLC		8,396		45,063
Experian PLC		14,531		491,476
Ferguson PLC		3,622		329,083
G4S PLC		24,651		71,689
GlaxoSmithKline PLC		79,690		1,874,771
Glencore PLC		173,227		541,668
GVC Holdings PLC		9,428		110,568
Halma PLC		5,780		162,266
Hargreaves Lansdown PLC		4,641		119,500
HSBC Holdings PLC		321,863		2,527,638
Imperial Brands PLC		15,181		376,162
Informa PLC		20,030		227,688
InterContinental Hotels Group PLC		2,647		182,336
Intertek Group PLC		2,490		193,256
ITV PLC		61,370		123,180
J Sainsbury PLC		29,115		89,252
JD Sports Fashion PLC		6,617		73,906
Johnson Matthey PLC		2,967		118,053
Kingfisher PLC		34,086		98,852
Land Securities Group PLC		11,196		147,119
Legal & General Group PLC		96,311		388,015
Lloyds Banking Group PLC		1,127,291		940,867
London Stock Exchange Group PLC		5,096		526,377
M&G PLC (b)		41,827		131,604
Marks & Spencer Group PLC		30,871		87,547
Meggitt PLC		12,764		111,225
Melrose Industries PLC		78,315		250,323
Micro Focus International PLC		5,662		79,944
Mondi PLC		7,304		172,422
National Grid PLC		56,006		703,824
Next PLC		2,163		201,398
NMC Health PLC (a)		1,512		35,495
Ocado Group PLC (b)		7,512		127,548
Pearson PLC		13,133		111,093
Persimmon PLC		5,232		188,478
Prudential PLC		41,827		804,811
Reckitt Benckiser Group PLC		11,242		912,918
RELX PLC		31,099		784,540
Rentokil Initial PLC		30,679		184,687
Rio Tinto PLC		18,019		1,070,634
Rolls-Royce Holdings PLC		28,059		254,079
Royal Bank of Scotland Group PLC		78,017		250,056
Royal Dutch Shell PLC Class A		68,435		2,034,196
Royal Dutch Shell PLC Class B		59,709		1,779,183
RSA Insurance Group PLC		17,199		129,826
The Sage Group PLC		17,016		169,078
Schroders PLC		1,940		86,272
Segro PLC		17,465		208,476
Severn Trent PLC		3,893		129,923
Smith & Nephew PLC		13,977		337,636
Smiths Group PLC		5,932		132,624
Spirax-Sarco Engineering PLC		1,206		142,808
SSE PLC		16,644		318,898
St. James’s Place PLC		9,025		139,648
Standard Chartered PLC		43,203		408,036
Standard Life Aberdeen PLC		38,334		167,033
Taylor Wimpey PLC		51,259		132,657
Tesco PLC		154,312		522,735
Unilever PLC		17,689		1,012,682
United Utilities Group PLC		10,714		134,575
Vodafone Group PLC		424,432		823,980
The Weir Group PLC		4,165		83,342
Whitbread PLC		2,203		141,769
Wm Morrison Supermarkets PLC		37,864		100,800
WPP PLC		19,568		275,389
				38,994,661
TOTAL COMMON STOCK (Cost $207,597,269)				235,887,330
PREFERRED STOCK — 0.6%
Germany — 0.6%
Bayerische Motoren Werke AG 6.470%		893		55,140
Fuchs Petrolub SE 2.180%		1,156		57,513
Henkel AG & Co. KGaA 1.980%		2,784		287,901
Porsche Automobil Holding SE 3.240%		2,348		175,642
Sartorius AG 0.290%		558		119,461
Volkswagen AG 2.680%		2,937		580,592
				1,276,249
Italy — 0.0%
Telecom Italia SpA 5.420%		99,009		60,606
TOTAL PREFERRED STOCK (Cost $1,208,296)				1,336,855
TOTAL EQUITIES (Cost $208,805,565)				237,224,185
MUTUAL FUNDS — 0.5%
United States — 0.5%
State Street Navigator Securities Lending Prime Portfolio (e)		1,330,042		1,330,042
TOTAL MUTUAL FUNDS (Cost $1,330,042)				1,330,042

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

141

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

	Number of Shares		Value
RIGHTS — 0.0%
Spain — 0.0%
Repsol SA, Expires 01/21/20 (b)		22,834	$	10,834
TOTAL RIGHTS (Cost $10,790)				10,834
TOTAL LONG-TERM INVESTMENTS (Cost $210,146,397)				238,565,061

	Principal Amount
SHORT-TERM INVESTMENTS — 0.1%
Repurchase Agreement — 0.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (f)	$	275,482		275,482
TOTAL SHORT-TERM INVESTMENTS (Cost $275,482)				275,482
TOTAL INVESTMENTS — 100.4% (Cost $210,421,879) (g)				238,840,543
Other Assets/(Liabilities) — (0.4)%				(1,035,487	)
NET ASSETS — 100.0%			$	237,805,056

Abbreviation Legend

ADR American 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, 2019, was $3,983,608 or 1.68% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $2,865,018 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(b) Non-income producing security.

(c) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $2,098,683 or 0.88% of net assets.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $0 or 0.00% of net assets.

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

(f) Maturity value of $275,495. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $282,795.

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

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of Montreal	3/18/20	USD	80,000	GBP	60,501	$	(304	)
Bank of New York Mellon	3/18/20	HKD	1,009,827	USD	129,151		363
Bank of New York Mellon	3/18/20	SEK	1,343,169	USD	143,957		(37	)
Bank of New York Mellon	3/18/20	GBP	61,970	USD	81,000		1,255
Bank of New York Mellon	3/18/20	JPY	102,529,783	USD	949,271		(1,912	)
Bank of New York Mellon	3/18/20	USD	55,453	NOK	504,037		(1,972	)
Citibank N.A.	3/18/20	SGD	33,157	USD	24,429		242
Citibank N.A.	3/18/20	GBP	473,530	USD	623,571		4,961
Citibank N.A.	3/18/20	USD	39,679	DKK	264,296		(200	)
Citibank N.A.	3/18/20	USD	240,000	AUD	342,296		(651	)
Goldman Sachs & Co.	3/18/20	USD	34,648	ILS	119,805		(186	)
Morgan Stanley & Co. LLC	3/18/20	AUD	338,795	USD	234,071		4,119
Morgan Stanley & Co. LLC	3/18/20	EUR	1,149,705	USD	1,288,112		7,568
Morgan Stanley & Co. LLC	3/18/20	USD	1,098,000	EUR	976,330		(2,293	)
Morgan Stanley & Co. LLC	3/18/20	USD	510,000	GBP	387,801		(4,740	)
Morgan Stanley & Co. LLC	3/18/20	USD	252,703	CHF	244,259		(972	)
Morgan Stanley & Co. LLC	3/18/20	USD	770,000	JPY	83,551,784		(2,005	)
						$	3,236

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

142

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

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
Topix Index	3/12/20		9	$	1,427,486	$	(1,965	)
SPI 200 Index	3/19/20		2		237,601		(5,918	)
Euro Stoxx 50 Index	3/20/20		28		1,173,014		(1,825	)
FTSE 100 Index	3/20/20		6		582,809		13,181
MSCI EAFE E-Mini Index	3/20/20		2		202,655		995
						$	4,468

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

USD U.S. Dollar

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

143

MassMutual Select Overseas Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 100.3%
COMMON STOCK — 100.1%
Australia — 0.9%
AMP Ltd.		1,645,838	$	2,212,973
Brambles Ltd.		159,400		1,313,863
Orica Ltd.		153,777		2,376,662
				5,903,498
Belgium — 1.0%
KBC Group NV		85,901		6,477,407
Brazil — 0.3%
Ambev SA ADR		475,817		2,217,307
Canada — 2.9%
Canadian National Railway Co.		85,574		7,740,168
Cenovus Energy, Inc.		390,017		3,964,595
Open Text Corp.		41,400		1,824,272
Suncor Energy, Inc.		170,128		5,575,948
				19,104,983
Cayman Islands — 1.0%
Baidu, Inc. Sponsored ADR (a)		44,861		5,670,430
Trip.com Group Ltd. ADR (a)		20,700		694,278
				6,364,708
Denmark — 1.6%
Carlsberg A/S Class B		21,718		3,239,801
Novo Nordisk A/S Class B		127,800		7,412,359
				10,652,160
Finland — 0.3%
UPM-Kymmene OYJ		55,000		1,906,160
France — 14.6%
Accor SA		121,721		5,714,005
Air Liquide SA		78,439		11,148,269
BNP Paribas SA		164,401		9,786,331
Bureau Veritas SA		85,261		2,227,940
Danone SA		66,244		5,498,492
Dassault Systemes SE		12,731		2,099,919
Engie SA		264,484		4,274,059
EssilorLuxottica SA		44,649		6,820,476
Hermes International		1,164		871,072
L’Oreal SA		15,566		4,622,696
Legrand SA		46,781		3,817,016
LVMH Moet Hennessy Louis Vuitton SE		18,395		8,567,123
Pernod Ricard SA		39,754		7,116,184
Publicis Groupe SA		123,573		5,595,218
Schneider Electric SE		114,778		11,806,997
Valeo SA		143,930		5,096,175
				95,061,972
Germany — 13.1%
Allianz SE Registered		26,290		6,446,591
Bayer AG Registered		196,227		16,039,592
Bayerische Motoren Werke AG		99,885		8,222,680
Beiersdorf AG		63,591		7,609,188
Continental AG		71,180		9,243,325
Daimler AG Registered		162,473		9,008,019
Deutsche Boerse AG		25,229		3,967,719
Henkel AG & Co. KGaA		5,300		499,057
Merck KGaA		37,919		4,487,203
MTU Aero Engines AG		9,369		2,675,379
ProSiebenSat.1 Media SE		98,490		1,540,104
SAP SE		77,853		10,492,234
thyssenkrupp AG		368,717		4,978,800
				85,209,891
Hong Kong — 1.7%
AIA Group Ltd.		1,087,000		11,437,039
India — 1.8%
Axis Bank Ltd.		181,605		1,916,178
Housing Development Finance Corp. Ltd.		124,353		4,211,981
Tata Consultancy Services Ltd.		182,499		5,533,327
				11,661,486
Indonesia — 0.3%
Bank Mandiri Persero Tbk PT		3,676,200		2,026,662
Ireland — 2.5%
Linde PLC (a)		19,517		4,189,700
Ryanair Holdings PLC Sponsored ADR (a)		130,197		11,406,559
Willis Towers Watson PLC		2,672		539,584
				16,135,843
Israel — 0.7%
Check Point Software Technologies Ltd. (a)		39,160		4,345,194
Italy — 2.6%
Eni SpA		219,748		3,414,625
Intesa Sanpaolo SpA		5,244,635		13,825,549
				17,240,174
Japan — 10.5%
Daikin Industries Ltd.		47,600		6,694,017
Denso Corp.		41,500		1,872,035
FANUC Corp.		12,200		2,253,196
Hitachi Ltd.		122,100		5,143,101
Hoya Corp.		113,800		10,865,640
Japan Tobacco, Inc. (b)		177,500		3,957,025
Komatsu Ltd.		182,200		4,368,312
Kubota Corp.		310,400		4,862,674
Kyocera Corp.		84,100		5,731,122
Olympus Corp.		577,300		8,889,937

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

144

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Omron Corp.		2,100	$	122,339
Shin-Etsu Chemical Co. Ltd.		17,700		1,940,552
Terumo Corp.		221,000		7,807,833
Toyota Motor Corp.		54,500		3,837,333
				68,345,116
Mexico — 0.4%
Grupo Televisa SAB Sponsored ADR		213,000		2,498,490
Netherlands — 5.2%
Akzo Nobel NV		65,283		6,656,137
ASML Holding NV		880		262,073
CNH Industrial NV		804,342		8,829,567
EXOR NV		72,800		5,645,817
ING Groep NV		338,584		4,069,117
Prosus NV (a)		22,275		1,666,778
QIAGEN NV (a)		70,551		2,411,819
Randstad NV		67,998		4,164,043
				33,705,351
Portugal — 0.3%
Galp Energia SGPS SA		124,317		2,079,247
Republic of Korea — 1.2%
NAVER Corp.		34,150		5,501,331
Samsung Electronics Co. Ltd.		53,150		2,560,997
				8,062,328
Singapore — 0.7%
DBS Group Holdings, Ltd.		236,700		4,562,453
South Africa — 0.8%
Naspers Ltd.		31,275		5,111,959
Spain — 1.4%
Amadeus IT Group SA		110,148		9,025,178
Sweden — 2.9%
Essity AB Class B		109,107		3,517,402
Hennes & Mauritz AB Class B		277,094		5,632,702
SKF AB Class B		213,700		4,329,555
Volvo AB Class B		320,500		5,378,468
				18,858,127
Switzerland — 12.2%
Alcon, Inc. (a)		15,592		883,282
Cie Financiere Richemont SA Registered		90,441		7,099,391
Credit Suisse Group AG Registered		677,725		9,197,379
Julius Baer Group Ltd.		59,754		3,085,955
Kuehne & Nagel International AG Registered		5,340		900,148
LafargeHolcim Ltd. Registered		58,884		3,265,222
Nestle SA Registered		147,446		15,973,790
Novartis AG Registered		77,966		7,386,683
Roche Holding AG		39,871		12,928,493
Sika AG Registered		19,223		3,620,057
The Swatch Group AG (b)		10,535		2,936,582
UBS Group AG Registered		494,485		6,240,823
Zurich Insurance Group AG		14,967		6,138,567
				79,656,372
Taiwan — 1.2%
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		123,569		7,179,359
Taiwan Semiconductor Manufacturing Co. Ltd.		58,000		642,319
				7,821,678
United Kingdom — 17.4%
Amcor PLC		152,353		1,669,530
Ashtead Group PLC		154,490		4,943,776
Barclays PLC		943,037		2,252,023
Bunzl PLC		43,400		1,187,446
Compass Group PLC		240,538		6,025,683
Diageo PLC		171,379		7,221,854
Experian PLC		237,158		8,021,304
Ferguson PLC		19,867		1,805,048
G4S PLC		806,900		2,346,594
Glencore PLC		3,618,300		11,314,151
Liberty Global PLC Series A (a)		153,800		3,497,412
Liberty Global PLC Series C (a)		39,000		850,005
Lloyds Banking Group PLC		9,445,700		7,883,630
M&G PLC (a)		77,637		244,276
Meggitt PLC		27,428		239,006
Prudential PLC		77,637		1,493,847
Reckitt Benckiser Group PLC		89,821		7,294,003
RELX PLC		193,448		4,884,078
RELX PLC		90,497		2,282,984
Rio Tinto PLC		63,813		3,791,575
Rolls-Royce Holdings PLC		1,001,311		9,067,038
Royal Bank of Scotland Group PLC		1,247,200		3,997,468
Schroders PLC		123,200		5,478,694
Schroders PLC		300		10,035
Smiths Group PLC		200,757		4,488,386
Tesco PLC		971,234		3,290,072
WPP PLC		564,462		7,943,932
				113,523,850
United States — 0.6%
Yum China Holdings, Inc.		83,911		4,028,567
TOTAL COMMON STOCK (Cost $588,192,860)				653,023,200
PREFERRED STOCK — 0.2%
Germany — 0.2%
Henkel AG & Co. KGaA 1.980%		12,100		1,251,292
TOTAL PREFERRED STOCK (Cost $1,251,190)				1,251,292
TOTAL EQUITIES (Cost $589,444,050)				654,274,492

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

145

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
MUTUAL FUNDS — 0.3%
United States — 0.3%
State Street Navigator Securities Lending Prime Portfolio (c)		2,149,155	$	2,149,155
TOTAL MUTUAL FUNDS (Cost $2,149,155)				2,149,155
TOTAL LONG-TERM INVESTMENTS (Cost $591,593,205)				656,423,647

	Principal Amount
SHORT-TERM INVESTMENTS — 1.8%
Repurchase Agreement — 1.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	11,487,404		11,487,404
TOTAL SHORT-TERM INVESTMENTS (Cost $11,487,404)				11,487,404
TOTAL INVESTMENTS — 102.4% (Cost $603,080,609) (e)				667,911,051
Other Assets/(Liabilities) — (2.4)%				(15,468,678	)
NET ASSETS — 100.0%			$	652,442,373

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, 2019, was $5,939,626 or 0.91% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $4,092,091 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

(d) Maturity value of $11,487,915. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $11,723,122.

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

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
State Street Bank and Trust Co.	6/17/20	USD	1,947,531	CHF	1,893,000	$	(31,032	)

Currency Legend

CHF Swiss Franc

USD U.S. Dollar

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

146

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.9%
COMMON STOCK — 96.7%
Australia — 2.4%
Australia & New Zealand Banking Group Ltd.		114,583	$	1,985,100
BHP Group Ltd.		187,575		5,137,756
Challenger Ltd.		288,158		1,641,214
CSL Ltd.		6,674		1,295,231
Downer EDI Ltd.		300,085		1,724,609
Incitec Pivot Ltd.		566,883		1,268,331
Independence Group NL		386,350		1,695,287
Macquarie Group Ltd.		27,553		2,672,437
Rio Tinto Ltd.		13,166		931,125
Scentre Group		489,383		1,317,525
South32 Ltd.		2,947,150		5,610,875
Suncorp Group Ltd.		201,267		1,833,798
Telstra Corp. Ltd.		204,829		510,291
Worley Ltd.		303,653		3,275,927
				30,899,506
Austria — 0.6%
BAWAG Group AG (a)		55,746		2,542,276
Erste Group Bank AG		147,676		5,554,394
				8,096,670
Belgium — 0.8%
Anheuser-Busch InBev SA/NV		28,657		2,349,917
Galapagos NV (b)		7,504		1,561,901
KBC Group NV		59,959		4,521,238
Umicore SA		45,271		2,207,069
				10,640,125
Bermuda — 0.9%
Credicorp Ltd.		26,537		5,655,831
Hiscox Ltd.		91,924		1,738,519
Hongkong Land Holdings Ltd.		176,900		1,018,020
Jardine Matheson Holdings Ltd.		14,900		828,520
Liberty Latin America Ltd. Class C (b)		100,997		1,965,402
				11,206,292
Brazil — 1.2%
Ambev SA ADR		175,100		815,966
B3 SA — Brasil Bolsa Balcao		116,200		1,241,690
Banco Bradesco SA Sponsored ADR		241,260		2,159,277
BR Malls Participacoes SA		180,200		810,101
EDP — Energias do Brasil SA		352,700		1,939,620
Lojas Renner SA		225,558		3,156,049
Porto Seguro SA		46,400		724,840
Raia Drogasil SA		124,900		3,470,524
Suzano SA		123,600		1,221,951
				15,540,018
British Virgin Islands — 0.1%
Mail.ru Group Ltd. GDR (b)		42,740		954,542
Canada — 2.9%
Bombardier, Inc. Class B (b)		603,845		897,479
Canadian Pacific Railway Ltd. (c)		5,847		1,490,534
Element Fleet Management Corp.		269,713		2,303,429
Franco-Nevada Corp.		26,762		2,763,480
Magna International, Inc.		173,170		9,496,643
National Bank of Canada (c)		92,896		5,156,477
Restaurant Brands International, Inc.		36,837		2,349,095
Seven Generations Energy Ltd. Class A (b)		418,060		2,726,863
Sun Life Financial, Inc. (c)		73,654		3,358,402
TC Energy Corp.		50,400		2,684,274
Waste Connections, Inc.		39,079		3,547,982
				36,774,658
Cayman Islands — 6.0%
58.com, Inc. ADR (b)		48,171		3,118,109
AAC Technologies Holdings, Inc.		83,500		729,373
Alibaba Group Holding Ltd. Sponsored ADR (b)		123,403		26,173,776
Baidu, Inc. Sponsored ADR (b)		20,246		2,559,094
China Mengniu Dairy Co. Ltd.		1,376,000		5,576,142
CK Hutchison Holdings Ltd.		726,500		6,941,958
Farfetch Ltd. Class A (b) (c)		80,151		829,563
Hengan International Group Co. Ltd.		149,500		1,067,383
JOYY, Inc. (b)		27,881		1,471,838
Pagseguro Digital Ltd. Class A (b) (c)		22,537		769,864
StoneCo Ltd. Class A (b)		66,817		2,665,330
Sunny Optical Technology Group Co. Ltd.		52,300		907,544
TAL Education Group Sponsored ADR (b)		29,296		1,412,067
Tencent Holdings Ltd.		411,900		19,869,457
Tencent Music Entertainment Group ADR (b)		57,500		675,050
Trip.com Group Ltd. ADR (b)		53,950		1,809,483
XP, Inc. (b)		27,888		1,074,246
				77,650,277
Chile — 0.2%
Banco Santander Chile Sponsored ADR		108,860		2,511,400
China — 2.6%
Anhui Conch Cement Co. Ltd. Class H		454,000		3,317,462
BTG Hotels Group Co. Ltd. Class A		356,460		1,055,054
China Longyuan Power Group Corp. Class H		2,082,000		1,318,125
Gree Electric Appliances, Inc. of Zhuhai Class A		520,800		4,893,656

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

147

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Hangzhou Hikvision Digital Technology Co. Ltd. Class A		249,661	$	1,175,566
Kweichow Moutai Co. Ltd. Class A		29,998		5,100,209
Midea Group Co. Ltd. Class A		115,500		963,473
PICC Property & Casualty Co. Ltd. Class H		4,434,000		5,346,350
Ping An Insurance Group Co. of China Ltd. Class H		637,500		7,551,991
Tsingtao Brewery Co. Ltd. Class H		346,000		2,325,064
Yifeng Pharmacy Chain Co. Ltd. Class A		75,600		794,548
				33,841,498
Colombia — 0.1%
Grupo Aval Acciones y Valores SA ADR		81,005		706,364
Czech Republic — 0.1%
Komercni banka AS		25,931		949,382
Denmark — 0.5%
Ascendis Pharma A/S ADR (b)		5,500		765,160
Danske Bank A/S		132,547		2,143,604
GN Store Nord A/S		31,066		1,462,514
Novo Nordisk A/S Class B		26,515		1,537,861
				5,909,139
Finland — 0.7%
Nordea Bank Abp		457,182		3,698,250
Sampo OYJ Class A		77,021		3,360,472
Stora Enso OYJ Class R		165,261		2,401,564
				9,460,286
France — 7.2%
Air Liquide SA		39,182		5,568,805
AXA SA		357,317		10,080,816
BNP Paribas SA		168,587		10,035,512
Criteo SA Sponsored ADR (b)		22,038		381,919
Dassault Aviation SA		4,280		5,637,257
Electricite de France SA		167,874		1,872,693
Engie SA		394,847		6,380,724
EssilorLuxottica SA		31,418		4,799,339
Eutelsat Communications SA (c)		139,844		2,274,702
Kering SA		3,752		2,471,710
L’Oreal SA		11,772		3,495,977
Legrand SA		19,398		1,582,747
LVMH Moet Hennessy Louis Vuitton SE		2,217		1,032,526
Orange SA		121,523		1,785,698
Sanofi		44,060		4,425,262
Schneider Electric SE		19,510		2,006,957
Thales SA		96,121		10,000,415
Total SA		246,334		13,612,971
Ubisoft Entertainment SA (b)		55,585		3,845,184
Unibail Rodamco Westfield		7,722		1,220,027
Unibail Rodamco Westfield		58		9,150
				92,520,391
Germany — 5.8%
Allianz SE Registered		19,347		4,744,093
BASF SE		58,254		4,417,789
Bayer AG Registered		170,956		13,973,941
Bayerische Motoren Werke AG		21,469		1,767,360
Commerzbank AG		69,386		429,663
Covestro AG (a)		28,722		1,335,169
Daimler AG Registered		44,960		2,492,725
Deutsche Wohnen SE		67,098		2,742,060
Evotec SE (b) (c)		71,130		1,845,098
Fresenius SE & Co. KGaA		54,095		3,053,454
GEA Group AG		54,037		1,786,657
HeidelbergCement AG		14,979		1,091,822
HUGO BOSS AG		6,468		313,837
Knorr-Bremse AG		29,073		2,959,255
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered		15,081		4,449,113
SAP SE		29,049		3,914,928
Siemens AG Registered		90,753		11,863,224
Siemens Healthineers AG (a)		45,554		2,187,464
Stroeer SE & Co KGaA		15,712		1,271,228
Teamviewer AG (b)		58,304		2,086,599
Telefonica Deutschland Holding AG		985,501		2,856,367
Zalando SE (a) (b)		65,224		3,304,913
				74,886,759
Hong Kong — 1.7%
AIA Group Ltd.		1,603,800		16,874,631
Beijing Enterprises Holdings Ltd.		238,500		1,095,687
China Resources Beer Holdings Company Ltd.		282,000		1,561,951
CSPC Pharmaceutical Group Ltd.		440,000		1,050,238
Fosun International Ltd.		1,130,000		1,651,252
				22,233,759
Hungary — 0.3%
OTP Bank Nyrt		69,941		3,660,483
India — 1.9%
Axis Bank Ltd. GDR		79,368		4,222,132
HDFC Bank Ltd. ADR		246,992		15,651,883
ICICI Bank Ltd. Sponsored ADR		118,600		1,789,674
Infosys Ltd. Sponsored ADR		220,710		2,277,727
Mahindra & Mahindra Ltd. Sponsored GDR		60,606		458,973
				24,400,389
Indonesia — 1.1%
Astra International Tbk PT		3,659,800		1,817,660
Bank Central Asia Tbk PT		3,534,300		8,490,703
Bank Negara Indonesia Persero Tbk PT		2,518,900		1,420,546

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

148

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Sarana Menara Nusantara Tbk PT		35,725,300	$	2,068,219
				13,797,128
Ireland — 0.5%
DCC PLC		22,031		1,917,696
Linde PLC (b)		19,196		4,120,791
				6,038,487
Italy — 1.0%
Banca Mediolanum SpA		234,263		2,328,994
Eni SpA		144,650		2,247,691
Intesa Sanpaolo SpA		590,916		1,557,732
Leonardo SpA		59,491		697,185
Moncler SpA		51,828		2,331,123
Prysmian SpA		133,934		3,227,464
				12,390,189
Japan — 16.1%
Aisin Seiki Co. Ltd.		30,100		1,113,249
Asahi Kasei Corp.		216,100		2,424,768
Asics Corp.		120,000		1,995,911
Astellas Pharma, Inc.		555,300		9,485,584
Benesse Holdings, Inc.		62,000		1,630,248
Bridgestone Corp. (c)		40,500		1,504,285
Central Japan Railway Co.		9,100		1,828,668
Chugai Pharmaceutical Co. Ltd.		21,700		1,998,658
Coca-Cola Bottlers Japan Holdings, Inc. (c)		79,900		2,051,674
CyberAgent, Inc.		38,800		1,350,813
Daiichi Sankyo Co. Ltd.		19,500		1,287,641
DeNA Co. Ltd.		45,800		736,722
DIC Corp. (c)		59,500		1,640,850
Disco Corp.		7,600		1,809,042
Electric Power Development Co. Ltd.		64,300		1,562,559
en-japan, Inc.		27,300		1,194,408
Ezaki Glico Co. Ltd.		45,700		2,033,509
Fujitsu General Ltd.		128,900		2,894,588
Fujitsu Ltd.		31,000		2,925,251
Hamamatsu Photonics KK		33,800		1,384,961
Hitachi Ltd.		58,100		2,447,290
Hitachi Metals Ltd.		155,400		2,283,023
Honda Motor Co. Ltd.		37,000		1,043,666
Hoshizaki Corp.		13,300		1,184,237
Ibiden Co. Ltd.		34,500		818,503
Japan Tobacco, Inc. (c)		100,000		2,229,310
JGC Holdings Corp.		84,900		1,366,196
Kansai Paint Co. Ltd.		45,500		1,112,044
Kirin Holdings Co. Ltd.		179,600		3,917,204
Kusuri no Aoki Holdings Co. Ltd.		9,100		572,754
Mitsubishi Corp.		90,600		2,403,601
Mitsubishi Electric Corp.		624,100		8,485,997
Mitsubishi Estate Co. Ltd.		108,900		2,081,864
Mitsubishi Motors Corp.		354,400		1,475,233
Mitsubishi UFJ Financial Group, Inc.		1,180,000		6,377,432
Mitsubishi UFJ Lease & Finance Co. Ltd.		209,200		1,346,419
Mitsui Fudosan Co. Ltd.		109,900		2,684,190
Mitsui Mining & Smelting Co. Ltd.		22,900		608,006
Murata Manufacturing Co. Ltd.		97,600		6,034,117
Nippon Shokubai Co. Ltd.		27,100		1,675,070
Nippon Telegraph & Telephone Corp.		676,900		17,145,752
Omron Corp.		29,500		1,718,573
ORIX Corp.		148,800		2,476,830
Otsuka Holdings Co. Ltd.		132,000		5,870,333
Outsourcing, Inc.		106,800		1,130,576
Pan Pacific International Holding Corp.		77,800		1,291,318
Panasonic Corp.		180,000		1,688,278
Persol Holdings Co. Ltd.		106,100		1,994,273
Pola Orbis Holdings, Inc. (c)		27,700		661,736
Recruit Holdings Co. Ltd.		68,700		2,585,204
Renesas Electronics Corp. (b)		130,000		895,166
Sega Sammy Holdings, Inc.		24,000		349,565
Seven & i Holdings Co. Ltd.		196,300		7,182,373
SMC Corp.		3,300		1,508,458
SoftBank Group Corp.		31,800		1,384,461
Sompo Holdings, Inc.		63,000		2,468,609
Sony Corp.		29,200		1,987,550
Stanley Electric Co. Ltd.		203,600		5,886,405
Sumitomo Corp.		410,100		6,114,178
Sumitomo Mitsui Trust Holdings, Inc.		42,800		1,688,974
Sumitomo Rubber Industries Ltd. (c)		64,600		785,893
Suzuki Motor Corp.		122,400		5,126,926
Takeda Pharmaceutical Co. Ltd.		297,731		11,795,464
Takeda Pharmaceutical Co. Ltd. Sponsored ADR (b)		43,522		858,689
TechnoPro Holdings, Inc.		14,900		1,045,840
Terumo Corp.		56,500		1,996,120
THK Co. Ltd. (c)		75,300		2,021,089
Tokio Marine Holdings, Inc.		61,700		3,445,070
Tokyo Electron Ltd.		20,200		4,439,008
Tosoh Corp.		24,600		378,585
Toyota Motor Corp.		138,300		9,737,673
Trend Micro, Inc. (b) (c)		19,400		992,760
Welcia Holdings Co. Ltd.		17,200		1,095,606
Z Holdings Corp.		1,107,800		4,641,351
				207,388,231
Luxembourg — 0.3%
Globant SA (b)		7,980		846,279
Samsonite International SA (a)		496,200		1,188,748
Tenaris SA ADR		70,194		1,589,192
				3,624,219

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

149

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Mexico — 0.2%
Grupo Aeroportuario del Sureste SAB de CV		5,151	$	965,246
Wal-Mart de Mexico SAB de CV		672,200		1,929,764
				2,895,010
Netherlands — 5.2%
ABN AMRO Bank NV (a)		227,815		4,161,070
Adyen NV (a) (b)		728		599,037
Airbus SE		20,998		3,080,778
Akzo Nobel NV		22,142		2,257,559
ASML Holding NV		42,088		12,534,235
ING Groep NV		465,026		5,588,702
Koninklijke DSM NV		19,905		2,598,328
Koninklijke Philips NV		242,618		11,861,392
NXP Semiconductor NV		106,953		13,610,839
Prosus NV (b)		79,190		5,925,573
Unilever NV		50,114		2,883,365
X5 Retail Group NV GDR		35,497		1,225,114
Yandex NV Class A (b)		25,700		1,117,693
				67,443,685
Norway — 0.7%
DNB ASA		175,946		3,297,223
Equinor ASA		138,484		2,769,472
Storebrand ASA		278,551		2,190,020
Yara International ASA		18,937		789,080
				9,045,795
Philippines — 0.4%
SM Investments Corp.		208,590		4,293,611
Universal Robina Corp.		474,590		1,360,385
				5,653,996
Poland — 0.1%
Powszechny Zaklad Ubezpieczen SA		177,968		1,878,700
Portugal — 1.0%
Banco Comercial Portugues SA		4,748,997		1,082,916
Galp Energia SGPS SA		447,356		7,482,191
Jeronimo Martins SGPS SA		243,404		4,008,871
				12,573,978
Republic of Korea — 4.2%
KT Corp. Sponsored ADR (b)		144,769		1,679,320
KT Corp. (b)		34,577		807,370
LG Household & Health Care Ltd.		7,902		8,608,142
NAVER Corp.		62,688		10,098,606
Samsung Electronics Co. Ltd.		628,234		30,271,037
SK Hynix, Inc. (b)		37,087		3,014,113
				54,478,588
Russia — 0.7%
Sberbank of Russia PJSC Sponsored ADR		578,936		9,525,798
Saudi Arabia — 0.3%
Al Rajhi Bank		205,913		3,590,575
National Commercial Bank		40,932		537,571
				4,128,146
Singapore — 0.7%
DBS Group Holdings, Ltd.		86,000		1,657,672
United Overseas Bank Ltd.		298,200		5,865,569
Wilmar International Ltd.		600,700		1,842,330
				9,365,571
South Africa — 1.5%
Absa Group Ltd.		83,128		887,719
Capitec Bank Holdings Ltd.		10,721		1,107,913
Clicks Group Ltd.		49,916		915,335
FirstRand Ltd.		1,012,094		4,551,770
Naspers Ltd.		49,943		8,163,280
Sanlam Ltd.		416,760		2,356,394
Shoprite Holdings Ltd.		212,141		1,909,818
				19,892,229
Spain — 0.8%
Amadeus IT Group SA		54,658		4,478,503
Iberdrola SA		350,074		3,605,425
Indra Sistemas SA (b)		89,000		1,024,025
Tecnicas Reunidas SA (b)		22,223		594,194
				9,702,147
Sweden — 1.5%
Elekta AB		115,169		1,517,296
Essity AB Class B		217,656		7,016,815
Getinge AB Class B		151,840		2,819,512
Hexagon AB Class B		39,406		2,207,862
Svenska Handelsbanken AB Class A		280,116		3,016,097
Telefonaktiebolaget LM Ericsson Class B		320,612		2,809,303
				19,386,885
Switzerland — 6.7%
ABB Ltd. Registered		117,870		2,845,486
Adecco Group AG Registered		23,878		1,509,570
Alcon, Inc. (b)		51,746		2,931,396
dormakaba Holding AG		2,424		1,734,468
GAM Holding Ltd. (b)		53,412		154,650
Julius Baer Group Ltd.		71,168		3,675,423
Lonza Group AG Registered		13,864		5,056,408
Nestle SA Registered		167,829		18,182,014
Novartis AG Registered		144,595		13,699,273
PSP Swiss Property AG Registered		13,300		1,836,758
Roche Holding AG		57,707		18,711,959
UBS Group AG Registered		614,682		7,757,812
Zurich Insurance Group AG		20,156		8,266,784
				86,362,001
Taiwan — 3.3%
Catcher Technology Co. Ltd.		92,000		697,196
Largan Precision Co. Ltd.		38,000		6,349,405

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

150

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
President Chain Store Corp.		173,000	$	1,756,315
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		105,255		6,115,316
Taiwan Semiconductor Manufacturing Co. Ltd.		2,371,000		26,257,572
Uni-President Enterprises Corp.		502,000		1,242,566
				42,418,370
Thailand — 0.5%
Airports of Thailand PCL		363,500		901,051
CP ALL PCL		2,381,500		5,744,302
				6,645,353
Turkey — 0.1%
BIM Birlesik Magazalar AS		89,430		701,873
United Arab Emirates — 0.4%
First Abu Dhabi Bank PJSC		1,275,546		5,257,613
United Kingdom — 11.9%
Amcor PLC		820,853		8,995,157
Antofagasta PLC		267,504		3,259,332
ASOS PLC (b)		69,661		3,125,031
AstraZeneca PLC Sponsored ADR		123,853		6,175,311
Aviva PLC		310,547		1,732,408
Barclays PLC Sponsored ADR		45,300		431,256
BHP Group PLC		99,558		2,351,553
BP PLC Sponsored ADR		122,332		4,616,810
British American Tobacco PLC		145,675		6,206,517
BT Group PLC		999,597		2,561,779
Burberry Group PLC		110,615		3,237,225
Close Brothers Group PLC		19,591		415,643
Cobham PLC		272,223		592,491
Compass Group PLC		83,090		2,081,476
Diageo PLC		74,403		3,135,318
Direct Line Insurance Group PLC		512,891		2,137,036
GlaxoSmithKline PLC Sponsored ADR		218,058		10,246,545
Great Portland Estates PLC		288,172		3,286,740
HomeServe PLC		126,475		2,118,535
HSBC Holdings PLC		288,113		2,262,594
Investec PLC		212,678		1,252,462
Johnson Matthey PLC		61,930		2,464,102
Kingfisher PLC		643,904		1,867,362
LivaNova PLC (b)		23,863		1,799,986
Lloyds Banking Group PLC		8,447,260		7,050,306
London Stock Exchange Group PLC		43,411		4,484,015
Meggitt PLC		667,858		5,819,682
Melrose Industries PLC		817,819		2,614,047
National Grid PLC		175,961		2,211,290
Network International Holdings PLC (a) (b)		444,243		3,770,490
Next PLC		27,340		2,545,642
Persimmon PLC		55,435		1,996,996
Playtech PLC		186,833		983,959
Prudential PLC		200,092		3,850,057
Rolls-Royce Holdings PLC		264,915		2,398,850
Royal Dutch Shell PLC B Shares Sponsored ADR (c)		54,391		3,261,828
Royal Dutch Shell PLC Class B		181,016		5,393,838
RSA Insurance Group PLC		182,149		1,374,943
Smith & Nephew PLC		103,938		2,510,785
Smiths Group PLC		99,300		2,220,080
Standard Chartered PLC		184,393		1,741,522
Unilever PLC		133,757		7,657,489
Vodafone Group PLC		2,601,393		5,050,271
Vodafone Group PLC Sponsored ADR		158,062		3,055,339
The Weir Group PLC		59,390		1,188,393
WPP PLC		412,097		5,799,629
				153,332,120
United States — 1.5%
Autoliv, Inc.		18,788		1,585,338
Booking Holdings, Inc. (b)		1,751		3,596,081
Broadcom, Inc.		8,852		2,797,409
Mastercard, Inc. Class A		7,487		2,235,543
MercadoLibre, Inc. (b)		4,728		2,704,132
Philip Morris International, Inc.		57,562		4,897,951
Southern Copper Corp.		34,575		1,468,746
				19,285,200
TOTAL COMMON STOCK (Cost $1,156,286,860)				1,246,053,250
PREFERRED STOCK — 1.2%
Brazil — 0.9%
Banco Bradesco SA 3.340%		411,932		3,705,909
Itau Unibanco Holding SA 0.550%		808,750		7,442,269
				11,148,178
Germany — 0.0%
Sartorius AG 0.290%		2,658		569,046
Italy — 0.1%
Telecom Italia SpA 5.420%		1,507,304		922,662
Republic of Korea — 0.2%
Samsung Electronics Co. Ltd. 3.760%		58,537		2,283,781
United States — 0.0%
Roofoods, Ltd., Series G (Acquired 5/16/19, Cost $550,376) (b) (d) (e) (f)		1,317		550,376
TOTAL PREFERRED STOCK (Cost $14,920,939)				15,474,043
TOTAL EQUITIES (Cost $1,171,207,799)				1,261,527,293

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

151

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
MUTUAL FUNDS — 0.1%
United States — 0.1%
State Street Navigator Securities Lending Prime Portfolio (g)		1,684,718	$	1,684,718
TOTAL MUTUAL FUNDS (Cost $1,684,718)				1,684,718
TOTAL LONG-TERM INVESTMENTS (Cost $1,172,892,517)				1,263,212,011
SHORT-TERM INVESTMENTS — 2.5%
Mutual Fund — 2.4%
T. Rowe Price Government Reserve Investment Fund		30,422,638		30,422,638

	Principal Amount
Repurchase Agreement — 0.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (h)	$	1,000,000		1,000,000
TOTAL SHORT-TERM INVESTMENTS (Cost $31,422,638)				31,422,638
TOTAL INVESTMENTS — 100.5% (Cost $1,204,315,155) (i)				1,294,634,649
Other Assets/(Liabilities) — (0.5)%				(6,414,198	)
NET ASSETS — 100.0%			$	1,288,220,451

Abbreviation Legend

ADR American Depositary Receipt

GDR Global Depositary Receipt

PJSC Public Joint Stock Company

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $19,089,167 or 1.48% of net assets.

(b) Non-income producing security.

(c) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $22,605,431 or 1.75% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $21,881,754 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(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, 2019, these securities amounted to a value of $550,376 or 0.04% of net assets.

(f) Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $550,376 or 0.04% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

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

(h) Maturity value of $1,000,044. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,023,202.

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

OTC Options Written

Description	Counterparty	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
ASML Holding NV	Goldman Sachs International	1/17/20		260.00		7	EUR	182,000	$	(5,449	)	$	(1,971	)	$	(3,478	)
ASML Holding NV	Goldman Sachs International	2/21/20		280.00		3	EUR	84,000		(1,011	)		(1,070	)		59
ASML Holding NV	Goldman Sachs International	2/21/20		280.00		6	EUR	168,000		(2,022	)		(2,416	)		394
ASML Holding NV	Goldman Sachs International	2/21/20		280.00		3	EUR	84,000		(1,057	)		(1,044	)		(13	)
Erste Group Bank AG	JP Morgan Chase Bank N.A.	1/17/20		35.00		47	EUR	164,500		(767	)		(2,296	)		1,529
Ubisoft Entertainment SA	JP Morgan Chase Bank N.A.	1/17/20		60.00		8	EUR	48,000		(2,289	)		(955	)		(1,334	)
Ubisoft Entertainment SA	JP Morgan Chase Bank N.A.	1/17/20		60.00		28	EUR	168,000		(8,013	)		(3,780	)		(4,233	)
Hexagon AB	JP Morgan Chase Bank N.A.	1/17/20		570.00		2	SEK	114,000		(14	)		(115	)		101
									$	(20,622	)	$	(13,647	)	$	(6,975	)

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

152

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Morgan Stanley & Co. LLC	1/15/20	USD	1,715,717	JPY	185,864,000	$	4,326

Currency Legend

EUR Euro

JPY Japanese Yen

SEK Swedish Krona

USD U.S. Dollar

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

153

MassMutual RetireSMART Conservative Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 22.6%
DFA Commodity Strategy Portfolio		409,334	$	2,267,711
Invesco Oppenheimer Real Estate Fund, Class R6		26,042		702,614
MassMutual Premier International Equity Fund, Class I (a)		136,419		1,767,990
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		92,355		1,239,402
MassMutual Select Blue Chip Growth Fund, Class I (a)		129,264		3,040,300
MassMutual Select Diversified Value Fund, Class I (a)		257,445		2,976,061
MassMutual Select Equity Opportunities Fund, Class I (a)		123,288		2,180,959
MassMutual Select Fundamental Growth Fund, Class I (a)		222,071		1,636,663
MassMutual Select Fundamental Value Fund, Class I (a)		304,960		2,686,699
MassMutual Select Growth Opportunities Fund, Class I (a)		139,293		1,090,663
MassMutual Select Mid Cap Growth Fund, Class I (a)		67,102		1,589,646
MassMutual Select Mid-Cap Value Fund, Class I (a)		120,322		1,568,999
MassMutual Select Overseas Fund, Class I (a)		454,572		4,009,325
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		38,710		578,323
MassMutual Select Small Cap Value Equity Fund, Class I (a)		102,406		1,139,781
MM Select Equity Asset Fund, Class I (a)		1,666,245		13,663,208
Vanguard Developed Markets Index Fund, Admiral Shares		271,008		3,832,054
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		33,117		1,223,671
Vanguard Mid-Cap Index Fund, Admiral Shares		9,631		2,125,127
Vanguard Small-Cap Index Fund, Admiral Shares		14,701		1,166,843
				50,486,039
Fixed Income Funds — 77.5%
Barings Global Floating Rate Fund, Class Y (a)		213,436		1,984,954
Invesco Oppenheimer International Bond Fund, Class R6 (b)		1,607,927		8,972,230
MassMutual Premier Core Bond Fund, Class I (a)		3,434,808		37,748,536
MassMutual Premier High Yield Fund, Class I (a)		338,691		2,987,251
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		837,077		8,730,715
MassMutual Premier Short-Duration Bond Fund, Class I (a)		2,915,968		29,305,479
MassMutual Select Strategic Bond Fund, Class I (a)		2,887,672		30,926,967
MassMutual Select Total Return Bond Fund, Class I (a)		3,530,491		35,375,518
Vanguard Long-Term Treasury Index Fund, Admiral Shares		90,072		2,520,214
Vanguard Total Bond Market Index Fund, Institutional Shares		1,279,927		14,143,197
				172,695,061
TOTAL MUTUAL FUNDS (Cost $217,661,104)				223,181,100
TOTAL LONG-TERM INVESTMENTS (Cost $217,661,104)				223,181,100
TOTAL INVESTMENTS — 100.1% (Cost $217,661,104) (c)				223,181,100
Other Assets/(Liabilities) — (0.1)%				(188,244	)
NET ASSETS — 100.0%			$	222,992,856

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) Non-income producing security.

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

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

154

MassMutual RetireSMART Moderate Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 62.8%
DFA Commodity Strategy Portfolio		394,050	$	2,183,039
Invesco Oppenheimer Real Estate Fund, Class R6		81,399		2,196,156
MassMutual Premier International Equity Fund, Class I (a)		422,915		5,480,973
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		290,130		3,893,546
MassMutual Select Blue Chip Growth Fund, Class I (a)		403,440		9,488,911
MassMutual Select Diversified Value Fund, Class I (a)		798,314		9,228,507
MassMutual Select Equity Opportunities Fund, Class I (a)		383,308		6,780,716
MassMutual Select Fundamental Growth Fund, Class I (a)		690,982		5,092,539
MassMutual Select Fundamental Value Fund, Class I (a)		954,369		8,407,994
MassMutual Select Growth Opportunities Fund, Class I (a)		435,768		3,412,062
MassMutual Select Mid Cap Growth Fund, Class I (a)		212,556		5,035,463
MassMutual Select Mid-Cap Value Fund, Class I (a)		381,824		4,978,986
MassMutual Select Overseas Fund, Class I (a)		1,439,677		12,697,949
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		142,871		2,134,494
MassMutual Select Small Cap Value Equity Fund, Class I (a)		382,559		4,257,885
MM Select Equity Asset Fund, Class I (a)		5,239,148		42,961,017
Vanguard Developed Markets Index Fund, Institutional Shares		881,790		12,486,142
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		108,542		4,010,638
Vanguard Mid-Cap Index Fund, Institutional Shares		141,531		6,898,227
Vanguard Small-Cap Index Fund, Admiral Shares		55,288		4,388,216
				156,013,460
Fixed Income Funds — 37.3%
Barings Global Floating Rate Fund, Class Y (a)		178,978		1,664,499
Invesco Oppenheimer International Bond Fund, Class R6		1,036,046		5,781,139
MassMutual Premier Core Bond Fund, Class I (a)		1,766,721		19,416,269
MassMutual Premier High Yield Fund, Class I (a)		270,292		2,383,978
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		450,639		4,700,166
MassMutual Premier Short-Duration Bond Fund, Class I (a)		1,552,503		15,602,659
MassMutual Select Strategic Bond Fund, Class I (a)		1,486,503		15,920,451
MassMutual Select Total Return Bond Fund, Class I (a)		1,817,172		18,208,064
Vanguard Long-Term Treasury Index Fund, Admiral Shares		53,955		1,509,663
Vanguard Total Bond Market Index Fund, Institutional Shares		672,924		7,435,807
				92,622,695
TOTAL MUTUAL FUNDS (Cost $245,915,105)				248,636,155
TOTAL LONG-TERM INVESTMENTS (Cost $245,915,105)				248,636,155
TOTAL INVESTMENTS — 100.1% (Cost $245,915,105) (b)				248,636,155
Other Assets/(Liabilities) — (0.1)%				(205,663	)
NET ASSETS — 100.0%			$	248,430,492

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.

155

MassMutual RetireSMART Moderate Growth Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 77.6%
DFA Commodity Strategy Portfolio		333,374	$	1,846,892
Invesco Oppenheimer Real Estate Fund, Class R6		89,250		2,407,954
MassMutual Premier International Equity Fund, Class I (a)		465,202		6,029,022
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		378,052		5,073,461
MassMutual Select Blue Chip Growth Fund, Class I (a)		424,275		9,978,938
MassMutual Select Diversified Value Fund, Class I (a)		849,307		9,817,993
MassMutual Select Equity Opportunities Fund, Class I (a)		407,176		7,202,939
MassMutual Select Fundamental Growth Fund, Class I (a)		731,851		5,393,738
MassMutual Select Fundamental Value Fund, Class I (a)		1,002,567		8,832,618
MassMutual Select Growth Opportunities Fund, Class I (a)		465,148		3,642,109
MassMutual Select Mid Cap Growth Fund, Class I (a)		234,465		5,554,479
MassMutual Select Mid-Cap Value Fund, Class I (a)		422,048		5,503,511
MassMutual Select Overseas Fund, Class I (a)		1,566,541		13,816,896
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		180,981		2,703,863
MassMutual Select Small Cap Value Equity Fund, Class I (a)		478,787		5,328,900
MM Select Equity Asset Fund, Class I (a)		5,499,477		45,095,709
Vanguard Developed Markets Index Fund, Institutional Shares		967,101		13,694,156
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		188,541		5,298,015
Vanguard Mid-Cap Index Fund, Institutional Shares		154,712		7,540,673
Vanguard Small-Cap Index Fund, Institutional Shares		69,100		5,484,487
				170,246,353
Fixed Income Funds — 22.5%
Barings Global Floating Rate Fund, Class Y (a)		148,158		1,377,866
Invesco Oppenheimer International Bond Fund, Class R6		656,830		3,665,112
MassMutual Premier Core Bond Fund, Class I (a)		887,008		9,748,214
MassMutual Premier High Yield Fund, Class I (a)		229,036		2,020,102
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		244,488		2,550,013
MassMutual Premier Short-Duration Bond Fund, Class I (a)		833,122		8,372,873
MassMutual Select Strategic Bond Fund, Class I (a)		744,591		7,974,575
MassMutual Select Total Return Bond Fund, Class I (a)		911,732		9,135,550
Vanguard Long-Term Treasury Index Fund, Admiral Shares		31,278		875,147
Vanguard Total Bond Market Index Fund, Admiral Shares		338,170		3,736,783
				49,456,235
TOTAL MUTUAL FUNDS (Cost $216,269,583)				219,702,588
TOTAL LONG-TERM INVESTMENTS (Cost $216,269,583)				219,702,588
TOTAL INVESTMENTS — 100.1% (Cost $216,269,583) (b)				219,702,588
Other Assets/(Liabilities) — (0.1)%				(184,850	)
NET ASSETS — 100.0%			$	219,517,738

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.

156

MassMutual RetireSMART Growth Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 94.1%
DFA Commodity Strategy Portfolio		197,735	$	1,095,451
Invesco Oppenheimer Real Estate Fund, Class R6		66,934		1,805,870
MassMutual Premier International Equity Fund, Class I (a)		353,435		4,580,517
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		288,948		3,877,676
MassMutual Select Blue Chip Growth Fund, Class I (a)		319,582		7,516,557
MassMutual Select Diversified Value Fund, Class I (a)		627,126		7,249,572
MassMutual Select Equity Opportunities Fund, Class I (a)		300,621		5,317,989
MassMutual Select Fundamental Growth Fund, Class I (a)		544,737		4,014,712
MassMutual Select Fundamental Value Fund, Class I (a)		755,924		6,659,688
MassMutual Select Growth Opportunities Fund, Class I (a)		347,046		2,717,368
MassMutual Select Mid Cap Growth Fund, Class I (a)		174,168		4,126,038
MassMutual Select Mid-Cap Value Fund, Class I (a)		312,307		4,072,480
MassMutual Select Overseas Fund, Class I (a)		1,199,220		10,577,123
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		135,486		2,024,155
MassMutual Select Small Cap Value Equity Fund, Class I (a)		358,036		3,984,941
MM Select Equity Asset Fund, Class I (a)		4,145,332		33,991,725
Vanguard Developed Markets Index Fund, Institutional Shares		697,870		9,881,834
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		103,469		3,823,172
Vanguard Mid-Cap Index Fund, Institutional Shares		111,684		5,443,494
Vanguard Small-Cap Index Fund, Admiral Shares		49,875		3,958,609
				126,718,971
Fixed Income Funds — 6.0%
Barings Global Floating Rate Fund, Class Y (a)		78,939		734,131
Invesco Oppenheimer International Bond Fund, Class R6		167,501		934,653
MassMutual Premier Core Bond Fund, Class I (a)		95,549		1,050,082
MassMutual Premier High Yield Fund, Class I (a)		124,747		1,100,264
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		43,803		456,866
MassMutual Premier Short-Duration Bond Fund, Class I (a)		134,481		1,351,534
MassMutual Select Strategic Bond Fund, Class I (a)		80,332		860,357
MassMutual Select Total Return Bond Fund, Class I (a)		98,253		984,495
Vanguard Long-Term Treasury Index Fund, Admiral Shares		8,117		227,121
Vanguard Total Bond Market Index Fund, Admiral Shares		34,802		384,561
				8,084,064
TOTAL MUTUAL FUNDS (Cost $135,743,490)				134,803,035
TOTAL LONG-TERM INVESTMENTS (Cost $135,743,490)				134,803,035
TOTAL INVESTMENTS — 100.1% (Cost $135,743,490) (b)				134,803,035
Other Assets/(Liabilities) — (0.1)%				(105,740	)
NET ASSETS — 100.0%			$	134,697,295

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.

157

MassMutual RetireSMART by JPMorgan In Retirement Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.2%
Equity Funds — 33.2%
JPMorgan International Research Enhanced Equity Fund, Class R6		242,282	$	4,453,147
JPMorgan Realty Income Fund, Class R6		137,966		1,988,084
MassMutual Premier International Equity Fund, Class I (a)		221,546		2,871,235
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		249,829		3,352,699
MassMutual Select Blue Chip Growth Fund, Class I (a)		147,022		3,457,960
MassMutual Select Diversified Value Fund, Class I (a)		297,736		3,441,823
MassMutual Select Equity Opportunities Fund, Class I (a)		141,970		2,511,441
MassMutual Select Fundamental Growth Fund, Class I (a)		255,641		1,884,074
MassMutual Select Fundamental Value Fund, Class I (a)		356,790		3,143,320
MassMutual Select Growth Opportunities Fund, Class I (a)		162,694		1,273,897
MassMutual Select Mid Cap Growth Fund, Class I (a)		60,355		1,429,806
MassMutual Select Mid-Cap Value Fund, Class I (a)		109,062		1,422,163
MassMutual Select Overseas Fund, Class I (a)		896,266		7,905,068
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		54,172		809,327
MassMutual Select Small Cap Value Equity Fund, Class I (a)		97,004		1,079,658
MM Select Equity Asset Fund, Class I (a)		1,926,116		15,794,153
Vanguard Developed Markets Index Fund, Admiral Shares		198,769		2,810,601
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		95,662		3,534,700
Vanguard Mid-Cap Index Fund, Admiral Shares		5,773		1,273,919
Vanguard Real Estate Index Fund, Admiral Shares		15,855		2,086,160
Vanguard Small-Cap Index Fund, Admiral Shares		10,619		842,809
				67,366,044
Fixed Income Funds — 67.0%
Barings Global Floating Rate Fund, Class Y (a)		567,101		5,274,038
JPMorgan Emerging Markets Debt Fund, Class R6		465,449		3,816,683
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		465,013		3,813,105
JPMorgan U.S. Government Money Market Fund, Class IM		10,036,480		10,036,480
MassMutual Premier Core Bond Fund, Class I (a)		3,938,202		43,280,842
MassMutual Premier High Yield Fund, Class I (a)		1,608,846		14,190,023
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,440,617		15,025,638
MassMutual Select Strategic Bond Fund, Class I (a)		1,374,160		14,717,253
MassMutual Select Total Return Bond Fund, Class I (a)		1,464,698		14,676,272
Vanguard Total Bond Market Index Fund, Institutional Shares		1,020,892		11,280,855
				136,111,189
TOTAL MUTUAL FUNDS (Cost $199,289,126)				203,477,233
TOTAL LONG-TERM INVESTMENTS (Cost $199,289,126)				203,477,233
TOTAL INVESTMENTS — 100.2% (Cost $199,289,126) (b)				203,477,233
Other Assets/(Liabilities) — (0.2)%				(371,386	)
NET ASSETS — 100.0%			$	203,105,847

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.

158

MassMutual RetireSMART by JPMorgan 2020 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 39.6%
JPMorgan International Research Enhanced Equity Fund, Class R6		567,806	$	10,436,282
JPMorgan Realty Income Fund, Class R6		316,871		4,566,112
MassMutual Premier International Equity Fund, Class I (a)		519,565		6,733,558
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		575,672		7,725,523
MassMutual Select Blue Chip Growth Fund, Class I (a)		334,808		7,874,680
MassMutual Select Diversified Value Fund, Class I (a)		678,752		7,846,369
MassMutual Select Equity Opportunities Fund, Class I (a)		323,412		5,721,155
MassMutual Select Fundamental Growth Fund, Class I (a)		582,053		4,289,733
MassMutual Select Fundamental Value Fund, Class I (a)		811,334		7,147,851
MassMutual Select Growth Opportunities Fund, Class I (a)		370,794		2,903,315
MassMutual Select Mid Cap Growth Fund, Class I (a)		138,131		3,272,321
MassMutual Select Mid-Cap Value Fund, Class I (a)		249,605		3,254,848
MassMutual Select Overseas Fund, Class I (a)		2,100,499		18,526,403
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		125,394		1,873,389
MassMutual Select Small Cap Value Equity Fund, Class I (a)		223,917		2,492,192
MM Select Equity Asset Fund, Class I (a)		4,382,180		35,933,874
Vanguard Developed Markets Index Fund, Institutional Shares		463,821		6,567,701
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		288,989		8,120,591
Vanguard Mid-Cap Index Fund, Admiral Shares		13,187		2,909,874
Vanguard Real Estate Index Fund, Admiral Shares		36,335		4,780,983
Vanguard Small-Cap Index Fund, Admiral Shares		24,437		1,939,571
				154,916,325
Fixed Income Funds — 60.5%
Barings Global Floating Rate Fund, Class Y (a)		827,352		7,694,378
JPMorgan Emerging Markets Debt Fund, Class R6		841,902		6,903,600
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		841,122		6,897,200
JPMorgan U.S. Government Money Market Fund, Class IM		11,573,027		11,573,027
MassMutual Premier Core Bond Fund, Class I (a)		7,342,624		80,695,433
MassMutual Premier High Yield Fund, Class I (a)		2,853,301		25,166,117
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		2,105,037		21,955,535
MassMutual Select Strategic Bond Fund, Class I (a)		2,561,258		27,431,070
MassMutual Select Total Return Bond Fund, Class I (a)		2,730,022		27,354,824
Vanguard Total Bond Market Index Fund, Institutional Shares		1,900,791		21,003,741
				236,674,925
TOTAL MUTUAL FUNDS (Cost $382,459,512)				391,591,250
TOTAL LONG-TERM INVESTMENTS (Cost $382,459,512)				391,591,250
TOTAL INVESTMENTS — 100.1% (Cost $382,459,512) (b)				391,591,250
Other Assets/(Liabilities) — (0.1)%				(354,314	)
NET ASSETS — 100.0%			$	391,236,936

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.

159

MassMutual RetireSMART by JPMorgan 2025 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 54.3%
JPMorgan International Research Enhanced Equity Fund, Class R6		595,986	$	10,954,217
JPMorgan Realty Income Fund, Class R6		322,375		4,645,424
MassMutual Premier International Equity Fund, Class I (a)		543,440		7,042,983
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		588,113		7,892,474
MassMutual Select Blue Chip Growth Fund, Class I (a)		337,592		7,940,174
MassMutual Select Diversified Value Fund, Class I (a)		682,121		7,885,319
MassMutual Select Equity Opportunities Fund, Class I (a)		325,134		5,751,623
MassMutual Select Fundamental Growth Fund, Class I (a)		585,804		4,317,373
MassMutual Select Fundamental Value Fund, Class I (a)		818,835		7,213,940
MassMutual Select Growth Opportunities Fund, Class I (a)		372,026		2,912,963
MassMutual Select Mid Cap Growth Fund, Class I (a)		140,987		3,339,981
MassMutual Select Mid-Cap Value Fund, Class I (a)		254,760		3,322,074
MassMutual Select Overseas Fund, Class I (a)		2,206,089		19,457,703
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		126,706		1,892,988
MassMutual Select Small Cap Value Equity Fund, Class I (a)		226,769		2,523,934
MM Select Equity Asset Fund, Class I (a)		4,422,960		36,268,270
Vanguard Developed Markets Index Fund, Institutional Shares		484,408		6,859,215
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		294,341		8,270,979
Vanguard Mid-Cap Index Fund, Admiral Shares		13,407		2,958,491
Vanguard Real Estate Index Fund, Admiral Shares		36,871		4,851,508
Vanguard Small-Cap Index Fund, Admiral Shares		24,747		1,964,135
				158,265,768
Fixed Income Funds — 45.8%
Barings Global Floating Rate Fund, Class Y (a)		193,289		1,797,584
JPMorgan Emerging Markets Debt Fund, Class R6		537,907		4,410,833
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		537,409		4,406,755
MassMutual Premier Core Bond Fund, Class I (a)		4,832,661		53,110,945
MassMutual Premier High Yield Fund, Class I (a)		1,700,966		15,002,524
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		493,006		5,142,048
MassMutual Select Strategic Bond Fund, Class I (a)		1,688,358		18,082,312
MassMutual Select Total Return Bond Fund, Class I (a)		1,799,561		18,031,602
Vanguard Total Bond Market Index Fund, Institutional Shares		1,244,824		13,755,305
				133,739,908
TOTAL MUTUAL FUNDS (Cost $285,576,486)				292,005,676
TOTAL LONG-TERM INVESTMENTS (Cost $285,576,486)				292,005,676
TOTAL INVESTMENTS — 100.1% (Cost $285,576,486) (b)				292,005,676
Other Assets/(Liabilities) — (0.1)%				(267,686	)
NET ASSETS — 100.0%			$	291,737,990

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.

160

MassMutual RetireSMART by JPMorgan 2030 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 66.5%
JPMorgan International Research Enhanced Equity Fund, Class R6		1,118,904	$	20,565,451
JPMorgan Realty Income Fund, Class R6		696,140		10,031,378
MassMutual Premier International Equity Fund, Class I (a)		1,190,674		15,431,130
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,270,353		17,048,131
MassMutual Select Blue Chip Growth Fund, Class I (a)		729,277		17,152,587
MassMutual Select Diversified Value Fund, Class I (a)		1,465,555		16,941,817
MassMutual Select Equity Opportunities Fund, Class I (a)		698,244		12,351,939
MassMutual Select Fundamental Growth Fund, Class I (a)		1,260,018		9,286,330
MassMutual Select Fundamental Value Fund, Class I (a)		1,768,804		15,583,160
MassMutual Select Growth Opportunities Fund, Class I (a)		801,938		6,279,177
MassMutual Select Mid Cap Growth Fund, Class I (a)		304,805		7,220,822
MassMutual Select Mid-Cap Value Fund, Class I (a)		550,680		7,180,861
MassMutual Select Overseas Fund, Class I (a)		5,253,013		46,331,578
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		273,217		4,081,867
MassMutual Select Small Cap Value Equity Fund, Class I (a)		491,212		5,467,189
MM Select Equity Asset Fund, Class I (a)		9,558,836		78,382,458
Vanguard Developed Markets Index Fund, Institutional Shares		1,072,859		15,191,685
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		644,567		18,112,335
Vanguard Mid-Cap Index Fund, Institutional Shares		132,552		6,460,567
Vanguard Real Estate Index Fund, Institutional Shares		520,685		10,606,359
Vanguard Small-Cap Index Fund, Admiral Shares		53,883		4,276,676
				343,983,497
Fixed Income Funds — 33.6%
JPMorgan Emerging Markets Debt Fund, Class R6		772,595		6,335,280
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		773,431		6,342,135
MassMutual Premier Core Bond Fund, Class I (a)		6,624,698		72,805,435
MassMutual Premier High Yield Fund, Class I (a)		2,226,524		19,637,944
MassMutual Select Strategic Bond Fund, Class I (a)		2,321,864		24,867,165
MassMutual Select Total Return Bond Fund, Class I (a)		2,474,830		24,797,793
Vanguard Total Bond Market Index Fund, Institutional Shares		1,717,404		18,977,318
				173,763,070
TOTAL MUTUAL FUNDS (Cost $511,614,038)				517,746,567
TOTAL LONG-TERM INVESTMENTS (Cost $511,614,038)				517,746,567
TOTAL INVESTMENTS — 100.1% (Cost $511,614,038) (b)				517,746,567
Other Assets/(Liabilities) — (0.1)%				(410,723	)
NET ASSETS — 100.0%			$	517,335,844

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 by JPMorgan 2035 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 77.2%
JPMorgan International Research Enhanced Equity Fund, Class R6		487,892	$	8,967,463
JPMorgan Realty Income Fund, Class R6		356,976		5,144,024
MassMutual Premier International Equity Fund, Class I (a)		582,372		7,547,538
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		646,927		8,681,759
MassMutual Select Blue Chip Growth Fund, Class I (a)		378,899		8,911,698
MassMutual Select Diversified Value Fund, Class I (a)		762,759		8,817,495
MassMutual Select Equity Opportunities Fund, Class I (a)		363,470		6,429,789
MassMutual Select Fundamental Growth Fund, Class I (a)		657,061		4,842,540
MassMutual Select Fundamental Value Fund, Class I (a)		919,337		8,099,356
MassMutual Select Growth Opportunities Fund, Class I (a)		417,690		3,270,513
MassMutual Select Mid Cap Growth Fund, Class I (a)		155,581		3,685,719
MassMutual Select Mid-Cap Value Fund, Class I (a)		281,112		3,665,698
MassMutual Select Overseas Fund, Class I (a)		2,687,014		23,699,459
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		139,595		2,085,548
MassMutual Select Small Cap Value Equity Fund, Class I (a)		250,868		2,792,162
MM Select Equity Asset Fund, Class I (a)		4,966,102		40,722,033
Vanguard Developed Markets Index Fund, Institutional Shares		526,173		7,450,614
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		328,313		9,225,583
Vanguard Mid-Cap Index Fund, Admiral Shares		14,933		3,295,181
Vanguard Real Estate Index Fund, Admiral Shares		41,294		5,433,412
Vanguard Small-Cap Index Fund, Admiral Shares		27,518		2,184,092
				174,951,676
Fixed Income Funds — 22.9%
JPMorgan Emerging Markets Debt Fund, Class R6		245,616		2,014,054
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		245,388		2,012,178
MassMutual Premier Core Bond Fund, Class I (a)		1,923,813		21,142,700
MassMutual Premier High Yield Fund, Class I (a)		796,281		7,023,196
MassMutual Select Strategic Bond Fund, Class I (a)		665,185		7,124,135
MassMutual Select Total Return Bond Fund, Class I (a)		709,043		7,104,610
Vanguard Total Bond Market Index Fund, Institutional Shares		500,222		5,527,450
				51,948,323
TOTAL MUTUAL FUNDS (Cost $225,380,747)				226,899,999
TOTAL LONG-TERM INVESTMENTS (Cost $225,380,747)				226,899,999
TOTAL INVESTMENTS — 100.1% (Cost $225,380,747) (b)				226,899,999
Other Assets/(Liabilities) — (0.1)%				(215,094	)
NET ASSETS — 100.0%			$	226,684,905

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 by JPMorgan 2040 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 86.0%
JPMorgan International Research Enhanced Equity Fund, Class R6		744,428	$	13,682,581
JPMorgan Realty Income Fund, Class R6		609,460		8,782,314
MassMutual Premier International Equity Fund, Class I (a)		1,004,490		13,018,193
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,103,642		14,810,875
MassMutual Select Blue Chip Growth Fund, Class I (a)		640,353		15,061,094
MassMutual Select Diversified Value Fund, Class I (a)		1,288,776		14,898,251
MassMutual Select Equity Opportunities Fund, Class I (a)		614,527		10,870,979
MassMutual Select Fundamental Growth Fund, Class I (a)		1,110,046		8,181,038
MassMutual Select Fundamental Value Fund, Class I (a)		1,553,441		13,685,812
MassMutual Select Growth Opportunities Fund, Class I (a)		704,639		5,517,321
MassMutual Select Mid Cap Growth Fund, Class I (a)		265,503		6,289,756
MassMutual Select Mid-Cap Value Fund, Class I (a)		478,861		6,244,354
MassMutual Select Overseas Fund, Class I (a)		4,825,856		42,564,050
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		238,406		3,561,778
MassMutual Select Small Cap Value Equity Fund, Class I (a)		425,861		4,739,829
MM Select Equity Asset Fund, Class I (a)		8,390,377		68,801,093
Vanguard Developed Markets Index Fund, Institutional Shares		894,119		12,660,730
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		552,818		15,534,189
Vanguard Mid-Cap Index Fund, Institutional Shares		114,006		5,556,662
Vanguard Real Estate Index Fund, Institutional Shares		450,671		9,180,169
Vanguard Small-Cap Index Fund, Admiral Shares		46,581		3,697,134
				297,338,202
Fixed Income Funds — 14.1%
JPMorgan Emerging Markets Debt Fund, Class R6		265,472		2,176,870
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		265,224		2,174,841
MassMutual Premier Core Bond Fund, Class I (a)		1,695,321		18,631,580
MassMutual Premier High Yield Fund, Class I (a)		944,278		8,328,530
MassMutual Select Strategic Bond Fund, Class I (a)		586,362		6,279,932
MassMutual Select Total Return Bond Fund, Class I (a)		624,965		6,262,148
Vanguard Total Bond Market Index Fund, Admiral Shares		435,529		4,812,599
				48,666,500
TOTAL MUTUAL FUNDS (Cost $347,342,197)				346,004,702
TOTAL LONG-TERM INVESTMENTS (Cost $347,342,197)				346,004,702
TOTAL INVESTMENTS — 100.1% (Cost $347,342,197) (b)				346,004,702
Other Assets/(Liabilities) — (0.1)%				(242,796	)
NET ASSETS — 100.0%			$	345,761,906

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 by JPMorgan 2045 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 91.3%
JPMorgan International Research Enhanced Equity Fund, Class R6		309,325	$	5,685,401
JPMorgan Realty Income Fund, Class R6		267,419		3,853,507
MassMutual Premier International Equity Fund, Class I (a)		444,437		5,759,906
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		486,889		6,534,053
MassMutual Select Blue Chip Growth Fund, Class I (a)		282,591		6,646,550
MassMutual Select Diversified Value Fund, Class I (a)		568,768		6,574,958
MassMutual Select Equity Opportunities Fund, Class I (a)		271,246		4,798,336
MassMutual Select Fundamental Growth Fund, Class I (a)		488,060		3,597,003
MassMutual Select Fundamental Value Fund, Class I (a)		685,467		6,038,960
MassMutual Select Growth Opportunities Fund, Class I (a)		309,911		2,426,606
MassMutual Select Mid Cap Growth Fund, Class I (a)		116,747		2,765,736
MassMutual Select Mid-Cap Value Fund, Class I (a)		210,507		2,745,013
MassMutual Select Overseas Fund, Class I (a)		2,187,519		19,293,917
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		105,038		1,569,275
MassMutual Select Small Cap Value Equity Fund, Class I (a)		188,383		2,096,708
MM Select Equity Asset Fund, Class I (a)		3,704,751		30,378,955
Vanguard Developed Markets Index Fund, Institutional Shares		399,288		5,653,924
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		245,771		6,906,153
Vanguard Mid-Cap Index Fund, Admiral Shares		11,210		2,473,554
Vanguard Real Estate Index Fund, Admiral Shares		30,800		4,052,646
Vanguard Small-Cap Index Fund, Admiral Shares		20,664		1,640,128
				131,491,289
Fixed Income Funds — 8.8%
JPMorgan Emerging Markets Debt Fund, Class R6		81,785		670,634
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		81,869		671,327
MassMutual Premier Core Bond Fund, Class I (a)		403,873		4,438,561
MassMutual Premier High Yield Fund, Class I (a)		311,644		2,748,702
MassMutual Select Strategic Bond Fund, Class I (a)		139,247		1,491,337
MassMutual Select Total Return Bond Fund, Class I (a)		148,416		1,487,128
Vanguard Total Bond Market Index Fund, Admiral Shares		104,236		1,151,811
				12,659,500
TOTAL MUTUAL FUNDS (Cost $143,537,597)				144,150,789
TOTAL LONG-TERM INVESTMENTS (Cost $143,537,597)				144,150,789
TOTAL INVESTMENTS — 100.1% (Cost $143,537,597) (b)				144,150,789
Other Assets/(Liabilities) — (0.1)%				(147,860	)
NET ASSETS — 100.0%			$	144,002,929

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 by JPMorgan 2050 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 91.3%
JPMorgan International Research Enhanced Equity Fund, Class R6		447,089	$	8,217,496
JPMorgan Realty Income Fund, Class R6		385,189		5,550,573
MassMutual Premier International Equity Fund, Class I (a)		643,026		8,333,618
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		702,665		9,429,759
MassMutual Select Blue Chip Growth Fund, Class I (a)		407,268		9,578,951
MassMutual Select Diversified Value Fund, Class I (a)		819,409		9,472,371
MassMutual Select Equity Opportunities Fund, Class I (a)		390,745		6,912,278
MassMutual Select Fundamental Growth Fund, Class I (a)		704,425		5,191,613
MassMutual Select Fundamental Value Fund, Class I (a)		988,010		8,704,371
MassMutual Select Growth Opportunities Fund, Class I (a)		447,099		3,500,784
MassMutual Select Mid Cap Growth Fund, Class I (a)		168,471		3,991,067
MassMutual Select Mid-Cap Value Fund, Class I (a)		304,443		3,969,938
MassMutual Select Overseas Fund, Class I (a)		3,161,162		27,881,447
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		151,859		2,268,775
MassMutual Select Small Cap Value Equity Fund, Class I (a)		272,357		3,031,339
MM Select Equity Asset Fund, Class I (a)		5,339,137		43,780,921
Vanguard Developed Markets Index Fund, Institutional Shares		569,281		8,061,024
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		350,392		9,846,027
Vanguard Mid-Cap Index Fund, Admiral Shares		15,982		3,526,591
Vanguard Real Estate Index Fund, Institutional Shares		283,771		5,780,407
Vanguard Small-Cap Index Fund, Admiral Shares		29,462		2,338,403
				189,367,753
Fixed Income Funds — 8.8%
JPMorgan Emerging Markets Debt Fund, Class R6		118,275		969,858
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		118,167		968,969
MassMutual Premier Core Bond Fund, Class I (a)		582,505		6,401,728
MassMutual Premier High Yield Fund, Class I (a)		449,005		3,960,220
MassMutual Select Strategic Bond Fund, Class I (a)		200,827		2,150,858
MassMutual Select Total Return Bond Fund, Class I (a)		214,061		2,144,894
Vanguard Total Bond Market Index Fund, Admiral Shares		148,630		1,642,356
				18,238,883
TOTAL MUTUAL FUNDS (Cost $208,148,982)				207,606,636
TOTAL LONG-TERM INVESTMENTS (Cost $208,148,982)				207,606,636
TOTAL INVESTMENTS — 100.1% (Cost $208,148,982) (b)				207,606,636
Other Assets/(Liabilities) — (0.1)%				(126,379	)
NET ASSETS — 100.0%			$	207,480,257

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 by JPMorgan 2055 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 91.3%
JPMorgan International Research Enhanced Equity Fund, Class R6		134,558	$	2,473,176
JPMorgan Realty Income Fund, Class R6		116,951		1,685,267
MassMutual Premier International Equity Fund, Class I (a)		194,386		2,519,247
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		212,909		2,857,237
MassMutual Select Blue Chip Growth Fund, Class I (a)		123,201		2,897,687
MassMutual Select Diversified Value Fund, Class I (a)		248,782		2,875,916
MassMutual Select Equity Opportunities Fund, Class I (a)		118,645		2,098,833
MassMutual Select Fundamental Growth Fund, Class I (a)		214,294		1,579,345
MassMutual Select Fundamental Value Fund, Class I (a)		298,862		2,632,977
MassMutual Select Growth Opportunities Fund, Class I (a)		135,807		1,063,373
MassMutual Select Mid Cap Growth Fund, Class I (a)		51,159		1,211,947
MassMutual Select Mid-Cap Value Fund, Class I (a)		92,435		1,205,358
MassMutual Select Overseas Fund, Class I (a)		951,685		8,393,860
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		46,027		687,638
MassMutual Select Small Cap Value Equity Fund, Class I (a)		82,550		918,779
MM Select Equity Asset Fund, Class I (a)		1,615,274		13,245,248
Vanguard Developed Markets Index Fund, Admiral Shares		176,710		2,498,681
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		82,587		3,051,580
Vanguard Mid-Cap Index Fund, Admiral Shares		4,953		1,093,027
Vanguard Real Estate Index Fund, Admiral Shares		13,615		1,791,517
Vanguard Small-Cap Index Fund, Admiral Shares		9,133		724,851
				57,505,544
Fixed Income Funds — 8.8%
JPMorgan Emerging Markets Debt Fund, Class R6		35,915		294,505
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		35,882		294,229
MassMutual Premier Core Bond Fund, Class I (a)		176,158		1,935,979
MassMutual Premier High Yield Fund, Class I (a)		136,316		1,202,304
MassMutual Select Strategic Bond Fund, Class I (a)		60,736		650,486
MassMutual Select Total Return Bond Fund, Class I (a)		64,734		648,636
Vanguard Total Bond Market Index Fund, Admiral Shares		46,073		509,102
				5,535,241
TOTAL MUTUAL FUNDS (Cost $61,821,286)				63,040,785
TOTAL LONG-TERM INVESTMENTS (Cost $61,821,286)				63,040,785
TOTAL INVESTMENTS — 100.1% (Cost $61,821,286) (b)				63,040,785
Other Assets/(Liabilities) — (0.1)%				(67,986	)
NET ASSETS — 100.0%			$	62,972,799

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 by JPMorgan 2060 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 99.9%
Equity Funds — 91.2%
JPMorgan International Research Enhanced Equity Fund, Class R6		31,809	$	584,641
JPMorgan Realty Income Fund, Class R6		28,017		403,720
MassMutual Premier International Equity Fund, Class I (a)		46,045		596,742
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		50,392		676,262
MassMutual Select Blue Chip Growth Fund, Class I (a)		29,583		695,784
MassMutual Select Diversified Value Fund, Class I (a)		59,677		689,868
MassMutual Select Equity Opportunities Fund, Class I (a)		28,515		504,426
MassMutual Select Fundamental Growth Fund, Class I (a)		51,409		378,882
MassMutual Select Fundamental Value Fund, Class I (a)		71,755		632,159
MassMutual Select Growth Opportunities Fund, Class I (a)		32,688		255,948
MassMutual Select Mid Cap Growth Fund, Class I (a)		12,304		291,470
MassMutual Select Mid-Cap Value Fund, Class I (a)		22,219		289,732
MassMutual Select Overseas Fund, Class I (a)		225,056		1,984,996
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		11,047		165,049
MassMutual Select Small Cap Value Equity Fund, Class I (a)		19,803		220,406
MM Select Equity Asset Fund, Class I (a)		387,876		3,180,580
Vanguard Developed Markets Index Fund, Admiral Shares		45,575		644,436
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		21,299		787,006
Vanguard Mid-Cap Index Fund, Admiral Shares		1,278		281,933
Vanguard Real Estate Index Fund, Admiral Shares		3,512		462,151
Vanguard Small-Cap Index Fund, Admiral Shares		2,355		186,947
				13,913,138
Fixed Income Funds — 8.7%
JPMorgan Emerging Markets Debt Fund, Class R6		8,636		70,812
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		8,627		70,738
MassMutual Premier Core Bond Fund, Class I (a)		42,251		464,343
MassMutual Premier High Yield Fund, Class I (a)		32,695		288,367
MassMutual Select Strategic Bond Fund, Class I (a)		14,565		155,987
MassMutual Select Total Return Bond Fund, Class I (a)		15,524		155,549
Vanguard Total Bond Market Index Fund, Admiral Shares		11,884		131,316
				1,337,112
TOTAL MUTUAL FUNDS (Cost $14,820,664)				15,250,250
TOTAL LONG-TERM INVESTMENTS (Cost $14,820,664)				15,250,250
TOTAL INVESTMENTS — 99.9% (Cost $14,820,664) (b)				15,250,250
Other Assets/(Liabilities) — 0.1%				9,977
NET ASSETS — 100.0%			$	15,260,227

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

MM Select Equity Asset Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.0%
COMMON STOCK — 96.0%
Basic Materials — 1.8%
Chemicals — 1.7%
Celanese Corp.		12,600	$	1,551,312
Dow, Inc.		24,350		1,332,675
DuPont de Nemours, Inc.		19,310		1,239,702
Eastman Chemical Co.		26,130		2,071,064
Linde PLC		6,940		1,477,526
LyondellBasell Industries NV Class A		9,200		869,216
				8,541,495
Mining — 0.1%
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c)		3,141		-
Freeport-McMoRan, Inc.		23,350		306,352
Newmont Goldcorp Corp.		8,470		368,022
				674,374
				9,215,869
Communications — 14.0%
Internet — 9.1%
Alphabet, Inc. Class A (c)		6,610		8,853,368
Alphabet, Inc. Class C (c)		6,070		8,115,711
Amazon.com, Inc. (c)		8,750		16,168,600
Booking Holdings, Inc. (c)		290		595,582
Expedia Group, Inc.		18,500		2,000,590
Facebook, Inc. Class A (c)		31,410		6,446,903
Lyft, Inc. Class A (c)		6,510		280,060
Netflix, Inc. (c)		10,230		3,310,121
				45,770,935
Media — 3.4%
Altice USA, Inc. Class A (c)		28,270		772,902
Charter Communications, Inc. Class A (c)		9,950		4,826,546
Comcast Corp. Class A		162,950		7,327,861
Discovery, Inc. Class A (c) (d)		39,580		1,295,849
Discovery, Inc. Class C (c)		43,220		1,317,778
ViacomCBS, Inc. Class B		5,440		228,317
The Walt Disney Co.		8,710		1,259,727
				17,028,980
Telecommunications — 1.5%
AT&T, Inc.		6,850		267,698
Cisco Systems, Inc.		21,510		1,031,620
Motorola Solutions, Inc.		1,800		290,052
T-Mobile US, Inc. (c)		7,400		580,308
Verizon Communications, Inc.		85,650		5,258,910
				7,428,588
				70,228,503
Consumer, Cyclical — 8.2%
Airlines — 0.4%
Delta Air Lines, Inc.		17,460		1,021,061
Southwest Airlines Co.		12,670		683,927
United Airlines Holdings, Inc. (c)		4,310		379,668
				2,084,656
Apparel — 0.9%
NIKE, Inc. Class B		37,270		3,775,824
Ralph Lauren Corp.		4,750		556,795
				4,332,619
Auto Manufacturers — 0.7%
Cummins, Inc.		12,970		2,321,111
General Motors Co.		39,840		1,458,144
				3,779,255
Auto Parts & Equipment — 0.2%
Magna International, Inc.		16,580		909,247
Home Builders — 0.3%
Lennar Corp. Class A		27,310		1,523,625
Home Furnishing — 0.0%
Midea Group Co. Ltd. Class A		700		5,839
Leisure Time — 0.1%
Royal Caribbean Cruises Ltd.		3,790		506,003
Lodging — 0.4%
Hilton Worldwide Holdings, Inc.		16,330		1,811,160
Retail — 5.1%
AutoZone, Inc. (c)		2,690		3,204,624
Best Buy Co., Inc.		30,250		2,655,950
FF Group (a) (c)		294		1,583
The Home Depot, Inc.		22,220		4,852,404
Lowe’s Cos., Inc.		31,280		3,746,093
McDonald’s Corp.		5,510		1,088,831
O’Reilly Automotive, Inc. (c)		2,490		1,091,267
Ross Stores, Inc.		12,980		1,511,132
Target Corp.		7,240		928,240
The TJX Cos., Inc.		36,480		2,227,469
Walmart, Inc.		9,720		1,155,125
Yum! Brands, Inc.		30,080		3,029,958
				25,492,676
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		5,590		590,360
				41,035,440
Consumer, Non-cyclical — 21.8%
Agriculture — 1.3%
Altria Group, Inc.		34,650		1,729,382
Philip Morris International, Inc.		55,880		4,754,829
				6,484,211

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

168

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Beverages — 1.8%
The Coca-Cola Co.		107,790	$	5,966,176
Constellation Brands, Inc. Class A		12,850		2,438,288
PepsiCo, Inc.		4,040		552,147
				8,956,611
Biotechnology — 1.9%
Alexion Pharmaceuticals, Inc. (c)		13,000		1,405,950
Amgen, Inc.		1,930		465,265
Biogen, Inc. (c)		6,800		2,017,764
Corteva, Inc.		38,320		1,132,739
Illumina, Inc. (c)		2,680		889,063
Regeneron Pharmaceuticals, Inc. (c)		3,500		1,314,180
Vertex Pharmaceuticals, Inc. (c)		9,440		2,066,888
				9,291,849
Commercial Services — 2.6%
Automatic Data Processing, Inc.		31,010		5,287,205
Cintas Corp.		1,110		298,679
H&R Block, Inc. (d)		7,210		169,291
MarketAxess Holdings, Inc.		400		151,644
PayPal Holdings, Inc. (c)		52,440		5,672,435
S&P Global, Inc.		6,070		1,657,413
				13,236,667
Cosmetics & Personal Care — 1.0%
The Procter & Gamble Co.		40,780		5,093,422
Foods — 1.1%
China Huishan Dairy Holdings Co. Ltd. (a) (b) (c)		44,000		-
Conagra Brands, Inc.		9,080		310,899
General Mills, Inc.		28,520		1,527,531
Mondelez International, Inc. Class A		66,500		3,662,820
				5,501,250
Health Care – Products — 3.8%
Boston Scientific Corp. (c)		81,940		3,705,327
Intuitive Surgical, Inc. (c)		1,450		857,168
Medtronic PLC		51,590		5,852,885
Thermo Fisher Scientific, Inc.		15,280		4,964,014
Zimmer Biomet Holdings, Inc.		24,790		3,710,567
				19,089,961
Health Care – Services — 2.0%
Anthem, Inc.		10,630		3,210,579
Town Health International Medical Group Ltd. (a)		62,000		5,490
UnitedHealth Group, Inc.		23,820		7,002,604
				10,218,673
Household Products & Wares — 0.0%
Kimberly-Clark Corp.		1,690		232,459
Pharmaceuticals — 6.3%
AbbVie, Inc.		50,350		4,457,989
Allergan PLC		5,270		1,007,466
Becton Dickinson and Co.		1,080		293,728
Bristol-Myers Squibb Co.		68,630		4,405,360
Cigna Corp.		20,340		4,159,326
Eli Lilly & Co.		25,980		3,414,551
Johnson & Johnson		34,510		5,033,974
McKesson Corp.		4,940		683,301
Merck & Co., Inc.		65,930		5,996,333
Pfizer, Inc.		52,460		2,055,383
				31,507,411
				109,612,514
Energy — 4.1%
Oil & Gas — 3.6%
Brightoil Petroleum Holdings Ltd. (a) (c)		52,000		10,010
Chevron Corp.		56,550		6,814,840
Diamondback Energy, Inc.		18,010		1,672,409
EOG Resources, Inc.		40,750		3,413,220
Exxon Mobil Corp.		14,420		1,006,228
Marathon Petroleum Corp.		45,290		2,728,722
Pioneer Natural Resources Co.		16,730		2,532,420
				18,177,849
Pipelines — 0.5%
ONEOK, Inc.		35,330		2,673,421
				20,851,270
Financial — 16.6%
Banks — 5.3%
Bank of America Corp.		157,240		5,537,993
Citigroup, Inc.		87,430		6,984,783
Citizens Financial Group, Inc.		14,370		583,566
Fifth Third Bancorp		19,490		599,123
KeyCorp		126,270		2,555,705
Morgan Stanley		80,570		4,118,738
Regions Financial Corp.		41,810		717,459
State Street Corp.		6,070		480,137
Truist Financial Corp.		19,530		1,099,929
Wells Fargo & Co.		72,110		3,879,518
				26,556,951
Diversified Financial Services — 5.5%
American Express Co.		25,810		3,213,087
Ameriprise Financial, Inc.		5,990		997,814
BlackRock, Inc.		2,060		1,035,562
Capital One Financial Corp.		31,020		3,192,268
The Charles Schwab Corp.		40,890		1,944,728
Intercontinental Exchange, Inc.		38,390		3,552,995
Mastercard, Inc. Class A		31,640		9,447,388
Synchrony Financial		25,310		911,413
Visa, Inc. Class A		18,280		3,434,812
				27,730,067
Insurance — 3.7%
The Allstate Corp.		11,410		1,283,055
American International Group, Inc.		46,850		2,404,811

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

169

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Arthur J Gallagher & Co.		5,110	$	486,625
Berkshire Hathaway, Inc. Class B (c)		35,450		8,029,425
Convoy Global Holdings Ltd. (a) (c)		42,000		900
The Hartford Financial Services Group, Inc.		42,890		2,606,425
Lincoln National Corp.		1,540		90,875
MetLife, Inc.		57,470		2,929,246
The Progressive Corp.		4,290		310,553
Voya Financial, Inc.		3,400		207,332
				18,349,247
Real Estate Investment Trusts (REITS) — 2.1%
AvalonBay Communities, Inc.		7,260		1,522,422
Equinix, Inc.		3,060		1,786,122
Equity Residential		19,550		1,581,986
Federal Realty Investment Trust		6,700		862,491
Mid-America Apartment Communities, Inc.		5,520		727,867
Prologis, Inc.		25,490		2,272,179
Public Storage		1,930		411,013
Ventas, Inc.		16,020		924,995
VICI Properties, Inc. (d)		16,210		414,165
				10,503,240
				83,139,505
Industrial — 8.2%
Aerospace & Defense — 1.9%
The Boeing Co.		2,890		941,446
General Dynamics Corp.		19,550		3,447,643
Northrop Grumman Corp.		4,880		1,678,574
United Technologies Corp.		23,670		3,544,819
				9,612,482
Building Materials — 0.3%
Masco Corp.		29,380		1,409,946
Electrical Components & Equipment — 0.1%
Emerson Electric Co.		6,310		481,200
Electronics — 0.9%
Honeywell International, Inc.		25,210		4,462,170
Engineering & Construction — 0.0%
Hsin Chong Group Holdings Ltd. (a) (b) (c)		40,000		1,797
Environmental Controls — 0.5%
Waste Management, Inc.		22,130		2,521,935
Hand & Machine Tools — 0.5%
Snap-on, Inc.		4,260		721,644
Stanley Black & Decker, Inc.		10,630		1,761,816
				2,483,460
Machinery – Construction & Mining — 0.2%
Caterpillar, Inc.		4,760		702,957
Machinery – Diversified — 0.2%
Deere & Co.		5,370		930,406
Miscellaneous – Manufacturing — 1.8%
Eaton Corp. PLC		51,720		4,898,919
Ingersoll-Rand PLC		14,170		1,883,476
Parker-Hannifin Corp.		11,900		2,449,258
				9,231,653
Packaging & Containers — 0.4%
Crown Holdings, Inc. (c)		16,370		1,187,480
Packaging Corp. of America		1,290		144,467
WestRock Co.		16,040		688,276
				2,020,223
Transportation — 1.4%
Kansas City Southern		3,610		552,908
Norfolk Southern Corp.		22,000		4,270,860
Union Pacific Corp.		13,050		2,359,309
				7,183,077
				41,041,306
Technology — 18.1%
Computers — 6.1%
Accenture PLC Class A		11,160		2,349,961
Apple, Inc.		83,730		24,587,315
HP, Inc.		59,690		1,226,630
International Business Machines Corp.		6,060		812,282
Leidos Holdings, Inc.		15,380		1,505,548
				30,481,736
Semiconductors — 4.5%
Advanced Micro Devices, Inc. (c)		66,950		3,070,327
Analog Devices, Inc.		36,170		4,298,443
Intel Corp.		13,200		790,020
NVIDIA Corp.		15,860		3,731,858
NXP Semiconductor NV		23,940		3,046,604
Teradyne, Inc.		25,250		1,721,798
Texas Instruments, Inc.		46,160		5,921,866
				22,580,916
Software — 7.5%
Electronic Arts, Inc. (c)		14,510		1,559,970
Fiserv, Inc. (c)		14,760		1,706,699
Intuit, Inc.		13,520		3,541,294
Microsoft Corp.		167,430		26,403,711
salesforce.com, Inc. (c)		27,690		4,503,501
				37,715,175
				90,777,827
Utilities — 3.2%
Electric — 3.2%
CMS Energy Corp.		37,740		2,371,582
Edison International		15,940		1,202,035
Entergy Corp.		27,410		3,283,718
FirstEnergy Corp.		8,210		399,006
NextEra Energy, Inc.		19,940		4,828,670
Sempra Energy		6,960		1,054,301

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

170

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
The Southern Co.		33,070	$	2,106,559
Xcel Energy, Inc.		13,520		858,385
				16,104,256
TOTAL COMMON STOCK (Cost $406,326,417)				482,006,490
TOTAL EQUITIES (Cost $406,326,417)				482,006,490
MUTUAL FUNDS — 0.0%
Mutual Fund — 0.0%
Diversified Financial Services — 0.0%
State Street Navigator Securities Lending Prime Portfolio (e)		116,748		116,748
TOTAL MUTUAL FUNDS (Cost $116,748)				116,748
WARRANTS — 0.0%
Industrial — 0.0%
Engineering & Construction — 0.0%
Abengoa SA, Expires 3/31/25, Strike 0.0002 EUR (a) (c)		11,608		124
Consumer, Non-cyclical — 0.0%
Commercial Services — 0.0%
Ezion Holdings Ltd. Expires 4/16/23, Strike 0.2763 SGD (a) (b) (c)		14,640		-
TOTAL WARRANTS (Cost $0)				124
RIGHTS — 0.0%
Basic Materials — 0.0%
Chemicals — 0.0%
A. Schulman, Inc. CVR (a) (b) (c)		427		223
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
Tobira Therapeutics Inc. CVR (a) (b) (c)		505		3,843
TOTAL RIGHTS (Cost $215)				4,066
TOTAL LONG-TERM INVESTMENTS (Cost $406,443,380)				482,127,428

	Principal Amount
SHORT-TERM INVESTMENTS — 2.5%
Repurchase Agreement — 2.5%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (f)	$	12,263,527		12,263,527
TOTAL SHORT-TERM INVESTMENTS (Cost $12,263,527)				12,263,527
TOTAL INVESTMENTS — 98.5% (Cost $418,706,907) (g)				494,390,955
Other Assets/(Liabilities) — 1.5%				7,664,040
NET ASSETS — 100.0%			$	502,054,995

Abbreviation Legend

CVR Contingent Value Rights

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $23,970 or 0.00% of net assets.

(b) Investment was valued using significant unobservable inputs.

(c) Non-income producing security.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $115,558 or 0.02% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $1,481 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

(f) Maturity value of $12,264,072. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $12,509,805.

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

Futures contracts

	Expiration Date	Number of Contracts	Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
S&P 500 E Mini Index	3/20/20	14	$	2,254,966	$	6,804

Currency Legend

EUR Euro

SGD Singapore Dollar

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

171

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 95.7%
BANK LOANS — 2.8%
Advertising — 0.0%
Clear Channel Outdoor Holdings, Inc., Term Loan B, 1 mo. LIBOR + 3.500% 5.299% VRN 8/21/26	$	99,750	$	100,213
Auto Parts & Equipment — 0.1%
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.500% 5.305% VRN 4/30/26		438,900		439,725
PQ Corp., 2018 Term Loan B, 3 mo. LIBOR + 2.500% 4.427% VRN 2/08/25		180,769		181,641
				621,366
Biotechnology — 0.0%
Aldevron LLC, 2019 Term Loan B, 3 mo. LIBOR + 4.250% 6.195% VRN 10/12/26		310,000		313,100
Building Materials — 0.1%
Summit Materials Cos. I LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.000% 3.799% VRN 11/21/24		387,525		389,141
Commercial Services — 0.1%
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.750% 4.550% VRN 4/29/24		606,230		606,987
Hertz Corp., 2016 Term Loan B, 0.000% 6/30/23 (a)		198,945		199,981
Prime Security Services Borrower LLC, 2019 Term Loan B1, 1 mo. LIBOR + 3.250% 4.944% VRN 9/23/26		116,572		116,805
Weight Watchers International, Inc., 2017 Term Loan B, 3 mo. LIBOR + 4.750% 6.720% VRN 11/29/24		133,009		133,175
				1,056,948
Computers — 0.2%
Dell International LLC Term Loan A6, 1 mo. LIBOR + 1.750% 3.540% VRN 3/13/24		243,750		244,664
2019 Term Loan B, 1 mo. LIBOR + 2.000% 3.800% VRN 9/19/25		45,251		45,528
Western Digital Corp. 2018 Term Loan A, 3 mo. LIBOR + 1.500% 3.202% VRN 2/27/23		428,718		428,898
2018 Term Loan B4, 3 mo. LIBOR + 1.750% 3.452% VRN 4/29/23		465,665		467,509
				1,186,599
Distribution & Wholesale — 0.0%
KAR Auction Services, Inc., 2019 Term Loan B6, 1 mo. LIBOR + 2.250% 4.063% VRN 9/19/26		39,900		40,149
Diversified Financial Services — 0.1%
AI Alpine AT Bidco GmbH, 2018 USD Term Loan B, 3 mo. LIBOR + 2.750% 4.605% VRN 10/31/25		107,778		105,892
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, 1 mo. LIBOR + 3.250% 5.049% VRN 10/01/25		346,749		349,696
				455,588
Electric — 0.2%
Eastern Power LLC, Term Loan B, 1 mo. LIBOR + 3.750% 5.549% VRN 10/02/23		250,000		250,195
PG&E Corp. DIP Delayed Draw Term Loan, 3 mo. LIBOR + 2.250% 2.250% VRN 12/31/20 (b)		51,250		51,250
DIP Term Loan, 1 mo. LIBOR + 2.250% 3.970% VRN 12/31/20		153,750		153,750
Vistra Operations Co. LLC 1st Lien Term Loan B3, 1 mo. LIBOR + 1.750% 3.487% VRN 12/31/25		141,973		142,747
1st Lien Term Loan B3, 1 mo. LIBOR + 2.000% 3.549% VRN 12/31/25		595,193		598,437
				1,196,379
Electronics — 0.0%
Kronos, Inc., New 2nd Lien Term Loan, 0.000% 11/01/24 (a)		75,000		76,375
Entertainment — 0.1%
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.000% 4.800% VRN 4/22/26		312,638		314,814
Scientific Games International, Inc. 2018 Term Loan B5, 1 mo. LIBOR + 2.750% 4.549% VRN 8/14/24		77,675		77,804
2018 Term Loan B5, 1 mo. LIBOR + 2.750% 4.594% VRN 8/14/24		320,552		321,088
				713,706

172

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Environmental Controls — 0.1%
Filtration Group Corp., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.000% 4.799% VRN 3/29/25	$	249,341	$	250,104
GFL Environmental, Inc., 2018 USD Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 5/30/25		502,714		503,071
				753,175
Foods — 0.0%
Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.750% 5.734% VRN 7/07/24		130,000		130,812
B&G Foods, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 2.500% 4.299% VRN 10/10/26		84,788		85,388
				216,200
Health Care – Services — 0.2%
Avantor, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.000% 4.799% VRN 11/21/24		252,959		255,066
Catalent Pharma Solutions, Inc., Term Loan B2, 1 mo. LIBOR + 2.250% 4.049% VRN 5/18/26		242,789		243,472
Jaguar Holding Co. II, 2018 Term Loan, 1 mo. LIBOR + 2.500% 4.299% VRN 8/18/22		266,850		268,094
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B, 1 mo. LIBOR + 4.500% 6.299% VRN 11/17/25		522,302		526,088
2018 Term Loan B, 3 mo. LIBOR + 3.500% 8.250% VRN 11/17/25		1,319		1,329
Wink Holdco, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 12/02/24		159,593		159,693
				1,453,742
Insurance — 0.2%
Alliant Holdings Intermediate LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 5/09/25		298,485		298,318
Asurion LLC 2017 Term Loan B4, 1 mo. LIBOR + 3.000% 4.799% VRN 8/04/22		257,440		258,782
2018 Term Loan B7, 1 mo. LIBOR + 3.000% 4.799% VRN 11/03/24		445,609		447,917
2017 2nd Lien Term Loan, 1 mo. LIBOR + 6.500% 8.299% VRN 8/04/25		155,000		156,782
Hub International Ltd. 2018 Term Loan B, 3 mo. LIBOR + 2.750% 4.690% VRN 4/25/25		212,839		212,558
2019 Incremental Term Loan B, 3 mo. LIBOR + 4.000% 5.903% VRN 4/25/25		340,000		343,121
				1,717,478
Investment Companies — 0.1%
UFC Holdings LLC, 2019 Term Loan, 1 mo. LIBOR + 3.250% 5.050% VRN 4/29/26		738,887		743,194
Lodging — 0.1%
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1 mo. LIBOR + 2.750% 4.549% VRN 12/23/24		198,985		199,192
Marriott Ownership Resorts, Inc., 2019 Term Loan B, 1 mo. LIBOR + 1.750% 3.549% VRN 8/29/25		238,200		239,391
				438,583
Machinery – Diversified — 0.0%
Welbilt, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.500% 4.299% VRN 10/23/25		200,000		200,500
Media — 0.2%
Charter Communications Operating LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.750% 3.550% VRN 2/01/27		651,216		654,882
CSC Holdings LLC 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.250% 3.990% VRN 7/17/25		388,035		388,253
2018 Incremental Term Loan, 1 mo. LIBOR + 2.250% 3.990% VRN 1/15/26		267,227		267,227
				1,310,362
Metal Fabricate & Hardware — 0.0%
Advanced Drainage Systems, Inc., Term Loan B, 3 mo. LIBOR + 2.250% 4.000% VRN 7/31/26		51,071		51,412
Packaging & Containers — 0.2%
Berry Global, Inc., USD Term Loan U, 3 mo. LIBOR + 2.500% 4.215% VRN 7/01/26		248,501		248,916
Charter NEX US, Inc. 2017 Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 5/16/24		308,825		307,281

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

173

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Incremental Term Loan, 1 mo. LIBOR + 3.500% 5.299% VRN 5/16/24	$	463,174	$	465,489
Reynolds Group Holdings, Inc., USD 2017 Term Loan, 1 mo. LIBOR + 2.750% 4.549% VRN 2/05/23		199,486		199,955
				1,221,641
Pharmaceuticals — 0.1%
Bausch Health Cos., Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.000% 4.740% VRN 6/02/25		379,473		381,371
Pipelines — 0.1%
Buckeye Partners LP, 2019 Term Loan B, 1 mo. LIBOR + 2.750% 4.441% VRN 11/01/26		385,000		388,049
Real Estate Investment Trusts (REITS) — 0.0%
VICI Properties 1 LLC, Replacement Term Loan B, 1 mo. LIBOR + 2.000% 3.785% VRN 12/20/24		80,000		80,330
Retail — 0.1%
Albertsons LLC, 2019 Term Loan B8, 1 mo. LIBOR + 2.750% 4.549% VRN 8/17/26		471,134		474,917
KFC Holding Co., 2018 Term Loan B, 3 mo. LIBOR + 1.750% 3.495% VRN 4/03/25		421,780		422,835
				897,752
Semiconductors — 0.1%
Microchip Technology, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.000% 3.800% VRN 5/29/25		450,000		452,250
Software — 0.3%
Applied Systems, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.250% 5.195% VRN 9/19/24		298,938		299,844
Ascend Learning LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 7/12/24		249,362		250,766
Camelot U.S. Acquisition 1 Co., Term Loan B, 1 mo. LIBOR + 3.250% 5.049% VRN 10/31/26		105,000		105,577
Ceridian HCM Holding, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.000% 4.799% VRN 4/30/25		148,993		149,801
Emerald TopCo, Inc., Term Loan, 1 mo. LIBOR + 3.500% 5.299% VRN 7/24/26		269,325		270,588
Kronos, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.000% 4.909% VRN 11/01/23		581,924		584,508
Solera LLC, USD Term Loan B, 1 mo. LIBOR + 2.750% 4.549% VRN 3/03/23		149,611		149,752
				1,810,836
Telecommunications — 0.1%
Intelsat Jackson Holdings S.A., 2017 Term Loan B4, 6 mo. LIBOR + 4.500% 6.432% VRN 1/02/24		245,000		246,705
Iridium Satellite LLC, Term Loan, 1 mo. LIBOR + 3.750% 5.549% VRN 11/04/26		490,000		495,822
Level 3 Financing, Inc., 2019 Term Loan B, 1 mo. LIBOR + 1.750% 3.549% VRN 3/01/27		286,729		287,626
				1,030,153
Transportation — 0.0%
1199169 B.C. Unlimited Liability Co., 2019 Term Loan B2, 3 mo. LIBOR + 4.000% 5.945% VRN 4/06/26		52,316		52,635
Dynasty Acquisition Co., Inc., 2019 Term Loan B1, 3 mo. LIBOR + 4.000% 5.945% VRN 4/06/26		97,309		97,901
Uber Technologies, Inc., 2018 Incremental Term Loan, 1 mo. LIBOR + 3.500% 5.299% VRN 7/13/23		128,303		127,913
				278,449
TOTAL BANK LOANS (Cost $19,479,710)				19,575,041
CORPORATE DEBT — 32.0%
Advertising — 0.1%
Omnicom Group, Inc./Omnicom Capital, Inc. 3.650% 11/01/24		350,000		369,944
Agriculture — 0.9%
Altria Group, Inc. 4.800% 2/14/29		255,000		284,239
5.800% 2/14/39		830,000		976,508
5.950% 2/14/49		430,000		521,362
BAT Capital Corp. 3.222% 8/15/24		220,000		225,033
3.557% 8/15/27		1,180,000		1,204,811
BAT International Finance PLC 3.250% 6/07/22 (c)		450,000		459,986
3.950% 6/15/25 (c)		786,000		831,506
4.000% 9/04/26 GBP (c) (d)		150,000		218,410

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

174

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Bunge Finance Europe BV 1.850% 6/16/23 EUR (d)	$	220,000	$	255,282
Bunge Ltd. Finance Corp. 3.750% 9/25/27		570,000		582,709
Reynolds American, Inc. 4.450% 6/12/25		395,000		425,370
				5,985,216
Airlines — 0.6%
American Airlines Pass Through Trust Series 2017-2, Class B, 3.700% 4/15/27		750,782		758,954
Series 2016-3, Class B, 3.750% 4/15/27		510,404		516,156
Series 2019-1, Class B, 3.850% 8/15/29		375,000		381,077
Series 2017-2, Class A, 3.350% 4/15/31		964,757		984,539
Emirates Airline 4.500% 2/06/25 (c)		759,510		778,027
United Airlines Pass Through Trust 2.900% 11/01/29		160,000		160,670
3.500% 11/01/29		165,000		166,657
2.700% 11/01/33		100,000		100,389
				3,846,469
Auto Manufacturers — 1.0%
FCE Bank PLC 0.869% 9/13/21 EUR (c) (d)		200,000		225,221
1.660% 2/11/21 EUR (c) (d)		225,000		256,278
Ford Motor Credit Co. LLC 3.350% 11/01/22		490,000		494,986
5.085% 1/07/21		420,000		430,045
General Motors Co. 5.950% 4/01/49		925,000		1,025,466
6.250% 10/02/43		220,000		247,178
General Motors Financial Co., Inc. 2.200% 4/01/24 EUR (c) (d)		370,000		436,951
4.000% 10/06/26		620,000		650,126
4.350% 4/09/25		750,000		800,266
5.100% 1/17/24		435,000		472,250
Volkswagen Bank GmbH 1.875% 1/31/24 EUR (c) (d)		100,000		117,938
2.500% 7/31/26 EUR (c) (d)		700,000		856,923
Volkswagen Group of America Finance LLC 2.850% 9/26/24 (c)		285,000		289,523
3.200% 9/26/26 (c)		320,000		328,197
Volkswagen Leasing GmbH 1.625% 8/15/25 EUR (c) (d)		500,000		585,634
				7,216,982
Auto Parts & Equipment — 0.0%
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 6.250% 5/15/26 (c)		120,000		129,300
Banks — 5.0%
ABN AMRO Bank NV 6.375% 4/27/21 EUR (c) (d)		200,000		242,930
AIB Group PLC 2.250% 7/03/25 EUR (c) (d)		300,000		363,352
3 mo. USD LIBOR + 1.874% 4.263% VRN 4/10/25 (c)		640,000		677,950
Arion Banki HF 1.000% 3/20/23 EUR (c) (d)		150,000		170,037
Banco Comercial Portugues SA 5 year EUR Swap + 4.267% 4.500% VRN 12/07/27 EUR (c) (d)		100,000		117,688
Banco de Bogota SA 4.375% 8/03/27 (c)		350,000		370,566
4.375% 8/03/27 (c)		500,000		529,380
Banco de Sabadell SA 0.875% 3/05/23 EUR (c) (d)		200,000		226,995
Banco Santander SA 1.125% 1/17/25 EUR (c) (d)		300,000		347,798
Bank of America Corp. 2.375% 6/19/24 EUR (c) (d)		150,000		184,303
2.375% 6/19/24 EUR (c) (d)		150,000		184,303
3 mo. USD LIBOR + .780% 3.550% VRN 3/05/24		1,460,000		1,515,268
3 mo. USD LIBOR + 1.060% 3.559% VRN 4/23/27		495,000		523,241
3.950% 4/21/25		1,365,000		1,457,761
3 mo. USD LIBOR + 1.310% 4.271% VRN 7/23/29		665,000		739,157
Barclays Bank PLC 5.140% 10/14/20		200,000		204,184
Barclays PLC 5 year EUR Swap + 2.450% 2.625% VRN 11/11/25 EUR (c) (d)		200,000		228,392
3 mo. USD LIBOR + 1.610% 3.932% VRN 5/07/25		475,000		499,344
3 mo. USD LIBOR + 1.400% 4.610% VRN 2/15/23		1,340,000		1,399,633
BBVA Bancomer SA 4.375% 4/10/24 (c)		900,000		957,384
CaixaBank SA 1.125% 5/17/24 EUR (c) (d)		100,000		115,959
5 year EUR Swap + 2.350% 2.750% VRN 7/14/28 EUR (c) (d)		500,000		592,795
Cooperatieve Rabobank UA 4.625% 5/23/29 GBP (c) (d)		150,000		236,250
Credit Agricole SA 1.000% 9/16/24 EUR (c) (d)		200,000		232,795
Credit Suisse Group AG BPSW + 1.230% 2.125% VRN 9/12/25 GBP (c) (d)		250,000		336,316
SOFRRATE + 1.560% 2.593% VRN 9/11/25 (c)		760,000		762,175

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

175

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Danske Bank A/S 2.000% 9/08/21 (c)	$	200,000	$	199,347
2.700% 3/02/22 (c)		440,000		443,333
5 year EUR Swap + 1.520% 2.750% VRN 5/19/26 EUR (c) (d)		200,000		231,255
3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (c)		200,000		201,773
3 mo. USD LIBOR + 1.591% 3.244% VRN 12/20/25 (c)		255,000		258,085
3.875% 9/12/23 (c)		420,000		436,161
5.375% 1/12/24 (c)		200,000		218,927
Deutsche Bank AG 5.000% 6/24/20 EUR (c) (d)		150,000		171,884
Dexia Credit Local SA 0.625% 1/21/22 EUR (c) (d)		300,000		342,696
DNB Boligkreditt AS 1.875% 11/21/22 EUR (c) (d)		100,000		118,995
The Goldman Sachs Group, Inc. 1.375% 5/15/24 EUR (c) (d)		40,000		46,466
1.625% 7/27/26 EUR (c) (d)		140,000		167,327
3.500% 11/16/26		1,145,000		1,205,051
3 mo. USD LIBOR + 1.510% 3.691% VRN 6/05/28		1,210,000		1,287,422
3.750% 2/25/26		900,000		952,664
3.850% 1/26/27		60,000		63,873
3 mo. USD LIBOR + 1.301% 4.223% VRN 5/01/29		675,000		744,241
HDFC Bank Ltd. 8.100% 3/22/25 INR (c) (d)		30,000,000		418,872
Heta Asset Resolution AG 2.375% 12/13/22 EUR (c) (d)		800,000		960,790
HSBC Holdings PLC 3 mo. USD LIBOR + .987% 3.950% VRN 5/18/24		475,000		499,776
3 mo. USD LIBOR + .987% 3.950% VRN 5/18/24		395,000		415,603
ING Bank NV 5 year EUR Swap + 2.250% 3.625% VRN 2/25/26 EUR (c) (d)		100,000		116,637
Intesa Sanpaolo SpA 1.000% 7/04/24 EUR (c) (d)		300,000		341,500
JP Morgan Chase & Co. SOFRRATE + 1.510% 2.739% VRN 10/15/30		1,500,000		1,500,219
3 mo. USD LIBOR + .890% 3.797% VRN 7/23/24		195,000		205,540
3.900% 7/15/25		1,880,000		2,030,544
Kreditanstalt fuer Wiederaufbau 4.700% 6/02/37 CAD (d)		65,000		63,671
4.700% 6/02/37 CAD (d)		75,000		73,467
6.000% 8/20/20 AUD (d)		280,000		202,561
Landsbankinn HF 1.000% 5/30/23 EUR (c) (d)		100,000		113,574
1.625% 3/15/21 EUR (c) (d)		740,000		844,249
Morgan Stanley 3 mo. EURIBOR + .753% 0.637% VRN 7/26/24 EUR (d)		100,000		113,846
1.375% 10/27/26 EUR (d)		200,000		236,392
3.125% 7/27/26		1,380,000		1,424,906
3.700% 10/23/24		1,120,000		1,189,780
Nordea Hypotek AB 1.000% 4/08/22 SEK (c) (d)		5,400,000		586,149
1.000% 9/18/24 SEK (c) (d)		5,500,000		599,442
1.250% 5/19/21 SEK (c) (d)		5,800,000		628,200
Royal Bank of Scotland Group PLC 3.875% 9/12/23		810,000		848,907
5.125% 5/28/24		340,000		368,391
6.125% 12/15/22		100,000		109,461
Societe Generale SA 5 year EUR Swap + 1.830% 2.500% VRN 9/16/26 EUR (c) (d)		400,000		465,187
UBS AG 1.375% 4/16/21 EUR (c) (d)		170,000		194,764
Unicredit Bank Czech Republic & Slovakia AS 0.625% 4/30/20 EUR (c) (d)		100,000		112,323
UniCredit SpA 2.000% 3/04/23 EUR (c) (d)		200,000		235,736
				35,205,943
Beverages — 0.4%
Anheuser-Busch InBev Worldwide, Inc. 5.550% 1/23/49		2,175,000		2,826,013
Building Materials — 0.2%
Boral Finance Pty Ltd. 3.000% 11/01/22 (c)		170,000		170,707
3.750% 5/01/28 (c)		1,060,000		1,064,433
CRH Finance UK PLC 4.125% 12/02/29 GBP (c) (d)		150,000		233,241
Victoria PLC 5.250% 7/15/24 EUR (c) (d)		100,000		118,934
				1,587,315
Chemicals — 0.9%
CNAC HK Finbridge Co. Ltd. 1.750% 6/14/22 EUR (c) (d)		200,000		230,577
4.625% 3/14/23 (c)		935,000		982,912
Equate Petrochemical BV 4.250% 11/03/26 (c)		600,000		641,245
4.250% 11/03/26 (c)		300,000		320,623
Israel Chemicals Ltd. 6.375% 5/31/38 (c)		950,000		1,130,662
SASOL Financing USA LLC 5.875% 3/27/24		1,100,000		1,191,146
6.500% 9/27/28		800,000		889,921
Syngenta Finance NV 3.933% 4/23/21 (c)		615,000		625,486

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

176

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Westlake Chemical Corp. 1.625% 7/17/29 EUR (d)	$	215,000	$	240,408
				6,252,980
Commercial Services — 0.1%
AA Bond Co. Ltd. 5.500% 7/31/43 GBP (c) (d)		100,000		112,922
Refinitiv US Holdings, Inc. 4.500% 5/15/26 EUR (c) (d)		100,000		122,069
Transurban Finance Co. 1.875% 9/16/24 EUR (c) (d)		100,000		119,511
3.375% 3/22/27 (c)		560,000		565,791
				920,293
Computers — 0.0%
Dell International LLC/EMC Corp. 4.900% 10/01/26 (c)		225,000		247,770
Diversified Financial Services — 2.0%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.500% 1/15/25		150,000		154,654
3.950% 2/01/22		745,000		769,767
4.450% 4/03/26		270,000		289,864
4.875% 1/16/24		540,000		585,426
Avolon Holdings Funding Ltd. 3.950% 7/01/24 (c)		125,000		130,263
4.375% 5/01/26 (c)		270,000		285,201
5.125% 10/01/23 (c)		675,000		727,569
5.500% 1/15/23 (c)		425,000		458,184
Cabot Financial Luxembourg SA 7.500% 10/01/23 GBP (c) (d)		100,000		137,443
Capital One Bank USA 3.375% 2/15/23		2,060,000		2,128,388
Capital One Financial Corp. 0.800% 6/12/24 EUR (d)		300,000		341,763
1.650% 6/12/29 EUR (d)		300,000		348,912
3.300% 10/30/24		120,000		124,979
3.800% 1/31/28		670,000		720,534
Discover Financial Services 3.750% 3/04/25		1,150,000		1,218,212
4.100% 2/09/27		510,000		549,578
FCA Bank SpA Ireland 1.000% 11/15/21 EUR (c) (d)		100,000		114,143
GE Capital European Funding Unlimited Co. 4.625% 2/22/27 EUR (d)		150,000		209,449
GE Capital International Funding Co. Unlimited Co. 3.373% 11/15/25		890,000		927,370
4.418% 11/15/35		1,980,000		2,118,073
Housing Development Finance Corp. Ltd. 6.875% 4/30/20 INR (c) (d)		80,000,000		1,122,348
LeasePlan Corp. NV EUAMDB + 7.556% 7.375% VRN EUR (c) (d) (e)		200,000		250,543
Louvre Bidco SAS 4.250% 9/30/24 EUR (c) (d)		100,000		114,974
Synchrony Financial 3.700% 8/04/26		75,000		77,508
4.250% 8/15/24		100,000		106,735
4.375% 3/19/24		162,000		172,855
				14,184,735
Electric — 2.0%
Ausgrid Finance Pty Ltd. 3.850% 5/01/23 (c)		585,000		609,302
4.350% 8/01/28 (c)		260,000		283,326
E.ON SE 1.625% 5/22/29 EUR (c) (d)		150,000		182,166
Enel Americas SA 4.000% 10/25/26		1,750,000		1,811,268
Enel Chile SA 4.875% 6/12/28		185,000		204,425
Enel Finance International NV 3.625% 5/25/27 (c)		1,970,000		2,041,217
5.625% 8/14/24 GBP (c) (d)		150,000		235,138
Eskom Holdings SOC Ltd. 5.750% 1/26/21 (c)		420,000		420,525
7.125% 2/11/25 (c)		400,000		408,754
7.125% 2/11/25 (c)		400,000		408,754
FirstEnergy Transmission LLC 4.350% 1/15/25 (c)		1,695,000		1,821,523
IE2 Holdco SAU 2.875% 6/01/26 EUR (c) (d)		200,000		250,141
NRG Energy, Inc. 3.750% 6/15/24 (c)		70,000		72,384
4.450% 6/15/29 (c)		230,000		240,948
Perusahaan Listrik Negara PT 4.125% 5/15/27 (c)		300,000		316,125
Sempra Energy 3.250% 6/15/27		1,630,000		1,678,687
3.400% 2/01/28		446,000		462,360
The Southern Co. 3.250% 7/01/26		425,000		442,804
State Grid Overseas Investment Ltd. 1.375% 5/02/25 EUR (c) (d)		100,000		116,887
4.125% 5/07/24 (c)		200,000		213,775
Vistra Operations Co. LLC 3.550% 7/15/24 (c)		800,000		810,414
3.700% 1/30/27 (c)		630,000		626,010
4.300% 7/15/29 (c)		640,000		652,920
				14,309,853
Electronics — 0.3%
Arrow Electronics, Inc. 4.000% 4/01/25		375,000		395,373

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

177

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Avnet, Inc. 3.750% 12/01/21	$	475,000	$	487,495
Keysight Technologies, Inc. 4.600% 4/06/27		320,000		354,927
PerkinElmer, Inc. 1.875% 7/19/26 EUR (d)		100,000		115,562
3.300% 9/15/29		610,000		623,123
				1,976,480
Engineering & Construction — 0.1%
Heathrow Funding Ltd. 4.875% 7/15/23 (c)		820,000		847,998
Entertainment — 0.1%
Cirsa Finance International Sarl 6.250% 12/20/23 EUR (c) (d)		100,000		118,484
International Game Technology PLC 2.375% 4/15/28 EUR (c) (d)		100,000		112,871
3.500% 6/15/26 EUR (c) (d)		100,000		119,461
				350,816
Foods — 0.3%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC 5.750% 3/15/25		235,000		243,225
7.500% 3/15/26 (c)		180,000		202,050
B&G Foods, Inc. 5.250% 9/15/27		225,000		227,250
BRF GmbH 4.350% 9/29/26 (c)		200,000		206,252
BRF SA 4.875% 1/24/30 (c)		200,000		206,252
Iceland Bondco PLC 4.625% 3/15/25 GBP (c) (d)		150,000		173,127
Minerva Luxembourg SA 6.500% 9/20/26 (c)		300,000		319,128
Sigma Alimentos SA de CV 4.125% 5/02/26 (c)		200,000		209,252
				1,786,536
Forest Products & Paper — 0.2%
Celulosa Arauco y Constitucion SA 4.200% 1/29/30 (c)		200,000		200,600
Suzano Austria GmbH 6.000% 1/15/29		1,100,000		1,240,250
				1,440,850
Health Care – Products — 0.2%
Avantor, Inc. 4.750% 10/01/24 EUR (c) (d)		100,000		119,321
Becton Dickinson Euro Finance Sarl 1.208% 6/04/26 EUR (d)		255,000		292,884
DH Europe Finance II Sarl 0.450% 3/18/28 EUR (d)		100,000		110,796
0.750% 9/18/31 EUR (d)		100,000		109,420
Hill-Rom Holdings, Inc. 4.375% 9/15/27 (c)		90,000		92,587
Thermo Fisher Scientific, Inc. 0.125% 3/01/25 EUR (d)		380,000		421,868
0.500% 3/01/28 EUR (d)		130,000		144,006
0.875% 10/01/31 EUR (d)		240,000		264,450
				1,555,332
Health Care – Services — 0.5%
Centene Corp. 4.250% 12/15/27 (c)		710,000		730,412
4.625% 12/15/29 (c)		705,000		741,202
Humana, Inc. 3.850% 10/01/24		365,000		388,044
UnitedHealth Group, Inc. 4.250% 6/15/48		875,000		1,017,160
4.450% 12/15/48		415,000		496,377
				3,373,195
Holding Company – Diversified — 0.1%
Hutchison Whampoa International Ltd. 3.625% 10/31/24 (c)		700,000		732,243
Housewares — 0.0%
Turkiye Sise ve Cam Fabrikalari AS 6.950% 3/14/26 (c)		250,000		263,850
Insurance — 0.6%
AIA Group Ltd. 3.900% 4/06/28 (c)		640,000		684,045
American International Group, Inc. 3.900% 4/01/26		75,000		80,561
5.000% 4/26/23 GBP (c) (d)		150,000		221,484
AXA Equitable Holdings, Inc. 4.350% 4/20/28		610,000		662,489
AXA SA 3 mo. EURIBOR + 3.750% 3.375% VRN 7/06/47 EUR (c) (d)		140,000		179,791
Berkshire Hathaway Finance Corp. 2.375% 6/19/39 GBP (d)		300,000		415,792
CNO Financial Group, Inc. 5.250% 5/30/25		637,000		705,478
Fidelity National Financial, Inc. 4.500% 8/15/28		290,000		314,015
RSA Insurance Group PLC 5 Year UK Gilt + 3.852% 5.125% VRN 10/10/45 GBP (c) (d)		150,000		224,882
Trinity Acquisition PLC 4.400% 3/15/26		545,000		592,622
Voya Financial, Inc. 3.125% 7/15/24		300,000		309,482
XLIT Ltd. 3 mo. EURIBOR + 2.900% 3.250% VRN 6/29/47 EUR (d)		100,000		126,752
				4,517,393
Internet — 1.1%
Alibaba Group Holding Ltd. 3.600% 11/28/24		1,045,000		1,100,767

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

178

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Baidu, Inc. 2.875% 7/06/22	$	1,560,000	$	1,571,355
3.625% 7/06/27		200,000		206,725
4.375% 3/29/28		635,000		687,758
4.875% 11/14/28		200,000		225,856
Booking Holdings, Inc. 2.375% 9/23/24 EUR (d)		140,000		171,978
Expedia, Inc. Co. 3.800% 2/15/28		425,000		434,723
5.000% 2/15/26		339,000		373,997
Netflix, Inc. 4.625% 5/15/29 EUR (d)		470,000		587,563
Tencent Holdings Ltd. 3.800% 2/11/25 (c)		1,695,000		1,786,411
3.975% 4/11/29 (c)		575,000		620,975
				7,768,108
Investment Companies — 0.1%
JAB Holdings BV 2.000% 5/18/28 EUR (c) (d)		300,000		359,587
Iron & Steel — 0.2%
ABJA Investment Co. Pte Ltd. 5.450% 1/24/28 (c)		200,000		195,070
5.450% 1/24/28 (c)		700,000		682,745
ArcelorMittal SA 2.250% 1/17/24 EUR (c) (d)		400,000		468,673
3.600% 7/16/24		30,000		30,764
4.550% 3/11/26		58,000		61,592
				1,438,844
Leisure Time — 0.0%
Pinnacle Bidco PLC 6.375% 2/15/25 GBP (c) (d)		200,000		276,841
Lodging — 0.2%
Gohl Capital Ltd. 4.250% 1/24/27 (c)		800,000		838,912
Las Vegas Sands Corp. 3.200% 8/08/24		145,000		149,293
3.500% 8/18/26		210,000		216,046
				1,204,251
Machinery – Diversified — 0.1%
Roper Technologies, Inc. 2.350% 9/15/24		130,000		130,745
2.950% 9/15/29		210,000		212,139
				342,884
Media — 1.1%
Altice Financing SA 5.250% 2/15/23 EUR (c) (d)		100,000		114,519
Charter Communications Operating LLC/Charter Communications Operating Capital 4.908% 7/23/25		645,000		710,260
5.750% 4/01/48		88,000		102,777
6.484% 10/23/45		105,000		130,171
Comcast Corp. 3.150% 3/01/26		475,000		497,990
3.200% 7/15/36		50,000		51,191
3.250% 11/01/39		1,375,000		1,396,820
3.300% 2/01/27		265,000		280,749
3.950% 10/15/25		150,000		163,712
4.150% 10/15/28		625,000		703,965
4.700% 10/15/48		760,000		938,422
CSC Holdings LLC 7.500% 4/01/28 (c)		200,000		226,000
Fox Corp. 4.709% 1/25/29 (c)		285,000		325,009
Globo Comunicacao e Participacoes SA 5.125% 3/31/27 (c)		1,100,000		1,141,261
Summer BidCo BV 9.000% 11/15/25 EUR (c) (d)		150,000		179,383
TDF Infrastructure SAS 2.875% 10/19/22 EUR (c) (d)		100,000		118,787
Virgin Media Secured Finance PLC 4.250% 1/15/30 GBP (c) (d)		150,000		202,156
Ziggo BV 2.875% 1/15/30 EUR (c) (d)		100,000		116,573
				7,399,745
Mining — 0.1%
Anglo American Capital PLC 4.000% 9/11/27 (c)		225,000		235,788
Constellium SE 4.250% 2/15/26 EUR (c) (d)		200,000		233,314
				469,102
Miscellaneous – Manufacturing — 0.2%
General Electric Co. 3 mo. USD LIBOR + 3.330% 5.000% VRN (e)		190,000		186,097
3.375% 3/11/24		320,000		331,427
3.450% 5/15/24		100,000		103,803
0.875% 5/17/25 EUR (d)		100,000		112,691
5.550% 1/05/26		545,000		625,357
1.875% 5/28/27 EUR (d)		150,000		178,897
2.125% 5/17/37 EUR (d)		140,000		161,729
				1,700,001
Multi-National — 0.5%
European Investment Bank 1.250% 5/12/25 SEK (c) (d)		5,150,000		572,516
1.250% 5/12/25 SEK (c) (d)		6,400,000		711,476
Inter-American Development Bank 4.400% 1/26/26 CAD (d)		145,000		125,801
4.400% 1/26/26 CAD (d)		150,000		130,139
International Finance Corp. 6.300% 11/25/24 INR (d)		160,000,000		2,246,065
				3,785,997

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

179

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Oil & Gas — 2.2%
BP Capital Markets PLC 1.109% 2/16/23 EUR (c) (d)	$	150,000	$	173,765
2.213% 9/25/26 EUR (c) (d)		160,000		201,540
Cenovus Energy, Inc. 3.800% 9/15/23		220,000		227,633
4.250% 4/15/27 (f)		160,000		169,515
5.400% 6/15/47		215,000		249,887
Diamondback Energy, Inc. 2.875% 12/01/24		790,000		799,225
3.250% 12/01/26		545,000		551,644
3.500% 12/01/29		785,000		798,816
Ecopetrol SA 4.125% 1/16/25		745,000		782,257
Eni SpA 4.750% 9/12/28 (c)		875,000		990,672
KazMunayGas National Co. JSC 4.750% 4/19/27 (c)		800,000		878,400
Kosmos Energy Ltd. 7.125% 4/04/26 (c)		400,000		409,000
Matador Resources Co. 5.875% 9/15/26		135,000		135,337
Occidental Petroleum Corp. 2.900% 8/15/24		1,030,000		1,046,830
3.200% 8/15/26		75,000		75,901
4.200% 3/15/48		480,000		476,841
4.400% 8/15/49		630,000		650,515
Pertamina Persero PT 6.450% 5/30/44 (c)		200,000		256,767
Petrobras Global Finance BV 7.375% 1/17/27		1,415,000		1,726,300
Petroleos Mexicanos 5.125% 3/15/23 EUR (c) (d)		850,000		1,064,054
QEP Resources, Inc. 5.250% 5/01/23		365,000		361,350
Saudi Arabian Oil Co. 3.500% 4/16/29 (c)		800,000		829,425
4.375% 4/16/49 (c)		450,000		492,117
Seven Generations Energy Ltd. 5.375% 9/30/25 (c)		210,000		211,050
Woodside Finance Ltd. 3.700% 9/15/26 (c)		2,000,000		2,082,039
				15,640,880
Packaging & Containers — 0.0%
Trivium Packaging Finance BV 3.750% 8/15/26 EUR (c) (d)		200,000		237,453
Pharmaceuticals — 2.7%
AbbVie, Inc. 3.600% 5/14/25		855,000		903,286
4.050% 11/21/39 (c)		485,000		509,763
4.250% 11/21/49 (c)		520,000		552,146
4.700% 5/14/45		530,000		592,259
4.875% 11/14/48		1,210,000		1,397,957
Allergan Funding SCS 2.625% 11/15/28 EUR (d)		160,000		206,328
Bausch Health Americas, Inc. 8.500% 1/31/27 (c)		290,000		330,252
Bausch Health Cos., Inc. 5.750% 8/15/27 (c)		120,000		130,200
Bayer US Finance II LLC 3.875% 12/15/23 (c)		900,000		944,802
Becton Dickinson and Co. 3.020% 5/24/25 GBP (d)		150,000		209,584
3.363% 6/06/24		805,000		838,441
3.700% 6/06/27		1,259,000		1,339,828
4.669% 6/06/47		460,000		548,411
Bristol-Myers Squibb Co. 3.875% 8/15/25 (c)		927,000		1,002,109
4.625% 5/15/44 (c)		40,000		48,493
5.250% 8/15/43 (c)		220,000		285,485
Cardinal Health, Inc. 3.750% 9/15/25		420,000		446,390
4.500% 11/15/44		100,000		98,767
4.900% 9/15/45		105,000		109,569
Cigna Corp. 3.400% 3/01/27 (c)		385,000		400,168
4.125% 11/15/25		258,000		279,993
4.375% 10/15/28		590,000		653,654
4.500% 2/25/26 (c)		1,270,000		1,393,673
4.900% 12/15/48		945,000		1,128,799
CVS Health Corp. 3.700% 3/09/23		555,000		578,496
4.100% 3/25/25		595,000		638,830
4.300% 3/25/28		1,120,000		1,223,534
5.050% 3/25/48		1,145,000		1,356,855
5.125% 7/20/45		25,000		29,658
Perrigo Finance Unlimited Co. 3.900% 12/15/24		275,000		282,663
4.375% 3/15/26		415,000		428,450
Takeda Pharmaceutical Co. Ltd. 2.250% 11/21/26 EUR (c) (d)		270,000		337,951
Teva Pharmaceutical Finance Netherlands II BV 6.000% 1/31/25 EUR (c) (d)		100,000		118,480
				19,345,274
Pipelines — 2.2%
APT Pipelines Ltd. 4.250% 7/15/27 (c)		885,000		952,944
Boardwalk Pipelines LP 4.950% 12/15/24		1,415,000		1,530,940
Cameron LNG LLC 2.902% 7/15/31 (c)		180,000		180,422
3.302% 1/15/35 (c)		200,000		201,998
3.701% 1/15/39 (c)		150,000		153,276
Cheniere Corpus Christi Holdings LLC 3.700% 11/15/29 (c)		465,000		474,866

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

180

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
5.125% 6/30/27	$	140,000	$	154,725
7.000% 6/30/24		290,000		334,193
Cheniere Energy Partners LP 4.500% 10/01/29 (c)		205,000		210,658
DCP Midstream Operating LP 6.750% 9/15/37 (c)		160,000		168,000
Energy Transfer Operating LP 4.500% 4/15/24		105,000		111,788
4.950% 6/15/28		160,000		175,330
5.250% 4/15/29		685,000		769,742
5.500% 6/01/27		280,000		314,791
5.875% 1/15/24		285,000		315,535
6.000% 6/15/48		640,000		746,776
6.250% 4/15/49		410,000		494,793
NGL Energy Partners LP/NGL Energy Finance Corp. 7.500% 4/15/26 (c)		185,000		178,987
Peru LNG SRL 5.375% 3/22/30 (c)		800,000		788,008
Plains All American Pipeline LP/PAA Finance Corp. 3.550% 12/15/29		345,000		340,340
3.850% 10/15/23		500,000		517,823
Sabine Pass Liquefaction LLC 5.000% 3/15/27		290,000		319,229
5.875% 6/30/26		1,215,000		1,396,672
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.875% 1/15/29 (c)		240,000		266,400
Transcanada Trust 3 mo. CDOR + 3.080% 4.650% VRN 5/18/77 CAD (d)		650,000		488,255
Transcontinental Gas Pipe Line Co. LLC 4.000% 3/15/28		125,000		132,997
4.600% 3/15/48		175,000		191,909
The Williams Cos., Inc. 3.900% 1/15/25		800,000		842,503
4.500% 11/15/23		895,000		958,511
4.550% 6/24/24		385,000		415,670
4.850% 3/01/48		915,000		1,001,725
				15,129,806
Private Equity — 0.0%
Blackstone Property Partners Europe Holdings Sarl 2.000% 2/15/24 EUR (c) (d)		151,000		177,838
Real Estate — 0.3%
ADO Properties SA 1.500% 7/26/24 EUR (c) (d)		100,000		110,784
Akelius Residential Property AB 1.750% 2/07/25 EUR (c) (d)		120,000		140,846
Consus Real Estate AG 9.625% 5/15/24 EUR (c) (d)		175,000		211,020
Country Garden Holdings Co. Ltd. 7.125% 4/25/22 (c)		200,000		212,494
Residomo SRO 3.375% 10/15/24 EUR (c) (d)		100,000		116,432
Shimao Property Holdings Ltd. 4.750% 7/03/22 (c)		400,000		407,981
6.375% 10/15/21 (c)		800,000		836,000
				2,035,557
Real Estate Investment Trusts (REITS) — 2.4%
Alexandria Real Estate Equities, Inc. 3.950% 1/15/27		1,415,000		1,523,940
American Campus Communities Operating Partnership LP 3.300% 7/15/26		405,000		419,798
American Tower Corp. 3.000% 6/15/23		420,000		429,290
Boston Properties LP 3.650% 2/01/26		850,000		900,819
Brixmor Operating Partnership LP 4.125% 6/15/26		2,000,000		2,130,926
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23		2,100,000		2,201,295
Essex Portfolio LP 3.875% 5/01/24		620,000		655,495
GLP Capital LP/GLP Financing II, Inc. 3.350% 9/01/24		125,000		127,589
5.250% 6/01/25		125,000		137,200
Healthcare Realty Trust, Inc. 3.625% 1/15/28		850,000		881,289
Healthpeak Properties, Inc. 3.250% 7/15/26		65,000		67,418
3.500% 7/15/29		70,000		73,019
Highwoods Realty LP 3.050% 2/15/30		675,000		665,750
4.125% 3/15/28		580,000		621,166
Inmobiliaria Colonial Socimi SA 2.728% 6/05/23 EUR (c) (d)		200,000		243,832
Prologis LP 2.250% 6/30/29 GBP (d)		150,000		204,973
Regency Centers LP 3.600% 2/01/27		305,000		320,080
4.125% 3/15/28		110,000		119,347
SBA Tower Trust 2.836% 1/15/25 (c)		320,000		323,262
3.448% 3/15/48 (c)		1,400,000		1,442,384
3.722% 4/09/48 (c)		415,000		424,120
Ventas Realty LP 3.000% 1/15/30		565,000		560,179

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

181

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
VEREIT Operating Partnership LP 3.950% 8/15/27	$	1,850,000	$	1,945,444
4.875% 6/01/26		550,000		609,393
				17,028,008
Retail — 0.5%
eG Global Finance PLC 4.375% 2/07/25 EUR (c) (d)		100,000		112,170
LSF10 Wolverine Investments SCA 5.000% 3/15/24 EUR (c) (d)		100,000		114,669
Next PLC 3.625% 5/18/28 GBP (c) (d)		250,000		353,690
QVC, Inc. 4.375% 3/15/23		1,750,000		1,806,438
SACI Falabella 4.375% 1/27/25 (c)		900,000		938,226
Walgreens Boots Alliance, Inc. 2.125% 11/20/26 EUR (d)		230,000		267,537
				3,592,730
Semiconductors — 0.4%
Asml Holding NV 0.625% 7/07/22 EUR (c) (d)		100,000		113,986
1.625% 5/28/27 EUR (c) (d)		100,000		122,738
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.625% 1/15/24		220,000		228,013
Micron Technology, Inc. 4.185% 2/15/27		405,000		432,288
4.640% 2/06/24 (f)		810,000		879,086
4.663% 2/15/30		55,000		60,599
4.975% 2/06/26		435,000		482,990
NXP BV / NXP Funding LLC 4.875% 3/01/24 (c)		500,000		545,336
5.350% 3/01/26 (c)		215,000		242,826
				3,107,862
Software — 0.3%
Fidelity National Information Services, Inc. 0.750% 5/21/23 EUR (d)		190,000		217,368
2.602% 5/21/25 GBP (d)		330,000		457,398
Fiserv, Inc. 0.375% 7/01/23 EUR (d)		100,000		112,839
1.125% 7/01/27 EUR (d)		230,000		265,532
3.000% 7/01/31 GBP (d)		250,000		350,072
3.200% 7/01/26		320,000		331,406
				1,734,615
Telecommunications — 1.5%
Altice France SA 3.375% 1/15/28 EUR (c) (d)		135,000		155,972
5.500% 1/15/28 (c)		495,000		508,637
AT&T, Inc. 4.500% 3/09/48		1,170,000		1,292,614
Axtel SAB de CV 6.375% 11/14/24 (c)		900,000		947,259
6.375% 11/14/24 (c)		400,000		421,004
C&W Senior Financing DAC 7.500% 10/15/26 (c)		200,000		216,572
Chorus Ltd. 1.125% 10/18/23 EUR (c) (d)		100,000		115,166
Empresa Nacional de Telecomunicaciones SA 4.750% 8/01/26 (c)		275,000		291,117
4.875% 10/30/24 (c)		350,000		371,431
MTN Mauritius Investments Ltd. 4.755% 11/11/24 (c)		400,000		410,000
6.500% 10/13/26 (c)		200,000		221,000
Telefonica Emisiones SA 2.242% 5/27/22 EUR (c) (d)		200,000		236,380
Verizon Communications, Inc. 4.672% 3/15/55		183,000		226,111
4.750% 11/01/41		165,000		199,690
4.862% 8/21/46		1,485,000		1,843,472
5.012% 4/15/49		355,000		455,151
Vodafone Group PLC 4.125% 5/30/25		750,000		814,705
4.125% 5/30/25		280,000		304,157
4.875% 6/19/49		700,000		811,789
5.000% 5/30/38		470,000		544,292
5.250% 5/30/48		300,000		360,367
				10,746,886
Toys, Games & Hobbies — 0.1%
Hasbro, Inc. 3.000% 11/19/24		550,000		552,830
3.550% 11/19/26		250,000		251,757
				804,587
Transportation — 0.0%
ICTSI Treasury BV 4.625% 1/16/23 (c)		200,000		208,100
Trucking & Leasing — 0.2%
SMBC Aviation Capital Finance DAC 4.125% 7/15/23 (c)		1,110,000		1,168,045
TOTAL CORPORATE DEBT (Cost $216,199,120)				225,630,507
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 17.0%
Auto Floor Plan ABS — 0.2%
Ford Credit Floorplan Master Owner Trust A, Series 2018-2, Class B 3.320% 3/15/25		1,200,000		1,235,464
Automobile ABS — 1.4%
Americredit Automobile Receivables Trust, Series 2019-1, Class B 3.130% 2/18/25		160,000		162,832

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

182

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Avis Budget Rental Car Funding AESOP LLC Series 2017-2A, Class A, 2.970% 3/20/24 (c)	$	1,635,000	$	1,660,004
Series 2019-1A, Class A, 3.450% 3/20/23 (c)		275,000		281,184
Capital Auto Receivables Asset Trust Series 2018-2, Class C, 3.690% 12/20/23 (c)		825,000		833,389
Series 2018-1, Class D, 3.700% 6/20/25 (c)		800,000		810,193
CarMax Auto Owner Trust, Series 2017-3, Class B 2.440% 2/15/23		1,215,000		1,219,548
GM Financial Automobile Leasing Trust Series 2019-4, Class B, 2.040% 2/18/25		295,000		291,322
Series 2017-3, Class C, 2.730% 9/20/21		1,375,000		1,375,357
Santander Drive Auto Receivables Trust, Series 2016-3, Class D 2.800% 8/15/22		1,530,000		1,538,760
Santander Retail Auto Lease Trust Series 2019-B, Class D, 3.310% 6/20/24 (c)		715,000		716,916
Series 2018-A, Class C, 3.490% 5/20/22 (c)		385,000		387,469
World Omni Auto Receivables Trust, Series 2018-B, Class B 3.170% 1/15/25		200,000		203,946
				9,480,920
Commercial MBS — 6.5%
Ashford Hospitality Trust Series 2018-ASHF, Class A, 1 mo. USD LIBOR + .900% 2.640% FRN 4/15/35 (c)		322,102		320,090
Series 2018-ASHF, Class B, 1 mo. USD LIBOR + 1.250% 2.990% FRN 4/15/35 (c)		235,000		234,119
Series 2018-ASHF, Class C, 1 mo. USD LIBOR + 1.400% 3.140% FRN 4/15/35 (c)		110,000		109,657
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class B, 1 mo. USD LIBOR + 1.250% 2.990% FRN 9/15/32 (c)		235,000		235,000
Aventura Mall Trust, Series 2018-AVM, Class A, 4.112% VRN 7/05/40 (c) (g)		380,000		416,775
BANK Series 2019-BN21, Class D, 2.500% 10/17/52 (c)		495,000		433,347
Series 2019-BN22, Class D, 2.500% 11/15/62 (c)		420,000		363,830
Series 2019-BN21, Class A4, 2.600% 10/17/52		720,000		713,705
Series 2019-BN20, Class A2, 2.758% 9/15/61		630,000		634,049
Series 2019-BN21, Class A5, 2.851% 10/17/52		265,000		269,385
Series 2019-BN23, Class B, 3.455% 12/15/52		790,000		799,243
Series 2017-BNK5, Class B, 3.896% VRN 6/15/60 (g)		980,000		1,042,522
Series 2019-BNK18, Class B, 3.977% 5/15/62		480,000		513,273
Series 2018-BNK13, Class A5, 4.217% VRN 8/15/61 (g)		415,000		464,551
Series 2017-BNK5, Class C, 4.256% VRN 6/15/60 (g)		850,000		895,066
BBCMS Mortgage Trust, Series 2019-BWAY, Class D, 1 mo. USD LIBOR + 2.160% 3.900% FRN 11/25/34 (c)		245,000		243,776
Benchmark Mortgage Trust Series 2019-B13, Class A3, 2.701% 8/15/57		840,000		841,460
Series 2019-B13, Class AM, 3.183% 8/15/57		320,000		325,868
Series 2018-B3, Class AS, 4.195% VRN 4/10/51 (g)		375,000		409,574
Series 2018-B8, Class A5, 4.232% 1/15/52		620,000		696,998
Cantor Commercial Real Estate Lending Series 2019-CF2, Class A4, 2.624% 11/15/52		715,000		710,794
Series 2019-CF2, Class B, 3.267% VRN 11/15/52 (g)		295,000		296,067
Series 2019-CF1, Class B, 4.178% VRN 5/15/52 (g)		370,000		398,743
Series 2019-CF1, Class C, 4.352% VRN 5/15/52 (g)		380,000		400,851
CGGS Commercial Mortgage Trust Series 2018-WSS, Class A, 1 mo. USD LIBOR + .900% 2.640% FRN 2/15/37 (c)		840,000		837,901
Series 2018-WSS, Class B, 1 mo. USD LIBOR + 1.100% 2.840% FRN 2/15/37 (c)		345,000		343,306
Citigroup Commercial Mortgage Trust, Series 2018-B2, Class C, 4.673% VRN 3/10/51 (g)		205,000		214,505
Commercial Mortgage Pass Through Certificates Series 2017-COR2, Class A3, 3.510% 9/10/50		1,720,000		1,823,962

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

183

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2014-CR20, Class AM, 3.938% 11/10/47	$	1,490,000	$	1,578,992
Series 2015-LC23, Class AM, 4.158% VRN 10/10/48 (g)		1,650,000		1,774,154
Series 2015-CR26, Class B, 4.484% VRN 10/10/48 (g)		627,000		675,283
Series 2014-UBS2, Class B, 4.701% 3/10/47		207,000		219,539
CSAIL Commercial Mortgage Trust Series 2019-C17, Class A4, 2.763% 9/15/52		655,000		656,358
Series 2019-C17, Class AS, 3.278% 9/15/52		285,000		290,843
Series 2019-C16, Class A3, 3.329% 6/15/52		1,135,000		1,192,282
Series 2019-C17, Class B, 3.480% 9/15/52		330,000		336,814
DC Office Trust, Series 2019-MTC, Class D, 3.174% VRN 9/15/45 (c) (g)		520,000		507,239
FREMF Mortgage Trust Series 2019-K100, Class B, 3.490% VRN 11/25/52 (c) (g)		765,000		763,177
Series 2019-K736, Class B, 3.759% VRN 7/25/26 (c) (g)		585,000		599,323
Series 2018-K73, Class B, 3.853% VRN 2/25/51 (c) (g)		665,000		690,718
Series 2019-K98, Class B, 3.862% VRN 10/25/52 (c) (g)		335,000		340,458
Series 2018-K731, Class B, 3.932% VRN 2/25/25 (c) (g)		720,000		742,785
Great Wolf Trust, Series 2019-WOLF, Class C, 1 mo. USD LIBOR + 1.633% 3.355% FRN 12/15/36 (c)		435,000		434,323
GS Mortgage Securities Trust Series 2019-GC42, Class A3, 2.749% 9/01/52		690,000		694,702
Series 2019-GSMS, Class C, 1 mo. USD LIBOR + 1.300% 3.040% FRN 6/15/36 (c)		735,000		735,037
Series 2019-GC40, Class A4, 3.160% 7/10/52		1,005,000		1,045,643
Hudson Yards Mortgage Trust Series 2019-30HY, Class B, 3.380% VRN 7/10/39 (c) (g)		410,000		421,094
Series 2019-30HY, Class D, 3.443% VRN 7/10/39 (c) (g)		470,000		471,721
ILPT Trust, Series 2019-SURF, Class A 4.145% 2/11/41 (c)		835,000		933,326
Independence Plaza Trust Series 2018-INDP, Class A, 3.763% 7/10/35 (c)		845,000		881,955
Series 2018-INDP, Class B, 3.911% 7/10/35 (c)		855,000		884,287
InTown Hotel Portfolio Trust, Series 2018-STAY, Class C, 1 mo. USD LIBOR + 1.250% 2.990% FRN 1/15/33 (c)		500,000		498,484
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX 4.248% 7/05/33 (c)		115,000		122,335
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class AS, 3.858% VRN 3/15/50 (g)		160,000		169,161
Morgan Stanley Baml Trust, Series 2015-C22, Class AS 3.561% 4/15/48		260,000		269,980
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30, Class A5, 2.860% 9/15/49		425,000		432,313
Series 2014-C15, Class B, 4.565% VRN 4/15/47 (g)		1,215,000		1,295,142
MSCG Trust, Series 2018-SELF, Class A, 1 mo. USD LIBOR + .900% 2.640% FRN 10/15/37 (c)		1,210,000		1,211,157
RETL, Series 2019-RVP, Class A, 1 mo. USD LIBOR + 1.150% 2.890% FRN 3/15/36 (c)		527,501		527,830
SLIDE Series 2018-FUN, Class A, 1 mo. USD LIBOR + .900% 2.640% FRN 6/15/31 (c)		1,005,101		1,004,473
Series 2018-FUN, Class E, 1 mo. USD LIBOR + 2.300% 4.040% FRN 6/15/31 (c)		376,913		377,630
Wells Fargo Commercial Mortgage Trust Series 2019-JWDR, Class A, 2.584% VRN 9/15/31 (c) (g)		710,000		697,880
Series 2019-JWDR, Class B, 2.786% VRN 9/15/31 (c) (g)		205,000		200,179
Series 2019-C51, Class A4, 3.311% 6/15/52		1,130,000		1,188,499
Series 2017-C38, Class A5, 3.453% 7/15/50		970,000		1,027,068
Series 2019-C53, Class B, 3.514% VRN 10/15/52 (g)		360,000		366,039
Series 2014-LC18, Class AS, 3.808% 12/15/47		1,695,000		1,774,997
Series 2019-C54, Class C, 3.810% 12/15/52		510,000		507,954
Series 2017-C39, Class B, 4.025% 9/15/50		1,010,000		1,058,198
Series 2017-C41, Class B, 4.188% VRN 11/15/50 (g)		381,000		407,921

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

184

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2015-C29, Class C, 4.222% VRN 6/15/48 (g)	$	935,000	$	978,099
				45,973,809
Credit Card ABS — 0.2%
Capital One Multi-Asset Execution Trust, Series 2019-A3, Class A3 2.060% 8/15/28		675,000		661,931
Synchrony Credit Card Master Note Trust, Series 2018-1, Class C 3.360% 3/15/24		1,020,000		1,024,222
				1,686,153
Other ABS — 3.5%
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I 4.194% 6/07/49 (c)		685,000		693,874
Barings BDC Static CLO Ltd., Series 2019-1A, Class A1, 3 mo. USD LIBOR + 1.020% 3.021% FRN 4/15/27 (c)		777,437		777,765
Barings CLO Ltd., Series 2016-2A, Class AR, 3 mo. USD LIBOR + 1.080% 3.046% FRN 7/20/28 (c)		440,000		440,209
Bayview Mortgage Fund IV Trust, Series 2017-RT3, Class A, 3.500% VRN 1/28/58 (c) (g)		713,821		719,513
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2RR, 3 mo. USD LIBOR + 1.750% 3.716% FRN 1/20/29 (c)		420,000		420,070
Bluemountain Clo Ltd. Series 2015-2A, Class A1R, 3 mo. USD LIBOR + .930% 2.933% FRN 7/18/27 (c)		275,000		275,056
Series 2015-2A, Class BR, 3 mo. USD LIBOR + 1.500% 3.503% FRN 7/18/27 (c)		250,000		249,888
CBAM Ltd., Series 2019-9A, Class A, 3 mo. USD LIBOR + 1.280% 3.281% FRN 2/12/30 (c)		1,230,000		1,230,528
CIFC Funding Ltd. Series 2015-5A, Class A1R, 3 mo. USD LIBOR + .860% 2.800% FRN 10/25/27 (c)		470,000		470,012
Series 2015-4A, Class A1R, 3 mo. USD LIBOR + 1.150% 3.116% FRN 10/20/27 (c)		450,000		450,244
Cole Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.050% 3.016% FRN 10/20/28 (c)		755,000		754,619
Eaton Vance CLO Ltd., Series 2013-1A, Class A2RR, 3 mo. USD LIBOR + 1.850% 3.851% FRN 1/15/28 (c)		1,210,000		1,211,731
Galaxy XXIX CLO Ltd., Series 2018-29A, Class B, 3 mo. USD LIBOR + 1.400% 3.310% FRN 11/15/26 (c)		250,000		250,026
Golub Capital Partners CLO, Series 2018-39A, Class A1, 3 mo. USD LIBOR + 1.150% 3.116% FRN 10/20/28 (c)		570,000		570,003
Hardee’s Funding LLC Series 2018-1A, Class A2I, 4.250% 6/20/48 (c)		592,500		593,862
Series 2018-1A, Class AII, 4.959% 6/20/48 (c)		320,938		327,799
Hilton Grand Vacations Trust, Series 2014-AA, Class B 2.070% 11/25/26 (c)		205,341		204,444
Jack In The Box Funding LLC, Series 2019-1A, Class A2I 3.982% 8/25/49 (c)		540,000		544,085
Madison Park Funding XXXIII Ltd., Series 2019-33A, Class A, 3 mo. USD LIBOR + 1.330% 3.174% FRN 10/15/32 (c)		1,020,000		1,020,369
Madison Park Funding XXXVII Ltd., Series 2019-37A, Class A1, 3 mo. USD LIBOR + 1.300% 3.603% FRN 7/15/32 (c)		305,000		305,363
Magnetite XVIII Ltd., Series 2016-18A, Class AR, 3 mo. USD LIBOR + 1.080% 2.990% FRN 11/15/28 (c)		1,055,000		1,053,980
Mill City Mortgage Loan Trust, Series 2018-1, Class A1, 3.250% VRN 5/25/62 (c) (g)		517,671		524,749
Neuberger Berman CLO XIX Ltd., Series 2015-19A, Class A2R2, 3 mo. USD LIBOR + 1.150% 3.151% FRN 7/15/27 (c)		820,000		820,016
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, 3 mo. USD LIBOR + .850% 2.851% FRN 1/15/28 (c)		1,000,000		999,109
OCP CLO Ltd., Series 2014-7A, Class A1RR, 3 mo. USD LIBOR + 1.120% 3.086% FRN 7/20/29 (c)		725,000		719,699
Octagon Investment Partners XXIII Ltd. Series 2015-1A, Class A1R, 3 mo. USD LIBOR + .850% 2.851% FRN 7/15/27 (c)		320,000		319,424

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

185

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2015-1A, Class BR, 3 mo. USD LIBOR + 1.200% 3.201% FRN 7/15/27 (c)	$	265,000	$	265,439
OZLM VII Ltd., Series 2014-7RA, Class A1R, 3 mo. USD LIBOR + 1.010% 3.012% FRN 7/17/29 (c)		365,000		362,636
OZLM VIII Ltd., Series 2014-8A, Class A1RR, 3 mo. USD LIBOR + 1.170% 3.172% FRN 10/17/29 (c)		645,000		643,525
Palmer Square CLO Ltd., Series 2015-1A, Class C, 3 mo. USD LIBOR + 2.250% 4.145% FRN 5/21/29 (c)		515,000		507,813
SBA Tower Trust, Series 2014-2A, Class C, 3.869% STEP 10/15/49 (c)		760,000		791,219
Southwick Park CLO LLC, Series 2019-4A, Class A1, 3 mo. USD LIBOR + 1.300% 3.466% FRN 7/20/32 (c)		1,215,000		1,214,306
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, 3 mo. USD LIBOR + .880% 2.881% FRN 4/15/28 (c)		635,000		635,003
Taco Bell Funding LLC, Series 2018-1A, Class A2I 4.318% 11/25/48 (c)		569,250		582,515
Towd Point Mortgage Trust Series 2018-2, Class A1, 3.250% VRN 3/25/58 (c) (g)		708,777		719,317
Series 2015-6, Class A1, 3.500% VRN 4/25/55 (c) (g)		516,632		522,870
Series 2019-1, Class A1, 3.750% VRN 3/25/58 (c) (g)		542,136		561,392
Series 2018-3, Class A1, 3.750% VRN 5/25/58 (c) (g)		643,261		664,784
Series 2018-SJ1, Class A1, 4.000% VRN 10/25/58 (c) (g)		702,350		708,383
Verizon Owner Trust, Series 2018-1A, Class C 3.200% 9/20/22 (c)		650,000		658,226
				24,783,865
Student Loans ABS — 0.6%
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2 2.600% 8/15/68 (c)		760,000		760,717
SMB Private Education Loan Trust Series 2016-B, Class A2A, 2.430% 2/17/32 (c)		870,755		867,882
Series 2017-B, Class A2A, 2.820% 10/15/35 (c)		337,268		339,916
Series 2018-A, Class A2A, 3.500% 2/15/36 (c)		1,310,000		1,355,944
Series 2018-C, Class A2A, 3.630% 11/15/35 (c)		990,000		1,022,602
				4,347,061
WL Collateral CMO — 4.4%
Angel Oak Mortgage Trust Series 2018-3, Class A3, 3.238% VRN 5/25/59 (c) (g)		502,125		504,378
Series 2019-2, Class A1, 3.628% VRN 3/25/49 (c) (g)		520,263		527,400
Series 2019-1, Class A1, 3.920% VRN 11/25/48 (c) (g)		831,059		840,472
Series 2019-1, Class A2, 4.022% VRN 11/25/48 (c) (g)		187,771		189,891
COLT Mortgage Loan Trust Series 2019-3, Class A1, 2.764% VRN 8/25/49 (c) (g)		941,767		941,151
Series 2019-2, Class A1, 3.337% VRN 5/25/49 (c) (g)		345,041		346,140
Series 2019-1, Class A1, 3.705% VRN 3/25/49 (c) (g)		782,768		786,626
Series 2018-3, Class A3, 3.865% VRN 10/26/48 (c) (g)		226,692		226,829
Series 2018-4, Class A1, 4.006% VRN 12/28/48 (c) (g)		286,899		288,531
Deephaven Residential Mortgage Trust Series 2018-2A, Class A1, 3.479% VRN 4/25/58 (c) (g)		212,413		212,399
Series 2019-1A, Class A1, 3.743% VRN 1/25/59 (c) (g)		227,516		229,257
Ellington Financial Mortgage Trust, Series 2019-2, Class A1, 2.739% VRN 11/25/59 (c) (g)		689,412		687,141
Flagstar Mortgage Trust, Series 2018-6RR, Class 2A4, 4.000% VRN 9/25/48 (c) (g)		218,474		221,361
Galton Funding Mortgage Trust Series 2019-H1, Class A1, 2.657% VRN 10/25/59 (c) (g)		739,929		737,817
Series 2019-H1, Class A3, 2.964% VRN 10/25/59 (c) (g)		665,936		664,054
Series 2018-1, Class A23, 3.500% VRN 11/25/57 (c) (g)		176,447		177,064
Series 2019-2, Class A42, 3.500% VRN 6/25/59 (c) (g)		333,359		333,031
GMRF Mortgage Acquisition Co. Series 2019-1, Class A22, 4.000% VRN 2/25/59 (c) (g)		145,792		146,398
Series 2019-1, Class A42, 4.000% VRN 2/25/59 (c) (g)		131,589		130,887
Homeward Opportunities Fund I Trust Series 2019-3, Class A1, 2.675% VRN 11/25/59 (c) (g)		410,076		408,476

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

186

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2019-2, Class A1, 2.702% VRN 9/25/59 (c) (g)	$	994,658	$	987,812
Series 2019-3, Class A3, 3.031% VRN 11/25/59 (c) (g)		410,076		408,485
Series 2019-1, Class A1, 3.454% VRN 1/25/59 (c) (g)		445,399		449,329
Series 2019-1, Class A3, 3.606% VRN 1/25/59 (c) (g)		471,599		476,307
JP Morgan Mortgage Trust Series 2019-INV2, Class A3, 3.500% VRN 2/25/50 (c) (g)		344,013		344,010
Series 2019-INV3, Class A3, 3.500% VRN 5/25/50 (c) (g)		575,000		586,051
Metlife Securitization Trust, Series 2018-1A, Class A, 3.750% VRN 3/25/57 (c) (g)		340,812		354,038
New Residential Mortgage Loan Trust Series 2019-NQM5, Class A1, 2.710% VRN 11/25/59 (c) (g)		911,961		911,277
Series 2019-NQM3, Class A3, 3.086% VRN 7/25/49 (c) (g)		301,725		302,110
Series 2019-NQM2, Class A1, 3.600% VRN 4/25/49 (c) (g)		411,617		417,269
Series 2019-NQM1, Class A1, 3.675% VRN 1/25/49 (c) (g)		516,972		525,101
Series 2019-NQM1, Class A3, 3.928% VRN 1/25/49 (c) (g)		493,008		500,705
OBX Trust Series 2019-EXP3, Class 2A1, 1 mo. USD LIBOR + .900% 2.692% FRN 10/25/59 (c)		490,385		488,888
Series 2019-EXP3, Class 1A8, 3.500% VRN 10/25/59 (c) (g)		345,514		347,505
Series 2019-INV2, Class A25, 4.000% VRN 5/27/49 (c) (g)		928,147		942,953
Onslow Bay Financial LLC, Series 2019-EXP2, Class 1A3, 4.000% VRN 6/25/59 (c) (g)		454,809		462,666
Sequoia Mortgage Trust Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (c) (g)		995,190		1,001,121
Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (c) (g)		450,000		482,434
Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (c) (g)		323,179		333,747
Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (c) (g)		417,522		433,985
SG Residential Mortgage Trust, Series 2019-3, Class A1, 2.703% VRN 9/25/59 (c) (g)		518,452		516,977
Starwood Mortgage Residential Trust Series 2019-INV1, Class A1, 2.610% VRN 9/27/49 (c) (g)		654,126		649,723
Series 2019-1, Class A1, 2.941% VRN 6/25/49 (c) (g)		510,135		506,661
Series 2019-1, Class A2, 3.146% VRN 6/25/49 (c) (g)		422,933		420,112
Series 2019-IMC1, Class A1, 3.468% VRN 2/25/49 (c) (g)		338,168		340,125
Series 2018-IMC2, Class A1, 4.121% VRN 10/25/48 (c) (g)		605,015		620,176
Verus Securitization Trust Series 2019-4, Class A1, 2.642% STEP 11/25/59 (c)		1,238,276		1,233,226
Series 2019-INV3, Class A1, 2.692% VRN 11/25/59 (c) (g)		1,230,590		1,230,681
Series 2017-2A, Class A3, 2.845% VRN 7/25/47 (c) (g)		581,555		580,022
Series 2019-INV2, Class A1, 2.913% VRN 7/25/59 (c) (g)		1,009,363		1,015,119
Series 2019-3, Class A3, 3.040% STEP 7/25/59 (c)		305,330		305,035
Series 2019-INV2, Class A2, 3.117% VRN 7/25/59 (c) (g)		607,445		610,087
Series 2019-INV1, Class A1, 3.402% VRN 12/25/59 (c) (g)		282,711		284,482
Series 2019-2, Class A3, 3.448% VRN 5/25/59 (c) (g)		830,727		832,193
Series 2018-2, Class A1, 3.677% VRN 6/01/58 (c) (g)		201,816		202,264
Series 2017-1A, Class A3, 3.716% VRN 1/25/47 (c) (g)		500,727		506,795
Series 2019-1, Class A1, 3.836% VRN 2/25/59 (c) (g)		660,425		664,168
Series 2018-3, Class A1, 4.108% VRN 10/25/58 (c) (g)		254,761		256,384
Series 2018-INV2, Class A1FX, 4.148% VRN 10/25/58 (c) (g)		464,776		470,627
Series 2018-3, Class A2, 4.180% VRN 10/25/58 (c) (g)		372,833		375,349
				30,975,302
WL Collateral Support CMO — 0.2%
CIM Trust, Series 2019-INV3, Class A15, 3.500% VRN 8/25/49 (c) (g)		345,375		346,063
JP Morgan Mortgage Trust, Series 2019-INV3, Class A15, 3.500% VRN 5/25/50 (c) (g)		495,000		502,657
Sequoia Mortgage Trust, Series 2018-CH2, Class A21, 4.000% VRN 6/25/48 (c) (g)		236,116		237,947
				1,086,667
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $117,738,902)				119,569,241

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

187

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SOVEREIGN DEBT OBLIGATIONS — 16.8%
1Malaysia Development Berhad Global Investments Ltd. 4.400% 3/09/23 (c)	$	1,000,000	$	972,317
Albania Government International Bond 3.500% 10/09/25 EUR (c) (d)		115,000		140,710
3.500% 10/09/25 EUR (c) (d)		160,000		195,770
Argentine Republic Government International Bond 3.375% 1/15/23 EUR (d)		235,000		117,882
Australian Government International Bond 3.000% 3/21/47 AUD (c) (d)		902,000		766,805
Bermuda Government International Bond 4.750% 2/15/29 (c)		650,000		733,688
Bonos Tesoreria Pesos 4.500% 3/01/21 CLP (d)		830,000,000		1,136,560
4.500% 3/01/26 CLP (d)		445,000,000		652,562
4.700% 9/01/30 CLP (c) (d)		3,350,000,000		5,077,544
Brazil Notas do Tesouro Nacional Serie F 10.000% 1/01/25 BRL (d)		8,060,000		2,205,132
Bundesrepublik Deutschland 1.250% 8/15/48 EUR (c) (d)		52,000		73,218
Canadian Government International Bond 2.000% 9/01/23 CAD (d)		2,130,000		1,657,875
2.000% 6/01/28 CAD (d)		390,000		306,856
3.500% 12/01/45 CAD (d)		1,260,000		1,316,686
Colombia Government International Bond 4.000% 2/26/24		1,290,000		1,359,454
4.000% 2/26/24		1,160,000		1,222,454
Croatia Government International Bond 3.875% 5/30/22 EUR (c) (d)		400,000		489,531
Cyprus Government International Bond 2.375% 9/25/28 EUR (c) (d)		1,073,000		1,389,056
2.750% 2/26/34 EUR (c) (d)		93,000		128,188
2.750% 5/03/49 EUR (c) (d)		70,000		100,559
3.750% 7/26/23 EUR (c) (d)		645,000		819,902
3.750% 7/26/23 EUR (c) (d)		385,000		489,399
3.875% 5/06/22 EUR (c) (d)		1,050,000		1,286,348
4.250% 11/04/25 EUR (c) (d)		540,000		745,033
4.250% 11/04/25 EUR (c) (d)		250,000		344,923
Czech Republic International Bond 3.875% 5/24/22 EUR (c) (d)		460,000		566,194
Egypt Government International Bond 4.750% 4/11/25 EUR (c) (d)		290,000		342,373
France Government Bond OAT 1.750% 11/25/24 EUR (c) (d)		769,000		952,317
1.750% 5/25/66 EUR (c) (d)		50,000		69,938
3.250% 5/25/45 EUR (c) (d)		2,884,000		5,070,161
Indonesia Government International Bond 3.750% 6/14/28 EUR (c) (d)		1,080,000		1,458,569
Indonesia Treasury Bond 6.125% 5/15/28 IDR (d)		11,494,000,000		779,930
7.000% 5/15/27 IDR (d)		6,090,000,000		436,961
8.125% 5/15/24 IDR (d)		1,504,000,000		115,488
8.375% 3/15/24 IDR (d)		12,000,000,000		926,067
8.375% 9/15/26 IDR (d)		1,700,000,000		131,694
8.750% 5/15/31 IDR (d)		4,710,000,000		374,501
10.250% 7/15/27 IDR (d)		1,300,000,000		109,886
Ireland Government International Bond 1.000% 5/15/26 EUR (c) (d)		1,858,000		2,230,803
1.350% 3/18/31 EUR (c) (d)		1,221,000		1,533,996
1.500% 5/15/50 EUR (c) (d)		100,000		128,105
2.000% 2/18/45 EUR (c) (d)		165,000		236,250
4.500% 4/18/20 EUR (d)		268,000		304,929
5.400% 3/13/25 EUR (d)		943,000		1,365,898
Israel Government International Bond 1.500% 1/18/27 EUR (c) (d)		530,000		643,111
1.750% 8/31/25 ILS (d)		7,010,000		2,176,931
3.750% 3/31/47 ILS (d)		845,000		348,854
4.625% 3/18/20 EUR (c) (d)		480,000		543,320
5.500% 1/31/42 ILS (d)		8,065,000		4,114,514
Italy Buoni Poliennali Del Tesoro 2.000% 12/01/25 EUR (d)		1,323,000		1,586,625
2.800% 3/01/67 EUR (c) (d)		1,278,000		1,492,307
3.450% 3/01/48 EUR (c) (d)		110,000		150,048
4.500% 3/01/24 EUR (d)		1,625,000		2,124,349
4.750% 9/01/21 EUR (d)		515,000		624,005
5.000% 3/01/22 EUR (d)		510,000		633,644
5.500% 9/01/22 EUR (d)		2,595,000		3,326,883
Japan Government Five Year Bond 0.100% 6/20/21 JPY (d)		178,350,000		1,647,015
Japan Government Thirty Year Bond 1.700% 9/20/44 JPY (d)		222,600,000		2,703,282
2.200% 9/20/39 JPY (d)		30,650,000		385,758
2.500% 9/20/37 JPY (d)		348,600,000		4,470,441
Japan Government Twenty Year Bond 0.600% 6/20/37 JPY (d)		337,100,000		3,301,535
0.700% 3/20/37 JPY (d)		149,900,000		1,492,475
1.200% 12/20/34 JPY (d)		602,600,000		6,410,005
1.500% 6/20/34 JPY (d)		12,000,000		132,059
Japanese Government CPI Linked Bond 0.100% 3/10/24 JPY (d)		79,420,000		741,536

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

188

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
0.100% 9/10/24 JPY (d)	$	87,156,900	$	814,978
0.100% 3/10/25 JPY (d)		146,736,000		1,374,110
Latvia Government International Bond 1.875% 2/19/49 EUR (c) (d)		627,000		864,773
Malaysia Government International Bond 3.480% 3/15/23 MYR (d)		2,555,000		631,621
3.800% 8/17/23 MYR (d)		2,745,000		686,531
4.392% 4/15/26 MYR (d)		1,570,000		407,496
4.736% 3/15/46 MYR (d)		6,290,000		1,690,818
4.921% 7/06/48 MYR (d)		7,730,000		2,143,991
4.935% 9/30/43 MYR (d)		155,000		43,141
Mexican Bonos 7.500% 6/03/27 MXN (d)		4,750,000		260,903
8.000% 12/07/23 MXN (d)		45,600,000		2,512,046
10.000% 12/05/24 MXN (d)		28,837,000		1,731,044
Morocco Government International Bond 4.500% 10/05/20 EUR (c) (d)		300,000		347,808
National Highways Authority of India 7.300% 5/18/22 INR (c) (d)		100,000,000		1,396,722
Netherlands Government Bond 5.500% 1/15/28 EUR (d)		50,000		81,778
New South Wales Treasury Corp. 4.000% 5/20/26 AUD (c) (d)		860,000		696,797
4.000% 5/20/26 AUD (c) (d)		450,000		364,603
Norway Government Bond 3.000% 3/14/24 NOK (c) (d)		2,700,000		327,440
Province of Ontario Canada 2.600% 6/02/25 CAD (d)		286,000		225,847
3.500% 6/02/43 CAD (d)		140,000		126,114
3.500% 6/02/43 CAD (d)		62,000		55,850
Republic of Austria Government Bond 3.800% 1/26/62 EUR (c) (d)		330,000		767,818
Republic of Lithuania 1.625% 6/19/49 EUR (c) (d)		130,000		172,562
Republic of South Africa Government International Bond 10.500% 12/21/26 ZAR (d)		31,473,000		2,513,218
Romanian Government International Bond 2.375% 4/19/27 EUR (c) (d)		170,000		208,346
2.875% 10/28/24 EUR (c) (d)		100,000		125,371
2.875% 3/11/29 EUR (c) (d)		96,000		121,574
4.250% 6/28/23 RON (d)		2,545,000		603,059
4.625% 9/18/20 EUR (c) (d)		520,000		602,287
4.750% 2/24/25 RON (d)		3,565,000		861,927
5.800% 7/26/27 RON (d)		1,820,000		468,652
Russian Federal Bond - OFZ 8.150% 2/03/27 RUB (d)		22,733,000		409,453
Serbia Government International Bond 1.500% 6/26/29 EUR (c) (d)		665,000		758,328
Singapore Government International Bond 3.125% 9/01/22 SGD (d)		1,130,000		874,874
Slovenia Government International Bond 1.000% 3/06/28 EUR (c) (d)		250,000		299,041
1.250% 3/22/27 EUR (c) (d)		788,000		959,005
1.500% 3/25/35 EUR (c) (d)		398,000		498,042
2.125% 7/28/25 EUR (c) (d)		970,000		1,225,198
4.625% 9/09/24 EUR (c) (d)		324,000		446,093
5.250% 2/18/24 (c)		200,000		225,729
5.250% 2/18/24 (c)		200,000		225,729
Spain Government International Bond 1.400% 7/30/28 EUR (c) (d)		410,000		500,394
Sri Lanka Government International Bond 6.250% 10/04/20 (c)		300,000		303,900
6.250% 7/27/21 (c)		200,000		203,300
Thailand Government International Bond 3.650% 6/20/31 THB (d)		43,280,000		1,751,451
4.875% 6/22/29 THB (d)		6,232,000		269,632
United Kingdom Gilt 1.500% 1/22/21 GBP (c) (d)		803,000		1,073,641
1.625% 10/22/71 GBP (c) (d)		339,000		520,773
4.250% 12/07/46 GBP (c) (d)		2,025,000		4,444,434
Vietnam Government International Bond 6.750% 1/29/20 (c)		440,000		440,550
6.750% 1/29/20 (c)		200,000		200,250
				118,770,251
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $116,457,702)				118,770,251
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 14.7%
Collateralized Mortgage Obligations — 0.1%
Federal National Mortgage Association REMICS Series 2018-44, Class PC 4.000% 6/25/44		222,989		227,255
Government National Mortgage Association Series 2018-122, Class FE 1 mo. USD LIBOR + .300% 2.065% 9/20/48		260,556		258,743
				485,998
Pass-Through Securities — 13.0%
Federal Home Loan Mortgage Corp. Pool #SD0080 3.000% 9/01/49		231,061		238,430

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

189

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Federal National Mortgage Association Pool #BM3859 2.500% 8/01/31	$	228,673	$	231,652
Pool #BC9043 2.500% 11/01/31		595,893		603,470
Pool #BM1890 2.500% 1/01/32		187,345		189,844
Pool #MA3827 2.500% 11/01/34		5,419,933		5,468,523
Pool #MA3896 2.500% 1/01/35		880,000		887,889
Pool #MA2781 2.500% 10/01/46		419,807		417,465
Pool #MA3125 3.000% 9/01/32		200,072		205,844
Pool #BM5109 3.000% 12/01/32		1,362,285		1,402,011
Pool #MA3283 3.000% 2/01/33		18,857		19,371
Pool #BM5108 3.000% 2/01/33		216,495		222,741
Pool #BM5111 3.000% 11/01/33		233,539		240,641
Pool #MA3865 3.000% 12/01/34		3,267,784		3,354,909
Pool #AL9412 3.000% 11/01/36		1,024,555		1,059,791
Pool #BM4221 3.000% 1/01/43		266,249		273,908
Pool #BM5468 3.000% 2/01/43		393,170		404,480
Pool #AB9248 3.000% 5/01/43		142,616		146,763
Pool #AU1629 3.000% 7/01/43		32,649		33,599
Pool #AS0406 3.000% 9/01/43		134,676		139,392
Pool #BM5469 3.000% 3/01/44		789,904		812,875
Pool #BM3380 3.000% 6/01/46		598,310		617,017
Pool #MA2670 3.000% 7/01/46		1,009,277		1,033,580
Pool #BD8462 3.000% 11/01/46		2,308,472		2,374,880
Pool #AS8295 3.000% 11/01/46		474,902		490,493
Pool #BM4896 3.000% 2/01/47		585,083		602,098
Pool #BM1418 3.000% 4/01/47		2,884,538		2,967,519
Pool #BM4744 3.000% 6/01/47		208,817		215,673
Pool #FM1572 3.000% 9/01/48		661,466		677,187
Pool #FM1445 3.000% 8/01/49		207,398		213,948
Pool #MA3834 3.000% 11/01/49		303,890		308,263
Pool #AS4449 3.500% 2/01/35		288,491		301,412
Pool #MA1283 3.500% 12/01/42		98,156		103,227
Pool #MA1463 3.500% 6/01/43		345,611		363,466
Pool #BM4534 3.500% 1/01/44		733,285		771,167
Pool #AL6167 3.500% 1/01/44		1,327,277		1,395,846
Pool #BC1747 3.500% 1/01/46		3,844,899		4,012,291
Pool #BM5785 3.500% 9/01/46		320,779		335,347
Pool #BM4582 3.500% 8/01/47		272,305		285,862
Pool #BM3122 3.500% 10/01/47		5,094,585		5,367,331
Pool #MA3210 3.500% 12/01/47		1,000,721		1,038,659
Pool #BH9277 3.500% 2/01/48		873,612		905,913
Pool #CA1189 3.500% 2/01/48		549,876		569,691
Pool #BO1033 3.500% 8/01/49		79,554		82,322
Pool #BO1410 3.500% 9/01/49		605,395		626,454
Pool #BO1437 3.500% 10/01/49		520,909		539,355
Pool #BF0198 4.000% 11/01/40		261,625		278,338
Pool #AL2745 4.000% 3/01/42		1,174,516		1,261,291
Pool #BM3385 4.000% 6/01/45		3,095,202		3,291,961
Pool #CA0062 4.000% 7/01/47		1,564,207		1,642,135
Pool #MA3088 4.000% 8/01/47		241,503		253,535
Pool #MA3149 4.000% 10/01/47		1,628,920		1,709,562
Pool #MA3384 4.000% 6/01/48		1,587,049		1,658,675
Pool #MA3415 4.000% 7/01/48		615,638		642,268
Pool #CA2378 4.000% 9/01/48		545,412		569,687
Pool #MA3467 4.000% 9/01/48		27,407		28,592
Pool #BM5527 4.000% 10/01/48		425,534		449,925
Pool #BN4333 4.000% 2/01/49		159,235		165,615
Pool #BM5484 4.000% 3/01/49		852,583		893,460
Pool #CA4571 4.000% 11/01/49		341,098		357,185
Pool #AL6536 4.500% 3/01/45		714,518		769,846
Pool #BM4185 4.500% 9/01/46		300,184		322,491
Pool #BM1248 4.500% 9/01/46		879,713		951,956
Pool #BM3148 4.500% 11/01/47		354,969		384,674
Pool #CA1563 4.500% 4/01/48		521,714		554,776
Pool #BM4343 4.500% 5/01/48		745,382		807,525
Pool #CA2204 4.500% 8/01/48		331,355		350,283
Pool #CA2419 4.500% 10/01/48		600,718		634,281
Pool #CA3514 4.500% 5/01/49		644,486		689,960
Pool #MA3688 4.500% 6/01/49		350,294		368,661
Pool #AL9893 5.000% 2/01/45		648,086		706,600
Pool #MA3374 5.000% 5/01/48		213,746		229,103
Pool #BM3279 5.500% 5/01/44		2,046,170		2,296,687
Pool #BM4971 6.000% 7/01/41		357,822		411,033
Government National Mortgage Association II Pool #MA3662 3.000% 5/20/46		63,821		65,828
Pool #MA3873 3.000% 8/20/46		1,066,678		1,099,216
Pool #MA6144 3.000% 9/20/49		139,318		141,086
Pool #MA6209 3.000% 10/20/49		819,439		829,840
Pool #MA6409 3.000% 1/20/50 (h)		670,000		688,554
Pool #MA0220 3.500% 7/20/42		359,814		377,910
Pool #MA0318 3.500% 8/20/42		401,218		421,396
Pool #MA0392 3.500% 9/20/42		53,967		56,681
Pool #MA1090 3.500% 6/20/43		313,849		329,339
Pool #AL1773 3.500% 1/20/45		403,941		423,372
Pool #MA3310 3.500% 12/20/45		231,492		242,050
Pool #MA3521 3.500% 3/20/46		463,297		484,426
Pool #MA3597 3.500% 4/20/46		362,414		378,489
Pool #MA3663 3.500% 5/20/46		288,851		301,663
Pool #MA3736 3.500% 6/20/46		135,767		141,789
Pool #MA3803 3.500% 7/20/46		57,767		60,329
Pool #MA4004 3.500% 10/20/46		1,386,672		1,446,879
Pool #MA784472 3.500% 2/20/48		589,565		621,795
Pool #784504 3.500% 2/20/48		274,856		288,422
Pool #784474 3.500% 2/20/48		380,594		399,141
Pool #MA5709 3.500% 1/20/49		753,458		777,048
Pool #MA3245 4.000% 11/20/45		488,728		514,971
Pool #MA4511 4.000% 6/20/47		333,492		348,481
Pool #MA4720 4.000% 9/20/47		1,477,184		1,542,193
Pool #MA4838 4.000% 11/20/47		511,516		534,027
Pool #MA5264 4.000% 6/20/48		210,386		218,807
Pool MA5931 4.000% 5/20/49		1,460,048		1,509,132
Pool #MA6091 4.000% 8/20/49		1,972,833		2,050,407
Pool #MA6155 4.000% 9/20/49		1,226,977		1,278,195
Pool #MA2894 4.500% 6/20/45		382,655		409,570
Pool #MA2963 4.500% 7/20/45		152,106		162,805

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

190

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pool #MA3312 4.500% 12/20/45	$	7,202	$	7,708
Pool #MA4588 4.500% 7/20/47		1,514,574		1,607,854
Pool #MA4964 4.500% 1/20/48		86,231		91,360
Pool #MA5265 4.500% 6/20/48		127,483		134,299
Pool #MA4781 5.000% 10/20/47		1,081,494		1,161,271
Pool #BF2644 5.000% 5/20/48		42,807		46,968
Pool #MA5266 5.000% 6/20/48		890,761		946,657
Pool #BF2878 5.000% 6/20/48		51,132		56,102
Pool #BF3008 5.000% 7/20/48		39,193		43,003
Pool #MA5400 5.000% 8/20/48		562,590		597,189
Pool #MA5988 5.000% 6/20/49		1,407,123		1,482,228
Pool #MA5195 5.500% 5/20/48		391,656		418,388
Pool #MA5654 5.500% 12/20/48		104,282		110,975
Pool #MA5713 5.500% 1/20/49		77,299		82,164
Pool #MA5820 5.500% 3/20/49		205,369		217,845
Uniform Mortgage Backed Securities TBA (h) Pool #1438 3.500% 8/01/23		1,510,000		1,565,563
				91,946,119
Whole Loans — 1.6%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2018-DNA1, Class M1, 1 mo. USD LIBOR + .450% 2.242% FRN 7/25/30		351,765		351,521
Series 2019-DNA4, Class M1, 1 mo. USD LIBOR + .700% 2.408% FRN 10/25/49 (c)		551,483		551,209
Series 2017-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.542% FRN 3/25/30		461,199		461,373
Series 2018-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.542% FRN 9/25/48 (c)		162,124		162,221
Series 2019-HQA3, Class M1, 1 mo. USD LIBOR + .750% 2.542% FRN 9/25/49 (c)		253,157		253,192
Series 2019-HQA4, Class M1, 1 mo. USD LIBOR + .770% 2.562% FRN 11/25/49 (c)		420,000		420,000
Series 2018-DNA2, Class M1, 1 mo. USD LIBOR + .800% 2.592% FRN 12/25/30 (c)		463,293		463,807
Series 2019-DNA1, Class M1, 1 mo. USD LIBOR + .900% 2.692% FRN 1/25/49 (c)		274,086		274,272
Series 2019-HQA1, Class M1, 1 mo. USD LIBOR + .900% 2.692% FRN 2/25/49 (c)		82,107		82,138
Series 2018-DNA1, Class M2AT, 2.842% FRN 7/25/30 (g)		645,000		643,513
Series 2017-DNA3, Class M2AS, 2.892% FRN 3/25/30 (g)		745,000		743,977
Series 2018-HQA1, Class M2AS, 2.892% FRN 9/25/30 (g)		590,000		589,415
Series 2017-DNA1, Class M1, 1 mo. USD LIBOR + 1.200% 2.992% FRN 7/25/29		744,919		746,843
Series 2019, Class M2, 1 mo. USD LIBOR + 1.400% 3.192% FRN 2/25/49 (c)		390,000		391,057
Series 2018-SP12, Class M2, 3.813% VRN 5/25/48 (c) (g)		65,000		64,736
Series 2017-HQA3, Class M2, 1 mo. USD LIBOR + 2.350% 4.142% FRN 4/25/30		809,846		824,609
Series 2018-SPI3, Class M1, 4.152% VRN 8/25/48 (c) (g)		103,412		103,981
Series 2018-SPI3, Class M2, 4.152% VRN 8/25/48 (c) (g)		460,000		458,141
Series 2015-DNA2, Class M2, 1 mo. USD LIBOR + 2.600% 4.392% FRN 12/25/27		195,814		196,305
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2019-R03, Class 1M1, 1 mo. USD LIBOR + .750% 2.542% FRN 9/25/31 (c)		96,650		96,650
Series 2019-R05, Class 1M1, 1 mo. USD LIBOR + .750% 2.542% FRN 7/25/39 (c)		221,409		221,409
Series 2019-R06, Class 2M1, 1 mo. USD LIBOR + .750% 2.542% FRN 9/25/39 (c)		483,563		483,612
Series 2019-R02, Class 1M1, 1 mo. USD LIBOR + .850% 2.642% FRN 8/25/31 (c)		20,390		20,391
Series 2017-C04, Class 2ED2, 1 mo. USD LIBOR + 1.100% 2.892% FRN 11/25/29		960,000		955,145
Series 2017-C02, Class 2M1, 1 mo. USD LIBOR + 1.150% 2.942% FRN 9/25/29		77,893		77,957
Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 3.142% FRN 9/25/29		985,000		986,176
Series 2017-C06, Class 1M2B, 4.442% FRN 2/25/30 (g)		520,000		535,827
				11,159,477
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $101,545,628)				103,591,594

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

191

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 12.4%
U.S. Treasury Bonds & Notes — 12.4%
U.S. Treasury Bond 2.750% 11/15/47 (i)	$	6,140,000	$	6,600,940
3.000% 8/15/48		1,500,000		1,693,626
3.000% 2/15/49		6,160,000		6,966,627
3.875% 8/15/40		630,000		795,243
4.250% 11/15/40		5,080,000		6,733,741
U.S. Treasury Note 1.375% 10/15/22		11,200,000		11,131,255
1.500% 9/30/21		4,060,000		4,053,786
1.500% 11/30/21 (f)		545,000		544,284
1.500% 8/15/22		5,750,000		5,737,439
1.500% 9/15/22		20,525,000		20,479,280
1.625% 11/15/22		9,010,000		9,016,029
1.625% 12/15/22		8,635,000		8,643,516
2.875% 5/15/49		4,365,100		4,824,500
				87,220,266
TOTAL U.S. TREASURY OBLIGATIONS (Cost $84,764,018)				87,220,266
TOTAL BONDS & NOTES (Cost $656,185,080)				674,356,900
TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $38,003)				17,906

	Number of Shares
MUTUAL FUNDS — 0.1%
Diversified Financial Services — 0.1%
State Street Navigator Securities Lending Prime Portfolio (j)		728,801	728,801
TOTAL MUTUAL FUNDS (Cost $728,801)			728,801
TOTAL LONG-TERM INVESTMENTS (Cost $656,951,884)			675,103,607
SHORT-TERM INVESTMENTS — 4.8%
Mutual Fund — 3.9%
T. Rowe Price Government Reserve Investment Fund		27,592,019	27,592,019

	Principal Amount
Repurchase Agreement — 0.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (k)	$	2,055,803		2,055,803
Sovereign Debt Obligations— 0.6%
Egypt Treasury Bills 14.813% 2/11/20 EGP (d)		50,000		3,068
15.243% 1/14/20 EGP (d)		1,000,000		62,045
15.399% 6/16/20 EGP (d)		2,500,000		145,805
15.679% 1/07/20 EGP (d)		2,850,000		177,326
16.149% 1/28/20 EGP (d)		1,450,000		89,498
16.150% 1/14/20 EGP (d)		1,425,000		88,413
Japan Treasury Discount Bill, 0.000%, due 3/02/20 JPY (d)		380,000,000		3,498,211
				4,064,366
TOTAL SHORT-TERM INVESTMENTS (Cost $33,695,767)				33,712,188
TOTAL INVESTMENTS — 100.6% (Cost $690,647,651) (l)				708,815,795
Less Unfunded Loan Commitments — 0.0%				(51,253	)
NET INVESTMENTS — 100.6% (Cost $690,596,398)				708,764,542
Other Assets/(Liabilities) — (0.6)%				(4,209,299	)
NET ASSETS — 100.0%			$	704,555,243

Abbreviation Legend

ABS Asset-Backed Security

BPSW British pound sterling LIBOR

CDOR Canadian Dollar Offered Rate

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

DIP Debtor In Possession

EUAMDB Euribor ICE Swap Rate

FRN Floating Rate Note

MBS Mortgage-Backed Security

OAT Obligations Assimilables du Tresor

SOFR Secured Overnight Financing Rate

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) All or a portion of the security represents unsettled loan commitments at December 31, 2019 where the rate will be determined at time of settlement.

(b) Unfunded or partially unfunded loan commitments.

(c) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $220,613,831 or 31.31% of net assets.

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

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

192

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(e) Security is perpetual and has no stated maturity date.

(f) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $717,141 or 0.10% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $3,384 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

(g) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019.

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

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

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

(k) Maturity value of $2,055,894. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $2,097,822.

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

(#) Credit Default Index Swaptions Purchased

					Paid by Fund				Received by Fund
Description	Counterparty	Expiration Date	Exercise Rate		Rate/ Reference Obligation Index			Frequency	Rate/ Reference Obligation Index	Frequency	Notional Amount		Value		Premium Paid (Received)		Unrealized Appreciation/ (Depreciation)
Put
Sell Protection on 5-Year Credit Default Swap, 12/20/24	Goldman Sachs International	2/19/20		107.50		5.00	%	Quarterly	CDX.NA.HY Series 33	Quarterly	USD	2,500,000	$	6,412	$	14,602	$	(8,190	)
Sell Protection on 5-Year Credit Default Swap, 12/20/24	Goldman Sachs International	2/19/20		237.50		5.00	%	Quarterly	iTraxx Europe Crossover Series 32	Quarterly	EUR	5,000,000		11,494		23,401		(11,907	)
													$	17,906	$	38,003	$	(20,097	)

Credit Default Index Swaptions Written

					Paid by Fund				Received by Fund
Description	Counterparty	Expiration Date	Exercise Rate		Rate			Frequency	Rate	Frequency	Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
Buy Protection on 5-Year Credit Default Swap, 12/20/24	Goldman Sachs International	2/19/20		109.50		CDX.NA.HY Series 33		Quarterly	5.00%	Quarterly	USD	2,500,000	$	(7,771	)	$	(1,238	)	$	(6,533	)
Buy Protection on 5-Year Credit Default Swap, 12/20/24	Goldman Sachs International	2/19/20		200.00		CDX.NA.HY Series 33		Quarterly	5.00%	Quarterly	EUR	5,000,000		(10,002	)		(7,226	)		(2,776	)
														(17,773	)		(8,464	)		(9,309	)
Put
Buy Protection on 5-Year Credit Default Swap, 12/20/24	Goldman Sachs International	2/19/20		105.50		5.00	%	Quarterly	CDX.NA.HY Series 33	Quarterly	USD	2,500,000	$	(2,639	)	$	(6,188	)	$	3,549
Buy Protection on 5-Year Credit Default Swap, 12/20/24	Goldman Sachs International	2/19/20		275.00		5.00	%	Quarterly	iTraxx Europe Crossover Series 32	Quarterly	EUR	5,000,000		(4,227	)		(7,225	)		2,998
														(6,866	)		(13,413	)		6,547
													$	(24,639	)	$	(21,877	)	$	(2,762	)

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

193

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of America N.A.	1/10/20	USD	793,946	ZAR	12,270,000	$	(81,331	)
Bank of America N.A.	1/14/20	USD	1,525,572	ILS	5,313,870		(13,972	)
Bank of America N.A.	1/16/20	USD	2,226,242	INR	160,000,000		(12,518	)
Bank of America N.A.	1/17/20	RON	331,000	USD	76,555		957
Bank of America N.A.	1/17/20	CZK	59,706,000	USD	2,554,595		79,140
Bank of America N.A.	1/17/20	USD	196,716	RON	855,518		(3,625	)
Bank of America N.A.	2/14/20	PLN	571,000	USD	147,578		2,945
Barclays Bank PLC	1/10/20	ZAR	15,261,336	USD	1,087,178		1,486
Barclays Bank PLC	1/10/20	USD	392,685	ZAR	6,136,053		(45,029	)
Barclays Bank PLC	1/16/20	KRW	4,358,814,062	USD	3,713,421		56,878
Barclays Bank PLC	1/16/20	USD	2,452,199	KRW	2,917,500,000		(71,388	)
Barclays Bank PLC	1/16/20	USD	1,051,715	IDR	15,148,908,205		(38,242	)
Barclays Bank PLC	2/21/20	USD	1,416,620	SEK	13,585,273		(37,241	)
Barclays Bank PLC	3/03/20	USD	246,600	BRL	1,043,313		(12,174	)
Barclays Bank PLC	3/06/20	USD	4,645,435	CLP	3,449,184,052		55,244
Barclays Bank PLC	3/06/20	USD	563,719	THB	17,031,358		(5,733	)
Barclays Bank PLC	3/13/20	USD	1,487,306	ZAR	21,342,336		(22,523	)
BNP Paribas SA	1/16/20	KRW	1,558,811,940	USD	1,333,686		14,659
BNP Paribas SA	1/24/20	MXN	27,025,835	USD	1,413,369		11,616
BNP Paribas SA	1/24/20	CAD	121,000	USD	91,855		1,337
BNP Paribas SA	1/24/20	USD	77,631	CAD	102,000		(927	)
BNP Paribas SA	1/24/20	USD	1,505,628	JPY	162,333,000		10,188
BNP Paribas SA	2/21/20	GBP	88,000	USD	116,121		603
BNP Paribas SA	2/21/20	USD	7,037,774	GBP	5,465,850		(212,199	)
BNP Paribas SA	2/21/20	USD	167,583	EUR	149,625		(764	)
BNP Paribas SA	3/03/20	USD	405,874	BRL	1,735,000		(24,460	)
BNP Paribas SA	3/06/20	CLP	122,318,000	USD	166,660		(3,879	)
BNP Paribas SA	3/06/20	USD	971,350	CLP	755,444,979		(34,000	)
Citibank N.A.	1/14/20	USD	1,342,149	ILS	4,686,070		(15,509	)
Citibank N.A.	1/16/20	USD	527,616	IDR	7,574,453,000		(17,363	)
Citibank N.A.	1/17/20	CZK	1,685,000	USD	72,885		1,443
Citibank N.A.	1/17/20	RON	1,695,000	USD	391,613		5,313
Citibank N.A.	1/24/20	AUD	24,200	USD	16,492		499
Citibank N.A.	1/24/20	USD	94,485	MXN	1,795,000		(160	)
Citibank N.A.	2/21/20	EUR	283,757	USD	315,298		3,963
Citibank N.A.	2/21/20	GBP	66,000	USD	85,744		1,799
Citibank N.A.	2/21/20	USD	27,338,665	EUR	24,663,377		(410,724	)
Citibank N.A.	3/06/20	USD	563,906	THB	17,031,358		(5,546	)
Citibank N.A.	6/19/20	USD	4,838,329	JPY	512,500,000		77,854
Credit Suisse International	1/16/20	USD	1,055,619	IDR	15,148,906,000		(34,339	)
Credit Suisse International	3/06/20	CLP	2,190,027,000	USD	2,894,830		19,668
Deutsche Bank AG	1/17/20	CZK	966,000	USD	41,958		654
Deutsche Bank AG	2/21/20	GBP	51,484	USD	67,865		424
Goldman Sachs International	1/16/20	USD	837,214	TWD	25,746,000		(22,210	)
Goldman Sachs International	1/16/20	USD	1,373,798	KRW	1,642,079,002		(46,572	)
Goldman Sachs International	1/16/20	USD	104,659	IDR	1,474,438,500		(1,426	)
Goldman Sachs International	1/24/20	USD	326,470	NOK	2,939,186		(8,349	)
Goldman Sachs International	3/03/20	USD	329,813	BRL	1,391,085		(15,219	)
Goldman Sachs International	3/06/20	USD	196,667	CLP	153,174,078		(7,178	)
HSBC Bank USA	1/10/20	USD	393,759	ZAR	6,135,000		(43,880	)

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

194

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
HSBC Bank USA	1/16/20	KRW	100,703,000	USD	86,433	$	673
HSBC Bank USA	1/16/20	USD	155,213	IDR	2,200,744,800		(3,130	)
HSBC Bank USA	1/24/20	USD	137,747	CAD	181,169		(1,786	)
HSBC Bank USA	1/24/20	USD	13,904,604	JPY	1,500,005,672		86,284
HSBC Bank USA	1/24/20	USD	4,044,972	MXN	78,903,286		(115,346	)
HSBC Bank USA	2/21/20	EUR	605,222	USD	670,538		10,413
HSBC Bank USA	2/21/20	USD	244,345	SEK	2,324,254		(4,391	)
HSBC Bank USA	2/21/20	USD	718,183	EUR	646,698		(9,434	)
HSBC Bank USA	3/03/20	USD	744,798	BRL	3,129,940		(31,525	)
HSBC Bank USA	3/06/20	USD	3,470,247	MYR	14,511,878		(72,462	)
HSBC Bank USA	6/05/20	USD	1,310,986	MYR	5,445,835		(15,823	)
HSBC Bank USA	6/19/20	USD	4,836,776	JPY	512,500,000		76,301
JP Morgan Chase Bank N.A.	1/10/20	USD	395,559	ZAR	6,135,000		(42,080	)
JP Morgan Chase Bank N.A.	1/16/20	IDR	990,311,000	USD	69,780		1,472
JP Morgan Chase Bank N.A.	1/16/20	USD	1,223,014	KRW	1,458,750,000		(38,779	)
JP Morgan Chase Bank N.A.	1/17/20	RUB	6,151,717	USD	99,301		(281	)
JP Morgan Chase Bank N.A.	1/17/20	USD	373,369	RUB	24,606,869		(22,709	)
JP Morgan Chase Bank N.A.	1/17/20	USD	47,350	RON	202,000		47
JP Morgan Chase Bank N.A.	1/17/20	USD	44,874	CZK	1,025,000		(341	)
JP Morgan Chase Bank N.A.	1/24/20	MXN	1,227,000	USD	62,475		2,221
JP Morgan Chase Bank N.A.	1/24/20	JPY	63,434,000	USD	586,877		(2,512	)
JP Morgan Chase Bank N.A.	2/21/20	SEK	313,000	USD	32,856		640
JP Morgan Chase Bank N.A.	2/21/20	USD	103,748	GBP	80,000		(2,365	)
JP Morgan Chase Bank N.A.	4/17/20	USD	98,240	RUB	6,151,717		286
Morgan Stanley & Co. LLC	1/16/20	USD	1,378,612	INR	99,356,600		(11,610	)
Morgan Stanley & Co. LLC	1/16/20	USD	36,140	TWD	1,095,000		(412	)
Morgan Stanley & Co. LLC	1/24/20	JPY	3,138,000	USD	28,894		14
Morgan Stanley & Co. LLC	1/24/20	USD	2,097,189	AUD	3,052,831		(46,280	)
Morgan Stanley & Co. LLC	1/24/20	USD	660,514	JPY	71,505,045		1,797
Morgan Stanley & Co. LLC	2/21/20	EUR	710,479	USD	793,190		6,189
Morgan Stanley & Co. LLC	2/21/20	USD	95,092	EUR	85,589		(1,206	)
Morgan Stanley & Co. LLC	3/06/20	USD	859,455	CLP	677,959,204		(42,776	)
UBS AG	1/14/20	USD	47,781	ILS	165,000		(23	)
UBS AG	1/17/20	RON	125,000	USD	29,048		224
UBS AG	1/24/20	AUD	108,000	USD	75,775		54
UBS AG	1/24/20	CAD	51,606	USD	39,159		587
UBS AG	1/24/20	USD	2,728,917	CAD	3,572,169		(22,300	)
UBS AG	1/24/20	USD	442,325	JPY	47,701,000		2,895
UBS AG	2/21/20	USD	185,787	GBP	143,511		(4,567	)
UBS AG	2/21/20	USD	1,415,597	SEK	13,585,273		(38,264	)
UBS AG	2/21/20	USD	17,036,403	EUR	15,319,274		(199,700	)
UBS AG	3/06/20	USD	251,650	CLP	205,144,995		(21,358	)
UBS AG	3/06/20	USD	882,429	THB	26,780,000		(12,974	)
UBS AG	3/13/20	USD	854,555	SGD	1,160,828		(9,107	)
UBS AG	6/19/20	USD	3,280,167	GBP	2,580,000		(152,623	)
UBS AG	6/19/20	USD	24,165,209	EUR	21,022,000		337,404
						$	(1,300,473	)

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

195

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Futures contracts

	Expiration Date	Number of Contracts	Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
Euro-Bund	3/06/20	3	$	578,935		$	(5,219	)
Australia 10 Year Bond	3/16/20	46		4,702,104			(87,344	)
Korea 10 Year Bond	3/17/20	42		4,746,533			(15,018	)
Korea 3 Year Bond	3/17/20	129		12,313,541			17,005
U.S. Treasury Long Bond	3/20/20	29		4,595,432			(74,151	)
U.S. Treasury Ultra Bond	3/20/20	56		10,474,122			(301,372	)
U.S. Treasury Note 2 Year	3/31/20	655		141,192,899			(40,389	)
U.S. Treasury Note 5 Year	3/31/20	460		54,841,279			(280,966	)
						$	(787,454	)
Short
Euro-Bobl	3/06/20	38	$	(5,714,641	)	$	18,716
Euro-Buxl 30 Year Bond	3/06/20	2		(457,718	)		12,672
Euro-Schatz	3/06/20	16		(2,008,813	)		432
Canada 10 Year Bond	3/20/20	13		(1,401,343	)		25,008
U.S. Treasury Note 10 Year	3/20/20	164		(21,288,778	)		227,590
U.S. Treasury Ultra 10 Year	3/20/20	317		(45,133,751	)		530,860
UK Long Gilt	3/27/20	19		(3,339,594	)		33,101
U.S. Treasury Note 5 Year	3/31/20	16		(1,907,353	)		9,603
						$	857,982

Centrally Cleared Credit Default Swaps — Sell Protection†

Reference Obligation/ Index	Rate Received by Fund			Payment Frequency	Termination Date	Credit Rating	Notional Amount		Value		Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
iTraxx Europe Crossover Series 32		5.000	%	Quarterly	12/20/24	NR *	EUR	1,400,000	$	214,023	$	178,625	$	35,398
CDX.NA.IG Series 33		1.000	%	Quarterly	12/20/24	NR *	USD	52,270,000		1,354,466		1,156,489		197,977
CDX.NA.HY Series 33		5.000	%	Quarterly	12/20/24	NR *	USD	2,574,000		248,152		183,205		64,947
									$	1,816,641	$	1,518,319	$	298,322

OTC Credit Default Swaps — Sell Protection†

Reference Obligation/Index	Rate Received by Fund			Payment Frequency	Counterparty	Credit Rating	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
Republic of Greece		1.000	%	Quarterly	Bank of America N.A.	BB-*	6/20/22	USD	260,000	$	2,662		$	(7,203	)	$	9,865
Devon Energy Corporation		1.000	%	Quarterly	Bank of America N.A.	BBB+*	12/20/24	USD	65,000		922			(402	)		1,324
Republic of Greece		1.000	%	Quarterly	Barclays Bank PLC	CCC*	12/20/20	USD	160,000		1,120			(5,973	)		7,093
Republic of Greece		1.000	%	Quarterly	Barclays Bank PLC	CCC*	12/20/21	USD	160,000		1,732			(10,870	)		12,602
Republic of Greece		1.000	%	Quarterly	Barclays Bank PLC	CCC*	6/20/24	USD	135,000		(119	)		(8,192	)		8,073
Republic of Greece		1.000	%	Quarterly	Barclays Bank PLC	CCC*	6/20/24	USD	67,500		(59	)		(3,879	)		3,820
Republic of Greece		1.000	%	Quarterly	Barclays Bank PLC	CCC*	6/20/24	USD	67,500		(59	)		(3,879	)		3,820
Cardinal Health, Inc.		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	65,000		(64	)		(928	)		864
Cardinal Health, Inc.		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	130,000		(128	)		(1,916	)		1,788
Cardinal Health, Inc.		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	112,000		(111	)		(1,859	)		1,748
Colombia Government		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	320,000		4,255			1,619			2,636
Colombia Government		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	2,990,000		39,755			15,140			24,615
Devon Energy Corporation		1.000	%	Quarterly	Barclays Bank PLC	BBB+*	12/20/24	USD	30,000		425			-			425

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

196

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Reference Obligation/Index	Rate Received by Fund			Payment Frequency	Counterparty	Credit Rating	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
Devon Energy Corporation		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	50,000	$	709		$	24		$	685
Republic of Greece		1.000	%	Quarterly	Barclays Bank PLC	CCC*	12/20/24	USD	450,000		(2,551	)		(2,504	)		(47	)
Republic of Indonesia		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	350,000		6,220			2,336			3,884
Republic of Indonesia		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	600,000		10,663			3,434			7,229
Republic of Indonesia		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	648,237		11,520			4,215			7,305
Republic of Indonesia		1.000	%	Quarterly	Barclays Bank PLC	BBB*	12/20/24	USD	750,000		13,328			4,361			8,967
Republic of South Africa		1.000	%	Quarterly	Barclays Bank PLC	BB+*	12/20/24	USD	547,200		(14,866	)		(22,467	)		7,601
Republic of South Africa		1.000	%	Quarterly	Barclays Bank PLC	BB+*	12/20/24	USD	520,000		(14,127	)		(23,494	)		9,367
Cardinal Health, Inc.		1.000	%	Quarterly	BNP Paribas SA	BBB*	12/20/24	USD	78,000		(77	)		(1,674	)		1,597
Cardinal Health, Inc.		1.000	%	Quarterly	BNP Paribas SA	BBB*	12/20/24	USD	115,000		(114	)		(2,605	)		2,491
Cardinal Health, Inc.		1.000	%	Quarterly	BNP Paribas SA	BBB*	12/20/24	USD	40,000		(40	)		(1,046	)		1,006
Devon Energy Corporation		1.000	%	Quarterly	BNP Paribas SA	BBB*	12/20/24	USD	50,000		709			-			709
Colombia Government		1.000	%	Quarterly	Citibank N.A.	BBB*	12/20/24	USD	685,000		9,108			2,110			6,998
Colombia Government		1.000	%	Quarterly	Citibank N.A.	BBB*	12/20/24	USD	715,000		9,507			2,464			7,043
Colombia Government		1.000	%	Quarterly	Citibank N.A.	BBB*	12/20/24	USD	315,000		4,188			1,720			2,468
Colombia Government		1.000	%	Quarterly	Citibank N.A.	BBB*	12/20/24	USD	610,000		8,110			3,332			4,778
Colombia Government		1.000	%	Quarterly	Citibank N.A.	BBB*	12/20/24	USD	1,980,000		26,326			10,016			16,310
Colombia Government		1.000	%	Quarterly	Citibank N.A.	BBB*	12/20/24	USD	1,475,000		19,612			7,096			12,516
Devon Energy Corporation		1.000	%	Quarterly	Citibank N.A.	BBB*	12/20/24	USD	105,000		1,489			(551	)		2,040
Republic of South Africa		1.000	%	Quarterly	Citibank N.A.	BB+*	12/20/24	USD	934,366		(25,384	)		(34,239	)		8,855
Colombia Government		1.000	%	Quarterly	Goldman Sachs International	BBB*	12/20/24	USD	840,000		11,169			3,525			7,644
Republic of Indonesia		1.000	%	Quarterly	Goldman Sachs International	BBB*	12/20/24	USD	2,865,207		50,917			20,736			30,181
Republic of Indonesia		1.000	%	Quarterly	Goldman Sachs International	BBB*	12/20/24	USD	2,074,358		36,863			13,227			23,636
Republic of South Africa		1.000	%	Quarterly	Goldman Sachs International	BB+*	12/20/24	USD	369,238		(10,031	)		(14,310	)		4,279
Barclays Bank PLC		1.000	%	Quarterly	JP Morgan Chase Bank N.A.	A+*	6/20/24	EUR	100,000		3,050			1,278			1,772
Cardinal Health, Inc.		1.000	%	Quarterly	JP Morgan Chase Bank N.A.	BBB*	12/20/24	USD	48,000		(47	)		(708	)		661
Cardinal Health, Inc.		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	67,000		(66	)		(1,344	)		1,278
Cardinal Health, Inc.		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	60,000		(59	)		(1,345	)		1,286
Colombia Government		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	965,000		12,831			3,489			9,342
Colombia Government		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	380,000		5,052			1,924			3,128
Colombia Government		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	500,000		6,648			1,481			5,167
Devon Energy Corporation		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	105,000		1,489			(651	)		2,140
Devon Energy Corporation		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	100,000		1,418			(239	)		1,657
Republic of Greece		1.000	%	Quarterly	Morgan Stanley & Co. LLC	CCC*	12/20/24	USD	134,000		(758	)		(993	)		235
Republic of Indonesia		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	400,000		7,108			2,192			4,916
Republic of Indonesia		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	400,000		7,048			3,349			3,699
Republic of Indonesia		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	1,555,768		27,647			10,304			17,343
Republic of Indonesia		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	273,333		4,857			1,742			3,115
Republic of Indonesia		1.000	%	Quarterly	Morgan Stanley & Co. LLC	BBB*	12/20/24	USD	3,753,097		66,696			23,930			42,766
										$	346,493		$	(8,227	)	$	354,720

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/Reference	Frequency	Rate/Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation  (Depreciation)
Fixed 2.620%	Annually	6-Month WIBOR	Semi-Annually	2/20/23	PLN	3,700,000	$	(25,679	)	$	-	$	(25,679	)
Fixed 2.440%	Annually	6-Month WIBOR	Semi-Annually	3/12/23	PLN	230,000		(1,284	)		-		(1,284	)
Fixed 2.350%	Annually	6-Month WIBOR	Semi-Annually	4/06/23	PLN	700,000		(3,455	)		-		(3,455	)
Fixed 2.305%	Annually	6-Month WIBOR	Semi-Annually	4/20/23	PLN	500,000		(2,306	)		-		(2,306	)
Fixed 2.430%	Annually	6-Month WIBOR	Semi-Annually	5/07/23	PLN	1,000,000		(5,749	)		-		(5,749	)
Fixed 2.518%	Annually	6-Month WIBOR	Semi-Annually	5/18/23	PLN	900,000		(5,896	)		-		(5,896	)
Fixed 2.395%	Annually	6-Month WIBOR	Semi-Annually	8/23/23	PLN	1,400,000		(8,181	)		-		(8,181	)
Fixed 3.090%	Annually	6-Month WIBOR	Semi-Annually	2/20/28	PLN	1,070,000		(26,751	)		-		(26,751	)

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

197

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Paid by the Fund		Received by the Fund
Rate/Reference	Frequency	Rate/Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
Fixed 2.850%	Annually	6-Month WIBOR	Semi-Annually	4/06/28	PLN	100,000	$	(2,044	)	$	-	$	(2,044	)
Fixed 2.920%	Annually	6-Month WIBOR	Semi-Annually	5/07/28	PLN	200,000		(4,411	)		-		(4,411	)
Fixed 3.030%	Annually	6-Month WIBOR	Semi-Annually	5/18/28	PLN	300,000		(7,312	)		-		(7,312	)
Fixed 1.715%	Annually	6-Month WIBOR	Semi-Annually	9/24/29	PLN	1,700,000		5,998			-		5,998
Fixed 1.780%	Annually	6-Month WIBOR	Semi-Annually	10/22/29	PLN	823,529		1,669			-		1,669
Fixed 1.775%	Annually	6-Month WIBOR	Semi-Annually	10/22/29	PLN	1,176,471		2,466			-		2,466
Fixed 1.820%	Annually	6-Month WIBOR	Semi-Annually	11/05/29	PLN	317,460		345			-		345
Fixed 1.800%	Annually	6-Month WIBOR	Semi-Annually	11/05/29	PLN	317,461		496			-		496
Fixed 1.800%	Annually	6-Month WIBOR	Semi-Annually	11/05/29	PLN	317,460		496			-		496
Fixed 1.803%	Annually	6-Month WIBOR	Semi-Annually	11/05/29	PLN	317,460		477			-		477
Fixed 1.800%	Annually	6-Month WIBOR	Semi-Annually	11/06/29	PLN	317,460		496			-		496
Fixed 1.860%	Annually	6-Month WIBOR	Semi-Annually	11/07/29	PLN	312,699		41			-		41
Fixed 1.710%	Annually	6-Month WIBOR	Semi-Annually	12/19/29	PLN	2,500,000		9,400			-		9,400
							$	(71,184	)	$	-	$	(71,184	)

OTC Total Return Swaps

Paid by the Fund			Received by the Fund
Rate/Reference		Frequency	Rate/Reference	Frequency	No. of Contracts		Counterparty	Termination Date	Value		Upfront Premium Received (Paid)/ Received		Unrealized Appreciation (Depreciation)
3M Euribor EUR	200,000	Quarterly	Markit iBoxx EUR Liquid High Yield Index	Quarterly		989	Goldman Sachs International	3/20/20	$	1,544	$	-	$	1,544
3M Euribor EUR	500,000	Quarterly	Markit iBoxx EUR Liquid High Yield Index	Quarterly		2,474	JP Morgan Chase Bank N.A.	3/20/20		4,334		-		4,334
									$	5,878	$	-	$	5,878

* Rating is determined by T. Rowe Price 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.

† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the creditworthiness of the underlying issuer. As the credit rating declines, the likelihood of payment by the fund increases. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

Currency Legend

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CLP Chilean Peso

CZK Czech Koruna

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

ILS Israeli Shekel

INR Indian Rupee

JPY Japanese Yen

KRW South Korean Won

MXN Mexican Peso

MYR Malaysian Ringgit

NOK Norwegian Krone

PLN Polish Zloty

RON New Romanian Leu

RUB Russian Ruble

SEK Swedish Krona

SGD Singapore Dollar

THB Thai Baht

TWD Taiwan Dollar

USD U.S. Dollar

ZAR South African Rand

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

198

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 97.6%
CORPORATE DEBT — 40.4%
Argentina — 0.3%
IRSA Propiedades Comerciales SA 8.750% 3/23/23 (a)	$	240,000	$	213,600
Tarjeta Naranja SA BADLARPP + 3.500% 61.771% FRN 4/11/22 (a)		200,000		34,961
YPF SA 8.500% 7/28/25 (a)		80,000		75,600
8.750% 4/04/24 (a)		35,000		34,125
				358,286
Australia — 1.5%
CNOOC Curtis Funding No 1 Pty Ltd. 4.500% 10/03/23 (a)		1,600,000		1,713,129
Austria — 0.4%
Klabin Austria GmbH 5.750% 4/03/29 (a)		200,000		213,002
Suzano Austria GmbH 6.000% 1/15/29		200,000		225,500
				438,502
Brazil — 2.0%
Banco BTG Pactual SA/Cayman Islands 5 year CMT + 5.257% 7.750% VRN 2/15/29 (a)		300,000		317,628
Banco do Brasil SA 10 year CMT + 4.398% 6.250% VRN (a) (b)		300,000		304,428
10 year CMT + 6.362% 9.000% VRN (a) (b)		1,000,000		1,138,760
BRF SA 4.875% 1/24/30 (a)		300,000		309,378
Itau Unibanco Holding SA 5 year CMT + 3.981% 6.125% VRN (a) (b)		200,000		208,752
Oi SA 10.000% 7/27/25		100,000		89,500
				2,368,446
British Virgin Islands — 0.7%
Gold Fields Orogen Holdings BVI Ltd. 5.125% 5/15/24 (a) (c)		200,000		213,600
State Grid Overseas Investment 2013 Ltd. 4.375% 5/22/43 (a)		200,000		233,143
State Grid Overseas Investment 2016 Ltd. 2.875% 5/18/26 (a)		400,000		403,685
				850,428
Canada — 0.2%
St Marys Cement, Inc. 5.750% 1/28/27 (a)		200,000		224,500
Cayman Islands — 2.0%
AC Energy Finance International Ltd. 5.650% (a) (b)		222,000		224,264
Cosan Overseas Ltd. 8.250% (a) (b)		100,000		103,876
Country Garden Holdings Co. Ltd. 4.750% 1/17/23 (a)		200,000		201,476
Health & Happiness H&H International Holdings Ltd. 5.625% 10/24/24 (a)		200,000		206,808
KSA Sukuk Ltd. 2.969% 10/29/29 (a)		560,000		562,100
Latam Finance Ltd. 7.000% 3/01/26 (a)		300,000		324,753
Lima Metro Line 2 Finance Ltd. 5.875% 7/05/34 (a)		110,051		127,385
Metropolitan Light Co. Ltd. 5.500% 11/21/22 (a)		200,000		206,623
Rutas 2 and 7 Finance Ltd. 0.010% 9/30/36 (a)		200,000		129,500
Times China Holdings Ltd. 6.750% 7/16/23 (a)		200,000		204,258
				2,291,043
Chile — 0.4%
Celulosa Arauco y Constitucion SA 4.200% 1/29/30 (a)		200,000		200,600
Corp. Nacional del Cobre de Chile 3.700% 1/30/50 (a)		330,000		316,345
				516,945
Costa Rica — 0.1%
Instituto Costarricense de Electricidad 6.375% 5/15/43 (a)		200,000		171,500
Hong Kong — 1.4%
CNAC HK Finbridge Co. Ltd. 4.625% 3/14/23 (a)		1,500,000		1,576,865
India — 0.2%
Bharti Airtel Ltd. 4.375% 6/10/25 (a)		200,000		203,682
Indonesia — 3.4%
Pertamina Persero PT 5.625% 5/20/43 (a)		1,400,000		1,631,648
6.000% 5/03/42 (a)		400,000		487,592
Perusahaan Listrik Negara PT 3.875% 7/17/29 (a)		545,000		568,163
4.125% 5/15/27 (a)		200,000		210,750
4.875% 7/17/49 (a)		200,000		216,500
5.250% 10/24/42 (a)		200,000		224,000

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

199

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
6.250% 1/25/49 (a)	$	200,000	$	258,900
6.250% 1/25/49 (a)		250,000		323,625
				3,921,178
Ireland — 0.4%
C&W Senior Financing DAC 7.500% 10/15/26 (a)		200,000		216,572
LCPR Senior Secured Financing DAC 6.750% 10/15/27 (a)		200,000		212,000
				428,572
Israel — 1.9%
Israel Chemicals Ltd. 6.375% 5/31/38 (a)		150,000		178,525
6.375% 5/31/38 (a)		200,000		238,034
Israel Electric Corp. Ltd. 4.250% 8/14/28 (a)		1,300,000		1,414,231
4.250% 8/14/28 (a)		400,000		435,148
				2,265,938
Kazakhstan — 0.4%
KazMunayGas National Co. JSC 6.375% 10/24/48 (a)		370,000		475,665
Luxembourg — 1.4%
ALROSA Finance SA 4.650% 4/09/24 (a)		300,000		320,185
CSN Resources SA 7.625% 2/13/23 (a)		200,000		213,202
7.625% 2/13/23 (a)		250,000		266,503
MHP Lux SA 6.250% 9/19/29 (a)		220,000		215,598
Minerva Luxembourg SA 6.500% 9/20/26 (a)		350,000		372,316
Rumo Luxembourg Sarl 7.375% 2/09/24 (a)		200,000		215,500
				1,603,304
Mauritius — 0.2%
MTN Mauritius Investments Ltd. 6.500% 10/13/26 (a)		200,000		221,000
Mexico — 9.7%
Axtel SAB de CV 6.375% 11/14/24 (a)		400,000		421,004
BBVA Bancomer SA 5 year CMT + 2.650% 5.125% VRN 1/18/33 (a)		400,000		403,504
Braskem Idesa SAPI 7.450% 11/15/29 (a)		215,000		229,085
Cometa Energia SA de CV 6.375% 4/24/35 (a)		387,600		421,515
Controladora Mabe SA de CV 5.600% 10/23/28 (a)		200,000		220,000
Mexico City Airport Trust 5.500% 7/31/47 (a)		2,370,000		2,444,086
5.500% 7/31/47 (a)		350,000		360,941
Petroleos Mexicanos 5.350% 2/12/28		500,000		497,500
5.500% 6/27/44		2,100,000		1,883,700
5.625% 1/23/46		1,450,000		1,295,459
6.500% 6/02/41		2,735,000		2,715,855
6.840% 1/23/30 (a)		245,000		261,253
Sixsigma Networks Mexico SA de CV 7.500% 5/02/25 (a)		200,000		201,500
				11,355,402
Netherlands — 4.8%
Mong Duong Finance Holdings BV 5.125% 5/07/29 (a)		250,000		255,851
Petrobras Global Finance BV 6.850% 6/05/21		200,000		228,552
6.850% 6/05/21		300,000		342,828
7.375% 1/17/27		400,000		488,000
8.750% 5/23/26 (c)		3,350,000		4,301,400
				5,616,631
Panama — 0.2%
Aeropuerto Internacional de Tocumen SA 5.625% 5/18/36 (a)		200,000		235,252
Paraguay — 0.2%
Telfon Celuar Del Paragu SA 5.875% 4/15/27 (a)		200,000		213,750
Peru — 0.4%
Consorcio Transmantaro SA 4.700% 4/16/34 (a)		200,000		219,752
Peru LNG SRL 5.375% 3/22/30 (a)		200,000		197,002
				416,754
Saudi Arabia — 0.3%
Saudi Arabian Oil Co. 3.500% 4/16/29 (a)		300,000		311,034
South Africa — 4.0%
Eskom Holdings SOC Ltd. 6.750% 8/06/23 (a)		200,000		203,752
7.125% 2/11/25 (a)		1,350,000		1,379,543
7.125% 2/11/25 (a)		2,000,000		2,043,768
8.450% 8/10/28 (a)		800,000		862,000
FirstRand Bank Ltd. 5 year USD Swap + 3.561% 6.250% VRN 4/23/28 (a)		200,000		211,950
				4,701,013
Sri Lanka — 0.3%
SriLankan Airlines Ltd. 7.000% 6/25/24 (a)		300,000		295,500
Thailand — 0.3%
Bangkok Bank PCL 5 year CMT + 1.900% 3.733% VRN 9/25/34 (a)		200,000		202,459

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

200

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Thaioil Treasury Center Co. Ltd. 3.500% 10/17/49 (a)	$	200,000	$	189,834
				392,293
Turkey — 1.1%
Akbank Turk AS 5 year USD Swap + 5.026% 7.200% VRN 3/16/27 (a)		400,000		389,600
Turk Telekomunikasyon AS 4.875% 6/19/24 (a)		450,000		447,750
Turkiye Garanti Bankasi AS 5 year USD Swap + 4.220% 6.125% VRN 5/24/27 (a)		300,000		283,650
Turkiye Sise ve Cam Fabrikalari AS 6.950% 3/14/26 (a)		200,000		211,080
				1,332,080
United Arab Emirates — 0.6%
Emirates NBD Bank PJSC 6 year USD Swap + 3.656% 6.125% VRN (a) (b)		200,000		209,996
NBK Tier 1 Financing 2 Ltd. 6 year USD Swap + 2.832% 4.500% VRN (a) (b)		245,000		244,388
Ruwais Power Co. PJSC 6.000% 8/31/36 (a)		200,000		246,334
				700,718
United Kingdom — 0.4%
Petropavlovsk Ltd. 8.125% 11/14/22 (a)		200,000		205,400
Ukraine Railways Via Rail Capital Markets PLC 8.250% 7/09/24 (a)		200,000		213,300
				418,700
United States — 0.4%
Azul Investments LLP 5.875% 10/26/24 (a) (c)		500,000		518,505
Venezuela — 0.8%
Petroleos de Venezuela SA 5.375% 4/12/27 (a) (d)		900,000		69,750
6.000% 5/16/24 (a) (d)		2,400,000		186,000
6.000% 11/15/26 (a) (d)		1,750,000		135,625
8.500% 10/27/20 (a) (d)		250,000		45,000
9.000% 11/17/21 (a) (d)		4,990,000		386,725
9.750% 5/17/35 (a) (d)		150,000		11,625
12.750% 2/17/22 (a) (d)		1,500,000		116,250
				950,975
TOTAL CORPORATE DEBT (Cost $47,543,479)				47,087,590
SOVEREIGN DEBT OBLIGATIONS — 57.1%
Argentina — 3.4%
Argentine Republic Government International Bond 1.000% VRN 12/15/35 (e)		845,000		19,401
3.750% STEP 12/31/38		450,000		219,379
5.875% 1/11/28		590,000		277,300
6.875% 1/26/27		270,000		134,325
7.500% 4/22/26		4,180,000		2,173,600
8.280% 12/31/33		525,764		314,471
8.280% 12/31/33		1,577,293		743,391
Provincia de Buenos Aires 9.125% 3/16/24 (a)		175,000		76,563
				3,958,430
Armenia — 0.2%
Republic of Armenia Government International Bond 3.950% 9/26/29 (a)		200,000		198,000
Bahamas — 1.5%
Bahamas Government International Bond 6.000% 11/21/28 (a)		1,600,000		1,784,000
Bermuda — 0.6%
Bermuda Government International Bond 4.750% 2/15/29 (a)		600,000		677,250
Brazil — 4.3%
Brazil Notas do Tesouro Nacional Serie B 6.000% 8/15/24 BRL (f)		350,000		328,391
Brazil Notas do Tesouro Nacional Serie F 10.000% 1/01/23 BRL (f)		4,025,000		1,063,474
Brazilian Government International Bond 2.625% 1/05/23		1,200,000		1,200,000
4.625% 1/13/28		850,000		912,900
5.000% 1/27/45		900,000		934,920
5.625% 1/07/41		500,000		560,000
				4,999,685
Colombia — 2.2%
Colombia Government International Bond 4.000% 2/26/24		550,000		579,612
4.000% 2/26/24		400,000		421,536
4.500% 3/15/29		400,000		443,600
5.625% 2/26/44		800,000		994,000
6.125% 1/18/41		100,000		129,400
				2,568,148
Costa Rica — 1.2%
Costa Rica Government International Bond 4.250% 1/26/23 (a)		200,000		201,000
4.375% 4/30/25 (a)		500,000		498,750

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

201

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
6.125% 2/19/31 (a)	$	200,000	$	212,750
7.000% 4/04/44 (a)		200,000		210,500
7.158% 3/12/45 (a)		200,000		213,000
				1,336,000
Dominican Republic — 1.2%
Dominican Republic International Bond 6.850% 1/27/45 (a)		800,000		913,000
6.875% 1/29/26 (a)		450,000		513,567
				1,426,567
Ecuador — 1.8%
Ecuador Government International Bond 7.875% 1/23/28 (a)		900,000		799,884
7.950% 6/20/24 (a)		1,200,000		1,137,000
9.650% 12/13/26 (a)		200,000		190,000
				2,126,884
Egypt — 1.8%
Egypt Government International Bond 7.600% 3/01/29 (a)		200,000		218,666
7.903% 2/21/48 (a)		200,000		209,660
8.500% 1/31/47 (a)		1,000,000		1,109,380
8.500% 1/31/47 (a)		550,000		610,159
				2,147,865
El Salvador — 1.2%
El Salvador Government International Bond 5.875% 1/30/25 (a)		300,000		316,125
7.650% 6/15/35 (a)		250,000		285,000
8.625% 2/28/29 (a)		700,000		840,000
				1,441,125
Ghana — 1.0%
Ghana Government International Bond 8.125% 1/18/26 (a)		1,100,000		1,184,634
Guatemala — 0.4%
Guatemala Government International Bond 4.900% 6/01/30 (a)		400,000		428,000
India — 0.2%
Export Import Bank of India 3.375% 8/05/26 (a)		200,000		203,269
Indonesia — 5.3%
Indonesia Government International Bond 4.625% 4/15/43 (a)		950,000		1,062,006
4.750% 2/11/29		205,000		234,714
Indonesia Treasury Bond 9.000% 3/15/29 IDR (f)		10,200,000,000		819,425
Perusahaan Penerbit SBSN Indonesia 4.150% 3/29/27 (a)		600,000		643,932
Perusahaan Penerbit SBSN Indonesia III 4.450% 2/20/29 (a)		400,000		440,964
4.550% 3/29/26 (a)		2,750,000		3,007,922
				6,208,963
Ivory Coast — 1.1%
Ivory Coast Government International Bond 5.750% STEP 12/31/32 (a)		880,000		877,918
6.625% 3/22/48 EUR (a) (f)		400,000		450,916
				1,328,834
Jamaica — 1.6%
Jamaica Government International Bond 6.750% 4/28/28		400,000		474,000
8.000% 3/15/39		500,000		680,000
8.000% 3/15/39		500,000		680,000
				1,834,000
Kenya — 0.4%
Kenya Government International Bond 7.250% 2/28/28 (a)		400,000		434,446
Mexico — 1.7%
Mexican Bonos 6.500% 6/10/21 MXN (f)		10,400,000		547,912
8.000% 11/07/47 MXN (f)		8,500,000		492,305
10.000% 11/20/36 MXN (f)		3,000,000		204,887
Mexico Government International Bond 4.750% 3/08/44		650,000		718,250
				1,963,354
Mongolia — 1.0%
Development Bank of Mongolia LLC 7.250% 10/23/23 (a)		500,000		529,224
7.250% 10/23/23 (a)		200,000		211,690
Mongolia Government International Bond 5.625% 5/01/23 (a)		400,000		411,982
				1,152,896
Nigeria — 1.3%
Nigeria Government International Bond 6.500% 11/28/27 (a)		500,000		510,111
7.143% 2/23/30 (a)		700,000		712,479
8.747% 1/21/31 (a)		300,000		330,839
				1,553,429
Oman — 1.8%
Oman Government International Bond 4.750% 6/15/26 (a)		1,050,000		1,064,437
4.750% 6/15/26 (a)		600,000		608,250
5.625% 1/17/28 (a)		400,000		413,500
				2,086,187

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

202

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pakistan — 0.2%
Pakistan Government International Bond 8.250% 4/15/24 (a)	$	200,000	$	222,748
Panama — 0.2%
Panama Government International Bond 3.870% 7/23/60		265,000		285,273
Paraguay — 0.6%
Paraguay Government International Bond 4.700% 3/27/27 (a)		400,000		440,000
5.400% 3/30/50 (a)		200,000		230,750
				670,750
Peru — 0.5%
Peruvian Government International Bond 2.844% 6/20/30		250,000		257,875
5.400% 8/12/34 PEN (a) (f)		865,000		274,017
				531,892
Romania — 0.3%
Romanian Government International Bond 4.625% 4/03/49 EUR (a) (f)		240,000		331,981
Russia — 1.2%
Russian Federal Bond — OFZ 7.150% 11/12/25 RUB (f)		17,300,000		293,343
Russian Foreign Bond — Eurobond 4.375% 3/21/29 (a)		800,000		889,200
5.250% 6/23/47 (a)		200,000		250,300
				1,432,843
Saudi Arabia — 0.6%
Saudi Government International Bond 3.250% 10/26/26 (a)		450,000		466,074
5.000% 4/17/49 (a)		200,000		239,000
				705,074
Senegal — 1.1%
Senegal Government International Bond 4.750% 3/13/28 EUR (a) (f)		400,000		472,454
6.250% 5/23/33 (a)		600,000		630,280
6.250% 5/23/33 (a)		200,000		210,093
				1,312,827
Serbia — 0.2%
Serbia Government International Bond 1.500% 6/26/29 EUR (a) (f)		235,000		267,981
South Africa — 1.8%
Republic of South Africa Government International Bond 4.850% 9/27/27		1,050,000		1,085,990
5.650% 9/27/47		550,000		534,875
6.250% 3/08/41		400,000		429,846
				2,050,711
Sri Lanka — 1.9%
Sri Lanka Government International Bond 5.750% 1/18/22 (a)		400,000		401,400
6.125% 6/03/25 (a)		600,000		583,459
6.125% 6/03/25 (a)		200,000		194,486
6.250% 7/27/21 (a)		600,000		609,900
6.825% 7/18/26 (a)		200,000		197,487
6.850% 3/14/24 (a)		200,000		202,489
				2,189,221
Turkey — 6.4%
Export Credit Bank of Turkey 4.250% 9/18/22 (a)		200,000		195,580
5.375% 2/08/21 (a)		200,000		203,000
Turkey Government International Bond 4.250% 4/14/26		1,050,000		979,377
4.875% 10/09/26		1,700,000		1,622,446
4.875% 4/16/43		650,000		535,600
5.125% 2/17/28		700,000		669,728
6.000% 3/25/27		1,450,000		1,468,974
6.000% 1/14/41		350,000		325,641
6.250% 9/26/22		1,000,000		1,044,208
6.875% 3/17/36		350,000		361,151
				7,405,705
Ukrainian Ssr — 4.4%
Ukraine Government International Bond 6.750% 6/20/26 EUR (a) (f)		100,000		125,900
7.750% 9/01/23 (a)		500,000		542,811
7.750% 9/01/25 (a)		1,000,000		1,091,252
7.750% 9/01/27 (a)		1,850,000		2,024,969
8.994% 2/01/24 (a)		300,000		337,689
9.750% 11/01/28 (a)		200,000		243,000
9.750% 11/01/28 (a)		600,000		729,000
				5,094,621
Uruguay — 0.3%
Uruguay Government International Bond 5.100% 6/18/50		325,000		389,902
Uzbekistan — 0.9%
Republic of Uzbekistan Bond 4.750% 2/20/24 (a)		400,000		424,433
5.375% 2/20/29 (a)		400,000		444,115
5.375% 2/20/29 (a)		200,000		222,058
				1,090,606
Venezuela — 0.2%
Venezuela Government International Bond 7.750% 10/13/19 (a) (d)		1,000,000		112,500
9.250% 9/15/27 (d)		300,000		34,500
11.750% 10/21/26 (a) (d)		300,000		34,500
12.750% 8/23/22 (a) (d)		255,000		29,325
				210,825

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

203

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Vietnam — 1.1%
Vietnam Government International Bond 4.800% 11/19/24 (a)	$	1,200,000	$	1,307,823
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $66,073,303)				66,542,749
U.S. TREASURY OBLIGATIONS — 0.1%
United States — 0.1%
U.S. Treasury Note 1.500% 6/15/20 (g)		130,000		129,935
TOTAL U.S. TREASURY OBLIGATIONS (Cost $129,456)				129,935
TOTAL BONDS & NOTES (Cost $113,746,238)				113,760,274

	Number of Shares
MUTUAL FUNDS — 0.7%
Diversified Financial Services — 0.7%
United States — 0.7%
State Street Navigator Securities Lending Prime Portfolio (h)		772,035	772,035
TOTAL MUTUAL FUNDS (Cost $772,035)			772,035
TOTAL LONG-TERM INVESTMENTS (Cost $114,518,273)			114,532,309
SHORT-TERM INVESTMENTS — 1.6%
Mutual Fund — 0.2%
T. Rowe Price Government Reserve Investment Fund		247,225	247,225

	Principal Amount
Repurchase Agreement — 1.4%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800% 1/02/20 (i)	$	1,662,090		1,662,090
TOTAL SHORT-TERM INVESTMENTS (Cost $1,909,315)				1,909,315
TOTAL INVESTMENTS — 99.9% (Cost $116,427,588) (j)				116,441,624
Other Assets/(Liabilities) — 0.1%				104,115
NET ASSETS — 100.0%			$	116,545,739

Abbreviation Legend

BADLAR Argentina Deposit Rate

CMT	Constant Maturity Treasury Index
FRN	Floating Rate Note
PJSC	Public Joint Stock Company
STEP	Step Up Bond
VRN	Variable Rate Note

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $74,942,123 or 64.30% of net assets.
(b)	Security is perpetual and has no stated maturity date.
(c)	Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $755,794 or 0.65% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).
(d)	Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At December 31, 2019, these securities amounted to a value of $1,161,800 or 1.00% of net assets.
(e)	Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019.
(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 pledged/held as collateral for open derivatives. (Note 2).
(h)	Represents investment of security lending cash collateral. (Note 2).
(i)	Maturity value of $1,662,164. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,696,768.
(j)	See Note 3 for aggregate cost for federal tax purposes.

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

204

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of America N.A.	1/10/20	USD	92,530	ZAR	1,430,000	$	(9,479	)
Barclays Bank PLC	1/10/20	ZAR	1,407,332	USD	96,036		4,357
Barclays Bank PLC	1/10/20	USD	45,517	ZAR	711,250		(5,219	)
Barclays Bank PLC	1/16/20	USD	104,542	IDR	1,505,822,200		(3,801	)
Barclays Bank PLC	3/03/20	USD	104,192	BRL	440,816		(5,144	)
Barclays Bank PLC	3/13/20	ZAR	3,575,000	USD	241,875		11,034
Barclays Bank PLC	3/13/20	USD	240,540	ZAR	3,575,000		(12,368	)
BNP Paribas SA	3/06/20	CLP	454,147,000	USD	604,876		(495	)
BNP Paribas SA	3/06/20	USD	448,854	CLP	353,735,099		(21,899	)
Citibank N.A.	1/10/20	ZAR	2,163,918	USD	146,556		7,806
Citibank N.A.	1/16/20	USD	52,446	IDR	752,912,000		(1,726	)
Citibank N.A.	1/24/20	USD	34,937	MXN	669,000		(337	)
Citibank N.A.	1/24/20	JPY	30,719,000	USD	284,721		(1,732	)
Citibank N.A.	2/21/20	USD	1,190,193	EUR	1,073,765		(17,927	)
Credit Suisse International	1/16/20	USD	104,930	IDR	1,505,824,000		(3,413	)
Deutsche Bank AG	1/24/20	MXN	832,600	USD	43,848		52
Goldman Sachs International	3/03/20	USD	379,085	BRL	1,613,755		(21,177	)
HSBC Bank USA	1/10/20	USD	45,890	ZAR	715,000		(5,114	)
HSBC Bank USA	1/24/20	USD	823,779	MXN	16,088,699		(24,526	)
HSBC Bank USA	3/03/20	USD	314,689	BRL	1,322,449		(13,320	)
JP Morgan Chase Bank N.A.	1/10/20	USD	46,100	ZAR	715,000		(4,904	)
JP Morgan Chase Bank N.A.	1/24/20	USD	116,813	MXN	2,266,791		(2,708	)
Morgan Stanley & Co. LLC	1/14/20	USD	277,175	PEN	939,000		(6,147	)
Morgan Stanley & Co. LLC	1/24/20	USD	282,157	JPY	30,719,000		(832	)
UBS AG	2/21/20	USD	744,383	EUR	669,360		(8,731	)
UBS AG	3/03/20	USD	44,890	BRL	190,096		(2,260	)
UBS AG	3/06/20	USD	127,273	CLP	100,411,901		(6,356	)
						$	(156,366	)

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Note 10 Year	3/20/20		19	$	2,467,356	$	(27,340	)
U.S. Treasury Ultra Bond	3/20/20		2		374,269		(10,956	)
U.S. Treasury Note 5 Year	3/31/20		52		6,199,449		(31,761	)
						$	(70,057	)

Currency Legend

BRL	Brazilian Real
CLP	Chilean Peso
EUR	Euro
IDR	Indonesian Rupiah
JPY	Japanese Yen
MXN	Mexican Peso
PEN	Peruvian New Sol
RUB	Russian Ruble
USD	U.S. Dollar
ZAR	South African Rand

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

205

MassMutual Select T. Rowe Price Large CapBlend Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.9%
COMMON STOCK — 99.0%
Basic Materials — 2.9%
Chemicals — 2.3%
Air Products & Chemicals, Inc.		525	$	123,370
CF Industries Holdings, Inc.		111,344		5,315,564
Eastman Chemical Co.		28,700		2,274,762
Linde PLC		89,681		19,093,085
PPG Industries, Inc.		39,349		5,252,698
				32,059,479
Forest Products & Paper — 0.1%
International Paper Co.		45,502		2,095,367
Mining — 0.5%
Freeport-McMoRan, Inc.		504,735		6,622,123
				40,776,969
Communications — 17.0%
Internet — 15.1%
Alibaba Group Holding Ltd. Sponsored ADR (a)		103,611		21,975,893
Alphabet, Inc. Class A (a)		17,596		23,567,906
Alphabet, Inc. Class C (a)		20,732		27,719,099
Amazon.com, Inc. (a)		26,060		48,154,710
Booking Holdings, Inc. (a)		3,343		6,865,619
Facebook, Inc. Class A (a)		208,874		42,871,389
IAC/InterActiveCorp (a)		21,303		5,306,790
Match Group, Inc. (a) (b)		28,744		2,360,170
MercadoLibre, Inc. (a)		3,492		1,997,214
Netflix, Inc. (a)		49,544		16,030,952
Spotify Technology SA (a)		22,854		3,417,816
Tencent Holdings Ltd.		260,100		12,546,846
Tencent Music Entertainment Group ADR (a)		261,170		3,066,136
				215,880,540
Media — 1.3%
The Walt Disney Co.		125,506		18,151,933
Telecommunications — 0.6%
AT&T, Inc.		1,045		40,839
Cisco Systems, Inc.		22,916		1,099,051
Motorola Solutions, Inc.		45,690		7,362,486
				8,502,376
				242,534,849
Consumer, Cyclical — 5.7%
Apparel — 0.5%
NIKE, Inc. Class B		61,407		6,221,143
VF Corp.		5,648		562,880
				6,784,023
Auto Manufacturers — 0.8%
Cummins, Inc.		7,971		1,426,490
Ferrari NV		39,970		6,616,634
Tesla, Inc. (a)		10,100		4,225,133
				12,268,257
Auto Parts & Equipment — 0.5%
Aptiv PLC		75,496		7,169,855
Home Builders — 0.1%
NVR, Inc. (a)		364		1,386,261
Leisure Time — 0.3%
Royal Caribbean Cruises Ltd.		33,570		4,481,931
Lodging — 1.4%
Las Vegas Sands Corp.		109,289		7,545,313
MGM Resorts International		106,750		3,551,572
Wynn Resorts Ltd.		67,139		9,323,593
				20,420,478
Retail — 2.1%
Dollar General Corp.		17,163		2,677,085
Dollar Tree, Inc. (a)		143,458		13,492,225
Dollarama, Inc.		158,729		5,455,373
Lululemon Athletica, Inc. (a)		19,100		4,424,897
Restaurant Brands International, Inc.		23,292		1,485,331
Ross Stores, Inc.		595		69,270
Ulta Salon Cosmetics & Fragrance, Inc. (a)		7,543		1,909,435
				29,513,616
				82,024,421
Consumer, Non-cyclical — 16.8%
Agriculture — 0.3%
Philip Morris International, Inc.		47,070		4,005,186
Biotechnology — 1.1%
Alexion Pharmaceuticals, Inc. (a)		21,390		2,313,329
Biogen, Inc. (a)		11,023		3,270,855
Vertex Pharmaceuticals, Inc. (a)		48,493		10,617,542
				16,201,726
Commercial Services — 2.0%
Ant International Co. Ltd., Class C (Acquired 6/07/18, Cost $1,171,890) (a) (c) (d) (e)		208,893		1,343,182
Equifax, Inc.		22,735		3,185,628
Global Payments, Inc.		36,036		6,578,732
PayPal Holdings, Inc. (a)		60,601		6,555,210
TransUnion		86,012		7,363,488
United Rentals, Inc. (a)		24,527		4,090,368
				29,116,608
Foods — 1.3%
Conagra Brands, Inc.		54,052		1,850,741
Tyson Foods, Inc. Class A		178,484		16,249,183
				18,099,924

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

206

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Health Care – Products — 5.9%
Alcon, Inc. (a)		61,899	$	3,506,561
Boston Scientific Corp. (a)		144,044		6,513,670
Danaher Corp.		150,429		23,087,843
Envista Holdings Corp. (a)		84,342		2,499,897
Intuitive Surgical, Inc. (a)		18,519		10,947,507
Medtronic PLC		57,747		6,551,397
Stryker Corp.		67,110		14,089,073
Thermo Fisher Scientific, Inc.		41,877		13,604,581
Zimmer Biomet Holdings, Inc.		22,083		3,305,383
				84,105,912
Health Care – Services — 3.1%
Anthem, Inc.		37,029		11,183,869
Centene Corp. (a)		116,321		7,313,101
HCA Healthcare, Inc.		43,449		6,422,197
UnitedHealth Group, Inc.		56,511		16,613,104
WellCare Health Plans, Inc. (a)		7,036		2,323,357
				43,855,628
Pharmaceuticals — 3.1%
AbbVie, Inc.		122,275		10,826,228
Becton Dickinson and Co.		52,029		14,150,327
Cigna Corp.		31,957		6,534,887
Elanco Animal Health, Inc. (a)		99,046		2,916,905
Johnson & Johnson		13,350		1,947,365
Merck & Co., Inc.		42,952		3,906,484
Pfizer, Inc.		92,747		3,633,827
				43,916,023
				239,301,007
Energy — 3.7%
Oil & Gas — 2.4%
BP PLC Sponsored ADR		49,577		1,871,036
Concho Resources, Inc.		24,110		2,111,313
ConocoPhillips		64,711		4,208,156
Continental Resources, Inc.		31,005		1,063,471
Devon Energy Corp.		65,869		1,710,618
EOG Resources, Inc.		105,216		8,812,892
Marathon Petroleum Corp.		28,547		1,719,957
Noble Energy, Inc.		76,003		1,887,915
Occidental Petroleum Corp.		119,800		4,936,958
Pioneer Natural Resources Co.		39,037		5,909,031
Total SA Sponsored ADR		2,980		164,794
				34,396,141
Oil & Gas Services — 0.7%
Halliburton Co.		175,098		4,284,648
Schlumberger Ltd.		141,202		5,676,320
				9,960,968
Pipelines — 0.6%
TC Energy Corp.		154,071		8,213,525
				52,570,634
Financial — 16.6%
Banks — 5.2%
Citigroup, Inc.		47,386		3,785,667
Fifth Third Bancorp		143,846		4,421,826
JP Morgan Chase & Co.		223,877		31,208,454
Morgan Stanley		286,708		14,656,513
State Street Corp.		55,679		4,404,209
Wells Fargo & Co.		301,101		16,199,234
				74,675,903
Diversified Financial Services — 5.7%
Ally Financial, Inc.		54,454		1,664,114
American Express Co.		35,808		4,457,738
Capital One Financial Corp.		34,721		3,573,138
The Charles Schwab Corp.		112,839		5,366,623
CME Group, Inc.		2,256		452,824
Intercontinental Exchange, Inc.		68,292		6,320,425
Mastercard, Inc. Class A		85,937		25,659,929
TD Ameritrade Holding Corp.		85,006		4,224,798
Visa, Inc. Class A		151,224		28,414,990
XP, Inc. (a)		20,283		781,301
				80,915,880
Insurance — 4.6%
American International Group, Inc.		484,895		24,889,660
Chubb Ltd.		108,167		16,837,275
Equitable Holdings, Inc.		281,491		6,975,347
Marsh & McLennan Cos., Inc.		60,744		6,767,489
MetLife, Inc.		60,251		3,070,994
Willis Towers Watson PLC		35,519		7,172,707
				65,713,472
Real Estate Investment Trusts (REITS) — 1.1%
Prologis, Inc.		167,332		14,915,974
				236,221,229
Industrial — 9.6%
Aerospace & Defense — 1.6%
The Boeing Co.		69,977		22,795,707
Electronics — 1.2%
Fortive Corp.		81,061		6,192,250
Honeywell International, Inc.		20,873		3,694,521
Keysight Technologies, Inc. (a)		68,266		7,006,140
TE Connectivity Ltd.		5,847		560,376
				17,453,287
Engineering & Construction — 0.3%
Jacobs Engineering Group, Inc.		48,170		4,327,111
Hand & Machine Tools — 0.0%
Stanley Black & Decker, Inc.		3,792		628,486
Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		27,464		4,055,884
Machinery – Diversified — 2.2%
Deere & Co.		39,059		6,767,362

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

207

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Dover Corp.		10,002	$	1,152,831
Hexagon AB Class B		62,322		3,491,812
Roper Technologies, Inc.		36,417		12,899,994
Westinghouse Air Brake Technologies Corp.		83,141		6,468,370
				30,780,369
Miscellaneous – Manufacturing — 1.9%
3M Co.		7,832		1,381,721
General Electric Co.		2,265,575		25,283,817
				26,665,538
Packaging & Containers — 0.6%
Packaging Corp. of America		70,876		7,937,403
Transportation — 1.5%
J.B. Hunt Transport Services, Inc.		36,835		4,301,592
Norfolk Southern Corp.		15,886		3,083,949
Union Pacific Corp.		43,232		7,815,913
United Parcel Service, Inc. Class B		58,630		6,863,228
				22,064,682
				136,708,467
Technology — 20.1%
Computers — 2.4%
Apple, Inc.		116,518		34,215,511
Semiconductors — 6.0%
Advanced Micro Devices, Inc. (a)		87,600		4,017,336
Applied Materials, Inc.		156,288		9,539,819
ASML Holding NV		32,385		9,584,017
Broadcom, Inc.		34,182		10,802,196
Marvell Technology Group Ltd.		237,394		6,305,185
Micron Technology, Inc. (a)		133,606		7,185,331
NVIDIA Corp.		1,819		428,011
NXP Semiconductor NV		102,769		13,078,383
QUALCOMM, Inc.		158,322		13,968,750
Skyworks Solutions, Inc.		13,529		1,635,385
Texas Instruments, Inc.		47,356		6,075,301
Xilinx, Inc.		28,378		2,774,517
				85,394,231
Software — 11.7%
Atlassian Corp. PLC Class A (a)		13,959		1,679,825
Fidelity National Information Services, Inc.		117,351		16,322,351
Fiserv, Inc. (a)		82,509		9,540,516
Intuit, Inc.		37,271		9,762,393
Microsoft Corp.		459,066		72,394,708
Paycom Software, Inc. (a)		10,574		2,799,572
salesforce.com, Inc. (a)		80,174		13,039,499
ServiceNow, Inc. (a)		30,173		8,518,441
Slack Technologies, Inc. Class A (a)		115,759		2,602,262
Splunk, Inc. (a)		53,995		8,086,831
Stripe, Inc., Class B (Acquired 12/17/19, Cost $295,694) (a) (c) (d) (e)		18,846		295,694
Synopsys, Inc. (a)		29,510		4,107,792
Temenos Group AG Registered		24,726		3,909,226
VMware, Inc. Class A (a)		59,203		8,986,424
Workday, Inc. Class A (a)		26,934		4,429,296
Zoom Video Communications, Inc. Class A (a) (b)		1,895		128,936
				166,603,766
				286,213,508
Utilities — 6.6%
Electric — 6.4%
Ameren Corp.		8,565		657,792
American Electric Power Co., Inc.		26,368		2,492,040
CenterPoint Energy, Inc.		142,089		3,874,767
Edison International		189,036		14,255,205
Entergy Corp.		79,646		9,541,591
NextEra Energy, Inc.		126,980		30,749,477
Sempra Energy		141,093		21,372,767
The Southern Co.		136,543		8,697,789
				91,641,428
Gas — 0.2%
NiSource, Inc.		81,880		2,279,539
				93,920,967
TOTAL COMMON STOCK (Cost $1,221,519,467)				1,410,272,051
PREFERRED STOCK — 0.9%
Communications — 0.0%
Internet — 0.0%
DoorDash, Inc., Series G, (Acquired 11/12/19, Cost $549,363) (a) (c) (d) (e)		2,896		549,363
Consumer, Cyclical — 0.2%
Auto Manufacturers — 0.1%
Rivian Automotive, Inc., Series D (Acquired 12/23/19, Cost $2,157,599) (a) (c) (d) (e)		200,819		2,157,599
Automotive & Parts — 0.1%
GM Cruise Holdings, LLC, Class F (Acquired 5/07/19, Cost $921,625) (a) (c) (d) (e)		50,500		921,625
Consumer, Non-cyclical — 0.1%
Auto Manufacturers — 0.0%
Aurora Innovation, Inc., Series B, (Acquired 3/01/19, Cost $439,191) (a) (c) (d) (e)		47,530		439,191
Pharmaceuticals — 0.1%
Becton Dickinson and Co. Convertible 6.125%		16,559		1,083,953
				1,523,144

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

208

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Industrial — 0.1%
Electronics — 0.1%
Fortive Corp. Convertible 5.000%		763	$	742,216
Technology — 0.2%
Semiconductors — 0.1%
Broadcom, Inc. Convertible 8.000%		1,474		1,736,328
Software — 0.1%
UiPath, Inc., Series D-1 (Acquired 4/26/19, Cost $702,388) (a) (c) (d) (e)		17,849		702,388
UiPath, Inc., Series D-2 (Acquired 4/26/19, Cost $117,937) (a) (c) (d) (e)		2,997		117,937
				820,325
				2,556,653
Utilities — 0.3%
Electric — 0.3%
Sempra Energy Convertible 6.000%		9,105		1,092,782
Sempra Energy Convertible 6.750%		4,770		567,964
The Southern Co. Convertible 6.750%		50,124		2,701,684
				4,362,430
TOTAL PREFERRED STOCK (Cost $12,032,057)				12,813,030
TOTAL EQUITIES (Cost $1,233,551,524)				1,423,085,081
MUTUAL FUNDS — 0.2%
Diversified Financial Services — 0.2%
State Street Navigator Securities Lending Prime Portfolio (f)		2,520,686		2,520,686
TOTAL MUTUAL FUNDS (Cost $2,520,686)				2,520,686
TOTAL LONG-TERM INVESTMENTS (Cost $1,236,072,210)				1,425,605,767
SHORT-TERM INVESTMENTS — 0.9%
Mutual Fund — 0.8%
T. Rowe Price Government Reserve Investment Fund,		11,063,548		11,063,548

	Principal Amount
Repurchase Agreement — 0.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (g)	$	1,049,381		1,049,381
TOTAL SHORT-TERM INVESTMENTS (Cost $12,112,929)				12,112,929
TOTAL INVESTMENTS — 101.0% (Cost $1,248,185,139) (h)				1,437,718,696
Other Assets/(Liabilities) — (1.0)%				(14,266,476	)
NET ASSETS — 100.0%			$	1,423,452,220

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, 2019, was $11,325,514 or 0.80% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $9,091,894 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).
(c)	Investment was valued using significant unobservable inputs.
(d)	Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $6,526,979 or 0.46% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.
(e)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $6,526,979 or 0.46% of net assets.
(f)	Represents investment of security lending cash collateral. (Note 2).
(g)	Maturity value of $1,049,428. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,074,619.
(h)	See Note 3 for aggregate cost for federal tax purposes.

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

209

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 99.7%
CORPORATE DEBT — 15.9%
Advertising — 0.3%
The Interpublic Group of Cos., Inc. 3.500% 10/01/20	$	40,000	$	40,428
WPP Finance 2010 3.625% 9/07/22		440,000		455,381
				495,809
Agriculture — 0.7%
BAT Capital Corp. 2.764% 8/15/22		405,000		410,970
Bunge Ltd. Finance Corp. 3.500% 11/24/20		300,000		303,742
Imperial Brands Finance PLC 2.950% 7/21/20 (a)		200,000		200,564
3.750% 7/21/22 (a)		290,000		298,597
Reynolds American, Inc. 6.875% 5/01/20		190,000		193,037
				1,406,910
Airlines — 0.1%
Delta Air Lines, Inc. 2.875% 3/13/20		250,000		250,039
Auto Manufacturers — 1.6%
BMW US Capital LLC 2.950% 4/14/22 (a)		375,000		382,196
Daimler Finance NA LLC 2.200% 5/05/20 (a)		235,000		235,118
2.700% 8/03/20 (a)		240,000		240,920
Ford Motor Credit Co. LLC 3.200% 1/15/21		200,000		201,119
3.336% 3/18/21		200,000		201,504
3.470% 4/05/21		245,000		247,273
General Motors Financial Co., Inc. 3.200% 7/06/21		220,000		223,038
Hyundai Capital America 2.450% 6/15/21 (a)		170,000		170,171
2.600% 3/19/20 (a)		235,000		235,145
3.000% 10/30/20 (a)		60,000		60,373
Nissan Motor Acceptance Corp. 2.150% 9/28/20 (a)		340,000		339,331
3.650% 9/21/21 (a)		130,000		132,710
PACCAR Financial Corp. 1.900% 2/07/23		390,000		390,519
Volkswagen Group of America Finance LLC 2.500% 9/24/21 (a)		200,000		201,744
				3,261,161
Banks — 3.1%
Bangkok Bank PCL 3.875% 9/27/22 (a)		250,000		259,833
Bank of America Corp. 3 mo. USD LIBOR + .650% 2.559% FRN 10/01/21		150,000		150,426
Barclays Bank PLC 2.650% 1/11/21		470,000		473,075
Capital One NA 2.150% 9/06/22		250,000		250,424
2.350% 1/31/20		250,000		250,049
Citibank NA 2.125% 10/20/20		250,000		250,301
Citigroup, Inc. SOFRRATE + .870% 2.425% FRN 11/04/22		505,000		506,546
Citizens Bank NA/Providence RI 2.200% 5/26/20		350,000		350,175
Credit Suisse AG/New York NY 2.100% 11/12/21		250,000		251,183
Danske Bank A/S 2.000% 9/08/21 (a)		375,000		373,776
2.200% 3/02/20 (a)		200,000		199,986
3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (a)		200,000		201,773
Discover Bank 7.000% 4/15/20		250,000		253,354
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .821% 2.876% VRN 10/31/22		255,000		258,618
3.000% 4/26/22		235,000		237,968
ING Groep NV 3.150% 3/29/22		370,000		378,308
Morgan Stanley 5.500% 7/24/20		325,000		331,559
Nordea Bank AB 4.875% 5/13/21 (a)		200,000		207,378
Regions Bank/Birmingham AL 3 mo. USD LIBOR + .380% 2.289% FRN 4/01/21		250,000		250,048
Standard Chartered PLC 3 mo. USD LIBOR + 1.200% 2.744% VRN 9/10/22 (a)		230,000		231,436
SunTrust Bank/Atlanta GA 3 mo. USD LIBOR + .500% 3.525% VRN 10/26/21		225,000		227,649
Swedbank AB 2.650% 3/10/21 (a)		470,000		472,780
				6,366,645
Building Materials — 0.1%
Vulcan Materials Co. 3 mo. USD LIBOR + .650% 2.557% FRN 3/01/21		240,000		240,460
Chemicals — 0.5%
CNAC HK Finbridge Co. Ltd. 4.125% 3/14/21 (a)		450,000		457,389

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

210

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
CNAC HK Synbridge Co. Ltd. 5.000% 5/05/20	$	200,000	$	201,548
Syngenta Finance NV 3.698% 4/24/20 (a)		245,000		245,771
3.933% 4/23/21 (a)		200,000		203,410
				1,108,118
Commercial Services — 0.1%
Adani Ports & Special Economic Zone Ltd. 3.950% 1/19/22 (a)		200,000		204,822
Equifax, Inc. 3.600% 8/15/21		25,000		25,579
				230,401
Computers — 0.2%
International Business Machines Corp. 2.850% 5/13/22		370,000		378,370
Diversified Financial Services — 1.0%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.450% 12/16/21		350,000		364,810
Air Lease Corp. 3.500% 1/15/22		455,000		467,604
GE Capital International Funding Co. 2.342% 11/15/20		285,000		285,230
Park Aerospace Holdings Ltd. 5.250% 8/15/22 (a)		425,000		452,795
Synchrony Financial 2.700% 2/03/20		265,000		265,091
2.850% 7/25/22		155,000		156,915
				1,992,445
Electric — 0.9%
Abu Dhabi National Energy Co. PJSC 3.875% 5/06/24 (a)		200,000		209,250
Consorcio Transmantaro SA 4.375% 5/07/23 (a)		300,000		313,503
Enel Finance International NV 2.875% 5/25/22 (a)		370,000		374,779
Exelon Generation Co. LLC 2.950% 1/15/20		225,000		225,038
Mississippi Power Co. 3 mo. USD LIBOR + .650% 2.597% FRN 3/27/20		64,000		64,024
Perusahaan Listrik Negara PT 5.500% 11/22/21 (a)		200,000		211,500
State Grid Overseas Investment 2016 Ltd. 2.125% 5/18/21 (a)		200,000		199,385
2.750% 5/04/22 (a)		200,000		202,116
				1,799,595
Electronics — 0.1%
Arrow Electronics, Inc. 3.500% 4/01/22		143,000		146,433
Engineering & Construction — 0.2%
CSCEC Finance Cayman I Ltd. 2.950% 11/19/20 (a)		250,000		250,804
CSCEC Finance Cayman II Ltd. 2.900% 7/05/22 (a)		200,000		201,005
				451,809
Foods — 0.3%
General Mills, Inc. 3 mo. USD LIBOR + .540% 2.541% FRN 4/16/21		165,000		165,533
Kraft Heinz Foods Co. 3 mo. USD LIBOR + .570% 2.471% FRN 2/10/21		200,000		200,284
3.500% 6/06/22		160,000		165,031
				530,848
Health Care – Services — 0.1%
Aetna, Inc. 2.750% 11/15/22		120,000		121,956
Anthem, Inc. 2.500% 11/21/20		150,000		150,667
				272,623
Holding Company – Diversified — 0.4%
CK Hutchison International 16 Ltd. 1.875% 10/03/21 (a)		200,000		198,402
CMHI Finance BVI Co. Ltd. 4.375% 8/06/23 (a)		550,000		578,998
				777,400
Insurance — 0.3%
AIA Group Ltd. 3 mo. USD LIBOR + .520% 2.428% FRN 9/20/21 (a)		300,000		300,006
Willis Towers Watson PLC 5.750% 3/15/21		315,000		328,334
				628,340
Internet — 0.1%
Tencent Holdings Ltd. 2.875% 2/11/20 (a)		250,000		250,172
Machinery – Diversified — 0.2%
CNH Industrial Capital LLC 4.375% 11/06/20 (b)		345,000		350,606
Media — 0.3%
Comcast Corp. 3.450% 10/01/21		245,000		252,198
Sky Ltd. 3.125% 11/26/22 (a)		365,000		375,161
				627,359
Mining — 0.1%
Anglo American Capital PLC 3.750% 4/10/22 (a)		250,000		256,612

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

211

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Miscellaneous – Manufacturing — 0.1%
General Electric Co. 5.300% 2/11/21	$	185,000	$	190,870
Oil & Gas — 1.7%
Bharat Petroleum Corp. Ltd. 4.375% 1/24/22 (a)		400,000		410,398
CNOOC Finance 2011 Ltd. 4.250% 1/26/21 (a)		200,000		203,834
CNOOC Finance 2015 Australia Pty Ltd. 2.625% 5/05/20		200,000		200,212
Ecopetrol SA 5.875% 9/18/23		475,000		525,573
Occidental Petroleum Corp. 2.600% 8/13/21		95,000		95,703
2.700% 8/15/22		365,000		368,794
Pertamina Persero PT 4.300% 5/20/23 (a)		250,000		263,494
5.250% 5/23/21 (a)		250,000		259,965
Phillips 66 3 mo. USD LIBOR + .600% 2.517% FRN 2/26/21		105,000		105,006
PTTEP Canada International Finance Ltd. 5.692% 4/05/21 (a)		240,000		249,737
Reliance Holding USA, Inc. 4.500% 10/19/20 (a)		500,000		507,925
Saudi Arabian Oil Co. 2.750% 4/16/22 (a)		350,000		353,952
				3,544,593
Pharmaceuticals — 1.2%
AbbVie, Inc. 2.300% 11/21/22 (a)		365,000		366,845
Becton Dickinson and Co. 2.404% 6/05/20		200,000		200,213
3 mo. USD LIBOR + .875% 2.836% FRN 12/29/20		124,000		124,061
Bristol-Myers Squibb Co. 2.875% 8/15/20 (a)		325,000		326,821
3.250% 8/15/22 (a)		90,000		92,999
Cardinal Health, Inc. 3.200% 3/15/23		490,000		503,172
Cigna Corp. 3.900% 2/15/22 (a)		102,000		105,641
4.125% 9/15/20 (a)		250,000		253,545
4.500% 3/15/21 (a)		250,000		255,540
CVS Health Corp. 3 mo. USD LIBOR + .630% 2.515% FRN 3/09/20		10,000		10,008
3 mo. USD LIBOR + .720% 2.605% FRN 3/09/21		105,000		105,644
3.350% 3/09/21		109,000		110,812
				2,455,301
Pipelines — 0.7%
Energy Transfer Operating LP 4.250% 3/15/23		582,000		607,908
Plains All American Pipeline LP/PAA Finance Corp. 3.650% 6/01/22		475,000		487,351
Sabine Pass Liquefaction LLC 5.625% STEP 2/01/21		200,000		205,578
Williams Cos., Inc. 3.600% 3/15/22		110,000		113,108
5.250% 3/15/20		110,000		110,646
				1,524,591
Real Estate — 0.3%
China Overseas Finance Cayman V Ltd. 3.950% 11/15/22 (a)		225,000		231,983
China Overseas Finance Cayman VII Ltd. 4.250% 4/26/23 (a)		200,000		208,428
Vanke Real Estate Hong Kong Co. Ltd. 4.150% 4/18/23 (a)		250,000		258,701
				699,112
Real Estate Investment Trusts (REITS) — 0.1%
American Tower Corp. 2.800% 6/01/20		185,000		185,533
Retail — 0.3%
Dollar Tree, Inc. 3 mo. USD LIBOR + .700% 2.702% FRN 4/17/20		190,000		190,035
Walgreen Co. 3.100% 9/15/22		331,000		337,916
Walgreens Boots Alliance, Inc. 3.300% 11/18/21		100,000		101,897
				629,848
Semiconductors — 0.2%
Broadcom, Inc. 3.125% 4/15/21 (a)		360,000		364,370
Microchip Technology, Inc. 3.922% 6/01/21		120,000		122,722
				487,092
Telecommunications — 0.3%
Axiata SPV2 Bhd 3.466% 11/19/20 (a)		400,000		403,180
Crown Castle Towers LLC 3.720% 7/15/43 (a)		225,000		232,678
				635,858
Toys, Games & Hobbies — 0.1%
Hasbro, Inc. 2.600% 11/19/22		140,000		140,858
Trucking & Leasing — 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp. 3.200% 7/15/20 (a)		50,000		50,214

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

212

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SMBC Aviation Capital Finance DAC 3.000% 7/15/22 (a)	$	370,000	$	376,605
				426,819
TOTAL CORPORATE DEBT (Cost $32,791,442)				32,742,630
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.0%
Automobile ABS — 1.7%
AmeriCredit Automobile Receivables Trust Series 2019-3, Class B, 2.130% 7/18/25		365,000		363,722
Series 2016-4, Class C, 2.410% 7/08/22		99,000		99,297
Avis Budget Rental Car Funding AESOP LLC Series 2015-2A, Class A, 2.630% 12/20/21 (a)		375,000		375,989
Series 2017-2A, Class A, 2.970% 3/20/24 (a)		310,000		314,741
Series 2019-1A, Class A, 3.450% 3/20/23 (a)		420,000		429,444
GM Financial Automobile Leasing Trust, Series 2017-3, Class C 2.730% 9/20/21		375,000		375,097
Hyundai Auto Lease Securitization Trust, Series 2018-A, Class A3 2.810% 4/15/21 (a)		180,994		181,479
Santander Drive Auto Receivables Trust Series 2017-1, Class C, 2.580% 5/16/22		38,129		38,155
Series 2018-4, Class B, 3.270% 1/17/23		50,000		50,184
Santander Retail Auto Lease Trust Series 2019-C, Class B, 2.170% 11/20/23 (a)		120,000		119,024
Series 2019-C, Class C, 2.390% 11/20/23 (a)		230,000		228,034
Series 2019-B, Class C, 2.770% 8/21/23 (a)		170,000		170,438
Series 2019-A, Class C, 3.300% 5/22/23 (a)		280,000		284,550
World Omni Automobile Lease Securitization Trust, Series 2017-A, Class B 2.480% 8/15/22		480,000		480,011
				3,510,165
Commercial MBS — 0.5%
BX Commercial Mortgage Trust, Series 2019-IMC, Class C, 1 mo. USD LIBOR + 1.600% 3.340% FRN 4/15/34 (a)		210,000		209,738
Commercial Mortgage Pass-Through Certificates Series 2014-UBS4, Class AM, 3.968% 8/10/47		250,000		263,022
Series 2014-UBS2, Class AM, 4.199% 3/10/47		100,000		105,675
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class C 3.750% 12/10/36 (a)		295,000		301,621
New Orleans Hotel Trust, Series 2019-HNLA, Class C, 1 mo. USD LIBOR + 1.589% 3.329% FRN 4/15/32 (a)		100,000		100,000
				980,056
Other ABS — 1.4%
BlueMountain CLO Ltd., Series 2012-2A, Class AR2, 3 mo. USD LIBOR + 1.050% 2.949% FRN 11/20/28 (a)		250,000		249,999
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280% 9/26/33 (a)		86,207		87,906
CIFC Funding Ltd., Series 2015-4A, Class A1R, 3 mo. USD LIBOR + 1.150% 3.116% FRN 10/20/27 (a)		250,000		250,135
Hardee’s Funding LLC, Series 2018-1A, Class A2I 4.250% 6/20/48 (a)		93,813		94,028
Hilton Grand Vacations Trust, Series 2014-AA, Class B 2.070% 11/25/26 (a)		56,240		55,994
MVW Owner Trust, Series 2017-1A, Class A 2.420% 12/20/34 (a)		584,175		583,942
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class A2R, 3 mo. USD LIBOR + 1.000% 3.001% FRN 7/15/27 (a)		250,000		244,920
OZLM VIII Ltd., Series 2014-8A, Class A1RR, 3 mo. USD LIBOR + 1.170% 3.172% FRN 10/17/29 (a)		250,000		249,428
Sierra Receivables Funding LLC, Series 2019-3A, Class A 2.340% 8/20/36 (a)		158,346		157,766
Towd Point Mortgage Trust Series 2017-6, Class A1, 2.750% VRN 10/25/57 (a) (c)		207,497		208,176
Series 2018-2, Class A1, 3.250% VRN 3/25/58 (a) (c)		216,044		219,257
Series 2018-5, Class A1A, 3.250% VRN 7/25/58 (a) (c)		176,332		179,483
Series 2015-6, Class A1, 3.500% VRN 4/25/55 (a) (c)		142,898		144,624

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

213

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2018-3, Class A1, 3.750% VRN 5/25/58 (a) (c)	$	98,058	$	101,339
				2,826,997
Student Loans ABS — 0.6%
Navient Private Education Refi Loan Trust, Series 2019-GA, Class A 2.400% 10/15/68 (a)		485,000		482,710
SMB Private Education Loan Trust Series 2016-B, Class A2A, 2.430% 2/17/32 (a)		244,433		243,627
Series 2017-B, Class A2A, 2.820% 10/15/35 (a)		417,148		420,422
Series 2017-A, Class A2A, 2.880% 9/15/34 (a)		140,745		142,318
				1,289,077
WL Collateral CMO — 4.8%
Angel Oak Mortgage Trust, Series 2019-2, Class A1, 3.628% VRN 3/25/49 (a) (c)		173,421		175,800
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A1, 2.720% VRN 7/25/49 (a) (c)		233,290		232,512
COLT Mortgage Loan Trust Series 2019-2, Class A1, 3.337% VRN 5/25/49 (a) (c)		138,016		138,456
Series 2018-3, Class A2, 3.763% VRN 10/26/48 (a) (c)		114,592		115,154
Series 2018-3, Class A3, 3.865% VRN 10/26/48 (a) (c)		109,609		109,676
Deephaven Residential Mortgage Trust Series 2019-3A, Class A1, 2.964% VRN 7/25/59 (a) (c)		539,140		540,545
Series 2019-2A, Class A1, 3.558% VRN 4/25/59 (a) (c)		124,846		125,553
Ellington Financial Mortgage Trust, Series 2019-2, Class A1, 2.739% VRN 11/25/59 (a) (c)		361,819		360,627
Galton Funding Mortgage Trust Series 2018-1, Class A33, 3.500% VRN 11/25/57 (a) (c)		409,898		411,445
Series 2019-2, Class A42, 3.500% VRN 6/25/59 (a) (c)		303,053		302,756
GMRF Mortgage Acquisition Co., Series 2019-1, Class A42, 4.000% VRN 2/25/59 (a) (c)		103,592		103,038
Homeward Opportunities Fund I Trust Series 2019-2, Class A3, 3.007% VRN 9/25/59 (a) (c)		453,704		451,161
Series 2019-3, Class A3, 3.031% VRN 11/25/59 (a) (c)		156,219		155,613
Series 2018-1, Class A1, 3.766% VRN 6/25/48 (a) (c)		182,537		184,436
JP Morgan Mortgage Trust, Series 2019-INV2, Class A3, 3.500% VRN 2/25/50 (a) (c)		127,238		127,237
Metlife Securitization Trust, Series 2018-1A, Class A, 3.750% VRN 3/25/57 (a) (c)		205,308		213,276
New Residential Mortgage Loan Trust Series 2019-NQM5, Class A3, 3.065% VRN 11/25/59 (a) (c)		169,435		169,311
Series 2019-NQM2, Class A1, 3.600% VRN 4/25/49 (a) (c)		133,170		134,999
OBX Trust Series 2019-EXP3, Class 2A1, 1 mo. USD LIBOR + .900% 2.692% FRN 10/25/59 (a)		245,192		244,444
Series 2019-EXP3, Class 2A2, 1 mo. USD LIBOR + 1.100% 2.892% FRN 10/25/59 (a)		137,685		137,685
Onslow Bay Financial LLC Series 2019-EXP1, Class 1A3, 4.000% VRN 1/25/59 (a) (c)		431,836		437,779
Series 2019-EXP2, Class 1A3, 4.000% VRN 6/25/59 (a) (c)		395,302		402,130
Sequoia Mortgage Trust Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (a) (c)		272,165		273,787
Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (a) (c)		269,167		288,568
Series 2018-CH2, Class A3, 4.000% VRN 6/25/48 (a) (c)		85,002		86,163
Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (a) (c)		102,472		105,822
Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (a) (c)		80,004		83,159
SG Residential Mortgage Trust, Series 2019-3, Class A3, 3.082% VRN 9/25/59 (a) (c)		178,935		178,512
Starwood Mortgage Residential Trust Series 2019-INV1, Class A1, 2.610% VRN 9/27/49 (a) (c)		298,205		296,197
Series 2019-IMC1, Class A1, 3.468% VRN 2/25/49 (a) (c)		129,762		130,513
Series 2019-IMC1, Class A2, 3.651% VRN 2/25/49 (a) (c)		176,948		178,457
Verus Securitization Trust Series 2017-2A, Class A3, 2.845% VRN 7/25/47 (a) (c)		159,272		158,852
Series 2019-INV2, Class A1, 2.913% VRN 7/25/59 (a) (c)		388,216		390,430
Series 2019-4, Class A3, 3.000% STEP 11/25/59 (a)		479,648		477,689
Series 2019-3, Class A3, 3.040% STEP 7/25/59 (a)		336,761		336,436

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

214

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2019-INV3, Class A3, 3.100% VRN 11/25/59 (a) (c)	$	466,433	$	466,456
Series 2019-2, Class A1, 3.211% VRN 5/25/59 (a) (c)		178,010		178,236
Series 2019-INV1, Class A1, 3.402% VRN 12/25/59 (a) (c)		137,072		137,931
Series 2018-2, Class A1, 3.677% VRN 6/01/58 (a) (c)		149,288		149,620
Series 2017-1A, Class A3, 3.716% VRN 1/25/47 (a) (c)		136,666		138,323
Series 2019-1, Class A1, 3.836% VRN 2/25/59 (a) (c)		211,767		212,967
Series 2018-3, Class A1, 4.108% VRN 10/25/58 (a) (c)		195,731		196,978
Series 2018-INV2, Class A1FX, 4.148% VRN 10/25/58 (a) (c)		246,058		249,155
				9,987,884
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $18,490,047)				18,594,179
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 2.0%
Collateralized Mortgage Obligations — 0.2%
Government National Mortgage Association Series 2019-65, Class B 3.500% 5/20/49		333,195		343,501
Whole Loans — 1.8%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2018-DNA1, Class M1, 1 mo. USD LIBOR + .450% 2.242% FRN 7/25/30		177,774		177,651
Series 2019-DNA4, Class M1, 1 mo. USD LIBOR + .700% 2.408% FRN 10/25/49 (a)		330,890		330,725
Series 2018-HQA1, Class M1, 1 mo. USD LIBOR + .700% 2.492% FRN 9/25/30		89,066		89,066
Series 2019-HQA2, Class M1, 1 mo. USD LIBOR + .700% 2.492% FRN 4/25/49 (a)		23,472		23,466
Series 2019-DNA3, Class M1, 1 mo. USD LIBOR + .730% 2.522% FRN 7/25/49 (a)		108,159		108,159
Series 2017-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.542% FRN 3/25/30		253,259		253,355
Series 2018-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.542% FRN 9/25/48 (a)		121,593		121,666
Series 2019-HQA4, Class M1, 1 mo. USD LIBOR + .770% 2.562% FRN 11/25/49 (a)		165,000		165,000
Series 2017-HQA2, Class M1, 1 mo. USD LIBOR + .800% 2.592% FRN 12/25/29		116,454		116,454
Series 2018-DNA2, Class M1, 1 mo. USD LIBOR + .800% 2.592% FRN 12/25/30 (a)		180,974		181,175
Series 2019-HQA1, Class M1, 1 mo. USD LIBOR + .900% 2.692% FRN 2/25/49 (a)		27,858		27,868
Series 2017-DNA2, Class M1, 1 mo. USD LIBOR + 1.200% 2.992% FRN 10/25/29		209,705		210,149
Series 2018-SPI1, Class M1, 3.736% VRN 2/25/48 (a) (c)		113,920		114,488
Series 2018-SPI2, Class M1, 3.813% VRN 5/25/48 (a) (c)		39,663		39,883
Series 2018-SPI3, Class M1, 4.152% VRN 8/25/48 (a) (c)		34,471		34,660
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2018-C03, Class 1M1, 1 mo. USD LIBOR + .680% 2.472% FRN 10/25/30		29,583		29,591
Series 2019-R05, Class 1M1, 1 mo. USD LIBOR + .750% 2.542% FRN 7/25/39 (a)		143,551		143,551
Series 2019-R06, Class 2M1, 1 mo. USD LIBOR + .750% 2.542% FRN 9/25/39 (a)		195,379		195,399
Series 2017-C04, Class 2ED2, 1 mo. USD LIBOR + 1.100% 2.892% FRN 11/25/29		475,000		472,598
Series 2017-C02, Class 2M1, 1 mo. USD LIBOR + 1.150% 2.942% FRN 9/25/29		70,747		70,805
Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 3.142% FRN 9/25/29		560,000		560,668
Series 2017-C06, Class 1M2B, 4.442% FRN 2/25/30 (c)		205,000		211,240
				3,677,617
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $4,015,977)				4,021,118

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

215

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 72.8%
U.S. Treasury Bonds & Notes — 72.8%
U.S. Treasury Inflation Index 0.125% 1/15/22	$	17,491,441	$	17,482,077
0.125% 4/15/22		16,981,078		16,956,010
0.125% 7/15/22		19,476,021		19,557,356
0.125% 1/15/23		9,266,355		9,265,432
0.125% 7/15/24		4,562,612		4,589,776
0.125% 10/15/24		8,715,809		8,765,977
0.250% 1/15/25		12,935,589		13,050,503
0.250% 7/15/29		8,875,850		8,961,980
0.375% 7/15/23		939,888		952,872
0.375% 7/15/25		8,124,219		8,289,707
0.500% 4/15/24		5,549,561		5,639,280
0.625% 7/15/21		3,865,898		3,909,254
0.625% 4/15/23		8,186,339		8,313,031
0.625% 1/15/24 (d)		22,853,271		23,337,044
0.625% 1/15/26		994,166		1,024,631
				150,094,930
TOTAL U.S. TREASURY OBLIGATIONS (Cost $147,932,176)				150,094,930
TOTAL BONDS & NOTES (Cost $203,229,642)				205,452,857

	Number of Shares
MUTUAL FUNDS — 0.0%
Diversified Financial Services — 0.0%
State Street Navigator Securities Lending Prime Portfolio (e)		93,005	93,005
TOTAL MUTUAL FUNDS (Cost $93,005)			93,005
TOTAL LONG-TERM INVESTMENTS (Cost $203,322,647)			205,545,862

	Principal Amount
SHORT-TERM INVESTMENTS — 0.5%
Commercial Paper — 0.2%
Boeing Co. 2.215% 3/09/20 (a)	$	505,000	503,077

	Number of Shares
Mutual Fund — 0.0%
T. Rowe Price Government Reserve Investment Fund		106	106

	Principal Amount
Repurchase Agreement — 0.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (f)	$	640,833		640,833
TOTAL SHORT-TERM INVESTMENTS (Cost $1,143,869)				1,144,016
TOTAL INVESTMENTS — 100.2% (Cost $204,466,516) (g)				206,689,878
Other Assets/(Liabilities) — (0.2)%				(434,871	)
NET ASSETS — 100.0%			$	206,255,007

Abbreviation Legend

ABS	Asset-Backed Security
CLO	Collateralized Loan Obligation
CMO	Collateralized Mortgage Obligation
FRN	Floating Rate Note
MBS	Mortgage-Backed Security
PJSC	Public Joint Stock Company
SOFR	Secured Overnight Financing Rate
STEP	Step Up Bond
VRN	Variable Rate Note
WL	Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $34,514,699 or 16.73% of net assets.
(b)	Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $91,063 or 0.04% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).
(c)	Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019.
(d)	A portion of this security is pledged/held as collateral for open derivatives. (Note 2).
(e)	Represents investment of security lending cash collateral. (Note 2).

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

216

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(f)	Maturity value of $640,862. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $658,140.
(g)	See Note 3 for aggregate cost for federal tax purposes.

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Note 2 Year	3/31/20		244	$	52,559,444		$	22,556
U.S. Treasury Note 5 Year	3/31/20		37		4,392,526			(3,979	)
							$	18,577
Short
U.S. Treasury Note 10 Year	3/20/20		88	$	(11,416,873	)	$	115,748
U.S. Treasury Ultra 10 Year	3/20/20		47		(6,691,755	)		78,708
							$	194,456

OTC Interest Rate Swaps

Paid by the Fund

Received by the Fund

Rate/ Reference

Frequency

Rate/Reference

Frequency

Counterparty

Termination Date

Notional Amount

Value

Upfront Premium Paid/ (Received)

Unrealized Appreciation (Depreciation)

Fixed 2.12%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

2/21/20

USD

11,100,000

$

(14,561

)

$

-

$

(14,561

)

Fixed 2.24%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

5/23/20

USD

500,000

(3,125

)

-

(3,125

)

Fixed 2.17%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

2/21/21

USD

7,500,000

(51,769

)

-

(51,769

)

Fixed 2.21%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

8/03/21

USD

1,875,000

(24,171

)

-

(24,171

)

Fixed 1.53%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

8/15/21

USD

2,430,324

13,383

-

13,383

Fixed 1.44%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

8/23/21

USD

666,250

5,050

-

5,050

Fixed 1.44%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

8/23/21

USD

717,500

5,473

-

5,473

Fixed 1.92%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

1/11/24

USD

1,500,000

(7,819

)

-

(7,819

)

Fixed 1.75%

Maturity

U.S. Consumer Price Index

Maturity

Bank of America N.A.

7/08/24

USD

775,000

3,586

-

3,586

Fixed 2.24%

Maturity

U.S. Consumer Price Index

Maturity

Barclays Bank PLC

5/25/20

USD

500,000

(3,213

)

-

(3,213

)

Fixed 1.47%

Maturity

U.S. Consumer Price Index

Maturity

Barclays Bank PLC

12/24/20

USD

5,200,000

30,600

-

30,600

Fixed 1.57%

Maturity

U.S. Consumer Price Index

Maturity

Barclays Bank PLC

7/08/21

USD

1,950,000

7,602

-

7,602

Fixed 1.66%

Maturity

U.S. Consumer Price Index

Maturity

Barclays Bank PLC

7/08/22

USD

1,250,000

4,590

-

4,590

Fixed 1.74%

Maturity

U.S. Consumer Price Index

Maturity

Barclays Bank PLC

12/16/22

USD

2,800,000

5,652

-

5,652

Fixed 1.48%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

8/16/21

USD

1,619,676

10,428

-

10,428

Fixed 1.44%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

8/26/21

USD

666,250

5,052

-

5,052

Fixed 1.38%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

10/07/21

USD

3,416,115

28,199

-

28,199

Fixed 1.41%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

10/09/21

USD

3,416,115

26,620

-

26,620

Fixed 1.41%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

10/09/21

USD

3,417,770

26,633

-

26,633

Fixed 1.42%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

10/07/22

USD

3,420,000

38,105

-

38,105

Fixed 1.43%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

10/08/22

USD

1,710,000

18,682

-

18,682

Fixed 1.44%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

10/08/22

USD

1,710,000

18,632

-

18,632

Fixed 1.59%

Maturity

U.S. Consumer Price Index

Maturity

Citibank N.A.

10/24/22

USD

3,450,000

24,102

-

24,102

Fixed 1.44%

Maturity

U.S. Consumer Price Index

Maturity

Goldman Sachs & Co.

8/09/21

USD

7,101,000

49,354

-

49,354

Fixed 2.29%

Maturity

U.S. Consumer Price Index

Maturity

UBS AG

6/05/23

USD

1,700,000

(38,203

)

-

(38,203

)

$

178,882

$

-

$

178,882

Currency Legend

USD U.S. Dollar

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

217

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 93.4%
COMMON STOCK — 92.9%
Australia — 8.5%
Alumina Ltd.		183,517	$	296,393
BHP Group Ltd.		124,019		3,396,931
BlueScope Steel Ltd.		17,775		188,340
Charter Hall Retail		34,208		102,617
Dexus		23,899		196,656
Evolution Mining Ltd.		28,990		77,050
Fortescue Metals Group Ltd. (a)		43,392		327,049
Goodman Group		31,033		291,716
Incitec Pivot Ltd.		58,327		130,500
Independence Group NL		74,593		327,311
Newcrest Mining Ltd.		29,614		626,885
Northern Star Resources Ltd.		86,038		680,623
Regis Resources Ltd.		15,452		46,893
Rio Tinto Ltd.		3,884		274,684
Saracen Mineral Holdings Ltd. (b)		11,749		27,278
South32 Ltd.		334,737		637,283
				7,628,209
Austria — 0.3%
Schoeller-Bleckmann Oilfield Equipment AG		2,326		131,238
voestalpine AG		5,591		155,794
				287,032
Belgium — 0.1%
Umicore SA		2,733		133,240
Bermuda — 0.3%
Hongkong Land Holdings Ltd.		48,000		276,229
Brazil — 1.3%
Vale SA		90,857		1,202,584
Canada — 8.9%
Agnico Eagle Mines Ltd.		9,806		603,969
Alacer Gold Corp. (b)		32,104		170,589
Alamos Gold, Inc. Class A		8,841		53,310
Allied Properties		4,484		179,802
B2Gold Corp. (a)		23,744		95,265
Barrick Gold Corp.		68,015		1,263,349
Canadian Apartment Properties		4,423		180,558
Centerra Gold, Inc. (b)		4,157		33,069
Detour Gold Corp. (b)		4,228		81,854
Enbridge, Inc.		4,777		189,981
ERO Copper Corp. (b)		10,531		191,473
First Quantum Minerals Ltd.		16,793		170,316
Franco-Nevada Corp.		10,360		1,069,787
Kelt Exploration Ltd. (a) (b)		25,661		96,237
Kinross Gold Corp. (b)		52,980		251,324
Kirkland Lake Gold Ltd.		20,755		914,879
Lundin Mining Corp. (a)		48,980		292,699
Osisko Gold Royalties Ltd. (a)		2,960		28,767
Sandstorm Gold Ltd. (a) (b)		7,399		55,213
SEMAFO, Inc. (b)		45,104		93,782
Suncor Energy, Inc.		5,610		184,008
TC Energy Corp.		10,789		575,162
Teck Resources Ltd. Class B		32,306		561,155
Torex Gold Resources, Inc. (b)		3,316		52,400
West Fraser Timber Co. Ltd. (a)		5,082		224,171
Wheaton Precious Metals Corp. (a)		13,665		406,619
				8,019,738
Cayman Islands — 0.3%
Shimao Property Holdings Ltd.		76,500		297,076
Finland — 0.6%
Kojamo OYJ		18,262		333,106
Wartsila OYJ Abp		19,549		215,869
				548,975
France — 1.9%
Gecina SA		1,582		283,569
Schneider Electric SE		1,546		159,034
Total SA		23,447		1,295,734
				1,738,337
Germany — 0.8%
Deutsche Wohnen SE		7,775		317,737
SGL Carbon SE (b)		10,793		57,362
Symrise AG		1,656		174,217
thyssenkrupp AG		13,160		177,700
				727,016
Hong Kong — 1.0%
Hang Lung Properties Ltd.		141,000		308,246
Sun Hung Kai Properties Ltd.		36,000		552,212
				860,458
Ireland — 0.8%
Linde PLC		3,581		762,395
Japan — 3.3%
Heiwa Real Estate Co. Ltd.		6,200		170,971
Hoshino Resorts REIT, Inc.		23		118,583
JFE Holdings, Inc.		23,900		306,172
Mitsubishi Estate Co. Ltd.		18,400		351,757
Mitsui Fudosan Co. Ltd.		15,100		368,801
Mitsui Fudosan Logistics Park, Inc.		56		248,668
Mori Hills REIT Investment Corp.		100		166,106
Nippon Accommodations Fund, Inc.		41		259,080
Nippon Steel Corp.		30,900		464,893
SOSiLA Logistics REIT, Inc. (b)		8		8,835
Sumitomo Metal Mining Co. Ltd.		15,300		493,477
				2,957,343
Luxembourg — 1.1%
ArcelorMittal SA		23,450		414,229
Orion Engineered Carbons SA		3,385		65,330

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

218

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Shurgard Self Storage SA		4,745	$	181,073
Tenaris SA		27,449		310,425
				971,057
Mexico — 0.5%
Concentradora Fibra Danhos SA de CV		76,200		115,665
Grupo Mexico SAB de CV Series B		74,300		204,264
Industrias Penoles SAB de CV		10,877		113,916
				433,845
Netherlands — 1.3%
Akzo Nobel NV		2,200		224,308
Koninklijke DSM NV		2,371		309,502
Schlumberger Ltd.		15,188		610,558
				1,144,368
Norway — 0.9%
Equinor ASA		21,434		428,648
Norsk Hydro ASA		55,875		208,596
Yara International ASA		4,348		181,176
				818,420
Peru — 0.2%
Cia de Minas Buenaventura SA Sponsored ADR		13,370		201,887
Portugal — 0.4%
Galp Energia SGPS SA		19,474		325,710
Republic of Korea — 0.6%
POSCO		2,522		513,836
Russia — 0.7%
Alrosa PJSC		164,310		223,086
MMC Norilsk Nickel PJSC		1,248		384,609
				607,695
Singapore — 0.4%
CapitaLand Mall Trust		32,900		60,188
Mapletree Industrial Trust		172,200		333,006
				393,194
South Africa — 2.2%
Anglo Platinum Ltd.		4,087		381,632
AngloGold Ashanti Ltd.		17,224		386,027
Gold Fields Ltd.		36,173		243,070
Harmony Gold Mining Co. Ltd. Sponsored ADR (b)		18,418		66,857
Impala Platinum Holdings Ltd. (b)		50,812		521,297
Northam Platinum Ltd. (b)		23,357		206,108
Sibanye Gold Ltd. (b)		81,038		204,618
				2,009,609
Spain — 0.3%
Inmobiliaria Colonial SA		22,464		286,644
Sweden — 2.0%
Boliden AB		32,017		851,609
Epiroc AB Class B		19,477		231,175
Hufvudstaden AB Class A		12,104		239,296
Lundin Petroleum AB		7,832		266,171
Sandvik AB		10,515		205,512
				1,793,763
Switzerland — 0.5%
PSP Swiss Property AG Registered		3,147		434,607
United Kingdom — 8.4%
Anglo American PLC		17,831		514,635
Antofagasta PLC		21,970		267,688
BHP Group PLC		25,546		603,395
BP PLC		113,649		713,414
Cairn Energy PLC (b)		37,420		102,106
Centamin PLC		35,974		60,311
Croda International PLC		3,640		247,225
Derwent London PLC		6,430		343,439
Glencore PLC		199,684		624,397
Grainger PLC		49,392		205,058
Great Portland Estates PLC		28,532		325,421
Mondi PLC		8,200		193,574
Rio Tinto PLC		44,390		2,637,519
Shaftesbury PLC		8,555		107,633
The UNITE Group PLC		14,626		244,592
Victrex PLC		4,922		162,981
The Weir Group PLC		9,686		193,817
				7,547,205
United States — 45.3%
Acadia Realty Trust		17,261		447,578
AGCO Corp.		2,215		171,109
Air Products & Chemicals, Inc.		2,948		692,751
Alexander & Baldwin, Inc.		8,367		175,372
Alexandria Real Estate Equities, Inc.		5,443		879,480
American Campus Communities, Inc.		14,517		682,735
American Electric Power Co., Inc.		1,579		149,231
Atmos Energy Corp.		2,594		290,165
AvalonBay Communities, Inc.		7,939		1,664,808
Avery Dennison Corp.		1,458		190,736
Ball Corp.		5,510		356,332
Boston Properties, Inc.		2,217		305,636
Calyxt, Inc. (a) (b)		2,521		17,672
Camden Property Trust		6,618		702,170
Caterpillar, Inc.		1,566		231,267
CF Industries Holdings, Inc.		6,182		295,129
Chevron Corp.		2,113		254,638
Concho Resources, Inc.		8,114		710,543
ConocoPhillips		8,836		574,605
Continental Resources, Inc.		8,726		299,302
CubeSmart		20,915		658,404
CyrusOne, Inc.		1,914		125,233
Devon Energy Corp.		10,522		273,256
Diamondback Energy, Inc.		4,458		413,970
Digital Realty Trust, Inc. (a)		3,528		422,443
Douglas Emmett, Inc.		20,464		898,370

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

219

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Dril-Quip, Inc. (b)		2,966	$	139,135
DuPont de Nemours, Inc.		3,522		226,112
EastGroup Properties, Inc.		2,104		279,138
Entergy Corp.		1,886		225,943
EOG Resources, Inc.		8,403		703,835
EPR Properties		541		38,216
Equinix, Inc.		940		548,678
Equity LifeStyle Properties, Inc.		5,494		386,723
Equity Residential		16,414		1,328,221
Essex Property Trust, Inc.		3,759		1,130,933
Eversource Energy		2,452		208,592
Exxon Mobil Corp.		3,069		214,155
Federal Realty Investment Trust		3,881		499,601
First Industrial Realty Trust, Inc.		4,449		184,678
Flowserve Corp.		3,174		157,970
Freeport-McMoRan, Inc.		34,397		451,289
Halliburton Co.		16,571		405,492
Healthcare Realty Trust, Inc.		26,140		872,292
Healthcare Trust of America, Inc. Class A		23,625		715,365
Highwoods Properties, Inc.		4,964		242,789
Hilton Worldwide Holdings, Inc.		4,396		487,560
Host Hotels & Resorts, Inc.		16,100		298,655
Hudson Pacific Properties, Inc.		8,385		315,695
International Paper Co.		4,309		198,429
Jacobs Engineering Group, Inc.		2,182		196,009
Jagged Peak Energy, Inc. (b)		11,649		98,900
JBG SMITH Properties		14,136		563,885
KBR, Inc.		5,069		154,605
Kilroy Realty Corp.		4,924		413,124
Kosmos Energy Ltd.		23,453		133,682
The Macerich Co. (a)		20,510		552,129
Magnolia Oil & Gas Corp. Class A (a) (b)		10,205		128,379
Marathon Petroleum Corp.		3,646		219,672
National Retail Properties, Inc.		705		37,802
Newmont Goldcorp Corp.		27,907		1,212,559
Newmont Goldcorp Corp. (a)		5,192		225,664
NextEra Energy, Inc.		2,457		594,987
Nucor Corp.		9,769		549,799
Occidental Petroleum Corp.		6,976		287,481
Packaging Corp. of America		1,915		214,461
Paramount Group, Inc.		9,242		128,649
Pebblebrook Hotel Trust		2,878		77,159
Phillips 66		2,047		228,056
Pioneer Natural Resources Co.		3,174		480,448
PPG Industries, Inc.		2,648		353,482
Prologis, Inc.		24,532		2,186,783
PS Business Parks, Inc.		1,161		191,414
Public Storage		5,191		1,105,475
Quaker Chemical Corp. (a)		1,224		201,372
Rayonier, Inc.		7,774		254,676
Realty Income Corp.		1,809		133,197
Regency Centers Corp.		9,967		628,818
Rexford Industrial Realty, Inc.		5,292		241,686
RPM International, Inc.		5,681		436,074
Sanderson Farms, Inc.		2,100		370,062
Sempra Energy		1,403		212,526
The Sherwin-Williams Co.		691		403,226
Simon Property Group, Inc.		3,713		553,088
SL Green Realty Corp.		9,898		909,428
Southern Copper Corp.		9,105		386,780
Spirit Realty Capital, Inc.		706		34,721
Steel Dynamics, Inc.		7,234		246,245
Sunstone Hotel Investors, Inc.		28,745		400,130
Terreno Realty Corp.		10,699		579,244
The Toro Co.		2,707		215,667
Urban Edge Properties		12,378		237,410
Valero Energy Corp.		1,733		162,295
Valmont Industries, Inc.		610		91,366
VEREIT, Inc.		6,551		60,531
Vornado Realty Trust		6,709		446,149
Westlake Chemical Corp.		2,636		184,915
Weyerhaeuser Co.		10,040		303,208
WP Carey, Inc.		2,033		162,721
WPX Energy, Inc. (b)		13,241		181,931
Xcel Energy, Inc.		3,239		205,644
Xylem, Inc.		2,032		160,101
				40,880,246
TOTAL COMMON STOCK (Cost $77,528,632)				83,800,718
PREFERRED STOCK — 0.5%
Brazil — 0.2%
Gerdau SA 1.300%		47,648		235,749
United States — 0.3%
Sempra Energy Convertible 6.000%		1,392		167,068
The Southern Co. Convertible 6.750%		1,305		70,339
				237,407
TOTAL PREFERRED STOCK (Cost $412,678)				473,156
TOTAL EQUITIES (Cost $77,941,310)				84,273,874
MUTUAL FUNDS — 3.8%
Diversified Financial Services — 3.8%
United States — 3.8%
Energy Select Sector SPDR Fund (a)		6,595		395,964
Real Estate Select Sector SPDR Fund		45,960		1,777,273

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

220

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
State Street Navigator Securities Lending Prime Portfolio (c)		1,255,032	$	1,255,032
				3,428,269
TOTAL MUTUAL FUNDS (Cost $3,406,758)				3,428,269
TOTAL PURCHASED OPTIONS (#) — 0.1% (Cost $60,541)				84,603
TOTAL LONG-TERM INVESTMENTS (Cost $81,408,609)				87,786,746
SHORT-TERM INVESTMENTS — 4.5%
Mutual Fund — 3.0%
T. Rowe Price Government Reserve Investment Fund		2,708,371		2,708,371

	Principal Amount
Repurchase Agreement — 1.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	1,062,562		1,062,562
U.S. Treasury Bill — 0.3%
U.S. Treasury Bill 0.000% 4/09/20 (e)		272,000		270,870
TOTAL SHORT-TERM INVESTMENTS (Cost $4,041,809)				4,041,803
TOTAL INVESTMENTS — 101.8% (Cost $85,450,418) (f)				91,828,549
Other Assets/(Liabilities) — (1.8)%				(1,645,663	)
NET ASSETS — 100.0%			$	90,182,886

Abbreviation Legend

ADR	American Depositary Receipt
PJSC	Public Joint Stock Company
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, 2019, was $3,330,597 or 3.69% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $2,185,026 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).
(b)	Non-income producing security.
(c)	Represents investment of security lending cash collateral. (Note 2).
(d)	Maturity value of $1,062,609. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,084,903.
(e)	A portion of this security is pledged/held as collateral for open derivatives. (Note 2).
(f)	See Note 3 for aggregate cost for federal tax purposes.

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

221

MassMutual Select T. Rowe Price Real Assets Fund - Portfolio of Investments (Continued)

(#) OTC Options Purchased

Description	Counterparty	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
S&P 500 Index	Citibank N.A.	3/20/20		3,235.00		7	USD	2,264,500	$	52,173	$	27,510	$	24,663
Put
GBP Put USD Call	Deutsche Bank AG	2/20/20		1.22		800,000	USD	800,000	$	200	$	11,768	$	(11,568	)
									$	52,373	$	39,278	$	13,095

(#) Exchange-Traded Options Purchased

Description	Expiration Date	Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
S&P 500 Index	3/20/20		3,320.00		11	USD	3,652,000	$	32,230	$	21,263	$	10,967

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold			Unrealized Appreciation (Depreciation)
UBS AG	2/07/20	JPY	158,370,000	USD	$	1,464,975	$	(4,952	)

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
S&P TSE 60 Index	3/19/20		8	$	1,246,248		$	1,174
SPI 200 Index	3/19/20		4		475,125			(11,760	)
S&P 500 E Mini Index	3/20/20		4		634,539			11,681
							$	1,095
Short
DAX Index	3/20/20		1	$	(372,796	)	$	1,331

Currency Legend

GBP British Pound

JPY Japanese Yen

USD U.S. Dollar

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

222

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.1%
COMMON STOCK — 96.3%
Basic Materials — 4.2%
Chemicals — 1.3%
AgroFresh Solutions, Inc. (a)		68,137	$	175,794
Air Products & Chemicals, Inc.		5,000		1,174,950
American Vanguard Corp.		14,847		289,071
Element Solutions, Inc. (a)		23,377		273,043
GCP Applied Technologies, Inc. (a)		12,054		273,746
Hawkins, Inc.		4,872		223,186
Minerals Technologies, Inc.		14,769		851,138
Oil-Dri Corp. of America		5,674		205,683
Orion Engineered Carbons SA		4,879		94,165
PolyOne Corp.		7,925		291,561
PPG Industries, Inc.		5,722		763,830
Quaker Chemical Corp. (b)		5,975		983,007
RPM International, Inc.		24,353		1,869,336
Valvoline, Inc.		20,000		428,200
Westlake Chemical Corp.		17,340		1,216,401
				9,113,111
Forest Products & Paper — 0.2%
Clearwater Paper Corp. (a)		5,876		125,511
Interfor Corp. (a)		20,900		236,112
West Fraser Timber Co. Ltd. (b)		25,854		1,140,439
				1,502,062
Iron & Steel — 0.3%
Carpenter Technology Corp.		10,570		526,175
Nucor Corp.		22,842		1,285,548
Reliance Steel & Aluminum Co.		3,361		402,513
				2,214,236
Mining — 2.4%
Alacer Gold Corp. (a)		66,336		352,484
Barrick Gold Corp.		148,522		2,761,024
Cameco Corp.		143,801		1,279,829
Cia de Minas Buenaventura SA Sponsored ADR		57,493		868,144
Constellium SE (a)		57,532		770,929
ERO Copper Corp. (a)		45,284		823,345
Franco-Nevada Corp.		30,231		3,121,693
Freeport-McMoRan, Inc.		132,647		1,740,329
Fresnillo PLC		147,307		1,248,564
Gold Fields Ltd. Sponsored ADR		86,415		570,339
Kirkland Lake Gold Ltd. (b)		21,000		925,470
Lundin Mining Corp. (b)		41,896		250,366
NAC Kazatomprom JSC GDR		42,769		555,997
Newmont Goldcorp Corp.		21,493		933,871
Northern Star Resources Ltd.		67,249		531,989
Osisko Gold Royalties Ltd. (b)		15,715		152,727
				16,887,100
				29,716,509
Communications — 4.8%
Advertising — 0.0%
National CineMedia, Inc.		5,630		41,043
Internet — 2.1%
Anaplan, Inc. (a)		17,978		942,047
Chewy, Inc. Class A (a) (b)		3,000		87,000
Everquote, Inc. Class A (a) (b)		7,536		258,862
IAC/InterActiveCorp (a)		12,000		2,989,320
MercadoLibre, Inc. (a)		202		115,532
Okta, Inc. (a)		18,956		2,186,954
Proofpoint, Inc. (a)		17,068		1,959,065
Q2 Holdings, Inc. (a)		3,023		245,105
Shopify, Inc. Class A (a)		5,172		2,056,284
Spotify Technology SA (a)		6,000		897,300
Tucows, Inc. Class A (a)		2,602		160,751
Upwork, Inc. (a)		1,350		14,404
Zendesk, Inc. (a)		38,210		2,928,032
				14,840,656
Media — 1.8%
AMC Networks, Inc. Class A (a)		6,823		269,508
Cable One, Inc.		3,226		4,801,804
DISH Network Corp. Class A (a)		19,171		679,995
Fox Corp. Class A		6,315		234,097
News Corp. Class A		231,926		3,279,434
Saga Communications, Inc. Class A		4,478		136,131
Scholastic Corp.		20,659		794,339
ViacomCBS, Inc. Class B		65,434		2,746,265
				12,941,573
Telecommunications — 0.9%
Corning, Inc.		62,000		1,804,820
GCI Liberty, Inc. Class A (a)		35,590		2,521,552
GTT Communications, Inc. (a) (b)		21,515		244,195
Harmonic, Inc. (a)		113,743		887,195
PagerDuty, Inc. (a) (b)		9,279		217,036
Shenandoah Telecommunications Co.		3,963		164,900
Telephone & Data Systems, Inc.		6,908		175,671
				6,015,369
				33,838,641
Consumer, Cyclical — 9.2%
Airlines — 0.3%
Alaska Air Group, Inc.		8,000		542,000
Hawaiian Holdings, Inc.		11,502		336,894
United Airlines Holdings, Inc. (a)		11,000		968,990
				1,847,884
Apparel — 0.6%
Allbirds, Inc. (Acquired 10/10/18-12/21/18, Cost $139,612) (a) (c) (d) (e)		12,730		164,036
Levi Strauss & Co. Class A (b)		13,000		250,770

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

223

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Ralph Lauren Corp.		10,119	$	1,186,149
Steven Madden Ltd.		13,906		598,097
Tapestry, Inc.		32,000		863,040
Under Armour, Inc. Class C (a)		35,629		683,364
VF Corp.		7,000		697,620
				4,443,076
Auto Manufacturers — 0.3%
Blue Bird Corp. (a)		12,349		283,039
PACCAR, Inc.		18,447		1,459,158
REV Group, Inc.		9,661		118,154
				1,860,351
Auto Parts & Equipment — 0.7%
Aptiv PLC		19,000		1,804,430
Dorman Products, Inc. (a)		5,195		393,366
Garrett Motion, Inc. (a)		25,572		255,464
Gentherm, Inc. (a)		9,416		417,976
Meritor, Inc. (a)		18,400		481,896
Visteon Corp. (a)		16,309		1,412,196
Westport Innovations, Inc. (a)		4,444		10,532
				4,775,860
Distribution & Wholesale — 0.4%
Pool Corp.		4,310		915,358
SiteOne Landscape Supply, Inc. (a) (b)		18,515		1,678,385
				2,593,743
Entertainment — 0.6%
Marriott Vacations Worldwide Corp.		3,271		421,174
Red Rock Resorts, Inc. Class A		5,770		138,191
Vail Resorts, Inc.		16,494		3,955,756
				4,515,121
Home Builders — 0.4%
Cavco Industries, Inc. (a)		5,856		1,144,145
Horizon Global Corp. (a)		39,113		136,504
LCI Industries		5,076		543,792
Skyline Champion Corp. (a)		13,822		438,158
TRI Pointe Group, Inc. (a)		30,131		469,441
				2,732,040
Home Furnishing — 0.1%
Tempur Sealy International, Inc. (a)		7,220		628,573
Housewares — 0.3%
The Toro Co.		29,267		2,331,702
Leisure Time — 0.4%
Drive Shack, Inc. (a) (b)		21,510		78,727
Norwegian Cruise Line Holdings Ltd. (a)		46,000		2,686,860
OneSpaWorld Holdings Ltd. (a)		16,412		276,378
				3,041,965
Lodging — 0.9%
Hilton Worldwide Holdings, Inc.		13,000		1,441,830
Marriott International, Inc. Class A		8,000		1,211,440
MGM Resorts International		78,000		2,595,060
The St. Joe Co. (a) (b)		57,358		1,137,409
				6,385,739
Retail — 4.2%
A Place for Rover, Inc. (Acquired 5/25/18, Cost $7,426) (a) (c) (d) (e)		1,096		6,850
Beacon Roofing Supply, Inc. (a)		15,198		486,032
Boot Barn Holdings, Inc. (a)		2,344		104,378
Burlington Stores, Inc. (a)		21,618		4,929,552
Cannae Holdings, Inc. (a)		18,556		690,098
CarMax, Inc. (a)		8,000		701,360
Casey’s General Stores, Inc.		10,283		1,634,894
Chuy’s Holdings, Inc. (a)		9,507		246,421
Darden Restaurants, Inc.		5,000		545,050
Denny’s Corp. (a)		19,937		396,348
Dollar General Corp.		17,000		2,651,660
Dollar Tree, Inc. (a)		18,000		1,692,900
Dunkin’ Brands Group, Inc.		20,715		1,564,811
Express, Inc. (a)		33,089		161,143
Fiesta Restaurant Group, Inc. (a)		13,411		132,635
Five Below, Inc. (a)		1,015		129,778
Lumber Liquidators Holdings, Inc. (a) (b)		12,056		117,787
The Michaels Cos., Inc. (a)		36,918		298,667
National Vision Holdings, Inc. (a)		3,892		126,218
Nordstrom, Inc. (b)		18,069		739,564
O’Reilly Automotive, Inc. (a)		3,000		1,314,780
Ollie’s Bargain Outlet Holdings, Inc. (a) (b)		35,703		2,331,763
Papa John’s International, Inc.		16,592		1,047,785
Red Robin Gourmet Burgers, Inc. (a)		14,483		478,229
RH (a)		1,002		213,927
Sportsman’s Warehouse Holdings, Inc. (a)		45,504		365,397
Tiffany & Co.		36,366		4,860,316
Tuesday Morning Corp. (a)		44,735		82,760
Ulta Salon Cosmetics & Fragrance, Inc. (a)		2,000		506,280
Wingstop, Inc.		675		58,205
Winmark Corp.		2,746		544,532
				29,160,120
Textiles — 0.0%
Culp, Inc.		7,490		102,014
JG Boswell Co.		114		68,400
				170,414
				64,486,588
Consumer, Non-cyclical — 28.4%
Agriculture — 0.7%
Archer-Daniels-Midland Co.		20,809		964,497
Bunge Ltd.		72,675		4,182,446

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

224

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Pax Labs, Inc., Class A (Acquired 4/18/19, Cost $218,578) (a) (c) (d) (e)		58,048	$	148,603
				5,295,546
Beverages — 0.6%
The Boston Beer Co., Inc. Class A (a)		5,533		2,090,644
Carlsberg A/S Class B		9,108		1,358,694
Coca-Cola Bottling Co. Consolidated		1,320		374,946
Molson Coors Brewing Co. Class B		2,936		158,250
				3,982,534
Biotechnology — 3.6%
Abcam PLC		68,514		1,228,130
ACADIA Pharmaceuticals, Inc. (a)		25,382		1,085,842
Acceleron Pharma, Inc. (a)		7,920		419,918
Allakos, Inc. (a) (b)		1,238		118,056
Allogene Therapeutics, Inc. (a) (b)		5,609		145,722
Alnylam Pharmaceuticals, Inc. (a)		10,710		1,233,471
Amarin Corp. PLC Sponsored ADR (a) (b)		9,249		198,298
Apellis Pharmaceuticals, Inc. (a)		1,234		37,785
Ardelyx, Inc. (a)		4,100		30,770
Argenx SE ADR (a)		10,266		1,647,898
Assembly Biosciences, Inc. (a)		1,681		34,393
Autolus Therapeutics PLC (a) (b)		2,146		28,327
Avrobio, Inc. (a)		2,083		41,931
BeiGene Ltd. ADR (a)		860		142,554
Bluebird Bio, Inc. (a) (b)		2,627		230,519
Blueprint Medicines Corp. (a)		9,312		745,984
Cara Therapeutics, Inc. (a) (b)		17,933		288,901
Corteva, Inc.		53,697		1,587,283
CRISPR Therapeutics AG (a)		1,437		87,520
Deciphera Pharmaceuticals, Inc. (a)		2,722		169,417
Dicerna Pharmaceuticals, Inc. (a)		5,520		121,606
Epizyme, Inc. (a) (b)		1,966		48,364
Exact Sciences Corp. (a) (b)		40,364		3,732,863
Exelixis, Inc. (a)		11,076		195,159
Fate Therapeutics, Inc. (a) (b)		1,269		24,834
FibroGen, Inc. (a)		3,410		146,255
Forty Seven, Inc. (a)		2,332		91,811
Guardant Health, Inc. (a)		8,029		627,386
Homology Medicines, Inc. (a)		9,274		191,972
IGM Biosciences, Inc. (a) (b)		2,496		95,247
Immunomedics, Inc. (a) (b)		15,424		326,372
Incyte Corp. (a)		22,471		1,962,168
Insmed, Inc. (a)		22,700		542,076
Intercept Pharmaceuticals, Inc. (a) (b)		1,055		130,736
Ionis Pharmaceuticals, Inc. (a)		2,750		166,127
Iovance Biotherapeutics, Inc. (a)		13,988		387,188
Karuna Therapeutics, Inc. (a) (b)		662		49,875
Krystal Biotech, Inc. (a)		2,884		159,716
Mirati Therapeutics, Inc. (a) (b)		2,600		335,036
Moderna, Inc. (a) (b)		69		1,350
Orchard Therapeutics PLC (a)		20,360		279,950
PTC Therapeutics, Inc. (a)		9,866		473,864
Radius Health, Inc. (a) (b)		28,814		580,890
RAPT Therapeutics, Inc. (a) (b)		1,219		33,657
RAPT Therapeutics, Inc., Lockup shares (Acquired 10/31/19, Cost $16,031) (d) (e)		1,165		30,557
Rigel Pharmaceuticals, Inc. (a)		34,335		73,477
Rocket Pharmaceuticals, Inc. (a) (b)		4,813		109,544
Sage Therapeutics, Inc. (a) (b)		12,634		912,048
Scholar Rock Holding Corp. (a) (b)		4,702		61,972
Seattle Genetics, Inc. (a)		24,922		2,847,588
Ultragenyx Pharmaceutical, Inc. (a)		13,894		593,413
WaVe Life Sciences Ltd. (a) (b)		3,637		29,151
Xencor, Inc. (a)		18,530		637,247
Zai Lab Ltd. ADR (a)		740		30,777
Zymeworks, Inc. (a)		623		28,322
				25,561,317
Commercial Services — 8.1%
Aaron’s, Inc.		31,366		1,791,312
Altus Group Ltd. (b)		16,423		480,087
American Public Education, Inc. (a)		5,724		156,780
Avalara, Inc. (a)		3,910		286,408
Booz Allen Hamilton Holding Corp.		54,948		3,908,451
Bright Horizons Family Solutions, Inc. (a)		23,228		3,490,936
The Brink’s Co.		16,150		1,464,482
Chegg, Inc. (a)		6,733		255,248
Cintas Corp.		3,763		1,012,548
Clarivate Analytics PLC (a)		139,822		2,349,010
Colliers International Group, Inc.		1,698		132,393
CoreLogic, Inc. (a)		33,000		1,442,430
CoStar Group, Inc. (a)		8,053		4,818,110
Cross Country Healthcare, Inc. (a)		14,512		168,629
Equifax, Inc.		6,324		886,119
Euronet Worldwide, Inc. (a)		5,300		835,068
Evo Payments, Inc. Class A (a)		12,617		333,215
FleetCor Technologies, Inc. (a)		7,000		2,014,040
FTI Consulting, Inc. (a)		10,070		1,114,346
Gartner, Inc. (a)		16,766		2,583,641
Global Payments, Inc.		15,000		2,738,400
Green Dot Corp. Class A (a)		11,011		256,556
HMS Holdings Corp. (a)		14,236		421,386
Huron Consulting Group, Inc. (a)		8,027		551,615
IHS Markit Ltd. (a)		20,000		1,507,000
MarketAxess Holdings, Inc.		4,368		1,655,953
Monro, Inc. (b)		20,018		1,565,408
nCino, Inc. (Acquired 9/16/19, Cost $280,358) (a) (c) (d) (e)		12,890		280,358
Paylocity Holding Corp. (a)		11,493		1,388,584
Perdoceo Education Corp. (a)		19,607		360,573
Rentokil Initial PLC		384,999		2,317,688
Rollins, Inc.		40,603		1,346,395

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

225

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Rosetta Stone, Inc. (a)		15,706	$	284,907
SEACOR Marine Holdings Inc. (a)		36,489		503,183
ServiceMaster Global Holdings, Inc. (a)		21,000		811,860
StoneCo Ltd. Class A (a)		26,547		1,058,960
Strategic Education, Inc.		18,523		2,943,305
Team, Inc. (a)		15,607		249,244
TransUnion		54,200		4,640,062
Verisk Analytics, Inc.		12,000		1,792,080
WEX, Inc. (a)		3,349		701,482
				56,898,252
Cosmetics & Personal Care — 0.0%
Edgewell Personal Care Co. (a)		4,192		129,784
JAND, Inc., Class A (Acquired 3/09/18, Cost $112,141) (a) (c) (d) (e)		7,135		129,586
				259,370
Foods — 2.3%
BellRing Brands, Inc. Class A (a)		21,163		450,560
Cal-Maine Foods, Inc.		13,817		590,677
Campbell Soup Co.		25,964		1,283,141
Conagra Brands, Inc.		20,000		684,800
Flowers Foods, Inc.		145,177		3,156,148
Grocery Outlet Holding Corp. (a)		10,429		338,421
The Hain Celestial Group, Inc. (a)		2,470		64,109
The Kroger Co.		20,909		606,152
Nomad Foods Ltd. (a)		86,666		1,938,718
Performance Food Group Co. (a)		13,099		674,337
Post Holdings, Inc. (a)		14,707		1,604,534
Sanderson Farms, Inc.		5,910		1,041,460
The Simply Good Foods Co. (a)		29,761		849,379
Sprouts Farmers Market, Inc. (a)		32,000		619,200
Sysco Corp.		10,795		923,404
TreeHouse Foods, Inc. (a)		33,106		1,605,641
				16,430,681
Health Care – Products — 6.8%
Adaptive Biotechnologies Corp. (a)		7,247		216,830
Alcon, Inc. (a)		12,149		688,237
Alcon, Inc. (a)		18,000		1,018,260
AngioDynamics, Inc. (a)		5,060		81,011
AtriCure, Inc. (a)		6,225		202,375
Atrion Corp.		1,006		756,009
Avanos Medical, Inc. (a)		29,246		985,590
Avantor, Inc. (a)		62,000		1,125,300
Baxter International, Inc.		24,540		2,052,035
Bruker Corp.		80,846		4,120,721
The Cooper Cos., Inc.		12,000		3,855,480
Dentsply Sirona, Inc.		44,929		2,542,532
Envista Holdings Corp. (a)		21,624		640,935
Hanger, Inc. (a)		22,908		632,490
Hologic, Inc. (a)		135,813		7,090,797
ICU Medical, Inc. (a)		5,978		1,118,603
IDEXX Laboratories, Inc. (a)		9,367		2,446,005
iRhythm Technologies, Inc. (a)		6,500		442,585
Lantheus Holdings, Inc. (a)		4,648		95,331
Nevro Corp. (a)		8,948		1,051,748
Novocure Ltd. (a)		3,007		253,400
NuVasive, Inc. (a)		5,100		394,434
Patterson Cos., Inc.		115,171		2,358,702
Penumbra, Inc. (a) (b)		500		82,135
Quidel Corp. (a)		26,527		1,990,321
Sartorius Stedim Biotech		2,668		442,375
Shockwave Medical, Inc. (a) (b)		9,911		435,291
Teleflex, Inc.		13,000		4,893,720
Utah Medical Products, Inc.		2,301		248,278
West Pharmaceutical Services, Inc.		19,071		2,866,943
Zimmer Biomet Holdings, Inc.		16,390		2,453,255
				47,581,728
Health Care – Services — 2.1%
Acadia Healthcare Co., Inc. (a)		41,020		1,362,684
Amedisys, Inc. (a)		4,278		714,084
Catalent, Inc. (a)		65,048		3,662,202
The Ensign Group, Inc.		10,184		462,048
Eurofins Scientific SE (b)		2,753		1,528,849
Molina Healthcare, Inc. (a)		9,688		1,314,565
The Pennant Group, Inc. (a)		18,482		611,200
Select Medical Holdings Corp. (a)		191,980		4,480,813
U.S. Physical Therapy, Inc.		3,486		398,624
				14,535,069
Household Products & Wares — 0.3%
Avery Dennison Corp.		11,000		1,439,020
CSS Industries, Inc.		8,069		35,584
Kimberly-Clark Corp.		2,495		343,187
Quanex Building Products Corp.		5,706		97,459
				1,915,250
Pharmaceuticals — 3.9%
Agios Pharmaceuticals, Inc. (a) (b)		7,089		338,500
Aimmune Therapeutics, Inc. (a) (b)		15,478		518,049
Alkermes PLC (a)		100,480		2,049,792
Ascendis Pharma A/S ADR (a)		16,350		2,274,612
Axsome Therapeutics, Inc. (a) (b)		2,058		212,715
Cardinal Health, Inc.		46,678		2,360,973
Corvus Pharmaceuticals, Inc. (a) (b)		4,715		25,650
DexCom, Inc. (a)		12,894		2,820,433
Elanco Animal Health, Inc. (a)		48,000		1,413,600
Enanta Pharmaceuticals, Inc. (a)		3,061		189,108
G1 Therapeutics, Inc. (a)		6,411		169,443
Global Blood Therapeutics, Inc. (a)		16,029		1,274,145
GW Pharmaceuticals PLC ADR (a) (b)		2,144		224,177
Intra-Cellular Therapies, Inc. (a) (b)		2,286		78,433
Kadmon Holdings, Inc. (a)		9,188		41,622
Kodiak Sciences, Inc. (a) (b)		8,474		609,704

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

226

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Milestone Pharmaceuticals, Inc. (a)		1,886	$	30,195
Minerva Neurosciences, Inc. (a)		1,230		8,745
Momenta Pharmaceuticals, Inc. (a)		30,676		605,237
MyoKardia, Inc. (a) (b)		9,967		726,445
Neurocrine Biosciences, Inc. (a)		14,750		1,585,477
Odonate Therapeutics, Inc. (a)		2,589		84,013
Option Care Health, Inc. (a)		10,712		39,956
Perrigo Co. PLC		88,547		4,574,338
PRA Health Sciences, Inc. (a)		15,000		1,667,250
Principia Biopharma, Inc. (a)		5,183		283,925
Progenics Pharmaceuticals, Inc. (a)		11,855		60,342
Reata Pharmaceuticals, Inc. Class A (a)		3,954		808,316
Rhythm Pharmaceuticals, Inc. (a)		1,518		34,853
Sarepta Therapeutics, Inc. (a) (b)		7,297		941,605
TherapeuticsMD, Inc. (a) (b)		110,893		268,361
Tricida, Inc. (a) (b)		13,776		519,906
Turning Point Therapeutics I (a)		5,352		333,376
Zogenix, Inc. (a)		2,182		113,748
				27,287,044
				199,746,791
Diversified — 0.1%
Holding Company – Diversified — 0.1%
Collier Creek Holdings (a)		37,171		390,295
Conyers Park II Acquisition Corp. (a)		28,924		314,693
GS Acquisition Holdings Corp. (a)		14,621		172,528
				877,516
Energy — 4.4%
Coal — 0.1%
Peabody Energy Corp.		46,877		427,518
Energy – Alternate Sources — 0.1%
NextEra Energy Partners LP		13,494		710,459
REX American Resources Corp. (a)		4,027		330,053
				1,040,512
Oil & Gas — 3.5%
Advantage Oil & Gas Ltd. (a) (b)		85,629		181,340
Apache Corp.		35,287		902,994
Canadian Natural Resources Ltd.		84,658		2,738,686
Concho Resources, Inc.		27,000		2,364,390
Contango Oil & Gas Company (Acquired 12/23/19, Cost $107,065) (d) (e)		42,826		149,313
Continental Resources, Inc.		19,000		651,700
Delek US Holdings, Inc.		4,939		165,605
Diamondback Energy, Inc.		5,503		511,009
Earthstone Energy, Inc. Class A (a)		14,055		88,968
Encana Corp. (b)		316,943		1,486,463
EQT Corp.		227,120		2,475,608
Hess Corp.		38,304		2,559,090
Imperial Oil Ltd. (b)		127,353		3,371,034
Jagged Peak Energy, Inc. (a) (b)		49,583		420,960
Kelt Exploration Ltd. (a) (b)		80,891		303,368
Kimbell Royalty Partners LP		13,373		227,341
Kosmos Energy Ltd.		52,287		298,036
Magnolia Oil & Gas Corp. Class A (a) (b)		61,118		768,864
Matador Resources Co. (a)		20,848		374,638
Murphy Oil Corp.		69,122		1,852,470
Panhandle Oil & Gas, Inc. Class A		6,143		68,863
Pioneer Natural Resources Co.		8,000		1,210,960
Seven Generations Energy Ltd. Class A (a)		75,029		489,389
Venture Global LNG, Inc., Series B (Acquired 3/08/18, Cost $33,220) (a) (c) (d) (e)		11		57,200
Venture Global LNG, Inc., Series C (Acquired 3/08/18, Cost $27,180) (a) (c) (d) (e)		9		46,800
WPX Energy, Inc. (a)		43,008		590,930
				24,356,019
Oil & Gas Services — 0.5%
Apergy Corp. (a)		8,565		289,326
Dril-Quip, Inc. (a)		9,798		459,624
Enerflex Ltd.		12,632		118,971
Frank’s International NV (a)		177,268		916,476
Liberty Oilfield Services, Inc. Class A		60,900		677,208
NexTier Oilfield Solutions, Inc. (a)		81,446		545,688
Ranger Energy Services, Inc. (a)		12,951		83,404
TETRA Technologies, Inc. (a)		74,705		146,422
Thermon Group Holdings, Inc. (a)		18,295		490,306
				3,727,425
Pipelines — 0.2%
Equitrans Midstream Corp. (b)		103,441		1,381,972
New Fortress Energy LLC (a) (b)		6,988		109,502
Plains GP Holdings LP Class A		11,862		224,785
				1,716,259
				31,267,733
Financial — 18.1%
Banks — 6.6%
American Business Bank (a)		3,000		106,950
Atlantic Capital Bancshares, Inc. (a)		16,750		307,363
BankUnited, Inc.		45,899		1,678,067
BOK Financial Corp.		4,970		434,378
Bridge Bancorp, Inc.		15,102		506,370
Burke & Herbert Bank & Trust Co.		95		212,453
CenterState Bank Corp.		42,958		1,073,091
Columbia Banking System, Inc.		29,653		1,206,432
CrossFirst Bankshares, Inc. (a)		17,768		256,215
CrossFirst Bankshares, Inc., Lockup Shares (Acquired 10/23/18-1/03/19, Cost $106,847) (a) (d) (e)		7,498		102,715

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

227

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Dogwood State Bank (Acquired 5/06/19, Cost $26,370) (c) (d) (e)		2,637	$	26,370
Dogwood State Bank (Acquired 5/06/19, Cost $53,690) (c) (d) (e)		5,369		53,690
East West Bancorp, Inc.		13,475		656,233
Equity Bancshares, Inc. Class A (a)		8,100		250,047
Farmers & Merchants Bank of Long Beach/Long Beach CA		30		235,470
FB Financial Corp.		23,997		950,041
Fifth Third Bancorp		142,556		4,382,171
The First Bancshares, Inc.		13,620		483,782
First Hawaiian, Inc.		8,856		255,496
Glacier Bancorp, Inc.		13,116		603,205
HarborOne Bancorp, Inc. (a)		34,316		377,133
Heritage Commerce Corp.		38,755		497,227
Heritage Financial Corp.		21,802		616,997
Home BancShares, Inc.		100,842		1,982,554
Hope Bancorp, Inc.		47,101		699,921
Howard Bancorp, Inc. (a)		11,418		192,736
Independent Bank Corp.		6,483		539,710
Independent Bank Group, Inc.		19,380		1,074,427
John Marshall Bancorp, Inc. (a)		9,438		155,727
Kearny Financial Corp.		42,667		590,085
Live Oak Bancshares, Inc.		35,746		679,531
National Bank Holdings Corp. Class A		19,875		699,998
Northern Trust Corp.		37,000		3,930,880
Origin Bancorp, Inc.		18,316		693,077
PCSB Financial Corp.		11,051		223,783
Pinnacle Financial Partners, Inc.		25,940		1,660,160
Ponce de Leon Federal Bank (a)		11,554		169,844
Popular, Inc.		17,455		1,025,481
Preferred Bank		9,778		587,560
Prosperity Bancshares, Inc.		15,944		1,146,214
Provident Bancorp, Inc. (a)		7,301		90,897
Revere Bank (a)		5,231		205,055
Seacoast Banking Corp. of Florida (a)		21,818		666,976
Signature Bank		7,187		981,816
South State Corp.		9,212		799,141
Southern First Bancshares, Inc. (a)		3,637		154,536
State Street Corp.		41,511		3,283,520
Sterling Bancorp, Inc.		32,978		267,122
SVB Financial Group (a)		962		241,500
Texas Capital Bancshares, Inc. (a)		13,649		774,854
Towne Bank		39,126		1,088,485
Webster Financial Corp.		39,359		2,100,196
Westamerica Bancorp.		27,611		1,871,197
Western Alliance Bancorp		38,317		2,184,069
Wintrust Financial Corp.		6,605		468,295
				46,501,243
Diversified Financial Services — 2.4%
Afterpay Ltd. (a)		17,258		355,498
Ally Financial, Inc.		31,244		954,817
Assetmark Financial Holdings (a)		2,787		80,879
Cboe Global Markets, Inc.		35,687		4,282,440
Columbia Financial, Inc. (a)		12,959		219,525
E*TRADE Financial Corp.		24,000		1,088,880
Encore Capital Group, Inc. (a)		13,776		487,119
Franklin Resources, Inc.		49,095		1,275,488
Grasshopper Bancorp, Inc. (Acquired 5/02/19, Cost $83,390) (a) (c) (d) (e)		8,339		83,390
Houlihan Lokey, Inc.		11,018		538,450
I3 Verticals, Inc. Class A (a)		12,425		351,006
OTC Markets Group, Inc. Class A		5,221		182,735
PennyMac Financial Services, Inc.		43,009		1,464,026
PRA Group, Inc. (a)		14,815		537,785
SLM Corp.		74,787		666,352
Synchrony Financial		20,928		753,617
TD Ameritrade Holding Corp.		43,837		2,178,699
Tradeweb Markets, Inc. Class A		16,000		741,600
Virtus Investment Partners, Inc.		2,717		330,713
				16,573,019
Insurance — 3.7%
Assurant, Inc.		17,669		2,316,053
Assured Guaranty Ltd.		3,960		194,119
Axis Capital Holdings Ltd.		32,058		1,905,528
Brighthouse Financial, Inc. (a)		22,439		880,282
Brown & Brown, Inc.		53,340		2,105,863
CNA Financial Corp.		44,750		2,005,247
eHealth, Inc. (a)		519		49,866
Employers Holdings, Inc.		6,155		256,971
Essent Group Ltd.		6,710		348,853
Fidelity National Financial, Inc.		43,000		1,950,050
Goosehead Insurance, Inc. Class A (b)		4,435		188,044
The Hanover Insurance Group, Inc.		4,960		677,883
James River Group Holdings Ltd.		5,491		226,284
Kemper Corp.		15,631		1,211,402
Loews Corp.		48,149		2,527,341
Marsh & McLennan Cos., Inc.		12,755		1,421,035
Palomar Holdings, Inc. (a)		10,079		508,889
Primerica, Inc.		491		64,105
ProAssurance Corp.		13,833		499,925
The Progressive Corp.		7,000		506,730
ProSight Global, Inc. (a)		4,405		71,053
Radian Group, Inc.		45,381		1,141,786
RenaissanceRe Holdings Ltd.		1,002		196,412
Safety Insurance Group, Inc.		7,567		700,174
Selective Insurance Group, Inc.		13,812		900,404
State Auto Financial Corp.		23,411		726,209
Willis Towers Watson PLC		13,000		2,625,220
				26,205,728

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

228

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Investment Companies — 0.2%
Groupe Bruxelles Lambert SA		3,983	$	420,208
Pargesa Holding SA		13,336		1,107,903
				1,528,111
Private Equity — 0.2%
KKR & Co., Inc. Class A		38,000		1,108,460
Safeguard Scientifics, Inc.		8,711		95,647
				1,204,107
Real Estate — 0.5%
Alexander & Baldwin, Inc.		10,552		221,170
FirstService Corp.		29,190		2,715,838
FRP Holdings, Inc. (a)		1,913		95,286
McGrath RentCorp		6,708		513,430
				3,545,724
Real Estate Investment Trusts (REITS) — 3.8%
Acadia Realty Trust		23,050		597,686
American Assets Trust, Inc.		6,909		317,123
American Campus Communities, Inc.		24,170		1,136,715
Capstead Mortgage Corp.		56,717		449,199
Cedar Realty Trust, Inc.		120,055		354,162
Community Healthcare Trust, Inc.		2,700		115,722
Creative Science Properties, Inc. (Acquired 10/30/19, Cost $118,485) (e)		7,899		118,485
CubeSmart		27,513		866,109
Douglas Emmett, Inc.		9,055		397,514
EastGroup Properties, Inc.		12,958		1,719,138
Equity Commonwealth		41,125		1,350,134
Equity Residential		17,829		1,442,723
First Industrial Realty Trust, Inc.		15,574		646,477
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		18,404		592,241
Healthcare Realty Trust, Inc.		22,688		757,099
JBG SMITH Properties		41,258		1,645,782
Kilroy Realty Corp.		4,670		391,813
Paramount Group, Inc.		32,353		450,354
Pebblebrook Hotel Trust		11,835		317,296
PennyMac Mortgage Investment Trust		14,187		316,228
PotlatchDeltic Corp.		9,173		396,916
PS Business Parks, Inc.		9,925		1,636,335
Rayonier, Inc.		99,768		3,268,400
Redwood Trust, Inc.		15,578		257,660
Regency Centers Corp.		21,146		1,334,101
Rexford Industrial Realty, Inc.		14,700		671,349
Saul Centers, Inc.		8,675		457,866
Sunstone Hotel Investors, Inc.		41,110		572,251
Terreno Realty Corp.		18,640		1,009,170
Washington Real Estate Investment Trust		9,696		282,929
Weyerhaeuser Co.		103,830		3,135,666
				27,004,643
Savings & Loans — 0.7%
Capitol Federal Financial, Inc.		105,679		1,450,973
FS Bancorp, Inc.		2,527		161,197
Investors Bancorp, Inc.		28,722		342,223
Meridian Bancorp, Inc.		50,565		1,015,851
Pacific Premier Bancorp, Inc.		20,882		680,858
WSFS Financial Corp.		22,240		978,337
				4,629,439
				127,192,014
Industrial — 14.4%
Aerospace & Defense — 1.1%
Aerojet Rocketdyne Holdings, Inc. (a)		20,588		940,048
Barnes Group, Inc.		4,708		291,708
Bombardier, Inc. Class B (a)		144,900		215,361
Cobham PLC		296,194		644,663
Kratos Defense & Security Solutions, Inc. (a)		2,900		52,229
L3 Harris Technologies, Inc.		12,000		2,374,440
Teledyne Technologies, Inc. (a)		5,029		1,742,750
Triumph Group, Inc.		47,861		1,209,447
				7,470,646
Building Materials — 1.4%
Armstrong World Industries, Inc.		25,034		2,352,445
Gibraltar Industries, Inc. (a)		12,934		652,391
JELD-WEN Holding, Inc. (a)		9,473		221,763
Lennox International, Inc.		9,118		2,224,518
Martin Marietta Materials, Inc.		2,000		559,280
PGT Innovations, Inc. (a)		17,360		258,838
Simpson Manufacturing Co., Inc.		5,803		465,575
Stella-Jones, Inc. (b)		30,278		874,845
Summit Materials, Inc. Class A (a)		33,224		794,054
Universal Forest Products, Inc.		13,083		624,059
Vulcan Materials Co.		8,351		1,202,460
				10,230,228
Electrical Components & Equipment — 0.6%
Belden, Inc.		30,054		1,652,970
Insteel Industries, Inc.		9,703		208,517
Littelfuse, Inc.		6,630		1,268,319
Novanta, Inc. (a)		9,681		856,188
				3,985,994
Electronics — 2.4%
ADT, Inc. (b)		18,609		147,569
Agilent Technologies, Inc.		35,000		2,985,850
Allegion PLC		4,000		498,160
API Group Corp. (a) (d) (f)		24,937		263,085
Badger Meter, Inc.		362		23,505
Brady Corp. Class A		7,412		424,411
FLIR Systems, Inc.		17,672		920,181
Fortive Corp.		24,000		1,833,360
Keysight Technologies, Inc. (a)		23,000		2,360,490

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

229

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Knowles Corp. (a)		31,917	$	675,045
Mesa Laboratories, Inc.		1,755		437,697
National Instruments Corp.		79,736		3,376,022
Sensata Technologies Holding PLC (a)		46,000		2,478,020
Stoneridge, Inc. (a)		9,100		266,812
				16,690,207
Engineering & Construction — 0.2%
Aegion Corp. (a)		32,503		727,092
Sarana Menara Nusantara Tbk PT		6,589,700		381,493
				1,108,585
Environmental Controls — 0.6%
Heritage-Crystal Clean, Inc. (a)		10,046		315,143
Stericycle, Inc. (a)		10,837		691,509
Tetra Tech, Inc.		2,353		202,735
Waste Connections, Inc.		37,436		3,398,814
				4,608,201
Hand & Machine Tools — 0.3%
Colfax Corp. (a)		45,000		1,637,100
MSA Safety, Inc.		2,981		376,679
				2,013,779
Machinery – Construction & Mining — 0.6%
Bloom Energy Corp. Class A (a)		10,704		79,959
BWX Technologies, Inc.		55,873		3,468,596
SPX Corp. (a)		9,064		461,176
				4,009,731
Machinery – Diversified — 2.7%
AGCO Corp.		12,720		982,620
Cactus, Inc. Class A		9,401		322,642
Chart Industries, Inc. (a)		10,332		697,307
CNH Industrial NV		75,520		829,012
Cognex Corp.		8,000		448,320
CSW Industrials, Inc.		5,534		426,118
Flowserve Corp.		11,182		556,528
Gardner Denver Holdings, Inc. (a)		79,800		2,927,064
Graco, Inc.		25,236		1,312,272
IDEX Corp.		13,000		2,236,000
Mueller Water Products, Inc. Class A		37,323		447,129
Roper Technologies, Inc.		10,899		3,860,753
Westinghouse Air Brake Technologies Corp.		12,522		974,212
Xylem, Inc.		39,532		3,114,726
				19,134,703
Metal Fabricate & Hardware — 0.6%
AZZ, Inc.		11,508		528,793
CIRCOR International, Inc. (a)		12,887		595,895
Helios Technologies, Inc.		15,043		695,438
RBC Bearings, Inc. (a)		5,758		911,722
Rexnord Corp. (a)		15,631		509,883
Strattec Security Corp.		2,591		57,546
Valmont Industries, Inc.		5,463		818,248
				4,117,525
Miscellaneous – Manufacturing — 1.4%
Actuant Corp. Class A		12,738		331,570
ESCO Technologies, Inc.		16,576		1,533,280
Federal Signal Corp.		2,800		90,300
Haynes International, Inc.		8,308		297,260
John Bean Technologies Corp.		11,467		1,291,872
Myers Industries, Inc.		21,992		366,827
Raven Industries, Inc.		4,443		153,106
Textron, Inc.		126,245		5,630,527
				9,694,742
Packaging & Containers — 0.6%
Ball Corp.		50,000		3,233,500
Sealed Air Corp.		30,000		1,194,900
				4,428,400
Transportation — 1.9%
C.H. Robinson Worldwide, Inc.		25,159		1,967,434
CryoPort, Inc. (a) (b)		7,815		128,635
Expeditors International of Washington, Inc.		13,312		1,038,602
International Seaways, Inc. (a)		7,787		231,741
J.B. Hunt Transport Services, Inc.		25,068		2,927,441
Kansas City Southern		8,544		1,308,599
Kirby Corp. (a)		2,920		261,428
Knight-Swift Transportation Holdings, Inc.		13,051		467,748
Landstar System, Inc.		9,237		1,051,817
Matson, Inc.		24,125		984,300
Old Dominion Freight Line, Inc.		8,161		1,548,795
Patriot Transportation Holding, Inc. (a)		1,527		29,746
Schneider National, Inc. Class B		12,923		281,980
SEACOR Holdings, Inc. (a)		14,390		620,929
Tidewater, Inc. (a)		35,793		690,089
Universal Logistics Holdings, Inc.		7,714		146,257
US Xpress Enterprises, Inc. Class A (a)		15,883		79,891
				13,765,432
				101,258,173
Technology — 9.8%
Computers — 0.5%
Cognizant Technology Solutions Corp. Class A		9,173		568,910
Conduent, Inc. (a)		30,442		188,740
Cubic Corp.		22,712		1,443,802
Endava PLC Sponsored ADR (a)		10,770		501,882
Parsons Corp. (a)		15,136		624,814
Western Digital Corp.		5,823		369,586
				3,697,734

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

230

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Semiconductors — 3.0%
Applied Materials, Inc.		43,921	$	2,680,938
AVX Corp.		60,430		1,237,002
Cabot Microelectronics Corp.		3,644		525,902
CTS Corp.		15,394		461,974
Entegris, Inc.		64,432		3,227,399
Inphi Corp. (a)		5,572		412,439
Lattice Semiconductor Corp. (a)		77,675		1,486,700
Marvell Technology Group Ltd.		74,000		1,965,440
Maxim Integrated Products, Inc.		22,000		1,353,220
MaxLinear, Inc. (a)		13,028		276,454
Microchip Technology, Inc.		31,000		3,246,320
MKS Instruments, Inc.		2,215		243,672
Monolithic Power Systems, Inc.		1,700		302,634
Onto Innovation, Inc. (a)		5,141		187,852
Semtech Corp. (a)		6,017		318,299
Skyworks Solutions, Inc.		13,000		1,571,440
Xilinx, Inc.		17,000		1,662,090
				21,159,775
Software — 6.3%
Atlassian Corp. PLC Class A (a)		25,976		3,125,952
Bill.Com Holdings, Inc. (a)		1,475		56,124
Black Knight, Inc. (a)		49,506		3,192,147
Ceridian HCM Holding, Inc. (a)		67,400		4,575,112
Checkr, Inc. (Acquired 6/29/18-12/02/19, Cost $116,452) (a) (c) (d) (e)		5,148		147,902
Cloudflare, Inc. Class A (a)		15,516		264,703
Computer Modelling Group Ltd.		40,222		254,611
Coupa Software, Inc. (a) (b)		13,604		1,989,585
Covetrus, Inc. (a) (b)		49,049		647,447
Datadog, Inc. Class A (a) (b)		10,549		398,541
Datadog, Inc., Class B Lockup Shares (Acquired 5/07/19, Cost $29,212) (a) (d) (e)		1,830		65,681
The Descartes Systems Group, Inc. (a) (b)		50,788		2,169,663
DocuSign, Inc. (a)		54,169		4,014,465
Fidelity National Information Services, Inc.		11,000		1,529,990
Fiserv, Inc. (a)		20,000		2,312,600
Five9, Inc. (a)		8,892		583,137
Guidewire Software, Inc. (a)		4,100		450,057
Health Catalyst, Inc. (a)		2,431		84,356
Medallia, Inc. (a) (b)		6,049		188,184
Megaport Ltd. (a) (b)		42,498		320,393
MSCI, Inc.		10,756		2,776,984
New Relic, Inc. (a)		9,718		638,570
Paycom Software, Inc. (a)		3,133		829,493
PDF Solutions, Inc. (a)		14,630		247,101
Phreesia, Inc. (a) (b)		6,197		165,088
RealPage, Inc. (a)		28,188		1,515,105
ServiceTitan, Inc. (Acquired 11/09/18, Cost $12,280) (a) (c) (d) (e)		467		12,422
Slack Technologies, Inc. Class A (a) (b)		17,000		382,160
Smartsheet, Inc. Class A (a)		10,988		493,581
Splunk, Inc. (a)		11,000		1,647,470
SS&C Technologies Holdings, Inc		25,300		1,553,420
Tabula Rasa HealthCare, Inc. (a) (b)		2,000		97,360
Toast, Inc. (Acquired 9/14/18-3/27/19, Cost $26,707) (a) (c) (d) (e)		982		27,036
Twilio, Inc. Class A (a) (b)		28,657		2,816,410
Veeva Systems, Inc. Class A (a)		11,775		1,656,271
Workday, Inc. Class A (a)		9,000		1,480,050
Workiva, Inc. (a)		14,154		595,176
Zoom Video Communications, Inc. Class A (a) (b)		1,000		68,040
Zynga, Inc. Class A (a)		88,188		539,710
				43,912,097
				68,769,606
Utilities — 2.9%
Electric — 1.8%
CenterPoint Energy, Inc.		42,534		1,159,902
Entergy Corp.		6,183		740,723
Eversource Energy		14,000		1,190,980
FirstEnergy Corp.		63,813		3,101,312
MGE Energy, Inc.		4,776		376,444
PG&E Corp. (a)		92,364		1,003,997
PNM Resources, Inc.		45,147		2,289,404
Portland General Electric Co.		9,326		520,298
Sempra Energy		14,000		2,120,720
Vistra Energy Corp.		6,854		157,574
				12,661,354
Gas — 0.8%
Atmos Energy Corp.		6,000		671,160
Chesapeake Utilities Corp.		14,281		1,368,548
ONE Gas, Inc.		23,914		2,237,633
RGC Resources, Inc.		3,967		113,377
Southwest Gas Holdings, Inc.		22,511		1,710,161
				6,100,879
Water — 0.3%
California Water Service Group		13,914		717,406
Middlesex Water Co.		8,476		538,819
SJW Group		10,785		766,382
				2,022,607
				20,784,840
TOTAL COMMON STOCK (Cost $599,162,123)				677,938,411

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

231

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
PREFERRED STOCK — 0.8%
Communications — 0.0%
Internet — 0.0%
Evolve Vacation Rental Network, Inc., Series 8 (Acquired 3/29/18, Cost $44,816) (a) (c) (d) (e)		5,266	$	45,077
Minted, Inc., Series E (Acquired 10/30/18, Cost $113,257) (a) (c) (d) (e)		8,410		98,649
Vroom, Inc., Series G (Acquired 8/17/18, Cost $46,637) (a) (c) (d) (e)		2,598		70,648
Vroom, Inc., Series H (Acquired 11/21/19, Cost $114,129) (a) (c) (d) (e)		4,197		114,129
				328,503
Consumer, Cyclical — 0.2%
Apparel — 0.0%
Allbirds, Inc., Series A (Acquired 10/10/18, Cost $44,527) (a) (c) (d) (e)		4,060		52,316
Allbirds, Inc., Series B (Acquired 10/10/18, Cost $7,787) (a) (c) (d) (e)		710		9,149
Allbirds, Inc., Series C (Acquired 10/09/18, Cost $74,796) (a) (c) (d) (e)		6,820		87,881
Allbirds, Inc., Series Seed (Acquired 10/10/18, Cost $23,963) (a) (c) (d) (e)		2,185		28,155
				177,501
Auto Manufacturers — 0.1%
Aurora Innovation, Inc., Series B (Acquired 3/01/19, Cost $32,156) (a) (c) (d) (e)		3,480		32,156
Rivian Automotive, Inc., Series D (Acquired 12/23/19, Cost $466,859) (a) (c) (d) (e)		43,453		466,859
				499,015
Retail — 0.1%
1stdibs.com, Inc., Series D (Acquired 2/07/19, Cost $143,936) (a) (c) (d) (e)		28,724		143,936
A Place for Rover Inc., Series G (Acquired 5/11/18, Cost $106,965) (a) (c) (d) (e)		14,208		88,800
Framebridge, Inc., Series C (Acquired 6/20/18, Cost $59,454) (a) (c) (d) (e)		17,111		59,454
JAND, Inc., Series E (Acquired 3/09/18, Cost $138,341) (a) (c) (d) (e)		8,802		159,862
Rent the Runway, Inc., Series F (Acquired 3/21/19, Cost $67,441) (a) (c) (d) (e)		3,017		67,441
				519,493
				1,196,010
Consumer, Non-cyclical — 0.2%
Agriculture — 0.1%
Bunge Ltd. (g)		4,014		411,436
Farmer’s Business Network, Inc., Series E (Acquired 2/11/19, Cost $191,081) (a) (c) (d) (e)		8,198		191,081
				602,517
Biotechnology — 0.0%
Ginkgo Bioworks, Inc., Series E (Acquired 7/30/19-9/09/19, Cost $88,178) (a) (c) (d) (e)		594		89,213
Kardium, Inc., Series D-5 (Acquired 11/29/18, Cost $29,906) (a) (c) (d) (e)		30,866		29,907
				119,120
Commercial Services — 0.1%
ZenPayroll, Inc., Series C (Acquired 7/16/18, Cost $84,209) (a) (c) (d) (e)		11,076		147,448
ZenPayroll, Inc., Series D (Acquired 7/16/19, Cost $187,638) (a) (c) (d) (e)		14,095		187,638
				335,086
Foods — 0.0%
Roofoods, Ltd., Series G (Acquired 5/16/19, Cost $21,731) (a) (c) (d) (e)		52		21,731
Sweetgreen, Inc., Series G (Acquired 2/27/18, Cost $35,793) (a) (c) (d) (e)		3,977		68,007
Sweetgreen, Inc. Series I, (Acquired 9/13/19, Cost $67,408) (a) (c) (d) (e)		3,942		67,408
				157,146
Health Care – Products — 0.0%
Outset Medical, Inc., Series D (Acquired 8/20/18, Cost $23,275) (a) (c) (d) (e)		7,484		23,275
Tempus Labs, Inc., Series D (Acquired 3/16/18, Cost $21,326) (a) (c) (d) (e)		2,275		54,739
Tempus Labs, Inc., Series E (Acquired 8/23/18, Cost $29,149) (a) (c) (d) (e)		1,741		43,012
Tempus Labs, Inc., Series F (Acquired 4/30/19, Cost $17,059) (a) (c) (d) (e)		689		17,059
				138,085
				1,351,953
Financial — 0.1%
Diversified Financial Services — 0.1%
Convoy, Inc., Series C (Acquired 9/14/18, Cost $127,740) (a) (c) (d) (e)		17,990		243,585
Convoy, Inc., Series D (Acquired 10/30/19, Cost $417,858) (a) (c) (d) (e)		30,861		417,858
				661,443

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

232

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Insurance — 0.0%
Go Maps, Inc., Series B-1 (Acquired 5/15/19, Cost $1,626) (a) (c) (d) (e)		127	$	1,626
				663,069
Industrial — 0.1%
Electronics — 0.1%
Sartorius AG 0.290%		4,620		989,087
Technology — 0.2%
Computers — 0.0%
Mesosphere, Inc., Series D (Acquired 5/04/18, Cost $72,584) (a) (c) (d) (e)		6,566		57,649
Internet — 0.1%
Doximity, Inc., Series C (Acquired 3/22/18, Cost $7,616) (a) (c) (d) (e)		1,767		20,497
Toast, Inc., Series B (Acquired 9/14/18, Cost $3,409) (a) (c) (d) (e)		197		5,424
Toast, Inc., Series D (Acquired 6/27/18, Cost $215,697) (a) (c) (d) (e)		12,463		343,128
Toast, Inc., Series E (Acquired 3/27/19, Cost $80,643) (a) (c) (d) (e)		1,477		40,664
				409,713
Software — 0.1%
Checkr, Inc., Series C (Acquired 4/10/18, Cost $106,628) (a) (c) (d) (e)		7,811		236,255
Checkr, Inc., Series D (Acquired 9/06/19, Cost $308,786) (a) (c) (d) (e)		10,209		308,786
Databricks, Inc., Series F (Acquired 10/22/19, Cost $104,923) (a) (c) (d) (e)		2,443		104,923
JetClosing, Inc., Series A (Acquired 5/25/18, Cost $22,781) (a) (c) (d) (e)		11,678		22,782
Seismic Software, Inc., Series E (Acquired 12/13/18, Cost $117,981) (a) (c) (d) (e)		3,743		132,540
ServiceTitan, Inc., Series A-1 (Acquired 11/09/18, Cost $263) (a) (c) (d) (e)		10		266
ServiceTitan, Inc., Series D (Acquired 11/09/18, Cost $124,743) (a) (c) (d) (e)		4,744		126,190
				931,742
				1,399,104
TOTAL PREFERRED STOCK (Cost $5,039,543)				5,927,726
TOTAL EQUITIES (Cost $604,201,666)				683,866,137

	Principal Amount
BONDS & NOTES — 0.0%
BANK LOANS — 0.0%
Internet — 0.0%
Blue Nile, Inc., Term Loan, 3 mo. LIBOR + 6.500% 8.410% 2/17/23	$	35,897	26,026
Uber Technologies, Inc., Term Loan, 1 mo. LIBOR + 4.000% 5.740% 4/04/25		44,325	44,198
			70,224
TOTAL BANK LOANS (Cost $80,418)			70,224
TOTAL BONDS & NOTES (Cost $80,418)			70,224

	Number of Shares
WARRANTS — 0.0%
Financial — 0.0%
Banks — 0.0%
Dogwood State Bank (Acquired 5/06/19, Cost $0) (a) (c) (d) (e)		800	-
Diversified Financial Services — 0.0%
Grasshopper Bancorp, Inc. Expires 12/99 (Acquired 10/15/18, Cost $0) (a) (c) (d) (e)		1,432	5,341
			5,341
TOTAL WARRANTS (Cost $0)			5,341
MUTUAL FUNDS — 1.6%
Diversified Financial Services — 1.6%
State Street Navigator Securities Lending Prime Portfolio (h)		11,066,122	11,066,122
TOTAL MUTUAL FUNDS (Cost $11,066,122)			11,066,122
TOTAL LONG-TERM INVESTMENTS (Cost $615,348,206)			695,007,824
SHORT-TERM INVESTMENTS — 3.6%
Mutual Fund — 3.4%
T. Rowe Price Government Reserve Investment Fund,		23,625,795	23,625,795

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

233

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Repurchase Agreement — 0.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (i)	$	1,490,895	$	1,490,895
TOTAL SHORT-TERM INVESTMENTS (Cost $25,116,690)				25,116,690
TOTAL INVESTMENTS — 102.3% (Cost $640,464,896) (j)				720,124,514
Other Assets/(Liabilities) — (2.3)%				(16,245,570	)
NET ASSETS — 100.0%			$	703,878,944

Abbreviation Legend

ADR American Depositary Receipt

GDR Global Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) 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, 2019, was $36,092,341 or 5.13% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $25,924,777 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (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, 2019, these securities amounted to a value of $6,328,138 or 0.90% of net assets.

(e) Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $6,183,539 or 0.88% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(f) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $263,085 or 0.04% of net assets.

(g) Security is perpetual and has no stated maturity date.

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

(i) Maturity value of $1,490,961. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,521,949.

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

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

234

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Principal Amount		Value
BONDS & NOTES — 99.6%
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 9.1%
Pass-Through Securities — 9.1%
Government National Mortgage Association II Pool #MA5262 3.000% 6/20/48 (a)	$	1,348,724	$	1,389,024
Pool #784407 3.500% 11/20/47		481,245		500,786
Pool #MA5816 3.500% 3/20/49		50,073		51,586
Pool #MA6090 3.500% 8/20/49		3,094,070		3,200,127
Pool #MA6284 3.500% 11/20/49		1,067,744		1,107,763
Pool #MA5264 4.000% 6/20/48		1,055,347		1,097,587
Pool #MA5466 4.000% 9/20/48		137,118		142,478
Pool #MA4588 4.500% 7/20/47		436,513		463,397
Pool #MA4781 5.000% 10/20/47		190,169		204,197
Pool #MA4840 5.000% 11/20/47		131,662		141,374
Pool #MA5820 5.500% 3/20/49		95,056		100,831
Government National Mortgage Association TBA Pool #MA188 3.000% 1/21/50 (a)		3,055,000		3,139,012
				11,538,162
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $11,585,711)				11,538,162
U.S. TREASURY OBLIGATIONS — 90.5%
U.S. Treasury Bonds & Notes — 90.5%
U.S. Treasury Bond 2.250% 8/15/46		2,505,000		2,440,234
2.500% 2/15/45		4,230,000		4,326,863
2.500% 2/15/46		4,300,000		4,400,100
2.500% 5/15/46		3,925,000		4,016,049
2.750% 8/15/47		1,895,000		2,037,214
2.750% 11/15/47		4,360,000		4,687,312
2.875% 5/15/43		3,000,000		3,275,381
2.875% 8/15/45 (b)		2,075,000		2,273,604
2.875% 11/15/46		1,700,000		1,869,199
3.000% 11/15/44		2,210,000		2,469,134
3.000% 5/15/45		5,550,000		6,210,406
3.000% 11/15/45		3,800,000		4,260,461
3.000% 2/15/47		760,000		856,002
3.000% 5/15/47 (c)		6,100,000		6,870,058
3.000% 2/15/48		5,955,000		6,711,172
3.000% 8/15/48		5,370,000		6,063,181
3.000% 2/15/49		12,515,000		14,153,789
3.125% 2/15/43		2,680,000		3,045,071
3.125% 5/15/48		5,045,000		5,823,298
3.375% 5/15/44		695,000		824,196
3.375% 11/15/48		1,140,000		1,378,819
3.625% 8/15/43		2,625,000		3,226,031
3.625% 2/15/44		3,725,000		4,587,081
3.750% 11/15/43		4,035,000		5,055,822
U.S. Treasury Inflation Index 0.250% 7/15/29		5,500,753		5,554,132
U.S. Treasury Note 1.625% 8/15/29		3,751,000		3,657,326
1.750% 11/15/29		1,295,000		1,276,472
2.875% 5/15/49		3,320,000		3,669,409
				115,017,816
TOTAL U.S. TREASURY OBLIGATIONS (Cost $104,335,007)				115,017,816
TOTAL BONDS & NOTES (Cost $115,920,718)				126,555,978
TOTAL LONG-TERM INVESTMENTS (Cost $115,920,718)				126,555,978

	Number of Shares
SHORT-TERM INVESTMENTS — 1.5%
Mutual Fund — 0.6%
T. Rowe Price Government Reserve Investment Fund		729,448	729,448

	Principal Amount
Repurchase Agreement — 0.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d)	$	1,134,905		1,134,905
TOTAL SHORT-TERM INVESTMENTS (Cost $1,864,353)				1,864,353
TOTAL INVESTMENTS — 101.1% (Cost $117,785,071) (e)				128,420,331
Other Assets/(Liabilities) — (1.1)%				(1,375,031	)
NET ASSETS — 100.0%			$	127,045,300

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

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

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

235

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $2,296,457 or 1.81% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $2,356,099 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2).

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

(d) Maturity value of $1,134,955. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,162,029.

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

Futures contracts

	Expiration Date	Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Long Bond	3/20/20		359	$	57,269,424		$	(1,299,080	)
U.S. Treasury Note 2 Year	3/31/20		40		8,613,200			6,800
U.S. Treasury Note 5 Year	3/31/20		71		8,449,568			(28,302	)
							$	(1,320,582	)
Short
U.S. Treasury Note 10 Year	3/20/20		72	$	(9,301,139	)	$	54,764
U.S. Treasury Ultra 10 Year	3/20/20		242		(34,456,099	)		405,943
U.S. Treasury Ultra Bond	3/20/20		56		(10,443,420	)		270,670
							$	731,377

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

236

MassMutual Select T. Rowe Price Retirement Balanced Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 41.6%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		2,071,188	$	21,126,120
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		135,175		1,467,999
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		968,265		11,638,550
MM S&P 500 Index Fund, Class I (a)		1,934,565		35,402,547
				69,635,216
Fixed Income Funds — 58.4%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		2,815,674		28,888,811
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		607,177		5,889,617
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		4,707,094		48,012,359
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		271,938		2,955,968
State Street Institutional U.S. Government Money Market Fund		1,207,527		1,207,527
T. Rowe Price Dynamic Global Bond Fund, Class I		522,487		4,817,333
T. Rowe Price High Yield Fund, Inc. Class I		304,876		2,036,573
T. Rowe Price Institutional Floating Rate Fund		137,547		1,360,345
T. Rowe Price Institutional High Yield Fund		270,357		2,403,477
				97,572,010
TOTAL MUTUAL FUNDS (Cost $164,351,284)				167,207,226
TOTAL LONG-TERM INVESTMENTS (Cost $164,351,284)				167,207,226
TOTAL INVESTMENTS — 100.0% (Cost $164,351,284) (b)				167,207,226
Other Assets/(Liabilities) — (0.0)%				(15,889	)
NET ASSETS — 100.0%			$	167,191,337

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.

237

MassMutual Select T. Rowe Price Retirement 2005 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 37.2%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		322,927	$	3,293,852
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		21,215		230,398
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		150,591		1,810,100
MM S&P 500 Index Fund, Class I (a)		303,311		5,550,583
				10,884,933
Fixed Income Funds — 62.8%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		742,631		7,619,394
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		162,751		1,578,689
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		518,355		5,287,224
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		67,892		737,984
State Street Institutional U.S. Government Money Market Fund		273,323		273,323
T. Rowe Price Dynamic Global Bond Fund, Class I		139,514		1,286,316
T. Rowe Price High Yield Fund, Inc. Class I		89,426		597,365
T. Rowe Price Institutional Floating Rate Fund		36,922		365,155
T. Rowe Price Institutional High Yield Fund		66,780		593,672
				18,339,122
TOTAL MUTUAL FUNDS (Cost $28,115,924)				29,224,055
TOTAL LONG-TERM INVESTMENTS (Cost $28,115,924)				29,224,055
TOTAL INVESTMENTS — 100.0% (Cost $28,115,924) (b)				29,224,055
Other Assets/(Liabilities) — 0.0%				7,252
NET ASSETS — 100.0%			$	29,231,307

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.

238

MassMutual Select T. Rowe Price Retirement 2010 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 42.7%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		1,772,437	$	18,078,856
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		114,256		1,240,815
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		825,924		9,927,611
MM S&P 500 Index Fund, Class I (a)		1,682,784		30,794,949
				60,042,231
Fixed Income Funds — 57.3%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		3,303,889		33,897,900
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		695,344		6,744,835
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		2,216,763		22,610,979
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		333,851		3,628,962
State Street Institutional U.S. Government Money Market Fund		1,084,733		1,084,733
T. Rowe Price Dynamic Global Bond Fund, Class I		618,911		5,706,363
T. Rowe Price High Yield Fund, Inc. Class I		356,731		2,382,962
T. Rowe Price Institutional Floating Rate Fund		164,621		1,628,099
T. Rowe Price Institutional High Yield Fund		309,470		2,751,184
				80,436,017
TOTAL MUTUAL FUNDS (Cost $137,047,523)				140,478,248
TOTAL LONG-TERM INVESTMENTS (Cost $137,047,523)				140,478,248
TOTAL INVESTMENTS — 100.0% (Cost $137,047,523) (b)				140,478,248
Other Assets/(Liabilities) — (0.0)%				(32,713	)
NET ASSETS — 100.0%			$	140,445,535

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.

239

MassMutual Select T. Rowe Price Retirement 2015 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 48.7%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		2,041,258	$	20,820,836
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		703,169		8,487,252
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		134,595		1,461,698
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		959,094		11,528,313
MM S&P 500 Index Fund, Class I (a)		1,418,134		25,951,849
				68,249,948
Fixed Income Funds — 51.3%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		3,052,502		31,318,675
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		621,878		6,032,217
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		1,811,857		18,480,941
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		343,839		3,737,534
State Street Institutional U.S. Government Money Market Fund		787,436		787,436
T. Rowe Price Dynamic Global Bond Fund, Class I		573,379		5,286,558
T. Rowe Price High Yield Fund, Inc. Class I		342,856		2,290,278
T. Rowe Price Institutional Floating Rate Fund		150,501		1,488,459
T. Rowe Price Institutional High Yield Fund		263,089		2,338,859
				71,760,957
TOTAL MUTUAL FUNDS (Cost $134,835,541)				140,010,905
TOTAL LONG-TERM INVESTMENTS (Cost $134,835,541)				140,010,905
TOTAL INVESTMENTS — 100.0% (Cost $134,835,541) (b)				140,010,905
Other Assets/(Liabilities) — (0.0)%				(17,210	)
NET ASSETS — 100.0%			$	139,993,695

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.

240

MassMutual Select T. Rowe Price Retirement 2020 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 58.2%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		12,715,475	$	129,697,840
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		6,482,280		78,241,119
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		852,111		9,253,929
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		5,942,567		71,429,658
MM S&P 500 Index Fund, Class I (a)		7,415,446		135,702,668
				424,325,214
Fixed Income Funds — 41.8%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		13,924,294		142,863,254
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		2,774,698		26,914,572
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		5,946,310		60,652,360
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		1,779,214		19,340,060
State Street Institutional U.S. Government Money Market Fund		3,890,841		3,890,841
T. Rowe Price Dynamic Global Bond Fund, Class I		2,595,689		23,932,253
T. Rowe Price High Yield Fund, Inc. Class I		1,447,680		9,670,505
T. Rowe Price Institutional Floating Rate Fund		662,669		6,553,794
T. Rowe Price Institutional High Yield Fund		1,194,053		10,615,128
				304,432,767
TOTAL MUTUAL FUNDS (Cost $698,278,154)				728,757,981
TOTAL LONG-TERM INVESTMENTS (Cost $698,278,154)				728,757,981
TOTAL INVESTMENTS — 100.0% (Cost $698,278,154) (b)				728,757,981
Other Assets/(Liabilities) — (0.0)%				(256,140	)
NET ASSETS — 100.0%			$	728,501,841

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.

241

MassMutual Select T. Rowe Price Retirement 2025 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 67.0%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		11,337,887	$	115,646,450
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		8,439,814		101,868,555
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		747,669		8,119,681
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		5,269,815		63,343,180
MM S&P 500 Index Fund, Class I (a)		4,857,507		88,892,382
				377,870,248
Fixed Income Funds — 33.0%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		9,218,631		94,583,154
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		1,706,841		16,556,358
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		2,477,309		25,268,555
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		1,394,514		15,158,370
State Street Institutional U.S. Government Money Market Fund		2,107,950		2,107,950
T. Rowe Price Dynamic Global Bond Fund, Class I		1,716,421		15,825,404
T. Rowe Price High Yield Fund, Inc. Class I		989,442		6,609,476
T. Rowe Price Institutional Floating Rate Fund		415,804		4,112,302
T. Rowe Price Institutional High Yield Fund		631,078		5,610,282
				185,831,851
TOTAL MUTUAL FUNDS (Cost $534,673,973)				563,702,099
TOTAL LONG-TERM INVESTMENTS (Cost $534,673,973)				563,702,099
TOTAL INVESTMENTS — 100.0% (Cost $534,673,973) (b)				563,702,099
Other Assets/(Liabilities) — (0.0)%				(166,262	)
NET ASSETS — 100.0%			$	563,535,837

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.

242

MassMutual Select T. Rowe Price Retirement 2030 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 74.7%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		27,734,098	$	282,887,798
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		25,343,153		305,891,853
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		1,830,257		19,876,589
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		12,784,197		153,666,046
MM S&P 500 Index Fund, Class I (a)		8,719,165		159,560,728
				921,883,014
Fixed Income Funds — 25.3%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		16,382,776		168,087,286
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		2,831,845		27,468,896
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		2,535,661		25,863,743
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		2,834,687		30,813,044
State Street Institutional U.S. Government Money Market Fund		4,195,101		4,195,101
T. Rowe Price Dynamic Global Bond Fund, Class I		3,068,600		28,292,494
T. Rowe Price High Yield Fund, Inc. Class I		1,534,666		10,251,570
T. Rowe Price Institutional Floating Rate Fund		689,352		6,817,696
T. Rowe Price Institutional High Yield Fund		1,154,003		10,259,085
				312,048,915
TOTAL MUTUAL FUNDS (Cost $1,160,718,819)				1,233,931,929
TOTAL LONG-TERM INVESTMENTS (Cost $1,160,718,819)				1,233,931,929
TOTAL INVESTMENTS — 100.0% (Cost $1,160,718,819) (b)				1,233,931,929
Other Assets/(Liabilities) — (0.0)%				(442,889	)
NET ASSETS — 100.0%			$	1,233,489,040

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.

243

MassMutual Select T. Rowe Price Retirement 2035 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 81.1%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		12,441,871	$	126,907,082
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		12,791,084		154,388,389
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		821,625		8,922,851
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		5,799,249		69,706,978
MM S&P 500 Index Fund, Class I (a)		2,929,953		53,618,137
				413,543,437
Fixed Income Funds — 18.9%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		5,553,303		56,976,888
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		872,348		8,461,777
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		1,087,480		11,820,912
State Street Institutional U.S. Government Money Market Fund		1,043,731		1,043,731
T. Rowe Price Dynamic Global Bond Fund, Class I		1,042,612		9,612,882
T. Rowe Price High Yield Fund, Inc. Class I		478,475		3,196,212
T. Rowe Price Institutional Floating Rate Fund		212,726		2,103,863
T. Rowe Price Institutional High Yield Fund		339,936		3,022,030
				96,238,295
TOTAL MUTUAL FUNDS (Cost $475,706,105)				509,781,732
TOTAL LONG-TERM INVESTMENTS (Cost $475,706,105)				509,781,732
TOTAL INVESTMENTS — 100.0% (Cost $475,706,105) (b)				509,781,732
Other Assets/(Liabilities) — (0.0)%				(140,930	)
NET ASSETS — 100.0%			$	509,640,802

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.

244

MassMutual Select T. Rowe Price Retirement 2040 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 86.3%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		24,324,436	$	248,109,248
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		27,316,869		329,714,612
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		1,602,372		17,401,763
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		11,298,742		135,810,880
MM S&P 500 Index Fund, Class I (a)		4,230,529		77,418,679
				808,455,182
Fixed Income Funds — 13.7%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		7,322,178		75,125,546
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		996,189		9,663,029
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		1,796,704		19,530,172
State Street Institutional U.S. Government Money Market Fund		2,293,406		2,293,406
T. Rowe Price Dynamic Global Bond Fund, Class I		1,397,029		12,880,609
T. Rowe Price High Yield Fund, Inc. Class I		510,522		3,410,285
T. Rowe Price Institutional Floating Rate Fund		228,062		2,255,537
T. Rowe Price Institutional High Yield Fund		357,265		3,176,083
				128,334,667
TOTAL MUTUAL FUNDS (Cost $868,259,463)				936,789,849
TOTAL LONG-TERM INVESTMENTS (Cost $868,259,463)				936,789,849
TOTAL INVESTMENTS — 100.0% (Cost $868,259,463) (b)				936,789,849
Other Assets/(Liabilities) — (0.0)%				(326,251	)
NET ASSETS — 100.0%			$	936,463,598

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.

245

MassMutual Select T. Rowe Price Retirement 2045 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 90.3%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		9,975,416	$	101,749,240
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		11,699,056		141,207,610
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		648,220		7,039,672
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		4,621,878		55,554,974
MM S&P 500 Index Fund, Class I  (a)		1,396,128		25,549,143
				331,100,639
Fixed Income Funds — 9.7%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		2,033,208		20,860,717
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		241,467		2,342,226
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		564,800		6,139,380
State Street Institutional U.S. Government Money Market Fund		578,558		578,558
T. Rowe Price Dynamic Global Bond Fund, Class I		384,174		3,542,088
T. Rowe Price High Yield Fund, Inc. Class I		123,154		822,672
T. Rowe Price Institutional Floating Rate Fund		49,299		487,568
T. Rowe Price Institutional High Yield Fund		84,988		755,544
				35,528,753
TOTAL MUTUAL FUNDS (Cost $337,614,301)				366,629,392
TOTAL LONG-TERM INVESTMENTS (Cost $337,614,301)				366,629,392
TOTAL INVESTMENTS — 100.0% (Cost $337,614,301) (b)				366,629,392
Other Assets/(Liabilities) — (0.0)%				(106,548	)
NET ASSETS — 100.0%			$	366,522,844

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.

246

MassMutual Select T. Rowe Price Retirement 2050 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 90.4%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		15,309,952	$	156,161,510
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		17,965,750		216,846,608
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		994,061		10,795,504
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		7,089,305		85,213,442
MM S&P 500 Index Fund, Class I (a)		2,156,017		39,455,115
				508,472,179
Fixed Income Funds — 9.6%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		3,065,900		31,456,133
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		350,350		3,398,393
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		865,800		9,411,244
State Street Institutional U.S. Government Money Market Fund		1,129,711		1,129,711
T. Rowe Price Dynamic Global Bond Fund, Class I		595,094		5,486,766
T. Rowe Price High Yield Fund, Inc. Class I		181,519		1,212,544
T. Rowe Price Institutional Floating Rate Fund		90,695		896,978
T. Rowe Price Institutional High Yield Fund		129,402		1,150,387
				54,142,156
TOTAL MUTUAL FUNDS (Cost $518,579,647)				562,614,335
TOTAL LONG-TERM INVESTMENTS (Cost $518,579,647)				562,614,335
TOTAL INVESTMENTS — 100.0% (Cost $518,579,647) (b)				562,614,335
Other Assets/(Liabilities) — (0.0)%				(179,628	)
NET ASSETS — 100.0%			$	562,434,707

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.

247

MassMutual Select T. Rowe Price Retirement 2055 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 90.4%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		5,121,129	$	52,235,512
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		5,945,337		71,760,215
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		330,857		3,593,106
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		2,361,132		28,380,809
MM S&P 500 Index Fund, Class I  (a)		706,932		12,936,860
				168,906,502
Fixed Income Funds — 9.6%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		1,016,271		10,426,945
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		123,166		1,194,710
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		288,288		3,133,689
State Street Institutional U.S. Government Money Market Fund		359,981		359,981
T. Rowe Price Dynamic Global Bond Fund, Class I		197,432		1,820,321
T. Rowe Price High Yield Fund, Inc. Class I		61,841		413,100
T. Rowe Price Institutional Floating Rate Fund		30,271		299,376
T. Rowe Price Institutional High Yield Fund		41,488		368,826
				18,016,948
TOTAL MUTUAL FUNDS (Cost $172,233,026)				186,923,450
TOTAL LONG-TERM INVESTMENTS (Cost $172,233,026)				186,923,450
TOTAL INVESTMENTS — 100.0% (Cost $172,233,026) (b)				186,923,450
Other Assets/(Liabilities) — (0.0)%				(43,153	)
NET ASSETS — 100.0%			$	186,880,297

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.

248

MassMutual Select T. Rowe Price Retirement 2060 Fund – Portfolio of Investments

December 31, 2019 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 90.3%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		1,072,576	$	10,940,271
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		1,254,351		15,140,020
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		70,148		761,810
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		497,621		5,981,403
MM S&P 500 Index Fund, Class I (a)		149,858		2,742,393
				35,565,897
Fixed Income Funds — 9.7%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		212,154		2,176,701
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		26,141		253,571
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		61,004		663,111
State Street Institutional U.S. Government Money Market Fund		94,847		94,847
T. Rowe Price Dynamic Global Bond Fund, Class I		41,059		378,563
T. Rowe Price High Yield Fund, Inc. Class I		14,561		97,267
T. Rowe Price Institutional Floating Rate Fund		6,793		67,180
T. Rowe Price Institutional High Yield Fund		7,733		68,750
				3,799,990
TOTAL MUTUAL FUNDS (Cost $36,438,448)				39,365,887
TOTAL LONG-TERM INVESTMENTS (Cost $36,438,448)				39,365,887
TOTAL INVESTMENTS — 100.0% (Cost $36,438,448) (b)				39,365,887
Other Assets/(Liabilities) — 0.0%				1,596
NET ASSETS — 100.0%			$	39,367,483

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.

249

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 (“MM Select BlackRock Global Allocation Fund”)

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

MassMutual Select Fundamental Value Fund (“Fundamental 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 Select T. Rowe Price International Equity Fund (“MM Select T. Rowe Price International Equity 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 by JPMorgan In Retirement Fund (“MM RetireSMART by JPMorgan In Retirement Fund”)

MassMutual RetireSMART^SM by JPMorgan 2020 Fund (“MM RetireSMART by JPMorgan 2020 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2025 Fund (“MM RetireSMART by JPMorgan 2025 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2030 Fund (“MM RetireSMART by JPMorgan 2030 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2035 Fund (“MM RetireSMART by JPMorgan 2035 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2040 Fund (“MM RetireSMART by JPMorgan 2040 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2045 Fund (“MM RetireSMART by JPMorgan 2045 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2050 Fund (“MM RetireSMART by JPMorgan 2050 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2055 Fund (“MM RetireSMART by JPMorgan 2055 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2060 Fund (“MM RetireSMART by JPMorgan 2060 Fund”)

MM Select Equity Asset Fund (“Equity Asset Fund”)

MassMutual Select T. Rowe Price Bond Asset Fund (“MM Select T. Rowe Price Bond Asset Fund”)

MassMutual Select T. Rowe Price Emerging Markets Bond Fund (“MM Select T. Rowe Price Emerging Markets Bond Fund”)

MassMutual Select T. Rowe Price Large Cap Blend Fund (“MM Select T. Rowe Price Large Cap Blend Fund”)

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund (“MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund”)

MassMutual Select T. Rowe Price Real Assets Fund (“MM Select T. Rowe Price Real Assets Fund”)

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund (“MM Select T. Rowe Price Small and Mid Cap Blend Fund”)

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund (“MM Select T. Rowe Price U.S. Treasury Long-Term Fund”)

MassMutual Select T. Rowe Price Retirement Balanced Fund (“MM Select T. Rowe Price Retirement Balanced Fund”)

MassMutual Select T. Rowe Price Retirement 2005 Fund (“MM Select T. Rowe Price Retirement 2005 Fund”)

250

Notes to Portfolio of Investments (Unaudited) (Continued)

MassMutual Select T. Rowe Price Retirement 2010 Fund (“MM Select T. Rowe Price Retirement 2010 Fund”)

MassMutual Select T. Rowe Price Retirement 2015 Fund (“MM Select T. Rowe Price Retirement 2015 Fund”)

MassMutual Select T. Rowe Price Retirement 2020 Fund (“MM Select T. Rowe Price Retirement 2020 Fund”)

MassMutual Select T. Rowe Price Retirement 2025 Fund (“MM Select T. Rowe Price Retirement 2025 Fund”)

MassMutual Select T. Rowe Price Retirement 2030 Fund (“MM Select T. Rowe Price Retirement 2030 Fund”)

MassMutual Select T. Rowe Price Retirement 2035 Fund (“MM Select T. Rowe Price Retirement 2035 Fund”)

MassMutual Select T. Rowe Price Retirement 2040 Fund (“MM Select T. Rowe Price Retirement 2040 Fund”)

MassMutual Select T. Rowe Price Retirement 2045 Fund (“MM Select T. Rowe Price Retirement 2045 Fund”)

MassMutual Select T. Rowe Price Retirement 2050 Fund (“MM Select T. Rowe Price Retirement 2050 Fund”)

MassMutual Select T. Rowe Price Retirement 2055 Fund (“MM Select T. Rowe Price Retirement 2055 Fund”)

MassMutual Select T. Rowe Price Retirement 2060 Fund (“MM Select T. Rowe Price Retirement 2060 Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

The MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, and MM RetireSMART Growth Fund (the “MM RetireSMART Funds”) invest their investable assets in shares of series of the Trust and MassMutual Premier Funds (advised by MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”)), Barings Funds (advised by Barings LLC (“Barings”), a wholly-owned, indirect subsidiary of MassMutual), and non-affiliated mutual funds (together, the “MM RetireSMART Underlying Funds”).

The MM RetireSMART by JPMorgan In Retirement Fund, MM RetireSMART by JPMorgan 2020 Fund, MM RetireSMART by JPMorgan 2025 Fund, MM RetireSMART by JPMorgan 2030 Fund, MM RetireSMART by JPMorgan 2035 Fund, MM RetireSMART by JPMorgan 2040 Fund, MM RetireSMART by JPMorgan 2045 Fund, MM RetireSMART by JPMorgan 2050 Fund, MM RetireSMART by JPMorgan 2055 Fund, and MM RetireSMART by JPMorgan 2060 Fund (the “MM RetireSMART by JPMorgan Funds”) invest their investable assets in shares of series of the Trust and MassMutual Premier Funds, Barings Funds, J.P. Morgan Funds (advised by J.P. Morgan Investment Management Inc. (“J.P. Morgan”) or its affiliates), and non-affiliated mutual funds (together, the “MM RetireSMART by JPMorgan Underlying Funds”).

The MM Select T. Rowe Price Retirement Balanced Fund, MM Select T. Rowe Price Retirement 2005 Fund, MM Select T. Rowe Price Retirement 2010 Fund, MM Select T. Rowe Price Retirement 2015 Fund, MM Select T. Rowe Price Retirement 2020 Fund, MM Select T. Rowe Price Retirement 2025 Fund, MM Select T. Rowe Price Retirement 2030 Fund, MM Select T. Rowe Price Retirement 2035 Fund, MM Select T. Rowe Price Retirement 2040 Fund, MM Select T. Rowe Price Retirement 2045 Fund, MM Select T. Rowe Price Retirement 2050 Fund, MM Select T. Rowe Price Retirement 2055 Fund, and MM Select T. Rowe Price Retirement 2060 Fund (the “MM Select T. Rowe Price Retirement Funds”) invest their investable assets primarily in shares of series of the Trust and T. Rowe Price Funds (together, the “MM Select T. Rowe Price Underlying Funds”). The MM RetireSMART Underlying Funds, MM RetireSMART by JPMorgan Underlying Funds, and MM Select T. Rowe Price Underlying Funds are hereinafter collectively referred to as the (“Underlying Funds”).

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services — Investment Companies.

251

Notes to Portfolio of Investments (Unaudited) (Continued)

Basis of Consolidation

The accompanying portfolio of investments for the MM Select BlackRock Global Allocation Fund includes the accounts of MassMutual Select Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the MM Select BlackRock Global Allocation Fund, which primarily invests in commodity-related investments consistent with the MM Select BlackRock Global Allocation Fund’s investment objectives and policies as stated in its Prospectus and Statement of Additional Information. The Subsidiary allows the MM Select BlackRock Global Allocation Fund to hold these commodity-related investments and still satisfy regulated investment company tax requirements. The MM Select 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, 2019, the MM Select BlackRock Global Allocation Fund’s net assets were approximately $600,238,062, of which approximately $9,399,203 or approximately 1.57%, 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 Board of Trustees (“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 or an Underlying Fund holds foreign securities that trade on days that foreign securities markets are open.

The net asset value of each of the MM RetireSMART Funds, MM RetireSMART by JPMorgan Funds, and MM Select T. Rowe Price Retirement Funds is based upon the net asset value(s) of its corresponding Underlying Funds. Shares of the Underlying Funds are valued at their closing net asset values as reported on each business day.

The Prospectuses and Statements of Additional Information (“SAIs”) for the Underlying Funds explain the valuation methods for the Underlying Funds, including the circumstances under which the Underlying Funds may use fair value pricing and the effects of doing so. Such Prospectuses and SAIs are available on the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.

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.

252

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 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 and certain Underlying Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The 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.

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

253

Notes to Portfolio of Investments (Unaudited) (Continued)

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.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

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

Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Levels.

In certain cases, the inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest Level input that is significant to the overall fair value measurement.

The Fundamental Value Fund and Growth Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2019. The MM RetireSMART Funds, MM RetireSMART by JPMorgan Funds, and the MM Select T. Rowe Price Retirement Funds characterized all investments at Level 1, as of December 31, 2019. 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.

254

Notes to Portfolio of Investments (Unaudited) (Continued)

The following is the aggregate value by input level, as of December 31, 2019, for the remaining Funds’ investments:

	Level 1			Level 2			Level 3		Total
Total Return Bond Fund
Asset Investments
Bank Loans	$	-		$	7,729,524		$	-	$	7,729,524
Corporate Debt		-			193,245,907			-		193,245,907
Municipal Obligations		-			13,003,134			-		13,003,134
Non-U.S. Government Agency Obligations		-			128,970,905			-		128,970,905
Sovereign Debt Obligations		-			1,321,359			-		1,321,359
U.S. Government Agency Obligations and Instrumentalities		-			292,342,051			-		292,342,051
U.S. Treasury Obligations		-			188,277,424			-		188,277,424
Mutual Funds		8,244,190			-			-		8,244,190
Short-Term Investments		-			31,235,745			-		31,235,745
Total Investments	$	8,244,190		$	856,126,049		$	-	$	864,370,239
Asset Derivatives
Forward Contracts	$	-		$	175,236		$	-	$	175,236
Futures Contracts		86,953			-			-		86,953
Swap Agreements		-			869,167			-		869,167
Total	$	86,953		$	1,044,403		$	-	$	1,131,356
Liability Derivatives
Futures Contracts	$	(315,333	)	$	-		$	-	$	(315,333	)
Swap Agreements		-			(868,487	)		-		(868,487	)
Total	$	(315,333	)	$	(868,487	)	$	-	$	(1,183,820	)
Strategic Bond Fund
Asset Investments
Bank Loans	$	-		$	32,952,922		$	-	$	32,952,922
Corporate Debt		-			206,292,980			-		206,292,980
Municipal Obligations		-			188,906			-		188,906
Non-U.S. Government Agency Obligations		-			75,797,913			-		75,797,913
Sovereign Debt Obligations		-			55,507,324			-		55,507,324
U.S. Government Agency Obligations and Instrumentalities		-			258,154,861			-		258,154,861
U.S. Treasury Obligations		-			73,207,424			-		73,207,424
Purchased Options		50,188			-			-		50,188
Mutual Funds		336,775			-			-		336,775
Short-Term Investments		-			18,873,506			-		18,873,506
Total Investments	$	386,963		$	720,975,836		$	-	$	721,362,799
Asset Derivatives
Forward Contracts	$	-		$	1,757,253		$	-	$	1,757,253
Futures Contracts		1,789,384			-			-		1,789,384
Swap Agreements		-			6,959,646			-		6,959,646
Total	$	1,789,384		$	8,716,899		$	-	$	10,506,283

255

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
Strategic Bond Fund (Continued)
Liability Derivatives
Forward Contracts	$	-		$	(494,074	)	$	-		$	(494,074	)
Futures Contracts		(3,831,147	)		-			-			(3,831,147	)
Swap Agreements		-			(154,164	)		-			(154,164	)
Written Options		(5,934	)		(7,556	)		-			(13,490	)
Total	$	(3,837,081	)	$	(655,794	)	$	-		$	(4,492,875	)
MM Select BlackRock Global Allocation Fund
Asset Investments
Common Stock*
Argentina	$	13,131		$	-		$	-		$	13,131
Australia		-			347,925			422,417	**		770,342
Austria		-			301,837			-			301,837
Belgium		-			441,348			-			441,348
Bermuda		446,314			598,325			-			1,044,639
Brazil		2,507,609			827,063			-			3,334,672
Canada		3,509,945			-			-			3,509,945
Cayman Islands		4,676,935			5,101,624			-			9,778,559
Chile		109,722			-			-			109,722
China		-			3,597,666			-			3,597,666
Czech Republic		-			176,091			-			176,091
Denmark		-			250,287			-			250,287
Finland		-			14,684			-			14,684
France		-			13,080,239			-			13,080,239
Germany		-			9,476,351			-			9,476,351
Hong Kong		-			3,466,183			-			3,466,183
India		-			5,951,136			-			5,951,136
Indonesia		-			286,843			-			286,843
Ireland		861,959			-			-			861,959
Italy		-			7,932,280			-			7,932,280
Japan		-			23,457,961			-			23,457,961
Liberia		1,079,295			-			-			1,079,295
Malaysia		-			75,436			-			75,436
Mexico		24,301			-			-			24,301
Netherlands		1,002,209			9,878,098			-			10,880,307
Poland		-			1,809			-			1,809
Portugal		-			180,116			-			180,116
Republic of Korea		-			1,858,654			-			1,858,654
Singapore		-			3,044,433			-			3,044,433
South Africa		-			78,836			-			78,836
Spain		-			2,565,585			-			2,565,585
Sweden		-			102,771			-			102,771
Switzerland		1,614,038			6,279,376			-			7,893,414
Taiwan		-			6,846,103			-			6,846,103
Thailand		962,312			87,571			-			1,049,883
Turkey		-			16,222			-			16,222
United Kingdom		713,145			10,042,982			-			10,756,127
United States		217,488,019			144,615			2,227	**		217,634,861
Preferred Stock*
Brazil		-			319,787			-			319,787
Germany		-			1,730,506			-			1,730,506

256

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
MM Select BlackRock Global Allocation Fund (Continued)
Asset Investments (Continued)
Preferred Stock* (Continued)
United States	$	1,251,070		$	-		$	2,485,531	**	$	3,736,601
Bank Loans		-			2,562,895			-			2,562,895
Corporate Debt		-			25,227,612			2,286,107	**		27,513,719
Non-U.S. Government Agency Obligations		-			483,198			-			483,198
Sovereign Debt Obligations		-			34,104,822			-			34,104,822
U.S. Government Agency Obligations and Instrumentalities		-			18,992,678			-			18,992,678
U.S. Treasury Obligations		-			63,649,984			-			63,649,984
Mutual Funds		12,571,710			-			-			12,571,710
Purchased Options		858,100			1,335,629			-			2,193,729
Rights		1,105			-			-			1,105
Short-Term Investments		-			95,304,143			-			95,304,143
Total Investments	$	249,690,919		$	360,221,704		$	5,196,282		$	615,108,905
Liability Investments
Equities Sold Short	$	(914,980	)	$	(337,418	)	$	-		$	(1,252,398	)
Asset Derivatives
Forward Contracts	$	-		$	1,811,428		$	-		$	1,811,428
Futures Contracts		64,533			-			-			64,533
Swap Agreements		-			422,985			-			422,985
Total	$	64,533		$	2,234,413		$	-		$	2,298,946
Liability Derivatives
Forward Contracts	$	-		$	(889,829	)	$	-		$	(889,829	)
Futures Contracts		(68,016	)		-			-			(68,016	)
Swap Agreements		-			(884,448	)		-			(884,448	)
Written Options		(98,042	)		(1,028,089	)		-			(1,126,131	)
Total	$	(166,058	)	$	(2,802,366	)	$	-		$	(2,968,424	)
Diversified Value Fund
Asset Investments
Common Stock	$	364,202,356		$	6,665,014	*	$	-		$	370,867,370
Preferred Stock		5,499,739			-			-			5,499,739
Mutual Funds		5,735,572			-			-			5,735,572
Short-Term Investments		104			5,247,710			-			5,247,814
Total Investments	$	375,437,771		$	11,912,724		$	-		$	387,350,495
S&P 500 Index Fund
Asset Investments
Common Stock	$	3,526,688,856		$	-		$	-		$	3,526,688,856
Mutual Funds		2,973,691			-			-			2,973,691
Short-Term Investments		-			15,220,497			-			15,220,497
Total Investments	$	3,529,662,547		$	15,220,497		$	-		$	3,544,883,044
Asset Derivatives
Futures Contracts	$	253,212		$	-		$	-		$	253,212

257

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1		Level 2			Level 3			Total
Equity Opportunities Fund
Asset Investments
Common Stock	$	616,107,915	$	27,283,634	*	$	-		$	643,391,549
Preferred Stock		7,848,605		-			-			7,848,605
Short-Term Investments		1,048		12,679,162			-			12,680,210
Total Investments	$	623,957,568	$	39,962,796		$	-		$	663,920,364
Fundamental Growth Fund
Asset Investments
Common Stock	$	146,280,792	$	796,117	*	$	-		$	147,076,909
Short-Term Investments		-		1,996,281			-			1,996,281
Total Investments	$	146,280,792	$	2,792,398		$	-		$	149,073,190
Blue Chip Growth Fund
Asset Investments
Common Stock	$	3,273,021,038	$	125,079,449	*	$	3,849,120	**	$	3,401,949,607
Mutual Funds		2,690,436		-			-			2,690,436
Short-Term Investments		1,070		9,663,229			-			9,664,299
Total Investments	$	3,275,712,544	$	134,742,678		$	3,849,120		$	3,414,304,342
Mid-Cap Value Fund
Asset Investments
Common Stock	$	93,117,011	$	7,424,648	*	$	-		$	100,541,659
Mutual Funds		3,284,160		-			-			3,284,160
Short-Term Investments		-		1,945,164			-			1,945,164
Total Investments	$	96,401,171	$	9,369,812		$	-		$	105,770,983
Asset Derivatives
Forward Contracts	$	-	$	908		$	-		$	908
Liability Derivatives
Forward Contracts	$	-	$	(77,316	)	$	-		$	(77,316	)
Small Cap Value Equity Fund
Asset Investments
Common Stock	$	91,907,713	$	2,109,846	*	$	-	+**	$	94,017,559
Mutual Funds		346,374		-			-			346,374
Short-Term Investments		-		2,928,313			-			2,928,313
Total Investments	$	92,254,087	$	5,038,159		$	-		$	97,292,246
Small Company Value Fund
Asset Investments
Common Stock	$	204,589,236	$	-		$	-	+**	$	204,589,236
Mutual Funds		1,173,074		-			-			1,173,074
Short-Term Investments		-		2,639,923			-			2,639,923
Total Investments	$	205,762,310	$	2,639,923		$	-		$	208,402,233

258

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1		Level 2			Level 3			Total
S&P Mid Cap Index Fund
Asset Investments
Common Stock	$	472,320,389	$	-		$	-		$	472,320,389
Mutual Funds		8,151,599		-			-			8,151,599
Short-Term Investments		-		3,890,716			-			3,890,716
Total Investments	$	480,471,988	$	3,890,716		$	-		$	484,362,704
Asset Derivatives
Futures Contracts	$	58,161	$	-		$	-		$	58,161
Russell 2000 Small Cap Index Fund
Asset Investments
Common Stock	$	311,403,986	$	-		$	-	+**	$	311,403,986
Warrants		-		-			-	+**		-
Rights		-		-			12,469	**		12,469
Mutual Funds		15,034,121		-			-			15,034,121
Short-Term Investments		-		1,938,939			-			1,938,939
Total Investments	$	326,438,107	$	1,938,939		$	12,469		$	328,389,515
Asset Derivatives
Futures Contracts	$	4,479	$	-		$	-		$	4,479
Mid Cap Growth Fund
Asset Investments
Common Stock	$	8,789,496,140	$	-		$	8,267,526	**	$	8,797,763,666
Preferred Stock		-		-			20,475,747	**		20,475,747
Mutual Funds		75,899,317		-			-			75,899,317
Short-Term Investments		153,084,508		169,281,174			-			322,365,682
Total Investments	$	9,018,479,965	$	169,281,174		$	28,743,273		$	9,216,504,412
Small Cap Growth Equity Fund
Asset Investments
Common Stock	$	544,824,998	$	964,111	*	$	16,480	**	$	545,805,589
Preferred Stock		-		-			1,291,358	**		1,291,358
Mutual Funds		22,300,888		-			-			22,300,888
Short-Term Investments		-		14,137,464			-			14,137,464
Total Investments	$	567,125,886	$	15,101,575		$	1,307,838		$	583,535,299
MSCI EAFE International Index Fund
Asset Investments
Common Stock*
Australia	$	-	$	15,893,946		$	-		$	15,893,946
Austria		-		533,032			-			533,032
Belgium		-		2,355,251			-			2,355,251
Bermuda		-		627,850			-			627,850
Cayman Islands		178,937		1,376,750			-			1,555,687
Denmark		-		4,376,904			-			4,376,904
Finland		-		2,684,535			-			2,684,535
France		204,308		24,924,583			-			25,128,891
Germany		75,135		18,968,633			-			19,043,768

259

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)
Hong Kong	$	-		$	6,099,000		$	-	$	6,099,000
Ireland		-			1,673,171			-		1,673,171
Israel		556,860			786,545			-		1,343,405
Italy		-			4,548,754			-		4,548,754
Japan		-			57,806,988			-		57,806,988
Luxembourg		-			678,818			-		678,818
Netherlands		1,118,485			10,799,998			-		11,918,483
New Zealand		-			663,469			-		663,469
Norway		-			1,467,698			-		1,467,698
Papua New Guinea		-			117,076			-		117,076
Portugal		-			365,612			-		365,612
Singapore		-			3,075,413			-		3,075,413
Spain		-			6,759,913			-		6,759,913
Sweden		-			5,872,481			-		5,872,481
Switzerland		-			22,302,524			-		22,302,524
United Kingdom		191,716			38,802,945			-		38,994,661
Preferred Stock*
Germany		-			1,276,249			-		1,276,249
Italy		-			60,606			-		60,606
Mutual Funds		1,330,042			-			-		1,330,042
Rights		10,834			-			-		10,834
Short-Term Investments		-			275,482			-		275,482
Total Investments	$	3,666,317		$	235,174,226		$	-	$	238,840,543
Asset Derivatives
Forward Contracts	$	-		$	18,508		$	-	$	18,508
Futures Contracts		14,176			-			-		14,176
Total	$	14,176		$	18,508		$	-	$	32,684
Liability Derivatives
Forward Contracts	$	-		$	(15,272	)	$	-	$	(15,272	)
Futures Contracts		(9,708	)		-			-		(9,708	)
Total	$	(9,708	)	$	(15,272	)	$	-	$	(24,980	)
Overseas Fund
Asset Investments
Common Stock*
Australia	$	-		$	5,903,498		$	-	$	5,903,498
Belgium		-			6,477,407			-		6,477,407
Brazil		2,217,307			-			-		2,217,307
Canada		19,104,983			-			-		19,104,983
Cayman Islands		6,364,708			-			-		6,364,708
Denmark		-			10,652,160			-		10,652,160
Finland		-			1,906,160			-		1,906,160
France		-			95,061,972			-		95,061,972
Germany		-			85,209,891			-		85,209,891
Hong Kong		-			11,437,039			-		11,437,039
India		-			11,661,486			-		11,661,486
Indonesia		-			2,026,662			-		2,026,662

260

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1		Level 2			Level 3		Total
Overseas Fund (Continued)
Asset Investments (Continued)
Common Stock* (Continued)
Ireland	$	11,946,143	$	4,189,700		$	-	$	16,135,843
Israel		4,345,194		-			-		4,345,194
Italy		-		17,240,174			-		17,240,174
Japan		-		68,345,116			-		68,345,116
Mexico		2,498,490		-			-		2,498,490
Netherlands		-		33,705,351			-		33,705,351
Portugal		-		2,079,247			-		2,079,247
Republic of Korea		-		8,062,328			-		8,062,328
Singapore		-		4,562,453			-		4,562,453
South Africa		-		5,111,959			-		5,111,959
Spain		-		9,025,178			-		9,025,178
Sweden		-		18,858,127			-		18,858,127
Switzerland		-		79,656,372			-		79,656,372
Taiwan		7,179,359		642,319			-		7,821,678
United Kingdom		4,347,417		109,176,433			-		113,523,850
United States		4,028,567		-			-		4,028,567
Preferred Stock*
Germany		-		1,251,292			-		1,251,292
Mutual Funds		2,149,155		-			-		2,149,155
Short-Term Investments		-		11,487,404			-		11,487,404
Total Investments	$	64,181,323	$	603,729,728		$	-	$	667,911,051
Liability Derivatives
Forward Contracts	$	-	$	(31,032	)	$	-	$	(31,032	)
MM Select T. Rowe Price International Equity Fund
Asset Investments
Common Stock*
Australia	$	-	$	30,899,506		$	-	$	30,899,506
Austria		-		8,096,670			-		8,096,670
Belgium		-		10,640,125			-		10,640,125
Bermuda		7,621,233		3,585,059			-		11,206,292
Brazil		2,975,243		12,564,775			-		15,540,018
British Virgin Islands		-		954,542			-		954,542
Canada		36,774,658		-			-		36,774,658
Cayman Islands		42,558,420		35,091,857			-		77,650,277
Chile		2,511,400		-			-		2,511,400
China		-		33,841,498			-		33,841,498
Colombia		706,364		-			-		706,364
Czech Republic		-		949,382			-		949,382
Denmark		765,160		5,143,979			-		5,909,139
Finland		-		9,460,286			-		9,460,286
France		391,069		92,129,322			-		92,520,391
Germany		-		74,886,759			-		74,886,759
Hong Kong		-		22,233,759			-		22,233,759
Hungary		-		3,660,483			-		3,660,483
India		19,719,284		4,681,105			-		24,400,389
Indonesia		-		13,797,128			-		13,797,128
Ireland		-		6,038,487			-		6,038,487

261

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1		Level 2			Level 3			Total
MM Select T. Rowe Price International Equity Fund (Continued)
Asset Investments (Continued)
Common Stock* (Continued)
Italy	$	-	$	12,390,189		$	-		$	12,390,189
Japan		858,689		206,529,542			-			207,388,231
Luxembourg		2,435,471		1,188,748			-			3,624,219
Mexico		2,895,010		-			-			2,895,010
Netherlands		14,728,532		52,715,153			-			67,443,685
Norway		-		9,045,795			-			9,045,795
Philippines		-		5,653,996			-			5,653,996
Poland		-		1,878,700			-			1,878,700
Portugal		-		12,573,978			-			12,573,978
Republic of Korea		1,679,320		52,799,268			-			54,478,588
Russia		-		9,525,798			-			9,525,798
Saudi Arabia		-		4,128,146			-			4,128,146
Singapore		-		9,365,571			-			9,365,571
South Africa		-		19,892,229			-			19,892,229
Spain		-		9,702,147			-			9,702,147
Sweden		-		19,386,885			-			19,386,885
Switzerland		-		86,362,001			-			86,362,001
Taiwan		6,115,316		36,303,054			-			42,418,370
Thailand		6,645,353		-			-			6,645,353
Turkey		-		701,873			-			701,873
United Arab Emirates		-		5,257,613			-			5,257,613
United Kingdom		29,587,075		123,745,045			-			153,332,120
United States		17,699,862		1,585,338			-			19,285,200
Preferred Stock*
Brazil		-		11,148,178			-			11,148,178
Germany		-		569,046			-			569,046
Italy		-		922,662			-			922,662
Republic of Korea		-		2,283,781			-			2,283,781
United States		-		-			550,376	**		550,376
Mutual Funds		1,684,718		-			-			1,684,718
Short-Term Investments		30,422,638		1,000,000			-			31,422,638
Total Investments	$	228,774,815	$	1,065,309,458		$	550,376		$	1,294,634,649
Asset Derivatives
Forward Contracts	$	-	$	4,326		$	-		$	4,326
Liability Derivatives
Written Option	$	-	$	(20,622	)	$	-		$	(20,622	)

262

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
Equity Asset Fund
Asset Investments
Common Stock	$	481,980,871		$	23,822	*	$	1,797	**	$	482,006,490
Mutual Funds		116,748			-			-			116,748
Warrants		-			124	*		-	+**		124
Rights		-			-			4,066	**		4,066
Short-Term Investments		-			12,263,527			-			12,263,527
Total Investments	$	482,097,619		$	12,287,473		$	5,863		$	494,390,955
Asset Derivatives
Futures Contracts	$	6,804		$	-		$	-		$	6,804
MM Select T. Rowe Price Bond Asset Fund
Asset Investments
Bank Loans (Less Unfunded Loan Commitments)	$	-		$	19,523,791		$	-		$	19,523,791
Corporate Debt		-			225,630,507			-			225,630,507
Non-U.S. Government Agency Obligations		-			119,569,241			-			119,569,241
Sovereign Debt Obligations		-			118,770,251			-			118,770,251
U.S. Government Agency Obligations and Instrumentalities		-			103,591,594			-			103,591,594
U.S. Treasury Obligations		-			87,220,266			-			87,220,266
Purchased Options		-			17,906			-			17,906
Mutual Funds		728,801			-			-			728,801
Short-Term Investments		27,592,019			6,120,169			-			33,712,188
Unfunded Loan Commitments		-			(3	)***		-			(3	)
Total Investments	$	28,320,820		$	680,443,722		$	-		$	708,764,542
Asset Derivatives
Forward Contracts	$	-		$	874,171		$	-		$	874,171
Futures Contracts		874,987			-			-			874,987
Swap Agreements		-			2,259,556			-			2,259,556
Total	$	874,987		$	3,133,727		$	-		$	4,008,714
Liability Derivatives
Forward Contracts	$	-		$	(2,174,644	)	$	-		$	(2,174,644	)
Futures Contracts		(804,459	)		-			-			(804,459	)
Swap Agreements		-			(161,728	)		-			(161,728	)
Written Options		-			(24,639	)		-			(24,639	)
Total	$	(804,459	)	$	(2,361,011	)	$	-		$	(3,165,470	)
MM Select T. Rowe Price Emerging Markets Bond Fund
Asset Investments
Corporate Debt	$	-		$	47,087,590		$	-		$	47,087,590
Sovereign Debt Obligations		-			66,542,749			-			66,542,749
U.S. Treasury Obligations		-			129,935			-			129,935
Mutual Funds		772,035			-			-			772,035
Short-Term Investments		247,225			1,662,090			-			1,909,315
Total Investments	$	1,019,260		$	115,422,364		$	-		$	116,441,624
Asset Derivatives
Forward Contracts	$	-		$	23,249		$	-		$	23,249
Total	$	-		$	23,249		$	-		$	23,249
Liability Derivatives
Forward Contracts	$	-		$	(179,615	)	$	-		$	(179,615	)
Futures Contracts		(70,057	)		-			-			(70,057	)
Total	$	(70,057	)	$	(179,615	)	$	-		$	(249,672	)

263

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
MM Select T. Rowe Price Large Cap Blend Fund
Asset Investments
Common Stock	$	1,385,178,730		$	23,454,445	*	$	1,638,876	**	$	1,410,272,051
Preferred Stock		7,924,926			-			4,888,104	**		12,813,030
Mutual Funds		2,520,686			-			-			2,520,686
Short-Term Investments		11,063,548			1,049,381			-			12,112,929
Total Investments	$	1,406,687,890		$	24,503,826		$	6,526,980		$	1,437,718,696
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
Asset Investments
Corporate Debt	$	-		$	32,742,630		$	-		$	32,742,630
Non-U.S. Government Agency Obligations		-			18,594,179			-			18,594,179
U.S. Government Agency Obligations and Instrumentalities		-			4,021,118			-			4,021,118
U.S. Treasury Obligations		-			150,094,930			-			150,094,930
Mutual Funds		93,005			-			-			93,005
Short-Term Investments		106			1,143,910			-			1,144,016
Total Investments	$	93,111		$	206,596,767		$	-		$	206,689,878
Asset Derivatives
Futures Contracts	$	217,012		$	-		$	-		$	217,012
Swap Agreements		-			321,743			-			321,743
Total	$	217,012		$	321,743		$	-		$	538,755
Liability Derivatives
Futures Contracts	$	(3,979	)	$	-		$	-		$	(3,979	)
Swap Agreements		-			(142,861	)		-			(142,861	)
Total	$	(3,979	)	$	(142,861	)	$	-		$	(146,840	)
MM Select T. Rowe Price Real Assets Fund
Asset Investments
Common Stock*
Australia	$	-		$	7,628,209		$	-		$	7,628,209
Austria		-			287,032			-			287,032
Belgium		-			133,240			-			133,240
Bermuda		-			276,229			-			276,229
Brazil		-			1,202,584			-			1,202,584
Canada		8,019,738			-			-			8,019,738
Cayman Islands		-			297,076			-			297,076
Finland		-			548,975			-			548,975
France		-			1,738,337			-			1,738,337
Germany		-			727,016			-			727,016
Hong Kong		-			860,458			-			860,458
Ireland		762,395			-			-			762,395
Japan		8,835			2,948,508			-			2,957,343
Luxembourg		65,330			905,727			-			971,057
Mexico		433,845			-			-			433,845
Netherlands		610,558			533,810			-			1,144,368
Norway		-			818,420			-			818,420
Peru		201,887			-			-			201,887
Portugal		-			325,710			-			325,710
Republic of Korea		-			513,836			-			513,836
Russia		-			607,695			-			607,695

264

Notes to Portfolio of Investments (Unaudited) (Continued)

	Level 1			Level 2			Level 3			Total
MM Select T. Rowe Price Real Assets Fund (Continued)
Asset Investments (Continued)
Common Stock* (Continued)
Singapore	$	-		$	393,194		$	-		$	393,194
South Africa		66,857			1,942,752			-			2,009,609
Spain		-			286,644			-			286,644
Sweden		-			1,793,763			-			1,793,763
Switzerland		-			434,607			-			434,607
United Kingdom		-			7,547,205			-			7,547,205
United States		40,880,246			-			-			40,880,246
Preferred Stock*
Brazil		-			235,749			-			235,749
United States		237,407			-			-			237,407
Mutual Funds		3,428,269			-			-			3,428,269
Purchased Options		32,230			52,373			-			84,603
Short-Term Investments		2,708,371			1,333,432			-			4,041,803
Total Investments	$	57,455,968		$	34,372,581		$	-		$	91,828,549
Asset Derivatives
Futures Contracts	$	14,186		$	-		$	-		$	14,186
Liability Derivatives
Futures Contracts	$	(11,760	)	$	-		$	-		$	(11,760	)
Forward Contracts		-			(4,952	)		-			(4,952	)
Total	$	(11,760	)	$	(4,952	)	$	-		$	(16,712	)
MM Select T. Rowe Price Small and Mid Cap Blend Fund
Asset Investments
Common Stock	$	662,293,709		$	14,460,459	*	$	1,184,243	**	$	677,938,411
Preferred Stock		-			1,400,522	*		4,527,204	**		5,927,726
Bank Loans		-			70,224			-			70,224
Warrants		-			-			5,341	**		5,341
Mutual Funds		11,066,122			-			-			11,066,122
Short-Term Investments		23,625,795			1,490,895			-			25,116,690
Total Investments	$	696,985,626		$	17,422,100		$	5,716,788		$	720,124,514
MM Select T. Rowe Price U.S. Treasury Long-Term Fund
Asset Investments
U.S. Government Agency Obligations and Instrumentalities	$	-		$	11,538,162		$	-		$	11,538,162
U.S. Treasury Obligations		-			115,017,816			-			115,017,816
Short-Term Investments		729,448			1,134,905			-			1,864,353
Total Investments	$	729,448		$	127,690,883		$	-		$	128,420,331
Asset Derivatives
Futures Contracts	$	738,177		$	-		$	-		$	738,177
Liability Derivatives
Futures Contracts	$	(1,327,382	)	$	-		$	-		$	(1,327,382	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their respective foreign markets, as applicable.

** 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 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, 2019 is not presented.

*** Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment.

+ Represents a security at $0 value as of December 31, 2019.

265

Notes to Portfolio of Investments (Unaudited) (Continued)

The Funds, with the exception of the Small Cap Growth Fund and MM Select T. Rowe Price Small and Mid Cap Blend Fund, had no Level 3 transfers during the period ended December 31, 2019. The Small Cap Growth Fund and MM Select T. Rowe Price Small and Mid Cap Blend Fund had Level 3 transfers during the period ended December 31, 2019; however, none of the transfers individually or collectively had a material impact on the Small Cap Growth Fund or MM Select T. Rowe Price Small and Mid Cap Blend Fund Fund.

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than the derivatives’ original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price.

At December 31, 2019, 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	$	-	$	-	$	175,236		$	-		$	175,236
Futures Contracts		-		-		-			86,953			86,953
Swap Agreements		-		-		-			869,167			869,167
Total Value	$	-	$	-	$	175,236		$	956,120		$	1,131,356
Liability Derivatives
Futures Contracts	$	-	$	-	$	-		$	(315,333	)	$	(315,333	)
Swap Agreements		-		-		-			(868,487	)		(868,487	)
Total Value	$	-	$	-	$	-		$	(1,183,820	)	$	(1,183,820	)
Strategic Bond Fund
Asset Derivatives
Purchased Options	$	-	$	-	$	-		$	50,188		$	50,188
Forward Contracts		-		-		1,757,253			-			1,757,253
Futures Contracts		-		-		-			1,789,384			1,789,384
Swap Agreements		1,172,325		-		-			5,787,321			6,959,646
Total Value	$	1,172,325	$	-	$	1,757,253		$	7,626,893		$	10,556,471
Liability Derivatives
Forward Contracts	$	-	$	-	$	(494,074	)	$	-		$	(494,074	)
Futures Contracts		-		-		-			(3,831,147	)		(3,831,147	)
Swap Agreements		-		-		-			(154,164	)		(154,164	)
Written Options		-		-		-			(13,490	)		(13,490	)
Total Value	$	-	$	-	$	(494,074	)	$	(3,998,801	)	$	(4,492,875	)
MM Select BlackRock Global Allocation Fund
Asset Derivatives
Purchased Options	$	-	$	1,791,304	$	252,900		$	149,525		$	2,193,729
Forward Contracts		-		-		1,811,428			-			1,811,428
Futures Contracts		-		61,299		-			3,234			64,533
Swap Agreements		163,170		80,119		-			179,696			422,985
Total Value	$	163,170	$	1,932,722	$	2,064,328		$	332,455		$	4,492,675

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Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
MM Select BlackRock Global Allocation Fund (Continued)
Liability Derivatives
Forward Contracts	$	-		$	-		$	(889,829	)	$	-		$	(889,829	)
Futures Contracts		-			(9,663	)		-			(58,353	)		(68,016	)
Swap Agreements		(683,706	)		(71,442	)		-			(129,300	)		(884,448	)
Written Options		-			(1,023,487	)		(68,859	)		(33,785	)		(1,126,131	)
Total Value	$	(683,706	)	$	(1,104,592	)	$	(958,688	)	$	(221,438	)	$	(2,968,424	)
S&P 500 Index Fund
Asset Derivatives
Futures Contracts	$	-		$	253,212		$	-		$	-		$	253,212
Mid-Cap Value Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	908		$	-		$	908
Liability Derivatives
Forward Contracts	$	-		$	-		$	(77,316	)	$	-		$	(77,316	)
S&P Mid Cap Index Fund
Asset Derivatives
Futures Contracts	$	-		$	58,161		$	-		$	-		$	58,161
Russell 2000 Small Cap Index Fund
Asset Derivatives
Futures Contracts	$	-		$	4,479		$	-		$	-		$	4,479
MSCI EAFE International Index Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	18,508		$	-		$	18,508
Futures Contracts		-			14,176			-			-			14,176
Total Value	$	-		$	14,176		$	18,508		$	-		$	32,684
Liability Derivatives
Forward Contracts	$	-		$	-		$	(15,272	)	$	-		$	(15,272	)
Futures Contracts		-			(9,708	)		-			-			(9,708	)
Total Value	$	-		$	(9,708	)	$	(15,272	)	$	-		$	(24,980	)
Overseas Fund
Liability Derivatives
Forward Contracts	$	-		$	-		$	(31,032	)	$	-		$	(31,032	)
MM Select T. Rowe Price International Equity Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	4,326		$	-		$	4,326
Liability Derivatives
Written Options	$	-		$	(20,622	)	$	-		$	-		$	(20,622	)

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Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Equity Asset Fund
Asset Derivatives
Futures Contracts	$	-		$	6,804		$	-		$	-		$	6,804
MM Select T. Rowe Price Bond Asset Fund
Asset Derivatives
Purchased Options	$	17,906		$	-		$	-		$	-		$	17,906
Forward Contracts		-			-			874,171			-			874,171
Futures Contracts		-			-			-			874,987			874,987
Swap Agreements		2,231,794			5,878			-			21,884			2,259,556
Total Value	$	2,249,700		$	5,878		$	874,171		$	896,871		$	4,026,620
Liability Derivatives
Forward Contracts	$	-		$	-		$	(2,174,644	)	$	-		$	(2,174,644	)
Futures Contracts		-			-			-			(804,459	)		(804,459	)
Swap Agreements		(68,660	)		-			-			(93,068	)		(161,728	)
Written Options		(24,639	)		-			-			-			(24,639	)
Total Value	$	(93,299	)	$	-		$	(2,174,644	)	$	(897,527	)	$	(3,165,470	)
MM Select T. Rowe Price Emerging Markets Bond Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	23,249		$	-		$	23,249
Liability Derivatives
Forward Contracts	$	-		$	-		$	(179,615	)	$	-		$	(179,615	)
Futures Contracts		-			-			-			(70,057	)		(70,057	)
Total Value	$	-		$	-		$	(179,615	)	$	(70,057	)	$	(249,672	)
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
Asset Derivatives
Futures Contracts	$	-		$	-		$	-		$	217,012		$	217,012
Swap Agreements		-			-			-			321,743			321,743
Total Value	$	-		$	-		$	-		$	538,755		$	538,755
Liability Derivatives
Futures Contracts	$	-		$	-		$	-		$	(3,979	)	$	(3,979	)
Swap Agreements		-			-			-			(142,861	)		(142,861	)
Total Value	$	-		$	-		$	-		$	(146,840	)	$	(146,840	)
MM Select T. Rowe Price Real Assets Fund
Asset Derivatives
Purchased Options	$	-		$	84,403		$	200		$	-		$	84,603
Futures Contracts		-			14,186			-			-			14,186
Total Value	$	-		$	98,589		$	200		$	-		$	98,789
Liability Derivatives
Forward Contracts	$	-		$	-		$	(4,952	)	$	-		$	(4,952	)
Futures Contracts		-			(11,760	)		-			-			(11,760	)
Total Value	$	-		$	(11,760	)	$	(4,952	)	$	-		$	(16,712	)

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Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk		Equity Risk		Foreign Exchange Risk		Interest Rate Risk			Total
MM Select T. Rowe Price U.S. Treasury Long-Term Fund
Asset Derivatives
Futures Contracts	$	-	$	-	$	-	$	738,177		$	738,177
Liability Derivatives
Futures Contracts	$	-	$	-	$	-	$	(1,327,382	)	$	(1,327,382	)

At December 31, 2019, 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		1,235	$	13,023,972	$	99,585,000		-	$	-		-	$	-
Strategic Bond Fund		4,442		99,144,476		547,199,200		146		-		277		5,120,000
MM Select BlackRock Global Allocation Fund		675		101,024,529		68,070,416		42,331,171		145,962,841		18,992,808		81,443,525
MM S&P 500 Index Fund		116		-		-		-		-		-		-
Mid-Cap Value Fund		-		8,245,038		-		-		-		-		-
S&P Mid Cap Index Fund		25		-		-		-		-		-		-
Russell 2000 Small Cap Index Fund		27		-		-		-		-		-		-
MSCI EAFE International Index Fund		47		6,554,045		-		-		-		-		-
Overseas Fund		-		1,947,531		-		-		-		-		-
MM Select T. Rowe Price International Equity Fund		-		1,715,717		-		-		-		104		-
Equity Asset Fund		14		-		-		-		-		-		-
MM Select T. Rowe Price Bond Asset Fund		2,005		171,921,616		105,717,266		-		7,500,000		-		15,000,000
MM Select T. Rowe Price Emerging Markets Bond Fund		73		7,038,828		-		-		-		-		-
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		416		-		70,391,000		-		-		-		-
MM Select T. Rowe Price Real Assets Fund		17		1,464,975		-		800,018		-		-		-
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		840		-		-		-		-		-		-

† Amount(s) disclosed represent 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, at December 31, 2019.

Further details regarding the derivatives and other investments held by the Fund(s) at December 31, 2019, 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.

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Notes to Portfolio of Investments (Unaudited) (Continued)

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a forward contract with respect to that currency. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

Futures Contracts

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts and related options.

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a 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.

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Notes to Portfolio of Investments (Unaudited) (Continued)

Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Total Return Swaps. A Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund 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). A Fund may also enter into contracts for difference, which are similar to total return swaps.

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment and stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.

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Notes to Portfolio of Investments (Unaudited) (Continued)

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 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.

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Notes to Portfolio of Investments (Unaudited) (Continued)

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.

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.

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.

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Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

Hybrid Instruments

A hybrid instrument may be a debt security, preferred stock, warrant, convertible security, certificate of deposit, or other evidence of indebtedness on which a portion of or all interest payments, and/or the principal or stated amount payable at maturity, redemption, or retirement, is determined by reference to one or more underlying assets, indexes, economic factors, or other benchmarks. Because hybrid instruments may be designed to provide indirect exposures to virtually any type of derivative instrument, a Fund may invest in a hybrid instrument for any purpose it might engage in derivatives transactions. Hybrid instruments may take a number of forms, including, for example, debt instruments with interest or principal payments or redemption terms determined by reference to the value of an index, security, or other measure at a future time, preferred stock with dividend rates determined by reference to the value of a currency, or convertible securities where the conversion terms relate to a particular commodity. The risks of investing in a hybrid instrument may, depending on the nature of the instrument, reflect a combination of the risks of investing in securities, options, futures, currencies or other types of investments, and will depend upon the terms of the instrument. Such risks generally depend upon factors unrelated to the operations or credit quality of the issuer of the hybrid instrument, and may not be foreseen by the purchaser, such as financial or market developments, economic and political events, the supply and demand of the underlying assets, and interest rate movements. Hybrid instruments may be highly volatile and their use by a Fund may not be successful. The terms of a hybrid instrument may create investment leverage. Hybrid instruments are typically privately issued, presenting credit risk of the issuer, and may be highly illiquid and difficult to value.

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Inflation-Linked Securities

Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.

Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.

The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.

Bank Loans

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

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

The MM Select T. Rowe Price Bond Asset Fund entered into certain loan agreements which are unfunded. The MM Select T. Rowe Price Bond Asset Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the MM Select T. Rowe Price Bond Asset Fund’s Portfolio of Investments. At December 31, 2019, the MM Select T. Rowe Price Bond Asset Fund had sufficient cash and/or securities to cover these commitments.

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Short Sales

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

Repurchase Agreements

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Dollar Roll Transactions

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

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

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A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.

Securities Lending

Each Fund, other than the MM RetireSMART Funds, MM RetireSMART by JPMorgan Funds, and MM Select T. Rowe Price Retirement Funds may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).

Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) and/or securities (U.S. Treasury and Agency obligations) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At December 31, 2019, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.

Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement.

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 gains 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.

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Allocation of Operating Activity

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

In addition, the MM RetireSMART Funds, MM RetireSMART by JPMorgan Funds, and MM Select T. Rowe Price Retirement Funds 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

Each of the MM Select BlackRock Global Allocation Fund and MM Select T. Rowe Price Real Assets Fund invests a significant amount of its assets in foreign securities and each of the MSCI EAFE International Index Fund, Overseas Fund, MM Select T. Rowe Price International Equity Fund, and MM Select T. Rowe Price Emerging Markets Bond 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.

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 MM Select 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 MM Select 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.

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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, 2019, 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	$	846,643,093	$	21,360,094	$	(3,632,948	)	$	17,727,146
Strategic Bond Fund		696,780,559		31,782,712		(7,200,472	)		24,582,240
MM Select BlackRock Global Allocation Fund		561,615,855		64,780,372		(11,287,322	)		53,493,050
Diversified Value Fund		345,315,220		50,322,490		(8,287,215	)		42,035,275
Fundamental Value Fund		613,738,306		95,687,641		(9,545,776	)		86,141,865
S&P 500 Index Fund		1,951,553,641		1,667,579,457		(74,250,054	)		1,593,329,403
Equity Opportunities Fund		545,582,925		124,566,659		(6,229,220	)		118,337,439
Fundamental Growth Fund		125,838,690		23,275,931		(41,431	)		23,234,500
Blue Chip Growth Fund		2,210,085,524		1,223,101,471		(18,882,653	)		1,204,218,818
Growth Opportunities Fund		352,518,176		152,093,479		(3,881,416	)		148,212,063
Mid-Cap Value Fund		94,247,241		12,471,774		(948,032	)		11,523,742
Small Cap Value Equity Fund		84,222,561		16,500,054		(3,430,369	)		13,069,685
Small Company Value Fund		192,228,781		20,346,475		(4,173,023	)		16,173,452
S&P Mid Cap Index Fund		416,145,182		98,009,305		(29,791,783	)		68,217,522
Russell 2000 Small Cap Index Fund		290,103,368		73,231,484		(34,945,337	)		38,286,147
Mid Cap Growth Fund		7,289,074,037		2,085,151,324		(157,720,949	)		1,927,430,375
Small Cap Growth Equity Fund		492,213,007		102,153,816		(10,831,524	)		91,322,292
MSCI EAFE International Index Fund		210,421,879		42,900,462		(14,481,798	)		28,418,664
Overseas Fund		603,080,609		98,998,884		(34,168,442	)		64,830,442
MM Select T. Rowe Price International Equity Fund		1,204,315,155		142,480,937		(52,161,443	)		90,319,494
MM RetireSMART Conservative Fund		217,661,104		6,964,332		(1,444,336	)		5,519,996
MM RetireSMART Moderate Fund		245,915,105		6,140,691		(3,419,641	)		2,721,050
MM RetireSMART Moderate Growth Fund		216,269,583		6,642,162		(3,209,157	)		3,433,005
MM RetireSMART Growth Fund		135,743,490		2,495,462		(3,435,917	)		(940,455	)
MM RetireSMART by JPMorgan In Retirement Fund		199,289,126		5,623,407		(1,435,300	)		4,188,107
MM RetireSMART by JPMorgan 2020 Fund		382,459,512		11,887,634		(2,755,896	)		9,131,738
MM RetireSMART by JPMorgan 2025 Fund		285,576,486		8,925,520		(2,496,330	)		6,429,190
MM RetireSMART by JPMorgan 2030 Fund		511,614,038		13,302,356		(7,169,827	)		6,132,529
MM RetireSMART by JPMorgan 2035 Fund		225,380,747		5,101,708		(3,582,456	)		1,519,252
MM RetireSMART by JPMorgan 2040 Fund		347,342,197		7,519,384		(8,856,879	)		(1,337,495	)
MM RetireSMART by JPMorgan 2045 Fund		143,537,597		3,367,162		(2,753,970	)		613,192
MM RetireSMART by JPMorgan 2050 Fund		208,148,982		4,295,527		(4,837,873	)		(542,346	)
MM RetireSMART by JPMorgan 2055 Fund		61,821,286		2,028,044		(808,545	)		1,219,499
MM RetireSMART by JPMorgan 2060 Fund		14,820,664		591,571		(161,985	)		429,586
Equity Asset Fund		418,706,907		82,033,650		(6,349,602	)		75,684,048
MM Select T. Rowe Price Bond Asset Fund		690,596,398		22,046,482		(3,878,338	)		18,168,144
MM Select T. Rowe Price Emerging Markets Bond Fund		116,427,588		5,817,384		(5,803,348	)		14,036
MM Select T. Rowe Price Large Cap Blend Fund		1,248,185,139		196,737,194		(7,203,637	)		189,533,557
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		204,466,516		2,583,773		(360,411	)		2,223,362
MM Select T. Rowe Price Real Assets Fund		85,450,418		10,073,415		(3,695,284	)		6,378,131

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	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
MM Select T. Rowe Price Small and Mid Cap Blend Fund	$	640,464,896	$	103,333,471	$	(23,673,853	)	$	79,659,618
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		117,785,071		10,845,990		(210,730	)		10,635,260
MM Select T. Rowe Price Retirement Balanced Fund		164,351,284		3,217,238		(361,296	)		2,855,942
MM Select T. Rowe Price Retirement 2005 Fund		28,115,924		1,139,985		(31,854	)		1,108,131
MM Select T. Rowe Price Retirement 2010 Fund		137,047,523		3,687,643		(256,918	)		3,430,725
MM Select T. Rowe Price Retirement 2015 Fund		134,835,541		5,343,529		(168,165	)		5,175,364
MM Select T. Rowe Price Retirement 2020 Fund		698,278,154		31,657,395		(1,177,568	)		30,479,827
MM Select T. Rowe Price Retirement 2025 Fund		534,673,973		29,627,090		(598,964	)		29,028,126
MM Select T. Rowe Price Retirement 2030 Fund		1,160,718,819		74,564,664		(1,351,554	)		73,213,110
MM Select T. Rowe Price Retirement 2035 Fund		475,706,105		34,437,384		(361,757	)		34,075,627
MM Select T. Rowe Price Retirement 2040 Fund		868,259,463		69,090,903		(560,517	)		68,530,386
MM Select T. Rowe Price Retirement 2045 Fund		337,614,301		29,154,147		(139,056	)		29,015,091
MM Select T. Rowe Price Retirement 2050 Fund		518,579,647		44,269,500		(234,812	)		44,034,688
MM Select T. Rowe Price Retirement 2055 Fund		172,233,026		14,756,339		(65,915	)		14,690,424
MM Select T. Rowe Price Retirement 2060 Fund		36,438,448		2,938,876		(11,437	)		2,927,439

4. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the period ended December 31, 2019, was as follows:

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Conservative Fund
Barings Global Floating Rate Fund, Class Y*	$	1,920,054	$	60,100	$	-		$	4,800		$	-		$	1,984,954		213,436	$	24,112	$	6,018
MassMutual Premier Core Bond Fund, Class I		39,623,464		3,036,838		(3,779,712	)		(1,222,273	)		90,219			37,748,536		3,434,808		1,261,348		-
MassMutual Premier High Yield Fund, Class I		2,911,409		283,845		(85,306	)		(122,094	)		(603	)		2,987,251		338,691		178,978		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		8,557,578		538,354		(234,682	)		(138,953	)		8,418			8,730,715		837,077		180,216		-
MassMutual Premier International Equity Fund, Class I		1,804,835		147,780		(327,779	)		151,404			(8,250	)		1,767,990		136,419		17,128		48,440
MassMutual Premier Short-Duration Bond Fund, Class I		29,033,110		1,729,235		(727,994	)		(739,924	)		11,052			29,305,479		2,915,968		976,954		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		1,148,262		170,012		(116,993	)		38,371			(250	)		1,239,402		92,355		6,540		89,740
MassMutual Select Blue Chip Growth Fund, Class I		2,803,622		300,529		(164,363	)		98,967			1,545			3,040,300		129,264		11,487		154,109
MassMutual Select Diversified Value Fund, Class I		2,886,926		270,406		(209,957	)		47,816			(19,130	)		2,976,061		257,445		66,558		137,560
MassMutual Select Equity Opportunities Fund, Class I		2,080,705		236,968		(66,774	)		(74,585	)		4,645			2,180,959		123,288		32,495		151,863
MassMutual Select Fundamental Growth Fund, Class I		1,540,624		295,453		(81,044	)		(108,535	)		(9,835	)		1,636,663		222,071		3,911		252,195
MassMutual Select Fundamental Value Fund, Class I		2,603,154		665,751		(225,174	)		(335,636	)		(21,396	)		2,686,699		304,960		56,673		486,472
MassMutual Select Growth Opportunities Fund, Class I		1,006,943		345,873		(31,393	)		(221,778	)		(8,982	)		1,090,663		139,293		5,870		305,499
MassMutual Select Mid Cap Growth Fund, Class I		1,493,536		125,223		(52,843	)		24,486			(756	)		1,589,646		67,102		745		79,978

280

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Conservative Fund (Continued)
MassMutual Select Mid-Cap Value Fund, Class I	$	1,531,351	$	65,505	$	(104,245	)	$	83,482		$	(7,094	)	$	1,568,999		120,322	$	27,291	$	-
MassMutual Select Overseas Fund, Class I		3,676,398		387,459		(265,115	)		233,030			(22,447	)		4,009,325		454,572		83,225		66,183
MassMutual Select Small Cap Growth Equity Fund, Class I		536,142		81,041		(27,735	)		(5,757	)		(5,368	)		578,323		38,710		4,804		57,876
MassMutual Select Small Cap Value Equity Fund, Class I		1,100,902		132,692		(95,345	)		54,571			(53,039	)		1,139,781		102,406		2,463		98,022
MassMutual Select Strategic Bond Fund, Class I		30,291,336		2,972,070		(1,400,678	)		(989,239	)		53,478			30,926,967		2,887,672		866,967		414,084
MassMutual Select Total Return Bond Fund, Class I		32,560,013		5,318,563		(1,546,990	)		(1,031,319	)		75,251			35,375,518		3,530,491		1,046,820		-
MM Select Equity Asset Fund, Class I		12,911,126		1,368,422		(1,131,657	)		1,015,236			(499,919	)		13,663,208		1,666,245		178,321		580,473
	$	182,021,490	$	18,532,119	$	(10,675,779	)	$	(3,237,930	)	$	(412,461	)	$	186,227,439			$	5,032,906	$	2,928,512
MM RetireSMART Moderate Fund
Barings Global Floating Rate Fund, Class Y*	$	1,670,324	$	25,651	$	(34,786	)	$	4,850		$	(1,540	)	$	1,664,499		178,978	$	20,605	$	5,046
MassMutual Premier Core Bond Fund, Class I		21,568,682		1,082,657		(2,647,585	)		(751,944	)		164,459			19,416,269		1,766,721		657,469		-
MassMutual Premier High Yield Fund, Class I		2,476,411		219,994		(212,613	)		(98,562	)		(1,252	)		2,383,978		270,292		145,244		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		4,888,833		285,580		(403,222	)		(83,740	)		12,715			4,700,166		450,639		98,871		-
MassMutual Premier International Equity Fund, Class I		6,057,293		208,697		(1,238,248	)		499,339			(46,108	)		5,480,973		422,915		54,517		154,180
MassMutual Premier Short-Duration Bond Fund, Class I		16,369,039		969,164		(1,339,946	)		(408,420	)		12,822			15,602,659		1,552,503		530,084		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		3,840,937		480,381		(547,526	)		58,781			60,973			3,893,546		290,130		20,930		287,195
MassMutual Select Blue Chip Growth Fund, Class I		9,246,862		845,259		(916,252	)		140,959			172,083			9,488,911		403,440		36,352		487,705
MassMutual Select Diversified Value Fund, Class I		9,472,092		643,276		(972,879	)		240,454			(154,436	)		9,228,507		798,314		209,757		433,520
MassMutual Select Equity Opportunities Fund, Class I		6,846,462		710,377		(549,231	)		(251,951	)		25,059			6,780,716		383,308		102,885		480,817
MassMutual Select Fundamental Growth Fund, Class I		5,084,112		811,499		(426,460	)		(394,227	)		17,615			5,092,539		690,982		12,391		799,108
MassMutual Select Fundamental Value Fund, Class I		8,608,314		1,916,849		(976,968	)		(987,771	)		(152,430	)		8,407,994		954,369		179,894		1,544,177
MassMutual Select Growth Opportunities Fund, Class I		3,354,084		1,085,651		(294,333	)		(700,249	)		(33,091	)		3,412,062		435,768		18,662		971,329
MassMutual Select Mid Cap Growth Fund, Class I		5,026,322		352,721		(417,441	)		85,173			(11,312	)		5,035,463		212,556		2,404		257,992
MassMutual Select Mid-Cap Value Fund, Class I		5,153,644		88,211		(506,157	)		315,841			(72,553	)		4,978,986		381,824		88,211		-
MassMutual Select Overseas Fund, Class I		12,380,491		1,428,151		(1,773,981	)		868,087			(204,799	)		12,697,949		1,439,677		269,216		214,088
MassMutual Select Small Cap Growth Equity Fund, Class I		2,110,938		246,440		(181,199	)		(51,695	)		10,010			2,134,494		142,871		18,056		217,515
MassMutual Select Small Cap Value Equity Fund, Class I		4,369,938		381,555		(498,998	)		254,819			(249,429	)		4,257,885		382,559		9,353		372,202
MassMutual Select Strategic Bond Fund, Class I		16,504,260		1,517,298		(1,615,998	)		(620,019	)		134,910			15,920,451		1,486,503		452,877		216,305
MassMutual Select Total Return Bond Fund, Class I		17,744,803		2,740,641		(1,779,838	)		(612,288	)		114,746			18,208,064		1,817,172		546,818		-
MM Select Equity Asset Fund, Class I		42,892,922		3,382,216		(4,933,958	)		3,519,136			(1,899,299	)		42,961,017		5,239,148		568,564		1,850,799
	$	205,666,763	$	19,422,268	$	(22,267,619	)	$	1,026,573		$	(2,100,857	)	$	201,747,128			$	4,043,160	$	8,291,978

281

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Moderate Growth Fund
Barings Global Floating Rate Fund, Class Y*	$	1,322,010	$	52,395	$	-		$	3,461		$	-		$	1,377,866		148,158	$	16,669	$	4,177
MassMutual Premier Core Bond Fund, Class I		10,148,255		1,294,730		(1,400,363	)		(337,804	)		43,396			9,748,214		887,008		331,354		-
MassMutual Premier High Yield Fund, Class I		1,964,256		376,699		(236,282	)		(89,994	)		5,423			2,020,102		229,036		123,293		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		2,487,022		397,753		(296,408	)		(47,986	)		9,632			2,550,013		244,488		53,739		-
MassMutual Premier International Equity Fund, Class I		6,948,583		1,266,173		(2,682,652	)		597,827			(100,909	)		6,029,022		465,202		60,011		169,721
MassMutual Premier Short-Duration Bond Fund, Class I		8,184,488		1,283,121		(881,727	)		(208,215	)		(4,794	)		8,372,873		833,122		283,121		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		5,254,005		680,758		(1,033,577	)		40,753			131,522			5,073,461		378,052		27,375		375,623
MassMutual Select Blue Chip Growth Fund, Class I		10,270,191		768,438		(1,409,007	)		(10,559	)		359,875			9,978,938		424,275		38,351		514,524
MassMutual Select Diversified Value Fund, Class I		10,553,869		681,287		(1,534,311	)		403,865			(286,717	)		9,817,993		849,307		222,151		459,136
MassMutual Select Equity Opportunities Fund , Class I		7,627,632		617,280		(806,181	)		(215,615	)		(20,177	)		7,202,939		407,176		108,803		508,477
MassMutual Select Fundamental Growth Fund, Class I		5,646,603		873,046		(737,274	)		(371,839	)		(16,798	)		5,393,738		731,851		13,145		847,727
MassMutual Select Fundamental Value Fund, Class I		9,531,186		1,973,266		(1,485,609	)		(940,401	)		(245,824	)		8,832,618		1,002,567		189,600		1,627,487
MassMutual Select Growth Opportunities Fund, Class I		3,742,788		1,116,440		(437,716	)		(713,885	)		(65,518	)		3,642,109		465,148		19,952		1,038,434
MassMutual Select Mid Cap Growth Fund, Class I		5,804,049		299,916		(638,094	)		102,551			(13,943	)		5,554,479		234,465		2,650		284,457
MassMutual Select Mid-Cap Value Fund, Class I		5,952,960		97,262		(824,618	)		332,922			(55,015	)		5,503,511		422,048		97,263		-
MassMutual Select Overseas Fund, Class I		14,143,166		1,702,611		(2,785,881	)		885,743			(128,743	)		13,816,896		1,566,541		293,824		233,658
MassMutual Select Small Cap Growth Equity Fund, Class I		2,805,331		304,974		(359,816	)		12,931			(59,557	)		2,703,863		180,981		22,908		275,965
MassMutual Select Small Cap Value Equity Fund, Class I		5,766,657		478,304		(940,175	)		491,305			(467,191	)		5,328,900		478,787		11,724		466,580
MassMutual Select Strategic Bond Fund, Class I		7,748,845		1,552,647		(1,085,510	)		(334,589	)		93,182			7,974,575		744,591		227,589		108,702
MassMutual Select Total Return Bond Fund, Class I		8,350,261		2,420,190		(1,390,358	)		(340,894	)		96,351			9,135,550		911,732		275,260		-
MM Select Equity Asset Fund, Class I		47,622,719		4,607,140		(8,909,279	)		5,519,584			(3,744,455	)		45,095,709		5,499,477		598,737		1,949,021
	$	181,874,876	$	22,844,430	$	(29,874,838	)	$	4,779,161		$	(4,470,260	)	$	175,153,369			$	3,017,519	$	8,863,689
MM RetireSMART Growth Fund
Barings Global Floating Rate Fund, Class Y*	$	579,152	$	151,650	$	-		$	3,329		$	-		$	734,131		78,939	$	8,082	$	2,226
MassMutual Premier Core Bond Fund, Class I		827,329		309,775		(55,355	)		(34,906	)		3,239			1,050,082		95,549		35,120		-
MassMutual Premier High Yield Fund, Class I		870,755		316,280		(41,409	)		(45,802	)		440			1,100,264		124,747		65,983		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		359,426		122,381		(18,006	)		(7,453	)		518			456,866		43,803		9,438		-
MassMutual Premier International Equity Fund, Class I		4,471,451		669,863		(914,696	)		383,170			(29,271	)		4,580,517		353,435		44,481		125,798
MassMutual Premier Short-Duration Bond Fund, Class I		1,062,896		381,354		(57,570	)		(35,061	)		(85	)		1,351,534		134,481		45,294		-

282

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Growth Fund (Continued)
MassMutual Premier Strategic Emerging Markets Fund, Class I	$	3,357,492	$	807,511	$	(390,333	)	$	92,211		$	10,795		$	3,877,676		288,948	$	20,502	$	281,325
MassMutual Select Blue Chip Growth Fund, Class I		6,518,078		1,147,750		(378,998	)		115,954			113,773			7,516,557		319,582		28,493		382,263
MassMutual Select Diversified Value Fund, Class I		6,732,231		952,804		(488,958	)		171,411			(117,916	)		7,249,572		627,126		162,616		336,090
MassMutual Select Equity Opportunities Fund, Class I		4,858,103		840,892		(206,414	)		(132,333	)		(42,259	)		5,317,989		300,621		79,640		372,182
MassMutual Select Fundamental Growth Fund, Class I		3,611,384		887,441		(182,658	)		(301,299	)		(156	)		4,014,712		544,737		9,641		621,773
MassMutual Select Fundamental Value Fund, Class I		6,057,607		1,997,481		(488,277	)		(784,216	)		(122,907	)		6,659,688		755,924		140,946		1,209,856
MassMutual Select Growth Opportunities Fund, Class I		2,388,082		1,026,744		(118,388	)		(557,098	)		(21,972	)		2,717,368		347,046		14,642		762,071
MassMutual Select Mid Cap Growth Fund, Class I		3,711,403		525,652		(166,835	)		52,118			3,700			4,126,038		174,168		1,944		208,639
MassMutual Select Mid-Cap Value Fund, Class I		3,805,616		325,952		(251,117	)		229,161			(37,132	)		4,072,480		312,307		71,200		-
MassMutual Select Overseas Fund, Class I		9,043,973		1,767,170		(746,947	)		585,484			(72,557	)		10,577,123		1,199,220		220,651		175,469
MassMutual Select Small Cap Growth Equity Fund, Class I		1,781,497		376,368		(88,554	)		(27,694	)		(17,462	)		2,024,155		135,486		16,867		203,190
MassMutual Select Small Cap Value Equity Fund, Class I		3,669,959		615,633		(293,476	)		145,000			(152,175	)		3,984,941		358,036		8,638		343,772
MassMutual Select Strategic Bond Fund, Class I		634,781		295,068		(43,233	)		(28,717	)		2,458			860,357		80,332		24,200		11,559
MassMutual Select Total Return Bond Fund, Class I		681,319		377,376		(47,560	)		(29,104	)		2,464			984,495		98,253		29,232		-
MM Select Equity Asset Fund, Class I		30,198,888		5,125,071		(2,504,527	)		2,343,477			(1,171,184	)		33,991,725		4,145,332		445,095		1,448,880
	$	95,221,422	$	19,020,216	$	(7,483,311	)	$	2,137,632		$	(1,647,689	)	$	107,248,270			$	1,482,705	$	6,485,093
MM RetireSMART by JPMorgan In Retirement Fund
Barings Global Floating Rate Fund, Class Y*	$	5,095,239	$	276,230	$	(110,528	)	$	17,284		$	(4,187	)	$	5,274,038		567,101	$	65,117	$	16,327
MassMutual Premier Core Bond Fund, Class I		44,430,683		5,209,742		(5,007,653	)		(1,481,037	)		129,107			43,280,842		3,938,202		1,508,112		-
MassMutual Premier High Yield Fund, Class I		15,387,506		1,786,870		(2,375,805	)		(567,487	)		(41,061	)		14,190,023		1,608,846		885,383		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		15,447,465		1,361,814		(1,548,109	)		(278,681	)		43,149			15,025,638		1,440,617		323,790		-
MassMutual Premier International Equity Fund, Class I		2,965,695		564,445		(880,047	)		260,152			(39,010	)		2,871,235		221,546		29,215		82,626
MassMutual Premier Strategic Emerging Markets Fund, Class I		1,995,732		1,749,211		(391,979	)		(7,986	)		7,721			3,352,699		249,829		18,553		254,575
MassMutual Select Blue Chip Growth Fund, Class I		3,357,849		470,382		(497,212	)		120,195			6,746			3,457,960		147,022		13,615		182,652
MassMutual Select Diversified Value Fund, Class I		3,394,665		525,571		(514,562	)		83,314			(47,165	)		3,441,823		297,736		80,053		165,452
MassMutual Select Equity Opportunities Fund, Class I		2,491,630		374,373		(272,830	)		(101,308	)		19,576			2,511,441		141,970		38,993		182,232
MassMutual Select Fundamental Growth Fund, Class I		1,856,987		414,535		(247,602	)		(111,817	)		(28,029	)		1,884,074		255,641		4,691		302,524
MassMutual Select Fundamental Value Fund, Class I		3,078,200		970,353		(469,654	)		(341,745	)		(93,834	)		3,143,320		356,790		69,094		593,087
MassMutual Select Growth Opportunities Fund, Class I		1,221,007		476,904		(145,747	)		(228,345	)		(49,922	)		1,273,897		162,694		7,128		370,966
MassMutual Select Mid Cap Growth Fund, Class I		1,397,837		187,461		(180,376	)		27,389			(2,505	)		1,429,806		60,355		698		74,958

283

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan In Retirement Fund (Continued)
MassMutual Select Mid-Cap Value Fund, Class I	$	1,407,573	$	140,571	$	(199,082	)	$	84,179		$	(11,078	)	$	1,422,163		109,062	$	25,782	$	-
MassMutual Select Overseas Fund, Class I		6,947,886		2,096,903		(1,577,090	)		598,494			(161,125	)		7,905,068		896,266		172,300		137,018
MassMutual Select Small Cap Growth Equity Fund, Class I		336,720		588,350		(65,445	)		(62,502	)		12,204			809,327		54,172		7,008		84,421
MassMutual Select Small Cap Value Equity Fund, Class I		454,832		782,149		(108,855	)		(63,713	)		15,245			1,079,658		97,004		2,427		96,608
MassMutual Select Strategic Bond Fund, Class I		14,953,395		1,953,259		(1,722,083	)		(529,888	)		62,570			14,717,253		1,374,160		430,644		205,685
MassMutual Select Total Return Bond Fund, Class I		14,952,351		1,847,532		(1,708,692	)		(471,615	)		56,696			14,676,272		1,464,698		453,372		-
MM Select Equity Asset Fund, Class I		15,449,348		2,056,131		(2,342,539	)		1,703,866			(1,072,653	)		15,794,153		1,926,116		214,765		699,107
	$	156,622,600	$	23,832,786	$	(20,365,890	)	$	(1,351,251	)	$	(1,197,555	)	$	157,540,690			$	4,350,740	$	3,448,238
MM RetireSMART by JPMorgan 2020 Fund
Barings Global Floating Rate Fund, Class Y*	$	7,507,267	$	288,934	$	(119,732	)	$	23,267		$	(5,358	)	$	7,694,378		827,352	$	94,305	$	23,375
MassMutual Premier Core Bond Fund, Class I		82,823,586		8,963,763		(8,574,809	)		(2,901,439	)		384,332			80,695,433		7,342,624		2,804,363		-
MassMutual Premier High Yield Fund, Class I		27,474,575		2,342,108		(3,572,612	)		(1,014,721	)		(63,233	)		25,166,117		2,853,301		1,566,374		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		22,541,975		1,361,083		(1,604,345	)		(351,610	)		8,432			21,955,535		2,105,037		471,951		-
MassMutual Premier International Equity Fund, Class I		6,512,446		946,707		(1,242,814	)		549,052			(31,833	)		6,733,558		519,565		68,316		193,208
MassMutual Premier Strategic Emerging Markets Fund, Class I		5,059,555		3,342,008		(714,249	)		(43,932	)		82,141			7,725,523		575,672		42,625		584,874
MassMutual Select Blue Chip Growth Fund, Class I		7,650,161		1,007,724		(1,066,069	)		154,095			128,769			7,874,680		334,808		30,917		414,785
MassMutual Select Diversified Value Fund, Class I		7,739,162		947,855		(914,712	)		343,460			(269,396	)		7,846,369		678,752		182,067		376,292
MassMutual Select Equity Opportunities Fund, Class I		5,667,327		665,581		(422,282	)		(137,048	)		(52,423	)		5,721,155		323,412		88,621		414,157
MassMutual Select Fundamental Growth Fund, Class I		4,233,045		785,499		(407,619	)		(324,152	)		2,960			4,289,733		582,053		10,655		687,180
MassMutual Select Fundamental Value Fund, Class I		7,013,285		2,105,935		(979,660	)		(841,397	)		(150,312	)		7,147,851		811,334		156,680		1,344,912
MassMutual Select Growth Opportunities Fund, Class I		2,783,062		990,569		(236,615	)		(558,018	)		(75,683	)		2,903,315		370,794		16,173		841,727
MassMutual Select Mid Cap Growth Fund, Class I		3,205,322		309,262		(296,020	)		41,923			11,834			3,272,321		138,131		1,594		171,149
MassMutual Select Mid-Cap Value Fund, Class I		3,227,604		207,531		(344,414	)		205,523			(41,396	)		3,254,848		249,605		58,868		-
MassMutual Select Overseas Fund, Class I		16,961,780		3,939,761		(3,390,265	)		1,191,895			(176,768	)		18,526,403		2,100,499		402,282		319,906
MassMutual Select Small Cap Growth Equity Fund, Class I		945,332		1,167,295		(136,360	)		(90,279	)		(12,599	)		1,873,389		125,394		16,114		194,118
MassMutual Select Small Cap Value Equity Fund, Class I		1,272,273		1,538,446		(225,778	)		(124,518	)		31,769			2,492,192		223,917		5,578		221,987
MassMutual Select Strategic Bond Fund, Class I		27,874,900		3,378,205		(2,954,555	)		(1,034,678	)		167,198			27,431,070		2,561,258		800,002		382,100
MassMutual Select Total Return Bond Fund, Class I		27,872,918		3,182,677		(2,929,452	)		(841,884	)		70,565			27,354,824		2,730,022		842,224		-
MM Select Equity Asset Fund, Class I		35,188,262		4,391,826		(5,054,527	)		3,609,470			(2,201,157	)		35,933,874		4,382,180		487,262		1,586,149
	$	303,553,837	$	41,862,769	$	(35,186,889	)	$	(2,144,991	)	$	(2,192,158	)	$	305,892,568			$	8,146,971	$	7,755,919

284

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2025 Fund
Barings Global Floating Rate Fund, Class Y*	$	1,723,985	$	84,371	$	(15,422	)	$	4,200		$	450		$	1,797,584		193,289	$	21,800	$	5,458
MassMutual Premier Core Bond Fund, Class I		53,280,466		6,967,018		(5,488,317	)		(1,910,733	)		262,511			53,110,945		4,832,661		1,839,679		-
MassMutual Premier High Yield Fund, Class I		16,282,776		1,824,574		(2,464,395	)		(596,211	)		(44,220	)		15,002,524		1,700,966		931,440		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		5,172,360		470,850		(420,992	)		(84,937	)		4,767			5,142,048		493,006		110,259		-
MassMutual Premier International Equity Fund, Class I		6,790,410		987,565		(1,271,891	)		575,321			(38,422	)		7,042,983		543,440		71,253		201,515
MassMutual Premier Strategic Emerging Markets Fund, Class I		5,696,363		2,911,303		(807,904	)		(6,669	)		99,381			7,892,474		588,113		43,419		595,775
MassMutual Select Blue Chip Growth Fund, Class I		7,556,711		1,081,697		(978,731	)		67,685			212,812			7,940,174		337,592		31,116		417,468
MassMutual Select Diversified Value Fund, Class I		7,612,441		1,071,774		(867,663	)		239,330			(170,563	)		7,885,319		682,121		182,932		378,079
MassMutual Select Equity Opportunities Fund, Class I		5,587,349		814,850		(460,216	)		(98,051	)		(92,309	)		5,751,623		325,134		89,071		416,259
MassMutual Select Fundamental Growth Fund, Class I		4,163,663		897,713		(418,514	)		(332,642	)		7,153			4,317,373		585,804		10,721		691,440
MassMutual Select Fundamental Value Fund, Class I		6,927,796		2,213,248		(921,230	)		(807,298	)		(198,576	)		7,213,940		818,835		157,844		1,354,903
MassMutual Select Growth Opportunities Fund, Class I		2,737,431		1,074,656		(261,920	)		(553,092	)		(84,112	)		2,912,963		372,026		16,255		846,043
MassMutual Select Mid Cap Growth Fund, Class I		3,190,387		402,872		(307,505	)		29,557			24,670			3,339,981		140,987		1,627		174,641
MassMutual Select Mid-Cap Value Fund, Class I		3,212,984		286,517		(343,555	)		212,405			(46,277	)		3,322,074		254,760		60,068		-
MassMutual Select Overseas Fund, Class I		17,644,043		3,839,861		(3,074,668	)		1,315,522			(267,055	)		19,457,703		2,206,089		421,827		335,450
MassMutual Select Small Cap Growth Equity Fund, Class I		1,171,238		970,738		(163,149	)		(46,896	)		(38,943	)		1,892,988		126,706		16,349		196,946
MassMutual Select Small Cap Value Equity Fund, Class I		1,569,946		1,292,361		(269,494	)		(77,389	)		8,510			2,523,934		226,769		5,659		225,214
MassMutual Select Strategic Bond Fund, Class I		17,951,685		2,596,012		(1,893,833	)		(711,075	)		139,523			18,082,312		1,688,358		526,666		251,548
MassMutual Select Total Return Bond Fund, Class I		17,950,485		2,465,548		(1,877,951	)		(620,597	)		114,117			18,031,602		1,799,561		554,465		-
MM Select Equity Asset Fund, Class I		34,732,147		4,729,365		(4,576,372	)		3,389,598			(2,006,468	)		36,268,270		4,422,960		490,888		1,597,945
	$	220,954,666	$	36,982,893	$	(26,883,722	)	$	(11,972	)	$	(2,113,051	)	$	228,928,814			$	5,583,338	$	7,688,684
MM RetireSMART by JPMorgan 2030 Fund
MassMutual Premier Core Bond Fund, Class I	$	74,729,760	$	8,759,113	$	(8,409,436	)	$	(2,686,699	)	$	412,697		$	72,805,435		6,624,698	$	2,538,997	$	-
MassMutual Premier High Yield Fund, Class I		22,641,929		2,009,131		(4,162,734	)		(784,562	)		(65,820	)		19,637,944		2,226,524		1,233,391		-
MassMutual Premier International Equity Fund, Class I		15,587,156		1,573,767		(2,920,948	)		1,301,541			(110,386	)		15,431,130		1,190,674		157,913		446,604
MassMutual Premier Strategic Emerging Markets Fund, Class I		13,447,282		5,169,956		(1,837,054	)		160			267,787			17,048,131		1,270,353		95,083		1,304,700
MassMutual Select Blue Chip Growth Fund, Class I		16,729,165		2,000,127		(2,183,625	)		(78,237	)		685,157			17,152,587		729,277		67,568		906,515
MassMutual Select Diversified Value Fund, Class I		16,867,843		1,837,201		(1,911,583	)		514,796			(366,440	)		16,941,817		1,465,555		396,833		820,163
MassMutual Select Equity Opportunities Fund, Class I		12,379,896		1,441,737		(1,052,871	)		(205,070	)		(211,753	)		12,351,939		698,244		193,135		902,588

285

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2030 Fund (Continued)
MassMutual Select Fundamental Growth Fund, Class I	$	9,225,932	$	1,664,371	$	(898,561	)	$	(746,586	)	$	41,174		$	9,286,330		1,260,018	$	23,235	$	1,498,495
MassMutual Select Fundamental Value Fund, Class I		15,337,124		4,455,940		(2,026,915	)		(1,628,621	)		(554,368	)		15,583,160		1,768,804		342,720		2,941,847
MassMutual Select Growth Opportunities Fund, Class I		6,065,808		2,169,129		(571,247	)		(1,243,703	)		(140,810	)		6,279,177		801,938		35,305		1,837,499
MassMutual Select Mid Cap Growth Fund, Class I		7,111,044		658,583		(665,761	)		(2,823	)		119,779			7,220,822		304,805		3,545		380,428
MassMutual Select Mid-Cap Value Fund, Class I		7,161,450		366,895		(707,652	)		427,636			(67,468	)		7,180,861		550,680		130,830		-
MassMutual Select Overseas Fund, Class I		42,797,396		8,805,369		(7,790,135	)		2,792,741			(273,793	)		46,331,578		5,253,013		1,010,982		803,964
MassMutual Select Small Cap Growth Equity Fund, Class I		2,855,374		1,776,745		(384,612	)		(132,611	)		(33,029	)		4,081,867		273,217		35,520		427,895
MassMutual Select Small Cap Value Equity Fund, Class I		3,841,699		2,380,038		(633,527	)		213,330			(334,351	)		5,467,189		491,212		12,351		491,551
MassMutual Select Strategic Bond Fund, Class I		25,174,427		3,382,785		(2,899,629	)		(1,007,832	)		217,414			24,867,165		2,321,864		728,447		347,923
MassMutual Select Total Return Bond Fund, Class I		25,172,799		3,202,875		(2,877,537	)		(878,607	)		178,263			24,797,793		2,474,830		766,896		-
MM Select Equity Asset Fund, Class I		76,888,363		8,678,630		(10,196,534	)		7,364,725			(4,352,726	)		78,382,458		9,558,836		1,066,399		3,471,357
	$	394,014,447	$	60,332,392	$	(52,130,361	)	$	3,219,578		$	(4,588,673	)	$	400,847,383			$	8,839,150	$	16,581,529
MM RetireSMART by JPMorgan 2035 Fund
MassMutual Premier Core Bond Fund, Class I	$	21,634,798	$	2,801,950	$	(2,629,601	)	$	(792,107	)	$	127,660		$	21,142,700		1,923,813	$	741,955	$	-
MassMutual Premier High Yield Fund, Class I		9,264,340		733,434		(2,671,226	)		(273,860	)		(29,492	)		7,023,196		796,281		443,508		-
MassMutual Premier International Equity Fund, Class I		7,493,965		1,017,387		(1,545,100	)		632,383			(51,097	)		7,547,538		582,372		77,772		219,951
MassMutual Premier Strategic Emerging Markets Fund, Class I		6,122,550		3,412,701		(926,849	)		3,135			70,222			8,681,759		646,927		48,638		667,393
MassMutual Select Blue Chip Growth Fund, Class I		8,547,889		1,183,331		(1,130,974	)		(28,686	)		340,138			8,911,698		378,899		35,243		472,837
MassMutual Select Diversified Value Fund, Class I		8,614,786		1,101,345		(968,293	)		256,289			(186,632	)		8,817,495		762,759		207,649		429,163
MassMutual Select Equity Opportunities Fund, Class I		6,317,271		874,618		(543,125	)		(152,911	)		(66,064	)		6,429,789		363,470		101,076		472,362
MassMutual Select Fundamental Growth Fund, Class I		4,712,734		981,926		(477,502	)		(374,007	)		(611	)		4,842,540		657,061		12,180		785,522
MassMutual Select Fundamental Value Fund, Class I		7,834,972		2,440,722		(1,030,146	)		(827,750	)		(318,442	)		8,099,356		919,337		178,845		1,535,173
MassMutual Select Growth Opportunities Fund, Class I		3,087,930		1,217,249		(309,483	)		(625,770	)		(99,413	)		3,270,513		417,690		18,446		960,033
MassMutual Select Mid Cap Growth Fund, Class I		3,559,790		386,802		(318,287	)		17,904			39,510			3,685,719		155,581		1,819		195,194
MassMutual Select Mid-Cap Value Fund, Class I		3,585,527		275,124		(377,405	)		228,913			(46,461	)		3,665,698		281,112		67,138		-
MassMutual Select Overseas Fund, Class I		21,696,551		5,502,638		(4,778,371	)		1,694,752			(416,111	)		23,699,459		2,687,014		519,859		413,408
MassMutual Select Small Cap Growth Equity Fund, Class I		1,346,434		1,014,999		(182,720	)		(48,215	)		(44,950	)		2,085,548		139,595		18,208		219,340
MassMutual Select Small Cap Value Equity Fund, Class I		1,801,465		1,365,212		(299,649	)		74,423			(149,289	)		2,792,162		250,868		6,328		251,858
MassMutual Select Strategic Bond Fund, Class I		7,272,546		1,014,455		(936,489	)		(297,079	)		70,702			7,124,135		665,185		209,534		100,079
MassMutual Select Total Return Bond Fund, Class I		7,272,081		927,862		(894,067	)		(250,964	)		49,698			7,104,610		709,043		220,612		-
MM Select Equity Asset Fund, Class I		39,322,579		5,165,824		(5,303,553	)		3,872,737			(2,335,554	)		40,722,033		4,966,102		556,200		1,810,550
	$	169,488,208	$	31,417,579	$	(25,322,840	)	$	3,109,187		$	(3,046,186	)	$	175,645,948			$	3,465,010	$	8,532,863

286

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2040 Fund
MassMutual Premier Core Bond Fund, Class I	$	18,971,537	$	2,453,349	$	(2,216,133	)	$	(692,013	)	$	114,840		$	18,631,580		1,695,321	$	643,364	$	-
MassMutual Premier High Yield Fund, Class I		11,690,926		761,487		(3,770,544	)		(321,770	)		(31,569	)		8,328,530		944,278		517,939		-
MassMutual Premier International Equity Fund, Class I		12,724,881		1,589,191		(2,292,122	)		1,063,417			(67,174	)		13,018,193		1,004,490		131,564		372,086
MassMutual Premier Strategic Emerging Markets Fund, Class I		10,776,094		5,170,729		(1,303,447	)		1,854			165,645			14,810,875		1,103,642		81,551		1,118,998
MassMutual Select Blue Chip Growth Fund, Class I		14,400,104		1,766,414		(1,625,604	)		15,012			505,168			15,061,094		640,353		58,864		789,729
MassMutual Select Diversified Value Fund, Class I		14,510,134		1,578,350		(1,312,230	)		365,905			(243,908	)		14,898,251		1,288,776		345,721		714,525
MassMutual Select Equity Opportunities Fund, Class I		10,647,249		1,370,167		(781,423	)		(210,855	)		(154,159	)		10,870,979		614,527		168,403		787,005
MassMutual Select Fundamental Growth Fund, Class I		7,939,093		1,540,002		(677,679	)		(645,857	)		25,479			8,181,038		1,110,046		20,282		1,308,026
MassMutual Select Fundamental Value Fund, Class I		13,195,425		3,862,707		(1,460,572	)		(1,528,850	)		(382,898	)		13,685,812		1,553,441		298,637		2,563,450
MassMutual Select Growth Opportunities Fund, Class I		5,207,984		1,972,527		(455,382	)		(1,111,084	)		(96,724	)		5,517,321		704,639		30,738		1,599,771
MassMutual Select Mid Cap Growth Fund , Class I		6,046,547		609,254		(464,087	)		8,310			89,732			6,289,756		265,503		3,059		328,315
MassMutual Select Mid-Cap Value Fund, Class I		6,089,849		350,704		(503,839	)		329,813			(22,173	)		6,244,354		478,861		112,718		-
MassMutual Select Overseas Fund, Class I		39,219,449		8,253,880		(7,200,101	)		2,684,906			(394,084	)		42,564,050		4,825,856		920,443		731,964
MassMutual Select Small Cap Growth Equity Fund, Class I		2,405,199		1,567,623		(262,382	)		(85,639	)		(63,023	)		3,561,778		238,406		30,764		370,606
MassMutual Select Small Cap Value Equity Fund, Class I		3,224,238		2,074,785		(448,876	)		159,925			(270,243	)		4,739,829		425,861		10,629		422,990
MassMutual Select Strategic Bond Fund, Class I		6,389,776		871,585		(784,123	)		(260,279	)		62,973			6,279,932		586,362		182,296		87,069
MassMutual Select Total Return Bond Fund, Class I		6,389,396		801,952		(753,613	)		(222,818	)		47,231			6,262,148		624,965		191,907		-
MM Select Equity Asset Fund, Class I		66,276,267		7,413,207		(7,466,325	)		4,037,178			(1,459,234	)		68,801,093		8,390,377		928,737		3,023,240
	$	256,104,148	$	44,007,913	$	(33,778,482	)	$	3,587,155		$	(2,174,121	)	$	267,746,613			$	4,677,616	$	14,217,774
MM RetireSMART by JPMorgan 2045 Fund
MassMutual Premier Core Bond Fund, Class I	$	4,625,331	$	637,649	$	(685,722	)	$	(176,201	)	$	37,504		$	4,438,561		403,873	$	154,700	$	-
MassMutual Premier High Yield Fund, Class I		4,229,008		272,004		(1,634,926	)		(123,978	)		6,594			2,748,702		311,644		172,409		-
MassMutual Premier International Equity Fund, Class I		6,224,073		672,223		(1,576,982	)		531,945			(91,353	)		5,759,906		444,437		59,073		167,067
MassMutual Premier Strategic Emerging Markets Fund, Class I		4,962,758		2,231,855		(740,060	)		13,501			65,999			6,534,053		486,889		36,424		499,792
MassMutual Select Blue Chip Growth Fund, Class I		6,487,760		833,616		(906,509	)		(48,783	)		280,466			6,646,550		282,591		26,271		352,460
MassMutual Select Diversified Value Fund, Class I		6,528,010		777,965		(782,527	)		200,145			(148,635	)		6,574,958		568,768		154,548		319,417
MassMutual Select Equity Opportunities Fund, Class I		4,790,316		641,585		(469,877	)		(137,468	)		(26,220	)		4,798,336		271,246		75,289		351,850
MassMutual Select Fundamental Growth Fund, Class I		3,571,715		713,609		(409,700	)		(278,544	)		(77	)		3,597,003		488,060		9,068		584,807
MassMutual Select Fundamental Value Fund, Class I		5,945,063		1,778,664		(830,109	)		(618,476	)		(236,182	)		6,038,960		685,467		133,275		1,144,011
MassMutual Select Growth Opportunities Fund, Class I		2,356,817		901,712		(292,836	)		(460,530	)		(78,557	)		2,426,606		309,911		13,717		713,933

287

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2045 Fund (Continued)
MassMutual Select Mid Cap Growth Fund, Class I	$	2,730,936	$	295,055	$	(303,166	)	$	4,897		$	38,014		$	2,765,736		116,747	$	1,365	$	146,514
MassMutual Select Mid-Cap Value Fund, Class I		2,745,106		166,544		(303,237	)		163,641			(27,041	)		2,745,013		210,507		50,390		-
MassMutual Select Overseas Fund, Class I		17,747,939		4,300,422		(3,802,403	)		1,427,306			(379,347	)		19,293,917		2,187,519		423,002		336,385
MassMutual Select Small Cap Growth Equity Fund, Class I		1,117,749		666,062		(150,522	)		(27,662	)		(36,352	)		1,569,275		105,038		13,732		165,420
MassMutual Select Small Cap Value Equity Fund, Class I		1,498,775		892,410		(246,985	)		103,893			(151,385	)		2,096,708		188,383		4,763		189,557
MassMutual Select Strategic Bond Fund, Class I		1,550,646		228,308		(240,181	)		(68,530	)		21,094			1,491,337		139,247		43,790		20,915
MassMutual Select Total Return Bond Fund, Class I		1,550,551		210,457		(231,744	)		(57,763	)		15,627			1,487,128		148,416		46,100		-
MM Select Equity Asset Fund, Class I		29,843,937		3,571,314		(4,180,004	)		2,992,673			(1,848,965	)		30,378,955		3,704,751		414,704		1,349,951
	$	108,506,490	$	19,791,454	$	(17,787,490	)	$	3,440,066		$	(2,558,816	)	$	111,391,704			$	1,832,620	$	6,342,079
MM RetireSMART by JPMorgan 2050 Fund
MassMutual Premier Core Bond Fund, Class I	$	6,513,785	$	915,834	$	(831,067	)	$	(243,158	)	$	46,334		$	6,401,728		582,505	$	220,060	$	-
MassMutual Premier High Yield Fund, Class I		5,948,447		445,934		(2,267,274	)		(173,363	)		6,476			3,960,220		449,005		244,846		-
MassMutual Premier International Equity Fund, Class I		8,783,652		1,115,339		(2,191,558	)		777,153			(150,968	)		8,333,618		643,026		83,828		237,078
MassMutual Premier Strategic Emerging Markets Fund, Class I		6,979,839		3,288,388		(952,736	)		32,683			81,585			9,429,759		702,665		51,688		709,241
MassMutual Select Blue Chip Growth Fund, Class I		9,136,891		1,199,262		(1,084,225	)		(9,958	)		336,981			9,578,951		407,268		37,289		500,276
MassMutual Select Diversified Value Fund, Class I		9,201,967		1,176,501		(980,651	)		326,783			(252,229	)		9,472,371		819,409		218,608		451,812
MassMutual Select Equity Opportunities Fund, Class I		6,752,285		1,020,889		(629,614	)		(145,095	)		(86,187	)		6,912,278		390,745		106,491		497,670
MassMutual Select Fundamental Growth Fund, Class I		5,034,714		1,061,235		(511,376	)		(386,928	)		(6,032	)		5,191,613		704,425		12,826		827,156
MassMutual Select Fundamental Value Fund, Class I		8,372,598		2,534,489		(989,048	)		(951,223	)		(262,445	)		8,704,371		988,010		189,176		1,623,853
MassMutual Select Growth Opportunities Fund, Class I		3,308,644		1,297,281		(341,229	)		(673,447	)		(90,465	)		3,500,784		447,099		19,436		1,011,603
MassMutual Select Mid Cap Growth Fund, Class I		3,834,473		455,766		(360,405	)		2,382			58,851			3,991,067		168,471		1,934		207,605
MassMutual Select Mid-Cap Value Fund, Class I		3,862,032		282,938		(368,778	)		217,415			(23,669	)		3,969,938		304,443		71,407		-
MassMutual Select Overseas Fund, Class I		25,042,489		6,230,317		(4,883,563	)		1,859,156			(366,952	)		27,881,447		3,161,162		599,719		476,915
MassMutual Select Small Cap Growth Equity Fund, Class I		1,569,244		978,044		(187,626	)		(45,522	)		(45,365	)		2,268,775		151,859		19,490		234,790
MassMutual Select Small Cap Value Equity Fund, Class I		2,104,121		1,308,584		(314,544	)		122,607			(189,429	)		3,031,339		272,357		6,760		269,055
MassMutual Select Strategic Bond Fund, Class I		2,183,736		330,131		(295,928	)		(93,189	)		26,108			2,150,858		200,827		62,149		29,684
MassMutual Select Total Return Bond Fund, Class I		2,183,612		304,539		(283,611	)		(78,437	)		18,791			2,144,894		214,061		65,429		-
MM Select Equity Asset Fund, Class I		42,029,201		5,214,977		(5,082,505	)		3,817,274			(2,198,026	)		43,780,921		5,339,137		588,640		1,916,151
	$	152,841,730	$	29,160,448	$	(22,555,738	)	$	4,355,133		$	(3,096,641	)	$	160,704,932			$	2,599,776	$	8,992,889

288

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2055 Fund
MassMutual Premier  Core Bond Fund, Class I	$	1,996,073	$	292,028	$	(291,070	)	$	(76,500	)	$	15,448		$	1,935,979		176,158	$	68,154	$	-
MassMutual Premier High Yield Fund, Class I		1,812,968		140,512		(699,428	)		(67,522	)		15,774			1,202,304		136,316		75,897		-
MassMutual Premier International Equity Fund, Class I		2,675,609		332,346		(679,294	)		226,083			(35,497	)		2,519,247		194,386		25,984		73,489
MassMutual Premier Strategic Emerging Markets Fund, Class I		2,135,027		1,019,263		(328,963	)		38,158			(6,248	)		2,857,237		212,909		16,022		219,842
MassMutual Select Blue Chip Growth Fund, Class I		2,800,700		383,627		(386,059	)		8,936			90,483			2,897,687		123,201		11,552		154,980
MassMutual Select Diversified Value Fund, Class I		2,800,573		375,162		(319,890	)		50,340			(30,269	)		2,875,916		248,782		67,897		140,326
MassMutual Select Equity Opportunities Fund, Class I		2,054,939		307,450		(191,393	)		(82,626	)		10,463			2,098,833		118,645		33,076		154,574
MassMutual Select Fundamental Growth Fund, Class I		1,535,084		341,962		(174,288	)		(104,651	)		(18,762	)		1,579,345		214,294		3,984		256,912
MassMutual Select Fundamental Value Fund, Class I		2,566,296		793,792		(348,682	)		(276,530	)		(101,899	)		2,632,977		298,862		58,606		503,064
MassMutual Select Growth Opportunities Fund, Class I		1,008,926		403,739		(111,977	)		(209,405	)		(27,910	)		1,063,373		135,807		6,026		313,635
MassMutual Select Mid Cap Growth Fund, Class I		1,171,347		142,426		(120,142	)		10,446			7,870			1,211,947		51,159		600		64,364
MassMutual Select Mid-Cap Value Fund, Class I		1,177,539		101,734		(133,067	)		77,770			(18,618	)		1,205,358		92,435		22,139		-
MassMutual Select Overseas Fund, Class I		7,686,856		1,889,219		(1,631,782	)		582,649			(133,082	)		8,393,860		951,685		185,801		147,754
MassMutual Select Small Cap Growth Equity Fund, Class I		478,546		303,660		(66,020	)		(12,007	)		(16,541	)		687,638		46,027		6,032		72,670
MassMutual Select Small Cap Value Equity Fund, Class I		641,666		406,189		(107,575	)		32,810			(54,311	)		918,779		82,550		2,093		83,273
MassMutual Select Strategic Bond Fund, Class I		669,181		105,097		(102,942	)		(29,295	)		8,445			650,486		60,736		19,252		9,196
MassMutual Select Total Return Bond Fund, Class I		669,142		97,123		(99,132	)		(25,249	)		6,752			648,636		64,734		20,269		-
MM Select Equity Asset Fund, Class I		12,882,115		1,702,907		(1,828,377	)		1,323,160			(834,557	)		13,245,248		1,615,274		182,357		593,612
	$	46,762,587	$	9,138,236	$	(7,620,081	)	$	1,466,567		$	(1,122,459	)	$	48,624,850			$	805,741	$	2,787,691
MM RetireSMART by JPMorgan 2060 Fund
MassMutual Premier Core Bond Fund, Class I	$	500,859	$	76,634	$	(97,292	)	$	(20,155	)	$	4,297		$	464,343		42,251	$	17,602	$	-
MassMutual Premier High Yield Fund, Class I		454,758		39,726		(192,702	)		(15,918	)		2,503			288,367		32,695		19,618		-
MassMutual Premier International Equity Fund, Class I		669,625		94,320		(215,582	)		57,725			(9,346	)		596,742		46,045		6,720		19,004
MassMutual Premier Strategic Emerging Markets Fund, Class I		534,249		267,940		(134,042	)		3,407			4,708			676,262		50,392		4,143		56,851
MassMutual Select Blue Chip Growth Fund, Class I		702,263		104,101		(135,987	)		(15,187	)		40,594			695,784		29,583		2,983		40,019
MassMutual Select Diversified Value Fund, Class I		702,142		102,053		(119,261	)		27,781			(22,847	)		689,868		59,677		17,515		36,199
MassMutual Select Equity Opportunities Fund, Class I		515,212		88,281		(80,173	)		(22,291	)		3,397			504,426		28,515		8,533		39,875
MassMutual Select Fundamental Growth Fund, Class I		384,161		91,747		(64,863	)		(26,488	)		(5,675	)		378,882		51,409		1,028		66,277
MassMutual Select Fundamental Value Fund, Class I		643,491		207,751		(121,196	)		(55,049	)		(42,838	)		632,159		71,755		15,133		129,900
MassMutual Select Growth Opportunities Fund, Class I		253,028		107,633		(43,290	)		(44,821	)		(16,602	)		255,948		32,688		1,557		81,060
MassMutual Select Mid Cap Growth Fund, Class I		293,763		39,941		(46,862	)		1,524			3,104			291,470		12,304		155		16,635

289

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2060 Fund (Continued)
MassMutual Select Mid-Cap Value Fund, Class I	$	295,267	$	26,905	$	(47,614	)	$	18,724		$	(3,550	)	$	289,732		22,219	$	5,721	$	-
MassMutual Select Overseas Fund, Class I		1,922,855		493,243		(545,583	)		161,438			(46,957	)		1,984,996		225,056		47,984		38,158
MassMutual Select Small Cap Growth Equity Fund, Class I		119,955		78,968		(26,507	)		(428	)		(6,939	)		165,049		11,047		1,559		18,781
MassMutual Select Small Cap Value Equity Fund, Class I		160,907		105,563		(40,415	)		7,071			(12,720	)		220,406		19,803		540		21,522
MassMutual Select Strategic Bond Fund, Class I		167,912		27,548		(33,992	)		(7,882	)		2,401			155,987		14,565		4,972		2,375
MassMutual Select Total Return Bond Fund, Class I		167,903		25,487		(33,012	)		(6,716	)		1,887			155,549		15,524		5,234		-
MM Select Equity Asset Fund, Class I		3,230,207		459,504		(632,868	)		410,269			(286,532	)		3,180,580		387,876		47,088		153,281
	$	11,718,557	$	2,437,345	$	(2,611,241	)	$	473,004		$	(391,115	)	$	11,626,550			$	208,085	$	719,937
MM Select T. Rowe Price Retirement Balanced Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	28,449,890	$	2,089,914	$	(752,750	)	$	(940,998	)	$	42,755		$	28,888,811		2,815,674	$	849,503	$	145,284
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		5,648,370		475,426		(121,263	)		(111,775	)		(1,141	)		5,889,617		607,177		290,324		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		18,842,273		1,135,078		(409,462	)		1,575,251			(17,020	)		21,126,120		2,071,188		460,337		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		46,760,437		2,585,598		(1,008,583	)		(353,627	)		28,534			48,012,359		4,707,094		892,967		3,068
MassMutual Select T. Rowe Price Real Assets Fund, Class I		1,363,581		84,114		(30,432	)		49,869			867			1,467,999		135,175		37,671		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		10,659,574		659,347		(230,119	)		525,155			24,593			11,638,550		968,265		62,182		196,840
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		4,188,619		365,687		(1,195,379	)		(535,324	)		132,365			2,955,968		271,938		88,964		161,195
MM S&P 500 Index Fund, Class I		31,674,353		3,706,611		(680,789	)		723,002			(20,630	)		35,402,547		1,934,565		717,714		1,497,131
	$	147,587,097	$	11,101,775	$	(4,428,777	)	$	931,553		$	190,323		$	155,381,971			$	3,399,662	$	2,003,518
MM Select T. Rowe Price Retirement 2005 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	7,096,935	$	1,147,497	$	(387,697	)	$	(259,328	)	$	21,987		$	7,619,394		742,631	$	224,152	$	38,335
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		1,440,706		248,175		(79,259	)		(34,185	)		3,252			1,578,689		162,751		77,854		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		2,822,830		406,145		(168,901	)		230,579			3,199			3,293,852		322,927		71,780		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		4,893,463		701,544		(270,322	)		(42,435	)		4,974			5,287,224		518,355		98,363		338
MassMutual Select T. Rowe Price Real Assets Fund, Class I		203,557		30,733		(11,471	)		7,518			61			230,398		21,215		5,915		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		1,587,702		227,660		(86,457	)		75,993			5,202			1,810,100		150,591		9,674		30,624
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		1,026,140		155,319		(346,311	)		(143,541	)		46,377			737,984		67,892		21,468		38,900
MM S&P 500 Index Fund, Class I		4,787,496		976,541		(310,591	)		113,948			(16,811	)		5,550,583		303,311		112,564		234,804
	$	23,858,829	$	3,893,614	$	(1,661,009	)	$	(51,451	)	$	68,241		$	26,108,224			$	621,770	$	343,001

290

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2010 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	33,313,032	$	3,391,144	$	(1,752,932	)	$	(1,149,560	)	$	96,216		$	33,897,900		3,303,889	$	995,292	$	170,217
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		6,495,170		668,740		(289,117	)		(126,638	)		(3,320	)		6,744,835		695,344		331,990		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		16,401,741		1,242,792		(900,358	)		1,375,671			(40,990	)		18,078,856		1,772,437		393,423		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		22,048,001		1,695,949		(980,982	)		(178,999	)		27,010			22,610,979		2,216,763		419,920		1,443
MassMutual Select T. Rowe Price Real Assets Fund, Class I		1,157,287		95,120		(53,864	)		40,899			1,373			1,240,815		114,256		31,795		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		9,169,332		696,881		(406,286	)		424,215			43,469			9,927,611		825,924		52,967		167,671
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		5,168,873		505,501		(1,568,345	)		(710,246	)		233,179			3,628,962		333,851		104,399		189,162
MM S&P 500 Index Fund, Class I		27,475,151		4,232,343		(1,526,579	)		654,376			(40,342	)		30,794,949		1,682,784		623,462		1,300,524
	$	121,228,587	$	12,528,470	$	(7,478,463	)	$	329,718		$	316,595		$	126,924,907			$	2,953,248	$	1,829,017
MM Select T. Rowe Price Retirement 2015 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	29,795,196	$	4,357,818	$	(1,844,648	)	$	(1,085,284	)	$	95,593		$	31,318,675		3,052,502	$	933,137	$	159,587
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		5,727,926		778,431		(355,071	)		(114,236	)		(4,833	)		6,032,217		621,878		301,274		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		18,592,421		1,983,290		(1,285,099	)		1,575,476			(45,252	)		20,820,836		2,041,258		459,340		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		7,741,053		970,244		(721,677	)		421,855			75,777			8,487,252		703,169		85,310		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		17,834,355		1,874,395		(1,098,517	)		(158,554	)		29,262			18,480,941		1,811,857		348,328		1,197
MassMutual Select T. Rowe Price Real Assets Fund, Class I		1,345,176		150,407		(83,587	)		47,365			2,337			1,461,698		134,595		38,001		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		10,579,294		1,118,509		(712,991	)		463,787			79,714			11,528,313		959,094		62,362		197,411
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		4,983,203		647,251		(1,404,207	)		(665,316	)		176,603			3,737,534		343,839		108,114		195,893
MM S&P 500 Index Fund, Class I		23,402,795		3,995,112		(1,962,430	)		551,297			(34,925	)		25,951,849		1,418,134		532,603		1,110,996
	$	120,001,419	$	15,875,457	$	(9,468,227	)	$	1,036,390		$	374,276		$	127,819,315			$	2,868,469	$	1,665,084
MM Select T. Rowe Price Retirement 2020 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	139,931,770	$	13,840,899	$	(6,433,313	)	$	(4,813,158	)	$	337,056		$	142,863,254		13,924,294	$	4,235,870	$	724,426
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		25,794,622		2,738,361		(1,092,176	)		(513,580	)		(12,655	)		26,914,572		2,774,698		1,337,528		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		118,250,711		7,550,434		(5,784,335	)		9,930,976			(249,946	)		129,697,840		12,715,475		2,849,224		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		73,804,614		4,443,517		(4,610,352	)		4,149,596			453,744			78,241,119		6,482,280		782,712		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		59,576,902		4,056,963		(2,570,366	)		(480,320	)		69,181			60,652,360		5,946,310		1,138,717		3,912

291

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2020 Fund (Continued)
MassMutual Select T. Rowe Price Real Assets Fund, Class I	$	8,706,898	$	585,094	$	(360,481	)	$	311,314		$	11,104		$	9,253,929		852,111	$	239,390	$	-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		66,520,502		4,242,346		(2,738,269	)		3,111,931			293,148			71,429,658		5,942,567		384,621		1,217,542
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		25,709,846		1,865,514		(5,670,179	)		(3,363,993	)		798,872			19,340,060		1,779,214		566,169		1,025,850
MM S&P 500 Index Fund, Class I		124,612,830		14,819,089		(6,504,956	)		2,958,158			(182,453	)		135,702,668		7,415,446		2,772,396		5,783,139
	$	642,908,695	$	54,142,217	$	(35,764,427	)	$	11,290,924		$	1,518,051		$	674,095,460			$	14,306,627	$	8,754,869
MM Select T. Rowe Price Retirement 2025 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	86,879,872	$	13,109,234	$	(2,467,769	)	$	(3,072,681	)	$	134,498		$	94,583,154		9,218,631	$	2,775,405	$	474,655
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		15,145,802		2,134,863		(403,871	)		(316,689	)		(3,747	)		16,556,358		1,706,841		814,594		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		99,479,612		11,138,477		(3,298,900	)		8,480,676			(153,415	)		115,646,450		11,337,887		2,515,761		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		89,622,555		10,030,771		(3,627,444	)		5,485,331			357,342			101,868,555		8,439,814		1,009,442		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		23,537,319		2,543,108		(637,619	)		(191,920	)		17,667			25,268,555		2,477,309		469,101		1,611
MassMutual Select T. Rowe Price Real Assets Fund, Class I		7,195,702		844,943		(194,903	)		268,460			5,479			8,119,681		747,669		207,976		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		55,180,539		6,742,285		(1,479,240	)		2,745,111			154,485			63,343,180		5,269,815		337,828		1,069,416
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		17,956,262		1,584,561		(2,440,785	)		(2,253,869	)		312,201			15,158,370		1,394,514		434,392		787,081
MM S&P 500 Index Fund, Class I		76,359,110		13,347,232		(2,452,901	)		1,706,426			(67,485	)		88,892,382		4,857,507		1,799,015		3,752,695
	$	471,356,773	$	61,475,474	$	(17,003,432	)	$	12,850,845		$	757,025		$	529,436,685			$	10,363,514	$	6,085,458
MM Select T. Rowe Price Retirement 2030 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	160,963,195	$	16,823,659	$	(4,452,917	)	$	(5,456,634	)	$	209,983		$	168,087,286		16,382,776	$	4,968,232	$	849,676
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		26,571,680		2,456,061		(1,034,578	)		(516,866	)		(7,401	)		27,468,896		2,831,845		1,361,524		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		252,574,052		16,718,820		(7,261,988	)		21,101,836			(244,922	)		282,887,798		27,734,098		6,200,240		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		279,469,832		17,926,739		(9,332,908	)		16,817,460			1,010,730			305,891,853		25,343,153		3,053,190		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		24,394,386		2,352,193		(704,492	)		(195,988	)		17,644			25,863,743		2,535,661		484,496		1,664
MassMutual Select T. Rowe Price Real Assets Fund, Class I		18,391,609		1,292,508		(494,550	)		669,896			17,126			19,876,589		1,830,257		512,993		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		140,450,748		9,697,722		(3,727,820	)		6,824,607			420,789			153,666,046		12,784,197		825,579		2,613,420

292

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2030 Fund (Continued)
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I	$	37,500,361	$	2,804,543	$	(5,501,266	)	$	(4,695,346	)	$	704,752		$	30,813,044		2,834,687	$	890,936	$	1,614,300
MM S&P 500 Index Fund, Class I		142,282,031		17,902,425		(3,702,624	)		3,210,287			(131,391	)		159,560,728		8,719,165		3,251,944		6,783,464
	$	1,082,597,894	$	87,974,670	$	(36,213,143	)	$	37,759,252		$	1,997,310		$	1,174,115,983			$	21,549,134	$	11,862,524
MM Select T. Rowe Price Retirement 2035 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	51,801,020	$	8,243,754	$	(1,305,968	)	$	(1,839,423	)	$	77,505		$	56,976,888		5,553,303	$	1,665,722	$	284,875
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		7,603,430		1,204,903		(180,919	)		(164,706	)		(931	)		8,461,777		872,348		414,952		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		109,497,737		11,449,208		(3,224,339	)		9,337,117			(152,641	)		126,907,082		12,441,871		2,752,219		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		136,112,500		13,938,102		(4,523,731	)		8,422,989			438,529			154,388,389		12,791,084		1,525,139		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		7,929,391		874,050		(183,604	)		297,856			5,158			8,922,851		821,625		227,808		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		60,943,753		6,923,323		(1,386,921	)		3,081,591			145,232			69,706,978		5,799,249		370,621		1,173,223
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		13,373,722		1,310,677		(1,365,281	)		(1,655,718	)		157,512			11,820,912		1,087,480		337,941		612,319
MM S&P 500 Index Fund, Class I		46,671,116		7,986,601		(2,036,980	)		1,077,131			(79,731	)		53,618,137		2,929,953		1,081,867		2,256,745
	$	433,932,669	$	51,930,618	$	(14,207,743	)	$	18,556,837		$	590,633		$	490,803,014			$	8,376,269	$	4,327,162
MM Select T. Rowe Price Retirement 2040 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	70,282,869	$	8,766,519	$	(1,597,520	)	$	(2,399,767	)	$	73,445		$	75,125,546		7,322,178	$	2,210,627	$	378,066
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		9,069,078		970,464		(190,155	)		(182,991	)		(3,367	)		9,663,029		996,189		477,304		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		218,398,458		17,606,861		(6,039,724	)		18,360,565			(216,912	)		248,109,248		24,324,436		5,420,348		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		297,280,444		22,178,487		(8,833,394	)		18,163,723			925,352			329,714,612		27,316,869		3,280,122		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		15,818,953		1,334,423		(350,603	)		586,690			12,300			17,401,763		1,602,372		447,591		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		121,843,329		10,230,792		(2,628,063	)		6,066,751			298,071			135,810,880		11,298,742		727,203		2,302,006
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		21,842,738		1,965,758		(1,788,515	)		(2,653,192	)		163,383			19,530,172		1,796,704		564,260		1,022,390
MM S&P 500 Index Fund, Class I		67,851,051		9,546,850		(1,448,932	)		1,524,297			(54,587	)		77,418,679		4,230,529		1,572,836		3,280,891
	$	822,386,920	$	72,600,154	$	(22,876,906	)	$	39,466,076		$	1,197,685		$	912,773,929			$	14,700,291	$	6,983,353

293

Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2045 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	19,871,016	$	2,176,365	$	(542,493	)	$	(675,159	)	$	30,988		$	20,860,717		2,033,208	$	610,309	$	104,376
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		2,199,956		240,348		(53,231	)		(44,475	)		(372	)		2,342,226		241,467		115,048		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		88,879,321		8,348,008		(2,913,982	)		7,571,393			(135,500	)		101,749,240		9,975,416		2,209,696		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		126,282,623		10,394,845		(3,596,522	)		7,783,453			343,211			141,207,610		11,699,056		1,396,747		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		6,382,998		593,482		(178,185	)		236,195			5,182			7,039,672		648,220		179,970		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		49,342,622		4,970,832		(1,349,879	)		2,455,142			136,257			55,554,974		4,621,878		295,756		936,232
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		7,024,453		649,753		(754,155	)		(869,409	)		88,738			6,139,380		564,800		176,345		319,523
MM S&P 500 Index Fund, Class I		22,571,473		3,085,759		(599,023	)		512,554			(21,620	)		25,549,143		1,396,128		516,162		1,076,699
	$	322,554,462	$	30,459,392	$	(9,987,470	)	$	16,969,694		$	446,884		$	360,442,962			$	5,500,033	$	2,436,830
MM Select T. Rowe Price Retirement 2050 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	29,922,443	$	3,216,727	$	(706,403	)	$	(1,009,164	)	$	32,530		$	31,456,133		3,065,900	$	926,533	$	158,457
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		3,532,084		350,046		(420,958	)		(61,265	)		(1,514	)		3,398,393		350,350		168,012		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		136,673,739		11,913,778		(3,847,892	)		11,554,750			(132,865	)		156,161,510		15,309,952		3,415,911		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		193,716,242		15,721,503		(5,124,254	)		11,972,147			560,970			216,846,608		17,965,750		2,159,969		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		9,787,066		880,877		(244,458	)		363,271			8,748			10,795,504		994,061		278,063		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		76,079,630		6,977,951		(1,837,836	)		3,788,638			205,059			85,213,442		7,089,305		456,862		1,446,225
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		10,788,503		1,246,314		(1,406,563	)		(1,372,371	)		155,361			9,411,244		865,800		277,455		502,725
MM S&P 500 Index Fund, Class I		34,553,193		5,231,653		(1,066,064	)		777,577			(41,244	)		39,455,115		2,156,017		802,534		1,674,062
	$	495,052,900	$	45,538,849	$	(14,654,428	)	$	26,013,583		$	787,045		$	552,737,949			$	8,485,339	$	3,781,469
MM Select T. Rowe Price Retirement 2055 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	9,857,827	$	1,294,136	$	(406,625	)	$	(343,242	)	$	24,849		$	10,426,945		1,016,271	$	302,263	$	51,694
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		1,114,186		144,624		(41,564	)		(22,385	)		(151	)		1,194,710		123,166		58,147		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		45,282,900		5,149,519		(1,983,398	)		3,885,966			(99,475	)		52,235,512		5,121,129		1,123,294		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		63,729,610		6,596,946		(2,661,557	)		3,848,082			247,134			71,760,215		5,945,337		702,781		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		3,233,556		375,727		(139,404	)		119,338			3,889			3,593,106		330,857		90,893		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		25,111,809		3,009,669		(1,057,791	)		1,210,915			106,207			28,380,809		2,361,132		149,588		473,529
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		3,556,984		521,269		(555,520	)		(467,055	)		78,011			3,133,689		288,288		87,869		159,211
MM S&P 500 Index Fund, Class I		11,395,151		1,758,012		(469,260	)		268,116			(15,159	)		12,936,860		706,932		258,822		539,894
	$	163,282,023	$	18,849,902	$	(7,315,119	)	$	8,499,735		$	345,305		$	183,661,846			$	2,773,657	$	1,224,328

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Notes to Portfolio of Investments (Unaudited) (Continued)

	Beginning Value as of 9/30/19		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 12/31/19		Number of Shares Held as of 12/31/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2060 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	2,003,376	$	428,006	$	(187,975	)	$	(78,045	)	$	11,339		$	2,176,701		212,154	$	63,312	$	10,828
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		228,914		48,719		(19,217	)		(4,832	)		(13	)		253,571		26,141		12,380		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		9,155,121		1,880,407		(880,763	)		804,724			(19,218	)		10,940,271		1,072,576		236,215		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		13,051,524		2,531,819		(1,309,806	)		728,002			138,481			15,140,020		1,254,351		148,823		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		661,190		139,459		(64,879	)		24,074			1,966			761,810		70,148		19,349		-
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		5,152,124		1,043,056		(490,751	)		227,926			49,048			5,981,403		497,621		31,644		100,169
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		722,855		166,534		(144,908	)		(98,884	)		17,514			663,111		61,004		18,457		33,442
MM S&P 500 Index Fund, Class I		2,309,337		599,331		(217,790	)		57,688			(6,173	)		2,742,393		149,858		55,067		114,869
	$	33,284,441	$	6,837,331	$	(3,316,089	)	$	1,660,653		$	192,944		$	38,659,280			$	585,247	$	259,308

* Fund advised by Barings LLC.

5. New Accounting Pronouncements

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.

In August 2018, FASB issued Accounting Standards Update 2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy, and the valuation processes for Level 3 fair value measurements. ASU 2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The amendment is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has evaluated the impact of ASU 2018-13 and has early adopted the disclosure requirements and the impact, if any, is reflected within 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. On April 5, 2012, the adversary proceeding was transferred to the Southern District of New York for consolidated pretrial proceedings. The action is now being prosecuted by the litigation trustee (“Trustee”) for the Tribune Litigation Trust.

The potential amounts sought to be recovered from the Diversified Value Fund and S&P 500 Index Fund, are approximately $1,621,800 and $1,186,430, respectively, plus interest and the Official Committee’s court costs.

295

Notes to Portfolio of Investments (Unaudited) (Continued)

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. On December 20, 2011, this action was transferred to the Southern District of New York for consolidated pretrial proceedings.

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 Trustee 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, 2019, 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 February 1, 2020, the MM RetireSMART Funds were renamed as follows:

MassMutual RetireSMART Conservative Fund was renamed MassMutual Select 20/80 Allocation Fund, MassMutual RetireSMART Moderate Fund was renamed MassMutual Select 40/60 Allocation Fund, MassMutual RetireSMART Moderate Growth Fund was renamed MassMutual Select 60/40 Allocation Fund, and MassMutual RetireSMART Growth Fund was renamed MassMutual Select 80/20 Allocation Fund.

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