MassMutual Total Return Bond Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 107.6% | ||||||||
BANK LOANS — 1.8% | ||||||||
Aerospace & Defense — 0.0% | ||||||||
TransDigm, Inc., 2020 Term Loan E, 1 mo. USD LIBOR + 2.250% | ||||||||
2.354% VRN 5/30/25 | $ | 293,515 | $ | 289,165 | ||||
Airlines — 0.0% | ||||||||
American Airlines, Inc., 2017 1st Lien Term Loan, 1 mo. USD LIBOR + 1.750% | ||||||||
1.846% VRN 1/29/27 | 87,750 | 83,771 | ||||||
Auto Parts & Equipment — 0.0% | ||||||||
Clarios Global LP, 2021 USD Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 4/30/26 | 227,164 | 224,892 | ||||||
Chemicals — 0.1% | ||||||||
Zep, Inc., 2017 1st Lien Term Loan, 3 mo. USD LIBOR + 4.000% | ||||||||
5.000% VRN 8/12/24 | 714,452 | 703,350 | ||||||
Commercial Services — 0.0% | ||||||||
Spin Holdco, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 3/01/28 | 200,000 | 200,026 | ||||||
Diversified Financial Services — 0.0% | ||||||||
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 1 mo. USD LIBOR + 1.750% | ||||||||
2.500% VRN 1/15/25 | 70,325 | 70,113 | ||||||
Entertainment — 0.0% | ||||||||
Churchill Downs, Inc., 2017 Term Loan B, 1 mo. USD LIBOR + 2.000% | ||||||||
2.110% VRN 12/27/24 | 96,985 | 96,166 | ||||||
Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
3.000% VRN 10/15/25 | 153,233 | 152,679 | ||||||
248,845 | ||||||||
Environmental Controls — 0.0% | ||||||||
Clean Harbors, Inc., 2017 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 6/28/24 | 96,970 | 97,070 | ||||||
GFL Environmental, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 5/30/25 | 159,384 | 159,406 | ||||||
256,476 | ||||||||
Food — 0.0% | ||||||||
Hostess Brands LLC, 2019 Term Loan, 1 mo. USD LIBOR + 2.250%, 3 mo. USD LIBOR + 2.250% | ||||||||
3.000% VRN 8/03/25 | 320,113 | 318,512 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Health Care – Products — 0.1% | ||||||||
Avantor Funding, Inc., 2020 Incremental Term Loan B4, 1 mo. USD LIBOR + 2.250% | ||||||||
3.250% VRN 11/08/27 | $ | 671,625 | $ | 671,343 | ||||
Health Care – Services — 0.2% | ||||||||
Gentiva Health Services, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
2.875% VRN 7/02/25 | 737,675 | 735,602 | ||||||
ICON Luxembourg S.A.R.L. | ||||||||
LUX Term Loan, | ||||||||
0.000% 7/03/28 (a) | 368,250 | 368,770 | ||||||
US Term Loan, | ||||||||
0.000% 7/03/28 (a) | 91,750 | 91,879 | ||||||
IQVIA, Inc., 2017 USD Term Loan B2, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 1/17/25 | 160,013 | 158,933 | ||||||
1,355,184 | ||||||||
Insurance — 0.1% | ||||||||
AmWINS Group, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
3.000% VRN 2/19/28 | 970,125 | 963,654 | ||||||
Lodging — 0.0% | ||||||||
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 12/23/24 | 261,134 | 258,755 | ||||||
Media — 0.1% | ||||||||
Charter Communications Operating LLC, 2019 Term Loan B2, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% VRN 2/01/27 | 98,496 | 97,757 | ||||||
CSC Holdings LLC, 2017 Term Loan B1, 1 mo. USD LIBOR + 2.250% | ||||||||
2.323% VRN 7/17/25 | 174,093 | 171,482 | ||||||
Diamond Sports Group LLC, Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
3.360% VRN 8/24/26 | 174,556 | 104,538 | ||||||
Sinclair Television Group, Inc., 2021 Term Loan B3, 1 mo. USD LIBOR + 3.000% | ||||||||
3.110% VRN 4/01/28 | 400,000 | 396,000 | ||||||
769,777 | ||||||||
Packaging & Containers — 0.1% | ||||||||
Berry Global, Inc., 2021 Term Loan Z, 1 mo. USD LIBOR + 1.750% | ||||||||
1.827% VRN 7/01/26 | 985,634 | 977,522 | ||||||
Pharmaceuticals — 0.5% | ||||||||
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. USD LIBOR + 2.500% | ||||||||
3.500% VRN 3/01/24 | 269,177 | 268,827 | ||||||
Elanco Animal Health, Inc., Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.842% VRN 8/02/27 | 1,043,717 | 1,027,195 | ||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 Week USD LIBOR + 2.000% | ||||||||
2.088% VRN 11/15/27 | 769,842 | 761,951 | ||||||
Horizon Therapeutics USA, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 2.000% | ||||||||
2.500% VRN 3/15/28 | 825,000 | 819,068 | ||||||
Jazz Financing Lux S.a.r.l., USD Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 4/21/28 | 415,000 | 416,166 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Organon & Co, USD Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 6/02/28 | $ | 750,000 | $ | 750,473 | ||||
4,043,680 | ||||||||
Real Estate Investment Trusts (REITS) — 0.0% | ||||||||
VICI Properties 1 LLC, Replacement Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.841% VRN 12/20/24 | 125,000 | 123,892 | ||||||
Retail — 0.1% | ||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 11/19/26 | 371,655 | 366,255 | ||||||
Software — 0.0% | ||||||||
SS&C Technologies European Holdings S.A.R.L., 2018 Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 4/16/25 | 27,125 | 26,786 | ||||||
SS&C Technologies, Inc., 2018 Term Loan B3, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 4/16/25 | 35,212 | 34,772 | ||||||
61,558 | ||||||||
Telecommunications — 0.5% | ||||||||
CenturyLink, Inc. | ||||||||
2020 Term Loan A, 1 mo. USD LIBOR + 2.000% | ||||||||
2.104% VRN 1/31/25 | 231,250 | 229,284 | ||||||
2020 Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
2.354% VRN 3/15/27 | 643,235 | 634,069 | ||||||
CommScope, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 4/06/26 | 294,750 | 293,067 | ||||||
Intelsat Jackson Holdings S.A., 2017 Term Loan B5, | ||||||||
0.000% 1/02/24 (a) | 250,000 | 254,017 | ||||||
Level 3 Financing, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 3/01/27 | 1,460,000 | 1,436,728 | ||||||
SBA Senior Finance II LLC, 2018 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% VRN 4/11/25 | 485,000 | 480,456 | ||||||
Telenet Financing USD LLC, 2020 USD Term Loan AR, 1 mo. USD LIBOR + 2.000% | ||||||||
2.073% VRN 4/30/28 | 300,000 | 295,650 | ||||||
Zayo Group Holdings, Inc., USD Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 3/09/27 | 962,204 | 951,456 | ||||||
4,574,727 | ||||||||
TOTAL BANK LOANS (Cost $16,511,786) | 16,561,497 | |||||||
CORPORATE DEBT — 22.0% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
The Boeing Co. | ||||||||
1.167% 2/04/23 | 1,855,000 | 1,863,584 | ||||||
Agriculture — 0.5% | ||||||||
BAT Capital Corp. | ||||||||
2.726% 3/25/31 | 645,000 | 634,773 | ||||||
4.390% 8/15/37 | 340,000 | 366,890 | ||||||
4.540% 8/15/47 | 1,845,000 | 1,963,336 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Reynolds American, Inc. | ||||||||
5.850% 8/15/45 | $ | 1,160,000 | $ | 1,421,228 | ||||
4,386,227 | ||||||||
Airlines — 0.3% | ||||||||
Continental Airlines, Inc. | ||||||||
5.983% 10/19/23 | 1,704,703 | 1,743,180 | ||||||
US Airways, Inc. | ||||||||
7.125% 4/22/25 | 724,823 | 764,983 | ||||||
2,508,163 | ||||||||
Auto Manufacturers — 0.9% | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3 mo. USD LIBOR + .880% 1.068% FRN 10/12/21 | 455,000 | 454,419 | ||||||
3.219% 1/09/22 | 1,050,000 | 1,061,235 | ||||||
3.339% 3/28/22 | 955,000 | 969,038 | ||||||
3.813% 10/12/21 | 520,000 | 523,900 | ||||||
4.250% 9/20/22 | 435,000 | 449,168 | ||||||
General Motors Co. | ||||||||
4.875% 10/02/23 | 150,000 | 163,395 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.150% 6/30/22 | 805,000 | 824,263 | ||||||
3.450% 4/10/22 | 1,720,000 | 1,751,635 | ||||||
3.550% 7/08/22 | 410,000 | 423,161 | ||||||
4.200% 11/06/21 | 245,000 | 248,207 | ||||||
4.375% 9/25/21 | 995,000 | 1,004,203 | ||||||
7,872,624 | ||||||||
Banks — 4.7% | ||||||||
Bank of America Corp. | ||||||||
SOFR + .910% 1.658% VRN 3/11/27 | 1,915,000 | 1,931,051 | ||||||
SOFR + .960% 1.734% VRN 7/22/27 | 1,900,000 | 1,915,459 | ||||||
SOFR + 1.060% 2.087% VRN 6/14/29 | 1,835,000 | 1,850,891 | ||||||
Citigroup, Inc. | ||||||||
SOFR + .765% 1.122% VRN 1/28/27 | 855,000 | 843,253 | ||||||
SOFR + .770% 1.462% VRN 6/09/27 | 1,370,000 | 1,365,279 | ||||||
Credit Suisse Group AG | ||||||||
SOFR + .980% 1.305% VRN 2/02/27 (b) | 1,315,000 | 1,287,978 | ||||||
SOFR + 2.044% 2.193% VRN 6/05/26 (b) | 885,000 | 906,361 | ||||||
SOFR + 1.730% 3.091% VRN 5/14/32 (b) | 975,000 | 1,002,048 | ||||||
4.282% 1/09/28 (b) | 345,000 | 383,956 | ||||||
4.550% 4/17/26 | 785,000 | 889,473 | ||||||
Discover Bank | ||||||||
4.200% 8/08/23 | 1,120,000 | 1,206,000 | ||||||
Fifth Third Bancorp | ||||||||
2.550% 5/05/27 | 1,100,000 | 1,163,466 | ||||||
Global Bank Corp. 3 mo. USD LIBOR + 3.300% | ||||||||
5.250% VRN 4/16/29 (b) | 200,000 | 209,500 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
SOFR + .789% 1.093% VRN 12/09/26 | 485,000 | 477,882 | ||||||
SOFR + .798% 1.431% VRN 3/09/27 | 2,295,000 | 2,289,523 | ||||||
3 mo. USD LIBOR + 1.201% 3.272% VRN 9/29/25 | 885,000 | 946,869 | ||||||
HSBC Holdings PLC | ||||||||
SOFR + .708% 0.976% VRN 5/24/25 | 1,185,000 | 1,184,095 | ||||||
SOFR + 1.290% 1.589% VRN 5/24/27 | 1,695,000 | 1,699,033 | ||||||
SOFR + 1.732% 2.013% VRN 9/22/28 | 1,370,000 | 1,371,295 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
SOFR + 1.402% 2.633% VRN 11/07/25 | $ | 295,000 | $ | 309,639 | ||||
JP Morgan Chase & Co. | ||||||||
SOFR + .580% 0.969% VRN 6/23/25 | 3,585,000 | 3,589,517 | ||||||
SOFR + .885% 1.578% VRN 4/22/27 | 1,360,000 | 1,367,653 | ||||||
SOFR + 1.850% 2.083% VRN 4/22/26 | 440,000 | 455,140 | ||||||
Lloyds Banking Group PLC | ||||||||
1 year CMT + .850% 1.627% VRN 5/11/27 | 1,000,000 | 1,000,964 | ||||||
3 mo. USD LIBOR + 1.249% 2.858% VRN 3/17/23 | 885,000 | 900,101 | ||||||
3 mo. USD LIBOR + .810% 2.907% VRN 11/07/23 | 445,000 | 458,827 | ||||||
1 year CMT + 3.500% 3.870% VRN 7/09/25 | 415,000 | 449,822 | ||||||
Macquarie Group Ltd. | ||||||||
SOFR + 1.069% 1.340% VRN 1/12/27 (b) | 920,000 | 912,658 | ||||||
SOFR + .910% 1.629% VRN 9/23/27 (b) | 460,000 | 458,156 | ||||||
Morgan Stanley SOFR + .879% | ||||||||
1.593% VRN 5/04/27 | 1,365,000 | 1,374,098 | ||||||
Santander UK Group Holdings PLC | ||||||||
SOFR + .787% 1.089% VRN 3/15/25 | 1,825,000 | 1,831,012 | ||||||
1 year CMT + 1.250% 1.532% VRN 8/21/26 | 295,000 | 295,617 | ||||||
SOFR + .989% 1.673% VRN 6/14/27 | 340,000 | 339,634 | ||||||
3 mo. USD LIBOR + 1.570% 4.796% VRN 11/15/24 | 525,000 | 574,056 | ||||||
Santander UK PLC | ||||||||
5.000% 11/07/23 (b) | 1,390,000 | 1,515,350 | ||||||
Wells Fargo & Co. | ||||||||
3 mo. USD LIBOR + .750% 2.164% VRN 2/11/26 | 620,000 | 643,722 | ||||||
SOFR + 2.100% 2.393% VRN 6/02/28 | 1,060,000 | 1,099,904 | ||||||
SOFR + 1.432% 2.879% VRN 10/30/30 | 75,000 | 79,502 | ||||||
3 mo. USD LIBOR + 1.310% 3.584% VRN 5/22/28 | 1,345,000 | 1,482,534 | ||||||
42,061,318 | ||||||||
Beverages — 0.4% | ||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.900% 2/01/46 | 2,215,000 | 2,795,384 | ||||||
Bacardi Ltd. | ||||||||
5.300% 5/15/48 (b) | 275,000 | 358,767 | ||||||
3,154,151 | ||||||||
Chemicals — 0.2% | ||||||||
International Flavors & Fragrances, Inc. | ||||||||
3.468% 12/01/50 (b) | 695,000 | 723,007 | ||||||
5.000% 9/26/48 | 1,080,000 | 1,397,684 | ||||||
2,120,691 | ||||||||
Commercial Services — 0.3% | ||||||||
IHS Markit Ltd. | ||||||||
4.000% 3/01/26 (b) | 399,000 | 442,291 | ||||||
4.750% 2/15/25 (b) | 930,000 | 1,041,042 | ||||||
4.750% 8/01/28 | 750,000 | 883,875 | ||||||
5.000% 11/01/22 (b) | 335,000 | 350,904 | ||||||
2,718,112 | ||||||||
Diversified Financial Services — 1.1% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
3.875% 1/23/28 (c) | 265,000 | 283,862 | ||||||
4.125% 7/03/23 | 220,000 | 233,429 | ||||||
Air Lease Corp. | ||||||||
3.250% 3/01/25 | 950,000 | 1,011,850 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Avolon Holdings Funding Ltd. | ||||||||
2.875% 2/15/25 (b) | $ | 860,000 | $ | 885,743 | ||||
3.950% 7/01/24 (b) | 380,000 | 405,333 | ||||||
5.125% 10/01/23 (b) | 105,000 | 113,502 | ||||||
5.250% 5/15/24 (b) | 110,000 | 120,998 | ||||||
Discover Financial Services | ||||||||
3.950% 11/06/24 | 150,000 | 163,483 | ||||||
GE Capital Funding LLC | ||||||||
4.400% 5/15/30 | 875,000 | 1,020,673 | ||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
4.418% 11/15/35 | 3,238,000 | 3,886,457 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
4.500% 3/15/23 (b) | 700,000 | 735,746 | ||||||
5.250% 8/15/22 (b) | 785,000 | 821,384 | ||||||
5.500% 2/15/24 (b) | 265,000 | 291,334 | ||||||
9,973,794 | ||||||||
Electric — 1.2% | ||||||||
Ameren Illinois Co. | ||||||||
3.700% 12/01/47 | 480,000 | 551,030 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
4.650% 12/01/48 | 1,000,000 | 1,236,512 | ||||||
Duke Energy Carolinas LLC | ||||||||
3.700% 12/01/47 | 738,000 | 832,468 | ||||||
Duke Energy Corp. | ||||||||
2.550% 6/15/31 | 560,000 | 565,537 | ||||||
Entergy Louisiana LLC | ||||||||
3.780% 4/01/25 | 1,250,000 | 1,358,243 | ||||||
FirstEnergy Transmission LLC | ||||||||
2.866% 9/15/28 (b) | 1,401,000 | 1,451,492 | ||||||
5.450% 7/15/44 (b) | 600,000 | 749,340 | ||||||
Metropolitan Edison Co. | ||||||||
4.000% 4/15/25 (b) | 985,000 | 1,043,443 | ||||||
MidAmerican Energy Co. | ||||||||
4.400% 10/15/44 | 1,905,000 | 2,357,349 | ||||||
Mong Duong Finance Holdings BV | ||||||||
5.125% 5/07/29 | 250,000 | 250,625 | ||||||
10,396,039 | ||||||||
Engineering & Construction — 0.0% | ||||||||
PowerTeam Services LLC | ||||||||
9.033% 12/04/25 (b) | 257,000 | 282,700 | ||||||
Food — 0.4% | ||||||||
Kraft Heinz Foods Co. | ||||||||
4.875% 10/01/49 | 815,000 | 988,777 | ||||||
5.000% 6/04/42 | 530,000 | 646,849 | ||||||
5.200% 7/15/45 | 750,000 | 930,064 | ||||||
The Kroger Co. | ||||||||
4.450% 2/01/47 | 885,000 | 1,054,253 | ||||||
Pilgrim's Pride Corp. | ||||||||
5.875% 9/30/27 (b) | 75,000 | 79,875 | ||||||
3,699,818 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Gas — 0.2% | ||||||||
KeySpan Gas East Corp. | ||||||||
5.819% 4/01/41 (b) | $ | 1,337,000 | $ | 1,823,450 | ||||
Health Care – Services — 1.0% | ||||||||
Aetna, Inc. | ||||||||
3.500% 11/15/24 | 500,000 | 540,945 | ||||||
Centene Corp. | ||||||||
2.450% 7/15/28 (d) | 1,951,000 | 1,977,339 | ||||||
4.250% 12/15/27 | 435,000 | 458,381 | ||||||
CommonSpirit Health | ||||||||
2.782% 10/01/30 | 455,000 | 472,650 | ||||||
HCA, Inc. | ||||||||
4.125% 6/15/29 | 1,262,000 | 1,422,390 | ||||||
5.000% 3/15/24 | 975,000 | 1,077,376 | ||||||
5.125% 6/15/39 | 650,000 | 812,581 | ||||||
5.250% 4/15/25 | 644,000 | 737,027 | ||||||
5.250% 6/15/49 | 485,000 | 622,711 | ||||||
Molina Healthcare, Inc. | ||||||||
3.875% 11/15/30 (b) | 417,000 | 434,201 | ||||||
5.375% STEP 11/15/22 | 460,000 | 481,275 | ||||||
9,036,876 | ||||||||
Household Products & Wares — 0.0% | ||||||||
Central Garden & Pet Co. | ||||||||
5.125% 2/01/28 | 22,000 | 23,243 | ||||||
Insurance — 1.2% | ||||||||
Athene Global Funding SOFR + .700% | ||||||||
0.739% FRN 5/24/24 (b) | 1,825,000 | 1,839,728 | ||||||
Farmers Exchange Capital | ||||||||
3 mo. USD LIBOR + 3.454% 5.454% VRN 10/15/54 (b) | 3,290,000 | 4,122,728 | ||||||
3 mo. USD LIBOR + 3.744% 6.151% VRN 11/01/53 (b) | 350,000 | 452,853 | ||||||
Teachers Insurance & Annuity Association of America 3 mo. USD LIBOR + 2.661% | ||||||||
4.375% VRN 9/15/54 (b) | 4,000,000 | 4,225,767 | ||||||
10,641,076 | ||||||||
Internet — 0.2% | ||||||||
Tencent Holdings Ltd. | ||||||||
3.680% 4/22/41 (b) | 455,000 | 487,438 | ||||||
3.840% 4/22/51 (b) | 455,000 | 490,248 | ||||||
3.975% 4/11/29 (b) | 410,000 | 457,400 | ||||||
1,435,086 | ||||||||
Media — 0.9% | ||||||||
Cable One, Inc. | ||||||||
4.000% 11/15/30 (b) | 900,000 | 903,375 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
3.750% 2/15/28 | 500,000 | 551,854 | ||||||
4.908% 7/23/25 | 1,105,000 | 1,252,290 | ||||||
5.375% 4/01/38 | 5,000 | 6,152 | ||||||
5.375% 5/01/47 | 180,000 | 220,718 | ||||||
5.750% 4/01/48 | 1,088,000 | 1,385,649 | ||||||
CSC Holdings LLC | ||||||||
5.375% 2/01/28 (b) | 125,000 | 132,198 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | ||||||||
5.375% 8/15/26 (b) | $ | 1,175,000 | $ | 762,222 | ||||
ViacomCBS, Inc. | ||||||||
4.200% 5/19/32 (c) | 655,000 | 756,826 | ||||||
Virgin Media Secured Finance PLC | ||||||||
4.500% 8/15/30 (b) | 1,200,000 | 1,209,000 | ||||||
5.500% 5/15/29 (b) | 541,000 | 581,413 | ||||||
The Walt Disney Co. | ||||||||
3.600% 1/13/51 | 385,000 | 436,757 | ||||||
8,198,454 | ||||||||
Mining — 0.0% | ||||||||
Corp. Nacional del Cobre de Chile | ||||||||
3.150% 1/14/30 (b) | 400,000 | 420,092 | ||||||
Miscellaneous - Manufacturing — 0.1% | ||||||||
General Electric Co. | ||||||||
6.750% 3/15/32 | 890,000 | 1,236,182 | ||||||
Oil & Gas — 1.0% | ||||||||
Antero Resources Corp. | ||||||||
8.375% 7/15/26 (b) | 125,000 | 142,187 | ||||||
Exxon Mobil Corp. | ||||||||
3.452% 4/15/51 | 1,020,000 | 1,111,048 | ||||||
4.327% 3/19/50 | 550,000 | 683,193 | ||||||
KazMunayGas National Co. JSC | ||||||||
3.500% 4/14/33 (b) | 200,000 | 207,330 | ||||||
3.500% 4/14/33 (b) | 200,000 | 207,330 | ||||||
5.750% 4/19/47 (b) | 200,000 | 249,692 | ||||||
Occidental Petroleum Corp. | ||||||||
4.500% 7/15/44 | 400,000 | 385,000 | ||||||
Pertamina Persero PT | ||||||||
3.100% 8/27/30 (b) | 875,000 | 897,136 | ||||||
Petroleos Mexicanos | ||||||||
5.950% 1/28/31 | 860,000 | 835,490 | ||||||
6.625% 6/15/35 | 2,100,000 | 2,029,650 | ||||||
7.690% 1/23/50 | 710,000 | 683,375 | ||||||
Petronas Capital Ltd. | ||||||||
3.500% 4/21/30 (b) | 200,000 | 219,074 | ||||||
Saudi Arabian Oil Co. | ||||||||
1.625% 11/24/25 (b) | 200,000 | 201,900 | ||||||
Transocean Guardian Ltd. | ||||||||
5.875% 1/15/24 (b) | 246,500 | 239,721 | ||||||
Transocean Pontus Ltd. | ||||||||
6.125% 8/01/25 (b) | 291,450 | 294,864 | ||||||
Transocean Poseidon Ltd. | ||||||||
6.875% 2/01/27 (b) | 233,000 | 233,000 | ||||||
8,619,990 | ||||||||
Oil & Gas Services — 0.0% | ||||||||
Transocean Proteus Ltd. | ||||||||
6.250% 12/01/24 (b) | 94,050 | 94,990 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||
6.875% 4/01/26 | 70,000 | 73,325 | ||||||
6.875% 9/01/27 | 217,000 | 231,817 | ||||||
400,132 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Packaging & Containers — 0.1% | ||||||||
Berry Global, Inc. | ||||||||
1.570% 1/15/26 (b) | $ | 820,000 | $ | 820,246 | ||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.500% 4/15/24 (b) | 70,000 | 70,700 | ||||||
OI European Group BV | ||||||||
4.000% 3/15/23 (b) | 75,000 | 77,469 | ||||||
Sealed Air Corp. | ||||||||
4.000% 12/01/27 (b) | 70,000 | 74,247 | ||||||
1,042,662 | ||||||||
Pharmaceuticals — 1.7% | ||||||||
AbbVie, Inc. | ||||||||
4.250% 11/21/49 | 145,000 | 174,284 | ||||||
4.450% 5/14/46 | 1,395,000 | 1,691,582 | ||||||
4.550% 3/15/35 | 576,000 | 698,521 | ||||||
Bayer US Finance II LLC | ||||||||
4.250% 12/15/25 (b) | 955,000 | 1,064,271 | ||||||
4.375% 12/15/28 (b) | 2,735,000 | 3,136,029 | ||||||
4.625% 6/25/38 (b) | 1,310,000 | 1,555,171 | ||||||
4.875% 6/25/48 (b) | 220,000 | 276,424 | ||||||
Cigna Corp. | ||||||||
3.400% 3/15/51 | 210,000 | 219,779 | ||||||
4.125% 11/15/25 | 2,000,000 | 2,242,119 | ||||||
CVS Health Corp. | ||||||||
3.250% 8/15/29 | 5,000 | 5,430 | ||||||
5.050% 3/25/48 | 2,820,000 | 3,663,955 | ||||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV | ||||||||
4.125% 4/30/28 (b) | 275,000 | 280,445 | ||||||
15,008,010 | ||||||||
Pipelines — 0.9% | ||||||||
Energy Transfer LP | ||||||||
4.950% 6/15/28 | 1,291,000 | 1,492,762 | ||||||
5.350% 5/15/45 | 370,000 | 428,268 | ||||||
5.400% 10/01/47 | 1,275,000 | 1,511,408 | ||||||
5.500% 6/01/27 | 264,000 | 309,777 | ||||||
5.950% 10/01/43 | 750,000 | 935,965 | ||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
2.160% 3/31/34 (b) | 400,000 | 392,520 | ||||||
Kinder Morgan, Inc. | ||||||||
5.550% 6/01/45 | 565,000 | 731,921 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | ||||||||
4.500% 12/15/26 | 228,000 | 256,049 | ||||||
Rockies Express Pipeline LLC | ||||||||
4.950% 7/15/29 (b) | 1,000,000 | 1,032,725 | ||||||
6.875% 4/15/40 (b) | 745,000 | 787,838 | ||||||
Southern Gas Corridor CJSC | ||||||||
6.875% 3/24/26 (b) | 400,000 | 478,080 | ||||||
8,357,313 | ||||||||
Real Estate Investment Trusts (REITS) — 1.0% | ||||||||
Boston Properties LP | ||||||||
3.850% 2/01/23 | 1,000,000 | 1,044,123 | ||||||
CyrusOne LP/CyrusOne Finance Corp. | ||||||||
2.150% 11/01/30 | 920,000 | 872,818 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
GLP Capital LP/GLP Financing II, Inc. | ||||||||
4.000% 1/15/30 | $ | 60,000 | $ | 64,399 | ||||
5.250% 6/01/25 | 680,000 | 765,442 | ||||||
5.300% 1/15/29 | 620,000 | 722,300 | ||||||
5.375% 4/15/26 | 1,755,000 | 2,020,022 | ||||||
SL Green Operating Partnership LP | ||||||||
3.250% 10/15/22 | 1,000,000 | 1,029,200 | ||||||
Ventas Realty LP | ||||||||
3.750% 5/01/24 | 1,050,000 | 1,126,581 | ||||||
3.850% 4/01/27 | 1,000,000 | 1,118,432 | ||||||
8,763,317 | ||||||||
Retail — 0.1% | ||||||||
Magic Mergeco, Inc. | ||||||||
5.250% 5/01/28 (b) | 895,000 | 918,207 | ||||||
Savings & Loans — 0.3% | ||||||||
Nationwide Building Society | ||||||||
3 mo. USD LIBOR + 1.181% 3.622% VRN 4/26/23 (b) | 620,000 | 635,737 | ||||||
3 mo. USD LIBOR + 1.064% 3.766% VRN 3/08/24 (b) | 1,215,000 | 1,275,731 | ||||||
3 mo. USD LIBOR + 1.392% 4.363% VRN 8/01/24 (b) | 300,000 | 321,759 | ||||||
2,233,227 | ||||||||
Semiconductors — 0.1% | ||||||||
Intel Corp. | ||||||||
4.100% 5/19/46 | 565,000 | 680,770 | ||||||
4.750% 3/25/50 | 490,000 | 651,418 | ||||||
1,332,188 | ||||||||
Software — 0.3% | ||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. | ||||||||
5.750% 3/01/25 (b) | 325,000 | 330,281 | ||||||
Oracle Corp. | ||||||||
2.875% 3/25/31 | 850,000 | 885,504 | ||||||
3.950% 3/25/51 | 1,355,000 | 1,483,184 | ||||||
2,698,969 | ||||||||
Telecommunications — 2.7% | ||||||||
AT&T, Inc. | ||||||||
2.550% 12/01/33 (b) | 1,385,000 | 1,374,001 | ||||||
3.800% 12/01/57 (b) | 4,820,000 | 5,026,239 | ||||||
4.500% 5/15/35 | 110,000 | 129,301 | ||||||
4.750% 5/15/46 | 100,000 | 121,534 | ||||||
4.850% 3/01/39 | 366,000 | 444,925 | ||||||
5.250% 3/01/37 | 850,000 | 1,071,585 | ||||||
Intelsat Jackson Holdings SA | ||||||||
8.500% 10/15/24 (b) (e) | 378,000 | 223,020 | ||||||
9.750% 7/15/25 (b) (e) | 1,379,000 | 803,267 | ||||||
Sprint Corp. | ||||||||
7.875% 9/15/23 | 74,000 | 84,070 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | ||||||||
3.360% STEP 3/20/23 (b) | 121,250 | 121,856 | ||||||
4.738% 3/20/25 (b) | 3,229,688 | 3,465,003 | ||||||
5.152% 9/20/29 (b) | 700,000 | 804,790 | ||||||
T-Mobile USA, Inc. | ||||||||
2.250% 2/15/26 | 840,000 | 846,300 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2.250% 2/15/26 (b) | $ | 377,000 | $ | 379,828 | ||||
2.550% 2/15/31 | 955,000 | 964,903 | ||||||
3.750% 4/15/27 | 1,155,000 | 1,276,275 | ||||||
3.875% 4/15/30 | 420,000 | 468,947 | ||||||
4.375% 4/15/40 | 840,000 | 981,632 | ||||||
4.500% 2/01/26 | 400,000 | 407,648 | ||||||
4.750% 2/01/28 | 175,000 | 187,469 | ||||||
Verizon Communications, Inc. | ||||||||
2.100% 3/22/28 | 455,000 | 464,746 | ||||||
2.550% 3/21/31 | 1,375,000 | 1,407,017 | ||||||
Vodafone Group PLC | ||||||||
4.875% 6/19/49 | 1,260,000 | 1,590,277 | ||||||
5.250% 5/30/48 | 1,000,000 | 1,318,590 | ||||||
23,963,223 | ||||||||
Transportation — 0.0% | ||||||||
Empresa de Transporte de Pasajeros Metro SA | ||||||||
3.650% 5/07/30 (b) | 200,000 | 215,789 | ||||||
TOTAL CORPORATE DEBT (Cost $185,506,676) | 197,404,707 | |||||||
MUNICIPAL OBLIGATIONS — 0.6% | ||||||||
City of New York NY, General Obligation | ||||||||
3.000% 8/01/34 | 945,000 | 1,020,162 | ||||||
County of Miami-Dade FL Aviation Revenue, Revenue Bond | ||||||||
2.707% 10/01/33 | 375,000 | 389,840 | ||||||
New York City Transitional Finance Authority, Revenue Bond | ||||||||
5.508% 8/01/37 | 985,000 | 1,317,819 | ||||||
New York State Dormitory Authority, Revenue Bond | ||||||||
5.051% 9/15/27 | 600,000 | 714,431 | ||||||
Regents of the University of California Medical Center Pooled, Revenue Bond | ||||||||
3.256% 5/15/60 | 1,990,000 | 2,114,030 | ||||||
5,556,282 | ||||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $5,321,090) | 5,556,282 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 11.5% | ||||||||
Commercial Mortgage-Backed Securities — 1.6% | ||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-PARK, Class A, | ||||||||
4.227% VRN 8/10/38 (b) (f) | 1,280,000 | 1,469,802 | ||||||
BX Trust, Series 2019-OC11, Class A | ||||||||
3.202% 12/09/41 (b) | 420,000 | 452,693 | ||||||
CALI Mortgage Trust, Series 2019-101C, Class A | ||||||||
3.957% 3/10/39 (b) | 945,000 | 1,078,928 | ||||||
COMM Mortgage Trust, Series 2015-CR27, Class A3 | ||||||||
3.349% 10/10/48 | 2,631,948 | 2,838,704 | ||||||
CPT Mortgage Trust, Series 2019-CPT, Class A | ||||||||
2.865% 11/13/39 (b) | 805,000 | 859,565 | ||||||
DC Office Trust, Series 2019-MTC, Class A | ||||||||
2.965% 9/15/45 (b) | 860,000 | 920,628 | ||||||
Hudson Yards Mortgage Trust | ||||||||
Series 2019-55HY, Class A, 3.041% VRN 12/10/41 (b) (f) | 860,000 | 928,209 | ||||||
Series 2019-30HY, Class A, 3.228% 7/10/39 (b) | 880,000 | 960,573 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A | ||||||||
3.397% 6/05/39 (b) | $ | 900,000 | $ | 994,356 | ||||
MKT Mortgage Trust, Series 2020-525M, Class A | ||||||||
2.694% 2/12/40 (b) | 1,030,000 | 1,081,275 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC, Class A | ||||||||
2.966% 12/15/38 (b) | 840,000 | 878,634 | ||||||
One Bryant Park Trust, Series 2019-OBP, Class A | ||||||||
2.516% 9/15/54 (b) | 1,085,000 | 1,125,884 | ||||||
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, | ||||||||
3.961% VRN 1/15/32 (b) (f) | 640,000 | 682,243 | ||||||
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2B, | ||||||||
4.144% VRN 1/05/43 (b) (f) | 50,000 | 53,452 | ||||||
14,324,946 | ||||||||
Home Equity Asset-Backed Securities — 0.6% | ||||||||
Argent Securities, Inc., Series 2005-W2, Class M1, 1 mo. USD LIBOR + .735% | ||||||||
0.827% FRN 10/25/35 | 3,996,917 | 3,994,832 | ||||||
Option One Mortgage Loan Trust, Series 2006-1, Class 1A1, 1 mo. USD LIBOR + .440% | ||||||||
0.532% FRN 1/25/36 | 1,124,316 | 1,082,163 | ||||||
5,076,995 | ||||||||
Other Asset-Backed Securities — 4.0% | ||||||||
Aimco CLO Ltd., Series 2020-11A, Class A1, 3 mo. USD LIBOR + 1.380% | ||||||||
1.564% FRN 10/15/31 (b) | 2,075,000 | 2,078,777 | ||||||
Ajax Mortgage Loan Trust, Series 2019-,Class A1, | ||||||||
2.860% STEP 7/25/59 (b) | 2,924,786 | 2,880,670 | ||||||
Barings CLO Ltd., Series 2013-IA, Class AR, 3 mo. USD LIBOR + .800% | ||||||||
0.988% FRN 1/20/28 (b) | 3,256,348 | 3,256,599 | ||||||
BSPRT Issuer Ltd. | ||||||||
Series 2018-FL4, Class A, 1 mo. USD LIBOR + 1.050% 1.123% FRN 9/15/35 (b) | 1,030,777 | 1,030,779 | ||||||
Series 2018-FL3, Class A, 1 mo. USD LIBOR + 1.350% 1.423% FRN 3/15/28 (b) | 2,367,000 | 2,366,260 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class M1, 1 mo. USD LIBOR + .855% | ||||||||
0.947% FRN 8/25/34 | 284,582 | 282,059 | ||||||
Dryden 33 Senior Loan Fund, Series 2014-33A, Class AR3, 3 mo. USD LIBOR + 1.000% | ||||||||
1.184% FRN 4/15/29 (b) | 1,476,000 | 1,476,040 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .720% | ||||||||
0.812% FRN 10/25/35 | 433,181 | 431,230 | ||||||
Flatiron CLO 21 Ltd., Series 2021-1A, Class B, 3 mo. USD LIBOR + 1.600% | ||||||||
1.751% FRN 7/19/34 (b) | 2,400,000 | 2,400,238 | ||||||
GoldenTree Loan Opportunities Ltd., Series 2014-9A, Class AR2, 3 mo. USD LIBOR + 1.110% | ||||||||
1.287% FRN 10/29/29 (b) | 2,100,000 | 2,100,806 | ||||||
GSAMP Trust, Series 2006-HE1, Class M1, 1 mo. USD LIBOR + .585% | ||||||||
0.677% FRN 1/25/36 | 2,896,448 | 2,860,145 | ||||||
LCM Ltd., Series 19A, Class AR, 3 mo. USD LIBOR + 1.240% | ||||||||
1.424% FRN 7/15/27 (b) | 909,889 | 910,016 | ||||||
Lehman XS Trust, Series 2005-4, Class 1A3, 1 mo. USD LIBOR + .800% | ||||||||
0.892% FRN 10/25/35 | 140,806 | 139,988 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Magnetite Ltd., Series 2012-7A, Class A1R2, 3 mo. USD LIBOR + .800% | ||||||||
0.984% FRN 1/15/28 (b) | $ | 1,478,372 | $ | 1,478,464 | ||||
Morgan Stanley Capital, Inc. Trust | ||||||||
Series 2006-HE1, Class A4, 1 mo. USD LIBOR + .580% 0.672% FRN 1/25/36 | 2,960,842 | 2,880,890 | ||||||
Series 2006-NC2, Class A2D, 1 mo. USD LIBOR + .580% 0.672% FRN 2/25/36 | 2,825,862 | 2,814,592 | ||||||
Rockford Tower Ltd., Series 2019-1A, Class AR, 3 mo. USD LIBOR + 1.120% | ||||||||
1.308% FRN 4/20/34 (b) | 2,435,000 | 2,435,874 | ||||||
Tricon American Homes Trust, Series 2017-SFR1, Class A | ||||||||
2.716% 9/17/34 (b) | 2,644,482 | 2,652,374 | ||||||
TRTX Issuer Ltd., Series 2019-FL3, Class A, 1 mo. USD LIBOR + 1.150% | ||||||||
1.275% FRN 10/15/34 (b) | 1,609,000 | 1,609,003 | ||||||
36,084,804 | ||||||||
Student Loans Asset-Backed Securities — 2.2% | ||||||||
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700% | ||||||||
0.792% FRN 7/25/56 (b) | 1,847,732 | 1,859,838 | ||||||
Education Loan Asset-Backed Trust, Series 2013-1, Class A2, 1 mo. USD LIBOR + .800% | ||||||||
0.892% FRN 4/26/32 (b) | 3,680,106 | 3,705,675 | ||||||
SLM Student Loan Trust | ||||||||
Series 2014-1, Class A3, 1 mo. USD LIBOR + .600% 0.692% FRN 2/26/29 | 1,482,845 | 1,467,100 | ||||||
Series 2012-7, Class A3, 1 mo. USD LIBOR + .650% 0.742% FRN 5/26/26 | 2,747,143 | 2,775,395 | ||||||
Series 2008-5, Class B, 3 mo. USD LIBOR + 1.850% 2.026% FRN 7/25/73 | 3,735,000 | 3,738,032 | ||||||
Series 2008-9, Class B, 3 mo. USD LIBOR + 2.250% 2.426% FRN 10/25/83 | 3,630,000 | 3,656,094 | ||||||
Wachovia Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .170% | ||||||||
0.346% FRN 4/25/40 (b) | 2,483,966 | 2,432,675 | ||||||
19,634,809 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 3.1% | ||||||||
American Home Mortgage Investment Trust, Series 2006-1, Class 12A1, 1 mo. USD LIBOR + .400% | ||||||||
0.492% FRN 3/25/46 | 1,967,247 | 1,885,172 | ||||||
Bear Stearns ALT-A Trust, Series 2005-4, Class 25A1, | ||||||||
2.492% VRN 5/25/35 (f) | 1,220,945 | 1,169,833 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2, | ||||||||
2.570% VRN 3/25/36 (f) | 4,442 | 4,228 | ||||||
Credit Suisse Mortgage Trust, Series 2018-RPL9, Class A, | ||||||||
3.850% VRN 9/25/57 (b) (f) | 2,340,941 | 2,469,257 | ||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1, | ||||||||
2.341% VRN 11/25/35 (f) | 1,951,812 | 1,764,997 | ||||||
HarborView Mortgage Loan Trust | ||||||||
Series 2006-10, Class 1A1A, 1 mo. USD LIBOR + .200% 0.293% FRN 11/19/36 | 3,186,092 | 2,706,545 | ||||||
Series 2007-6, Class 1A1A, 1 mo. USD LIBOR + .200% 0.293% FRN 8/19/37 | 3,217,309 | 2,794,323 | ||||||
HomeBanc Mortgage Trust, Series 2005-5, Class A1, 1 mo. USD LIBOR + .520% | ||||||||
0.612% FRN 1/25/36 | 4,060,958 | 3,963,617 | ||||||
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2, | ||||||||
3.223% VRN 8/25/35 (f) | 199,238 | 198,748 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1, | ||||||||
2.255% VRN 4/25/34 (f) | $ | 501,078 | $ | 494,624 | ||||
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A, 12 mo. MTA + .750% | ||||||||
0.878% FRN 6/26/47 (b) | 582,142 | 575,623 | ||||||
RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + .370% | ||||||||
0.462% FRN 8/25/36 | 675,030 | 640,554 | ||||||
Residential Asset Securitization Trust, Series 2006-A14C, Class 1A1 | ||||||||
6.250% 12/25/36 | 2,286,542 | 2,256,369 | ||||||
Structured Asset Mortgage Investments Trust, Series 2006-AR1, Class 3A1, 1 mo. USD LIBOR + .460% | ||||||||
0.552% FRN 2/25/36 | 2,768,118 | 2,568,950 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
Series 2005-AR2, Class 2A1A, 1 mo. USD LIBOR + .620% 0.712% FRN 1/25/45 | 880,918 | 875,064 | ||||||
Series 2005-7, Class 4CB, 7.000% 8/25/35 | 2,826,317 | 2,116,640 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR3, Class A4, | ||||||||
2.682% VRN 4/25/37 (f) | 1,315,745 | 1,245,491 | ||||||
27,730,035 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $101,190,583) | 102,851,589 | |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.9% | ||||||||
Abu Dhabi Government International Bond | ||||||||
2.500% 9/30/29 (b) | 647,000 | 675,559 | ||||||
Brazilian Government International Bond | ||||||||
3.875% 6/12/30 | 730,000 | 736,884 | ||||||
Chile Government International Bond | ||||||||
2.550% 1/27/32 | 200,000 | 204,500 | ||||||
Colombia Government International Bond | ||||||||
3.000% 1/30/30 | 600,000 | 588,378 | ||||||
4.500% 1/28/26 | 200,000 | 218,302 | ||||||
Dominican Republic International Bond | ||||||||
4.500% 1/30/30 (b) | 440,000 | 449,904 | ||||||
Egypt Government International Bond | ||||||||
7.600% 3/01/29 (b) | 200,000 | 219,540 | ||||||
Indonesia Government International Bond | ||||||||
2.850% 2/14/30 (c) | 300,000 | 311,039 | ||||||
Mexico Government International Bond | ||||||||
2.659% 5/24/31 (c) | 1,133,000 | 1,107,949 | ||||||
4.750% 4/27/32 | 200,000 | 229,000 | ||||||
Panama Government International Bond | ||||||||
2.252% 9/29/32 | 200,000 | 191,902 | ||||||
3.160% 1/23/30 | 400,000 | 419,480 | ||||||
Peruvian Government International Bond | ||||||||
4.125% 8/25/27 | 254,000 | 284,483 | ||||||
Philippine Government International Bond | ||||||||
2.457% 5/05/30 | 200,000 | 207,802 | ||||||
Qatar Government International Bond | ||||||||
4.500% 4/23/28 (b) | 600,000 | 708,000 | ||||||
Republic of South Africa Government International Bond | ||||||||
4.850% 9/30/29 | 400,000 | 424,160 | ||||||
4.875% 4/14/26 | 200,000 | 217,064 | ||||||
Republic of Turkey International Bond | ||||||||
3.250% 3/23/23 | 200,000 | 199,552 | ||||||
Romanian Government International Bond | ||||||||
3.000% 2/14/31 (b) | 270,000 | 279,563 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Saudi Government International Bond | ||||||||
3.250% 10/22/30 (b) | $ | 200,000 | $ | 215,250 | ||||
3.625% 3/04/28 (b) | 200,000 | 220,980 | ||||||
4.500% 10/26/46 (b) | 200,000 | 234,250 | ||||||
8,343,541 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $8,294,919) | 8,343,541 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 33.2% | ||||||||
Collateralized Mortgage Obligations — 1.1% | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K155, Class A3 3.750% 4/25/33 | 2,115,000 | 2,543,132 | ||||||
Federal National Mortgage Association REMICS | ||||||||
Series 2018-43, Class CT, 3.000% 6/25/48 | 1,037,659 | 1,094,984 | ||||||
Series 2018-55, Class PA, 3.500% 1/25/47 | 1,286,321 | 1,329,406 | ||||||
Series 2018-54, Class KA, 3.500% 1/25/47 | 1,239,648 | 1,279,445 | ||||||
Series 2018-38, Class PA, 3.500% 6/25/47 | 1,550,366 | 1,613,280 | ||||||
Government National Mortgage Association | ||||||||
Series 2018-124, Class NW, 3.500% 9/20/48 | 888,330 | 950,137 | ||||||
Series 2019-15, Class GT, 3.500% 2/20/49 | 1,102,094 | 1,179,334 | ||||||
9,989,718 | ||||||||
Pass-Through Securities — 32.1% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #G18596 3.000% 4/01/31 | 394,272 | 416,094 | ||||||
Pool #G18691 3.000% 6/01/33 | 151,280 | 159,423 | ||||||
Pool #G08710 3.000% 6/01/46 | 88,969 | 93,642 | ||||||
Pool #G08715 3.000% 8/01/46 | 1,873,628 | 1,972,026 | ||||||
Pool #G08721 3.000% 9/01/46 | 254,294 | 267,649 | ||||||
Pool #G08726 3.000% 10/01/46 | 3,404,505 | 3,583,300 | ||||||
Pool #G08732 3.000% 11/01/46 | 2,401,907 | 2,528,049 | ||||||
Pool #G08741 3.000% 1/01/47 | 1,579,500 | 1,661,958 | ||||||
Pool #G18713 3.500% 11/01/33 | 1,178,457 | 1,262,016 | ||||||
Pool #G16756 3.500% 1/01/34 | 464,819 | 499,085 | ||||||
Pool #G60038 3.500% 1/01/44 | 769,046 | 827,437 | ||||||
Pool #G07848 3.500% 4/01/44 | 5,727,994 | 6,261,577 | ||||||
Pool #G07924 3.500% 1/01/45 | 1,701,451 | 1,838,148 | ||||||
Pool #G60138 3.500% 8/01/45 | 3,363,136 | 3,671,169 | ||||||
Pool #G08711 3.500% 6/01/46 | 1,576,557 | 1,679,510 | ||||||
Pool #G08716 3.500% 8/01/46 | 2,307,581 | 2,458,181 | ||||||
Pool #G67703 3.500% 4/01/47 | 2,402,046 | 2,589,775 | ||||||
Pool #G67706 3.500% 12/01/47 | 1,957,138 | 2,108,108 | ||||||
Pool #G08792 3.500% 12/01/47 | 1,925,617 | 2,030,377 | ||||||
Pool #G67707 3.500% 1/01/48 | 2,190,779 | 2,379,625 | ||||||
Pool #G67708 3.500% 3/01/48 | 4,343,428 | 4,654,718 | ||||||
Pool #G67709 3.500% 3/01/48 | 5,523,619 | 5,938,480 | ||||||
Pool #G67711 4.000% 3/01/48 | 666,996 | 729,500 | ||||||
Pool #G67713 4.000% 6/01/48 | 1,803,789 | 1,957,037 | ||||||
Pool #G67714 4.000% 7/01/48 | 2,457,611 | 2,685,799 | ||||||
Pool #G67717 4.000% 11/01/48 | 2,159,685 | 2,360,210 | ||||||
Pool #G08843 4.500% 10/01/48 | 1,051,775 | 1,132,485 | ||||||
Pool #G08826 5.000% 6/01/48 | 376,591 | 413,287 | ||||||
Pool #G08844 5.000% 10/01/48 | 125,496 | 137,058 | ||||||
Federal National Mortgage Association |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #MA4093 2.000% 8/01/40 | $ | 1,115,630 | $ | 1,137,605 | ||||
Pool #MA4152 2.000% 10/01/40 | 4,007,583 | 4,089,029 | ||||||
Pool #MA4176 2.000% 11/01/40 | 2,935,712 | 2,996,293 | ||||||
Pool #MA4333 2.000% 5/01/41 | 793,689 | 811,059 | ||||||
Pool #BL6060 2.455% 4/01/40 | 1,265,000 | 1,319,799 | ||||||
Pool #MA3029 3.000% 6/01/32 | 406,132 | 428,362 | ||||||
Pool #MA1607 3.000% 10/01/33 | 2,595,057 | 2,744,955 | ||||||
Pool #BN7755 3.000% 9/01/49 | 2,554,726 | 2,707,284 | ||||||
Pool #BO2259 3.000% 10/01/49 (d) | 4,368,985 | 4,612,134 | ||||||
Pool #MA3811 3.000% 10/01/49 | 908,846 | 935,782 | ||||||
Pool #AB4262 3.500% 1/01/32 | 1,774,686 | 1,890,926 | ||||||
Pool #MA1148 3.500% 8/01/42 | 3,941,519 | 4,251,417 | ||||||
Pool #CA0996 3.500% 1/01/48 | 119,762 | 128,139 | ||||||
Pool #MA3276 3.500% 2/01/48 | 301,272 | 317,545 | ||||||
Pool #MA3305 3.500% 3/01/48 | 1,009,382 | 1,063,272 | ||||||
Pool #MA3332 3.500% 4/01/48 | 41,148 | 43,345 | ||||||
Pool #CA3633 3.500% 6/01/49 | 1,061,002 | 1,139,781 | ||||||
Pool #MA2995 4.000% 5/01/47 | 894,295 | 960,365 | ||||||
Pool #AS9830 4.000% 6/01/47 | 545,374 | 585,666 | ||||||
Pool #MA3027 4.000% 6/01/47 | 791,605 | 850,089 | ||||||
Pool #AS9972 4.000% 7/01/47 | 533,261 | 572,659 | ||||||
Pool #AL9106 4.500% 2/01/46 | 409,753 | 450,229 | ||||||
Pool #CA1710 4.500% 5/01/48 | 1,645,305 | 1,770,711 | ||||||
Pool #CA1711 4.500% 5/01/48 | 30,716 | 33,204 | ||||||
Pool #CA2208 4.500% 8/01/48 | 1,364,935 | 1,469,909 | ||||||
Government National Mortgage Association II | ||||||||
Pool #MA4126 3.000% 12/20/46 | 2,392,144 | 2,521,196 | ||||||
Pool #MA4836 3.000% 11/20/47 | 1,793,421 | 1,889,332 | ||||||
Pool #MA6209 3.000% 10/20/49 | 964,863 | 990,381 | ||||||
Pool #MA4127 3.500% 12/20/46 | 1,657,547 | 1,759,966 | ||||||
Pool #MA4382 3.500% 4/20/47 | 295,070 | 313,210 | ||||||
Pool #MA4719 3.500% 9/20/47 | 2,727,229 | 2,888,712 | ||||||
Pool #MA4837 3.500% 11/20/47 | 370,080 | 391,646 | ||||||
Pool #MA4962 3.500% 1/20/48 | 947,050 | 1,002,460 | ||||||
Pool #MA5019 3.500% 2/20/48 | 1,281,271 | 1,355,536 | ||||||
Pool #MA4838 4.000% 11/20/47 | 798,886 | 853,561 | ||||||
Pool #MA4901 4.000% 12/20/47 | 657,838 | 702,603 | ||||||
Pool #MA5078 4.000% 3/20/48 | 571,129 | 608,878 | ||||||
Pool #MA5466 4.000% 9/20/48 | 383,967 | 407,725 | ||||||
Pool #MA5528 4.000% 10/20/48 | 1,556,700 | 1,653,023 | ||||||
Pool #MA4264 4.500% 2/20/47 | 369,365 | 403,066 | ||||||
Pool #MA4512 4.500% 6/20/47 | 2,411,814 | 2,628,102 | ||||||
Pool #MA3666 5.000% 5/20/46 | 43,981 | 49,481 | ||||||
Pool #MA3806 5.000% 7/20/46 | 296,819 | 333,753 | ||||||
Pool #MA4072 5.000% 11/20/46 | 56,304 | 63,878 | ||||||
Pool #MA4454 5.000% 5/20/47 | 1,240,361 | 1,368,348 | ||||||
Government National Mortgage Association II TBA | ||||||||
2.000% 10/01/50 (d) | 8,625,000 | 8,775,600 | ||||||
2.500% 5/01/50 (d) | 12,675,000 | 13,100,306 | ||||||
Uniform Mortgage Backed Securities TBA | ||||||||
1.500% 3/01/36 (d) | 11,300,000 | 11,419,180 | ||||||
2.000% 3/01/36 (d) | 15,525,000 | 15,997,421 | ||||||
2.000% 1/01/51 (d) | 51,475,000 | 51,935,459 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2.500% 7/01/50 (d) | $ | 65,650,000 | $ | 67,809,268 | ||||
286,827,373 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $291,944,140) | 296,817,091 | |||||||
U.S. TREASURY OBLIGATIONS — 37.6% | ||||||||
U.S. Treasury Bonds & Notes — 37.6% | ||||||||
U.S. Treasury Bond | ||||||||
1.875% 2/15/41 | 10,924,000 | 10,705,443 | ||||||
1.875% 2/15/51 | 9,266,000 | 8,848,229 | ||||||
2.375% 5/15/51 | 38,620,000 | 41,266,853 | ||||||
U.S. Treasury Note | ||||||||
0.125% 4/30/23 | 39,975,000 | 39,903,301 | ||||||
0.125% 5/31/23 | 101,165,000 | 100,947,748 | ||||||
0.125% 6/30/23 | 21,270,000 | 21,217,646 | ||||||
0.750% 4/30/26 | 29,255,000 | 29,118,537 | ||||||
0.750% 5/31/26 | 47,120,000 | 46,873,666 | ||||||
0.875% 6/30/26 | 26,330,000 | 26,330,058 | ||||||
1.625% 5/15/31 | 10,900,000 | 11,080,372 | ||||||
336,291,853 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $334,316,240) | 336,291,853 | |||||||
TOTAL BONDS & NOTES (Cost $943,085,434) | 963,826,560 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $109,445) | 126,363 | |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (g) | 731,330 | 731,330 | ||||||
TOTAL MUTUAL FUNDS (Cost $731,330) | 731,330 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $943,926,209) | 964,684,253 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 11.8% | ||||||||
Repurchase Agreement — 1.4% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (h) | $ | 12,550,786 | 12,550,786 | |||||
U.S. Treasury Bill — 10.4% | ||||||||
U.S. Treasury Bill | ||||||||
0.012% 8/19/21 (i) | 3,250,000 | 3,249,800 | ||||||
0.013% 8/19/21 (i) | 2,945,000 | 2,944,818 | ||||||
0.013% 7/29/21 (i) | 5,505,000 | 5,504,801 | ||||||
0.013% 8/12/21 (i) | 6,695,000 | 6,694,590 | ||||||
0.013% 8/26/21 (i) | 5,630,000 | 5,629,628 |
MassMutual Total Return Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
0.015% 8/26/21 (i) | $ | 4,100,000 | $ | 4,099,729 | ||||
0.016% 7/22/21 (i) | 4,085,000 | 4,084,892 | ||||||
0.018% 11/04/21 (i) | 5,940,000 | 5,938,908 | ||||||
0.041% 7/20/21 (i) | 12,300,000 | 12,299,700 | ||||||
0.041% 8/19/21 (i) | 31,320,000 | 31,318,071 | ||||||
United States Cash Management Bill | ||||||||
0.000% 10/05/21 | 10,940,000 | 10,938,687 | ||||||
92,703,625 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $105,257,235) | 105,254,410 | |||||||
TOTAL INVESTMENTS — 119.5% (Cost $1,049,183,444) (j) | 1,069,938,663 | |||||||
Other Assets/(Liabilities) — (19.5)% | (174,729,295) | |||||||
NET ASSETS — 100.0% | $ | 895,209,368 |
Abbreviation Legend
CLO | Collateralized Loan Obligation |
FRN | Floating Rate Note |
REMICS | Real Estate Mortgage Investment Conduits |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
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 June 30, 2021 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 June 30, 2021, the aggregate market value of these securities amounted to $116,052,174 or 12.96% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $2,566,651 or 0.29% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $1,891,258 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) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(e) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At June 30, 2021, these securities amounted to a value of $1,026,287 or 0.11% of net assets. |
(f) | 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 June 30, 2021. |
(g) | Represents investment of security lending cash collateral. (Note 2). |
(h) | Maturity value of $12,550,786. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $12,801,821. |
(i) | The rate shown represents yield-to-maturity. |
(j) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Total Return Bond Fund — 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) | ||||||||||||||||||
Put | ||||||||||||||||||||||||||||
30-Year Interest Rate Swap, 1/23/54 | Goldman Sachs & Co. | 1/19/24 | 2.75% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 3,710,000 | $ | 126,363 | $ | 109,445 | $ | 16,918 |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
U.S. Treasury Ultra Bond | 9/21/21 | 31 | $ | 5,715,672 | $ | 257,641 | ||||||||
Short | ||||||||||||||
U.S. Treasury Note 2 Year | 9/30/21 | 42 | $ | (9,270,105) | $ | 16,652 |
Currency Legend
USD | U.S. Dollar |
MassMutual Strategic Bond Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 96.4% | ||||||||
BANK LOANS — 6.8% | ||||||||
Advertising — 0.1% | ||||||||
Terrier Media Buyer, Inc., 2021 Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
3.609% VRN 12/17/26 | $ | 443,124 | $ | 440,661 | ||||
Aerospace & Defense — 0.0% | ||||||||
TransDigm, Inc., 2020 Term Loan F, 1 mo. USD LIBOR + 2.250% | ||||||||
2.354% VRN 12/09/25 | 39,798 | 39,179 | ||||||
Airlines — 0.1% | ||||||||
United Airlines, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 4/21/28 | 540,000 | 546,599 | ||||||
Auto Parts & Equipment — 0.1% | ||||||||
Clarios Global LP, 2021 USD Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 4/30/26 | 408,894 | 404,805 | ||||||
Beverages — 0.1% | ||||||||
Triton Water Holdings, Inc., Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 3/31/28 | 560,000 | 559,222 | ||||||
Building Materials — 0.1% | ||||||||
API Group DE, Inc., Term Loan B, 1 mo. USD LIBOR + 2.500% | ||||||||
2.604% VRN 10/01/26 | 581,803 | 580,832 | ||||||
Quikrete Holdings, Inc., 2021 Term Loan B1, | ||||||||
0.000% 5/12/28 (a) | 290,000 | 287,552 | ||||||
868,384 | ||||||||
Chemicals — 0.1% | ||||||||
INEOS Styrolution US Holding LLC, 2021 USD Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 1/29/26 | 330,000 | 328,865 | ||||||
Commercial Services — 0.5% | ||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 5/12/28 | 870,296 | 872,472 | ||||||
BrightView Landscapes LLC, 2018 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.500% | ||||||||
2.625% VRN 8/15/25 | 232,800 | 231,345 | ||||||
Garda World Security Corp., 2021 Term Loan B, 1 mo. USD LIBOR + 4.250% | ||||||||
4.350% VRN 10/30/26 | 171,766 | 172,441 | ||||||
Parexel International Corp., Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
2.845% VRN 9/27/24 | 390,000 | 387,625 | ||||||
Prime Security Services Borrower LLC, 2021 Term Loan, 1 mo. USD LIBOR + 2.750%, 3 mo. USD LIBOR + 2.750%, 6 mo. USD LIBOR + 2.750% | ||||||||
3.500% VRN 9/23/26 | 650,372 | 649,663 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Trans Union LLC, 2019 Term Loan B5, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 11/16/26 | $ | 423,751 | $ | 420,633 | ||||
Verscend Holding Corp., 2021 Term Loan B, 1 mo. USD LIBOR + 4.000% | ||||||||
4.104% VRN 8/27/25 | 508,827 | 509,646 | ||||||
3,243,825 | ||||||||
Computers — 0.4% | ||||||||
Dell International LLC, 2021 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
2.000% VRN 9/19/25 | 375,675 | 375,506 | ||||||
Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, | ||||||||
0.000% 5/03/28 (a) | 980,000 | 979,020 | ||||||
Peraton Corp., Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 2/01/28 | 798,000 | 799,660 | ||||||
Western Digital Corp., 2018 Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.843% VRN 4/29/23 | 127,532 | 127,349 | ||||||
2,281,535 | ||||||||
Diversified Financial Services — 0.6% | ||||||||
Avolon TLB Borrower 1 (US) LLC, 2020 Term Loan B5, 1 mo. USD LIBOR + 2.500% | ||||||||
3.250% VRN 12/01/27 | 189,050 | 188,893 | ||||||
Citadel Securities LP, 2021 Term Loan B, 1 mo. USD LIBOR + 2.500% | ||||||||
2.604% VRN 2/02/28 | 455,119 | 450,094 | ||||||
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.750% VRN 4/09/27 | 633,600 | 635,976 | ||||||
Delos Finance S.A.R.L., 2018 Term Loan B, 3 mo. USD LIBOR + 1.750% | ||||||||
1.897% VRN 10/06/23 | 900,000 | 898,875 | ||||||
Fleetcor Technologies Operating Company, LLC, 2021 Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 4/28/28 | 300,000 | 299,376 | ||||||
Focus Financial Partners LLC, 2020 Term Loan, 1 mo. USD LIBOR + 2.000% | ||||||||
2.104% VRN 7/03/24 | 392,739 | 388,584 | ||||||
Hudson River Trading LLC, 2021 Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 3/20/28 | 309,225 | 308,001 | ||||||
Jane Street Group LLC, 2021 Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 1/26/28 | 352,755 | 350,865 | ||||||
VFH Parent LLC, 2019 Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.093% VRN 3/01/26 | 176,239 | 175,469 | ||||||
Zebra Buyer LLC, Term Loan B, | ||||||||
0.000% 4/21/28 (a) | 370,000 | 370,858 | ||||||
4,066,991 | ||||||||
Electrical Components & Equipment — 0.0% | ||||||||
Energizer Holdings, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 2.250% | ||||||||
2.750% VRN 12/22/27 | 139,650 | 139,196 | ||||||
Engineering & Construction — 0.0% | ||||||||
AECOM Technology Corporation, 2021 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 4/13/28 | 90,000 | 89,888 | ||||||
Atlantic Aviation FBO, Inc., 2018 Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.860% VRN 12/06/25 | 97,500 | 97,378 | ||||||
187,266 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Entertainment — 0.2% | ||||||||
Delta 2 (LUX) S.A.R.L., 2018 USD Term Loan, 1 mo. USD LIBOR + 2.500% | ||||||||
3.500% VRN 2/01/24 | $ | 20,000 | $ | 19,878 | ||||
PCI Gaming Authority, Term Loan, 1 mo. USD LIBOR + 2.500% | ||||||||
2.604% VRN 5/29/26 | 273,662 | 272,332 | ||||||
Scientific Games International, Inc., 2018 Term Loan B5, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 8/14/24 | 971,648 | 964,360 | ||||||
UFC Holdings LLC, 2021 Term Loan B, 6 mo. USD LIBOR + 3.000% | ||||||||
3.750% VRN 4/29/26 | 156,317 | 156,048 | ||||||
1,412,618 | ||||||||
Environmental Controls — 0.0% | ||||||||
GFL Environmental, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 5/30/25 | 42,300 | 42,306 | ||||||
Food — 0.1% | ||||||||
Froneri International Ltd., 2020 USD Term Loan, 1 mo. USD LIBOR + 2.250% | ||||||||
2.354% VRN 1/29/27 | 306,900 | 302,066 | ||||||
US Foods, Inc. | ||||||||
2016 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 6/27/23 | 187,438 | 185,485 | ||||||
2019 Term Loan B, 1 mo. USD LIBOR + 2.000% | ||||||||
2.104% VRN 9/13/26 | 434,192 | 427,332 | ||||||
914,883 | ||||||||
Food Services — 0.1% | ||||||||
Aramark Services, Inc., 2019 Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 1/15/27 | 553,000 | 545,855 | ||||||
Forest Products & Paper — 0.1% | ||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 9/07/27 | 283,198 | 282,097 | ||||||
Health Care – Products — 0.1% | ||||||||
Sotera Health Holdings LLC, 2021 Term Loan, 3 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 12/11/26 | 840,000 | 836,153 | ||||||
Health Care – Services — 0.5% | ||||||||
EyeCare Partners LLC, 2020 Term Loan, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 2/18/27 | 237,944 | 235,655 | ||||||
Global Medical Response, Inc., 2020 Term Loan B, 3 mo. USD LIBOR + 4.750% | ||||||||
5.750% VRN 10/02/25 | 387,857 | 389,311 | ||||||
ICON Luxembourg S.A.R.L. | ||||||||
LUX Term Loan, | ||||||||
0.000% 6/16/28 (a) | 528,359 | 529,104 | ||||||
US Term Loan, | ||||||||
0.000% 6/16/28 (a) | 131,641 | 131,826 | ||||||
Phoenix Guarantor, Inc., 2020 Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.341% VRN 3/05/26 | 794,940 | 788,151 | ||||||
PPD, Inc., Initial Term Loan, 1 mo. USD LIBOR + 2.250% | ||||||||
2.750% VRN 1/13/28 | 788,025 | 786,670 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 11/16/25 | $ | 745,677 | $ | 743,530 | ||||
3,604,247 | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
First Eagle Holdings, Inc., 2020 Term Loan B, 3 mo. USD LIBOR + 2.500% | ||||||||
2.647% VRN 2/01/27 | 170,646 | 168,194 | ||||||
Household Products & Wares — 0.1% | ||||||||
Reynolds Consumer Products LLC, Term Loan, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 2/04/27 | 822,916 | 815,921 | ||||||
Insurance — 0.2% | ||||||||
AmWINS Group, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
3.000% VRN 2/19/28 | 308,450 | 306,393 | ||||||
Asurion LLC | ||||||||
2018 Term Loan B6, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 11/03/23 | 113,476 | 112,838 | ||||||
2018 Term Loan B7, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 11/03/24 | 341,648 | 337,910 | ||||||
2021 Term Loan B9, 1 mo. USD LIBOR + 3.250% | ||||||||
3.345% VRN 7/31/27 | 259,350 | 256,323 | ||||||
2020 Term Loan B8, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 12/23/26 | 416,688 | 411,742 | ||||||
1,425,206 | ||||||||
Internet — 0.0% | ||||||||
Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 2/15/24 | 168,830 | 167,417 | ||||||
Leisure Time — 0.1% | ||||||||
Alterra Mountain Co., Term Loan B1, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 7/31/24 | 370,404 | 365,444 | ||||||
Lodging — 0.5% | ||||||||
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 12/23/24 | 1,066,327 | 1,056,613 | ||||||
CityCenter Holdings LLC, 2017 Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
3.000% VRN 4/18/24 | 470,056 | 465,943 | ||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, 1 mo. USD LIBOR + 2.000% | ||||||||
2.104% VRN 11/30/23 | 405,683 | 404,161 | ||||||
Golden Nugget, Inc., 2017 Incremental Term Loan B, 2 mo. USD LIBOR + 2.500% | ||||||||
3.250% VRN 10/04/23 | 349,898 | 347,070 | ||||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 1 mo. USD LIBOR + 1.750% | ||||||||
1.842% VRN 6/22/26 | 716,204 | 709,809 | ||||||
Station Casinos LLC, 2020 Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
2.500% VRN 2/08/27 | 468,695 | 462,935 | ||||||
3,446,531 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Machinery – Construction & Mining — 0.0% | ||||||||
Brookfield WEC Holdings, Inc., 2021 Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 8/01/25 | $ | 175,889 | $ | 174,081 | ||||
Media — 0.6% | ||||||||
Charter Communications Operating LLC | ||||||||
2019 Term Loan B1, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% VRN 4/30/25 | 702,173 | 700,684 | ||||||
2019 Term Loan B2, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% VRN 2/01/27 | 137,895 | 136,861 | ||||||
CSC Holdings LLC | ||||||||
2018 Incremental Term Loan, | ||||||||
0.000% 1/15/26 (a) | 110,000 | 108,310 | ||||||
2019 Term Loan B5, 1 mo. USD LIBOR + 2.500% | ||||||||
2.573% VRN 4/15/27 | 138,250 | 136,793 | ||||||
Entercom Media Corp., 2019 Term Loan, 1 mo. USD LIBOR + 2.500% | ||||||||
2.595% VRN 11/18/24 | 107,844 | 106,684 | ||||||
iHeartCommunications, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 5/01/26 | 617,281 | 611,497 | ||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 1 mo. USD LIBOR + 2.500% | ||||||||
2.592% VRN 9/18/26 | 962,275 | 959,600 | ||||||
Univision Communications, Inc., 2020 Replacement Term Loan, 1 mo. USD LIBOR + 3.750% | ||||||||
4.750% VRN 3/15/26 | 433,450 | 433,922 | ||||||
Virgin Media Bristol LLC, USD Term Loan N, 1 mo. USD LIBOR + 2.500% | ||||||||
2.573% VRN 1/31/28 | 953,954 | 944,949 | ||||||
Ziggo Financing Partnership, USD Term Loan I, 1 mo. USD LIBOR + 2.500% | ||||||||
2.573% VRN 4/30/28 | 138,250 | 136,714 | ||||||
4,276,014 | ||||||||
Packaging & Containers — 0.1% | ||||||||
Berry Global, Inc., 2021 Term Loan Z, 1 mo. USD LIBOR + 1.750% | ||||||||
1.827% VRN 7/01/26 | 461,100 | 457,305 | ||||||
Reynolds Group Holdings, Inc., USD 2017 Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 2/05/23 | 210,000 | 209,475 | ||||||
666,780 | ||||||||
Pharmaceuticals — 0.7% | ||||||||
Bausch Health Cos., Inc. | ||||||||
Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 11/27/25 | 255,625 | 253,588 | ||||||
2018 Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 6/02/25 | 281,934 | 280,631 | ||||||
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. USD LIBOR + 2.500% | ||||||||
3.500% VRN 3/01/24 | 906,992 | 905,813 | ||||||
Endo Luxembourg Finance Co. I S.A.R.L., 2021 Term Loan, 3 mo. USD LIBOR + 5.000% | ||||||||
5.750% VRN 3/27/28 | 46,735 | 45,026 | ||||||
Gainwell Acquisition Corp., Term Loan B, 3 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 10/01/27 | 768,650 | 770,379 | ||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 Week USD LIBOR + 2.000% | ||||||||
2.088% VRN 11/15/27 | 937,839 | 928,227 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
HC Group Holdings II, Inc., Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 8/06/26 | $ | 344,750 | $ | 344,678 | ||||
Horizon Therapeutics USA, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 2.000% | ||||||||
2.500% VRN 3/15/28 | 480,000 | 476,549 | ||||||
Jazz Financing Lux S.a.r.l., USD Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 4/21/28 | 740,000 | 742,079 | ||||||
4,746,970 | ||||||||
Real Estate Investment Trusts (REITS) — 0.1% | ||||||||
VICI Properties 1 LLC, Replacement Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.841% VRN 12/20/24 | 730,000 | 723,532 | ||||||
Retail — 0.3% | ||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 11/19/26 | 692,268 | 682,210 | ||||||
Academy, Ltd., 2021 Term Loan, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 11/05/27 | 105,000 | 105,361 | ||||||
BJ's Wholesale Club, Inc., 2017 1st Lien Term Loan, 1 mo. USD LIBOR + 2.000% | ||||||||
2.073% VRN 2/03/24 | 19,974 | 19,969 | ||||||
Great Outdoors Group LLC, 2021 Term Loan B, 6 mo. USD LIBOR + 4.250% | ||||||||
5.000% VRN 3/06/28 | 219,450 | 219,999 | ||||||
Harbor Freight Tools USA, Inc., 2020 Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.750% VRN 10/19/27 | 378,275 | 378,021 | ||||||
Michaels Cos., Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 4.250% | ||||||||
5.000% VRN 4/15/28 | 300,000 | 301,092 | ||||||
Petco Health & Wellness Co., Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 3/03/28 | 408,975 | 408,026 | ||||||
Whatabrands LLC, 2020 Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
2.832% VRN 7/31/26 | 9,241 | 9,196 | ||||||
2,123,874 | ||||||||
Software — 0.5% | ||||||||
Athenahealth, Inc., 2021 Term Loan B1, 3 mo. USD LIBOR + 4.250% | ||||||||
4.410% VRN 2/11/26 | 1,090,859 | 1,093,247 | ||||||
DCert Buyer, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 4.000% | ||||||||
4.104% VRN 10/16/26 | 909,694 | 910,076 | ||||||
MA FinanceCo. LLC, USD Term Loan B3, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 6/21/24 | 11,199 | 11,059 | ||||||
Rackspace Hosting, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 2.750% | ||||||||
3.500% VRN 2/15/28 | 448,875 | 446,200 | ||||||
RealPage, Inc., 1st Lien Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 4/24/28 | 720,000 | 717,480 | ||||||
Seattle Spinco, Inc., USD Term Loan B3, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 6/21/24 | 75,632 | 74,687 | ||||||
3,252,749 | ||||||||
Telecommunications — 0.2% | ||||||||
Altice France S.A., USD Term Loan B12, 3 mo. USD LIBOR + 3.687% | ||||||||
3.871% VRN 1/31/26 | 220,103 | 218,067 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Level 3 Financing, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.854% VRN 3/01/27 | $ | 798,362 | $ | 785,636 | ||||
Zayo Group Holdings, Inc., USD Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 3/09/27 | 430,000 | 425,197 | ||||||
1,428,900 | ||||||||
Transportation — 0.2% | ||||||||
Genesee & Wyoming, Inc., Term Loan, 3 mo. USD LIBOR + 2.000% | ||||||||
2.147% VRN 12/30/26 | 950,098 | 943,238 | ||||||
XPO Logistics, Inc., 2018 Term Loan B, 3 mo. USD LIBOR + 1.750% | ||||||||
1.881% VRN 2/24/25 | 380,000 | 378,142 | ||||||
1,321,380 | ||||||||
TOTAL BANK LOANS (Cost $45,961,518) | 45,847,680 | |||||||
CORPORATE DEBT — 38.9% | ||||||||
Aerospace & Defense — 1.4% | ||||||||
The Boeing Co. | ||||||||
2.196% 2/04/26 | 230,000 | 232,403 | ||||||
2.700% 2/01/27 | 90,000 | 93,072 | ||||||
2.800% 3/01/27 | 150,000 | 156,104 | ||||||
3.100% 5/01/26 | 80,000 | 84,634 | ||||||
3.200% 3/01/29 | 450,000 | 472,987 | ||||||
3.250% 2/01/35 | 730,000 | 739,196 | ||||||
3.550% 3/01/38 | 80,000 | 82,231 | ||||||
3.750% 2/01/50 | 240,000 | 247,531 | ||||||
4.875% 5/01/25 | 990,000 | 1,109,633 | ||||||
5.150% 5/01/30 | 500,000 | 592,646 | ||||||
5.705% 5/01/40 | 400,000 | 515,566 | ||||||
5.805% 5/01/50 | 930,000 | 1,253,235 | ||||||
5.930% 5/01/60 | 10,000 | 13,820 | ||||||
General Dynamics Corp. | ||||||||
3.250% 4/01/25 | 140,000 | 151,771 | ||||||
3.500% 5/15/25 | 50,000 | 54,825 | ||||||
4.250% 4/01/40 | 20,000 | 24,483 | ||||||
4.250% 4/01/50 | 110,000 | 141,287 | ||||||
L3Harris Technologies, Inc. | ||||||||
5.054% 4/27/45 | 280,000 | 369,108 | ||||||
Lockheed Martin Corp. | ||||||||
3.550% 1/15/26 | 350,000 | 386,911 | ||||||
4.500% 5/15/36 | 60,000 | 75,177 | ||||||
Northrop Grumman Corp. | ||||||||
2.930% 1/15/25 | 340,000 | 362,580 | ||||||
3.250% 1/15/28 | 730,000 | 797,978 | ||||||
5.250% 5/01/50 | 230,000 | 323,267 | ||||||
Raytheon Technologies Corp. | ||||||||
2.250% 7/01/30 | 280,000 | 284,843 | ||||||
3.150% 12/15/24 | 140,000 | 150,252 | ||||||
3.950% 8/16/25 | 350,000 | 389,391 | ||||||
4.125% 11/16/28 | 260,000 | 299,399 | ||||||
4.500% 6/01/42 | 80,000 | 99,696 | ||||||
9,504,026 | ||||||||
Agriculture — 0.7% | ||||||||
Altria Group, Inc. |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2.350% 5/06/25 | $ | 80,000 | $ | 83,667 | ||||
2.450% 2/04/32 | 140,000 | 135,460 | ||||||
3.875% 9/16/46 | 150,000 | 148,828 | ||||||
4.400% 2/14/26 | 322,000 | 364,449 | ||||||
4.800% 2/14/29 | 58,000 | 67,302 | ||||||
5.800% 2/14/39 | 1,070,000 | 1,322,816 | ||||||
5.950% 2/14/49 | 100,000 | 127,956 | ||||||
6.200% 2/14/59 | 56,000 | 72,482 | ||||||
BAT Capital Corp. | ||||||||
3.557% 8/15/27 | 500,000 | 535,700 | ||||||
4.540% 8/15/47 | 460,000 | 489,504 | ||||||
Cargill, Inc. | ||||||||
1.375% 7/23/23 (b) | 300,000 | 305,524 | ||||||
Philip Morris International, Inc. | ||||||||
1.125% 5/01/23 | 190,000 | 192,477 | ||||||
2.100% 5/01/30 | 190,000 | 189,267 | ||||||
2.500% 8/22/22 | 80,000 | 82,098 | ||||||
2.500% 11/02/22 | 350,000 | 359,341 | ||||||
2.900% 11/15/21 | 240,000 | 242,473 | ||||||
4.500% 3/20/42 | 80,000 | 96,434 | ||||||
Reynolds American, Inc. | ||||||||
5.850% 8/15/45 | 190,000 | 232,787 | ||||||
5,048,565 | ||||||||
Airlines — 0.7% | ||||||||
Delta Air Lines, Inc. | ||||||||
3.625% 3/15/22 | 250,000 | 253,514 | ||||||
3.800% 4/19/23 | 90,000 | 93,402 | ||||||
2.900% 10/28/24 | 180,000 | 183,150 | ||||||
7.000% 5/01/25 (b) | 1,670,000 | 1,949,618 | ||||||
7.375% 1/15/26 | 380,000 | 446,033 | ||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||||||||
4.500% 10/20/25 (b) | 320,000 | 343,985 | ||||||
4.750% 10/20/28 (b) | 300,000 | 333,722 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.500% 6/20/27 (b) | 330,000 | 363,330 | ||||||
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. | ||||||||
8.000% 9/20/25 (b) | 240,000 | 271,440 | ||||||
United Airlines, Inc. | ||||||||
4.375% 4/15/26 (b) | 10,000 | 10,350 | ||||||
4.625% 4/15/29 (b) | 270,000 | 279,450 | ||||||
4,527,994 | ||||||||
Apparel — 0.2% | ||||||||
Hanesbrands, Inc. | ||||||||
4.625% 5/15/24 (b) | 30,000 | 31,800 | ||||||
5.375% 5/15/25 (b) | 200,000 | 211,750 | ||||||
4.875% 5/15/26 (b) | 110,000 | 118,800 | ||||||
Levi Strauss & Co. | ||||||||
5.000% 5/01/25 | 38,000 | 38,760 | ||||||
NIKE, Inc. | ||||||||
2.400% 3/27/25 | 170,000 | 179,908 | ||||||
2.750% 3/27/27 | 270,000 | 291,292 | ||||||
2.850% 3/27/30 | 280,000 | 304,559 | ||||||
3.250% 3/27/40 | 130,000 | 142,857 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
3.375% 3/27/50 | $ | 310,000 | $ | 349,296 | ||||
1,669,022 | ||||||||
Auto Manufacturers — 0.8% | ||||||||
BMW US Capital LLC | ||||||||
1.850% 9/15/21 (b) | 60,000 | 60,120 | ||||||
Ford Motor Co. | ||||||||
4.750% 1/15/43 | 90,000 | 95,625 | ||||||
Ford Motor Credit Co. LLC | ||||||||
2.900% 2/16/28 | 390,000 | 388,151 | ||||||
3.339% 3/28/22 | 370,000 | 375,439 | ||||||
3.625% 6/17/31 | 220,000 | 224,264 | ||||||
4.000% 11/13/30 | 200,000 | 209,500 | ||||||
4.125% 8/17/27 | 200,000 | 212,155 | ||||||
5.125% 6/16/25 | 200,000 | 220,250 | ||||||
5.875% 8/02/21 | 400,000 | 402,040 | ||||||
General Motors Co. | ||||||||
5.150% 4/01/38 | 40,000 | 48,812 | ||||||
5.400% 10/02/23 | 130,000 | 143,155 | ||||||
5.950% 4/01/49 | 110,000 | 149,842 | ||||||
6.125% 10/01/25 | 220,000 | 260,530 | ||||||
6.250% 10/02/43 | 300,000 | 414,516 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.450% 4/10/22 | 30,000 | 30,552 | ||||||
4.250% 5/15/23 | 10,000 | 10,627 | ||||||
4.375% 9/25/21 | 80,000 | 80,740 | ||||||
Nissan Motor Co. Ltd. | ||||||||
3.043% 9/15/23 (b) | 400,000 | 417,135 | ||||||
3.522% 9/17/25 (b) | 810,000 | 865,259 | ||||||
4.345% 9/17/27 (b) | 700,000 | 769,860 | ||||||
5,378,572 | ||||||||
Banks — 11.0% | ||||||||
ABN AMRO Bank NV | ||||||||
4.750% 7/28/25 (b) | 260,000 | 291,443 | ||||||
Banco Santander SA | ||||||||
3 mo. USD LIBOR + 1.120% 1.308% FRN 4/12/23 | 200,000 | 202,732 | ||||||
2.746% 5/28/25 | 1,000,000 | 1,054,174 | ||||||
3.848% 4/12/23 | 400,000 | 422,800 | ||||||
Bank of America Corp. | ||||||||
SOFR + 2.150% 2.592% VRN 4/29/31 | 360,000 | 371,550 | ||||||
3 mo. USD LIBOR + .790% 3.004% VRN 12/20/23 | 270,000 | 279,790 | ||||||
3.300% 1/11/23 | 90,000 | 93,920 | ||||||
3 mo. USD LIBOR + 1.040% 3.419% VRN 12/20/28 | 570,000 | 621,016 | ||||||
3.500% 4/19/26 | 290,000 | 319,214 | ||||||
3 mo. USD LIBOR + .780% 3.550% VRN 3/05/24 | 470,000 | 493,788 | ||||||
3 mo. USD LIBOR + 1.370% 3.593% VRN 7/21/28 | 1,920,000 | 2,114,929 | ||||||
3 mo. USD LIBOR + 1.070% 3.970% VRN 3/05/29 | 600,000 | 676,890 | ||||||
3 mo. USD LIBOR + 1.210% 3.974% VRN 2/07/30 | 630,000 | 715,049 | ||||||
4.000% 4/01/24 | 270,000 | 294,570 | ||||||
4.000% 1/22/25 | 270,000 | 296,380 | ||||||
3 mo. USD LIBOR + 3.150% 4.083% VRN 3/20/51 | 1,150,000 | 1,375,232 | ||||||
4.125% 1/22/24 | 290,000 | 315,768 | ||||||
4.200% 8/26/24 | 380,000 | 416,634 | ||||||
4.250% 10/22/26 | 50,000 | 56,483 | ||||||
3 mo. USD LIBOR + 1.520% 4.330% VRN 3/15/50 | 250,000 | 307,818 | ||||||
4.450% 3/03/26 | 50,000 | 56,664 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.000% 1/21/44 | $ | 490,000 | $ | 651,776 | ||||
3 mo. USD LIBOR + 3.705% 6.250% VRN (c) | 170,000 | 188,062 | ||||||
Bank of Montreal | ||||||||
1.850% 5/01/25 | 590,000 | 610,123 | ||||||
5 year USD Swap + 1.432% 3.803% VRN 12/15/32 | 90,000 | 99,316 | ||||||
The Bank of New York Mellon Corp. | ||||||||
1.600% 4/24/25 | 170,000 | 174,627 | ||||||
The Bank of Nova Scotia | ||||||||
1.300% 6/11/25 | 320,000 | 323,256 | ||||||
Barclays Bank PLC | ||||||||
1.700% 5/12/22 | 240,000 | 242,723 | ||||||
Barclays PLC | ||||||||
3 mo. USD LIBOR + 1.902% 4.972% VRN 5/16/29 | 230,000 | 269,540 | ||||||
3 mo. USD LIBOR + 3.054% 5.088% VRN 6/20/30 | 910,000 | 1,061,551 | ||||||
BNP Paribas SA | ||||||||
SOFR + 2.074% 2.219% VRN 6/09/26 (b) | 400,000 | 412,082 | ||||||
3.375% 1/09/25 (b) | 240,000 | 257,497 | ||||||
5 year USD Swap + 1.483% 4.375% VRN 3/01/33 (b) | 220,000 | 243,100 | ||||||
4.400% 8/14/28 (b) | 1,120,000 | 1,292,600 | ||||||
4.625% 3/13/27 (b) | 260,000 | 293,573 | ||||||
3 mo. USD LIBOR + 2.235% 4.705% VRN 1/10/25 (b) | 680,000 | 742,363 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.950% 6/23/23 | 300,000 | 302,633 | ||||||
Citigroup, Inc. | ||||||||
SOFR + 1.667% 1.678% VRN 5/15/24 | 340,000 | 347,147 | ||||||
SOFR + 2.107% 2.572% VRN 6/03/31 | 340,000 | 349,904 | ||||||
SOFR + 2.842% 3.106% VRN 4/08/26 | 240,000 | 256,934 | ||||||
3 mo. USD LIBOR + 1.151% 3.520% VRN 10/27/28 | 780,000 | 854,635 | ||||||
3 mo. USD LIBOR + 1.338% 3.980% VRN 3/20/30 | 710,000 | 804,912 | ||||||
3 mo. USD LIBOR + 1.192% 4.075% VRN 4/23/29 | 750,000 | 851,301 | ||||||
4.125% 7/25/28 | 360,000 | 405,987 | ||||||
4.300% 11/20/26 | 670,000 | 756,898 | ||||||
4.400% 6/10/25 | 340,000 | 379,878 | ||||||
SOFR + 3.914% 4.412% VRN 3/31/31 | 410,000 | 479,415 | ||||||
4.450% 9/29/27 | 480,000 | 548,352 | ||||||
4.650% 7/30/45 | 441,000 | 568,145 | ||||||
4.650% 7/23/48 | 70,000 | 91,739 | ||||||
4.750% 5/18/46 | 40,000 | 50,920 | ||||||
5.300% 5/06/44 | 16,000 | 21,546 | ||||||
5.500% 9/13/25 | 170,000 | 198,107 | ||||||
3 mo. USD LIBOR + 3.905% 5.950% VRN (c) | 320,000 | 350,224 | ||||||
3 mo. USD LIBOR + 4.068% 5.950% VRN (c) | 100,000 | 105,136 | ||||||
3 mo. USD LIBOR + 3.423% 6.300% VRN (c) | 60,000 | 64,542 | ||||||
6.625% 6/15/32 | 20,000 | 27,225 | ||||||
8.125% 7/15/39 | 310,000 | 535,939 | ||||||
Cooperatieve Rabobank UA | ||||||||
1 year CMT + 1.000% 1.339% VRN 6/24/26 (b) | 250,000 | 251,123 | ||||||
4.375% 8/04/25 | 1,380,000 | 1,540,445 | ||||||
4.625% 12/01/23 | 250,000 | 273,343 | ||||||
Credit Agricole SA SOFR + 1.676% | ||||||||
1.907% VRN 6/16/26 (b) | 270,000 | 275,461 | ||||||
Credit Suisse AG | ||||||||
2.950% 4/09/25 | 340,000 | 364,161 | ||||||
Credit Suisse Group AG | ||||||||
SOFR + 2.044% 2.193% VRN 6/05/26 (b) | 850,000 | 870,516 | ||||||
SOFR + 1.730% 3.091% VRN 5/14/32 (b) | 350,000 | 359,710 | ||||||
SOFR + 3.730% 4.194% VRN 4/01/31 (b) | 250,000 | 281,239 | ||||||
4.550% 4/17/26 | 500,000 | 566,543 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Danske Bank A/S | ||||||||
1.226% 6/22/24 (b) | $ | 200,000 | $ | 202,095 | ||||
3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (b) | 420,000 | 422,050 | ||||||
5.000% 1/12/22 (b) | 740,000 | 757,156 | ||||||
5.375% 1/12/24 (b) | 610,000 | 676,444 | ||||||
Goldman Sachs Capital II 3 mo. USD LIBOR + .768% | ||||||||
4.000% VRN (c) | 18,000 | 17,838 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
3.200% 2/23/23 | 300,000 | 312,954 | ||||||
SOFR + 1.513% 3.210% VRN 4/22/42 | 20,000 | 20,945 | ||||||
3.500% 4/01/25 | 370,000 | 401,546 | ||||||
3.500% 11/16/26 | 200,000 | 217,566 | ||||||
3.625% 2/20/24 | 1,270,000 | 1,361,488 | ||||||
3 mo. USD LIBOR + 1.510% 3.691% VRN 6/05/28 | 1,740,000 | 1,922,139 | ||||||
3.850% 7/08/24 | 90,000 | 97,350 | ||||||
4.000% 3/03/24 | 100,000 | 108,620 | ||||||
3 mo. USD LIBOR + 1.301% 4.223% VRN 5/01/29 | 490,000 | 559,297 | ||||||
4.250% 10/21/25 | 260,000 | 290,878 | ||||||
4.750% 10/21/45 | 230,000 | 302,115 | ||||||
5.150% 5/22/45 | 1,000,000 | 1,342,545 | ||||||
5.250% 7/27/21 | 100,000 | 100,348 | ||||||
6.250% 2/01/41 | 400,000 | 594,508 | ||||||
6.750% 10/01/37 | 80,000 | 116,498 | ||||||
HSBC Holdings PLC | ||||||||
SOFR + 1.929% 2.099% VRN 6/04/26 | 510,000 | 524,622 | ||||||
3 mo. USD LIBOR + 1.610% 3.973% VRN 5/22/30 | 770,000 | 861,378 | ||||||
4.250% 8/18/25 | 330,000 | 365,827 | ||||||
4.300% 3/08/26 | 500,000 | 564,545 | ||||||
Intesa Sanpaolo SpA | ||||||||
3.125% 7/14/22 (b) | 300,000 | 307,785 | ||||||
3.375% 1/12/23 (b) | 550,000 | 572,440 | ||||||
5.017% 6/26/24 (b) | 900,000 | 979,345 | ||||||
5.710% 1/15/26 (b) | 200,000 | 226,289 | ||||||
JP Morgan Chase & Co. | ||||||||
SOFR + 1.455% 1.514% VRN 6/01/24 | 900,000 | 917,643 | ||||||
SOFR + 1.850% 2.083% VRN 4/22/26 | 540,000 | 558,580 | ||||||
SOFR + 2.040% 2.522% VRN 4/22/31 | 300,000 | 308,919 | ||||||
SOFR + 2.440% 3.109% VRN 4/22/51 | 80,000 | 83,007 | ||||||
3 mo. USD LIBOR + .945% 3.509% VRN 1/23/29 | 780,000 | 859,403 | ||||||
3.625% 5/13/24 | 80,000 | 86,747 | ||||||
3.875% 9/10/24 | 300,000 | 327,088 | ||||||
3 mo. USD LIBOR + 1.000% 4.023% VRN 12/05/24 | 940,000 | 1,014,428 | ||||||
3 mo. USD LIBOR + 1.260% 4.203% VRN 7/23/29 | 310,000 | 356,564 | ||||||
4.250% 10/01/27 | 70,000 | 79,839 | ||||||
3 mo. USD LIBOR + 1.330% 4.452% VRN 12/05/29 | 610,000 | 713,927 | ||||||
4.950% 6/01/45 | 290,000 | 384,399 | ||||||
Lloyds Banking Group PLC | ||||||||
3.900% 3/12/24 | 580,000 | 628,556 | ||||||
4.375% 3/22/28 | 200,000 | 229,857 | ||||||
4.550% 8/16/28 | 370,000 | 431,355 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
2.998% 2/22/22 | 160,000 | 162,833 | ||||||
Morgan Stanley | ||||||||
SOFR + 1.990% 2.188% VRN 4/28/26 | 870,000 | 903,641 | ||||||
SOFR + 1.143% 2.699% VRN 1/22/31 | 10,000 | 10,483 | ||||||
SOFR + 3.120% 3.622% VRN 4/01/31 | 990,000 | 1,106,223 | ||||||
3 mo. USD LIBOR + 1.140% 3.772% VRN 1/24/29 | 820,000 | 921,039 | ||||||
3 mo. USD LIBOR + 1.628% 4.431% VRN 1/23/30 | 10,000 | 11,725 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
National Securities Clearing Corp. | ||||||||
1.200% 4/23/23 (b) | $ | 250,000 | $ | 253,891 | ||||
1.500% 4/23/25 (b) | 250,000 | 255,046 | ||||||
Natwest Group PLC | ||||||||
3 mo. USD LIBOR + 1.762% 4.269% VRN 3/22/25 | 430,000 | 466,431 | ||||||
3 mo. USD LIBOR + 1.550% 4.519% VRN 6/25/24 | 200,000 | 214,692 | ||||||
Royal Bank of Canada | ||||||||
1.150% 6/10/25 | 310,000 | 311,771 | ||||||
1.600% 4/17/23 | 500,000 | 510,776 | ||||||
Santander Holdings USA, Inc. | ||||||||
4.500% 7/17/25 | 50,000 | 55,507 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.058% 7/14/21 | 230,000 | 230,154 | ||||||
Swedbank AB | ||||||||
1.300% 6/02/23 (b) | 390,000 | 395,754 | ||||||
The Toronto-Dominion Bank | ||||||||
0.750% 6/12/23 | 610,000 | 614,232 | ||||||
1.150% 6/12/25 | 300,000 | 302,271 | ||||||
UBS AG | ||||||||
1.750% 4/21/22 (b) | 550,000 | 556,146 | ||||||
UBS Group AG | ||||||||
3 mo. USD LIBOR + .954% 2.859% VRN 8/15/23 (b) | 200,000 | 205,226 | ||||||
3.491% 5/23/23 (b) | 500,000 | 513,497 | ||||||
4.125% 9/24/25 (b) | 210,000 | 233,940 | ||||||
4.253% 3/23/28 (b) | 800,000 | 905,575 | ||||||
5 year USD Swap + 4.344% 7.000% VRN (b) (c) | 1,050,000 | 1,156,312 | ||||||
UniCredit SpA | ||||||||
6.572% 1/14/22 (b) | 640,000 | 659,740 | ||||||
US Bancorp | ||||||||
1.450% 5/12/25 | 680,000 | 695,254 | ||||||
Wells Fargo & Co. | ||||||||
SOFR + 1.600% 1.654% VRN 6/02/24 | 720,000 | 735,317 | ||||||
SOFR + 2.000% 2.188% VRN 4/30/26 | 570,000 | 592,221 | ||||||
SOFR + 2.100% 2.393% VRN 6/02/28 | 360,000 | 373,552 | ||||||
SOFR + 1.432% 2.879% VRN 10/30/30 | 150,000 | 159,004 | ||||||
3.000% 10/23/26 | 350,000 | 377,621 | ||||||
3.450% 2/13/23 | 120,000 | 125,794 | ||||||
3.750% 1/24/24 | 270,000 | 290,390 | ||||||
4.150% 1/24/29 | 630,000 | 724,788 | ||||||
4.300% 7/22/27 | 370,000 | 422,093 | ||||||
4.400% 6/14/46 | 180,000 | 216,715 | ||||||
SOFR + 4.032% 4.478% VRN 4/04/31 | 210,000 | 248,465 | ||||||
4.480% 1/16/24 | 991,000 | 1,083,628 | ||||||
4.650% 11/04/44 | 400,000 | 492,601 | ||||||
4.750% 12/07/46 | 590,000 | 746,425 | ||||||
4.900% 11/17/45 | 880,000 | 1,128,213 | ||||||
SOFR + 4.502% 5.013% VRN 4/04/51 | 2,210,000 | 3,028,249 | ||||||
5.375% 11/02/43 | 110,000 | 146,635 | ||||||
3 mo. USD LIBOR + 3.990% 5.875% VRN (c) | 50,000 | 55,996 | ||||||
74,579,882 | ||||||||
Beverages — 0.9% | ||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | ||||||||
3.650% 2/01/26 | 790,000 | 873,661 | ||||||
4.900% 2/01/46 | 440,000 | 555,291 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
3.500% 6/01/30 | 130,000 | 144,610 | ||||||
4.000% 4/13/28 | 80,000 | 91,223 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
4.350% 6/01/40 | $ | 200,000 | $ | 238,253 | ||||
4.500% 6/01/50 | 360,000 | 439,187 | ||||||
4.750% 1/23/29 | 870,000 | 1,037,284 | ||||||
5.550% 1/23/49 | 320,000 | 441,567 | ||||||
The Coca-Cola Co. | ||||||||
1.450% 6/01/27 | 250,000 | 252,576 | ||||||
2.500% 6/01/40 | 10,000 | 9,915 | ||||||
2.600% 6/01/50 | 140,000 | 135,009 | ||||||
3.375% 3/25/27 | 320,000 | 356,620 | ||||||
Diageo Investment Corp. | ||||||||
2.875% 5/11/22 | 150,000 | 153,389 | ||||||
Molson Coors Beverage Co. | ||||||||
3.000% 7/15/26 | 80,000 | 85,708 | ||||||
3.500% 5/01/22 | 30,000 | 30,788 | ||||||
4.200% 7/15/46 | 80,000 | 89,203 | ||||||
PepsiCo, Inc. | ||||||||
0.750% 5/01/23 | 360,000 | 363,035 | ||||||
1.625% 5/01/30 | 290,000 | 285,390 | ||||||
2.250% 3/19/25 | 30,000 | 31,538 | ||||||
2.625% 3/19/27 | 40,000 | 42,975 | ||||||
2.875% 10/15/49 | 100,000 | 103,236 | ||||||
3.625% 3/19/50 | 50,000 | 58,586 | ||||||
3.875% 3/19/60 | 80,000 | 98,559 | ||||||
4.000% 3/05/42 | 50,000 | 60,578 | ||||||
5,978,181 | ||||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | ||||||||
3.625% 5/22/24 | 30,000 | 32,298 | ||||||
4.663% 6/15/51 | 34,000 | 43,842 | ||||||
Gilead Sciences, Inc. | ||||||||
3.700% 4/01/24 | 210,000 | 225,750 | ||||||
4.500% 2/01/45 | 10,000 | 12,243 | ||||||
4.750% 3/01/46 | 200,000 | 253,803 | ||||||
567,936 | ||||||||
Building Materials — 0.0% | ||||||||
Carrier Global Corp. | ||||||||
3.577% 4/05/50 | 20,000 | 21,226 | ||||||
Chemicals — 0.3% | ||||||||
Equate Petrochemical BV | ||||||||
4.250% 11/03/26 (b) | 430,000 | 477,300 | ||||||
OCP SA | ||||||||
3.750% 6/23/31 (b) | 260,000 | 262,470 | ||||||
4.500% 10/22/25 (b) | 330,000 | 356,742 | ||||||
5.125% 6/23/51 (b) | 220,000 | 222,002 | ||||||
Orbia Advance Corp. SAB de CV | ||||||||
1.875% 5/11/26 (b) | 520,000 | 525,980 | ||||||
2.875% 5/11/31 (b) | 490,000 | 493,062 | ||||||
2,337,556 | ||||||||
Commercial Services — 0.4% | ||||||||
Cintas Corp. No 2 | ||||||||
2.900% 4/01/22 | 160,000 | 162,851 | ||||||
3.700% 4/01/27 | 260,000 | 291,462 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
DP World PLC | ||||||||
5.625% 9/25/48 (b) | $ | 560,000 | $ | 699,272 | ||||
PayPal Holdings, Inc. | ||||||||
1.350% 6/01/23 | 260,000 | 264,575 | ||||||
1.650% 6/01/25 | 270,000 | 277,509 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | ||||||||
5.750% 4/15/26 (b) | 210,000 | 231,981 | ||||||
United Rentals North America, Inc. | ||||||||
3.875% 11/15/27 | 60,000 | 63,044 | ||||||
3.875% 2/15/31 | 460,000 | 468,050 | ||||||
4.875% 1/15/28 | 150,000 | 159,197 | ||||||
5.875% 9/15/26 | 90,000 | 93,131 | ||||||
2,711,072 | ||||||||
Computers — 0.4% | ||||||||
Apple, Inc. | ||||||||
1.125% 5/11/25 | 730,000 | 738,741 | ||||||
1.550% 8/04/21 | 10,000 | 10,001 | ||||||
2.450% 8/04/26 | 800,000 | 851,312 | ||||||
International Business Machines Corp. | ||||||||
3.000% 5/15/24 | 910,000 | 969,896 | ||||||
2,569,950 | ||||||||
Cosmetics & Personal Care — 0.0% | ||||||||
The Procter & Gamble Co. | ||||||||
2.800% 3/25/27 | 50,000 | 54,225 | ||||||
3.000% 3/25/30 | 160,000 | 176,717 | ||||||
230,942 | ||||||||
Diversified Financial Services — 0.4% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
3.150% 2/15/24 | 380,000 | 398,930 | ||||||
Air Lease Corp. | ||||||||
3.375% 7/01/25 | 200,000 | 214,902 | ||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
4.418% 11/15/35 | 380,000 | 456,100 | ||||||
ILFC E-Capital Trust II | ||||||||
3.910% VRN 12/21/65 (b) (d) | 10,000 | 8,533 | ||||||
International Lease Finance Corp. | ||||||||
5.875% 8/15/22 | 70,000 | 74,070 | ||||||
KKR Group Finance Co. II LLC | ||||||||
5.500% 2/01/43 (b) | 20,000 | 26,661 | ||||||
Mastercard, Inc. | ||||||||
3.850% 3/26/50 | 50,000 | 60,430 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
4.500% 3/15/23 (b) | 10,000 | 10,511 | ||||||
5.250% 8/15/22 (b) | 16,000 | 16,742 | ||||||
5.500% 2/15/24 (b) | 50,000 | 54,969 | ||||||
Vanguard Group, Inc. | ||||||||
3.050% 8/22/50 | 450,000 | 406,995 | ||||||
Visa, Inc. | ||||||||
3.150% 12/14/25 | 720,000 | 787,970 | ||||||
4.300% 12/14/45 | 260,000 | 333,917 | ||||||
2,850,730 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Electric — 0.8% | ||||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
3.350% 4/01/30 | $ | 120,000 | $ | 132,010 | ||||
3.950% 4/01/50 | 80,000 | 90,901 | ||||||
Duke Energy Corp. | ||||||||
3.750% 4/15/24 | 100,000 | 107,688 | ||||||
Duke Energy Ohio, Inc. | ||||||||
3.650% 2/01/29 | 440,000 | 490,367 | ||||||
Exelon Corp. | ||||||||
5.625% 6/15/35 | 290,000 | 382,430 | ||||||
FirstEnergy Corp. | ||||||||
1.600% 1/15/26 | 120,000 | 117,300 | ||||||
4.400% STEP 7/15/27 | 710,000 | 772,125 | ||||||
4.750% STEP 3/15/23 | 310,000 | 327,221 | ||||||
5.350% STEP 7/15/47 | 240,000 | 287,759 | ||||||
7.375% 11/15/31 | 1,460,000 | 1,997,153 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.750% 6/16/22 | 450,000 | 449,738 | ||||||
2.100% 8/01/27 | 140,000 | 136,040 | ||||||
2.500% 2/01/31 | 180,000 | 168,890 | ||||||
3.300% 8/01/40 | 50,000 | 45,196 | ||||||
3.500% 8/01/50 | 80,000 | 71,358 | ||||||
5,576,176 | ||||||||
Electronics — 0.0% | ||||||||
Honeywell International, Inc. | ||||||||
1.350% 6/01/25 | 210,000 | 214,071 | ||||||
Environmental Controls — 0.1% | ||||||||
GFL Environmental, Inc. | ||||||||
4.250% 6/01/25 (b) | 160,000 | 166,646 | ||||||
Republic Services, Inc. | ||||||||
2.500% 8/15/24 | 230,000 | 241,397 | ||||||
408,043 | ||||||||
Food — 0.6% | ||||||||
Danone SA | ||||||||
2.077% 11/02/21 (b) | 250,000 | 251,149 | ||||||
2.589% 11/02/23 (b) | 310,000 | 323,126 | ||||||
2.947% 11/02/26 (b) | 550,000 | 589,814 | ||||||
The Hershey Co. | ||||||||
0.900% 6/01/25 | 90,000 | 90,299 | ||||||
Kraft Heinz Foods Co. | ||||||||
3.000% 6/01/26 | 158,000 | 168,330 | ||||||
4.250% 3/01/31 | 70,000 | 79,604 | ||||||
4.375% 6/01/46 | 130,000 | 147,232 | ||||||
4.625% 10/01/39 | 10,000 | 11,641 | ||||||
4.875% 10/01/49 | 180,000 | 218,380 | ||||||
5.000% 6/04/42 | 110,000 | 134,252 | ||||||
5.200% 7/15/45 | 270,000 | 334,823 | ||||||
5.500% 6/01/50 | 150,000 | 194,800 | ||||||
6.750% STEP 3/15/32 | 10,000 | 13,543 | ||||||
6.875% 1/26/39 | 30,000 | 43,087 | ||||||
7.125% 8/01/39 (b) | 10,000 | 14,610 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.875% 5/15/28 (b) | 70,000 | 77,438 | ||||||
Mars, Inc. |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2.700% 4/01/25 (b) | $ | 240,000 | $ | 254,921 | ||||
3.200% 4/01/30 (b) | 140,000 | 153,362 | ||||||
Mondelez International, Inc. | ||||||||
1.500% 5/04/25 | 660,000 | 673,043 | ||||||
3,773,454 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Suzano Austria GmbH | ||||||||
3.125% 1/15/32 (e) | 80,000 | 79,132 | ||||||
3.750% 1/15/31 | 770,000 | 807,538 | ||||||
886,670 | ||||||||
Health Care – Products — 0.1% | ||||||||
Abbott Laboratories | ||||||||
3.750% 11/30/26 | 239,000 | 270,033 | ||||||
4.750% 11/30/36 | 140,000 | 180,354 | ||||||
4.900% 11/30/46 | 160,000 | 219,124 | ||||||
Medtronic, Inc. | ||||||||
3.500% 3/15/25 | 136,000 | 149,361 | ||||||
4.625% 3/15/45 | 28,000 | 36,756 | ||||||
855,628 | ||||||||
Health Care – Services — 0.7% | ||||||||
Aetna, Inc. | ||||||||
2.800% 6/15/23 | 40,000 | 41,626 | ||||||
Anthem, Inc. | ||||||||
2.950% 12/01/22 | 330,000 | 341,197 | ||||||
3.125% 5/15/22 | 50,000 | 51,226 | ||||||
3.350% 12/01/24 | 120,000 | 129,480 | ||||||
3.650% 12/01/27 | 140,000 | 156,774 | ||||||
CommonSpirit Health | ||||||||
4.350% 11/01/42 | 20,000 | 23,318 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
4.750% 10/15/24 (b) | 70,000 | 77,789 | ||||||
5.875% 1/31/22 (b) | 50,000 | 51,525 | ||||||
HCA, Inc. | ||||||||
3.500% 9/01/30 | 260,000 | 276,996 | ||||||
4.500% 2/15/27 | 40,000 | 45,223 | ||||||
4.750% 5/01/23 | 250,000 | 267,843 | ||||||
5.000% 3/15/24 | 50,000 | 55,250 | ||||||
5.250% 6/15/26 | 60,000 | 69,480 | ||||||
5.375% 2/01/25 | 140,000 | 157,920 | ||||||
5.375% 9/01/26 | 40,000 | 46,000 | ||||||
5.500% 6/15/47 | 130,000 | 169,828 | ||||||
5.625% 9/01/28 | 30,000 | 35,550 | ||||||
5.875% 2/01/29 | 290,000 | 350,175 | ||||||
Humana, Inc. | ||||||||
3.150% 12/01/22 | 40,000 | 41,243 | ||||||
3.950% 3/15/27 | 190,000 | 213,194 | ||||||
4.500% 4/01/25 | 50,000 | 56,002 | ||||||
4.625% 12/01/42 | 70,000 | 85,995 | ||||||
4.800% 3/15/47 | 10,000 | 12,634 | ||||||
4.950% 10/01/44 | 60,000 | 77,609 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.250% 1/15/26 | 110,000 | 111,044 | ||||||
2.000% 5/15/30 | 100,000 | 100,807 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2.375% 10/15/22 | $ | 50,000 | $ | 51,331 | ||||
2.875% 12/15/21 | 160,000 | 161,975 | ||||||
3.125% 5/15/60 | 30,000 | 30,978 | ||||||
3.500% 6/15/23 | 100,000 | 106,045 | ||||||
3.700% 8/15/49 | 120,000 | 137,487 | ||||||
3.750% 7/15/25 | 190,000 | 210,896 | ||||||
3.875% 12/15/28 | 110,000 | 126,557 | ||||||
3.875% 8/15/59 | 210,000 | 249,290 | ||||||
4.250% 6/15/48 | 270,000 | 335,010 | ||||||
4.450% 12/15/48 | 50,000 | 63,919 | ||||||
5.800% 3/15/36 | 70,000 | 98,676 | ||||||
4,617,892 | ||||||||
Home Builders — 0.1% | ||||||||
Lennar Corp. | ||||||||
4.500% 4/30/24 | 100,000 | 109,375 | ||||||
4.750% 11/29/27 | 160,000 | 184,939 | ||||||
MDC Holdings, Inc. | ||||||||
6.000% 1/15/43 | 20,000 | 25,778 | ||||||
NVR, Inc. | ||||||||
3.950% 9/15/22 | 100,000 | 103,255 | ||||||
Toll Brothers Finance Corp. | ||||||||
4.375% 4/15/23 | 110,000 | 114,675 | ||||||
538,022 | ||||||||
Housewares — 0.0% | ||||||||
Newell Brands, Inc. | ||||||||
4.350% STEP 4/01/23 | 113,000 | 118,368 | ||||||
Insurance — 0.4% | ||||||||
Ambac Assurance Corp. | ||||||||
5.100% (b) (c) | 4,362 | 6,117 | ||||||
Ambac LSNI LLC 3 mo. USD LIBOR + 5.000% | ||||||||
6.000% FRN 2/12/23 (b) | 15,822 | 15,822 | ||||||
American International Group, Inc. | ||||||||
2.500% 6/30/25 | 180,000 | 190,013 | ||||||
6.250% 3/15/87 | 234,000 | 272,672 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
4.250% 1/15/49 | 550,000 | 683,733 | ||||||
Brighthouse Financial, Inc. | ||||||||
4.700% 6/22/47 | 13,000 | 14,454 | ||||||
Chubb INA Holdings, Inc. | ||||||||
3.350% 5/03/26 | 120,000 | 131,908 | ||||||
Guardian Life Global Funding | ||||||||
1.100% 6/23/25 (b) | 120,000 | 120,431 | ||||||
MetLife Capital Trust IV | ||||||||
7.875% 12/15/67 (b) | 200,000 | 278,500 | ||||||
MetLife, Inc. | ||||||||
6.400% 12/15/66 | 190,000 | 244,369 | ||||||
New York Life Global Funding | ||||||||
0.950% 6/24/25 (b) | 220,000 | 220,283 | ||||||
Principal Life Global Funding II | ||||||||
1.250% 6/23/25 (b) | 110,000 | 110,705 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.900% 9/15/44 (b) | 200,000 | 259,517 | ||||||
6.850% 12/16/39 (b) | 22,000 | 33,387 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Voya Financial, Inc. | ||||||||
5.700% 7/15/43 | $ | 160,000 | $ | 219,929 | ||||
2,801,840 | ||||||||
Internet — 0.8% | ||||||||
Alphabet, Inc. | ||||||||
0.450% 8/15/25 | 80,000 | 79,246 | ||||||
0.800% 8/15/27 | 150,000 | 145,919 | ||||||
1.100% 8/15/30 | 170,000 | 161,532 | ||||||
2.050% 8/15/50 | 260,000 | 229,642 | ||||||
Amazon.com, Inc. | ||||||||
0.800% 6/03/25 | 370,000 | 370,719 | ||||||
1.200% 6/03/27 | 460,000 | 458,735 | ||||||
1.500% 6/03/30 | 240,000 | 235,435 | ||||||
2.100% 5/12/31 | 190,000 | 193,384 | ||||||
2.500% 6/03/50 | 360,000 | 340,466 | ||||||
3.150% 8/22/27 | 470,000 | 519,567 | ||||||
3.875% 8/22/37 | 160,000 | 190,943 | ||||||
4.050% 8/22/47 | 210,000 | 256,357 | ||||||
4.250% 8/22/57 | 70,000 | 89,748 | ||||||
4.950% 12/05/44 | 180,000 | 243,999 | ||||||
Prosus NV | ||||||||
3.832% 2/08/51 (b) | 210,000 | 195,569 | ||||||
4.027% 8/03/50 (b) | 310,000 | 298,273 | ||||||
4.850% 7/06/27 (b) | 430,000 | 489,366 | ||||||
Tencent Holdings Ltd. | ||||||||
3.680% 4/22/41 (b) | 210,000 | 224,971 | ||||||
3.840% 4/22/51 (b) | 870,000 | 937,398 | ||||||
5,661,269 | ||||||||
Iron & Steel — 0.1% | ||||||||
ArcelorMittal SA | ||||||||
7.250% STEP 10/15/39 | 60,000 | 84,855 | ||||||
Vale Overseas Ltd. | ||||||||
6.875% 11/21/36 | 174,000 | 238,504 | ||||||
323,359 | ||||||||
Leisure Time — 0.0% | ||||||||
VOC Escrow Ltd. | ||||||||
5.000% 2/15/28 (b) | 210,000 | 212,310 | ||||||
Lodging — 0.5% | ||||||||
Hilton Domestic Operating Co., Inc. | ||||||||
5.375% 5/01/25 (b) | 310,000 | 326,275 | ||||||
5.750% 5/01/28 (b) | 100,000 | 108,207 | ||||||
Las Vegas Sands Corp. | ||||||||
2.900% 6/25/25 | 100,000 | 104,165 | ||||||
3.200% 8/08/24 | 630,000 | 661,255 | ||||||
Sands China Ltd. | ||||||||
3.800% 1/08/26 | 280,000 | 299,032 | ||||||
4.600% 8/08/23 | 200,000 | 212,420 | ||||||
5.125% 8/08/25 | 750,000 | 837,997 | ||||||
Wynn Macau Ltd. | ||||||||
5.125% 12/15/29 (b) | 200,000 | 206,000 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.625% 8/26/28 (b) | $ | 270,000 | $ | 281,475 | ||||
3,036,826 | ||||||||
Machinery – Diversified — 0.1% | ||||||||
Deere & Co. | ||||||||
3.100% 4/15/30 | 60,000 | 66,249 | ||||||
3.750% 4/15/50 | 260,000 | 314,586 | ||||||
Otis Worldwide Corp. | ||||||||
2.056% 4/05/25 | 140,000 | 145,499 | ||||||
526,334 | ||||||||
Media — 1.6% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
4.500% 8/15/30 (b) | 30,000 | 31,275 | ||||||
4.500% 5/01/32 | 830,000 | 860,087 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
4.200% 3/15/28 | 720,000 | 815,460 | ||||||
4.800% 3/01/50 | 100,000 | 114,937 | ||||||
4.908% 7/23/25 | 630,000 | 713,975 | ||||||
5.050% 3/30/29 | 510,000 | 602,926 | ||||||
5.375% 4/01/38 | 480,000 | 590,602 | ||||||
5.750% 4/01/48 | 470,000 | 598,580 | ||||||
6.484% 10/23/45 | 160,000 | 220,483 | ||||||
6.834% 10/23/55 | 60,000 | 88,335 | ||||||
Comcast Corp. | ||||||||
2.800% 1/15/51 | 110,000 | 106,060 | ||||||
3.100% 4/01/25 | 20,000 | 21,631 | ||||||
3.150% 3/01/26 | 280,000 | 304,942 | ||||||
3.250% 11/01/39 | 30,000 | 31,947 | ||||||
3.300% 4/01/27 | 120,000 | 132,339 | ||||||
3.375% 8/15/25 | 170,000 | 185,576 | ||||||
3.400% 4/01/30 | 180,000 | 198,798 | ||||||
3.400% 7/15/46 | 30,000 | 32,082 | ||||||
3.450% 2/01/50 | 140,000 | 151,510 | ||||||
3.750% 4/01/40 | 40,000 | 45,148 | ||||||
3.950% 10/15/25 | 230,000 | 257,806 | ||||||
3.999% 11/01/49 | 55,000 | 64,795 | ||||||
4.000% 3/01/48 | 50,000 | 58,531 | ||||||
4.150% 10/15/28 | 870,000 | 1,008,652 | ||||||
4.200% 8/15/34 | 160,000 | 189,746 | ||||||
4.250% 10/15/30 | 430,000 | 506,263 | ||||||
4.250% 1/15/33 | 20,000 | 23,842 | ||||||
4.700% 10/15/48 | 80,000 | 103,760 | ||||||
6.500% 11/15/35 | 200,000 | 291,011 | ||||||
CSC Holdings LLC | ||||||||
4.500% 11/15/31 (b) | 370,000 | 372,272 | ||||||
DISH DBS Corp. | ||||||||
5.125% 6/01/29 (b) | 190,000 | 187,782 | ||||||
5.875% 11/15/24 | 280,000 | 300,650 | ||||||
7.750% 7/01/26 | 80,000 | 90,600 | ||||||
Fox Corp. | ||||||||
5.476% 1/25/39 | 90,000 | 116,503 | ||||||
5.576% 1/25/49 | 230,000 | 311,075 | ||||||
Time Warner Cable, Inc. | ||||||||
6.550% 5/01/37 | 10,000 | 13,632 | ||||||
6.750% 6/15/39 | 120,000 | 167,181 | ||||||
7.300% 7/01/38 | 210,000 | 306,912 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Time Warner Entertainment Co. LP | ||||||||
8.375% 7/15/33 | $ | 20,000 | $ | 30,340 | ||||
ViacomCBS, Inc. | ||||||||
3.875% 4/01/24 | 30,000 | 32,272 | ||||||
The Walt Disney Co. | ||||||||
6.200% 12/15/34 | 20,000 | 28,425 | ||||||
6.650% 11/15/37 | 120,000 | 180,844 | ||||||
10,489,587 | ||||||||
Mining — 0.9% | ||||||||
Anglo American Capital PLC | ||||||||
3.625% 9/11/24 (b) | 560,000 | 603,427 | ||||||
4.750% 4/10/27 (b) | 470,000 | 540,500 | ||||||
Barrick Gold Corp. | ||||||||
5.250% 4/01/42 | 80,000 | 104,900 | ||||||
Barrick North America Finance LLC | ||||||||
5.700% 5/30/41 | 180,000 | 247,388 | ||||||
5.750% 5/01/43 | 210,000 | 294,293 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
2.875% 2/24/22 | 20,000 | 20,345 | ||||||
5.000% 9/30/43 | 300,000 | 408,078 | ||||||
Freeport-McMoRan, Inc. | ||||||||
3.875% 3/15/23 | 10,000 | 10,427 | ||||||
4.550% 11/14/24 | 10,000 | 10,875 | ||||||
4.625% 8/01/30 | 120,000 | 131,400 | ||||||
5.450% 3/15/43 | 426,000 | 520,708 | ||||||
Glencore Funding LLC | ||||||||
3.875% 10/27/27 (b) | 90,000 | 98,982 | ||||||
4.000% 3/27/27 (b) | 1,420,000 | 1,570,413 | ||||||
4.125% 5/30/23 (b) | 130,000 | 138,273 | ||||||
4.125% 3/12/24 (b) | 430,000 | 463,591 | ||||||
Southern Copper Corp. | ||||||||
5.250% 11/08/42 | 770,000 | 981,750 | ||||||
Teck Resources Ltd. | ||||||||
6.000% 8/15/40 | 20,000 | 25,573 | ||||||
6,170,923 | ||||||||
Miscellaneous - Manufacturing — 0.3% | ||||||||
3M Co. | ||||||||
2.375% 8/26/29 | 250,000 | 261,819 | ||||||
3.050% 4/15/30 | 60,000 | 65,938 | ||||||
3.700% 4/15/50 | 420,000 | 495,292 | ||||||
Eaton Corp. | ||||||||
2.750% 11/02/22 | 570,000 | 588,408 | ||||||
4.150% 11/02/42 | 110,000 | 131,312 | ||||||
General Electric Co. | ||||||||
3.450% 5/01/27 | 60,000 | 66,003 | ||||||
3.625% 5/01/30 | 130,000 | 145,106 | ||||||
6.750% 3/15/32 | 210,000 | 291,684 | ||||||
6.875% 1/10/39 | 184,000 | 276,046 | ||||||
2,321,608 | ||||||||
Oil & Gas — 4.4% | ||||||||
Apache Corp. | ||||||||
4.250% 1/15/44 | 570,000 | 556,958 | ||||||
4.375% 10/15/28 | 980,000 | 1,043,210 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
4.750% 4/15/43 | $ | 150,000 | $ | 153,183 | ||||
5.100% 9/01/40 | 120,000 | 125,700 | ||||||
6.000% 1/15/37 | 17,000 | 19,482 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.000% 2/24/50 | 570,000 | 551,749 | ||||||
3.119% 5/04/26 | 290,000 | 314,769 | ||||||
3.410% 2/11/26 | 270,000 | 295,552 | ||||||
3.588% 4/14/27 | 330,000 | 365,607 | ||||||
3.633% 4/06/30 | 200,000 | 224,473 | ||||||
3.790% 2/06/24 | 70,000 | 75,515 | ||||||
BP Capital Markets PLC | ||||||||
3.506% 3/17/25 | 550,000 | 601,804 | ||||||
3.535% 11/04/24 | 110,000 | 119,812 | ||||||
Chevron Corp. | ||||||||
1.554% 5/11/25 | 350,000 | 358,770 | ||||||
1.995% 5/11/27 | 110,000 | 113,542 | ||||||
3.078% 5/11/50 | 40,000 | 41,407 | ||||||
Chevron USA, Inc. | ||||||||
3.850% 1/15/28 | 590,000 | 672,547 | ||||||
4.950% 8/15/47 | 70,000 | 94,383 | ||||||
5.250% 11/15/43 | 120,000 | 163,171 | ||||||
Cimarex Energy Co. | ||||||||
3.900% 5/15/27 | 730,000 | 804,767 | ||||||
4.375% 3/15/29 | 360,000 | 408,888 | ||||||
ConocoPhillips | ||||||||
3.750% 10/01/27 (b) | 140,000 | 157,391 | ||||||
4.300% 8/15/28 (b) | 1,060,000 | 1,230,298 | ||||||
ConocoPhillips Co. | ||||||||
6.950% 4/15/29 | 125,000 | 170,380 | ||||||
Continental Resources, Inc. | ||||||||
3.800% 6/01/24 | 90,000 | 95,175 | ||||||
4.375% 1/15/28 | 90,000 | 99,301 | ||||||
4.500% 4/15/23 | 270,000 | 282,150 | ||||||
Devon Energy Corp. | ||||||||
4.750% 5/15/42 | 10,000 | 11,311 | ||||||
5.000% 6/15/45 | 960,000 | 1,128,432 | ||||||
5.250% 10/15/27 (b) | 32,000 | 34,504 | ||||||
5.600% 7/15/41 | 460,000 | 570,388 | ||||||
5.850% 12/15/25 | 220,000 | 258,315 | ||||||
5.875% 6/15/28 (b) | 26,000 | 28,950 | ||||||
8.250% 8/01/23 (b) | 30,000 | 34,177 | ||||||
Diamondback Energy, Inc. | ||||||||
3.250% 12/01/26 | 10,000 | 10,724 | ||||||
3.500% 12/01/29 | 170,000 | 182,168 | ||||||
Ecopetrol SA | ||||||||
5.875% 5/28/45 | 1,300,000 | 1,393,275 | ||||||
EOG Resources, Inc. | ||||||||
3.900% 4/01/35 | 340,000 | 393,083 | ||||||
4.150% 1/15/26 | 140,000 | 157,571 | ||||||
4.375% 4/15/30 | 100,000 | 118,498 | ||||||
4.950% 4/15/50 | 60,000 | 79,904 | ||||||
EQT Corp. | ||||||||
3.000% 10/01/22 | 560,000 | 571,900 | ||||||
3.900% 10/01/27 | 70,000 | 74,987 | ||||||
7.625% STEP 2/01/25 | 20,000 | 23,330 | ||||||
Exxon Mobil Corp. | ||||||||
1.571% 4/15/23 | 30,000 | 30,664 | ||||||
2.992% 3/19/25 | 810,000 | 869,085 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
3.043% 3/01/26 | $ | 210,000 | $ | 228,134 | ||||
3.482% 3/19/30 | 310,000 | 348,439 | ||||||
4.114% 3/01/46 | 520,000 | 613,798 | ||||||
4.327% 3/19/50 | 40,000 | 49,687 | ||||||
KazMunayGas National Co. JSC | ||||||||
5.375% 4/24/30 (b) | 200,000 | 239,080 | ||||||
MEG Energy Corp. | ||||||||
5.875% 2/01/29 (b) | 60,000 | 62,550 | ||||||
Occidental Petroleum Corp. | ||||||||
2.900% 8/15/24 | 530,000 | 541,925 | ||||||
3.000% 2/15/27 | 110,000 | 109,175 | ||||||
3.200% 8/15/26 | 300,000 | 302,250 | ||||||
3.400% 4/15/26 | 170,000 | 173,825 | ||||||
3.500% 8/15/29 | 60,000 | 60,000 | ||||||
4.100% 2/15/47 | 590,000 | 549,358 | ||||||
4.200% 3/15/48 | 120,000 | 112,200 | ||||||
4.400% 4/15/46 | 40,000 | 38,420 | ||||||
4.625% 6/15/45 | 80,000 | 78,000 | ||||||
5.550% 3/15/26 | 280,000 | 309,400 | ||||||
6.450% 9/15/36 | 240,000 | 286,944 | ||||||
6.600% 3/15/46 | 630,000 | 748,881 | ||||||
6.950% 7/01/24 | 220,000 | 247,826 | ||||||
7.875% 9/15/31 | 160,000 | 205,600 | ||||||
Petrobras Global Finance BV | ||||||||
5.299% 1/27/25 | 1,891,000 | 2,127,375 | ||||||
5.500% 6/10/51 | 610,000 | 611,220 | ||||||
5.999% 1/27/28 | 900,000 | 1,032,750 | ||||||
7.375% 1/17/27 | 260,000 | 320,450 | ||||||
Petroleos Mexicanos | ||||||||
6.375% 1/23/45 | 220,000 | 189,200 | ||||||
6.625% 6/15/35 | 763,000 | 737,439 | ||||||
6.875% 8/04/26 | 160,000 | 174,864 | ||||||
Pioneer Natural Resources Co. | ||||||||
1.125% 1/15/26 | 70,000 | 69,318 | ||||||
2.150% 1/15/31 | 320,000 | 313,743 | ||||||
Qatar Petroleum | ||||||||
2.250% 7/12/31 (b) (e) | 600,000 | 593,622 | ||||||
3.125% 7/12/41 (b) (e) | 380,000 | 378,598 | ||||||
3.300% 7/12/51 (b) (e) | 390,000 | 390,000 | ||||||
Range Resources Corp. | ||||||||
4.875% 5/15/25 | 60,000 | 62,100 | ||||||
5.000% 3/15/23 | 202,000 | 209,070 | ||||||
5.875% 7/01/22 | 4,000 | 4,100 | ||||||
Shell International Finance BV | ||||||||
2.750% 4/06/30 | 270,000 | 288,099 | ||||||
2.875% 5/10/26 | 380,000 | 410,578 | ||||||
3.250% 4/06/50 | 390,000 | 415,480 | ||||||
4.000% 5/10/46 | 310,000 | 362,989 | ||||||
4.375% 5/11/45 | 190,000 | 234,427 | ||||||
4.550% 8/12/43 | 100,000 | 124,475 | ||||||
Sinopec Group Overseas Development 2014 Ltd. | ||||||||
4.375% 4/10/24 (b) | 330,000 | 360,324 | ||||||
29,826,963 | ||||||||
Oil & Gas Services — 0.1% | ||||||||
Halliburton Co. | ||||||||
3.800% 11/15/25 | 15,000 | 16,586 | ||||||
4.850% 11/15/35 | 30,000 | 35,360 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.000% 11/15/45 | $ | 180,000 | $ | 219,446 | ||||
Schlumberger Holdings Corp. | ||||||||
3.900% 5/17/28 (b) | 51,000 | 56,994 | ||||||
328,386 | ||||||||
Packaging & Containers — 0.0% | ||||||||
WestRock RKT LLC | ||||||||
4.000% 3/01/23 | 30,000 | 31,451 | ||||||
Pharmaceuticals — 3.0% | ||||||||
AbbVie, Inc. | ||||||||
2.300% 11/21/22 | 1,310,000 | 1,344,361 | ||||||
2.600% 11/21/24 | 1,120,000 | 1,181,116 | ||||||
2.900% 11/06/22 | 80,000 | 82,632 | ||||||
2.950% 11/21/26 | 260,000 | 279,677 | ||||||
3.200% 11/21/29 | 850,000 | 924,036 | ||||||
3.450% 3/15/22 | 30,000 | 30,501 | ||||||
3.600% 5/14/25 | 130,000 | 141,891 | ||||||
3.750% 11/14/23 | 70,000 | 75,075 | ||||||
3.800% 3/15/25 | 180,000 | 196,954 | ||||||
4.250% 11/21/49 | 50,000 | 60,098 | ||||||
4.550% 3/15/35 | 90,000 | 109,144 | ||||||
Bausch Health Cos., Inc. | ||||||||
5.500% 11/01/25 (b) | 10,000 | 10,260 | ||||||
6.250% 2/15/29 (b) | 330,000 | 326,387 | ||||||
7.250% 5/30/29 (b) | 110,000 | 112,410 | ||||||
Becton Dickinson and Co. | ||||||||
3.363% 6/06/24 | 750,000 | 803,599 | ||||||
3.734% 12/15/24 | 65,000 | 70,787 | ||||||
4.685% 12/15/44 | 40,000 | 49,828 | ||||||
Bristol-Myers Squibb Co. | ||||||||
2.250% 8/15/21 | 240,000 | 240,585 | ||||||
2.600% 5/16/22 | 350,000 | 357,490 | ||||||
2.900% 7/26/24 | 606,000 | 646,451 | ||||||
3.200% 6/15/26 | 520,000 | 570,992 | ||||||
3.400% 7/26/29 | 250,000 | 280,016 | ||||||
3.550% 8/15/22 | 40,000 | 41,427 | ||||||
3.875% 8/15/25 | 38,000 | 42,310 | ||||||
5.000% 8/15/45 | 236,000 | 322,785 | ||||||
Cigna Corp. | ||||||||
3.750% 7/15/23 | 271,000 | 288,561 | ||||||
4.125% 11/15/25 | 160,000 | 179,370 | ||||||
4.375% 10/15/28 | 1,230,000 | 1,431,720 | ||||||
CVS Health Corp. | ||||||||
2.750% 12/01/22 | 120,000 | 123,299 | ||||||
3.625% 4/01/27 | 90,000 | 99,783 | ||||||
3.700% 3/09/23 | 101,000 | 106,356 | ||||||
3.750% 4/01/30 | 250,000 | 280,046 | ||||||
3.875% 7/20/25 | 124,000 | 136,957 | ||||||
4.125% 4/01/40 | 120,000 | 139,325 | ||||||
4.250% 4/01/50 | 30,000 | 35,661 | ||||||
4.300% 3/25/28 | 1,489,000 | 1,712,048 | ||||||
5.050% 3/25/48 | 710,000 | 922,485 | ||||||
5.125% 7/20/45 | 350,000 | 455,704 | ||||||
CVS Pass-Through Trust | ||||||||
5.298% 1/11/27 (b) | 5,875 | 6,444 | ||||||
5.880% 1/10/28 | 70,691 | 81,250 | ||||||
6.036% 12/10/28 | 63,714 | 74,620 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
6.943% 1/10/30 | $ | 57,275 | $ | 69,693 | ||||
GlaxoSmithKline Capital PLC | ||||||||
2.850% 5/08/22 | 20,000 | 20,448 | ||||||
Johnson & Johnson | ||||||||
0.550% 9/01/25 | 200,000 | 198,200 | ||||||
0.950% 9/01/27 | 420,000 | 412,495 | ||||||
3.625% 3/03/37 | 690,000 | 806,391 | ||||||
Merck & Co., Inc. | ||||||||
0.750% 2/24/26 | 340,000 | 338,181 | ||||||
1.450% 6/24/30 | 200,000 | 194,895 | ||||||
Pfizer, Inc. | ||||||||
0.800% 5/28/25 | 450,000 | 451,553 | ||||||
1.700% 5/28/30 | 280,000 | 279,218 | ||||||
2.625% 4/01/30 | 290,000 | 309,061 | ||||||
Teva Pharmaceutical Finance Co. BV | ||||||||
2.950% 12/18/22 | 110,000 | 110,550 | ||||||
3.650% 11/10/21 | 50,000 | 50,125 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
2.200% 7/21/21 | 330,000 | 328,792 | ||||||
2.800% 7/21/23 | 420,000 | 418,526 | ||||||
3.150% 10/01/26 | 900,000 | 856,125 | ||||||
6.000% 4/15/24 | 350,000 | 371,000 | ||||||
7.125% 1/31/25 | 390,000 | 429,975 | ||||||
20,019,669 | ||||||||
Pipelines — 2.2% | ||||||||
Cameron LNG LLC | ||||||||
2.902% 7/15/31 (b) | 110,000 | 117,360 | ||||||
3.302% 1/15/35 (b) | 440,000 | 473,154 | ||||||
Cheniere Energy, Inc. | ||||||||
4.625% 10/15/28 (b) | 180,000 | 189,900 | ||||||
DCP Midstream Operating LP | ||||||||
6.450% 11/03/36 (b) | 70,000 | 81,900 | ||||||
El Paso Natural Gas Co. LLC | ||||||||
8.375% 6/15/32 | 289,000 | 425,806 | ||||||
Energy Transfer LP | ||||||||
2.900% 5/15/25 | 360,000 | 378,846 | ||||||
3.750% 5/15/30 | 870,000 | 946,017 | ||||||
4.950% 6/15/28 | 50,000 | 57,814 | ||||||
5.250% 4/15/29 | 180,000 | 212,793 | ||||||
5.300% 4/01/44 | 20,000 | 23,190 | ||||||
6.250% 4/15/49 | 260,000 | 341,405 | ||||||
5 year CMT + 5.134% 6.750% VRN (c) | 120,000 | 119,003 | ||||||
7.600% 2/01/24 | 60,000 | 68,220 | ||||||
Energy Transfer LP/Regency Energy Finance Corp. | ||||||||
4.500% 11/01/23 | 30,000 | 32,197 | ||||||
5.875% 3/01/22 | 40,000 | 40,855 | ||||||
Enterprise Products Operating LLC | ||||||||
3.700% 1/31/51 | 10,000 | 10,733 | ||||||
4.150% 10/16/28 | 2,600,000 | 2,990,572 | ||||||
5.700% 2/15/42 | 40,000 | 53,661 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.500% 9/01/23 | 120,000 | 126,637 | ||||||
5.500% 3/01/44 | 30,000 | 37,613 | ||||||
Kinder Morgan, Inc. | ||||||||
4.300% 6/01/25 | 230,000 | 256,166 | ||||||
4.300% 3/01/28 | 140,000 | 159,925 | ||||||
5.200% 3/01/48 | 20,000 | 25,176 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.550% 6/01/45 | $ | 100,000 | $ | 129,543 | ||||
MPLX LP | ||||||||
4.500% 4/15/38 | 420,000 | 482,305 | ||||||
4.700% 4/15/48 | 620,000 | 720,578 | ||||||
4.800% 2/15/29 | 320,000 | 375,790 | ||||||
4.875% 12/01/24 | 150,000 | 167,871 | ||||||
5.500% 2/15/49 | 250,000 | 323,806 | ||||||
Southern Natural Gas Co. LLC | ||||||||
8.000% 3/01/32 | 248,000 | 354,295 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||
4.000% 1/15/32 (b) | 30,000 | 30,860 | ||||||
4.875% 2/01/31 (b) | 220,000 | 238,150 | ||||||
5.500% 3/01/30 | 150,000 | 164,949 | ||||||
Tennessee Gas Pipeline Co. LLC | ||||||||
2.900% 3/01/30 (b) | 780,000 | 810,043 | ||||||
Transcontinental Gas Pipe Line Co. LLC | ||||||||
7.850% 2/01/26 | 60,000 | 76,222 | ||||||
Western Midstream Operating LP | ||||||||
3 mo. USD LIBOR + 2.100% 2.288% FRN 1/13/23 | 90,000 | 89,551 | ||||||
4.350% STEP 2/01/25 | 240,000 | 253,582 | ||||||
5.300% STEP 2/01/30 | 900,000 | 1,008,000 | ||||||
5.500% 8/15/48 | 20,000 | 21,768 | ||||||
6.500% STEP 2/01/50 | 230,000 | 265,075 | ||||||
The Williams Cos., Inc. | ||||||||
3.750% 6/15/27 | 710,000 | 789,175 | ||||||
7.500% 1/15/31 | 330,000 | 457,630 | ||||||
7.750% 6/15/31 | 580,000 | 806,498 | ||||||
14,734,634 | ||||||||
Real Estate Investment Trusts (REITS) — 0.1% | ||||||||
GLP Capital LP/GLP Financing II, Inc. | ||||||||
5.250% 6/01/25 | 10,000 | 11,256 | ||||||
5.375% 4/15/26 | 40,000 | 46,040 | ||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC | ||||||||
3.750% 9/17/24 (b) | 220,000 | 235,350 | ||||||
4.750% 9/17/44 (b) | 250,000 | 269,645 | ||||||
562,291 | ||||||||
Retail — 0.7% | ||||||||
Costco Wholesale Corp. | ||||||||
1.375% 6/20/27 | 430,000 | 432,886 | ||||||
1.600% 4/20/30 | 310,000 | 306,291 | ||||||
Dollar General Corp. | ||||||||
3.250% 4/15/23 | 30,000 | 31,303 | ||||||
The Home Depot, Inc. | ||||||||
2.500% 4/15/27 | 180,000 | 191,922 | ||||||
2.700% 4/15/30 | 200,000 | 214,058 | ||||||
3.300% 4/15/40 | 230,000 | 252,159 | ||||||
3.350% 4/15/50 | 330,000 | 365,880 | ||||||
3.900% 12/06/28 | 30,000 | 34,934 | ||||||
3.900% 6/15/47 | 40,000 | 47,654 | ||||||
Lowe's Cos., Inc. | ||||||||
4.500% 4/15/30 | 130,000 | 153,932 | ||||||
McDonald's Corp. | ||||||||
1.450% 9/01/25 | 50,000 | 51,009 | ||||||
3.300% 7/01/25 | 210,000 | 228,240 | ||||||
3.500% 3/01/27 | 240,000 | 265,131 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
3.500% 7/01/27 | $ | 180,000 | $ | 199,566 | ||||
3.600% 7/01/30 | 190,000 | 213,869 | ||||||
3.625% 9/01/49 | 40,000 | 44,360 | ||||||
3.700% 1/30/26 | 290,000 | 322,385 | ||||||
3.800% 4/01/28 | 110,000 | 124,558 | ||||||
4.200% 4/01/50 | 340,000 | 409,993 | ||||||
Target Corp. | ||||||||
2.250% 4/15/25 | 290,000 | 304,749 | ||||||
Walmart, Inc. | ||||||||
3.400% 6/26/23 | 120,000 | 127,171 | ||||||
3.550% 6/26/25 | 90,000 | 99,323 | ||||||
3.700% 6/26/28 | 560,000 | 637,659 | ||||||
5,059,032 | ||||||||
Semiconductors — 0.6% | ||||||||
Broadcom, Inc. | ||||||||
3.150% 11/15/25 | 560,000 | 600,800 | ||||||
4.700% 4/15/25 | 710,000 | 800,126 | ||||||
Intel Corp. | ||||||||
3.700% 7/29/25 | 70,000 | 77,405 | ||||||
4.750% 3/25/50 | 260,000 | 345,650 | ||||||
Micron Technology, Inc. | ||||||||
2.497% 4/24/23 | 290,000 | 299,718 | ||||||
NVIDIA Corp. | ||||||||
2.850% 4/01/30 | 150,000 | 162,538 | ||||||
3.500% 4/01/40 | 410,000 | 465,472 | ||||||
3.500% 4/01/50 | 280,000 | 316,348 | ||||||
3.700% 4/01/60 | 280,000 | 332,240 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | ||||||||
2.700% 5/01/25 (b) | 200,000 | 210,997 | ||||||
Texas Instruments, Inc. | ||||||||
1.750% 5/04/30 | 180,000 | 179,294 | ||||||
3,790,588 | ||||||||
Software — 0.8% | ||||||||
Microsoft Corp. | ||||||||
1.550% 8/08/21 | 360,000 | 360,085 | ||||||
2.400% 2/06/22 | 540,000 | 546,369 | ||||||
2.400% 8/08/26 | 980,000 | 1,045,016 | ||||||
2.525% 6/01/50 | 463,000 | 455,294 | ||||||
2.675% 6/01/60 | 17,000 | 16,959 | ||||||
2.700% 2/12/25 | 100,000 | 107,148 | ||||||
2.875% 2/06/24 | 380,000 | 401,883 | ||||||
2.921% 3/17/52 | 107,000 | 113,571 | ||||||
3.041% 3/17/62 | 83,000 | 89,169 | ||||||
3.300% 2/06/27 | 290,000 | 322,622 | ||||||
Oracle Corp. | ||||||||
1.650% 3/25/26 | 750,000 | 760,786 | ||||||
2.875% 3/25/31 | 820,000 | 854,251 | ||||||
salesforce.com, Inc. | ||||||||
3.250% 4/11/23 | 270,000 | 283,227 | ||||||
3.700% 4/11/28 | 90,000 | 102,437 | ||||||
5,458,817 | ||||||||
Telecommunications — 2.3% | ||||||||
AT&T, Inc. |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
1.650% 2/01/28 | $ | 810,000 | $ | 804,667 | ||||
2.250% 2/01/32 | 80,000 | 78,616 | ||||||
2.300% 6/01/27 | 540,000 | 559,106 | ||||||
3.100% 2/01/43 | 660,000 | 647,361 | ||||||
3.550% 9/15/55 (b) | 353,000 | 354,857 | ||||||
4.250% 3/01/27 | 260,000 | 295,090 | ||||||
4.350% 6/15/45 | 101,000 | 115,956 | ||||||
Sprint Capital Corp. | ||||||||
8.750% 3/15/32 | 130,000 | 197,600 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | ||||||||
3.360% STEP 3/20/23 (b) | 12,500 | 12,563 | ||||||
4.738% 3/20/25 (b) | 206,250 | 221,277 | ||||||
T-Mobile USA, Inc. | ||||||||
2.050% 2/15/28 | 70,000 | 70,997 | ||||||
2.250% 2/15/26 | 70,000 | 70,525 | ||||||
2.250% 11/15/31 | 70,000 | 69,053 | ||||||
2.550% 2/15/31 | 200,000 | 202,074 | ||||||
2.625% 2/15/29 | 230,000 | 227,125 | ||||||
2.875% 2/15/31 | 170,000 | 168,725 | ||||||
3.000% 2/15/41 | 110,000 | 108,644 | ||||||
3.300% 2/15/51 | 20,000 | 19,967 | ||||||
3.500% 4/15/25 | 1,280,000 | 1,387,322 | ||||||
3.500% 4/15/31 | 240,000 | 248,302 | ||||||
3.500% 4/15/31 (b) | 210,000 | 217,264 | ||||||
3.750% 4/15/27 | 50,000 | 55,250 | ||||||
3.875% 4/15/30 | 700,000 | 781,578 | ||||||
Telefonica Emisiones SA | ||||||||
5.213% 3/08/47 | 150,000 | 187,306 | ||||||
Verizon Communications, Inc. | ||||||||
0.850% 11/20/25 | 90,000 | 89,051 | ||||||
1.450% 3/20/26 | 180,000 | 181,775 | ||||||
1.750% 1/20/31 | 280,000 | 268,651 | ||||||
2.100% 3/22/28 | 270,000 | 275,783 | ||||||
2.550% 3/21/31 | 800,000 | 818,628 | ||||||
2.625% 8/15/26 | 300,000 | 318,998 | ||||||
2.650% 11/20/40 | 650,000 | 626,119 | ||||||
2.875% 11/20/50 | 950,000 | 907,268 | ||||||
3.000% 3/22/27 | 90,000 | 96,820 | ||||||
3.150% 3/22/30 | 230,000 | 248,215 | ||||||
3.376% 2/15/25 | 300,000 | 326,094 | ||||||
3.500% 11/01/24 | 160,000 | 173,114 | ||||||
3.850% 11/01/42 | 40,000 | 45,390 | ||||||
3.875% 2/08/29 | 130,000 | 147,863 | ||||||
4.000% 3/22/50 | 120,000 | 138,079 | ||||||
4.125% 3/16/27 | 130,000 | 147,931 | ||||||
4.125% 8/15/46 | 180,000 | 212,564 | ||||||
4.329% 9/21/28 | 820,000 | 953,239 | ||||||
4.400% 11/01/34 | 270,000 | 322,065 | ||||||
4.500% 8/10/33 | 670,000 | 801,479 | ||||||
4.522% 9/15/48 | 240,000 | 297,114 | ||||||
4.862% 8/21/46 | 250,000 | 323,671 | ||||||
5.250% 3/16/37 | 170,000 | 223,429 | ||||||
5.500% 3/16/47 | 30,000 | 41,979 | ||||||
Vodafone Group PLC | ||||||||
4.375% 5/30/28 | 420,000 | 488,974 | ||||||
15,575,518 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Transportation — 0.2% | ||||||||
Union Pacific Corp. | ||||||||
2.150% 2/05/27 | $ | 50,000 | $ | 51,880 | ||||
2.891% 4/06/36 (b) | 620,000 | 644,885 | ||||||
3.750% 7/15/25 | 190,000 | 210,619 | ||||||
3.750% 2/05/70 | 250,000 | 275,848 | ||||||
3.839% 3/20/60 | 300,000 | 341,865 | ||||||
1,525,097 | ||||||||
TOTAL CORPORATE DEBT (Cost $240,736,572) | 263,420,480 | |||||||
MUNICIPAL OBLIGATIONS — 0.0% | ||||||||
Northeast Ohio Regional Sewer District, Revenue Bond | ||||||||
5.000% 11/15/43 | 50,000 | 54,495 | ||||||
State of California | ||||||||
General Obligation, 5.000% 4/01/42 | 70,000 | 72,465 | ||||||
General Obligation, 5.000% 11/01/43 | 50,000 | 55,414 | ||||||
182,374 | ||||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $173,256) | 182,374 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 11.0% | ||||||||
Auto Floor Plan Asset-Backed Securities — 0.2% | ||||||||
Ford Credit Floorplan Master, Series 2018-4, Class A | ||||||||
4.060% 11/15/30 | 1,100,000 | 1,262,603 | ||||||
Automobile Asset-Backed Securities — 0.1% | ||||||||
Hertz Vehicle Financing II LP | ||||||||
Series 2019-3A, Class A, 2.670% 12/26/25 (b) | 67,008 | 67,003 | ||||||
Series 2016-2A, Class B, 3.940% 3/25/22 (b) | 680,000 | 675,590 | ||||||
742,593 | ||||||||
Commercial Mortgage-Backed Securities — 4.0% | ||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2020-JGDN, Class A, 1 mo. USD LIBOR + 2.750% | ||||||||
2.823% FRN 11/15/30 (b) | 2,620,000 | 2,656,026 | ||||||
Banc of America Merrill Lynch Trust, Series 2016-GG10, Class AJA, | ||||||||
6.024% VRN 8/10/45 (b) (d) | 708,576 | 307,239 | ||||||
BANK, Series 2017-BNK4, Class XA, | ||||||||
1.551% VRN 5/15/50 (d) | 3,611,498 | 210,607 | ||||||
BBCCRE Trust, Series 2015-GTP, Class E, | ||||||||
4.715% VRN 8/10/33 (b) (d) | 1,020,000 | 975,636 | ||||||
BX Trust | ||||||||
Series 2018-IND, Class G, 1 mo. USD LIBOR + 2.050% 2.123% FRN 11/15/35 (b) | 357,000 | 357,334 | ||||||
Series 2018-IND, Class H, 1 mo. USD LIBOR + 3.000% 3.073% FRN 11/15/35 (b) | 1,533,000 | 1,535,111 | ||||||
CD Mortgage Trust, Series 2017-CD3, Class A4 | ||||||||
3.631% 2/10/50 | 400,000 | 442,722 | ||||||
CHT Mortgage Trust, Series 2017-CSMO, Class A, 1 mo. USD LIBOR + .930% | ||||||||
1.003% FRN 11/15/36 (b) | 460,000 | 460,432 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2015-GC27, Class AS, 3.571% 2/10/48 | 390,000 | 413,881 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2014-GC23, Class B, 4.175% VRN 7/10/47 (d) | $ | 350,000 | $ | 376,143 | ||||
Credit Suisse Mortgage Trust | ||||||||
Series 2014-USA, Class A2, 3.953% 9/15/37 (b) | 190,000 | 204,788 | ||||||
Series 2019-RIO Class A, 1 mo. USD LIBOR + 3.024% 4.024% FRN 12/15/21 (b) | 2,500,000 | 2,440,512 | ||||||
Series 2014-USA, Class E, 4.373% 9/15/37 (b) | 140,000 | 125,437 | ||||||
Series 2014-USA, Class F, 4.373% 9/15/37 (b) | 2,440,000 | 1,912,588 | ||||||
Series 2017-CHOP, Class G, 1 mo. USD LIBOR + 5.350% 5.673% FRN 7/15/32 (b) | 1,700,000 | 1,396,663 | ||||||
GS Mortgage Securities Corp. II, Series 2021-ROSS, Class A, 1 mo. USD LIBOR + 1.150% | ||||||||
1.223% FRN 5/15/26 (b) | 370,000 | 370,016 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2018-SRP5, Class A, 1 mo. USD LIBOR + 1.300% 1.623% FRN 9/15/31 (b) | 1,350,000 | 1,286,525 | ||||||
Series 2015-GC30, Class AS, 3.777% VRN 5/10/50 (d) | 280,000 | 299,791 | ||||||
Series 2006-GG8, Class AJ, 5.622% 11/10/39 | 85,275 | 25,583 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C19, Class XA, 0.834% VRN 4/15/47 (d) | 1,083,542 | 15,257 | ||||||
Series 2014-C21, Class AS, 3.997% 8/15/47 | 250,000 | 270,162 | ||||||
Series 2015-C31, Class B, 4.773% VRN 8/15/48 (d) | 160,000 | 176,886 | ||||||
Series 2013-C17, Class B, 5.048% VRN 1/15/47 (d) | 30,000 | 31,756 | ||||||
JPMCC Commercial Mortgage Securities Trust, Series 2019-BOLT, Class A, 1 mo. USD LIBOR + 1.150% | ||||||||
1.223% FRN 7/15/34 (b) | 871,158 | 871,665 | ||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class XA, | ||||||||
0.992% VRN 10/15/50 (d) | 7,562,290 | 325,879 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ, | ||||||||
6.193% VRN 9/12/49 (d) | 5,437 | 5,217 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4 | ||||||||
3.306% 4/15/48 | 420,000 | 449,058 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2019-BPR, Class A, 1 mo. USD LIBOR + 1.400% 1.473% FRN 5/15/36 (b) | 1,360,000 | 1,324,421 | ||||||
Series 2019-L2, Class B, 4.494% VRN 3/15/52 (d) | 850,000 | 984,250 | ||||||
Series 2006-IQ12, Class AJ, 5.399% 12/15/43 | 12,740 | 7,646 | ||||||
Series 2007-IQ13, Class AJ, 5.438% 3/15/44 | 1,221 | 1,217 | ||||||
Natixis Commercial Mortgage Securities Trust | ||||||||
Series 2019-FAME, Class A, 3.047% 8/15/36 (b) | 1,270,000 | 1,291,751 | ||||||
Series 2019-10K, Class E, 4.272% VRN 5/15/39 (b) (d) | 1,710,000 | 1,640,952 | ||||||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||||||
3.126% 7/05/36 (b) | 320,000 | 336,673 | ||||||
Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 1 mo. USD LIBOR + .900% | ||||||||
0.980% FRN 11/11/34 (b) | 267,326 | 267,493 | ||||||
UBS Commercial Mortgage Trust | ||||||||
Series 2017-C1, Class A4, 3.460% 6/15/50 | 170,000 | 186,838 | ||||||
Series 2017-C2, Class A4, 3.487% 8/15/50 | 570,000 | 627,410 | ||||||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A, | ||||||||
4.104% VRN 9/14/22 (b) (d) | 113,073 | 114,137 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2019-C52, Class XA, 1.760% VRN 8/15/52 (d) | 5,858,956 | 600,363 | ||||||
Series 2016-BNK1, Class B, 2.967% 8/15/49 | 780,000 | 809,960 | ||||||
Series 2015-NXSI, Class AS, 3.406% 5/15/48 | 190,000 | 201,512 | ||||||
Series 2013-LC12, Class B, 4.435% VRN 7/15/46 (d) | 140,000 | 139,722 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
Series 2014-C24, Class AS, 3.931% 11/15/47 | 190,000 | 200,724 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2014-C24, Class B, 4.204% VRN 11/15/47 (d) | $ | 190,000 | $ | 191,544 | ||||
Series 2014-C24, Class C, 4.290% VRN 11/15/47 (d) | 190,000 | 176,766 | ||||||
27,046,293 | ||||||||
Home Equity Asset-Backed Securities — 0.6% | ||||||||
Accredited Mortgage Loan Trust 2006-2, Series 2006-2, Class M1, 1 mo. USD LIBOR + .270% | ||||||||
0.362% FRN 9/25/36 | 420,000 | 396,720 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust | ||||||||
Series 2007-HE1, Class A4, 1 mo. USD LIBOR + .140% 0.232% FRN 12/25/36 | 1,170,078 | 1,102,400 | ||||||
Series 2003-HE6, Class A3B, 1 mo. USD LIBOR + .960% 1.052% FRN 11/25/33 | 1,249,236 | 1,120,252 | ||||||
GSAA Home Equity Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .540% | ||||||||
0.632% FRN 3/25/36 | 369,369 | 225,573 | ||||||
RBSSP Resecuritization Trust, Series 2010-4, Class 6A2, | ||||||||
5.825% STEP 2/26/36 (b) | 1,109,386 | 1,121,159 | ||||||
3,966,104 | ||||||||
Manufactured Housing Asset-Backed Securities — 0.1% | ||||||||
Conseco Finance Corp., Series 1996-4, Class M1, | ||||||||
7.750% VRN 6/15/27 (d) | 748,819 | 777,092 | ||||||
Other Asset-Backed Securities — 3.0% | ||||||||
ACRES Commercial Realty 2021-FL1 Ltd., Series 2021-FL1, Class A, 1 mo. USD LIBOR + 1.200% | ||||||||
1.273% FRN 6/15/36 (b) | 810,000 | 810,501 | ||||||
Applebee's Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I | ||||||||
4.194% 6/07/49 (b) | 1,220,775 | 1,268,441 | ||||||
Dividend Solar Loans LLC, Series 2019-1, Class A | ||||||||
3.670% 8/22/39 (b) | 994,344 | 1,054,466 | ||||||
First Franklin Mortgage Loan Trust 2006-FF15, Series 2006-FF15, Class A2, 1 mo. USD LIBOR + .120% | ||||||||
0.212% FRN 11/25/36 | 377,173 | 358,627 | ||||||
HSI Asset Securitization Corp., Series 2005-II, Class 2A4, 1 mo. USD LIBOR + .780% | ||||||||
0.872% FRN 11/25/35 | 1,615,488 | 1,577,273 | ||||||
InStar Leasing III LLC, Series 2021-1A, Class A | ||||||||
2.300% 2/15/54 (b) | 618,839 | 621,448 | ||||||
ITE Rail Fund Levered LP, Series 2021-1A, Class A | ||||||||
2.250% 2/28/51 (b) | 766,658 | 770,958 | ||||||
Legacy Mortgage Asset Trust | ||||||||
Series 2019-GS5, Class A1, 3.200% STEP 5/25/59 (b) | 1,343,846 | 1,344,795 | ||||||
Series 2019-GS1, Class A1, 4.000% STEP 1/25/59 (b) | 893,640 | 894,443 | ||||||
Magnolia Finance XI DAC, Series 2019-1OTF, Class A1, 3 mo. USD LIBOR + 2.900% | ||||||||
3.086% FRN 8/09/24 (b) | 970,000 | 935,396 | ||||||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1 | ||||||||
1.850% 11/20/50 (b) | 781,964 | 793,758 | ||||||
PFCA Home Equity Investment Trust, Series 2003-IFC6, Class A, | ||||||||
4.648% VRN 4/22/35 (b) (d) | 578,712 | 575,292 | ||||||
Popular ABS Mortgage Pass-Through Trust, Series 2005-2, Class M2 (ABS), | ||||||||
6.217% STEP 4/25/35 | 1,518,540 | 1,196,358 | ||||||
RAMP Trust, Series 2006-NC3, Class M1, 1 mo. USD LIBOR + .340% | ||||||||
0.602% FRN 3/25/36 | 2,080,000 | 1,979,656 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Saxon Asset Securities Trust 2006-3, Series 2006-3, Class A4, 1 mo. USD LIBOR + .240% | ||||||||
0.332% FRN 10/25/46 | $ | 440,000 | $ | 391,842 | ||||
SBA Small Business Investment Cos. | ||||||||
Series 2019-25G, Class 1, 2.690% 7/01/44 | 251,613 | 270,329 | ||||||
Series 2019-20D, Class 1, 2.980% 4/01/39 | 169,186 | 182,529 | ||||||
Series 2019-10A, Class 1, 3.113% 3/10/29 | 454,230 | 487,502 | ||||||
Series 2018-10B, Class 1, 3.548% 9/10/28 | 317,358 | 341,926 | ||||||
Structured Asset Investment Loan Trust, Series 2004-8, Class A9, 1 mo. USD LIBOR + 1.000% | ||||||||
1.092% FRN 9/25/34 | 984,165 | 960,214 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A1, 1 mo. USD LIBOR + .210% | ||||||||
0.302% FRN 2/25/37 | 2,828,901 | 2,714,888 | ||||||
Towd Point Mortgage Trust 2017-4, Series 2017-4, Class B2, | ||||||||
3.472% VRN 6/25/57 (b) (d) | 740,000 | 786,076 | ||||||
20,316,718 | ||||||||
Student Loans Asset-Backed Securities — 0.9% | ||||||||
College Ave Student Loans 2019-A LLC, Series 2019-A, Class A2 | ||||||||
3.280% 12/28/48 (b) | 330,345 | 341,273 | ||||||
Navient Student Loan Trust | ||||||||
Series 2017-2A, Class A, 1 mo. USD LIBOR + 1.050% 1.142% FRN 12/27/66 (b) | 1,414,585 | 1,437,178 | ||||||
Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150% 1.242% FRN 7/26/66 (b) | 1,030,000 | 1,058,806 | ||||||
SLM Student Loan Trust | ||||||||
Series 2005-A, Class A4, 3 mo. USD LIBOR + .310% 0.429% FRN 12/15/38 | 1,029,894 | 1,012,149 | ||||||
Series 2003-7A, Class A5A, 3 mo. USD LIBOR + 1.200% 1.319% FRN 12/15/33 (b) | 408,193 | 401,483 | ||||||
SMB Private Education Loan Trust | ||||||||
Series 2021-A, Class A2B, 1.590% 1/15/53 (b) | 1,550,000 | 1,546,754 | ||||||
Series 2021-A, Class B, 2.310% 1/15/53 (b) | 600,000 | 609,622 | ||||||
6,407,265 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 2.0% | ||||||||
Bear Stearns Asset -Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650% | ||||||||
7.559% FRN 11/25/35 | 713,299 | 219,576 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. USD LIBOR + .350% | ||||||||
0.442% FRN 5/25/37 | 1,781,601 | 762,240 | ||||||
Credit Suisse Mortgage Trust | ||||||||
Series 2015-4R, Class 3A3, 1 mo. USD LIBOR + .310% 0.712% FRN 10/27/36 (b) | 794,526 | 400,302 | ||||||
Series 2021-2R, Class 1A1, 1 mo. USD LIBOR + 1.750% 1.836% FRN 7/25/47 (b) | 875,591 | 878,065 | ||||||
Series 2015-2R, Class 7A2, 2.546% VRN 8/27/36 (b) (d) | 2,266,196 | 1,859,585 | ||||||
Series 2018-J1, Class A2, 3.500% VRN 2/25/48 (b) (d) | 1,703,052 | 1,739,284 | ||||||
Flagstar Mortgage Trust, Series 2018-2, Class A4, | ||||||||
3.500% VRN 4/25/48 (b) (d) | 139,571 | 140,591 | ||||||
GSMSC Resecuritization Trust, Series 2014-2R, Class 3B, 1 mo. USD LIBOR + .610% | ||||||||
0.702% FRN 11/26/37 (b) | 1,220,000 | 1,057,763 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, | ||||||||
2.883% VRN 10/25/35 (d) | 56,012 | 40,400 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
HarborView Mortgage Loan Trust, Series 2006-2, Class 1A, | ||||||||
2.623% VRN 2/25/36 (d) | $ | 29,833 | $ | 13,560 | ||||
JP Morgan Mortgage Trust | ||||||||
Series 2018-3, Class A1, 3.500% VRN 9/25/48 (b) (d) | 511,448 | 521,104 | ||||||
Series 2018-5, Class A1, 3.500% VRN 10/25/48 (b) (d) | 277,505 | 282,737 | ||||||
Series 2018-4, Class A1, 3.500% VRN 10/25/48 (b) (d) | 232,746 | 236,651 | ||||||
Morgan Stanley Resecuritization Trust, Series 2015-R3, Class 7A2, 12 mo. MTA + .770% | ||||||||
0.897% FRN 4/26/47 (b) | 300,000 | 287,198 | ||||||
MRA Issuance Trust, Series 2021-EB01, Class A1X, 1 mo. USD LIBOR + 1.750% | ||||||||
1.842% FRN 10/08/21 (b) | 1,110,000 | 1,109,867 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2018-RPL1, Class M2, 3.500% VRN 12/25/57 (b) (d) | 730,000 | 790,510 | ||||||
Series 2017-4A, Class A1, 4.000% VRN 5/25/57 (b) (d) | 365,212 | 394,606 | ||||||
Prime Mortgage Trust | ||||||||
Series 2006-DR1, Class 1A1, 5.500% 5/25/35 (b) | 8,747 | 8,397 | ||||||
Series 2006-DR1, Class 2A2, 6.000% 5/25/35 (b) | 606,165 | 542,446 | ||||||
RBSSP Resecuritization Trust, Series 2013-4, Class 1A2, 1 mo. USD LIBOR + 1.500% | ||||||||
1.648% FRN 12/26/37 (b) | 2,164,167 | 1,858,821 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1, | ||||||||
2.850% VRN 8/25/36 (d) | 193,076 | 150,202 | ||||||
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150% | ||||||||
2.266% FRN 3/25/46 | 206,484 | 200,301 | ||||||
13,494,206 | ||||||||
Whole Loan Collateral Planned Amortization Classes — 0.0% | ||||||||
Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. USD LIBOR + 28.600% | ||||||||
28.234% FRN 7/25/36 | 47,794 | 69,468 | ||||||
Whole Loan Collateral Support Collateralized Mortgage Obligations — 0.1% | ||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1B, 12 mo. MTA + 1.000% | ||||||||
1.116% FRN 2/25/46 | 635,225 | 606,385 | ||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $73,524,756) | 74,688,727 | |||||||
SOVEREIGN DEBT OBLIGATIONS — 9.9% | ||||||||
Abu Dhabi Government International Bond | ||||||||
2.500% 10/11/22 (b) | 670,000 | 688,425 | ||||||
3.125% 9/30/49 (b) | 1,530,000 | 1,558,917 | ||||||
Argentine Republic Government International Bond | ||||||||
0.125% STEP 7/09/30 | 1,244,579 | 447,426 | ||||||
0.125% STEP 7/09/35 | 1,927,319 | 610,016 | ||||||
0.125% STEP 7/09/41 | 110,000 | 39,325 | ||||||
1.000% 7/09/29 | 153,987 | 58,315 | ||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||
10.000% 1/01/23 BRL (f) | 15,801,000 | 3,140,962 | ||||||
10.000% 1/01/25 BRL (f) | 7,440,000 | 1,505,251 | ||||||
10.000% 1/01/27 BRL (f) | 1,935,000 | 393,397 | ||||||
Brazilian Government International Bond | ||||||||
4.625% 1/13/28 | 420,000 | 454,033 | ||||||
5.000% 1/27/45 | 510,000 | 514,156 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.625% 1/07/41 | $ | 2,110,000 | $ | 2,292,705 | ||||
Colombia Government International Bond | ||||||||
3.250% 4/22/32 | 430,000 | 421,679 | ||||||
4.125% 2/22/42 | 440,000 | 428,340 | ||||||
5.625% 2/26/44 | 520,000 | 589,165 | ||||||
Egypt Government International Bond | ||||||||
5.577% 2/21/23 (b) | 370,000 | 388,490 | ||||||
Indonesia Government International Bond | ||||||||
3.500% 1/11/28 | 400,000 | 436,565 | ||||||
3.750% 4/25/22 (b) | 1,030,000 | 1,056,698 | ||||||
4.350% 1/11/48 | 450,000 | 510,260 | ||||||
5.125% 1/15/45 | 1,360,000 | 1,681,952 | ||||||
6.500% 2/15/31 IDR (f) | 98,573,000,000 | 6,742,393 | ||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
2.300% 10/15/21 EUR (f) | 7,950,000 | 9,502,976 | ||||||
Kenya Government International Bond | ||||||||
6.300% 1/23/34 (b) | 650,000 | 648,375 | ||||||
Kuwait Government International Bond | ||||||||
3.500% 3/20/27 (b) | 530,000 | 590,897 | ||||||
Mexican Bonos | ||||||||
7.750% 11/13/42 MXN (f) | 34,785,600 | 1,791,614 | ||||||
8.000% 11/07/47 MXN (f) | 195,560,000 | 10,333,856 | ||||||
8.500% 5/31/29 MXN (f) | 60,540,000 | 3,341,028 | ||||||
Mexico Government International Bond | ||||||||
4.750% 3/08/44 | 1,020,000 | 1,126,315 | ||||||
Nigeria Government International Bond | ||||||||
6.500% 11/28/27 (b) | 200,000 | 212,000 | ||||||
7.143% 2/23/30 (b) | 210,000 | 221,425 | ||||||
Panama Government International Bond | ||||||||
2.252% 9/29/32 | 310,000 | 297,448 | ||||||
4.500% 4/01/56 | 350,000 | 395,927 | ||||||
Peruvian Government International Bond | ||||||||
6.550% 3/14/37 | 750,000 | 1,031,257 | ||||||
Provincia de Buenos Aires | ||||||||
6.500% 2/15/23 (b) (g) | 170,000 | 74,377 | ||||||
7.875% 6/15/27 (b) (g) | 160,000 | 71,602 | ||||||
9.125% 3/16/24 (b) (g) | 160,000 | 71,202 | ||||||
Qatar Government International Bond | ||||||||
4.000% 3/14/29 (b) | 380,000 | 437,289 | ||||||
4.817% 3/14/49 (b) | 1,280,000 | 1,646,400 | ||||||
Republic of Poland Government International Bond | ||||||||
4.000% 1/22/24 | 910,000 | 990,411 | ||||||
Russian Federal Bond— OFZ | ||||||||
6.900% 5/23/29 RUB (f) | 269,798,000 | 3,675,193 | ||||||
7.050% 1/19/28 RUB (f) | 239,886,000 | 3,301,323 | ||||||
7.250% 5/10/34 RUB (f) | 60,500,000 | 838,726 | ||||||
7.700% 3/16/39 RUB (f) | 86,260,000 | 1,248,066 | ||||||
7.750% 9/16/26 RUB (f) | 8,260,000 | 117,103 | ||||||
8.150% 2/03/27 RUB (f) | 55,120,000 | 796,717 | ||||||
State of Israel | ||||||||
2.750% 7/03/30 | 310,000 | 330,897 | ||||||
3.375% 1/15/50 | 210,000 | 224,335 | ||||||
67,275,229 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $70,113,578) | 67,275,229 | |||||||
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 17.8% | ||||||||
Collateralized Mortgage Obligations — 1.7% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Series 3422, Class AI, 0.250% STEP 1/15/38 | $ | 10,495 | $ | 80 | ||||
Series 5018, Class MI, 2.000% 10/25/50 | 385,571 | 50,670 | ||||||
Series 5010, Class IK, 2.500% 9/25/50 | 262,015 | 34,669 | ||||||
Series 5010, Class JI, 2.500% 9/25/50 | 569,395 | 85,236 | ||||||
Series 5013, Class IN, 2.500% 9/25/50 | 288,459 | 45,332 | ||||||
Series 5040, Class IB, 2.500% 11/25/50 | 190,777 | 25,634 | ||||||
Series 5059, Class IB, 2.500% 1/25/51 | 786,851 | 124,259 | ||||||
Series 5069, Class MI, 2.500% 2/25/51 | 97,190 | 14,066 | ||||||
Series 4793, Class CB, 3.000% 5/15/48 | 363,091 | 382,200 | ||||||
Series 4793, Class CD, 3.000% 6/15/48 | 238,370 | 250,924 | ||||||
Series 4813, Class CJ, 3.000% 8/15/48 | 172,803 | 180,149 | ||||||
Series 353, Class S1, 1 mo. USD LIBOR + 6.000% 5.927% FRN 12/15/46 | 318,341 | 65,955 | ||||||
Series R007, Class ZA, 6.000% 5/15/36 | 80,033 | 93,453 | ||||||
Series 334, Class S7, 1 mo. USD LIBOR + 6.100% 6.027% FRN 8/15/44 | 134,824 | 27,620 | ||||||
Series 3621, Class SB, 1 mo. USD LIBOR + 6.230% 6.157% FRN 1/15/40 | 29,053 | 6,099 | ||||||
Series 4203, Class PS, 1 mo. USD LIBOR + 6.250% 6.177% FRN 9/15/42 | 131,415 | 19,240 | ||||||
Series 3973, Class SA, 1 mo. USD LIBOR + 6.490% 6.417% FRN 12/15/41 | 190,690 | 43,365 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | ||||||||
Series K743, Class X1, 0.926% VRN 5/25/28 (d) | 4,000,000 | 236,628 | ||||||
Series K110, Class X1, 1.815% VRN 4/25/30 (d) | 1,298,166 | 165,374 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||||||
Series 2012-K20, Class X2A, 0.200% 5/25/45 (b) | 2,980,481 | 3,342 | ||||||
Series K741, Class X1, 0.658% VRN 12/25/27 (d) | 2,999,621 | 100,533 | ||||||
Series K094, Class X1, 1.016% VRN 6/25/29 (d) | 998,057 | 62,425 | ||||||
Series KC05, Class X1, 1.341% VRN 6/25/27 (d) | 1,574,891 | 72,571 | ||||||
Series K736, Class X1, 1.437% VRN 7/25/26 (d) | 2,188,550 | 120,387 | ||||||
Series 2019-KF58, Class B, 1 mo. USD LIBOR + 2.150% 2.236% FRN 1/25/26 (b) | 915,599 | 912,881 | ||||||
Federal National Mortgage Association | ||||||||
Series 2006-118, Class IP1, 0.157% FRN 12/25/36 (d) | 70,758 | 4,122 | ||||||
Series 2006-118, Class IP2, 0.157% FRN 12/25/36 (d) | 54,585 | 3,868 | ||||||
Series 2005-88, Class IP, 1.648% FRN 10/25/35 (d) | 26,865 | 1,292 | ||||||
Series 2006-88, Class IP, 1.850% 3/25/36 | 37,808 | 2,004 | ||||||
Series 2020-47, Class GZ, 2.000% 7/25/50 | 306,055 | 285,248 | ||||||
Series 2020-97, Class AI, 2.000% 1/25/51 | 197,179 | 26,048 | ||||||
Series 2020-56, Class DI, 2.500% 8/25/50 | 462,948 | 69,732 | ||||||
Series 2020-57, Class NI, 2.500% 8/25/50 | 379,467 | 54,348 | ||||||
Series 2020-74, Class EI, 2.500% 10/25/50 | 186,228 | 28,630 | ||||||
Series 2020-89, Class DI, 2.500% 12/25/50 | 1,300,318 | 175,199 | ||||||
Series 2021-3, Class QI, 2.500% 2/25/51 | 877,559 | 117,852 | ||||||
Series 2021-3, Class IB, 2.500% 2/25/51 | 295,597 | 48,875 | ||||||
Series 2006-59, Class IP, 2.549% FRN 7/25/36 (d) | 84,160 | 6,682 | ||||||
Series 409, Class C2, 3.000% 4/25/27 | 71,066 | 3,767 | ||||||
Series 409, Class C13, 3.500% 11/25/41 | 77,640 | 9,586 | ||||||
Series 409, Class C18, 4.000% 4/25/42 | 89,670 | 13,052 | ||||||
Series 409, Class C22, 4.500% 11/25/39 | 51,676 | 8,462 | ||||||
Series 2011-59, Class NZ, 5.500% 7/25/41 | 360,875 | 406,980 | ||||||
Series 2013-9, Class CB, 5.500% 4/25/42 | 300,038 | 333,680 | ||||||
Series 2013-124, Class SB, 1 mo. USD LIBOR + 5.950% 5.859% FRN 12/25/43 | 327,352 | 60,051 | ||||||
Series 2012-46, Class BA, 6.000% 5/25/42 | 76,930 | 88,754 | ||||||
Series 2016-61, Class BS, 1 mo. USD LIBOR + 6.100% 6.009% FRN 9/25/46 | 107,853 | 19,536 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2017-76, Class SB, 1 mo. USD LIBOR + 6.100% 6.009% FRN 10/25/57 | $ | 644,772 | $ | 136,674 | ||||
Series 2012-133, Class CS, 1 mo. USD LIBOR + 6.150% 6.059% FRN 12/25/42 | 93,963 | 19,506 | ||||||
Series 2012-134, Class SK, 1 mo. USD LIBOR + 6.150% 6.059% FRN 12/25/42 | 182,324 | 40,006 | ||||||
Series 2013-54, Class BS, 1 mo. USD LIBOR + 6.150% 6.059% FRN 6/25/43 | 248,588 | 60,355 | ||||||
Series 2017-85, Class SC, 1 mo. USD LIBOR + 6.200% 6.109% FRN 11/25/47 | 190,405 | 35,597 | ||||||
Series 2012-35, Class SC, 1 mo. USD LIBOR + 6.500% 6.409% FRN 4/25/42 | 83,060 | 17,861 | ||||||
Series 2011-87, Class SG, 1 mo. USD LIBOR + 6.550% 6.459% FRN 4/25/40 | 119,575 | 12,519 | ||||||
Series 2011-96, Class SA, 1 mo. USD LIBOR + 6.550% 6.459% FRN 10/25/41 | 188,332 | 35,922 | ||||||
Series 2012-28, Class B, 6.500% 6/25/39 | 10,496 | 11,359 | ||||||
Series 2013-9, Class BC, 6.500% 7/25/42 | 90,064 | 106,446 | ||||||
Series 2012-74, Class SA, 1 mo. USD LIBOR + 6.650% 6.559% FRN 3/25/42 | 47,563 | 8,675 | ||||||
Series 2012-51, Class B, 7.000% 5/25/42 | 65,046 | 78,372 | ||||||
Federal National Mortgage Association ACES | ||||||||
Series 2020-M36, Class X1, 1.561% VRN 9/25/34 (d) | 1,293,375 | 132,436 | ||||||
Series 2019-M28, Class AV, 2.232% 2/25/27 | 121,389 | 127,480 | ||||||
Series 2020-M6, Class A, 2.500% 10/25/37 | 94,167 | 100,188 | ||||||
Series 2019-M19, Class A2, 2.560% 9/25/29 | 489,746 | 528,753 | ||||||
Series 2017-M8, Class A2, 3.061% VRN 5/25/27 (d) | 100,000 | 109,941 | ||||||
Series 2019-M5, Class A2, 3.273% 2/25/29 | 270,000 | 303,523 | ||||||
Series 2019-M4, Class A2, 3.610% 2/25/31 | 130,000 | 152,347 | ||||||
Federal National Mortgage Association Grantor Trust Series 2017-T1, Class A 2.898% 6/25/27 | 99,608 | 108,304 | ||||||
Government National Mortgage Association | ||||||||
Series 2018-H07, Class FD, 1 mo. USD LIBOR + .300% 0.407% FRN 5/20/68 | 385,663 | 386,386 | ||||||
Series 2012-144, Class IO, 0.409% VRN 1/16/53 (d) | 3,031,764 | 53,910 | ||||||
Series 2010-H28, Class FE, 1 mo. USD LIBOR + .400% 0.507% FRN 12/20/60 | 108,753 | 109,318 | ||||||
Series 2012-135, Class IO, 0.532% VRN 1/16/53 (d) | 3,580,144 | 84,372 | ||||||
Series 2014-H20, Class FA, 1 mo. USD LIBOR + .430% 0.537% FRN 10/20/64 | 1,165,080 | 1,172,123 | ||||||
Series 2020-H13, Class FA, 1 mo. USD LIBOR + .450% 0.543% FRN 7/20/70 | 188,900 | 190,394 | ||||||
Series 2020-H13, Class FC, 1 mo. USD LIBOR + .450% 0.543% FRN 7/20/70 | 83,213 | 83,873 | ||||||
Series 2014-186, Class IO, 0.563% VRN 8/16/54 (d) | 855,415 | 19,141 | ||||||
Series 2011-H08, Class FG, 1 mo. USD LIBOR + .480% 0.587% FRN 3/20/61 | 88,765 | 89,552 | ||||||
Series 2011-H09, Class AF, 1 mo. USD LIBOR + .500% 0.607% FRN 3/20/61 | 64,482 | 65,022 | ||||||
Series 2017-41, Class IO, 0.683% VRN 7/16/58 (d) | 1,354,024 | 62,911 | ||||||
Series 2021-60, Class IO, 0.838% VRN 5/16/63 (d) | 2,492,973 | 202,561 | ||||||
Series 2021-22, Class IO, 0.989% VRN 5/16/63 (d) | 1,089,535 | 96,118 | ||||||
Series 2020-H09, Class FL, 1 mo. USD LIBOR + 1.150% 1.243% FRN 5/20/70 | 567,687 | 602,355 | ||||||
Series 2020-H09, Class NF, 1 mo. USD LIBOR + 1.250% 1.343% FRN 4/20/70 | 167,685 | 175,109 | ||||||
Series 2014-22, Class IA, 1.405% FRN 11/20/42 (d) | 25,384 | 924 | ||||||
Series 2017-H18, Class BI, 1.690% VRN 9/20/67 (d) | 3,885,870 | 263,952 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2012-H27, Class AI, 1.742% VRN 10/20/62 (d) | $ | 505,912 | $ | 24,509 | ||||
Series 2020-181, Class WI, 2.000% 12/20/50 | 1,557,977 | 174,091 | ||||||
Series 2017-H20, Class IB, 2.068% VRN 10/20/67 (d) | 79,615 | 7,102 | ||||||
Series 2017-H15, Class KI, 2.300% VRN 7/20/67 (d) | 158,635 | 16,036 | ||||||
Series 2020-123, Class NI, 2.500% 8/20/50 | 484,691 | 67,141 | ||||||
Series 2020-123, Class IL, 2.500% 8/20/50 | 195,572 | 26,860 | ||||||
Series 2020-127, Class IN, 2.500% 8/20/50 | 194,122 | 26,542 | ||||||
Series 2020-129, Class IE, 2.500% 9/20/50 | 194,335 | 26,778 | ||||||
Series 2020-160, Class IH, 2.500% 10/20/50 | 195,456 | 28,337 | ||||||
Series 2020-160, Class YI, 2.500% 10/20/50 | 780,765 | 111,670 | ||||||
Series 2020-160, Class VI, 2.500% 10/20/50 | 292,229 | 42,041 | ||||||
Series 2013-107, Class AD, 2.756% VRN 11/16/47 (d) | 222,558 | 232,676 | ||||||
Series 2019-123, Class A, 3.000% 10/20/49 | 56,222 | 56,966 | ||||||
Series 2012-66, Class CI, 3.500% 2/20/38 | 23,060 | 330 | ||||||
Series 2013-53, Class OI, 3.500% 4/20/43 | 516,159 | 53,740 | ||||||
Series 2020-47, Class MI, 3.500% 4/20/50 | 368,617 | 55,760 | ||||||
Series 2020-47, Class NI, 3.500% 4/20/50 | 92,013 | 14,860 | ||||||
Series 2014-176, Class IA, 4.000% 11/20/44 | 56,362 | 7,769 | ||||||
Series 2015-167, Class OI, 4.000% 4/16/45 | 67,486 | 10,927 | ||||||
Series 2016-84, Class IG, 4.500% 11/16/45 | 302,673 | 54,084 | ||||||
Series 2014-117, Class SJ, 1 mo. USD LIBOR + 5.600% 5.507% FRN 8/20/44 | 85,507 | 15,168 | ||||||
Series 2016-135, Class SB, 1 mo. USD LIBOR + 6.100% 6.025% FRN 10/16/46 | 118,988 | 31,326 | ||||||
Series 2016-21, Class ST, 1 mo. USD LIBOR + 6.150% 6.057% FRN 2/20/46 | 83,418 | 18,752 | ||||||
Series 2010-85, Class HS, 1 mo. USD LIBOR + 6.650% 6.557% FRN 1/20/40 | 16,501 | 1,309 | ||||||
11,779,919 | ||||||||
Pass-Through Securities — 15.2% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #RA3882 2.000% 11/01/50 | 387,676 | 392,526 | ||||||
Pool #QB8602 2.000% 2/01/51 | 98,541 | 100,066 | ||||||
Pool #QB8604 2.000% 2/01/51 | 98,514 | 99,916 | ||||||
Pool #QB8773 2.000% 2/01/51 | 99,092 | 100,502 | ||||||
Pool #QB9087 2.000% 2/01/51 | 495,540 | 502,281 | ||||||
Pool #QB9090 2.000% 2/01/51 | 99,216 | 100,457 | ||||||
Pool #RA4703 2.000% 2/01/51 | 684,774 | 692,978 | ||||||
Pool #QB8975 2.000% 3/01/51 | 99,128 | 100,387 | ||||||
Pool #SD0552 2.000% 3/01/51 | 496,985 | 503,280 | ||||||
Pool #QB9482 2.000% 3/01/51 | 99,397 | 100,660 | ||||||
Pool #QB9961 2.000% 3/01/51 | 99,355 | 100,616 | ||||||
Pool #QC0041 2.000% 3/01/51 | 99,081 | 100,339 | ||||||
Pool #QC0160 2.000% 3/01/51 | 99,376 | 100,688 | ||||||
Pool #QC0161 2.000% 3/01/51 | 99,384 | 100,646 | ||||||
Pool #QB9290 2.000% 3/01/51 | 297,157 | 301,260 | ||||||
Pool #QC0297 2.000% 4/01/51 | 198,870 | 201,358 | ||||||
Pool #SD0573 2.000% 4/01/51 | 199,105 | 202,249 | ||||||
Pool #QC0885 2.000% 4/01/51 | 99,511 | 101,082 | ||||||
Pool #QC1164 2.000% 4/01/51 | 99,554 | 100,940 | ||||||
Pool #RA5117 2.000% 5/01/51 | 1,685,113 | 1,706,195 | ||||||
Pool #RA5155 2.000% 5/01/51 | 198,495 | 201,164 | ||||||
Pool #840698 5 year CMT + 1.284% 2.077% FRN 3/01/47 | 31,792 | 31,880 | ||||||
Pool #QK0701 2.500% 4/01/41 | 98,965 | 103,214 | ||||||
Pool #QB5092 2.500% 11/01/50 | 189,883 | 198,368 | ||||||
Pool #QB5093 2.500% 11/01/50 | 94,913 | 98,892 | ||||||
Pool #RA4175 2.500% 12/01/50 | 775,725 | 807,093 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #RA4414 2.500% 1/01/51 | $ | 581,195 | $ | 603,698 | ||||
Pool #QB8934 2.500% 2/01/51 | 194,458 | 202,108 | ||||||
Pool #QC0165 2.500% 3/01/51 | 98,519 | 102,997 | ||||||
Pool #ZS8669 3.000% 9/01/32 | 107,054 | 112,913 | ||||||
Pool #ZS8673 3.000% 10/01/32 | 75,148 | 79,237 | ||||||
Pool #ZT1257 3.000% 1/01/46 | 191,887 | 205,970 | ||||||
Pool #ZM1238 3.000% 6/01/46 | 116,991 | 123,091 | ||||||
Pool #G67701 3.000% 10/01/46 | 797,111 | 849,466 | ||||||
Pool #ZS4697 3.000% 1/01/47 | 117,727 | 123,828 | ||||||
Pool #G60985 3.000% 5/01/47 | 1,576,289 | 1,679,329 | ||||||
Pool #G61637 3.000% 9/01/47 | 699,099 | 741,931 | ||||||
Pool #ZT1493 3.000% 9/01/48 | 174,809 | 185,985 | ||||||
Pool #RA1293 3.000% 9/01/49 | 556,357 | 592,015 | ||||||
Pool #QA5768 3.000% 1/01/50 | 69,387 | 73,099 | ||||||
Pool #QA5770 3.000% 1/01/50 | 63,085 | 66,546 | ||||||
Pool #RA3175 3.000% 7/01/50 | 899,780 | 950,980 | ||||||
Pool #RA3474 3.000% 9/01/50 | 356,948 | 377,705 | ||||||
Pool #ZT1970 3.500% 4/01/33 | 242,889 | 261,936 | ||||||
Pool #ZS9316 3.500% 1/01/38 | 398,857 | 428,222 | ||||||
Pool #Q41209 3.500% 6/01/46 | 199,019 | 213,515 | ||||||
Pool #ZA5318 3.500% 3/01/48 | 151,910 | 160,211 | ||||||
Pool #ZA5433 3.500% 6/01/48 | 937,502 | 1,002,790 | ||||||
Pool #RA2313 3.500% 3/01/50 | 892,858 | 946,875 | ||||||
Pool #Q19135 4.000% 6/01/43 | 33,926 | 37,435 | ||||||
Pool #Q19236 4.000% 6/01/43 | 26,763 | 29,313 | ||||||
Pool #Q19985 4.000% 7/01/43 | 969,668 | 1,064,542 | ||||||
Pool #Q19615 4.000% 7/01/43 | 31,669 | 34,944 | ||||||
Pool #C09071 4.000% 2/01/45 | 237,646 | 257,001 | ||||||
Pool #ZM1097 4.000% 3/01/46 | 811,708 | 878,272 | ||||||
Pool #ZS4699 4.000% 1/01/47 | 66,060 | 71,188 | ||||||
Pool #V83342 4.000% 8/01/47 | 138,990 | 150,495 | ||||||
Pool #ZA5297 4.000% 3/01/48 | 230,736 | 249,099 | ||||||
Pool #G67713 4.000% 6/01/48 | 768,478 | 833,767 | ||||||
Pool #ZA6680 4.000% 4/01/49 | 570,749 | 618,489 | ||||||
Pool #RA2358 4.000% 3/01/50 | 95,681 | 102,106 | ||||||
Pool #U92272 4.500% 12/01/43 | 4,660 | 5,133 | ||||||
Pool #V83157 4.500% 4/01/47 | 1,275,393 | 1,388,407 | ||||||
Pool #Q49177 4.500% 6/01/47 | 254,541 | 278,667 | ||||||
Pool #RA2353 4.500% 3/01/50 | 115,429 | 124,113 | ||||||
Pool #Q55401 5.000% 4/01/48 | 273,791 | 300,641 | ||||||
Pool #Q56002 5.000% 5/01/48 | 39,199 | 43,021 | ||||||
Pool #ZM7733 5.000% 8/01/48 | 196,238 | 214,996 | ||||||
Pool #ZN1436 5.000% 11/01/48 | 95,967 | 105,087 | ||||||
Pool #SD0291 5.000% 3/01/50 | 583,458 | 637,040 | ||||||
Pool #G06875 5.500% 12/01/38 | 6,173 | 7,161 | ||||||
Pool #G07509 6.500% 9/01/39 | 11,612 | 13,826 | ||||||
Pool #G06669 6.500% 9/01/39 | 12,487 | 14,808 | ||||||
Pool #G07335 7.000% 3/01/39 | 29,617 | 35,882 | ||||||
Federal National Mortgage Association | ||||||||
Pool #CA8377 1.500% 12/01/35 | 95,301 | 96,592 | ||||||
Pool #BQ0254 2.000% 8/01/50 | 88,685 | 89,895 | ||||||
Pool #BQ1528 2.000% 9/01/50 | 93,466 | 94,740 | ||||||
Pool #BQ9224 2.000% 1/01/51 | 195,463 | 197,939 | ||||||
Pool #BQ9226 2.000% 1/01/51 | 194,615 | 197,086 | ||||||
Pool #BR1823 2.000% 1/01/51 | 96,521 | 97,687 | ||||||
Pool #BR4056 2.000% 2/01/51 | 195,209 | 197,688 | ||||||
Pool #FM5940 2.000% 2/01/51 | 688,934 | 697,424 | ||||||
Pool #BR2641 2.000% 2/01/51 | 99,059 | 100,406 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #BR2643 2.000% 2/01/51 | $ | 96,266 | $ | 97,537 | ||||
Pool #BR2644 2.000% 2/01/51 | 98,193 | 99,440 | ||||||
Pool #BR2664 2.000% 2/01/51 | 392,815 | 398,159 | ||||||
Pool #BR1967 2.000% 2/01/51 | 99,189 | 100,383 | ||||||
Pool #BR3500 2.000% 2/01/51 | 99,076 | 100,246 | ||||||
Pool #BR3256 2.000% 2/01/51 | 98,539 | 100,141 | ||||||
Pool #BR3257 2.000% 2/01/51 | 98,472 | 99,996 | ||||||
Pool #BR4035 2.000% 2/01/51 | 198,468 | 200,858 | ||||||
Pool #BR3286 2.000% 3/01/51 | 97,976 | 99,210 | ||||||
Pool #BR4722 2.000% 3/01/51 | 99,036 | 100,294 | ||||||
Pool #BR4753 2.000% 3/01/51 | 99,258 | 100,624 | ||||||
Pool #BR4756 2.000% 3/01/51 | 99,176 | 100,435 | ||||||
Pool #BR5458 2.000% 3/01/51 | 99,393 | 100,636 | ||||||
Pool #BR5487 2.000% 3/01/51 | 99,350 | 100,612 | ||||||
Pool #BR5587 2.000% 3/01/51 | 99,152 | 100,460 | ||||||
Pool #BR5577 2.000% 3/01/51 | 98,145 | 99,391 | ||||||
Pool #BR5649 2.000% 3/01/51 | 99,384 | 100,646 | ||||||
Pool #BR5633 2.000% 3/01/51 | 99,334 | 100,595 | ||||||
Pool #BR5634 2.000% 3/01/51 | 98,626 | 99,804 | ||||||
Pool #BR6462 2.000% 3/01/51 | 99,379 | 100,638 | ||||||
Pool #FM6343 2.000% 3/01/51 | 99,188 | 100,447 | ||||||
Pool #FM6400 2.000% 3/01/51 | 393,871 | 398,724 | ||||||
Pool #FM6448 2.000% 3/01/51 | 495,607 | 501,529 | ||||||
Pool #BQ9453 2.000% 3/01/51 | 193,083 | 195,749 | ||||||
Pool #BR4080 2.000% 3/01/51 | 99,139 | 100,395 | ||||||
Pool #BR5589 2.000% 3/01/51 | 99,345 | 100,604 | ||||||
Pool #FM6184 2.000% 3/01/51 | 888,867 | 901,515 | ||||||
Pool #FM6418 2.000% 3/01/51 | 98,020 | 99,415 | ||||||
Poll #BR3290 2.000% 3/01/51 | 395,726 | 400,738 | ||||||
Pool #BR7191 2.000% 4/01/51 | 589,980 | 597,361 | ||||||
Pool #BR7745 2.000% 4/01/51 | 99,570 | 100,956 | ||||||
Pool #FM6555 2.000% 4/01/51 | 494,083 | 500,032 | ||||||
Pool #BR7744 2.000% 4/01/51 | 99,405 | 100,851 | ||||||
Pool #BR8478 2.000% 4/01/51 | 99,580 | 101,029 | ||||||
Pool #BR8518 2.000% 4/01/51 | 99,510 | 100,895 | ||||||
Pool #BL5850 2.260% 4/01/30 | 390,751 | 413,928 | ||||||
Pool #MA2749 2.500% 9/01/36 | 63,145 | 65,827 | ||||||
Pool #FM3123 2.500% 3/01/38 | 610,372 | 636,293 | ||||||
Pool #CA9358 2.500% 3/01/41 | 98,646 | 103,699 | ||||||
Pool #CB0100 2.500% 4/01/41 | 198,042 | 208,556 | ||||||
Pool #CB0101 2.500% 4/01/41 | 98,939 | 104,006 | ||||||
Pool #CB0114 2.500% 4/01/41 | 395,370 | 414,137 | ||||||
Pool #CB0470 2.500% 5/01/41 | 794,501 | 830,725 | ||||||
Pool #BQ1150 2.500% 10/01/50 | 188,676 | 196,011 | ||||||
Pool #FM4577 2.500% 10/01/50 | 283,535 | 294,912 | ||||||
Pool #BQ5876 2.500% 11/01/50 | 96,894 | 100,956 | ||||||
Pool #BQ5882 2.500% 11/01/50 | 475,453 | 493,163 | ||||||
Pool #CA8460 2.500% 1/01/51 | 387,170 | 400,950 | ||||||
Pool #FM5423 2.500% 1/01/51 | 480,656 | 500,092 | ||||||
Pool #FM5944 2.500% 1/01/51 | 293,026 | 304,326 | ||||||
Pool #BR0757 2.500% 1/01/51 | 98,131 | 101,793 | ||||||
Pool #CA9121 2.500% 2/01/51 | 392,600 | 408,046 | ||||||
Pool #FM5713 2.500% 2/01/51 | 191,638 | 198,848 | ||||||
Pool #FM5743 2.500% 2/01/51 | 98,391 | 102,446 | ||||||
Pool #FM5904 2.500% 2/01/51 | 195,582 | 203,644 | ||||||
Pool #FM5931 2.500% 2/01/51 | 389,422 | 404,500 | ||||||
Pool #FM6460 2.500% 3/01/51 | 197,978 | 206,308 | ||||||
Pool #FM6871 2.500% 4/01/51 (e) | 197,895 | 206,608 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #BR6496 2.500% 4/01/51 | $ | 98,568 | $ | 103,049 | ||||
Pool #BR7222 2.500% 4/01/51 | 198,944 | 206,942 | ||||||
Pool #FM7304 2.500% 5/01/51 (e) | 199,596 | 207,683 | ||||||
Pool #FM7741 2.500% 5/01/51 (e) | 200,000 | 208,040 | ||||||
Pool #FM7518 2.500% 6/01/51 | 1,197,189 | 1,248,312 | ||||||
Pool #FM7675 2.500% 6/01/51 (e) | 300,000 | 312,670 | ||||||
Pool #FM7676 2.500% 6/01/51 (e) | 100,000 | 104,044 | ||||||
Pool #AM8674 2.810% 4/01/25 | 50,000 | 53,492 | ||||||
Pool #MA2320 3.000% 7/01/35 | 60,418 | 63,832 | ||||||
Pool #MA2523 3.000% 2/01/36 | 405,348 | 427,749 | ||||||
Pool #MA2579 3.000% 4/01/36 | 305,949 | 322,856 | ||||||
Pool #MA2672 3.000% 7/01/36 | 629,163 | 663,539 | ||||||
Pool #MA2707 3.000% 8/01/36 | 367,156 | 387,217 | ||||||
Pool #MA2773 3.000% 10/01/36 | 1,344,199 | 1,417,643 | ||||||
Pool #MA2832 3.000% 12/01/36 | 695,399 | 732,960 | ||||||
Pool #BJ2544 3.000% 12/01/37 | 78,163 | 82,165 | ||||||
Pool #FM5783 3.000% 6/01/38 | 321,427 | 338,989 | ||||||
Pool #FM6134 3.000% 3/01/40 | 326,471 | 343,186 | ||||||
Pool #AQ7306 3.000% 1/01/43 | 41,431 | 44,342 | ||||||
Pool #AR1202 3.000% 1/01/43 | 41,991 | 44,941 | ||||||
Pool #BC0884 3.000% 5/01/46 | 281,608 | 298,578 | ||||||
Pool #AS7533 3.000% 7/01/46 | 182,070 | 193,440 | ||||||
Pool #BC1509 3.000% 8/01/46 | 48,718 | 51,562 | ||||||
Pool #AS7738 3.000% 8/01/46 | 488,084 | 517,802 | ||||||
Pool #AS7844 3.000% 9/01/46 | 87,866 | 92,996 | ||||||
Pool #BC2817 3.000% 9/01/46 | 65,249 | 69,058 | ||||||
Pool #BD8104 3.000% 10/01/46 | 216,383 | 230,437 | ||||||
Pool #AL9397 3.000% 10/01/46 | 95,532 | 101,110 | ||||||
Pool #AS8359 3.000% 11/01/46 | 440,007 | 462,948 | ||||||
Pool #BE0072 3.000% 11/01/46 | 863,193 | 916,560 | ||||||
Pool #BM1565 3.000% 4/01/47 | 875,241 | 932,088 | ||||||
Pool #BM4579 3.000% 4/01/47 | 1,724,211 | 1,830,271 | ||||||
Pool #890843 3.000% 9/01/47 | 465,218 | 494,271 | ||||||
Pool #CA3809 3.000% 7/01/49 | 54,230 | 57,248 | ||||||
Pool #FM1459 3.000% 9/01/49 | 380,316 | 396,252 | ||||||
Pool #BN7753 3.000% 9/01/49 | 1,027,395 | 1,090,994 | ||||||
Pool #BO2878 3.000% 11/01/49 | 163,619 | 170,488 | ||||||
Pool #BO8932 3.000% 1/01/50 | 47,550 | 50,135 | ||||||
Pool #CA4979 3.000% 1/01/50 | 207,858 | 218,793 | ||||||
Pool #BP7009 3.000% 8/01/50 | 149,472 | 157,100 | ||||||
Pool #AN8048 3.080% 1/01/28 | 210,000 | 231,756 | ||||||
Pool #BL2454 3.160% 5/01/29 | 87,583 | 97,209 | ||||||
Pool #MA2110 3.500% 12/01/34 | 89,835 | 95,944 | ||||||
Pool #MA2138 3.500% 1/01/35 | 46,703 | 49,878 | ||||||
Pool #AS8740 3.500% 2/01/37 | 98,034 | 104,639 | ||||||
Pool #FM5754 3.500% 3/01/37 | 84,531 | 90,279 | ||||||
Pool #890827 3.500% 12/01/37 | 55,993 | 60,098 | ||||||
Pool #FM6015 3.500% 8/01/39 | 82,850 | 88,432 | ||||||
Pool #FM0068 3.500% 2/01/40 | 282,426 | 307,456 | ||||||
Pool #FM0071 3.500% 2/01/40 | 65,392 | 70,207 | ||||||
Pool #MA1177 3.500% 9/01/42 | 26,814 | 28,922 | ||||||
Pool #MA1213 3.500% 10/01/42 | 165,144 | 178,128 | ||||||
Pool #AL3026 3.500% 12/01/42 | 47,398 | 50,976 | ||||||
Pool #BM4751 3.500% 3/01/43 | 531,626 | 571,763 | ||||||
Pool #AY6181 3.500% 4/01/45 | 113,276 | 121,368 | ||||||
Pool #AS6340 3.500% 12/01/45 | 123,829 | 132,791 | ||||||
Pool #AS6328 3.500% 12/01/45 | 523,286 | 558,215 | ||||||
Pool #AS6562 3.500% 1/01/46 | 109,139 | 117,037 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #AS6541 3.500% 1/01/46 | $ | 128,595 | $ | 138,666 | ||||
Pool #AL9546 3.500% 11/01/46 | 269,242 | 287,664 | ||||||
Pool #BC9096 3.500% 12/01/46 | 112,710 | 119,952 | ||||||
Pool #FM3347 3.500% 5/01/47 | 452,655 | 482,445 | ||||||
Pool #CA0907 3.500% 12/01/47 | 51,130 | 54,739 | ||||||
Pool #CA1526 3.500% 4/01/48 | 481,470 | 515,000 | ||||||
Pool #FM3469 3.500% 8/01/48 | 593,005 | 632,403 | ||||||
Pool #FM3141 3.500% 11/01/48 | 715,750 | 762,184 | ||||||
Pool #FM3773 3.500% 11/01/48 | 622,720 | 663,703 | ||||||
Pool #FM3278 3.500% 11/01/48 | 175,347 | 185,037 | ||||||
Pool #CA5164 3.500% 2/01/50 | 401,047 | 424,082 | ||||||
Pool #FM2333 3.500% 2/01/50 | 203,714 | 216,039 | ||||||
Pool #CB0545 3.500% 5/01/51 | 598,682 | 638,691 | ||||||
Pool #AK8441 4.000% 4/01/42 | 20,055 | 21,925 | ||||||
Pool #AO2711 4.000% 5/01/42 | 16,173 | 17,681 | ||||||
Pool #AO6086 4.000% 6/01/42 | 27,660 | 30,239 | ||||||
Pool #AP0692 4.000% 7/01/42 | 18,066 | 19,751 | ||||||
Pool #AP5333 4.000% 7/01/42 | 152,445 | 166,661 | ||||||
Pool #AP2530 4.000% 8/01/42 | 24,232 | 26,492 | ||||||
Pool #AP4903 4.000% 9/01/42 | 32,495 | 35,515 | ||||||
Pool #AP7399 4.000% 9/01/42 | 49,106 | 53,670 | ||||||
Pool #MA1217 4.000% 10/01/42 | 129,575 | 141,902 | ||||||
Pool #AP9229 4.000% 10/01/42 | 14,263 | 15,589 | ||||||
Pool #AP9766 4.000% 10/01/42 | 98,528 | 107,901 | ||||||
Pool #MA1253 4.000% 11/01/42 | 75,277 | 82,438 | ||||||
Pool #AQ3599 4.000% 11/01/42 | 19,597 | 21,418 | ||||||
Pool #AQ4555 4.000% 12/01/42 | 43,615 | 47,668 | ||||||
Pool #AQ7003 4.000% 12/01/42 | 41,396 | 45,243 | ||||||
Pool #AQ7082 4.000% 1/01/43 | 53,573 | 58,552 | ||||||
Pool #AL3508 4.000% 4/01/43 | 35,561 | 39,222 | ||||||
Pool #AQ4078 4.000% 6/01/43 | 34,534 | 38,089 | ||||||
Pool #AQ4080 4.000% 6/01/43 | 25,727 | 28,166 | ||||||
Pool #AT8394 4.000% 6/01/43 | 32,191 | 35,505 | ||||||
Pool #AB9683 4.000% 6/01/43 | 48,044 | 52,494 | ||||||
Pool #AT9637 4.000% 7/01/43 | 98,996 | 108,382 | ||||||
Pool #AT9653 4.000% 7/01/43 | 74,592 | 82,270 | ||||||
Pool #AT9657 4.000% 7/01/43 | 56,849 | 62,115 | ||||||
Pool #MA1547 4.000% 8/01/43 | 35,710 | 39,085 | ||||||
Pool #AS0070 4.000% 8/01/43 | 31,083 | 34,020 | ||||||
Pool #AS4347 4.000% 1/01/45 | 58,795 | 64,425 | ||||||
Pool #AS9453 4.000% 4/01/47 | 66,586 | 72,130 | ||||||
Pool #AS9588 4.000% 5/01/47 | 139,917 | 151,479 | ||||||
Pool #BH4095 4.000% 10/01/47 | 97,465 | 104,543 | ||||||
Pool #BM2005 4.000% 12/01/47 | 27,839 | 29,896 | ||||||
Pool #MA3239 4.000% 1/01/48 (e) | 159,230 | 170,247 | ||||||
Pool #BJ6133 4.000% 1/01/48 | 31,384 | 33,537 | ||||||
Pool #FM3023 4.000% 2/01/48 | 53,161 | 57,521 | ||||||
Pool #FM2173 4.000% 9/01/48 | 80,364 | 86,164 | ||||||
Pool #FM3158 4.000% 11/01/48 | 178,855 | 193,354 | ||||||
Pool #FM5054 4.000% 11/01/48 | 173,911 | 186,651 | ||||||
Pool #FM3542 4.000% 5/01/49 | 60,622 | 65,669 | ||||||
Pool #BO0968 4.000% 6/01/49 | 131,785 | 140,224 | ||||||
Pool #FM2158 4.000% 10/01/49 | 55,378 | 59,725 | ||||||
Pool #CA4819 4.000% 12/01/49 | 64,722 | 69,802 | ||||||
Pool #CA4823 4.000% 12/01/49 | 202,491 | 215,347 | ||||||
Pool #FM3978 4.000% 7/01/50 | 122,855 | 132,190 | ||||||
Pool #BF0104 4.000% 2/01/56 | 106,483 | 118,576 | ||||||
Pool #BF0183 4.000% 1/01/57 | 60,026 | 66,843 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #BF0191 4.000% 6/01/57 | $ | 110,567 | $ | 122,743 | ||||
Pool #MA0706 4.500% 4/01/31 | 16,331 | 17,934 | ||||||
Pool #MA0734 4.500% 5/01/31 | 54,748 | 60,122 | ||||||
Pool #MA0776 4.500% 6/01/31 | 18,626 | 20,455 | ||||||
Pool #MA0913 4.500% 11/01/31 | 13,798 | 15,187 | ||||||
Pool #MA0939 4.500% 12/01/31 | 14,067 | 15,483 | ||||||
Pool #993117 4.500% 1/01/39 | 1,104 | 1,224 | ||||||
Pool #AA0856 4.500% 1/01/39 | 8,076 | 8,996 | ||||||
Pool #AA3495 4.500% 2/01/39 | 7,182 | 7,984 | ||||||
Pool #935520 4.500% 8/01/39 | 13,044 | 14,518 | ||||||
Pool #AD5481 4.500% 5/01/40 | 370,251 | 411,454 | ||||||
Pool #AD6914 4.500% 6/01/40 | 40,362 | 44,853 | ||||||
Pool #AD8685 4.500% 8/01/40 | 93,206 | 103,578 | ||||||
Pool #MA1591 4.500% 9/01/43 | 69,827 | 76,877 | ||||||
Pool #AL4341 4.500% 10/01/43 | 4,040 | 4,482 | ||||||
Pool #MA1629 4.500% 10/01/43 | 64,646 | 71,173 | ||||||
Pool #MA1664 4.500% 11/01/43 | 32,799 | 36,111 | ||||||
Pool #MA1711 4.500% 12/01/43 | 68,635 | 75,565 | ||||||
Pool #AL4741 4.500% 1/01/44 | 29,903 | 32,923 | ||||||
Pool #AW0318 4.500% 2/01/44 | 85,471 | 94,529 | ||||||
Pool #AL5562 4.500% 4/01/44 | 12,494 | 13,837 | ||||||
Pool #890604 4.500% 10/01/44 | 270,633 | 300,412 | ||||||
Pool #AS4271 4.500% 1/01/45 | 34,713 | 39,205 | ||||||
Pool #AS9760 4.500% 6/01/47 | 149,370 | 162,339 | ||||||
Pool #BJ9257 4.500% 6/01/48 | 235,143 | 258,592 | ||||||
Pool #CA2047 4.500% 7/01/48 | 293,516 | 322,786 | ||||||
Pool #CA2199 4.500% 8/01/48 | 476,738 | 523,831 | ||||||
Pool #CA2482 4.500% 10/01/48 | 383,321 | 421,066 | ||||||
Pool #BK7700 4.500% 10/01/48 | 562,842 | 618,266 | ||||||
Pool #BN1623 4.500% 11/01/48 | 230,928 | 253,668 | ||||||
Pool #BM5119 4.500% 12/01/48 | 391,627 | 425,809 | ||||||
Pool #FM3572 4.500% 9/01/49 | 119,675 | 131,497 | ||||||
Pool #FM1539 4.500% 9/01/49 | 71,042 | 76,467 | ||||||
Pool #CA5379 4.500% 3/01/50 | 282,015 | 309,807 | ||||||
Pool #BF0148 4.500% 4/01/56 | 485,806 | 548,066 | ||||||
Pool #BF0222 4.500% 9/01/57 | 571,854 | 642,104 | ||||||
Pool #BF0301 4.500% 8/01/58 | 60,567 | 67,837 | ||||||
Pool #BF0338 4.500% 1/01/59 | 142,269 | 159,346 | ||||||
Pool #915154 5.000% 4/01/37 | 38,072 | 43,424 | ||||||
Pool #974965 5.000% 4/01/38 | 111,440 | 127,292 | ||||||
Pool #983077 5.000% 5/01/38 | 31,436 | 35,796 | ||||||
Pool #310088 5.000% 6/01/38 | 28,247 | 32,271 | ||||||
Pool #AE2266 5.000% 3/01/40 | 67,731 | 77,264 | ||||||
Pool #BM3904 5.000% 5/01/48 | 93,437 | 102,788 | ||||||
Pool #CA2251 5.000% 8/01/48 | 75,783 | 83,027 | ||||||
Pool #MA3501 5.000% 10/01/48 | 278,529 | 305,152 | ||||||
Pool #MA3527 5.000% 11/01/48 | 416,388 | 456,188 | ||||||
Pool #CA2652 5.000% 11/01/48 | 454,562 | 498,580 | ||||||
Pool #BN0341 5.000% 12/01/48 | 161,540 | 176,980 | ||||||
Pool #FM1727 5.000% 9/01/49 | 965,197 | 1,077,363 | ||||||
Pool #FM3155 5.000% 12/01/49 | 126,502 | 138,476 | ||||||
Pool #FM3957 5.000% 3/01/50 | 240,473 | 262,857 | ||||||
Pool #937948 5.500% 6/01/37 | 8,065 | 9,387 | ||||||
Pool #995072 5.500% 8/01/38 | 14,844 | 17,308 | ||||||
Pool #BF0141 5.500% 9/01/56 | 542,721 | 642,443 | ||||||
Pool #481473 6.000% 2/01/29 | 14 | 16 | ||||||
Pool #867557 6.000% 2/01/36 | 1,777 | 2,014 | ||||||
Pool #AE0469 6.000% 12/01/39 | 127,111 | 150,878 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #BM1948 6.000% 7/01/41 | $ | 136,455 | $ | 161,189 | ||||
Pool #AL4324 6.500% 5/01/40 | 77,259 | 92,054 | ||||||
Pool #AE0758 7.000% 2/01/39 | 42,526 | 51,439 | ||||||
Government National Mortgage Association | ||||||||
Pool #AB2892 3.000% 9/15/42 | 113,120 | 120,470 | ||||||
Pool #AA5649 3.000% 9/15/42 | 105,655 | 112,520 | ||||||
Pool #783669 3.000% 9/15/42 | 199,039 | 211,971 | ||||||
Pool #AB9108 3.000% 10/15/42 | 742,399 | 790,635 | ||||||
Pool #AB9109 3.000% 10/15/42 | 64,230 | 68,403 | ||||||
Pool #AB9207 3.000% 11/15/42 | 58,762 | 62,580 | ||||||
Pool #784571 3.500% 6/15/48 | 251,077 | 271,036 | ||||||
Pool #BS8439 3.500% 5/15/50 | 268,151 | 283,434 | ||||||
Pool #487588 6.000% 4/15/29 | 1,036 | 1,163 | ||||||
Pool #596620 6.000% 10/15/32 | 201 | 232 | ||||||
Pool #595077 6.000% 10/15/32 | 251 | 288 | ||||||
Pool #604706 6.000% 10/15/33 | 35,688 | 41,284 | ||||||
Pool #636251 6.000% 3/15/35 | 3,908 | 4,555 | ||||||
Pool #782034 6.000% 1/15/36 | 38,474 | 44,730 | ||||||
Pool #658029 6.000% 7/15/36 | 13,316 | 15,522 | ||||||
Government National Mortgage Association II | ||||||||
Pool #785220 2.000% 12/20/50 | 294,520 | 300,744 | ||||||
Pool #785221 2.000% 12/20/50 | 387,300 | 395,727 | ||||||
Pool #785359 2.000% 3/20/51 | 296,050 | 302,307 | ||||||
Pool #785360 2.000% 3/20/51 | 99,396 | 101,466 | ||||||
Pool #BS8546 2.500% 12/20/50 | 98,389 | 102,076 | ||||||
Pool #BT1888 2.500% 12/20/50 | 196,130 | 203,295 | ||||||
Pool #MA2677 3.000% 3/20/45 | 195,282 | 206,916 | ||||||
Pool #MA4068 3.000% 11/20/46 | 32,648 | 34,410 | ||||||
Pool #MA6338 3.000% 12/20/49 | 475,730 | 498,459 | ||||||
Pool #MA1995 3.500% 6/20/44 | 78,191 | 84,073 | ||||||
Pool #MA2678 3.500% 3/20/45 | 34,529 | 36,846 | ||||||
Pool #784106 3.500% 1/20/46 | 92,215 | 97,942 | ||||||
Pool #MA3597 3.500% 4/20/46 | 202,265 | 214,827 | ||||||
Pool #MA3663 3.500% 5/20/46 | 103,959 | 110,415 | ||||||
Pool #MA3736 3.500% 6/20/46 | 216,061 | 229,478 | ||||||
Pool #MA3803 3.500% 7/20/46 | 109,006 | 115,776 | ||||||
Pool #MA4451 3.500% 5/20/47 | 174,777 | 185,194 | ||||||
Pool #BC4732 3.500% 10/20/47 | 355,354 | 379,977 | ||||||
Pool #BD0384 3.500% 10/20/47 | 222,807 | 238,246 | ||||||
Pool #784674 3.500% 4/20/48 | 2,018,671 | 2,197,656 | ||||||
Pool #784985 3.500% 9/20/48 | 48,256 | 51,072 | ||||||
Pool #784825 3.500% 10/20/49 | 180,663 | 187,987 | ||||||
Pool #BM7534 3.500% 2/20/50 | 141,891 | 153,629 | ||||||
Pool #MA6767 3.500% 7/20/50 | 70,904 | 74,482 | ||||||
Pool #MA6933 3.500% 10/20/50 | 261,565 | 274,232 | ||||||
Pool #MA6997 3.500% 11/20/50 | 185,136 | 194,478 | ||||||
Pool #MA4511 4.000% 6/20/47 | 1,010,604 | 1,080,005 | ||||||
Pool #MA4720 4.000% 9/20/47 | 678,559 | 725,211 | ||||||
Pool #MA4838 4.000% 11/20/47 | 524,816 | 560,734 | ||||||
Pool #MA4901 4.000% 12/20/47 | 201,968 | 215,712 | ||||||
Pool #MA5020 4.000% 2/20/48 | 196,894 | 210,093 | ||||||
Pool #MA5078 4.000% 3/20/48 | 233,114 | 248,522 | ||||||
Pool #MA5137 4.000% 4/20/48 | 186,634 | 198,721 | ||||||
Pool #BM9734 4.000% 10/20/49 | 74,161 | 79,578 | ||||||
Pool #BM9743 4.000% 11/20/49 | 78,011 | 83,709 | ||||||
Pool #BS1728 4.000% 1/20/50 | 79,663 | 85,482 | ||||||
Pool #BS1742 4.000% 2/20/50 | 72,949 | 78,277 | ||||||
Pool #BS1757 4.000% 3/20/50 | 73,924 | 79,324 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #BS8420 4.000% 4/20/50 | $ | 318,335 | $ | 341,788 | ||||
Pool #783298 4.500% 4/20/41 | 117,029 | 129,206 | ||||||
Pool #783368 4.500% 7/20/41 | 17,088 | 18,861 | ||||||
Pool #MA4654 4.500% 8/20/47 | 226,525 | 246,237 | ||||||
Pool #MA5138 4.500% 4/20/48 | 377,211 | 408,180 | ||||||
Pool #MA5193 4.500% 5/20/48 | 522,998 | 565,609 | ||||||
Pool #MA5265 4.500% 6/20/48 | 351,086 | 379,472 | ||||||
Pool #MA5331 4.500% 7/20/48 | 88,120 | 95,134 | ||||||
Pool #MA5818 4.500% 3/20/49 | 118,285 | 126,647 | ||||||
Pool #4747 5.000% 7/20/40 | 72,238 | 81,295 | ||||||
Pool #MA5712 5.000% 1/20/49 | 52,849 | 56,853 | ||||||
Government National Mortgage Association II TBA | ||||||||
2.500% 5/01/50 (e) | 2,000,000 | 2,070,781 | ||||||
3.000% 7/01/49 (e) | 3,400,000 | 3,547,422 | ||||||
Uniform Mortgage Backed Securities TBA | ||||||||
2.000% 3/01/36 (e) | 2,200,000 | 2,269,953 | ||||||
2.500% 8/12/51 (e) | 1,600,000 | 1,652,625 | ||||||
102,941,570 | ||||||||
Whole Loans — 0.9% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
Series 2020-DNA2, Class M2, 1 mo. USD LIBOR + 1.850% 1.942% FRN 2/25/50 (b) | 770,000 | 775,934 | ||||||
Series 2020-DNA6, Class M2, SOFR30A + 2.000% 2.018% FRN 12/25/50 (b) | 780,000 | 787,240 | ||||||
Series 2020-DNA1, Class B1, 1 mo. USD LIBOR + 2.300% 2.392% FRN 1/25/50 (b) | 380,000 | 380,000 | ||||||
Series 2017-DNA1, Class B1, 1 mo. USD LIBOR + 4.950% 5.042% FRN 7/25/29 | 1,450,000 | 1,558,852 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust | ||||||||
Series 2019-R07, Class 1M2, 1 mo. USD LIBOR + 2.100% 2.192% FRN 10/25/39 (b) | 329,166 | 330,576 | ||||||
Series 2018-C03, Class 1M2, 1 mo. USD LIBOR + 2.150% 2.242% FRN 10/25/30 | 1,308,329 | 1,322,711 | ||||||
Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.300% 2.392% FRN 8/25/31 (b) | 523,585 | 527,123 | ||||||
Series 2018-C05, Class 1B1, 1 mo. USD LIBOR + 4.250% 4.342% FRN 1/25/31 | 370,000 | 386,753 | ||||||
6,069,189 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $119,305,688) | 120,790,678 | |||||||
U.S. TREASURY OBLIGATIONS — 12.0% | ||||||||
U.S. Treasury Bonds & Notes — 12.0% | ||||||||
U.S. Treasury Bond | ||||||||
1.250% 5/15/50 | 16,190,000 | 13,228,906 | ||||||
1.625% 11/15/50 | 5,710,000 | 5,130,393 | ||||||
1.875% 2/15/51 | 9,390,000 | 8,966,639 | ||||||
2.000% 2/15/50 | 3,150,000 | 3,096,164 | ||||||
2.250% 5/15/41 | 300,000 | 312,490 | ||||||
2.375% 5/15/51 | 3,750,000 | 4,007,009 | ||||||
3.000% 2/15/48 | 16,000 | 19,074 | ||||||
3.750% 11/15/43 | 6,560,000 | 8,612,608 | ||||||
U.S. Treasury Inflation Index | ||||||||
0.750% 2/15/42 | 850,709 | 1,037,300 | ||||||
0.750% 2/15/45 | 102,039 | 126,016 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
1.375% 2/15/44 | $ | 2,302,556 | $ | 3,181,754 | ||||
2.125% 2/15/40 | 1,333,933 | 1,990,669 | ||||||
2.125% 2/15/41 | 255,960 | 386,120 | ||||||
U.S. Treasury Note | ||||||||
0.250% 11/15/23 | 70,000 | 69,885 | ||||||
0.250% 5/31/25 | 4,270,000 | 4,199,627 | ||||||
0.250% 6/30/25 | 40,000 | 39,300 | ||||||
0.250% 9/30/25 | 120,000 | 117,515 | ||||||
0.250% 10/31/25 | 360,000 | 352,125 | ||||||
0.375% 11/30/25 | 20,000 | 19,646 | ||||||
0.625% 12/31/27 | 760,000 | 735,302 | ||||||
0.625% 5/15/30 | 170,000 | 159,069 | ||||||
0.750% 4/30/26 | 4,480,000 | 4,459,103 | ||||||
0.750% 5/31/26 | 10,000 | 9,948 | ||||||
0.750% 1/31/28 | 7,270,000 | 7,083,258 | ||||||
0.875% 6/30/26 | 30,000 | 30,000 | ||||||
1.250% 5/31/28 | 5,520,000 | 5,538,643 | ||||||
1.250% 6/30/28 | 2,480,000 | 2,485,840 | ||||||
1.625% 5/15/31 | 3,750,000 | 3,812,055 | ||||||
U.S. Treasury Strip | ||||||||
0.000% 5/15/49 | 3,450,000 | 1,908,109 | ||||||
81,114,567 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $81,838,413) | 81,114,567 | |||||||
TOTAL BONDS & NOTES (Cost $631,653,781) | 653,319,735 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.1% (Cost $1,150,691) | 502,558 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $632,804,472) | 653,822,293 | |||||||
SHORT-TERM INVESTMENTS — 3.7% | ||||||||
Repurchase Agreement — 3.7% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (h) | 25,241,134 | 25,241,134 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $25,241,134) | 25,241,134 | |||||||
TOTAL INVESTMENTS — 100.2% (Cost $658,045,606) (i) | 679,063,427 | |||||||
Other Assets/(Liabilities) — (0.2)% | (1,027,172) | |||||||
NET ASSETS — 100.0% | $ | 678,036,255 |
Abbreviation Legend
FRN | Floating Rate Note |
IO | Interest Only |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
MassMutual 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 June 30, 2021 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 June 30, 2021, the aggregate market value of these securities amounted to $103,470,462 or 15.26% of net assets. |
(c) | Security is perpetual and has no stated maturity date. |
(d) | 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 June 30, 2021. |
(e) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(f) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(g) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At June 30, 2021, these securities amounted to a value of $217,181 or 0.03% of net assets. |
(h) | Maturity value of $25,241,134. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $25,745,971. |
(i) | 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) | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
USD Put EUR Call | BNP Paribas S.A. | 7/06/21 | 1.19 | 7,439,560 | USD | 7,439,560 | $ | 19,343 | $ | 90,636 | $ | (71,293 | ) | |||||||||||||||||
USD Put EUR Call | BNP Paribas S.A. | 8/11/21 | 1.23 | 7,640,000 | USD | 7,640,000 | 1,528 | 55,837 | (54,309 | ) | ||||||||||||||||||||
USD Put JPY Call | Citigroup Global Markets Inc. | 7/08/21 | 107.45 | 7,340,000 | USD | 7,340,000 | 51 | 44,370 | (44,319 | ) | ||||||||||||||||||||
USD Put NOK Call | Citigroup Global Markets Inc. | 8/09/21 | 8.14 | 2,440,000 | USD | 2,440,000 | 1,464 | 22,790 | (21,326 | ) | ||||||||||||||||||||
USD Put NOK Call | Citigroup Global Markets Inc. | 8/13/21 | 8.21 | 2,430,000 | USD | 2,430,000 | 2,950 | 21,141 | (18,191 | ) | ||||||||||||||||||||
USD Put EUR Call | Goldman Sachs & Co. | 7/20/21 | 1.21 | 2,780,000 | USD | 2,780,000 | 1,668 | 33,026 | (31,358 | ) | ||||||||||||||||||||
USD Put NOK Call | Goldman Sachs & Co. | 8/05/21 | 8.13 | 2,570,000 | USD | 2,570,000 | 1,028 | 24,728 | (23,700 | ) | ||||||||||||||||||||
USD Put EUR Call | Goldman Sachs & Co. | 8/19/21 | 1.22 | 7,470,000 | USD | 7,470,000 | 5,229 | 92,030 | (86,801 | ) | ||||||||||||||||||||
$ | 33,261 | $ | 384,558 | $ | (351,297 | ) |
(#) 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 Long Bond Future | 7/02/21 | 162.00 | 213 | USD | 34,239,750 | $ | 36,609 | $ | 58,790 | $ | (22,181) | |||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/02/21 | 133.00 | 414 | USD | 54,855,000 | 32,344 | 49,451 | (17,107) | ||||||||||||||||||||
U.S. Treasury Bond Future | 7/23/21 | 163.00 | 258 | USD | 41,473,500 | 137,062 | 139,227 | (2,165) | ||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 133.00 | 318 | USD | 42,135,000 | 99,375 | 108,019 | (8,644) | ||||||||||||||||||||
$ | 305,390 | $ | 355,487 | $ | (50,097) |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Put | ||||||||||||||||||||||||||||
U.S. Treasury Long Bond Future | 7/02/21 | 158.00 | 213 | USD | 34,239,750 | $ | 6,656 | $ | 61,181 | $ | (54,525) | |||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/02/21 | 131.75 | 414 | USD | 54,855,000 | 12,938 | 24,967 | (12,029) | ||||||||||||||||||||
U.S. Treasury Bond Future | 7/23/21 | 157.00 | 258 | USD | 41,473,500 | 56,438 | 145,666 | (89,228) | ||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 131.00 | 318 | USD | 42,135,000 | 34,781 | 81,628 | (46,847) | ||||||||||||||||||||
U.S. Treasury Note 5 Year Future | 7/23/21 | 123.00 | 166 | USD | 20,489,328 | 20,750 | 41,646 | (20,896) | ||||||||||||||||||||
Eurodollar Future | 3/14/22 | 99.63 | 575 | USD | 143,462,500 | 32,344 | 55,558 | (23,214) | ||||||||||||||||||||
$ | 163,907 | $ | 410,646 | $ | (246,739) | |||||||||||||||||||||||
$ | 469,297 | $ | 766,133 | $ | (296,836) |
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 | 7/02/21 | 160.00 | 71 | USD | 11,413,250 | $ | (72,109) | $ | (57,642) | $ | (14,467) | |||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/02/21 | 132.25 | 138 | USD | 18,285,000 | (56,063) | (51,152) | (4,911) | ||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 134.50 | 100 | USD | 13,250,000 | (4,688) | (9,203) | 4,515 | ||||||||||||||||||||
U.S. Treasury Bond Future | 8/27/21 | 163.00 | 129 | USD | 20,736,750 | (161,250) | (151,417) | (9,833) | ||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 8/27/21 | 133.00 | 159 | USD | 21,067,500 | (104,344) | (101,210) | (3,134) | ||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 8/27/21 | 135.50 | 177 | USD | 23,452,500 | (19,359) | (27,350) | 7,991 | ||||||||||||||||||||
$ | (417,813) | $ | (397,974) | $ | (19,839) | |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
U.S. Treasury Long Bond Future | 7/02/21 | 160.00 | 71 | USD | 11,413,250 | $ | (18,859) | $ | (74,689) | $ | 55,830 | |||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/02/21 | 132.25 | 138 | USD | 18,285,000 | (21,563) | (49,715) | 28,152 | ||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 129.00 | 184 | USD | 24,380,000 | (2,875) | (22,682) | 19,807 | ||||||||||||||||||||
U.S. Treasury Bond Future | 8/27/21 | 157.00 | 129 | USD | 20,736,750 | (100,781) | (162,933) | 62,152 | ||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 8/27/21 | 131.00 | 159 | USD | 21,067,500 | (57,141) | (88,585) | 31,444 | ||||||||||||||||||||
U.S. Treasury Note 5 Year Future | 8/27/21 | 121.75 | 332 | USD | 40,978,656 | (23,344) | (23,941) | 597 | ||||||||||||||||||||
Eurodollar Future | 3/14/22 | 99.38 | 484 | USD | 120,758,000 | (12,100) | (24,109) | 12,009 | ||||||||||||||||||||
$ | (236,663) | $ | (446,654) | $ | 209,991 | |||||||||||||||||||||||
$ | (654,476) | $ | (844,628) | $ | 190,152 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of America N.A. | 7/19/21 | USD | 2,549,753 | IDR | 37,027,512,011 | $ | (473) | |||||||||
BNP Paribas SA | 7/19/21 | EUR | 2,757,880 | USD | 3,328,292 | (56,973) | ||||||||||
BNP Paribas SA | 7/19/21 | USD | 16,985,998 | EUR | 14,231,825 | 104,609 | ||||||||||
Citibank N.A. | 7/19/21 | CAD | 33,337,369 | USD | 26,629,504 | 263,842 | ||||||||||
Citibank N.A. | 7/19/21 | ZAR | 16,890,000 | USD | 1,147,341 | 32,940 | ||||||||||
Citibank N.A. | 7/19/21 | IDR | 144,534,594,997 | USD | 9,855,079 | 99,568 | ||||||||||
Citibank N.A. | 7/19/21 | RUB | 367,550,000 | USD | 4,701,390 | 312,636 | ||||||||||
Citibank N.A. | 7/19/21 | AUD | 12,194,723 | USD | 9,334,280 | (188,041) | ||||||||||
Citibank N.A. | 7/19/21 | BRL | 1,730,000 | USD | 308,862 | 38,321 | ||||||||||
Citibank N.A. | 7/19/21 | USD | 8,409,553 | EUR | 7,070,000 | 23,319 | ||||||||||
Citibank N.A. | 7/19/21 | USD | 15,361 | MXN | 312,957 | (305) | ||||||||||
Citibank N.A. | 7/19/21 | USD | 4,473,738 | IDR | 64,063,933,556 | 61,412 | ||||||||||
Citibank N.A. | 7/19/21 | USD | 400,529 | RUB | 28,950,000 | 5,600 | ||||||||||
Goldman Sachs International | 7/19/21 | RUB | 309,248,825 | USD | 3,946,042 | 272,654 | ||||||||||
Goldman Sachs International | 7/19/21 | GBP | 6,121,345 | USD | 8,498,784 | (30,688) | ||||||||||
Goldman Sachs International | 7/19/21 | USD | 2,840,486 | BRL | 14,581,350 | (85,755) | ||||||||||
Goldman Sachs International | 7/19/21 | USD | 624,327 | RUB | 45,100,000 | 9,084 | ||||||||||
Morgan Stanley & Co. LLC | 7/19/21 | JPY | 981,116,379 | USD | 8,928,005 | (95,471) | ||||||||||
Morgan Stanley & Co. LLC | 7/19/21 | BRL | 4,761,243 | USD | 834,952 | 120,552 | ||||||||||
Morgan Stanley & Co. LLC | 7/19/21 | USD | 4,339,481 | GBP | 3,078,389 | 80,925 | ||||||||||
$ | 967,756 |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
Euro-OAT | 9/08/21 | 51 | $ | 9,508,923 | $ | 108,744 | ||||||||
Australia 10 Year Bond | 9/15/21 | 87 | 9,189,292 | 22,677 | ||||||||||
U.S. Treasury Long Bond | 9/21/21 | 597 | 94,050,963 | 1,916,787 | ||||||||||
U.S. Treasury Ultra Bond | 9/21/21 | 265 | 49,616,314 | 1,445,874 | ||||||||||
U.S. Treasury Note 2 Year | 9/30/21 | 23 | 5,064,415 | 2,952 | ||||||||||
U.S. Treasury Note 5 Year | 9/30/21 | 2,457 | 303,893,970 | (627,227) | ||||||||||
90 Day Eurodollar | 12/18/23 | 780 | 192,915,063 | (108,813) | ||||||||||
$ | 2,760,994 | |||||||||||||
Short | ||||||||||||||
Euro-Bund | 9/08/21 | 214 | $ | (43,412,071) | $ | (387,808) | ||||||||
Euro-Buxl 30 Year Bond | 9/08/21 | 4 | (939,582) | (24,385) | ||||||||||
Japanese Government Bond 10 Year | 9/13/21 | 6 | (8,184,304) | (8,144) | ||||||||||
U.S. Treasury Note 10 Year | 9/21/21 | 1,399 | (184,681,040) | (686,460) | ||||||||||
U.S. Treasury Ultra 10 Year | 9/21/21 | 81 | (11,665,410) | (258,043) | ||||||||||
90 Day Eurodollar | 12/13/21 | 976 | (243,193,252) | (306,548) | ||||||||||
$ | (1,671,388) |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
Centrally Cleared Credit Default Swap - 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 Series 36† | 1.000% | Quarterly | 6/20/26 | BBB+* | USD | 85,980,000 | $ | 2,183,462 | $ | 1,903,295 | $ | 280,167 | ||||||||||||||||
CDX.NA.HY Series 36† | 5.000% | Quarterly | 6/20/26 | BB-* | USD | 15,050,000 | 1,535,672 | 1,282,042 | 253,630 | |||||||||||||||||||
$ | 3,719,134 | $ | 3,185,337 | $ | 533,797 |
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) | ||||||||||||||||||
28 Day-MXN-TIIE-Banxico | Monthly | Fixed 7.450% | Monthly | 7/18/29 | MXN | 88,370,000 | $ | 159,769 | $ | 37,242 | $ | 122,527 | ||||||||||||||
28 Day-MXN-TIIE-Banxico | Monthly | Fixed 7.440% | Monthly | 7/20/29 | MXN | 91,920,000 | 163,272 | 46,911 | 116,361 | |||||||||||||||||
3-Month USD LIBOR | Quarterly | Fixed 0.190% | Semi-Annually | 6/15/22 | USD | 26,407,000 | 4,574 | (119 | ) | 4,693 | ||||||||||||||||
3-Month USD LIBOR | Quarterly | Fixed 1.100% | Semi-Annually | 12/18/25 | USD | 42,455,000 | (191,595 | ) | — | (191,595 | ) | |||||||||||||||
Fixed 0.260% | Annually | Fed Funds | Annually | 5/15/27 | USD | 24,700,000 | 904,400 | (82,911 | ) | 987,311 | ||||||||||||||||
Fixed 0.450% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 5/15/27 | USD | 13,486,000 | 487,246 | (33,752 | ) | 520,998 | ||||||||||||||||
Fixed 0.780% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 11/15/27 | USD | 3,837,000 | 86,554 | 18,719 | 67,835 | |||||||||||||||||
Fixed 1.350% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 2/15/28 | USD | 22,929,000 | (272,915 | ) | (19,186 | ) | (253,729 | ) | ||||||||||||||
Fixed 1.250% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 2/15/28 | USD | 8,722,000 | (47,353 | ) | 8,727 | (56,080 | ) | |||||||||||||||
Fixed 0.560% | Annually | 12-Month USD SOFR | Annually | 7/20/45 | USD | 5,820,000 | 1,102,288 | 78,573 | 1,023,715 | |||||||||||||||||
Fixed 0.740% | Annually | 12-Month USD SOFR | Annually | 8/19/45 | USD | 4,020,000 | 613,210 | — | 613,210 | |||||||||||||||||
Fixed 1.729% | Annually | Fed Funds | Annually | 2/15/47 | USD | 1,575,000 | (65,491 | ) | — | (65,491 | ) | |||||||||||||||
Fixed 1.000% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 2/15/47 | USD | 8,708,000 | 1,414,918 | 104,499 | 1,310,419 | |||||||||||||||||
Fixed 1.225% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 2/15/47 | USD | 724,000 | 82,329 | 832 | 81,497 | |||||||||||||||||
Fixed 1.200% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 2/15/47 | USD | 1,441,000 | 172,468 | 7,937 | 164,531 | |||||||||||||||||
Fixed 1.600% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 2/15/47 | USD | 1,910,000 | 63,639 | 10,484 | 53,155 | |||||||||||||||||
Fixed 2.000% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 2/15/47 | USD | 3,641,000 | (193,345 | ) | 24,568 | (217,913 | ) | |||||||||||||||
Fixed 0.900% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 3/17/50 | USD | 2,610,000 | 529,410 | 3,078 | 526,332 | |||||||||||||||||
Fixed 1.200% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 10/07/50 | USD | 3,708,000 | 498,684 | 18,730 | 479,954 | |||||||||||||||||
Fixed 2.000% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 6/03/51 | USD | 339,000 | (19,867 | ) | 3,526 | (23,393 | ) | |||||||||||||||
Fixed 2.050% | Semi-Annually | 3-Month USD LIBOR | Quarterly | 6/07/51 | USD | 1,024,000 | (72,536 | ) | (128 | ) | (72,408 | ) | ||||||||||||||
$ | 5,419,659 | $ | 227,730 | $ | 5,191,929 |
MassMutual Strategic Bond Fund — Portfolio of Investments (Continued) |
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 7.024% | Maturity | Citibank N.A. | 1/04/27 | BRL | 9,300,000 | $ | 2,409 | $ | — | $ | 2,409 | ||||||||||||||
BRL CDI | Maturity | Fixed 7.024% | Maturity | Citibank N.A. | 1/04/27 | BRL | 11,000,000 | 2,849 | 5,820 | (2,971) | |||||||||||||||||
BRL CDI | Maturity | Fixed 7.024% | Maturity | Citibank N.A. | 1/04/27 | BRL | 11,846,000 | 3,068 | 7,253 | (4,185) | |||||||||||||||||
$ | 8,326 | $ | 13,073 | $ | (4,747) |
* | Rating is determined by Western Asset Management Company and represents a weighted average of the ratings of all securities included in the underlying index for the credit default swap. Ratings used in the weighted average are from Moody's Investors Service, Inc., S&P Global Ratings, or Fitch Ratings, whichever is the highest for each constituent. All ratings are as of the report date and do not reflect subsequent changes. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings or Western Asset Management Company's rating category, as applicable. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
Currency Legend
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
RUB | Russian Ruble |
USD | U.S. Dollar |
ZAR | South African Rand |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 71.7% | ||||||||
COMMON STOCK — 70.5% | ||||||||
Australia — 0.1% | ||||||||
Australia & New Zealand Banking Group Ltd. | 757 | $ | 15,946 | |||||
BHP Group Ltd. | 424 | 15,380 | ||||||
Commonwealth Bank of Australia | 179 | 13,386 | ||||||
CSL Ltd. | 153 | 32,731 | ||||||
Fortescue Metals Group Ltd. | 2,252 | 39,413 | ||||||
Goodman Group | 806 | 12,735 | ||||||
Quintis Group (Acquired 7/20/16-12/04/18, Cost $355,478) (a) (b) (c) (d) | 578,796 | 564,289 | ||||||
Ramsay Health Care Ltd. | 174 | 8,202 | ||||||
Telstra Corp. Ltd. | 7,131 | 20,111 | ||||||
Woodside Petroleum Ltd. | 894 | 14,897 | ||||||
737,090 | ||||||||
Belgium — 0.0% | ||||||||
Anheuser-Busch InBev SA | 194 | 13,971 | ||||||
KBC Group NV | 120 | 9,141 | ||||||
23,112 | ||||||||
Bermuda — 0.0% | ||||||||
Brilliance China Automotive Holding Ltd. (c) | 6,000 | 3,740 | ||||||
Brookfield Asset Management Reinsurance Partners Ltd. Class A (d) | 11 | 581 | ||||||
Jardine Matheson Holdings Ltd. | 3,100 | 198,306 | ||||||
Nine Dragons Paper Holdings Ltd. | 13,000 | 16,677 | ||||||
219,304 | ||||||||
Brazil — 0.2% | ||||||||
Ambev SA | 4,100 | 14,071 | ||||||
B3 SA - Brasil Bolsa Balcao | 23,890 | 80,789 | ||||||
Banco do Brasil SA | 5,840 | 37,725 | ||||||
BB Seguridade Participacoes SA | 4,893 | 22,725 | ||||||
Cia Siderurgica Nacional SA | 539 | 4,767 | ||||||
Engie Brasil Energia SA | 4,072 | 32,052 | ||||||
Magazine Luiza SA | 33,079 | 140,661 | ||||||
Petroleo Brasileiro SA Sponsored ADR (Brazil) | 3,078 | 37,644 | ||||||
Vale SA Sponsored ADR | 27,923 | 636,924 | ||||||
Vale SA | 824 | 18,762 | ||||||
WEG SA | 1,466 | 9,930 | ||||||
1,036,050 | ||||||||
British Virgin Islands — 0.1% | ||||||||
Capri Holdings Ltd. (d) | 14,320 | 818,961 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Canada — 1.0% | ||||||||
Alimentation Couche-Tard, Inc. Class B | 294 | $ | 10,803 | |||||
The Bank of Nova Scotia | 196 | 12,747 | ||||||
Barrick Gold Corp. | 519 | 10,735 | ||||||
Brookfield Asset Management, Inc. Class A | 1,433 | 73,107 | ||||||
Canadian National Railway Co. | 347 | 36,612 | ||||||
Canadian Natural Resources Ltd. | 349 | 12,669 | ||||||
CGI, Inc. (d) | 155 | 14,053 | ||||||
Enbridge, Inc. | 149,342 | 5,979,222 | ||||||
George Weston Ltd. | 152 | 14,488 | ||||||
Lions Gate Entertainment Corp. Class A (d) | 3,848 | 79,654 | ||||||
Loblaw Cos. Ltd. | 348 | 21,417 | ||||||
Magna International, Inc. | 90 | 8,333 | ||||||
Manulife Financial Corp. | 1,270 | 24,998 | ||||||
Nutrien Ltd. (e) | 633 | 38,355 | ||||||
Restaurant Brands International, Inc. | 143 | 9,214 | ||||||
Shopify, Inc. Class A (d) | 23 | 33,637 | ||||||
Shopify, Inc. Class A (d) | 462 | 674,973 | ||||||
Sun Life Financial, Inc. | 395 | 20,368 | ||||||
TC Energy Corp. (e) | 1,733 | 85,755 | ||||||
Thomson Reuters Corp. | 249 | 24,733 | ||||||
The Toronto-Dominion Bank | 253 | 17,730 | ||||||
7,203,603 | ||||||||
Cayman Islands — 1.9% | ||||||||
AAC Technologies Holdings, Inc. | 19,000 | 142,182 | ||||||
Alibaba Group Holding Ltd. (d) | 36,900 | 1,045,480 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (d) | 7,034 | 1,595,171 | ||||||
ANTA Sports Products Ltd. | 31,000 | 729,853 | ||||||
Autohome, Inc. ADR | 895 | 57,244 | ||||||
Baidu, Inc. Sponsored ADR (d) | 221 | 45,062 | ||||||
China Feihe Ltd. (f) | 7,000 | 15,110 | ||||||
China Hongqiao Group Ltd. | 18,500 | 25,068 | ||||||
China Resources Cement Holdings Ltd. | 24,000 | 22,813 | ||||||
Country Garden Services Holdings Co.Ltd. | 344 | 3,718 | ||||||
Dali Foods Group Co. Ltd. (f) | 15,500 | 9,243 | ||||||
Diversey Holdings Ltd. (d) | 90,159 | 1,614,748 | ||||||
ENN Energy Holdings Ltd. | 7,100 | 135,158 | ||||||
Haidilao International Holding Ltd. (f) | 21,000 | 110,627 | ||||||
Hansoh Pharmaceutical Group Co. Ltd. (f) | 122,000 | 532,691 | ||||||
Hedosophia European Growth (d) | 20,637 | 238,830 | ||||||
Hengan International Group Co. Ltd. | 2,500 | 16,743 | ||||||
Highland Transcend Partners I Corp. (d) | 21,145 | 211,873 | ||||||
Huazhu Group Ltd. ADR (d) | 1,801 | 95,111 | ||||||
ION Acquisition Corp. 2 Ltd. (d) | 10,504 | 105,985 | ||||||
JD.com, Inc. ADR (d) | 575 | 45,891 | ||||||
Kingdee International Software Group Co. Ltd. | 131,000 | 443,723 | ||||||
Li Auto, Inc. ADR (d) (e) | 27,343 | 955,364 | ||||||
Meituan (d) (f) | 3,200 | 132,165 | ||||||
Ming Yuan Cloud Group Holdings Ltd. | 27,000 | 133,782 | ||||||
NetEase.com, Inc. ADR | 2,692 | 310,253 | ||||||
NIO, Inc. ADR (d) | 855 | 45,486 | ||||||
Reinvent Technology Partners Z (d) | 16,399 | 168,582 | ||||||
Sea Ltd. ADR (d) | 1,313 | 360,550 | ||||||
TAL Education Group Sponsored ADR (d) | 9,560 | 241,199 | ||||||
Tencent Holdings Ltd. | 38,200 | 2,873,371 | ||||||
Tingyi Cayman Islands Holding Corp. | 20,000 | 39,926 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Topsports International Holdings Ltd. (f) | 4,000 | $ | 6,553 | |||||
Vipshop Holdings Ltd. ADR (d) | 2,203 | 44,236 | ||||||
Want Want China Holdings Ltd. | 162,000 | 114,758 | ||||||
Wuxi Biologics Cayman, Inc. (d) (f) | 30,598 | 560,824 | ||||||
Yihai International Holding Ltd. | 28,000 | 188,075 | ||||||
ZTO Express Cayman, Inc. ADR | 311 | 9,439 | ||||||
13,426,887 | ||||||||
Chile — 0.0% | ||||||||
Sociedad Quimica y Minera de Chile SA Sponsored ADR | 391 | 18,506 | ||||||
China — 1.0% | ||||||||
Agricultural Bank of China Ltd. Class H | 129,000 | 44,798 | ||||||
Aier Eye Hospital Group Co. Ltd. Class A | 24,632 | 270,718 | ||||||
Amoy Diagnostics Co. Ltd. Class A | 8,550 | 137,743 | ||||||
Anhui Conch Cement Co. Ltd. Class H | 1,500 | 7,959 | ||||||
Anhui Gujing Distillery Co. Ltd. Class B | 500 | 6,922 | ||||||
Asymchem Laboratories Tianjin Co. Ltd. Class A | 3,627 | 209,232 | ||||||
Autobio Diagnostics Co. Ltd. Class A | 7,707 | 90,416 | ||||||
Bank of China Ltd. Class H | 63,000 | 22,616 | ||||||
BYD Co. Ltd. Class A | 20,700 | 805,782 | ||||||
China CITIC Bank Class H | 14,000 | 6,628 | ||||||
China Construction Bank Corp. Class H | 80,000 | 62,840 | ||||||
China COSCO Holdings Co. Ltd. Class H (d) | 2,000 | 5,039 | ||||||
China Galaxy Securities Co. Ltd. Class H | 13,500 | 8,050 | ||||||
China Life Insurance Co. Ltd. Class H | 8,000 | 15,842 | ||||||
China Merchants Bank Co. Ltd. Class H | 17,000 | 145,060 | ||||||
China National Building Material Co. Ltd. Class H | 76,000 | 89,270 | ||||||
China Petroleum & Chemical Corp. Class H | 108,000 | 54,773 | ||||||
China Tower Corp. Ltd. Class H (f) | 52,000 | 7,166 | ||||||
Contemporary Amperex Technology Co. Ltd. Class A | 21,300 | 1,764,132 | ||||||
Dongfeng Motor Group Co. Ltd. Class H | 22,000 | 19,778 | ||||||
Foshan Haitian Flavouring & Food Co. Ltd. Class A | 7,100 | 141,730 | ||||||
Ganfeng Lithium Co. Ltd. Class H (f) | 13,800 | 206,194 | ||||||
Glodon Co. Ltd. Class A | 13,900 | 146,617 | ||||||
GoerTek, Inc. Class A | 3,900 | 25,784 | ||||||
Guangdong Marubi Biotechnology Co. Ltd. Class A | 8,152 | 65,750 | ||||||
Guangzhou Automobile Group Co. Ltd. Class H | 14,000 | 12,568 | ||||||
Guangzhou Baiyun International Airport Co. Ltd. | 135,300 | 234,132 | ||||||
Haitong Securities Co. Ltd. Class H | 9,200 | 8,058 | ||||||
Hangzhou Robam Appliances Co. Ltd. Class A | 16,400 | 118,064 | ||||||
Hangzhou Tigermed Consulting Co. Ltd. Class H (f) | 4,500 | 105,489 | ||||||
Hithink RoyalFlush Information Network Co. Ltd. Class A | 1,000 | 17,458 | ||||||
Huaneng Power International, Inc. Class H | 28,000 | 10,963 | ||||||
Hundsun Technologies, Inc. Class A | 9,638 | 139,126 | ||||||
Industrial & Commercial Bank of China Ltd. Class H | 168,000 | 98,567 | ||||||
Intco Medical Technology Co. Ltd. Class A | 600 | 11,596 | ||||||
Jafron Biomedical Co. Ltd. Class A | 100 | 1,337 | ||||||
Luzhou Laojiao Co. Ltd. Class A | 100 | 3,654 | ||||||
PetroChina Co. Ltd. Class H | 62,000 | 30,345 | ||||||
Pharmaron Beijing Co. Ltd. Class H (f) | 500 | 13,331 | ||||||
PICC Property & Casualty Co. Ltd. Class H | 34,000 | 29,741 | ||||||
Ping An Insurance Group Co. of China Ltd. Class A | 11,444 | 113,872 | ||||||
Ping An Insurance Group Co. of China Ltd. Class H | 4,500 | 43,933 | ||||||
Shanghai International Airport Co. Ltd. Class A | 31,500 | 234,666 | ||||||
Shenzhen Inovance Technology Co. Ltd. Class A | 15,676 | 180,318 | ||||||
Venus MedTech Hangzhou, Inc. Class H (d) (f) | 32,500 | 271,044 | ||||||
Venustech Group, Inc. Class A | 27,650 | 124,152 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Wuhan Raycus Fiber Laser Technologies Co. Ltd. Class A | 14,398 | $ | 254,206 | |||||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co. Ltd. Class A | 5,900 | 21,936 | ||||||
WuXi AppTec Co. Ltd. Class A | 7,224 | 175,160 | ||||||
Yifeng Pharmacy Chain Co. Ltd. Class A | 13,884 | 120,538 | ||||||
Yonyou Network Technology Co. Ltd. Class A | 15,028 | 77,384 | ||||||
6,812,477 | ||||||||
Denmark — 0.3% | ||||||||
AP Moller - Maersk A/S Class A | 28 | 77,809 | ||||||
AP Moller - Maersk A/S Class B | 33 | 94,901 | ||||||
Carlsberg A/S Class B | 84 | 15,682 | ||||||
DSV PANALPINA A/S | 3,888 | 906,509 | ||||||
Genmab A/S (d) | 824 | 336,095 | ||||||
Orsted A/S (f) | 52 | 7,315 | ||||||
Pandora A/S | 3,341 | 450,192 | ||||||
1,888,503 | ||||||||
Finland — 0.2% | ||||||||
Neste OYJ | 23,479 | 1,438,545 | ||||||
France — 3.5% | ||||||||
Alstom SA (d) | 73,491 | 3,713,536 | ||||||
Arkema SA | 16,176 | 2,030,925 | ||||||
AXA SA | 1,489 | 37,722 | ||||||
BNP Paribas SA | 14,311 | 896,213 | ||||||
Cie de Saint-Gobain | 21,220 | 1,399,097 | ||||||
Cie Generale des Etablissements Michelin SCA | 264 | 42,135 | ||||||
Credit Agricole SA | 1,318 | 18,446 | ||||||
Danone SA | 40,274 | 2,836,413 | ||||||
Electricite de France SA | 613 | 8,370 | ||||||
EssilorLuxottica SA | 11,209 | 2,069,713 | ||||||
Faurecia SE | 2 | 98 | ||||||
Kering SA | 697 | 609,924 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3,384 | 2,657,005 | ||||||
Orange SA | 2,840 | 32,387 | ||||||
Pernod-Ricard SA | 379 | 84,122 | ||||||
Safran SA | 31,048 | 4,307,736 | ||||||
Sanofi | 38,457 | 4,029,742 | ||||||
Sartorius Stedim Biotech | 32 | 15,138 | ||||||
Schneider Electric SA | 678 | 106,727 | ||||||
Societe Generale SA | 17,904 | 527,214 | ||||||
TotalEnergies SE | 454 | 20,597 | ||||||
Worldline SA (d) (f) | 89 | 8,339 | ||||||
25,451,599 | ||||||||
Germany — 3.7% | ||||||||
adidas AG | 9,846 | 3,666,344 | ||||||
Allianz SE | 19,259 | 4,801,963 | ||||||
Auto1 Group SE (d) (f) | 24,925 | 1,094,987 | ||||||
BASF SE | 326 | 25,690 | ||||||
Bayerische Motoren Werke AG | 146 | 15,467 | ||||||
Continental AG (d) | 233 | 34,263 | ||||||
Daimler AG Registered | 41,948 | 3,747,227 | ||||||
Deutsche Bank AG Registered (d) | 905 | 11,789 | ||||||
Deutsche Boerse AG | 448 | 78,199 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Deutsche Post AG Registered | 377 | $ | 25,651 | |||||
Deutsche Telekom AG | 170,936 | 3,613,744 | ||||||
Evonik Industries AG | 276 | 9,255 | ||||||
Fresenius Medical Care AG & Co. KGaA | 467 | 38,793 | ||||||
Fresenius SE & Co. KGaA | 519 | 27,082 | ||||||
Infineon Technologies AG | 19,815 | 794,599 | ||||||
Puma SE | 14,641 | 1,745,661 | ||||||
SAP SE | 82 | 11,570 | ||||||
Siemens AG | 31,184 | 4,941,102 | ||||||
Vantage Towers AG (d) | 65,962 | 2,125,345 | ||||||
26,808,731 | ||||||||
Hong Kong — 0.5% | ||||||||
AIA Group Ltd. | 245,200 | 3,047,512 | ||||||
China Resources Power Holdings Co. Ltd. | 12,000 | 16,383 | ||||||
CLP Holdings Ltd. | 13,000 | 128,493 | ||||||
Hang Lung Properties Ltd. | 83,000 | 201,560 | ||||||
Hysan Development Co. Ltd. | 20,000 | 79,724 | ||||||
Lenovo Group Ltd. | 16,000 | 18,402 | ||||||
SJM Holdings Ltd. (d) | 78,000 | 85,096 | ||||||
Sun Art Retail Group Ltd. | 21,000 | 15,633 | ||||||
3,592,803 | ||||||||
India — 0.2% | ||||||||
HCL Technologies Ltd. | 5,774 | 76,594 | ||||||
Housing Development Finance Corp. Ltd. | 98 | 3,273 | ||||||
Indian Oil Corp. Ltd. | 17,603 | 25,569 | ||||||
InterGlobe Aviation Ltd. (d) (f) | 4,060 | 94,024 | ||||||
Petronet LNG Ltd. | 18,923 | 57,746 | ||||||
Reliance Industries Ltd. | 43,602 | 1,240,764 | ||||||
Reliance Industries Ltd. | 8,164 | 163,563 | ||||||
Tata Consultancy Services Ltd. | 414 | 18,683 | ||||||
1,680,216 | ||||||||
Indonesia — 0.0% | ||||||||
Bank Central Asia Tbk PT | 87,100 | 180,963 | ||||||
Ireland — 0.2% | ||||||||
Accenture PLC Class A | 182 | 53,652 | ||||||
Aon PLC Class A | 206 | 49,184 | ||||||
Eaton Corp. PLC | 434 | 64,310 | ||||||
Flutter Entertainment PLC (d) | 526 | 95,670 | ||||||
Johnson Controls International PLC | 3,556 | 244,048 | ||||||
Linde PLC | 157 | 45,389 | ||||||
Medtronic PLC | 675 | 83,788 | ||||||
Trane Technologies PLC | 3,379 | 622,209 | ||||||
Willis Towers Watson PLC | 73 | 16,791 | ||||||
1,275,041 | ||||||||
Israel — 0.0% | ||||||||
SimilarWeb Ltd. (d) | 5,044 | 99,367 | ||||||
Italy — 1.6% | ||||||||
Assicurazioni Generali SpA | 30,264 | 606,225 | ||||||
Atlantia SpA (d) | 6,581 | 119,262 | ||||||
Banca Mediolanum SpA | 12,989 | 126,265 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Buzzi Unicem SpA | 4,507 | $ | 119,882 | |||||
Enel SpA | 577,248 | 5,363,378 | ||||||
Eni SpA | 1,398 | 17,056 | ||||||
FinecoBank Banca Fineco SpA (d) | 7,440 | 130,010 | ||||||
Intesa Sanpaolo | 1,611,790 | 4,448,629 | ||||||
Nexi SpA (d) (f) | 6,680 | 146,711 | ||||||
Poste Italiane SpA (f) | 9,237 | 122,162 | ||||||
Prysmian SpA | 3,833 | 137,478 | ||||||
Snam SpA | 21,607 | 125,045 | ||||||
11,462,103 | ||||||||
Japan — 1.7% | ||||||||
Aisin Corp. | 1,000 | 42,744 | ||||||
Asahi Kasei Corp. | 1,300 | 14,236 | ||||||
Astellas Pharma, Inc. | 2,650 | 46,130 | ||||||
Dai-ichi Life Holdings, Inc. | 500 | 9,151 | ||||||
Daifuku Co. Ltd. | 2,900 | 263,259 | ||||||
Daiichi Sankyo Co. Ltd. | 700 | 15,081 | ||||||
Daikin Industries Ltd. | 200 | 37,230 | ||||||
Disco Corp. | 1,400 | 428,108 | ||||||
ENEOS Holdings, Inc. | 4,700 | 19,675 | ||||||
Fanuc Ltd. | 2,500 | 602,626 | ||||||
GMO Payment Gateway, Inc. | 1,900 | 246,997 | ||||||
Honda Motor Co. Ltd. | 700 | 22,442 | ||||||
Hoya Corp. | 19,420 | 2,573,904 | ||||||
ITOCHU Corp. | 300 | 8,623 | ||||||
Japan Post Bank Co. Ltd. | 2,200 | 18,427 | ||||||
Kao Corp. | 1,700 | 104,573 | ||||||
KDDI Corp. | 300 | 9,354 | ||||||
Keyence Corp. | 1,900 | 958,443 | ||||||
Kirin Holdings Co. Ltd. | 3,400 | 66,275 | ||||||
Komatsu Ltd. | 400 | 9,938 | ||||||
Kose Corp. | 5,500 | 865,663 | ||||||
Kubota Corp. | 600 | 12,131 | ||||||
Maeda Road Construction Co. Ltd. | 2,000 | 39,273 | ||||||
Marubeni Corp. | 1,300 | 11,299 | ||||||
Mitsubishi Corp. | 300 | 8,172 | ||||||
Mitsubishi Estate Co. Ltd. | 14,900 | 240,871 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 2,000 | 10,797 | ||||||
Mizuho Financial Group, Inc. | 3,500 | 49,317 | ||||||
NEC Corp. | 1,800 | 92,634 | ||||||
Nexon Co. Ltd. | 900 | 20,064 | ||||||
Nidec Corp. | 100 | 11,582 | ||||||
Nintendo Co. Ltd. | 100 | 58,184 | ||||||
Nippon Telegraph & Telephone Corp. | 14,080 | 366,763 | ||||||
Nissan Motor Co. Ltd. (d) | 3,300 | 16,369 | ||||||
Nomura Holdings, Inc. | 11,500 | 58,416 | ||||||
Ono Pharmaceutical Co. Ltd. | 2,000 | 44,393 | ||||||
Oracle Corp. | 600 | 45,921 | ||||||
Oriental Land Co. Ltd. | 3,900 | 555,547 | ||||||
Otsuka Holdings Co. Ltd. (e) | 200 | 8,291 | ||||||
Panasonic Corp. | 2,500 | 28,915 | ||||||
Recruit Holdings Co. Ltd. | 18,500 | 910,310 | ||||||
SG Holdings Co. Ltd. | 200 | 5,243 | ||||||
Shin-Etsu Chemical Co. Ltd. | 14,888 | 2,488,446 | ||||||
Softbank Corp. | 1,300 | 17,005 | ||||||
Sony Group Corp. | 6,700 | 650,256 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,200 | 41,298 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Sumitomo Mitsui Trust Holdings, Inc. | 400 | $ | 12,661 | |||||
Suzuki Motor Corp. | 500 | 21,148 | ||||||
Takeda Pharmaceutical Co. Ltd. | 800 | 26,868 | ||||||
Tokio Marine Holdings, Inc. | 200 | 9,165 | ||||||
Toshiba Corp. | 200 | 8,654 | ||||||
Toyota Motor Corp. | 200 | 17,460 | ||||||
Z Holdings Corp. | 32,100 | 160,957 | ||||||
12,411,289 | ||||||||
Luxembourg — 0.1% | ||||||||
ArcelorMittal SA | 13,223 | 405,920 | ||||||
InPost SA (d) | 17,034 | 342,226 | ||||||
748,146 | ||||||||
Mexico — 0.0% | ||||||||
Grupo Bimbo SAB de CV Series A | 9,894 | 21,789 | ||||||
Netherlands — 2.3% | ||||||||
Adyen NV (d) (f) | 849 | 2,074,890 | ||||||
Akzo Nobel NV | 18,115 | 2,238,573 | ||||||
ASML Holding NV | 5,617 | 3,867,313 | ||||||
Ferrari NV | 4,085 | 843,247 | ||||||
Heineken Holding NV | 430 | 43,320 | ||||||
ING Groep NV | 366,000 | 4,842,057 | ||||||
Koninklijke Ahold Delhaize NV | 2,189 | 65,084 | ||||||
Koninklijke Philips NV | 442 | 21,912 | ||||||
NXP Semiconductors NV | 13,064 | 2,687,526 | ||||||
Prosus NV | 220 | 21,526 | ||||||
Schlumberger NV | 882 | 28,233 | ||||||
Stellantis Nv | 409 | 8,069 | ||||||
16,741,750 | ||||||||
New Zealand — 0.0% | ||||||||
Xero Ltd. (d) | 117 | 12,018 | ||||||
Norway — 0.0% | ||||||||
LINK Mobility Group Holding ASA (d) | 19,777 | 72,270 | ||||||
Telenor ASA | 2,291 | 38,658 | ||||||
110,928 | ||||||||
Poland — 0.0% | ||||||||
KGHM Polska Miedz SA | 177 | 8,706 | ||||||
Polski Koncern Naftowy ORLEN SA | 1,009 | 20,326 | ||||||
29,032 | ||||||||
Portugal — 0.0% | ||||||||
Jeronimo Martins SGPS SA | 6,985 | 127,409 | ||||||
Republic of Korea — 0.7% | ||||||||
Amorepacific Corp. | 4,211 | 941,219 | ||||||
Hana Financial Group, Inc. | 578 | 23,613 | ||||||
Kakao Corp. | 10,223 | 1,479,399 | ||||||
KB Financial Group, Inc. | 529 | 26,170 | ||||||
LG Chem Ltd. | 1,657 | 1,250,920 | ||||||
LG Electronics, Inc. | 60 | 8,707 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Lotte Chemical Corp. | 42 | $ | 9,792 | |||||
NCSoft Corp. | 377 | 274,403 | ||||||
POSCO | 524 | 161,254 | ||||||
Samsung Biologics Co. Ltd. (d) (f) | 40 | 29,858 | ||||||
Samsung Electronics Co. Ltd. | 687 | 49,241 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 102 | 19,973 | ||||||
Samsung SDI Co. Ltd. | 1,440 | 891,292 | ||||||
SK Holdings Co. Ltd. | 143 | 35,882 | ||||||
SK Hynix, Inc. | 98 | 11,100 | ||||||
5,212,823 | ||||||||
Saudi Arabia — 0.0% | ||||||||
Dr Sulaiman Al Habib Medical Services Group Co. | 191 | 8,323 | ||||||
Singapore — 0.1% | ||||||||
DBS Group Holdings Ltd. | 10,200 | 226,348 | ||||||
United Overseas Bank Ltd. | 11,700 | 224,996 | ||||||
451,344 | ||||||||
South Africa — 0.0% | ||||||||
Anglo American Platinum Ltd. | 120 | 13,867 | ||||||
Impala Platinum Holdings Ltd. | 1,674 | 27,664 | ||||||
Kumba Iron Ore Ltd. | 693 | 31,080 | ||||||
MTN Group Ltd. (d) | 1,720 | 12,429 | ||||||
Thungela Resources Ltd. (d) (e) | 50 | 138 | ||||||
85,178 | ||||||||
Spain — 0.4% | ||||||||
Cellnex Telecom SA (f) | 47,038 | 2,996,484 | ||||||
Endesa SA (e) | 1,309 | 31,755 | ||||||
Iberdrola SA | 1,959 | 23,871 | ||||||
3,052,110 | ||||||||
Sweden — 1.2% | ||||||||
Atlas Copco AB Class A | 5,011 | 306,984 | ||||||
Atlas Copco AB Class B | 205 | 10,787 | ||||||
Epiroc AB Class A | 9,821 | 223,810 | ||||||
EQT AB | 297 | 10,784 | ||||||
H & M Hennes & Mauritz AB (d) | 1,228 | 29,141 | ||||||
Hexagon AB Class B | 51,149 | 758,285 | ||||||
Sandvik AB | 80,526 | 2,057,291 | ||||||
Svenska Handelsbanken AB Class A | 1,543 | 17,402 | ||||||
Swedbank AB Class A | 14,786 | 274,936 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 7,423 | 93,345 | ||||||
Volvo AB Class B (e) | 205,784 | 4,953,305 | ||||||
8,736,070 | ||||||||
Switzerland — 0.9% | ||||||||
ABB Ltd. Registered | 16,896 | 573,526 | ||||||
Alcon, Inc. | 4,152 | 291,720 | ||||||
Alcon, Inc. | 755 | 52,885 | ||||||
Chubb Ltd. | 8,659 | 1,376,261 | ||||||
Cie Financiere Richemont SA | 2,989 | 361,885 | ||||||
Kuehne & Nagel International AG Registered | 196 | 67,087 | ||||||
Lonza Group AG Registered | 562 | 398,398 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Nestle SA | 4,661 | $ | 580,459 | |||||
Novartis AG Registered | 572 | 52,135 | ||||||
Partners Group Holding AG | 11 | 16,670 | ||||||
Roche Holding AG | 32 | 12,060 | ||||||
Sika AG Registered | 2,588 | 846,234 | ||||||
Straumann Holding AG Registered | 343 | 546,942 | ||||||
TE Connectivity Ltd. | 9,317 | 1,259,752 | ||||||
UBS Group AG Registered | 1,033 | 15,817 | ||||||
Zurich Financial Services AG | 74 | 29,670 | ||||||
6,481,501 | ||||||||
Taiwan — 1.1% | ||||||||
ASE Technology Holding Co. Ltd. | 3,000 | 12,059 | ||||||
Cathay Financial Holding Co. Ltd. | 74,000 | 143,024 | ||||||
China Steel Corp. | 7,000 | 9,951 | ||||||
Chunghwa Telecom Co. Ltd. | 36,000 | 146,913 | ||||||
Formosa Chemicals & Fibre Corp. | 33,000 | 100,261 | ||||||
Formosa Plastics Corp. | 29,000 | 106,883 | ||||||
Fubon Financial Holding Co. Ltd. | 80,000 | 211,786 | ||||||
Hon Hai Precision Industry Co. Ltd. | 42,080 | 169,151 | ||||||
MediaTek, Inc. | 1,000 | 34,527 | ||||||
Nan Ya Plastics Corp. | 40,000 | 119,199 | ||||||
Nanya Technology Corp. | 5,000 | 14,302 | ||||||
Novatek Microelectronics Corp. | 2,000 | 35,819 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 293,000 | 6,256,976 | ||||||
Uni-President Enterprises Corp. | 55,000 | 144,551 | ||||||
United Microelectronics Corp. | 8,000 | 15,246 | ||||||
Yageo Corporation (c) | 12,000 | 239,881 | ||||||
7,760,529 | ||||||||
Thailand — 0.0% | ||||||||
Intouch Holdings PCL | 73,500 | 148,491 | ||||||
Thai Beverage PCL | 86,800 | 43,646 | ||||||
192,137 | ||||||||
United Kingdom — 3.5% | ||||||||
Alphawave IP Group PLC (d) | 69,703 | 347,113 | ||||||
Anglo American PLC | 13,428 | 535,091 | ||||||
Aptiv PLC (d) | 14,193 | 2,232,985 | ||||||
AstraZeneca PLC | 35,269 | 4,232,216 | ||||||
Atlassian Corp. PLC Class A (d) | 1,748 | 448,991 | ||||||
Auto Trader Group PLC (d) (f) | 33,092 | 290,210 | ||||||
Barclays PLC | 9,124 | 21,640 | ||||||
Berkeley Group Holdings PLC | 6,822 | 434,254 | ||||||
BHP Group PLC | 20,813 | 613,476 | ||||||
BP PLC | 3,453 | 15,091 | ||||||
BP PLC Sponsored ADR | 35,215 | 930,380 | ||||||
British American Tobacco PLC | 503 | 19,608 | ||||||
Compass Group PLC (d) | 85,882 | 1,811,343 | ||||||
Diageo PLC | 2,702 | 129,489 | ||||||
Experian PLC | 311 | 11,997 | ||||||
Ferguson PLC | 3,229 | 449,473 | ||||||
Genius Sports Ltd. (d) | 11,749 | 220,529 | ||||||
GlaxoSmithKline PLC | 3,686 | 72,410 | ||||||
Legal & General Group PLC | 15,084 | 53,688 | ||||||
Lloyds Banking Group PLC | 5,089,657 | 3,292,550 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
London Stock Exchange Group PLC | 101 | $ | 11,140 | |||||
National Grid PLC | 1,782 | 22,689 | ||||||
Natwest Group PLC | 6,840 | 19,220 | ||||||
NMC Health PLC (a) (c) (d) | 27,178 | — | ||||||
Reckitt Benckiser Group PLC | 189 | 16,727 | ||||||
RELX PLC | 1,075 | 28,559 | ||||||
Rio Tinto PLC | 7,520 | 619,098 | ||||||
Royal Dutch Shell PLC Class A | 1,823 | 36,634 | ||||||
Royal Dutch Shell PLC Class B | 1,132 | 21,995 | ||||||
Sensata Technologies Holding PLC (d) | 2,085 | 120,867 | ||||||
Spirax-Sarco Engineering PLC | 1,599 | 301,452 | ||||||
THG PLC (d) | 313,719 | 2,646,847 | ||||||
Unilever PLC | 69,719 | 4,077,792 | ||||||
Vodafone Group PLC | 760,464 | 1,279,046 | ||||||
25,364,600 | ||||||||
United States — 44.0% | ||||||||
3M Co. | 65 | 12,911 | ||||||
Abbott Laboratories | 42,287 | 4,902,332 | ||||||
AbbVie, Inc. | 38,990 | 4,391,834 | ||||||
Activision Blizzard, Inc. | 118 | 11,262 | ||||||
Adobe, Inc. (d) | 172 | 100,730 | ||||||
Advance Auto Parts, Inc. | 3,316 | 680,244 | ||||||
Advanced Micro Devices, Inc. (d) | 336 | 31,560 | ||||||
Agilent Technologies, Inc. | 313 | 46,265 | ||||||
Air Products & Chemicals, Inc. (g) | 12,119 | 3,486,394 | ||||||
Airbnb, Inc.Class A (d) | 4,204 | 643,801 | ||||||
Alaska Air Group, Inc. (d) | 2,542 | 153,308 | ||||||
Albemarle Corp. | 7,930 | 1,335,888 | ||||||
Align Technology, Inc. (d) | 60 | 36,660 | ||||||
Alkami Technology, Inc. (d) | 75 | 2,675 | ||||||
Alnylam Pharmaceuticals, Inc. (d) | 2,290 | 388,201 | ||||||
Alphabet, Inc. Class A (d) | 111 | 271,039 | ||||||
Alphabet, Inc. Class C (d) (g) | 4,908 | 12,301,019 | ||||||
Altair Engineering, Inc. Class A (d) | 8,291 | 571,830 | ||||||
Amazon.com, Inc. (d) (g) | 2,730 | 9,391,637 | ||||||
American Electric Power Co., Inc. | 208 | 17,595 | ||||||
American Tower Corp. | 18,392 | 4,968,415 | ||||||
American Water Works Co., Inc. | 2,561 | 394,727 | ||||||
Ameriprise Financial, Inc. | 37 | 9,209 | ||||||
AmerisourceBergen Corp. | 126 | 14,426 | ||||||
Amgen, Inc. | 1,871 | 456,056 | ||||||
Anthem, Inc. | 6,887 | 2,629,457 | ||||||
Apellis Pharmaceuticals, Inc. (d) | 3,262 | 206,158 | ||||||
Apple, Inc. (g) | 88,186 | 12,077,955 | ||||||
Applied Materials, Inc. | 20,893 | 2,975,163 | ||||||
Aramark | 1,851 | 68,950 | ||||||
Autodesk, Inc. (d) | 7,751 | 2,262,517 | ||||||
AutoZone, Inc. (d) | 14 | 20,891 | ||||||
Bank of America Corp. | 200,246 | 8,256,143 | ||||||
The Bank of New York Mellon Corp. | 1,508 | 77,255 | ||||||
Baxter International, Inc. | 6,311 | 508,035 | ||||||
Becton Dickinson and Co. | 267 | 64,932 | ||||||
Berkshire Hathaway, Inc. Class B (d) | 2,507 | 696,745 | ||||||
Biogen, Inc. (d) | 51 | 17,660 | ||||||
Booking Holdings, Inc. (d) | 9 | 19,693 | ||||||
Boston Scientific Corp. (d) | 119,677 | 5,117,389 | ||||||
Bright Horizons Family Solutions, Inc. (d) | 791 | 116,364 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Bristol-Myers Squibb Co. | 48,081 | $ | 3,212,772 | |||||
Broadcom, Inc. | 63 | 30,041 | ||||||
Brown-Forman Corp. Class B | 1,155 | 86,556 | ||||||
C.H. Robinson Worldwide, Inc. | 3,462 | 324,286 | ||||||
C3.ai, Inc. Class A (d) | 8,859 | 553,953 | ||||||
Cadence Design Systems, Inc. (d) | 2,260 | 309,213 | ||||||
California Resources Corp. (d) | 12,332 | 371,686 | ||||||
Capital One Financial Corp. | 33,717 | 5,215,683 | ||||||
Carrier Global Corp. | 8,470 | 411,642 | ||||||
Cerner Corp. | 886 | 69,250 | ||||||
The Charles Schwab Corp. | 59,493 | 4,331,685 | ||||||
Charter Communications, Inc. Class A (d) | 4,686 | 3,380,715 | ||||||
Cigna Corp. | 552 | 130,863 | ||||||
Citigroup, Inc. | 2,455 | 173,691 | ||||||
The Clorox Co. | 135 | 24,288 | ||||||
CME Group, Inc. | 79 | 16,802 | ||||||
Cognizant Technology Solutions Corp. Class A | 768 | 53,192 | ||||||
Coinbase Global, Inc. Class A (d) | 3,293 | 834,117 | ||||||
Colgate-Palmolive Co. | 3,440 | 279,844 | ||||||
Comcast Corp. Class A (g) | 101,271 | 5,774,472 | ||||||
ConocoPhillips | 81,941 | 4,990,207 | ||||||
Consolidated Edison, Inc. | 264 | 18,934 | ||||||
Constellation Brands, Inc. Class A | 411 | 96,129 | ||||||
Corteva, Inc. | 1,926 | 85,418 | ||||||
Costco Wholesale Corp. | 8,828 | 3,492,975 | ||||||
Crowdstrike Holdings, Inc. Class A (d) | 5,169 | 1,299,021 | ||||||
Crown Castle International Corp. | 298 | 58,140 | ||||||
Cummins, Inc. | 122 | 29,745 | ||||||
D.R. Horton, Inc. | 30,065 | 2,716,974 | ||||||
Danaher Corp. | 63 | 16,907 | ||||||
Danimer Scientific, Inc. (d) | 3,788 | 94,889 | ||||||
Datadog, Inc. Class A (d) | 2,041 | 212,427 | ||||||
Deere & Co. | 2,532 | 893,062 | ||||||
Dell Technologies Class C (d) | 19,905 | 1,983,931 | ||||||
Delta Air Lines, Inc. (d) | 2,966 | 128,309 | ||||||
Devon Energy Corp. | 8,812 | 257,222 | ||||||
DexCom, Inc. (d) | 62 | 26,474 | ||||||
Diamondback Energy, Inc. | 853 | 80,088 | ||||||
DocuSign, Inc. (d) | 169 | 47,247 | ||||||
Dollar Tree, Inc. (d) | 331 | 32,935 | ||||||
Dominion Energy, Inc. | 162 | 11,918 | ||||||
Dow, Inc. | 482 | 30,501 | ||||||
Dynatrace, Inc. (d) | 7,330 | 428,219 | ||||||
Ecolab, Inc. | 322 | 66,322 | ||||||
Edison International | 412 | 23,822 | ||||||
Edwards Lifesciences Corp. (d) | 15,731 | 1,629,260 | ||||||
Electronic Arts, Inc. | 612 | 88,024 | ||||||
Eli Lilly & Co. | 36 | 8,263 | ||||||
Emerson Electric Co. | 843 | 81,130 | ||||||
EOG Resources, Inc. | 114 | 9,512 | ||||||
EPAM Systems, Inc. (d) | 395 | 201,829 | ||||||
EQT Corp. (d) | 149,081 | 3,318,543 | ||||||
Equinix, Inc. | 11 | 8,829 | ||||||
The Estee Lauder Cos., Inc. Class A | 878 | 279,274 | ||||||
Eversource Energy | 215 | 17,252 | ||||||
Expedia Group, Inc. (d) | 1,734 | 283,873 | ||||||
Exxon Mobil Corp. | 2,276 | 143,570 | ||||||
Facebook, Inc. Class A (d) | 9,707 | 3,375,221 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
FedEx Corp. | 843 | $ | 251,492 | |||||
Fidelity National Information Services, Inc. | 81 | 11,475 | ||||||
Fifth Wall Acquisition Corp. I Class A (d) | 26,286 | 323,581 | ||||||
Fiserv, Inc. (d) | 419 | 44,787 | ||||||
Ford Motor Co. (d) | 1,920 | 28,531 | ||||||
Fortinet, Inc. (d) | 2,872 | 684,082 | ||||||
Fortive Corp. | 55,711 | 3,885,285 | ||||||
Fortune Brands Home & Security, Inc. | 3,566 | 355,209 | ||||||
Freeport-McMoRan, Inc. | 107,383 | 3,984,983 | ||||||
Frontier Communications Parent, Inc. (d) | 10,777 | 284,513 | ||||||
Gilead Sciences, Inc. | 558 | 38,424 | ||||||
Global Payments, Inc. | 22,093 | 4,143,321 | ||||||
Green Plains, Inc. (d) | 7,750 | 260,555 | ||||||
HCA Healthcare, Inc. | 493 | 101,923 | ||||||
Hilton Worldwide Holdings, Inc. (d) | 8,717 | 1,051,445 | ||||||
Honeywell International, Inc. | 120 | 26,322 | ||||||
HP, Inc. | 2,986 | 90,147 | ||||||
Humana, Inc. | 230 | 101,826 | ||||||
IDEXX Laboratories, Inc. (d) | 71 | 44,840 | ||||||
Illinois Tool Works, Inc. | 430 | 96,131 | ||||||
Illumina, Inc. (d) | 382 | 180,766 | ||||||
Insulet Corp. (d) | 407 | 111,726 | ||||||
Intel Corp. | 2,064 | 115,873 | ||||||
International Flavors & Fragrances, Inc. | 16,700 | 2,494,980 | ||||||
International Paper Co. | 952 | 58,367 | ||||||
Intuit, Inc. | 88 | 43,135 | ||||||
Intuitive Surgical, Inc. (d) | 1,871 | 1,720,646 | ||||||
IQVIA Holdings, Inc. (d) | 220 | 53,310 | ||||||
Jawbone Health Hub, Inc. (Acquired 1/24/17, Cost $0) (a) (b) (c) (d) | 19,705 | — | ||||||
Johnson & Johnson | 43,876 | 7,228,132 | ||||||
JP Morgan Chase & Co. | 33,899 | 5,272,650 | ||||||
Khosla Ventures Acquisition Co. (d) | 21,089 | 208,570 | ||||||
KLA Corp. | 134 | 43,444 | ||||||
The Kroger Co. | 943 | 36,126 | ||||||
L Brands, Inc. | 5,131 | 369,740 | ||||||
L3 Harris Technologies, Inc. | 12,877 | 2,783,364 | ||||||
Lam Research Corp. | 100 | 65,070 | ||||||
Las Vegas Sands Corp. (d) | 18,473 | 973,342 | ||||||
Liberty Media Acquisition Co. (d) | 41,914 | 443,869 | ||||||
Liberty Media Corp-Liberty SiriusXM Class A (d) | 24,958 | 1,162,544 | ||||||
Liberty Media Corp-Liberty SiriusXM Class C (d) | 31,413 | 1,457,249 | ||||||
Live Nation Entertainment, Inc. (d) | 4,477 | 392,140 | ||||||
Lockheed Martin Corp. | 45 | 17,026 | ||||||
Lookout, Inc. (Acquired 3/04/15, Cost $42,391) (a) (b) (c) (d) | 3,711 | 43,233 | ||||||
Lowe's Cos., Inc. | 16,711 | 3,241,433 | ||||||
Lululemon Athletica, Inc. (d) | 175 | 63,870 | ||||||
LyondellBasell Industries NV Class A | 74 | 7,612 | ||||||
ManpowerGroup, Inc. | 1,966 | 233,777 | ||||||
Marathon Petroleum Corp. | 173 | 10,453 | ||||||
Marqeta, Inc. Class A (d) | 10,608 | 297,767 | ||||||
Marriott International, Inc. Class A (d) | 58 | 7,918 | ||||||
Marsh & McLennan Cos., Inc. | 24,589 | 3,459,181 | ||||||
Masco Corp. | 8,969 | 528,364 | ||||||
Masimo Corp. (d) | 1,658 | 401,982 | ||||||
Mastercard, Inc. Class A | 19,571 | 7,145,176 | ||||||
McDonald's Corp. | 14,936 | 3,450,067 | ||||||
McKesson Corp. | 100 | 19,124 | ||||||
Medallia, Inc. (d) | 27,483 | 927,551 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
MercadoLibre, Inc. (d) | 1,934 | $ | 3,012,766 | |||||
Merck & Co., Inc. | 388 | 30,175 | ||||||
Micron Technology, Inc. (d) | 33,361 | 2,835,018 | ||||||
Microsoft Corp. | 62,617 | 16,962,945 | ||||||
MongoDB, Inc. (d) | 1,189 | 429,847 | ||||||
Monster Beverage Corp. (d) | 5,287 | 482,967 | ||||||
Morgan Stanley | 35,535 | 3,258,204 | ||||||
Netflix, Inc. (d) | 201 | 106,170 | ||||||
Nevro Corp. (d) | 620 | 102,790 | ||||||
New Relic, Inc. (d) | 3,935 | 263,527 | ||||||
Newmont Corp. | 217 | 13,753 | ||||||
NextEra Energy, Inc. | 72,961 | 5,346,582 | ||||||
NIKE, Inc. Class B | 1,951 | 301,410 | ||||||
Northern Trust Corp. | 574 | 66,366 | ||||||
Northrop Grumman Corp. | 135 | 49,063 | ||||||
NVIDIA Corp. | 4,599 | 3,679,660 | ||||||
O'Reilly Automotive, Inc. (d) | 539 | 305,187 | ||||||
Okta, Inc. (d) | 2,281 | 558,115 | ||||||
Oracle Corp. | 453 | 35,262 | ||||||
Organon & Co. (d) | 181 | 5,477 | ||||||
Otis Worldwide Corp. | 1,085 | 88,720 | ||||||
Ovintiv, Inc. | 2,385 | 75,056 | ||||||
Palo Alto Networks, Inc. (d) | 1,806 | 670,116 | ||||||
Parker Hannifin Corp. | 3,527 | 1,083,177 | ||||||
PayPal Holdings, Inc. (d) | 12,332 | 3,594,531 | ||||||
Peloton Interactive, Inc. Class A (d) | 17,693 | 2,194,286 | ||||||
Penn National Gaming, Inc. (d) | 3,983 | 304,660 | ||||||
PepsiCo, Inc. | 3,031 | 449,103 | ||||||
Pfizer, Inc. | 1,358 | 53,179 | ||||||
Philip Morris International, Inc. | 145 | 14,371 | ||||||
Pinterest, Inc. Class A (d) | 295 | 23,290 | ||||||
Playtika Holding Corp. (d) | 56,631 | 1,350,083 | ||||||
The PNC Financial Services Group, Inc. | 121 | 23,082 | ||||||
PPG Industries, Inc. | 16,603 | 2,818,691 | ||||||
The Procter & Gamble Co. | 218 | 29,415 | ||||||
The Progressive Corp. | 164 | 16,106 | ||||||
Prologis, Inc. | 654 | 78,173 | ||||||
Proofpoint, Inc. (d) | 1,331 | 231,275 | ||||||
PTC, Inc. (d) | 19,559 | 2,762,904 | ||||||
PubMatic, Inc. (d) | 4,602 | 179,800 | ||||||
PVH Corp. (d) | 5,666 | 609,605 | ||||||
QUALCOMM, Inc. | 2,950 | 421,643 | ||||||
Quest Diagnostics, Inc. | 2,753 | 363,313 | ||||||
Ralph Lauren Corp. | 962 | 113,333 | ||||||
Raytheon Technologies Corp. | 206 | 17,574 | ||||||
Regeneron Pharmaceuticals, Inc. (d) | 37 | 20,666 | ||||||
ResMed, Inc. | 45 | 11,093 | ||||||
RingCentral, Inc. Class A (d) | 827 | 240,310 | ||||||
Robert Half International, Inc. | 2,609 | 232,123 | ||||||
Rockwell Automation, Inc. | 94 | 26,886 | ||||||
Ross Stores, Inc. | 377 | 46,748 | ||||||
salesforce.com, Inc. (d) | 21,433 | 5,235,439 | ||||||
SBA Communications Corp. | 171 | 54,498 | ||||||
Seagen, Inc. (d) | 1,480 | 233,662 | ||||||
Sempra Energy | 27,627 | 3,660,025 | ||||||
ServiceNow, Inc. (d) | 6,077 | 3,339,615 | ||||||
The Sherwin-Williams Co. | 130 | 35,418 | ||||||
Snap, Inc. Class A (d) | 272 | 18,534 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Sonos, Inc. (d) | 27,461 | $ | 967,451 | |||||
The Southern Co. | 402 | 24,325 | ||||||
Southwest Airlines Co. (d) | 13,162 | 698,771 | ||||||
Splunk, Inc. (d) | 2,667 | 385,595 | ||||||
Square, Inc. Class A (d) | 66 | 16,091 | ||||||
Stanley Black & Decker, Inc. | 137 | 28,084 | ||||||
Starbucks Corp. | 168 | 18,784 | ||||||
Starwood Property Trust, Inc. | 13,446 | 351,882 | ||||||
State Street Corp. | 351 | 28,880 | ||||||
Stryker Corp. | 1,229 | 319,208 | ||||||
Sysco Corp. | 299 | 23,247 | ||||||
T-Mobile US, Inc. (d) | 119 | 17,235 | ||||||
Target Corp. | 96 | 23,207 | ||||||
The The Home Depot, Inc. | 11,948 | 3,810,098 | ||||||
Thermo Fisher Scientific, Inc. | 7,330 | 3,697,765 | ||||||
The TJX Cos., Inc. | 43,672 | 2,944,366 | ||||||
Toll Brothers, Inc. | 10,833 | 626,256 | ||||||
TransDigm Group, Inc. (d) | 1,173 | 759,271 | ||||||
Truist Financial Corp. | 418 | 23,199 | ||||||
Twilio, Inc. Class A (d) | 1,656 | 652,729 | ||||||
U.S. Bancorp | 9,667 | 550,729 | ||||||
Uber Technologies, Inc. (d) | 1,497 | 75,030 | ||||||
Ulta Beauty, Inc. (d) | 654 | 226,134 | ||||||
Union Pacific Corp. | 9,426 | 2,073,060 | ||||||
United Parcel Service, Inc. Class B | 24,102 | 5,012,493 | ||||||
United Rentals, Inc. (d) | 708 | 225,859 | ||||||
United States Oil Fund LP (d) (h) | 3,105 | 154,877 | ||||||
United States Steel Corp. | 11,612 | 278,688 | ||||||
UnitedHealth Group, Inc. | 17,835 | 7,141,847 | ||||||
Vail Resorts, Inc. (d) | 182 | 57,607 | ||||||
Valero Energy Corp. | 35,244 | 2,751,852 | ||||||
VeriSign, Inc. (d) | 1,951 | 444,223 | ||||||
Verisk Analytics, Inc. | 212 | 37,041 | ||||||
Verizon Communications, Inc. | 1,909 | 106,961 | ||||||
Vertex Pharmaceuticals, Inc. (d) | 101 | 20,365 | ||||||
Vertiv Holdings Co. | 116,203 | 3,172,342 | ||||||
VF Corp. | 1,361 | 111,656 | ||||||
Visa, Inc. Class A | 218 | 50,973 | ||||||
VMware, Inc. Class A (d) | 19,804 | 3,168,046 | ||||||
Vulcan Materials Co. | 18,707 | 3,256,327 | ||||||
Wal-Mart Stores, Inc. | 14,340 | 2,022,227 | ||||||
The Walt Disney Co. (d) | 32,128 | 5,647,139 | ||||||
WEC Energy Group, Inc. | 201 | 17,879 | ||||||
Wells Fargo & Co. | 8,798 | 398,461 | ||||||
Western Digital Corp. (d) | 4,373 | 311,226 | ||||||
Weyerhaeuser Co. | 10,743 | 369,774 | ||||||
Workday, Inc. Class A (d) | 1,650 | 393,921 | ||||||
Wynn Resorts Ltd. (d) | 9,214 | 1,126,872 | ||||||
Xilinx, Inc. | 2,174 | 314,447 | ||||||
Yum China Holdings, Inc. | 4,220 | 279,575 | ||||||
Zimmer Biomet Holdings, Inc. | 1,810 | 291,084 | ||||||
Zoetis, Inc. | 2,439 | 454,532 | ||||||
Zoom Video Communications, Inc. Class A (d) | 189 | 73,149 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Zscaler, Inc. (d) | 3,152 | $ | 681,021 | |||||
318,044,569 | ||||||||
TOTAL COMMON STOCK (Cost $387,706,836) | 509,765,406 | |||||||
PREFERRED STOCK — 1.2% | ||||||||
Brazil — 0.0% | ||||||||
Itau Unibanco Holding SA 2.240% | 24,981 | 149,671 | ||||||
Germany — 0.3% | ||||||||
Porsche Automobil Holding SE 2.530% | ||||||||
3,395 | 363,790 | |||||||
Sartorius AG 0.150% | ||||||||
21 | 10,931 | |||||||
Volkswagen AG 2.370% | ||||||||
6,563 | 1,645,840 | |||||||
2,020,561 | ||||||||
United Kingdom — 0.1% | ||||||||
Aptiv PLC, Convertible | ||||||||
5.500% | 3,561 | 636,778 | ||||||
United States — 0.8% | ||||||||
2020 Cash Mandatory Exchangeable Trust, Convertible | ||||||||
5.250% (f) | 914 | 1,151,612 | ||||||
Becton Dickinson and Co., Convertible | ||||||||
6.000% (e) | 13,598 | 727,629 | ||||||
Boston Scientific Corp., Convertible | ||||||||
5.500% (e) | 2,343 | 271,929 | ||||||
Citigroup Capital XIII, 3 mo. USD LIBOR + 6.370% | ||||||||
6.556% VRN | 16,932 | 472,403 | ||||||
Databricks, Inc., Series F, (Acquired 10/22/19, Cost $283,760) | ||||||||
(a) (b) (c) (d) | 6,607 | 1,171,884 | ||||||
GMAC Capital Trust I, Series 2, 7.542%, 3 mo. USD LIBOR + 5.785% | ||||||||
5.941% VRN (e) | 8,704 | 220,298 | ||||||
Grand Rounds, Inc., Series C, (Acquired 3/31/15, Cost $336,853) | ||||||||
(a) (b) (c) (d) | 121,323 | 446,469 | ||||||
Grand Rounds, Inc., Series D, (Acquired 5/01/18, Cost $185,458) | ||||||||
(a) (b) (c) (d) | 76,520 | 279,298 | ||||||
Lookout, Inc., Series F, (Acquired 9/19/14-10/22/14, Cost $628,910) | ||||||||
(a) (b) (c) (d) | 55,056 | 641,402 | ||||||
Wells Fargo & Co. Series L | ||||||||
7.500% (e) (i) | 153 | 233,510 | ||||||
5,616,434 | ||||||||
TOTAL PREFERRED STOCK (Cost $6,790,140) | 8,423,444 | |||||||
TOTAL EQUITIES (Cost $394,496,976) | 518,188,850 | |||||||
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
BONDS & NOTES — 15.8% | ||||||||
BANK LOANS — 2.0% | ||||||||
Canada — 0.1% | ||||||||
Bausch Health Cos., Inc., 2018 Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 6/02/25 | $ | 330,000 | $ | 328,475 | ||||
Great Canadian Gaming Corp., 2021 Term Loan, | ||||||||
0.000% 11/01/26 (j) | 42,000 | 42,053 | ||||||
370,528 | ||||||||
France — 0.2% | ||||||||
Babilou Group, 2021 EUR Term Loan B, EURIBOR + 4.250% | ||||||||
4.250% VRN 11/30/27 EUR (k) | 713,000 | 845,972 | ||||||
Cablevision Lightpath LLC, Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 11/30/27 | 63,680 | 63,680 | ||||||
IRB Holding Corp, 2020 Fourth Amendment Incremental Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
4.250% VRN 12/15/27 | 281,243 | 281,069 | ||||||
LBM Acquisition LLC | ||||||||
Delayed Draw Term Loan, 3 mo. USD LIBOR + 3.750% | ||||||||
0.500% VRN 12/17/27 (l) | 18,183 | 18,043 | ||||||
Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 12/17/27 | 81,825 | 81,194 | ||||||
White Cap Buyer LLC, Term Loan B, 3 mo. USD LIBOR + 4.000% | ||||||||
4.500% VRN 10/19/27 | 444,765 | 445,321 | ||||||
1,735,279 | ||||||||
Netherlands — 0.3% | ||||||||
Boels Topholding BV, 2020 Term Loan B, 3 mo. EURIBOR | ||||||||
4.000% VRN 2/06/27 EUR (k) | 825,000 | 973,353 | ||||||
Ziggo BV, 2019 Term Loan H, EURIBOR + 3.000% | ||||||||
3.000% VRN 1/31/29 EUR (k) | 1,017,786 | 1,196,388 | ||||||
2,169,741 | ||||||||
United States — 1.4% | ||||||||
ACProducts, Inc., 2021 Term Loan B, 6 mo. USD LIBOR + 4.250% | ||||||||
4.750% VRN 5/05/28 | 217,000 | 215,761 | ||||||
Adient US LLC, 2021 Term Loan B, 1 mo. USD LIBOR + 3.500% | ||||||||
3.604% VRN 4/08/28 | 45,000 | 44,986 | ||||||
Aimbridge Acquisition Co., Inc., 2020 Incremental Term Loan B, 1 mo. USD LIBOR + 4.750% | ||||||||
5.500% VRN 2/02/26 | 248,750 | 248,544 | ||||||
American Rock Salt Co. LLC, 2021 Term Loan, 1 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 6/04/28 | 58,000 | 58,024 | ||||||
Applied Systems, Inc., 2017 1st Lien Term Loan, 1 mo. USD LIBOR + 3.250%, PRIME + 2.250% | ||||||||
5.500% - 5.500% VRN 9/19/24 | 46,000 | 45,880 | ||||||
Athenahealth, Inc., 2021 Term Loan B1, 3 mo. USD LIBOR + 4.250% | ||||||||
4.410% VRN 2/11/26 | 70,823 | 70,978 | ||||||
Avantor Funding, Inc., 2020 Incremental Term Loan B4, 1 mo. USD LIBOR + 2.250% | ||||||||
3.250% VRN 11/08/27 | 48,703 | 48,683 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Avaya, Inc. | ||||||||
2021 Term Loan B2, 1 mo. USD LIBOR + 4.000% | ||||||||
4.073% VRN 12/15/27 | $ | 85,000 | $ | 85,173 | ||||
2020 Term Loan B, 1 mo. USD LIBOR + 4.250% | ||||||||
4.323% VRN 12/15/27 | 110,410 | 110,709 | ||||||
Caesars Resort Collection LLC, 2020 Term Loan, 1 mo. USD LIBOR + 4.500% | ||||||||
4.604% VRN 7/21/25 | 116,123 | 116,413 | ||||||
City Brewing Company, LLC, Closing Date Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 4/05/28 | 113,000 | 113,424 | ||||||
Columbus McKinnon Corp., 2021 Term Loan B, 3 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 5/14/28 | 29,000 | 28,964 | ||||||
Conair Holdings, LLC, Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 5/17/28 | 65,000 | 65,130 | ||||||
DT Midstream, Inc., Term Loan B, | ||||||||
0.000% 6/26/28 (j) | 191,000 | 191,170 | ||||||
The Dun & Bradstreet Corp., Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
3.345% VRN 2/06/26 | 109,749 | 109,182 | ||||||
ECL Entertainment, LLC, Term Loan, 1 mo. USD LIBOR + 7.500% | ||||||||
8.250% VRN 3/31/28 | 176,000 | 179,520 | ||||||
The Enterprise Development Authority, Term Loan B, 1 mo. USD LIBOR + 4.250% | ||||||||
5.000% VRN 2/18/28 | 374,263 | 375,198 | ||||||
Flexera Software LLC, 2020 Term Loan B, | ||||||||
0.000% 3/03/28 (j) | 75,112 | 75,219 | ||||||
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 2/03/28 | 66,681 | 66,209 | ||||||
Frontier Communications Corp., 2021 DIP Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 5/01/28 | 170,000 | 170,000 | ||||||
Gentiva Health Services, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
2.875% VRN 7/02/25 | 205,948 | 205,370 | ||||||
Herschend Entertainment Co. LLC, Term Loan B, 3 mo. USD LIBOR + 5.750% | ||||||||
6.750% VRN 8/25/25 | 298,743 | 300,236 | ||||||
Hertz Corp. | ||||||||
2021 Term Loan C, | ||||||||
0.000% 6/14/28 (j) | 31,856 | 31,816 | ||||||
2021 Term Loan B, | ||||||||
0.000% 6/14/28 (j) | 169,029 | 168,818 | ||||||
Hilton Grand Vacations Bwr LLC 2021 Term Loan B | ||||||||
0.000% 5/19/28 (j) | 307,000 | 307,095 | ||||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 1 mo. USD LIBOR + 1.750% | ||||||||
1.842% VRN 6/22/26 | 491,275 | 486,888 | ||||||
Informatica LLC, 2020 USD Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 2/25/27 | 279,288 | 277,352 | ||||||
ITT Holdings LLC, 2021 Term Loan, | ||||||||
0.000% 7/30/28 (j) | 86,000 | 85,785 | ||||||
J&J Ventures Gaming, LLC, Term Loan, 1 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 4/07/28 | 192,000 | 192,480 | ||||||
Jazz Financing Lux S.a.r.l., USD Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 4/21/28 | 445,685 | 446,937 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Knowlton Development Corp., Inc., 2020 EUR Term Loan B, EURIBOR + 5.000% | ||||||||
5.000% VRN 12/22/25 EUR (k) | $ | 625,461 | $ | 743,123 | ||||
Leslie's Poolmart, Inc. ., 2021 Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 3/04/28 | 212,468 | 211,539 | ||||||
LogMeIn, Inc., Term Loan B, 1 mo. USD LIBOR + 4.750% | ||||||||
4.827% VRN 8/31/27 | 255,659 | 255,181 | ||||||
McAfee LLC, 2018 USD Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.846% VRN 9/30/24 | 74,787 | 74,768 | ||||||
Metronet Systems Holdings LLC | ||||||||
2021 Delayed Draw Term Loan, | ||||||||
0.000%5/26/28 (l) | 7,202 | 7,196 | ||||||
2021 1st Lien Term Loan, 3 mo. USD LIBOR + 4.000% | ||||||||
4.500% VRN 5/26/28 | 64,814 | 64,766 | ||||||
Michaels Cos. Inc. ., 2021 Term Loan B, 3 mo. USD LIBOR + 4.250% | ||||||||
5.000% VRN 4/15/28 | 80,000 | 80,291 | ||||||
Organon & Co, USD Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 6/02/28 | 159,000 | 159,100 | ||||||
Pacific Gas & Electric Co., 2020 Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 6/23/25 | 160,380 | 158,075 | ||||||
Park River Holdings, Inc., Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 12/28/27 | 159,000 | 158,032 | ||||||
Peraton Holding Corp., Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 2/01/28 | 164,220 | 164,561 | ||||||
Playtika Holding Corp., 2021 Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 3/13/28 | 426,930 | 424,748 | ||||||
Project Ruby Ultimate Parent Corp., 2021 Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 3/03/28 | 303,240 | 302,197 | ||||||
Proofpoint, Inc. 1st Lien Term Loan, 1st Lien Term Loan, | ||||||||
0.000% 6/09/28 (j) | 69,000 | 68,578 | ||||||
RealPage, Inc., 1st Lien Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 4/24/28 | 178,000 | 177,377 | ||||||
Redstone Buyer LLC | ||||||||
2021 Delayed Draw Term Loan, | ||||||||
0.000% 4/27/28 (l) | 93,388 | 93,077 | ||||||
2021 2nd Lien Delayed Draw Term Loan, | ||||||||
0.000% 4/27/29 (j) (l) | 66,329 | 65,057 | ||||||
2021 Term Loan, 3 mo. USD LIBOR + 4.750% | ||||||||
5.500% VRN 4/27/28 | 238,612 | 237,817 | ||||||
2021 2nd Lien Term Loan, 3 mo. USD LIBOR + 7.750% | ||||||||
8.500% VRN 4/27/29 | 115,671 | 113,454 | ||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, 3 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 3/16/27 | 304,000 | 304,508 | ||||||
Select Medical Corp., 2017 Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
2.360% VRN 3/06/25 | 48,948 | 48,428 | ||||||
Shearer's Foods, Inc. ., 2021 Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 9/23/27 | 100,314 | 100,345 | ||||||
Signal Parent, Inc., Term Loan B, 1 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 4/03/28 | 160,000 | 157,000 | ||||||
Sovos Brands Intermediate, Inc. ., 2021 Term Loan, 3 mo. USD LIBOR + 4.250% | ||||||||
5.000% VRN 6/08/28 | 48,226 | 48,407 | ||||||
SRS Distribution, Inc. ., 2021 Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 6/02/28 | 254,000 | 253,718 | ||||||
Surf Holdings, LLC, USD Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
3.628% VRN 3/05/27 | 228,178 | 226,554 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Tory Burch LLC, Term Loan B, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 4/14/28 | $ | 89,000 | $ | 88,666 | ||||
Triton Water Holdings, Inc., Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 3/31/28 | 160,000 | 159,778 | ||||||
The Ultimate Software Group, Inc., 2021 Incremental Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 5/04/26 | 120,698 | 120,768 | ||||||
Univision Communication, Inc. 2021 Term Loan B, 2021 Term Loan B, | ||||||||
0.000% 5/05/28 (j) | 125,000 | 124,428 | ||||||
VS Buyer, LLC, Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 2/28/27 | 129,483 | 128,917 | ||||||
Western Digital Corp., 2018 Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.843% VRN 4/29/23 | 58,852 | 58,768 | ||||||
WIN Waste Innovations Holdings, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 3/24/28 | 56,000 | 55,860 | ||||||
WOOF Holdings, Inc., 1st Lien Term Loan, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 12/21/27 | 48,948 | 48,907 | ||||||
10,405,933 | ||||||||
TOTAL BANK LOANS (Cost $14,461,451) | 14,681,481 | |||||||
CORPORATE DEBT — 4.8% | ||||||||
Argentina — 0.0% | ||||||||
Genneia SA | ||||||||
8.750% 1/20/22 (f) | 80,000 | 77,400 | ||||||
Australia — 0.4% | ||||||||
National Australia Bank Ltd. | ||||||||
2.990% 5/21/31 (f) | 250,000 | 254,116 | ||||||
Quintis (Australia) Pty Limited First Lien Note, (Acquired 7/20/16-10/01/20, Cost $1,123,715) | ||||||||
7.500% 10/01/26 (a) (b) (c) (d) (f) | 1,130,771 | 1,130,771 | ||||||
Quintis (Australia) Pty Limited Second Lien Note, (Acquired 7/20/16, Cost $1,077,000) | ||||||||
12.000% 10/01/28 (a) (b) (c) (d) (f) | 1,095,355 | 1,095,355 | ||||||
2,480,242 | ||||||||
Austria — 0.0% | ||||||||
Suzano Austria GmbH | ||||||||
3.125% 1/15/32 (m) | 50,000 | 49,457 | ||||||
3.750% 1/15/31 | 69,000 | 72,364 | ||||||
121,821 | ||||||||
Bahrain — 0.0% | ||||||||
The Oil and Gas Holding Co. BSCC | ||||||||
7.625% 11/07/24 (f) | 200,000 | 223,646 | ||||||
Bermuda — 0.0% | ||||||||
Inkia Energy Ltd. | ||||||||
5.875% 11/09/27 (f) | 200,000 | 207,592 | ||||||
Brazil — 0.0% | ||||||||
Oi SA | ||||||||
10.000% 7/27/25 | 64,000 | 65,920 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
British Virgin Islands — 0.0% | ||||||||
Gold Fields Orogen Holdings BVI Ltd. | ||||||||
5.125% 5/15/24 (f) | $ | 200,000 | $ | 217,838 | ||||
Canada — 0.1% | ||||||||
Bausch Health Cos., Inc. | ||||||||
4.875% 6/01/28 (f) | 92,000 | 93,955 | ||||||
Bombardier, Inc. | ||||||||
7.125% 6/15/26 (f) | 57,000 | 59,422 | ||||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp. | ||||||||
6.250% 9/15/27 (f) | 9,000 | 9,506 | ||||||
Brookfield Residential Properties, Inc. / Brookfield Residential US LLC | ||||||||
5.000% 6/15/29 (f) | 53,000 | 53,398 | ||||||
First Quantum Minerals Ltd. | ||||||||
6.875% 10/15/27 (f) | 200,000 | 217,940 | ||||||
Masonite International Corp. | ||||||||
5.375% 2/01/28 (f) | 7,000 | 7,418 | ||||||
Mattamy Group Corp. | ||||||||
4.625% 3/01/30 (f) | 120,000 | 122,580 | ||||||
564,219 | ||||||||
Cayman Islands — 0.2% | ||||||||
Energuate Trust | ||||||||
5.875% 5/03/27 (f) | 200,000 | 208,250 | ||||||
MAF Sukuk Ltd. | ||||||||
4.638% 5/14/29 (f) | 200,000 | 225,173 | ||||||
Oryx Funding Ltd. | ||||||||
5.800% 2/03/31 (f) | 200,000 | 211,024 | ||||||
Sable International Finance Ltd. | ||||||||
5.750% 9/07/27 (f) | 300,000 | 315,660 | ||||||
Shelf Drilling Holdings Ltd. | ||||||||
8.875% 11/15/24 (f) | 15,000 | 15,488 | ||||||
Vale Overseas Ltd. | ||||||||
6.250% 8/10/26 | 78,000 | 93,920 | ||||||
1,069,515 | ||||||||
Colombia — 0.0% | ||||||||
Empresas Publicas de Medellin ESP | ||||||||
4.250% 7/18/29 (f) | 200,000 | 199,259 | ||||||
Cyprus — 0.0% | ||||||||
MHP SE | ||||||||
7.750% 5/10/24 (e) (f) | 200,000 | 216,912 | ||||||
Germany — 0.2% | ||||||||
Douglas GmbH | ||||||||
6.000% 4/08/26 EUR (f) (k) | 439,000 | 519,894 | ||||||
Kirk Beauty SUN GmbH | ||||||||
8.250% 10/01/26 EUR (f) (k) | 219,000 | 257,719 | ||||||
KME SE | ||||||||
6.750% 2/01/23 EUR (e) (f) (k) | 318,000 | 348,788 | ||||||
1,126,401 | ||||||||
India — 0.0% | ||||||||
Muthoot Finance Ltd. | ||||||||
6.125% 10/31/22 (f) | 200,000 | 207,400 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
REI Agro, Ltd. | ||||||||
5.500% 11/13/14 (c) (f) (n) | $ | 618,000 | $ | 5,939 | ||||
213,339 | ||||||||
Indonesia — 0.0% | ||||||||
Pertamina Persero PT | ||||||||
3.650% 7/30/29 (f) | 200,000 | 213,231 | ||||||
Ireland — 0.0% | ||||||||
ASG Finance Designated Activity Co. | ||||||||
7.875% 12/03/24 (f) | 200,000 | 195,000 | ||||||
Israel — 0.0% | ||||||||
Bank Leumi Le-Israel BM 5 year CMT + 1.631% | ||||||||
3.275% VRN 1/29/31 (f) | 200,000 | 204,500 | ||||||
Italy — 0.1% | ||||||||
Marcolin SpA | ||||||||
6.125% 11/15/26 EUR (f) (k) | 274,000 | 330,581 | ||||||
Luxembourg — 0.3% | ||||||||
Garfunkelux Holdco 3 SA | ||||||||
6.750% 11/01/25 EUR (f) (k) | 133,000 | 164,251 | ||||||
7.750% 11/01/25 GBP (f) (k) | 226,000 | 325,443 | ||||||
Herens Midco Sarl | ||||||||
5.250% 5/15/29 EUR (f) (k) | 317,000 | 367,852 | ||||||
Kenbourne Invest SA | ||||||||
6.875% 11/26/24 (f) | 200,000 | 211,942 | ||||||
Picard Bondco Co. | ||||||||
5.375% 7/01/27 EUR (k) (m) | 230,000 | 272,723 | ||||||
Puma International Financing SA | ||||||||
5.125% 10/06/24 (f) | 200,000 | 201,520 | ||||||
Rumo Luxembourg Sarl | ||||||||
5.875% 1/18/25 (f) | 200,000 | 209,502 | ||||||
Simpar Europe SA | ||||||||
5.200% 1/26/31 (f) | 200,000 | 205,302 | ||||||
1,958,535 | ||||||||
Mexico — 0.2% | ||||||||
Alfa SAB de CV | ||||||||
6.875% 3/25/44 (f) | 200,000 | 263,752 | ||||||
Banco Mercantil del Norte SA 5 year CMT + 4.967% | ||||||||
6.750% VRN (f) (i) | 200,000 | 215,000 | ||||||
BBVA Bancomer SA 5 year CMT + 2.650% | ||||||||
5.125% VRN 1/18/33 (f) | 200,000 | 208,400 | ||||||
Grupo Bimbo SAB de CV 5 year CMT + 3.280% | ||||||||
5.950% VRN (f) (i) | 200,000 | 210,940 | ||||||
Petroleos Mexicanos | ||||||||
6.500% 3/13/27 | 336,000 | 354,288 | ||||||
1,252,380 | ||||||||
Netherlands — 0.1% | ||||||||
Bio City Development Co. B.V., (Acquired 7/05/11, Cost $1,400,000) | ||||||||
8.000% 7/06/21 (a) (b) (c) (d) (f) (n) | 1,400,000 | 108,500 | ||||||
Braskem Netherlands Finance BV 5 year CMT + 8.220% | ||||||||
8.500% VRN 1/23/81 (f) | 200,000 | 233,002 | ||||||
Petrobras Global Finance BV |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.299% 1/27/25 | $ | 70,000 | $ | 78,750 | ||||
5.600% 1/03/31 | 80,000 | 89,628 | ||||||
5.999% 1/27/28 | 41,000 | 47,048 | ||||||
556,928 | ||||||||
Panama — 0.0% | ||||||||
Avianca Holdings SA Sr Secured | ||||||||
12.147% 11/10/21 (f) | 22,000 | 22,000 | ||||||
Carnival Corp. | ||||||||
11.500% 4/01/23 (f) | 120,000 | 135,750 | ||||||
157,750 | ||||||||
Saudi Arabia — 0.0% | ||||||||
Saudi Arabian Oil Co. | ||||||||
2.250% 11/24/30 (f) | 200,000 | 196,274 | ||||||
Switzerland — 0.0% | ||||||||
Credit Suisse Group AG SOFR + 1.730% | ||||||||
3.091% VRN 5/14/32 (f) | 250,000 | 256,935 | ||||||
United Arab Emirates — 0.1% | ||||||||
DP World PLC | ||||||||
6.850% 7/02/37 (f) | 100,000 | 135,300 | ||||||
NBK Tier 1 Financing Ltd. 6 year USD Swap + 2.875% | ||||||||
3.625% VRN (f) (i) | 200,000 | 200,682 | ||||||
335,982 | ||||||||
United Kingdom — 0.3% | ||||||||
Deuce Finco Plc | ||||||||
5.500% 6/15/27 GBP (f) (k) | 384,000 | 531,187 | ||||||
Ellaktor Value PLC | ||||||||
6.375% 12/15/24 EUR (f) (k) | 420,000 | 479,086 | ||||||
Inspired Entertainment Financing PLC | ||||||||
7.875% 6/01/26 GBP (f) (k) | 197,000 | 279,323 | ||||||
Modulaire Global Finance Plc | ||||||||
6.500% 2/15/23 EUR (f) (k) | 776,000 | 938,994 | ||||||
2,228,590 | ||||||||
United States — 2.8% | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
5.000% 4/15/29 (f) | 18,000 | 18,773 | ||||||
5.500% 7/01/28 (f) | 22,000 | 23,485 | ||||||
Affinity Gaming | ||||||||
6.875% 12/15/27 (f) | 68,000 | 72,165 | ||||||
Air Lease Corp. | ||||||||
3.125% 12/01/30 | 129,000 | 131,192 | ||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson's LLC | ||||||||
3.500% 3/15/29 (f) | 318,000 | 314,422 | ||||||
AMC Networks, Inc. | ||||||||
4.750% 8/01/25 | 11,000 | 11,294 | ||||||
5.000% 4/01/24 | 6,000 | 6,076 | ||||||
American Express Co. 3 mo. USD LIBOR + 3.285% | ||||||||
3.404% VRN (i) | 241,000 | 241,301 | ||||||
AMN Healthcare, Inc. | ||||||||
4.000% 4/15/29 (f) | 23,000 | 23,163 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Aramark Services, Inc. | ||||||||
5.000% 2/01/28 (e) (f) | $ | 15,000 | $ | 15,675 | ||||
Avantor Funding, Inc. | ||||||||
4.625% 7/15/28 (f) | 59,000 | 62,290 | ||||||
Avaya, Inc. | ||||||||
6.125% 9/15/28 (f) | 136,000 | 145,561 | ||||||
Bank of America Corp. SOFR + 1.320% | ||||||||
2.687% VRN 4/22/32 | 129,000 | 132,869 | ||||||
Blue Racer Midstream LLC / Blue Racer Finance Corp. | ||||||||
7.625% 12/15/25 (f) | 27,000 | 29,228 | ||||||
Bristow Group, Inc. | ||||||||
6.875% 3/01/28 (f) | 118,000 | 120,360 | ||||||
British Airways 2020-1 Class A Pass Through Trust | ||||||||
4.250% 5/15/34 (f) | 25,485 | 27,449 | ||||||
Broadcom, Inc. | ||||||||
1.950% 2/15/28 (f) | 34,000 | 34,025 | ||||||
Buckeye Partners LP | ||||||||
4.125% 3/01/25 (f) | 125,000 | 129,531 | ||||||
Caesars Entertainment, Inc. | ||||||||
6.250% 7/01/25 (f) | 361,000 | 382,826 | ||||||
Caesars Resort Collection LLC / CRC Finco Inc. | ||||||||
5.750% 7/01/25 (f) | 73,000 | 76,924 | ||||||
Carrier Global Corp. | ||||||||
3.577% 4/05/50 | 114,000 | 120,989 | ||||||
Cedar Fair LP | ||||||||
5.250% 7/15/29 | 7,000 | 7,210 | ||||||
Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op | ||||||||
5.375% 4/15/27 | 7,000 | 7,210 | ||||||
Centene Corp. | ||||||||
2.450% 7/15/28 (m) | 240,000 | 243,240 | ||||||
4.250% 12/15/27 | 35,000 | 36,881 | ||||||
Centennial Resource Production LLC | ||||||||
5.375% 1/15/26 (f) | 15,000 | 14,700 | ||||||
CenturyLink, Inc. | ||||||||
4.000% 2/15/27 (f) | 11,000 | 11,220 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
2.800% 4/01/31 | 418,000 | 426,493 | ||||||
3.900% 6/01/52 | 147,000 | 149,793 | ||||||
Cheniere Energy Partners LP | ||||||||
5.625% 10/01/26 | 16,000 | 16,600 | ||||||
Cheniere Energy, Inc. | ||||||||
4.625% 10/15/28 (f) | 61,000 | 64,355 | ||||||
Chesapeake Energy Corp. | ||||||||
5.500% 2/01/26 (f) | 133,000 | 140,315 | ||||||
5.875% 2/01/29 (f) | 25,000 | 27,061 | ||||||
Churchill Downs, Inc. | ||||||||
5.500% 4/01/27 (f) | 9,000 | 9,379 | ||||||
Citigroup, Inc. | ||||||||
SOFR + 1.167% 2.561% VRN 5/01/32 | 96,000 | 97,907 | ||||||
SOFR + 3.914% 4.412% VRN 3/31/31 | 170,000 | 198,782 | ||||||
Clean Harbors, Inc. | ||||||||
4.875% 7/15/27 (f) | 8,000 | 8,380 | ||||||
Colt Merger Sub, Inc. | ||||||||
8.125% 7/01/27 (f) | 215,000 | 239,123 | ||||||
CommScope Technologies Finance LLC | ||||||||
6.000% 6/15/25 (f) | 95,000 | 97,019 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
CrownRock LP / CrownRock Finance, Inc. | ||||||||
5.625% 10/15/25 (f) | $ | 15,000 | $ | 15,525 | ||||
CSC Holdings LLC | ||||||||
4.125% 12/01/30 (f) | 255,000 | 253,406 | ||||||
4.625% 12/01/30 (f) | 416,000 | 408,142 | ||||||
Darling Ingredients, Inc. | ||||||||
5.250% 4/15/27 (f) | 7,000 | 7,350 | ||||||
DaVita, Inc. | ||||||||
3.750% 2/15/31 (f) | 406,000 | 389,760 | ||||||
4.625% 6/01/30 (f) | 228,000 | 234,033 | ||||||
Elanco Animal Health, Inc. | ||||||||
4.912% STEP 8/27/21 | 7,000 | 7,027 | ||||||
Emergent BioSolutions, Inc. | ||||||||
3.875% 8/15/28 (e) (f) | 11,000 | 10,775 | ||||||
Endeavor Energy Resources LP / EER Finance, Inc. | ||||||||
5.500% 1/30/26 (f) | 7,000 | 7,271 | ||||||
5.750% 1/30/28 (f) | 13,000 | 13,841 | ||||||
Equinix, Inc. | ||||||||
2.500% 5/15/31 | 59,000 | 60,074 | ||||||
Forestar Group, Inc. | ||||||||
3.850% 5/15/26 (f) | 48,000 | 48,434 | ||||||
5.000% 3/01/28 (f) | 322,000 | 333,270 | ||||||
The Fresh Market, Inc. | ||||||||
9.750% 5/01/23 (f) | 87,000 | 89,205 | ||||||
Frontier Communications Holdings LLC | ||||||||
5.000% 5/01/28 (f) | 143,000 | 147,838 | ||||||
5.875% 10/15/27 (f) | 60,000 | 64,275 | ||||||
6.750% 5/01/29 (f) | 227,000 | 241,362 | ||||||
Frontier North, Inc. | ||||||||
6.730% 2/15/28 | 50,000 | 54,020 | ||||||
Full House Resorts, Inc. | ||||||||
8.250% 2/15/28 (f) | 23,000 | 25,070 | ||||||
GCI LLC | ||||||||
4.750% 10/15/28 (f) | 38,000 | 38,893 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.700% 8/20/27 | 228,000 | 237,046 | ||||||
Genesis Energy LP / Genesis Energy Finance Corp. | ||||||||
8.000% 1/15/27 | 31,000 | 32,569 | ||||||
The Goldman Sachs Group, Inc. SOFR + 1.281% | ||||||||
2.615% VRN 4/22/32 | 274,000 | 280,236 | ||||||
Great Western Petroleum LLC / Great Western Finance Corp. | ||||||||
12.000% 9/01/25 (f) | 30,000 | 29,850 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
3.625% 2/15/32 (f) | 381,000 | 376,237 | ||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | ||||||||
4.875% 4/01/27 | 8,000 | 8,340 | ||||||
Hologic, Inc. | ||||||||
3.250% 2/15/29 (f) | 220,000 | 218,075 | ||||||
Howard Hughes Corp. | ||||||||
4.125% 2/01/29 (f) | 96,000 | 95,984 | ||||||
4.375% 2/01/31 (f) | 106,000 | 105,616 | ||||||
5.375% 8/01/28 (f) | 185,000 | 196,402 | ||||||
iHeartCommunications, Inc. | ||||||||
5.250% 8/15/27 (f) | 10,000 | 10,454 | ||||||
6.375% 5/01/26 | 11,313 | 12,034 | ||||||
Iron Mountain, Inc. | ||||||||
4.500% 2/15/31 (f) | 266,000 | 269,325 | ||||||
5.250% 7/15/30 (f) | 153,000 | 161,963 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC | ||||||||
5.000% 6/15/28 (f) | $ | 19,000 | $ | 20,594 | ||||
JBS USA LUX SA/JBS USA Finance, Inc. | ||||||||
6.500% 4/15/29 (f) | 21,000 | 23,599 | ||||||
6.750% 2/15/28 (f) | 14,000 | 15,383 | ||||||
Joseph T Ryerson & Son, Inc. | ||||||||
8.500% 8/01/28 (f) | 24,000 | 26,640 | ||||||
JP Morgan Chase & Co. SOFR + 1.580% | ||||||||
3.328% VRN 4/22/52 | 177,000 | 188,976 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.875% 11/01/26 (f) | 12,000 | 12,405 | ||||||
Legends Hospitality Holding Co LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||
5.000% 2/01/26 (f) | 12,000 | 12,510 | ||||||
Level 3 Financing, Inc. | ||||||||
3.625% 1/15/29 (f) | 252,000 | 243,180 | ||||||
4.250% 7/01/28 (f) | 477,000 | 484,041 | ||||||
Lions Gate Capital Holdings LLC | ||||||||
5.500% 4/15/29 (f) | 45,000 | 47,306 | ||||||
Lumen Technologies, Inc. | ||||||||
5.375% 6/15/29 (f) | 149,000 | 151,436 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
6.125% 9/15/25 (f) | 193,000 | 205,246 | ||||||
Marriott Ownership Resorts, Inc. / ILG LLC | ||||||||
6.500% 9/15/26 | 11,000 | 11,426 | ||||||
Meritor, Inc. | ||||||||
4.500% 12/15/28 (f) | 2,000 | 2,028 | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. | ||||||||
3.875% 2/15/29 (f) | 87,000 | 88,355 | ||||||
5.625% 5/01/24 | 15,000 | 16,244 | ||||||
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp. | ||||||||
4.875% 5/01/29 (f) | 124,000 | 124,155 | ||||||
Molina Healthcare, Inc. | ||||||||
3.875% 11/15/30 (f) | 34,000 | 35,402 | ||||||
Morgan Stanley | ||||||||
SOFR + 1.485% 3.217% VRN 4/22/42 | 61,000 | 64,725 | ||||||
3 mo. USD LIBOR + 3.610% 3.794% VRN (i) | 277,000 | 278,039 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | ||||||||
5.000% 10/15/27 | 20,000 | 21,160 | ||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
5.125% 12/15/30 (f) | 31,000 | 30,845 | ||||||
5.500% 8/15/28 (f) | 54,000 | 54,502 | ||||||
The New Home Co., Inc. | ||||||||
7.250% 10/15/25 (f) | 70,000 | 74,179 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
4.750% 11/01/28 (f) | 83,000 | 85,282 | ||||||
NRG Energy, Inc. | ||||||||
5.250% 6/15/29 (f) | 10,000 | 10,638 | ||||||
5.750% 1/15/28 | 12,000 | 12,780 | ||||||
NuStar Logistics LP | ||||||||
5.750% 10/01/25 | 222,000 | 241,425 | ||||||
ONEOK Partners LP | ||||||||
4.900% 3/15/25 | 260,000 | 290,989 | ||||||
Oracle Corp. | ||||||||
3.950% 3/25/51 | 131,000 | 143,393 | ||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
5.000% 8/15/27 (f) | 9,000 | 9,319 | ||||||
Pacific Gas and Electric Co. | ||||||||
4.500% 7/01/40 | 80,000 | 80,104 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | ||||||||
4.875% 5/15/29 (f) | $ | 173,000 | $ | 178,960 | ||||
5.875% 10/01/28 (f) | 28,000 | 29,817 | ||||||
Parsley Energy LLC/Parsley Finance Corp. | ||||||||
5.625% 10/15/27 (f) | 10,000 | 10,800 | ||||||
Party City Holdings, Inc. | ||||||||
8.750% 2/15/26 (f) | 50,000 | 53,375 | ||||||
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In | ||||||||
8.500% 11/15/27 (f) | 68,000 | 73,032 | ||||||
PG&E Corp. | ||||||||
5.000% 7/01/28 (e) | 211,000 | 213,346 | ||||||
5.250% 7/01/30 | 28,000 | 28,266 | ||||||
Pilgrim's Pride Corp. | ||||||||
5.875% 9/30/27 (f) | 12,000 | 12,780 | ||||||
Pitney Bowes, Inc. | ||||||||
6.875% 3/15/27 (f) | 155,000 | 163,719 | ||||||
7.250% 3/15/29 (f) | 150,000 | 159,375 | ||||||
Playtika Holding Corp. | ||||||||
4.250% 3/15/29 (f) | 56,000 | 55,961 | ||||||
Prudential Financial, Inc. | ||||||||
3 mo. USD LIBOR + 3.920% 5.625% VRN 6/15/43 | 143,000 | 153,480 | ||||||
3 mo. USD LIBOR + 4.175% 5.875% VRN 9/15/42 | 211,000 | 223,068 | ||||||
Quicken Loans LLC | ||||||||
5.250% 1/15/28 (f) | 13,000 | 13,650 | ||||||
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. | ||||||||
3.625% 3/01/29 (f) | 303,000 | 299,212 | ||||||
3.875% 3/01/31 (f) | 234,000 | 234,482 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
4.500% 9/15/26 (f) | 67,000 | 69,345 | ||||||
Rattler Midstream LP | ||||||||
5.625% 7/15/25 (f) | 50,000 | 52,562 | ||||||
Renewable Energy Group, Inc. | ||||||||
5.875% 6/01/28 (f) | 26,000 | 27,217 | ||||||
Sabre GLBL, Inc. | ||||||||
9.250% 4/15/25 (f) | 60,000 | 71,330 | ||||||
SeaWorld Parks & Entertainment, Inc. | ||||||||
9.500% 8/01/25 (f) | 26,000 | 27,885 | ||||||
Select Medical Corp. | ||||||||
6.250% 8/15/26 (f) | 514,000 | 547,420 | ||||||
Service Properties Trust | ||||||||
4.500% 6/15/23 | 230,000 | 235,750 | ||||||
5.000% 8/15/22 | 316,000 | 319,950 | ||||||
7.500% 9/15/25 | 31,000 | 35,110 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.125% 7/01/30 (f) | 182,000 | 184,275 | ||||||
5.000% 8/01/27 (f) | 21,000 | 22,003 | ||||||
5.500% 7/01/29 (f) | 18,000 | 19,615 | ||||||
Six Flags Entertainment Corp. | ||||||||
4.875% 7/31/24 (f) | 14,000 | 14,053 | ||||||
SM Energy Co. | ||||||||
1.500% 7/01/21 | 160,000 | 160,000 | ||||||
10.000% 1/15/25 (f) | 144,000 | 162,481 | ||||||
SRS Distribution, Inc. | ||||||||
4.625% 7/01/28 (f) | 29,000 | 29,652 | ||||||
Standard Industries, Inc. | ||||||||
5.000% 2/15/27 (f) | 7,000 | 7,249 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
5.250% 1/15/29 (f) | $ | 15,000 | $ | 15,936 | ||||
Sunoco LP / Sunoco Finance Corp. | ||||||||
4.500% 5/15/29 (f) | 32,000 | 32,560 | ||||||
6.000% 4/15/27 | 8,000 | 8,346 | ||||||
Talen Energy Supply LLC | ||||||||
7.625% 6/01/28 (f) | 215,000 | 201,178 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||
4.000% 1/15/32 (f) | 281,000 | 289,051 | ||||||
5.375% 2/01/27 | 7,000 | 7,289 | ||||||
5.875% 4/15/26 | 14,000 | 14,704 | ||||||
6.500% 7/15/27 | 11,000 | 11,921 | ||||||
6.875% 1/15/29 | 12,000 | 13,520 | ||||||
TEGNA, Inc. | ||||||||
4.750% 3/15/26 (f) | 53,000 | 56,445 | ||||||
Teleflex, Inc. | ||||||||
4.625% 11/15/27 | 7,000 | 7,456 | ||||||
Tenet Healthcare Corp. | ||||||||
4.250% 6/01/29 (f) | 445,000 | 450,562 | ||||||
4.625% 9/01/24 (f) | 8,000 | 8,211 | ||||||
4.625% 6/15/28 (f) | 21,000 | 21,613 | ||||||
4.875% 1/01/26 (f) | 29,000 | 30,079 | ||||||
6.250% 2/01/27 (f) | 22,000 | 22,963 | ||||||
TransDigm, Inc. | ||||||||
6.250% 3/15/26 (f) | 965,000 | 1,018,075 | ||||||
Union Pacific Corp. | ||||||||
3.550% 5/20/61 | 121,000 | 129,935 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.875% 7/15/27 | 15,528 | 16,468 | ||||||
5.875% 4/15/29 | 533,876 | 592,537 | ||||||
United Rentals North America, Inc. | ||||||||
4.875% 1/15/28 | 23,000 | 24,410 | ||||||
5.500% 5/15/27 | 15,000 | 15,900 | ||||||
United Shore Financial Services LLC | ||||||||
5.500% 11/15/25 (f) | 282,000 | 292,019 | ||||||
UnitedHealth Group, Inc. | ||||||||
3.250% 5/15/51 | 60,000 | 64,119 | ||||||
US Concrete, Inc. | ||||||||
5.125% 3/01/29 (f) | 19,000 | 20,758 | ||||||
USB Capital IX 3 mo. USD LIBOR + 1.020% | ||||||||
3.500% VRN (i) | 100,000 | 98,375 | ||||||
Verizon Communications, Inc. | ||||||||
3.550% 3/22/51 | 81,000 | 86,608 | ||||||
3.700% 3/22/61 | 86,000 | 92,197 | ||||||
VICI Properties LP / VICI Note Co., Inc. | ||||||||
3.500% 2/15/25 (f) | 95,000 | 96,875 | ||||||
3.750% 2/15/27 (f) | 95,000 | 96,626 | ||||||
4.125% 8/15/30 (f) | 110,000 | 112,950 | ||||||
Vistra Operations Co. LLC | ||||||||
5.000% 7/31/27 (f) | 18,000 | 18,450 | ||||||
5.625% 2/15/27 (f) | 295,000 | 306,062 | ||||||
Weekley Homes LLC / Weekley Finance Corp. | ||||||||
4.875% 9/15/28 (f) | 81,000 | 83,835 | ||||||
The William Carter Co. | ||||||||
5.625% 3/15/27 (f) | 7,000 | 7,365 | ||||||
Wyndham Destinations, Inc. | ||||||||
6.625% 7/31/26 (f) | 54,000 | 61,182 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
4.375% 8/15/28 (f) | $ | 23,000 | $ | 23,842 | ||||
Xerox Holdings Corp. | ||||||||
5.000% 8/15/25 (f) | 57,000 | 60,170 | ||||||
XHR LP | ||||||||
4.875% 6/01/29 (f) | 27,000 | 27,878 | ||||||
6.375% 8/15/25 (f) | 213,000 | 226,579 | ||||||
20,159,543 | ||||||||
TOTAL CORPORATE DEBT (Cost $36,051,679) | 34,830,333 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.0% | ||||||||
United States — 3.0% | ||||||||
1211 Avenue of the Americas Trust, Series 2015-1211, Class D, | ||||||||
4.280% VRN 8/10/35 (f) (o) | 115,000 | 121,828 | ||||||
AccessLex Institute, Series 2007-A, Class A3, 3 mo. USD LIBOR + .300% | ||||||||
0.447% FRN 5/25/36 | 77,308 | 75,881 | ||||||
Alen 2021-ACEN Mortgage Trust, Series 2021-ACEN, Class D, 1 mo. USD LIBOR + 3.100% | ||||||||
3.173% FRN 4/15/34 (f) | 138,000 | 138,043 | ||||||
AOA Mortgage Trust, Series 2015-1177, Class C, | ||||||||
3.110% VRN 12/13/29 (f) (o) | 100,000 | 100,228 | ||||||
BANK | ||||||||
Series 2017-BNK9, Class A4, 3.538% 11/15/54 | 57,084 | 63,530 | ||||||
Series 2017-BNK8, Class B, 4.062% VRN 11/15/50 (o) | 41,354 | 45,434 | ||||||
Barclays Commercial Mortgage Trust, Series 2018-TALL, Class C, 1 mo. USD LIBOR + 1.121% | ||||||||
1.194% FRN 3/15/37 (f) | 128,000 | 125,120 | ||||||
Bayview Commercial Asset Trust | ||||||||
Series 2006-3A, Class M1, 1 mo. USD LIBOR + .340% 0.432% FRN 10/25/36 (f) | 14,774 | 13,833 | ||||||
Series 2005-3A, Class M6, 1 mo. USD LIBOR + 1.050% 1.142% FRN 11/25/35 (f) | 11,218 | 10,570 | ||||||
Beast Mortgage Trust | ||||||||
Series 2021-SSCP, Class B, 1 mo. USD LIBOR + 1.100% 1.173% FRN 4/15/36 (f) | 127,000 | 127,155 | ||||||
Series 2021-SSCP, Class C, 1 mo. USD LIBOR + 1.350% 1.423% FRN 4/15/36 (f) | 162,000 | 162,198 | ||||||
Series 2021-SSCP, Class D, 1 mo. USD LIBOR + 1.600% 1.673% FRN 4/15/36 (f) | 148,000 | 148,181 | ||||||
Series 2021-SSCP, Class E, 1 mo. USD LIBOR + 2.100% 2.173% FRN 4/15/36 (f) | 127,000 | 127,156 | ||||||
Series 2021-SSCP, Class F, 1 mo. USD LIBOR + 2.900% 2.973% FRN 4/15/36 (f) | 120,000 | 120,220 | ||||||
Series 2021-SSCP, Class G, 1 mo. USD LIBOR + 3.800% 3.873% FRN 4/15/36 (f) | 134,000 | 134,246 | ||||||
Series 2021-SSCP, Class H, 1 mo. USD LIBOR + 4.902% 4.975% FRN 4/15/36 (f) | 99,000 | 99,182 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2021-B25, Class XA, 1.232% VRN 4/15/54 (o) | 769,562 | 67,803 | ||||||
Series 2021-B23, Class XA, 1.386% VRN 2/15/54 (o) | 1,587,672 | 153,573 | ||||||
Series 2021-B25, Class A5, 2.577% 4/15/54 | 134,384 | 140,810 | ||||||
BHG Securitization Trust, Series 2021-A, Class A, | ||||||||
1.420% 11/17/33 (f) | 126,994 | 126,631 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
BHMS Mortgage Trust, Series 2018-ATLS, Class A, 1 mo. USD LIBOR + 1.250% | ||||||||
1.323% FRN 7/15/35 (f) | $ | 152,559 | $ | 152,655 | ||||
Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, | ||||||||
2.090% 7/15/24 (f) | 140,000 | 141,180 | ||||||
BWAY Mortgage Trust, Series 2013-1515, Class D, | ||||||||
3.633% 3/10/33 (f) | 100,000 | 104,582 | ||||||
BX Commercial Mortgage Trust | ||||||||
Series 2018-BIOA, Class B, 1 mo. USD LIBOR + .871% 0.944% FRN 3/15/37 (f) | 17,000 | 17,016 | ||||||
Series 2019-XL, Class A, 1 mo. USD LIBOR + .920% 0.993% FRN 10/15/36 (f) | 90,526 | 90,640 | ||||||
Series 2020-BXLP, Class D, 1 mo. USD LIBOR + 1.250% 1.323% FRN 12/15/36 (f) | 97,049 | 97,049 | ||||||
Series 2018-BIOA, Class E, 1 mo. USD LIBOR + 1.951% 2.024% FRN 3/15/37 (f) | 256,406 | 256,727 | ||||||
Series 2019-XL, Class G, 1 mo. USD LIBOR + 2.300% 2.373% FRN 10/15/36 (f) | 248,948 | 249,026 | ||||||
Series 2018-BIOA, Class F, 1 mo. USD LIBOR + 2.471% 2.544% FRN 3/15/37 (f) | 207,000 | 206,935 | ||||||
Series 2020-BXLP, Class G, 1 mo. USD LIBOR + 2.500% 2.573% FRN 12/15/36 (f) | 97,049 | 96,988 | ||||||
Series 2019-XL, Class J, 1 mo. USD LIBOR + 2.650% 2.723% FRN 10/15/36 (f) | 389,599 | 389,965 | ||||||
Series 2021-VINO, Class F, 1 mo. USD LIBOR + 2.802% 2.875% FRN 5/15/38 (f) | 333,000 | 333,000 | ||||||
Series 2020-VKNG, Class G, 1 mo. USD LIBOR + 3.250% 3.323% FRN 10/15/37 (f) | 100,000 | 100,117 | ||||||
BX Trust | ||||||||
Series 2018-IND, Class G, 1 mo. USD LIBOR + 2.050% 2.123% FRN 11/15/35 (f) | 70,000 | 70,066 | ||||||
1 mo. USD LIBOR + 2.250% 2.323% FRN 1/15/34 (f) | 80,000 | 79,975 | ||||||
Series 2021-SOAR, Class G, 1 mo. USD LIBOR + 2.800% 2.900% FRN 6/15/38 (f) | 440,000 | 440,824 | ||||||
1 mo. USD LIBOR + 3.000% 3.073% FRN 1/15/34 (f) | 130,000 | 130,813 | ||||||
Series 2019-OC11, Class D, 4.076% VRN 12/09/41 (f) (o) | 204,000 | 219,001 | ||||||
Series 2019-OC11, Class E, 4.076% VRN 12/09/41 (f) (o) | 286,000 | 300,126 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class E, 1 mo. USD LIBOR + 2.150% | ||||||||
2.223% FRN 12/15/37 (f) | 100,000 | 100,188 | ||||||
CD Commercial Mortgage Trust, Series 2017-CD6, Class B, | ||||||||
3.911% VRN 11/13/50 (o) | 22,907 | 24,561 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2014-GC23, Class AS, 3.863% 7/10/47 | 148,128 | 158,514 | ||||||
Series 2018-C6, Class A4, 4.412% 11/10/51 | 53,900 | 63,001 | ||||||
Series 2014-GC19, Class D, 5.262% VRN 3/10/47 (f) (o) | 31,563 | 33,762 | ||||||
COMM Mortgage Trust | ||||||||
Series 2014-CR21, Class A3, 3.528% 12/10/47 | 109,645 | 116,874 | ||||||
Series 2014-CR17, Class C, 4.946% VRN 5/10/47 (o) | 52,161 | 54,844 | ||||||
CORE Mortgage Trust, Series 2019-CORE, Class F, 1 mo. USD LIBOR + 2.350% | ||||||||
2.423% FRN 12/15/31 (f) | 42,400 | 41,976 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
Series 2019-ICE4, Class D, 1 mo. USD LIBOR + 1.600% 1.673% FRN 5/15/36 (f) | 200,000 | 200,313 | ||||||
Series 2019-ICE4, Class E, 1 mo. USD LIBOR + 2.150% 2.223% FRN 5/15/36 (f) | 200,000 | 200,375 | ||||||
Series 2020-NET, Class A, 2.257% 8/15/37 (f) | 108,000 | 111,128 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2019-ICE4, Class F, 1 mo. USD LIBOR + 2.650% 2.723% FRN 5/15/36 (f) | $ | 229,000 | $ | 229,429 | ||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2020-C19, Class A3, 2.561% 3/15/53 | 309,965 | 322,312 | ||||||
Series 2016-C5, Class C, 4.783% VRN 11/15/48 (o) | 33,371 | 35,781 | ||||||
DBGS 2018-BIOD Mortgage Trust, Series 2018-BIOD, Class D, 1 mo. USD LIBOR + 1.300% | ||||||||
1.373% FRN 5/15/35 (f) | 92,814 | 92,872 | ||||||
DBWF Mortgage Trust, Series 2018-GLKS, Class B, 1 mo. USD LIBOR + 1.350% | ||||||||
1.443% FRN 12/19/30 (f) | 100,000 | 100,000 | ||||||
Extended Stay America Trust | ||||||||
Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250% 2.325% FRN 7/15/38 (f) (m) | 400,000 | 402,874 | ||||||
Series 2021-ESH, Class E, 1 mo. USD LIBOR + 2.850% 2.925% FRN 7/15/38 (f) (m) | 260,000 | 261,949 | ||||||
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A, | ||||||||
2.100% 5/20/48 (f) | 420,000 | 419,804 | ||||||
GS Mortgage Securities Trust, Series 2020-GC47, Class AS, | ||||||||
2.731% 5/12/53 | 118,084 | 123,378 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||||||
Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.450% 2.523% FRN 4/15/38 (f) | 200,000 | 200,438 | ||||||
Series 2021-MHC, Class F, 1 mo. USD LIBOR + 2.950% 3.023% FRN 4/15/38 (f) | 210,000 | 210,525 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2019-MFP, Class F, 1 mo. USD LIBOR + 3.000% 3.073% FRN 7/15/36 (f) | 102,000 | 100,559 | ||||||
Series 2019-COR4, Class A5, 4.029% 3/10/52 | 114,000 | 130,602 | ||||||
Series 2018-WPT, Class DFX, 5.350% 7/05/33 (f) | 58,198 | 61,216 | ||||||
Lendmark Funding Trust | ||||||||
Series 2021-1A, Class A, 1.900% 11/20/31 (f) | 300,000 | 302,618 | ||||||
Series 2021-1A, Class B, 2.470% 11/20/31 (f) | 100,000 | 100,203 | ||||||
Series 2021-1A, Class C, 3.410% 11/20/31 (f) | 100,000 | 100,230 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class F, 1 mo. USD LIBOR + 2.350% | ||||||||
2.423% FRN 3/15/38 (f) | 405,000 | 406,266 | ||||||
Loanpal Solar Loan, Series 2020-2GF, Class A, | ||||||||
2.750% 7/20/47 (f) | 122,956 | 127,800 | ||||||
Mariner Finance Issuance Trust, Series 2020-AA, Class A, | ||||||||
2.190% 8/21/34 (f) | 150,000 | 152,330 | ||||||
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, | ||||||||
1.540% 3/20/26 (f) | 550,000 | 551,776 | ||||||
MHC Commercial Mortgage Trust | ||||||||
Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.101% 2.174% FRN 4/15/38 (f) | 420,000 | 420,525 | ||||||
Series 2021-MHC, Class F, 1 mo. USD LIBOR + 2.601% 2.674% FRN 4/15/38 (f) | 368,917 | 369,494 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2016-C32, Class A4, 3.720% 12/15/49 | 89,000 | 99,135 | ||||||
Series 2015-C24, Class C, 4.489% VRN 5/15/48 (o) | 17,233 | 18,226 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2020-L4, Class A3, 2.698% 2/15/53 | 76,000 | 80,402 | ||||||
Series 2018-MP, Class A, 4.419% VRN 7/11/40 (f) (o) | 56,000 | 63,448 | ||||||
Mosaic Solar Loans LLC | ||||||||
Series 2021-2A, Class A, 1.640% 4/22/47 (c) (f) | 250,000 | 249,209 | ||||||
Series 2021-2A, Class B, 2.090% 4/22/47 (c) (f) | 110,000 | 109,436 | ||||||
Series 2017-2A, Class A, 3.820% 6/22/43 (f) | 58,031 | 61,628 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Navient Private Education Refi Loan Trust | ||||||||
Series 2021-DA, Class A, PRIME - 1.990% 0.114% FRN 4/15/60 (f) | $ | 530,000 | $ | 530,001 | ||||
Series 2021-DA, Class B, 2.610% 4/15/60 (f) | 100,000 | 100,163 | ||||||
Series 2019-A, Class A2A, 3.420% 1/15/43 (f) | 60,298 | 61,765 | ||||||
Series 2021-DA, Class C, 3.480% 4/15/60 (f) | 190,000 | 191,966 | ||||||
Series 2021-DA, Class D, 4.000% 4/15/60 (f) | 100,000 | 97,706 | ||||||
Nelnet Student Loan Trust | ||||||||
Series 2021-A, Class A1, 1 mo. USD LIBOR + .800% 0.901% FRN 4/20/62 (f) | 800,000 | 796,005 | ||||||
Series 2021-A, Class A2, 1 mo. USD LIBOR + 1.030% 1.131% FRN 4/20/62 (f) | 330,000 | 330,251 | ||||||
Series 2021-BA, Class AFX, 1.420% 4/20/62 (f) | 600,000 | 599,886 | ||||||
Series 2021-BA, Class B, 2.680% 4/20/62 (f) | 600,000 | 599,662 | ||||||
Series 2021-A, Class B2, 2.850% 4/20/62 (f) | 597,000 | 607,154 | ||||||
Series 2021-BA, Class C, 3.570% 4/20/62 (f) | 170,000 | 169,939 | ||||||
Series 2021-A, Class C, 3.750% 4/20/62 (f) | 378,250 | 386,135 | ||||||
Series 2021-BA, Class D, 4.750% 4/20/62 (f) | 100,000 | 99,970 | ||||||
Series 2021-A, Class D, 4.930% 4/20/62 (f) | 160,000 | 164,054 | ||||||
Pagaya AI Debt Selection Trust, Series 2021-2, Class Note, | ||||||||
3.000% 1/25/29 (a) (c) (f) | 420,000 | 420,000 | ||||||
Progress Residential, Series 2021-SFR3, Class F, | ||||||||
3.436% 5/17/26 (f) | 100,000 | 100,289 | ||||||
SLM Private Credit Student Loan Trust | ||||||||
Series 2007-A, Class A4A, 3 mo. USD LIBOR + .240% 0.359% FRN 12/16/41 | 156,980 | 154,035 | ||||||
Series 2006-A, Class A5, 3 mo. USD LIBOR + .290% 0.409% FRN 6/15/39 | 151,575 | 147,108 | ||||||
Series 2005-B, Class A4, 3 mo. USD LIBOR + .330% 0.449% FRN 6/15/39 | 411,939 | 400,897 | ||||||
Series 2010-C, Class A5, 1 mo. USD LIBOR + 4.750% 4.823% FRN 10/15/41 (f) | 422,000 | 470,847 | ||||||
SMB Private Education Loan Trust | ||||||||
Series 2021-C, Class A2, 1 mo. USD LIBOR + .800% 0.890% FRN 1/15/53 (f) | 390,000 | 390,000 | ||||||
Series 2021-A, Class B, 2.310% 1/15/53 (f) | 150,000 | 152,405 | ||||||
Series 2020-BA, Class B, 2.760% 7/15/53 (f) | 100,000 | 99,853 | ||||||
Series 2021-A, Class C, 2.990% 1/15/53 (f) | 380,000 | 384,320 | ||||||
Series 2019-A, Class A2A, 3.440% 7/15/36 (f) | 92,168 | 96,715 | ||||||
Series 2021-A, Class D1, 3.860% 1/15/53 (f) | 200,000 | 198,601 | ||||||
Series 2021-A, Class D2, 3.860% 1/15/53 (f) | 110,000 | 109,231 | ||||||
SoFi Professional Loan Program LLC, Series 2019-A, Class A2FX, | ||||||||
3.690% 6/15/48 (f) | 77,729 | 80,508 | ||||||
UBS Commercial Mortgage Trust, Series 2019-C17, Class A4, | ||||||||
2.921% 10/15/52 | 31,331 | 33,378 | ||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class D, | ||||||||
5.206% VRN 8/10/49 (f) (o) | 46,431 | 47,251 | ||||||
VNO Mortgage Trust | ||||||||
4.033% VRN 1/10/35 (f) (o) | 100,000 | 102,569 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2021-C59, Class XA, 1.689% VRN 4/15/54 (o) | 1,002,590 | 119,559 | ||||||
Series 2020-C58, Class XA, 2.011% VRN 7/15/53 (o) | 996,629 | 139,800 | ||||||
Series 2015-C28, Class AS, 3.872% VRN 5/15/48 (o) | 90,000 | 97,101 | ||||||
Series 2018-1745, Class A, 3.874% VRN 6/15/36 (f) (o) | 100,000 | 111,446 | ||||||
Series 2017-C38, Class C, 3.903% VRN 7/15/50 (o) | 34,422 | 36,864 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2017-C41, Class B, 4.188% VRN 11/15/50 (o) | $ | 82,814 | $ | 88,187 | ||||
21,303,929 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $21,092,885) | 21,303,929 | |||||||
SOVEREIGN DEBT OBLIGATIONS — 5.2% | ||||||||
Argentina — 0.1% | ||||||||
Argentine Republic Government International Bond | ||||||||
0.125% STEP 7/09/30 | 957,844 | 344,345 | ||||||
0.125% STEP 7/09/35 | 1,206,206 | 381,776 | ||||||
0.125% STEP 1/09/38 | 389,621 | 147,277 | ||||||
1.000% 7/09/29 | 100,849 | 38,191 | ||||||
911,589 | ||||||||
Bahrain — 0.0% | ||||||||
Bahrain Government International Bond | ||||||||
6.750% 9/20/29 (f) | 200,000 | 219,440 | ||||||
Brazil — 0.9% | ||||||||
Brazil Letras do Tesouro Nacional | ||||||||
0.000% 7/01/24 BRL (k) | 31,847,000 | 5,068,048 | ||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||
10.000% 1/01/27 BRL (k) | 5,693,000 | 1,157,422 | ||||||
6,225,470 | ||||||||
China — 2.6% | ||||||||
China Government International Bond | ||||||||
2.680% 5/21/30 CNY (k) | 43,830,000 | 6,527,578 | ||||||
3.270% 11/19/30 CNY (k) | 34,450,000 | 5,402,851 | ||||||
3.270% 11/19/30 CNY (k) | 5,880,000 | 922,170 | ||||||
3.290% 5/23/29 CNY (k) | 38,900,000 | 6,095,120 | ||||||
18,947,719 | ||||||||
Colombia — 0.0% | ||||||||
Colombia Government International Bond | ||||||||
4.125% 5/15/51 (e) | 200,000 | 189,576 | ||||||
Dominican Republic — 0.1% | ||||||||
Dominican Republic International Bond | ||||||||
4.500% 1/30/30 (f) | 150,000 | 153,376 | ||||||
4.500% 1/30/30 (f) | 150,000 | 153,377 | ||||||
4.875% 9/23/32 (f) | 150,000 | 154,879 | ||||||
461,632 | ||||||||
Egypt — 0.1% | ||||||||
Egypt Government International Bond | ||||||||
5.875% 6/11/25 (f) | 317,000 | 338,055 | ||||||
7.600% 3/01/29 (f) | 204,000 | 223,931 | ||||||
561,986 | ||||||||
Ghana — 0.0% | ||||||||
Ghana Government International Bond | ||||||||
7.750% 4/07/29 (f) | 200,000 | 204,250 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Greece — 0.2% | ||||||||
Hellenic Republic Government Bond | ||||||||
2.000% 4/22/27 EUR (f) (k) | $ | 1,166,000 | $ | 1,525,749 | ||||
Indonesia — 0.0% | ||||||||
Indonesia Government International Bond | ||||||||
4.100% 4/24/28 | 200,000 | 226,011 | ||||||
Japan — 0.4% | ||||||||
Japan Government Thirty Year Bond | ||||||||
0.400% 9/20/49 JPY (k) | 328,400,000 | 2,756,349 | ||||||
Mexico — 0.5% | ||||||||
Mexican Bonos | ||||||||
5.750% 3/05/26 MXN (k) | 17,589,800 | 857,906 | ||||||
7.750% 5/29/31 MXN (k) | 39,103,700 | 2,070,609 | ||||||
Mexico Government International Bond | ||||||||
3.750% 1/11/28 | 266,000 | 290,299 | ||||||
3,218,814 | ||||||||
Morocco — 0.0% | ||||||||
Morocco Government International Bond | ||||||||
3.000% 12/15/32 (f) | 200,000 | 192,888 | ||||||
Oman — 0.0% | ||||||||
Oman Government International Bond | ||||||||
6.750% 1/17/48 (f) | 200,000 | 198,750 | ||||||
Panama — 0.1% | ||||||||
Panama Government International Bond | ||||||||
4.500% 4/16/50 | 200,000 | 227,010 | ||||||
6.700% 1/26/36 | 53,000 | 71,948 | ||||||
298,958 | ||||||||
Peru — 0.0% | ||||||||
Peruvian Government International Bond | ||||||||
2.783% 1/23/31 | 120,000 | 122,156 | ||||||
Romania — 0.0% | ||||||||
Romanian Government International Bond | ||||||||
6.125% 1/22/44 (f) | 56,000 | 76,496 | ||||||
Russia — 0.1% | ||||||||
Russian Foreign Bond - Eurobond | ||||||||
5.250% 6/23/47 (f) | 200,000 | 251,214 | ||||||
Saudi Arabia — 0.0% | ||||||||
Saudi Government International Bond | ||||||||
4.625% 10/04/47 (f) | 200,000 | 238,516 | ||||||
Ukrainian Ssr — 0.1% | ||||||||
Ukraine Government International Bond | ||||||||
7.253% 3/15/33 (f) | 200,000 | 208,240 | ||||||
7.750% 9/01/25 (f) | 100,000 | 109,448 | ||||||
317,688 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Uruguay — 0.0% | ||||||||
Uruguay Government International Bond | ||||||||
5.100% 6/18/50 | $ | 38,625 | $ | 50,579 | ||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $36,945,335) | 37,195,830 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.1% | ||||||||
Number of Shares | ||||||||
United States — 0.1% | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | ||||||||
0.939% VRN 5/25/29 (o) | 1,555,317 | 81,480 | ||||||
Series K120, Class X1, 1.134% VRN 10/25/30 (o) | 1,362,505 | 111,851 | ||||||
Series KL06, Class XFX, 1.364% 12/25/29 | 220,639 | 20,304 | ||||||
Series K116, Class X1, 1.531% VRN 7/25/30 (o) | 207,618 | 22,874 | ||||||
Series K105, Class X1, 1.645% VRN 3/25/53 (o) | 959,732 | 109,316 | ||||||
Series K109, Class X1, 1.699% VRN 4/25/30 (o) | 309,972 | 37,148 | ||||||
Series K110, Class X1, 1.815% VRN 4/25/30 (o) | 357,671 | 45,564 | ||||||
Federal National Mortgage Association ACES Series 2018-M13, Class A2 (o) | 58,000 | 68,332 | ||||||
496,869 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $516,972) | 496,869 | |||||||
Principal Amount | ||||||||
U.S. TREASURY OBLIGATIONS — 0.7% | ||||||||
United States — 0.7% | ||||||||
U.S. Treasury Note | ||||||||
2.000% 11/15/21 (h) | $ | 5,300,000 | 5,338,211 | |||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,398,556) | 5,338,211 | |||||||
TOTAL BONDS & NOTES (Cost $114,466,878) | 113,846,653 | |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 2.0% | ||||||||
Diversified Financial Services — 2.0% | ||||||||
United States — 2.0% | ||||||||
Consumer Discretionary Select Sector SPDR Fund (e) | 3,257 | 581,537 | ||||||
Energy Select Sector SPDR Fund | 2,544 | 137,045 | ||||||
Financial Select Sector SPDR Fund | 4,618 | 169,435 | ||||||
Health Care Select Sector SPDR Fund (e) | 5,533 | 696,881 | ||||||
Industrial Select Sector SPDR Fund (e) | 12,313 | 1,260,851 | ||||||
Invesco Senior Loan ETF | 47,956 | 1,062,225 | ||||||
iShares Biotechnology ETF | 529 | 86,571 | ||||||
iShares China Large-Cap ETF | 12,649 | 586,028 | ||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,408 | 189,179 | ||||||
iShares Latin America 40 ETF (e) | 10,184 | 321,000 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
iShares MSCI Brazil ETF (e) | 14,707 | $ | 596,222 | |||||
iShares MSCI Emerging Markets ETF | 1,380 | 76,107 | ||||||
iShares MSCI Japan ETF | 6,128 | 413,885 | ||||||
iShares S&P 500 Value ETF | 5,829 | 860,594 | ||||||
KraneShares Bosera MSCI China A ETF | 4,583 | 219,251 | ||||||
KraneShares CSI China Internet ETF | 3,414 | 238,229 | ||||||
SPDR Blackstone Senior Loan ETF | 8,205 | 379,810 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,645 | 180,884 | ||||||
SPDR Euro Stoxx 50 ETF (e) | 2,323 | 108,786 | ||||||
SPDR Gold Shares (g) (h) | 8,005 | 1,325,868 | ||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 5,468 | 528,701 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (p) | 3,974,417 | 3,974,417 | ||||||
Utilities Select Sector SPDR Fund | 4,239 | 268,032 | ||||||
VanEck Vectors Semiconductor ETF (e) | 793 | 207,956 | ||||||
14,469,494 | ||||||||
TOTAL MUTUAL FUNDS (Cost $13,610,518) | 14,469,494 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.4% (Cost $3,522,119) | 3,012,146 | |||||||
WARRANTS — 0.0% | ||||||||
Cayman Islands — 0.0% | ||||||||
Hedosophia European Growth (d) | 6,879 | 8,076 | ||||||
Tortoise Acquisition Corp. II Expires 6/14/27, Strike 11.50 (d) | 4,000 | 8,680 | ||||||
TPG Pace Beneficial Finance Corp. Expires 10/09/27, Strike 11.50 (d) | 1,740 | 5,759 | ||||||
22,515 | ||||||||
Switzerland — 0.0% | ||||||||
Cie Financiere Richemont SA Expires 11/22/23, Strike 67.00 (d) | 124 | 83 | ||||||
United States — 0.0% | ||||||||
Cano Health, Inc. Expires 3/03/26, Strike 11.50 (d) | 7,127 | 26,288 | ||||||
Climate Change Crisis Real Impact I Acquisition Corp. Expires 9/15/25, Strike 11.50 (d) | 3,880 | 15,830 | ||||||
Latch, Inc. Expires 6/04/26, Strike 11.50 (d) | 8,977 | 31,419 | ||||||
Rotor Acquisition Corp. Expires 6/15/27, Strike 11.50 (d) | 16,317 | 20,070 | ||||||
93,607 | ||||||||
TOTAL WARRANTS (Cost $112,523) | 116,205 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $526,209,014) | 649,633,348 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 8.1% | ||||||||
Repurchase Agreement — 8.1% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (q) | $ | 58,764,638 | 58,764,638 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $58,764,638) | $ | 58,764,638 | ||||||
TOTAL INVESTMENTS — 98.0% (Cost $584,973,652) (r) | 708,397,986 | |||||||
Less Unfunded Loan Commitments — 0.0% | (171,741) | |||||||
NET INVESTMENTS — 98.0% (Cost $584,801,911) | 708,226,245 | |||||||
Other Assets/(Liabilities) — 2.0% | 14,968,718 | |||||||
NET ASSETS — 100.0% | $ | 723,194,963 |
Number of Shares | ||||||||
Equities Sold Short — (0.5)% | ||||||||
United States — (0.5)% | ||||||||
Appian Corp. (d) | (5,206 | ) | (717,126 | ) | ||||
DoorDash, Inc., Class A (d) | (2,709 | ) | (483,096 | ) | ||||
The Hershey Co. | (1,287 | ) | (224,170 | ) | ||||
The J.M. Smucker Co. | (1,376 | ) | (178,288 | ) | ||||
Nordstrom, Inc. (d) | (2,061 | ) | (75,371 | ) | ||||
Snowflake, Inc. Class A (d) | (1,937 | ) | (468,367 | ) | ||||
Tesla Motors, Inc. (d) | (694 | ) | (471,712 | ) | ||||
Walgreens Boots Alliance, Inc. | (20,181 | ) | (1,061,722 | ) | ||||
(3,679,852 | ) | |||||||
TOTAL EQUITIES SOLD SHORT (Cost $(3,412,296)) | (3,679,852 | ) |
Abbreviation Legend
ADR | American Depositary Receipt |
DIP | Debtor In Possession |
ETF | Exchange-Traded Fund |
FRN | Floating Rate Note |
STEP | Step Up Bond |
VRN | Variable Rate Note |
Notes to Consolidated Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Investment was valued using significant unobservable inputs. |
(b) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $5,481,201 or 0.76% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $6,509,406 or 0.90% of net assets. |
(d) | Non-income producing security. |
(e) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $11,685,956 or 1.62% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $8,137,564 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). |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Notes to Consolidated Portfolio of Investments (Continued)
(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 June 30, 2021, the aggregate market value of these securities amounted to $59,833,013 or 8.27% of net assets. |
(g) | A portion of this security is pledged/held as collateral for open derivatives. |
(h) | All or a portion of this security is held by a wholly owned subsidiary. See Note 1 of the Notes to Consolidated Portfolio Statements for details on the wholly owned subsidiary. |
(i) | Security is perpetual and has no stated maturity date. |
(j) | All or a portion of the security represents unsettled loan commitments at June 30, 2021 where the rate will be determined at time of settlement. |
(k) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(l) | Unfunded or partially unfunded loan commitments. |
(m) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(n) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At June 30, 2021, these securities amounted to a value of $114,439 or 0.02% of net assets. |
(o) | 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 June 30, 2021. |
(p) | Represents investment of security lending cash collateral. (Note 2). |
(q) | Maturity value of $58,764,638. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $59,939,933. |
(r) | 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 | ||||||||||||||||||||||||||||||
adidas AG | Barclays Bank PLC | 7/16/21 | 305.00 | 1,119 | EUR | 341,295 | $ | 15,830 | $ | 10,930 | $ | 4,900 | ||||||||||||||||||
Safran SA | Barclays Bank PLC | 7/16/21 | 125.00 | 2,819 | EUR | 352,375 | 1,844 | 16,380 | (14,536 | ) | ||||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE | Barclays Bank PLC | 8/20/21 | 675.00 | 674 | EUR | 454,950 | 11,520 | 13,735 | (2,215 | ) | ||||||||||||||||||||
D.R. Horton, Inc. | Citibank N.A. | 8/20/21 | 90.00 | 7,365 | USD | 662,850 | 33,813 | 27,987 | 5,826 | |||||||||||||||||||||
Amazon.com, Inc. | Citibank N.A. | 6/17/22 | 4,150.00 | 267 | USD | 1,108,050 | 43,058 | 36,846 | 6,212 | |||||||||||||||||||||
Euro Stoxx 50 Index | Credit Suisse International | 7/16/21 | 4,175.00 | 490 | EUR | 2,045,750 | 3,468 | 16,052 | (12,584 | ) | ||||||||||||||||||||
Euro Stoxx 50 Index | Credit Suisse International | 9/17/21 | 4,250.00 | 490 | EUR | 2,082,500 | 15,593 | 30,302 | (14,709 | ) | ||||||||||||||||||||
United Rentals, Inc. | Credit Suisse International | 9/17/21 | 360.00 | 1,200 | USD | 432,000 | 9,232 | 19,174 | (9,942 | ) | ||||||||||||||||||||
Euro Stoxx 50 Index | Credit Suisse International | 11/19/21 | 4,300.00 | 490 | EUR | 2,107,000 | 25,378 | 40,596 | (15,218 | ) | ||||||||||||||||||||
Euro Stoxx 50 Index | Goldman Sachs International | 8/20/21 | 4,250.00 | 294 | EUR | 1,249,500 | 4,207 | 10,443 | (6,236 | ) | ||||||||||||||||||||
USD Call MXN Put | Morgan Stanley & Co. LLC | 7/28/21 | 21.50 | 4,392,000 | USD | 4,392,000 | 3,869 | 3,004 | 865 | |||||||||||||||||||||
USD Call MXN Put | Morgan Stanley & Co. LLC | 9/29/21 | 20.75 | 4,392,000 | USD | 4,392,000 | 53,477 | 51,979 | 1,498 | |||||||||||||||||||||
Autodesk, Inc. | Nomura International PLC | 9/17/21 | 295.00 | 3,790 | USD | 1,118,050 | 53,017 | 45,101 | 7,916 | |||||||||||||||||||||
NXP Semiconductors NV | UBS AG | 7/16/21 | 210.00 | 3,651 | USD | 766,710 | 10,381 | 20,702 | (10,321 | ) | ||||||||||||||||||||
$ | 284,687 | $ | 343,231 | $ | (58,544 | ) |
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) | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
USD Put RUB Call | Bank of America N.A. | 8/26/21 | 72.50 | 2,479,177 | USD | 2,479,177 | $ | 21,608 | $ | 27,679 | $ | (6,071 | ) | |||||||||||||||||
EUR Put USD Call | BNP Paribas SA | 8/02/21 | 1.19 | 5,284,180 | EUR | 5,284,180 | 51,379 | 69,995 | (18,616 | ) | ||||||||||||||||||||
SPDR Gold Shares(h) | Citibank N.A. | 7/16/21 | 164.00 | 4,540 | USD | 744,560 | 5,859 | 7,119 | (1,260 | ) | ||||||||||||||||||||
SPDR Gold Shares(h) | Citibank N.A. | 7/16/21 | 166.00 | 5,494 | USD | 912,004 | 11,574 | 13,131 | (1,557 | ) | ||||||||||||||||||||
iShares National S&P Muni Bond ETF | Credit Suisse International | 8/20/21 | 113.00 | 94 | USD | 10,622 | 13 | 150 | (137 | ) | ||||||||||||||||||||
iShares National S&P Muni Bond ETF | Credit Suisse International | 8/20/21 | 114.00 | 95 | USD | 10,830 | 18 | 161 | (143 | ) | ||||||||||||||||||||
USD Put RUB Call | JP Morgan Chase Bank N.A. | 7/27/21 | 72.25 | 1,429,296 | USD | 1,429,296 | 6,342 | 13,100 | (6,758 | ) | ||||||||||||||||||||
USD Put ZAR Call | JP Morgan Chase Bank N.A. | 8/26/21 | 13.75 | 1,959,155 | USD | 1,959,155 | 9,553 | 36,094 | (26,541 | ) | ||||||||||||||||||||
EUR Put USD Call | Morgan Stanley & Co. LLC | 7/30/21 | 1.19 | 7,688,660 | EUR | 7,688,660 | 52,960 | 43,433 | 9,527 | |||||||||||||||||||||
USD Put MXN Call | Morgan Stanley & Co. LLC | 8/25/21 | 19.75 | 2,661,775 | USD | 2,661,775 | 24,132 | 39,828 | (15,696 | ) | ||||||||||||||||||||
$ | 183,438 | $ | 250,690 | $ | (67,252 | ) | ||||||||||||||||||||||||
$ | 468,125 | $ | 593,921 | $ | (125,796 | ) |
(#) Exchange-Traded Options Purchased | ||||||||||||||||||||||||||||
Description | Expiration Date | Exercise Price | No. of Contracts | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
SPDR S&P 500 Trust | 7/02/21 | 427.00 | 172 | USD | 7,344,400 | $ | 39,216 | $ | 59,535 | $ | (20,319 | ) | ||||||||||||||||
Alphabet, Inc. | 7/16/21 | 2,600.00 | 3 | USD | 780,000 | 2,490 | 10,282 | (7,792 | ) | |||||||||||||||||||
Amazon.com, Inc. | 7/16/21 | 3,750.00 | 2 | USD | 750,000 | 674 | 14,608 | (13,934 | ) | |||||||||||||||||||
Apple, Inc. | 7/16/21 | 140.00 | 54 | USD | 756,000 | 4,752 | 17,671 | (12,919 | ) | |||||||||||||||||||
Applied Materials, Inc. | 7/16/21 | 140.00 | 54 | USD | 756,000 | 28,026 | 34,141 | (6,115 | ) | |||||||||||||||||||
BP PLC | 7/16/21 | 29.00 | 242 | USD | 701,800 | 1,936 | 16,082 | (14,146 | ) | |||||||||||||||||||
Crowdstrike Holdings, Inc. | 7/16/21 | 220.00 | 18 | USD | 396,000 | 59,940 | 19,786 | 40,154 | ||||||||||||||||||||
D.R. Horton, Inc. | 7/16/21 | 95.00 | 71 | USD | 674,500 | 4,047 | 21,038 | (16,991 | ) | |||||||||||||||||||
Freeport-McMoRan, Inc. | 7/16/21 | 38.00 | 28 | USD | 106,400 | 2,576 | 2,352 | 224 | ||||||||||||||||||||
FTSE MIB Index | 7/16/21 | 26,000.00 | 12 | EUR | 780,000 | 1,209 | 11,715 | (10,506 | ) | |||||||||||||||||||
iShares MSCI Emerging Markets ETF | 7/16/21 | 57.00 | 438 | USD | 2,496,600 | 4,818 | 34,267 | (29,449 | ) | |||||||||||||||||||
Johnson Controls International PLC | 7/16/21 | 67.50 | 103 | USD | 695,250 | 19,570 | 17,428 | 2,142 | ||||||||||||||||||||
Lions Gate Entertainment Corp. | 7/16/21 | 21.00 | 14 | USD | 29,400 | 802 | 830 | (28 | ) | |||||||||||||||||||
Mastercard, Inc. | 7/16/21 | 390.00 | 19 | USD | 741,000 | 912 | 25,882 | (24,970 | ) | |||||||||||||||||||
Microsoft Corp. | 7/16/21 | 265.00 | 29 | USD | 768,500 | 22,185 | 14,420 | 7,765 | ||||||||||||||||||||
Pultegroup, Inc. | 7/16/21 | 60.00 | 42 | USD | 252,000 | 504 | 8,606 | (8,102 | ) | |||||||||||||||||||
Ralph Lauren Corp. | 7/16/21 | 145.00 | 32 | USD | 464,000 | 133 | 18,091 | (17,958 | ) | |||||||||||||||||||
Ringcentral, Inc. | 7/16/21 | 340.00 | 6 | USD | 204,000 | 390 | 7,934 | (7,544 | ) | |||||||||||||||||||
Sabre Corp. | 7/16/21 | 20.00 | 13 | USD | 26,000 | 6 | 568 | (562 | ) |
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) | |||||||||||||||||||||
SPDR S&P 500 Trust | 7/16/21 | 427.00 | 322 | USD | 13,749,400 | $ | 146,188 | $ | 124,514 | $ | 21,674 | |||||||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 7/16/21 | 102.00 | 23 | USD | 234,600 | 3,243 | 4,030 | (787 | ) | |||||||||||||||||||
Twilio, Inc. | 7/16/21 | 390.00 | 5 | USD | 195,000 | 8,475 | 10,986 | (2,511 | ) | |||||||||||||||||||
Vaneck Vectors Semiconductor | 7/16/21 | 260.00 | 103 | USD | 2,678,000 | 59,740 | 43,959 | 15,781 | ||||||||||||||||||||
SPDR S&P 500 Trust | 7/30/21 | 436.00 | 405 | USD | 17,658,000 | 70,875 | 73,339 | (2,464 | ) | |||||||||||||||||||
Amazon.com, Inc. | 8/20/21 | 3,600.00 | 2 | USD | 720,000 | 14,400 | 21,794 | (7,394 | ) | |||||||||||||||||||
Comcast Corp. | 8/20/21 | 57.50 | 39 | USD | 224,250 | 6,474 | 6,084 | 390 | ||||||||||||||||||||
Commscope Holding Co., Inc. | 8/20/21 | 25.00 | 11 | USD | 27,500 | 396 | 399 | (3 | ) | |||||||||||||||||||
Conocophillips | 8/20/21 | 65.00 | 119 | USD | 773,500 | 17,493 | 21,580 | (4,087 | ) | |||||||||||||||||||
Energy Select Sector SPDR Fund | 8/20/21 | 60.00 | 565 | USD | 3,390,000 | 33,900 | 69,251 | (35,351 | ) | |||||||||||||||||||
Facebook, Inc. | 8/20/21 | 345.00 | 45 | USD | 1,552,500 | 80,100 | 63,483 | 16,617 | ||||||||||||||||||||
Freeport-McMoRan, Inc. | 8/20/21 | 41.00 | 56 | USD | 229,600 | 6,720 | 5,935 | 785 | ||||||||||||||||||||
Global Payments, Inc. | 8/20/21 | 210.00 | 34 | USD | 714,000 | 5,440 | 22,120 | (16,680 | ) | |||||||||||||||||||
L Brands, Inc. | 8/20/21 | 80.00 | 102 | USD | 816,000 | 24,174 | 35,865 | (11,691 | ) | |||||||||||||||||||
Las Vegas Sands Corp. | 8/20/21 | 65.00 | 19 | USD | 123,500 | 836 | 4,193 | (3,357 | ) | |||||||||||||||||||
Mastercard, Inc. | 8/20/21 | 375.00 | 18 | USD | 675,000 | 15,300 | 18,400 | (3,100 | ) | |||||||||||||||||||
Mastercard, Inc. | 8/20/21 | 410.00 | 39 | USD | 1,599,000 | 5,460 | 50,982 | (45,522 | ) | |||||||||||||||||||
salesforce.com, Inc. | 8/20/21 | 250.00 | 20 | USD | 500,000 | 13,500 | 13,585 | (85 | ) | |||||||||||||||||||
SPDR S&P 500 Trust | 8/20/21 | 440.00 | 141 | USD | 6,204,000 | 33,840 | 32,331 | 1,509 | ||||||||||||||||||||
Trane Technologies PLC | 8/20/21 | 190.00 | 7 | USD | 133,000 | 2,660 | 4,339 | (1,679 | ) | |||||||||||||||||||
Wells Fargo & Co. | 8/20/21 | 45.00 | 167 | USD | 751,500 | 36,740 | 22,966 | 13,774 | ||||||||||||||||||||
Western Digital Corp. | 8/20/21 | 85.00 | 46 | USD | 391,000 | 5,612 | 6,155 | (543 | ) | |||||||||||||||||||
Western Digital Corp. | 8/20/21 | 95.00 | 23 | USD | 218,500 | 1,449 | 2,547 | (1,098 | ) | |||||||||||||||||||
Zscaler, Inc. | 8/20/21 | 220.00 | 20 | USD | 440,000 | 20,900 | 19,820 | 1,080 | ||||||||||||||||||||
Advance Auto Parts, Inc. | 9/17/21 | 210.00 | 14 | USD | 294,000 | 11,410 | 11,020 | 390 | ||||||||||||||||||||
Carrier Global Corp. | 9/17/21 | 47.00 | 90 | USD | 423,000 | 29,520 | 20,896 | 8,624 | ||||||||||||||||||||
Deere & Co. | 9/17/21 | 380.00 | 5 | USD | 190,000 | 3,680 | 8,436 | (4,756 | ) | |||||||||||||||||||
Fedex Corp. | 9/17/21 | 310.00 | 16 | USD | 496,000 | 14,336 | 13,396 | 940 | ||||||||||||||||||||
Freeport-McMoRan, Inc. | 9/17/21 | 40.00 | 60 | USD | 240,000 | 12,000 | 13,048 | (1,048 | ) | |||||||||||||||||||
Illinois Tool Works, Inc. | 9/17/21 | 250.00 | 28 | USD | 700,000 | 2,660 | 11,089 | (8,429 | ) | |||||||||||||||||||
Lions Gate Entertainment Corp. | 9/17/21 | 25.00 | 24 | USD | 60,000 | 1,200 | 2,058 | (858 | ) | |||||||||||||||||||
SPDR S&P 500 Trust | 9/17/21 | 440.00 | 646 | USD | 28,424,000 | 308,788 | 307,759 | 1,029 | ||||||||||||||||||||
SPDR S&P 500 Trust | 9/17/21 | 450.00 | 565 | USD | 25,425,000 | 109,610 | 107,697 | 1,913 | ||||||||||||||||||||
Wells Fargo & Co. | 9/17/21 | 45.00 | 164 | USD | 738,000 | 43,952 | 34,537 | 9,415 | ||||||||||||||||||||
Nucor Corp. | 10/15/21 | 110.00 | 37 | USD | 407,000 | 11,840 | 21,795 | (9,955 | ) | |||||||||||||||||||
TE Connectivity Ltd. | 10/15/21 | 145.00 | 17 | USD | 246,500 | 4,420 | 8,200 | (3,780 | ) |
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) | |||||||||||||||||||||
Parker-Hannifin Corp. | 11/19/21 | 340.00 | 21 | USD | 714,000 | $ | 17,010 | $ | 14,187 | $ | 2,823 | |||||||||||||||||
Diamondback Energy, Inc. | 12/17/21 | 90.00 | 37 | USD | 333,000 | 53,280 | 49,283 | 3,997 | ||||||||||||||||||||
Diamondback Energy, Inc. | 12/17/21 | 115.00 | 62 | USD | 713,000 | 34,844 | 34,239 | 605 | ||||||||||||||||||||
SPDR S&P 500 Trust | 12/17/21 | 360.00 | 34 | USD | 1,224,000 | 246,364 | 44,096 | 202,268 | ||||||||||||||||||||
Caesars Entertainment Corp. | 1/21/22 | 100.00 | 21 | USD | 210,000 | 34,167 | 33,306 | 861 | ||||||||||||||||||||
Devon Energy Corp. | 1/21/22 | 28.00 | 131 | USD | 366,800 | 57,771 | 55,588 | 2,183 | ||||||||||||||||||||
Devon Energy Corp. | 1/21/22 | 35.00 | 106 | USD | 371,000 | 21,200 | 21,469 | (269 | ) | |||||||||||||||||||
$ | 1,826,153 | $ | 1,825,992 | $ | 161 | |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
SPDR S&P 500 Trust | 7/02/21 | 410.00 | 187 | USD | 7,667,000 | $ | 561 | $ | 108,985 | $ | (108,424 | ) | ||||||||||||||||
SPDR S&P 500 Trust | 7/02/21 | 420.00 | 13 | USD | 546,000 | 117 | 926 | (809 | ) | |||||||||||||||||||
Invesco QQQ Trust | 7/16/21 | 320.00 | 124 | USD | 3,968,000 | 4,712 | 92,873 | (88,161 | ) | |||||||||||||||||||
Invesco QQQ Trust | 7/16/21 | 325.00 | 154 | USD | 5,005,000 | 7,084 | 109,061 | (101,977 | ) | |||||||||||||||||||
iShares Russell 2000 ETF | 7/16/21 | 218.00 | 9 | USD | 196,200 | 693 | 1,924 | (1,231 | ) | |||||||||||||||||||
Pitney Bowes, Inc. | 7/16/21 | 7.00 | 11 | USD | 7,700 | 33 | 723 | (690 | ) | |||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 7/16/21 | 108.00 | 16 | USD | 172,800 | 267 | 896 | (629 | ) | |||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 9/17/21 | 84.00 | 537 | USD | 4,510,800 | 20,406 | 42,549 | (22,143 | ) | |||||||||||||||||||
PG&E Corp. | 9/17/21 | 8.00 | 14 | USD | 11,200 | 182 | 353 | (171 | ) | |||||||||||||||||||
Eurodollar Future | 12/10/21 | 99.38 | 52 | USD | 12,932,400 | 11,050 | 9,835 | 1,215 | ||||||||||||||||||||
Uber Technologies, Inc. | 12/17/21 | 25.00 | 10 | USD | 25,000 | 160 | 636 | (476 | ) | |||||||||||||||||||
$ | 45,265 | $ | 368,761 | $ | (323,496 | ) | ||||||||||||||||||||||
$ | 1,871,418 | $ | 2,194,753 | $ | (323,335 | ) |
(#) 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 | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
Buy Protection on 5-Year Credit Default Swap, 6/20/26 | JP Morgan Chase Bank N.A. | 7/21/21 | 108.00 | 5.000% | Semi-Annually | CDX.NA.HY Series 36 | Quarterly | USD | 335,000 | $ | 231 | $ | 767 | $ | (536 | ) | ||||||||||||||||
Buy Protection on 5-Year Credit Default Swap, 6/20/26 | JP Morgan Chase Bank N.A. | 7/21/21 | 108.50 | 5.000% | Semi-Annually | CDX.NA.HY Series 36 | Quarterly | USD | 185,000 | 177 | 536 | (359 | ) | |||||||||||||||||||
Buy Protection on 5-Year Credit Default Swap, 6/20/26 | Morgan Stanley & Co. LLC | 7/21/21 | 65.00 | 1.000% | Semi-Annually | CDX.NA.IG Series 36 | Quarterly | USD | 2,855,000 | 171 | 3,655 | (3,484 | ) | |||||||||||||||||||
$ | 579 | $ | 4,958 | $ | (4,379 | ) |
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, 12/28/31 | Goldman Sachs International | 12/24/21 | 6-Month EURIBOR | Semi-Annually | 0.07% | Annually | EUR | 2,752,656 | $ | 23,922 | $ | 25,671 | $ | (1,749 | ) | |||||||||||||
30-Year Interest Rate Swap, 4/22/52 | Goldman Sachs International | 4/20/22 | 3-Month USD LIBOR BBA | Quarterly | 1.60% | Semi-Annually | USD | 1,363,314 | 51,174 | 42,103 | 9,071 | |||||||||||||||||
30-Year Interest Rate Swap, 4/22/52 | Goldman Sachs International | 4/20/22 | 3-Month USD LIBOR BBA | Quarterly | 1.60% | Semi-Annually | USD | 1,363,000 | 51,467 | 42,228 | 9,239 | |||||||||||||||||
10-Year Interest Rate Swap, 4/25/32 | Morgan Stanley & Co. LLC | 4/21/22 | 3-Month USD LIBOR BBA | Quarterly | 1.30% | Semi-Annually | USD | 2,892,513 | 35,231 | 34,498 | 733 | |||||||||||||||||
1-Year Interest Rate Swap, 3/20/24 | Morgan Stanley & Co. LLC | 3/16/23 | 3-Month USD LIBOR BBA | Quarterly | 0.80% | Semi-Annually | USD | 36,619,299 | 88,044 | 116,450 | (28,406 | ) | ||||||||||||||||
$ | 249,838 | $ | 260,950 | $ | (11,112) | |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 7/12/26 | Goldman Sachs International | 7/08/21 | 1.37% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 7,269,767 | $ | 2 | $ | 18,802 | $ | (18,800 | ) | |||||||||||||
5-Year Interest Rate Swap, 7/12/26 | Goldman Sachs International | 7/08/21 | 1.37% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 1,817,000 | 1 | 4,485 | (4,484 | ) | ||||||||||||||||
30-Year Interest Rate Swap, 11/26/51 | Goldman Sachs International | 11/24/21 | 0.49% | Annually | 6-Month EURIBOR | Semi-Annually | EUR | 2,620,253 | 111,102 | 138,522 | (27,420 | ) | ||||||||||||||||
30-Year Interest Rate Swap, 12/13/51 | Goldman Sachs International | 12/09/21 | 0.52% | Annually | 6-Month EURIBOR | Semi-Annually | EUR | 2,432,972 | 97,808 | 121,905 | (24,097 | ) | ||||||||||||||||
10-Year Interest Rate Swap, 12/31/31 | Goldman Sachs International | 12/29/21 | 1.79% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 3,440,820 | 33,122 | 40,945 | (7,823 | ) | ||||||||||||||||
30-Year Interest Rate Swap, 11/18/51 | JP Morgan Chase Bank N.A. | 11/16/21 | 0.48% | Annually | 6-Month EURIBOR | Semi-Annually | EUR | 2,681,299 | 114,474 | 107,678 | 6,796 | |||||||||||||||||
1-Year Interest Rate Swap, 7/07/23 | Morgan Stanley & Co. LLC | 7/05/22 | 0.50% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 39,550,000 | 65,677 | 35,200 | 30,477 | |||||||||||||||||
$ | 422,186 | $ | 467,537 | $ | (45,351 | ) | ||||||||||||||||||||||
$ | 672,024 | $ | 728,487 | $ | (56,463 | ) |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
OTC Options Written | ||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Exercise Price | No. of Contracts | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
adidas AG | Barclays Bank PLC | 7/16/21 | 330.00 | 1,119 | EUR | 369,270 | $ | (1,846 | ) | $ | (2,983 | ) | $ | 1,137 | ||||||||||||||||
Safran SA | Barclays Bank PLC | 7/16/21 | 140.00 | 2,819 | EUR | 394,660 | (232 | ) | (2,891 | ) | 2,659 | |||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE | Barclays Bank PLC | 8/20/21 | 715.00 | 674 | EUR | 481,910 | (3,641 | ) | (5,314 | ) | 1,673 | |||||||||||||||||||
SPDR Gold Shares (h) | Citibank N.A. | 7/16/21 | 192.00 | 2,270 | USD | 435,840 | (5 | ) | (1,339 | ) | 1,334 | |||||||||||||||||||
D.R. Horton, Inc. | Citibank N.A. | 8/20/21 | 97.50 | 7,365 | USD | 718,088 | (13,706 | ) | (11,048 | ) | (2,658 | ) | ||||||||||||||||||
Disco Corp. | Goldman Sachs International | 7/08/21 | 35,593.19 | 200 | JPY | 7,118,638 | (122 | ) | (553 | ) | 431 | |||||||||||||||||||
FANUC Corp. | Goldman Sachs International | 7/08/21 | 28,144.32 | 300 | JPY | 8,443,296 | (123 | ) | (657 | ) | 534 | |||||||||||||||||||
FANUC Corp. | Goldman Sachs International | 8/13/21 | 29,683.18 | 307 | JPY | 9,112,736 | (386 | ) | (611 | ) | 225 | |||||||||||||||||||
Recruit Holdings Co Ltd. | Goldman Sachs International | 8/13/21 | 6,191.74 | 1,574 | JPY | 9,745,799 | (298 | ) | (909 | ) | 611 | |||||||||||||||||||
Sony Corp. | Goldman Sachs International | 8/13/21 | 11,899.94 | 827 | JPY | 9,841,250 | (468 | ) | (660 | ) | 192 | |||||||||||||||||||
Disco Corp. | JP Morgan Chase Bank N.A. | 8/13/21 | 38,689.39 | 170 | JPY | 6,577,195 | (181 | ) | (505 | ) | 324 | |||||||||||||||||||
HOYA Corp. | JP Morgan Chase Bank N.A. | 8/13/21 | 16,625.69 | 2,422 | JPY | 40,267,423 | (805 | ) | (2,408 | ) | 1,603 | |||||||||||||||||||
Keyence Corp. | JP Morgan Chase Bank N.A. | 8/13/21 | 63,543.85 | 131 | JPY | 8,324,244 | (105 | ) | (384 | ) | 279 | |||||||||||||||||||
Shin-Etsu Chemical Co., Ltd. | JP Morgan Chase Bank N.A. | 8/13/21 | 20,481.09 | 1,847 | JPY | 37,828,572 | (1,585 | ) | (1,742 | ) | 157 | |||||||||||||||||||
Keyence Corp. | Morgan Stanley & Co. LLC | 7/08/21 | 58,916.55 | 100 | JPY | 5,891,655 | (30 | ) | (405 | ) | 375 | |||||||||||||||||||
Kose Corp. | Morgan Stanley & Co. LLC | 7/08/21 | 18,949.54 | 500 | JPY | 9,474,771 | (18 | ) | (628 | ) | 610 | |||||||||||||||||||
Sony Corp. | Morgan Stanley & Co. LLC | 7/08/21 | 11,765.40 | 800 | JPY | 9,412,318 | (7 | ) | (538 | ) | 531 | |||||||||||||||||||
USD Call MXN Put | Morgan Stanley & Co. LLC | 7/28/21 | 20.75 | 4,392,000 | USD | 4,392,000 | (13,295 | ) | (11,885 | ) | (1,410 | ) | ||||||||||||||||||
Kose Corp. | Morgan Stanley & Co. LLC | 8/13/21 | 19,925.43 | 489 | JPY | 9,743,534 | (275 | ) | (497 | ) | 222 | |||||||||||||||||||
USD Call MXN Put | Morgan Stanley & Co. LLC | 9/29/21 | 21.50 | 4,392,000 | USD | 4,392,000 | (26,532 | ) | (25,223 | ) | (1,309 | ) | ||||||||||||||||||
NXP Semiconductors NV | Nomura International PLC | 8/20/21 | 225.00 | 32 | USD | 720,000 | (10,622 | ) | (7,169 | ) | (3,453 | ) | ||||||||||||||||||
Autodesk, Inc. | Nomura International PLC | 9/17/21 | 325.00 | 5,463 | USD | 1,775,475 | (24,567 | ) | (20,759 | ) | (3,808 | ) | ||||||||||||||||||
NXP Semiconductors NV | UBS AG | 7/16/21 | 230.00 | 3,651 | USD | 839,730 | (877 | ) | (7,411 | ) | 6,534 | |||||||||||||||||||
$ | (99,726 | ) | $ | (106,519 | ) | $ | 6,793 | |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
USD Put RUB Call | Bank of America N.A. | 8/26/21 | 70.00 | 3,718,766 | USD | 3,718,766 | $ | (4,652 | ) | $ | (11,186 | ) | $ | 6,534 | ||||||||||||||||
adidas AG | Barclays Bank PLC | 7/16/21 | 270.00 | 1,119 | EUR | 302,130 | (378 | ) | (6,157 | ) | 5,779 | |||||||||||||||||||
Safran SA | Barclays Bank PLC | 7/16/21 | 110.00 | 2,819 | EUR | 310,090 | (2,865 | ) | (8,185 | ) | 5,320 | |||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE | Barclays Bank PLC | 8/20/21 | 605.00 | 674 | EUR | 407,770 | (4,716 | ) | (8,175 | ) | 3,459 | |||||||||||||||||||
EUR Put USD Call | BNP Paribas SA | 7/30/21 | 1.17 | 7,688,660 | EUR | 7,688,660 | (11,195 | ) | (11,213 | ) | 18 |
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) | ||||||||||||||||||||||
EUR Put USD Call | BNP Paribas SA | 8/02/21 | 1.15 | 7,926,270 | EUR | 7,926,270 | $ | (2,820 | ) | $ | (34,349 | ) | $ | 31,529 | ||||||||||||||||
SPDR Gold Shares (h) | Citibank N.A. | 7/16/21 | 157.00 | 12,304 | USD | 1,931,728 | (3,023 | ) | (8,859 | ) | 5,836 | |||||||||||||||||||
D.R. Horton, Inc. | Citibank N.A. | 8/20/21 | 82.50 | 7,365 | USD | 607,613 | (11,797 | ) | (20,990 | ) | 9,193 | |||||||||||||||||||
Edwards Lifesciences Corp. | Citibank N.A. | 8/20/21 | 87.50 | 4,134 | USD | 361,725 | (2,144 | ) | (7,431 | ) | 5,287 | |||||||||||||||||||
Intuitive Surgical, Inc. | Citibank N.A. | 8/20/21 | 760.00 | 476 | USD | 361,760 | (2,040 | ) | (7,389 | ) | 5,349 | |||||||||||||||||||
Amazon.com, Inc. | Citibank N.A. | 6/17/22 | 2,800.00 | 133 | USD | 372,400 | (17,008 | ) | (19,337 | ) | 2,329 | |||||||||||||||||||
United Rentals, Inc. | Credit Suisse International | 9/17/21 | 280.00 | 1,200 | USD | 336,000 | (9,495 | ) | (9,601 | ) | 106 | |||||||||||||||||||
Euro Stoxx 50 Index | Credit Suisse International | 12/17/21 | 3,500.00 | 453 | EUR | 1,585,500 | (32,339 | ) | (28,952 | ) | (3,387 | ) | ||||||||||||||||||
Euro Stoxx 50 Index | Goldman Sachs International | 8/20/21 | 3,725.00 | 294 | EUR | 1,095,150 | (8,482 | ) | (9,381 | ) | 899 | |||||||||||||||||||
USD Put RUB Call | JP Morgan Chase Bank N.A. | 7/27/21 | 70.00 | 1,429,296 | USD | 1,429,296 | (272 | ) | (1,444 | ) | 1,172 | |||||||||||||||||||
USD Put ZAR Call | JP Morgan Chase Bank N.A. | 8/26/21 | 13.25 | 2,938,732 | USD | 2,938,732 | (2,460 | ) | (19,040 | ) | 16,580 | |||||||||||||||||||
USD Put MXN Call | Morgan Stanley & Co. LLC | 8/25/21 | 19.25 | 3,992,662 | USD | 3,992,662 | (10,465 | ) | (24,479 | ) | 14,014 | |||||||||||||||||||
Autodesk, Inc. | Nomura International PLC | 9/17/21 | 250.00 | 3,790 | USD | 947,500 | (12,918 | ) | (26,909 | ) | 13,991 | |||||||||||||||||||
NXP Semiconductors NV | UBS AG | 7/16/21 | 170.00 | 3,651 | USD | 620,670 | (458 | ) | (13,618 | ) | 13,160 | |||||||||||||||||||
$ | (139,527 | ) | $ | (276,695 | ) | $ | 137,168 | |||||||||||||||||||||||
$ | (239,253 | ) | $ | (383,214 | ) | $ | 143,961 |
Exchange-Traded Options Written | ||||||||||||||||||||||||||||
Description | Expiration Date | Exercise Price | No. of Contracts | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Alphabet, Inc. | 7/16/21 | 2,800.00 | 3 | USD | 840,000 | $ | (180 | ) | $ | (2,393 | ) | $ | 2,213 | |||||||||||||||
Amazon.com, Inc. | 7/16/21 | 4,100.00 | 2 | USD | 820,000 | (214 | ) | (4,030 | ) | 3,816 | ||||||||||||||||||
Apple, Inc. | 7/16/21 | 155.00 | 54 | USD | 837,000 | (270 | ) | (4,469 | ) | 4,199 | ||||||||||||||||||
Applied Materials, Inc. | 7/16/21 | 155.00 | 54 | USD | 837,000 | (3,240 | ) | (12,677 | ) | 9,437 | ||||||||||||||||||
Crowdstrike Holdings, Inc. | 7/16/21 | 250.00 | 18 | USD | 450,000 | (16,200 | ) | (7,520 | ) | (8,680 | ) | |||||||||||||||||
Freeport-McMoRan, Inc. | 7/16/21 | 41.00 | 28 | USD | 114,800 | (756 | ) | (952 | ) | 196 | ||||||||||||||||||
iShares MSCI Emerging Markets ETF | 7/16/21 | 61.00 | 438 | USD | 2,671,800 | (121 | ) | (4,716 | ) | 4,595 | ||||||||||||||||||
Mastercard, Inc. | 7/16/21 | 440.00 | 19 | USD | 836,000 | (228 | ) | (4,708 | ) | 4,480 | ||||||||||||||||||
Microsoft Corp. | 7/16/21 | 290.00 | 29 | USD | 841,000 | (493 | ) | (2,922 | ) | 2,429 | ||||||||||||||||||
NVIDIA Corp. | 7/16/21 | 660.00 | 7 | USD | 462,000 | (101,710 | ) | (14,927 | ) | (86,783 | ) | |||||||||||||||||
Ringcentral, Inc. | 7/16/21 | 390.00 | 6 | USD | 234,000 | (71 | ) | (1,618 | ) | 1,547 | ||||||||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 7/16/21 | 110.00 | 23 | USD | 253,000 | (828 | ) | (1,490 | ) | 662 | ||||||||||||||||||
Twilio, Inc. | 7/16/21 | 450.00 | 5 | USD | 225,000 | (768 | ) | (4,188 | ) | 3,420 | ||||||||||||||||||
Amazon.com, Inc. | 8/20/21 | 3,900.00 | 4 | USD | 1,560,000 | (7,672 | ) | (13,820 | ) | 6,148 | ||||||||||||||||||
Capital One Financial Corp. | 8/20/21 | 160.00 | 36 | USD | 576,000 | (16,740 | ) | (14,364 | ) | (2,376 | ) |
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) | |||||||||||||||||||||
Conocophillips | 8/20/21 | 75.00 | 119 | USD | 892,500 | $ | (2,737 | ) | $ | (6,154 | ) | $ | 3,417 | |||||||||||||||
Energy Select Sector SPDR Fund | 8/20/21 | 65.00 | 565 | USD | 3,672,500 | (12,430 | ) | (22,702 | ) | 10,272 | ||||||||||||||||||
Facebook, Inc. | 8/20/21 | 365.00 | 45 | USD | 1,642,500 | (40,950 | ) | (31,456 | ) | (9,494 | ) | |||||||||||||||||
Freeport-McMoRan, Inc. | 8/20/21 | 46.00 | 56 | USD | 257,600 | (2,408 | ) | (2,521 | ) | 113 | ||||||||||||||||||
Global Payments, Inc. | 8/20/21 | 230.00 | 34 | USD | 782,000 | (1,547 | ) | (7,064 | ) | 5,517 | ||||||||||||||||||
Mastercard, Inc. | 8/20/21 | 400.00 | 36 | USD | 1,440,000 | (8,640 | ) | (11,619 | ) | 2,979 | ||||||||||||||||||
Mastercard, Inc. | 8/20/21 | 450.00 | 39 | USD | 1,755,000 | (975 | ) | (16,332 | ) | 15,357 | ||||||||||||||||||
Western Digital Corp. | 8/20/21 | 100.00 | 34 | USD | 340,000 | (1,462 | ) | (1,347 | ) | (115 | ) | |||||||||||||||||
Zscaler, Inc. | 8/20/21 | 250.00 | 20 | USD | 500,000 | (5,140 | ) | (5,340 | ) | 200 | ||||||||||||||||||
SPDR S&P 500 Trust | 9/17/21 | 454.00 | 565 | USD | 25,651,000 | (75,710 | ) | (74,749 | ) | (961 | ) | |||||||||||||||||
Wells Fargo & Co. | 9/17/21 | 52.50 | 164 | USD | 861,000 | (8,856 | ) | (6,182 | ) | (2,674 | ) | |||||||||||||||||
Diamondback Energy, Inc. | 12/17/21 | 130.00 | 37 | USD | 481,000 | (12,210 | ) | (11,105 | ) | (1,105 | ) | |||||||||||||||||
Diamondback Energy, Inc. | 12/17/21 | 135.00 | 62 | USD | 837,000 | (16,740 | ) | (15,361 | ) | (1,379 | ) | |||||||||||||||||
SPDR S&P 500 Trust | 12/17/21 | 455.00 | 71 | USD | 3,230,500 | (37,062 | ) | (32,867 | ) | (4,195 | ) | |||||||||||||||||
Caesars Entertainment Corp. | 1/21/22 | 130.00 | 21 | USD | 273,000 | (10,815 | ) | (11,529 | ) | 714 | ||||||||||||||||||
Devon Energy Corp. | 1/21/22 | 38.00 | 131 | USD | 497,800 | (18,602 | ) | (16,663 | ) | (1,939 | ) | |||||||||||||||||
Devon Energy Corp. | 1/21/22 | 40.00 | 106 | USD | 424,000 | (12,084 | ) | (10,853 | ) | (1,231 | ) | |||||||||||||||||
$ | (417,859 | ) | $ | (378,638 | ) | $ | (39,221 | ) | ||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
SPDR S&P 500 Trust | 7/02/21 | 390.00 | 200 | USD | 7,800,000 | $ | (200 | ) | $ | (54,434 | ) | $ | 54,234 | |||||||||||||||
Alphabet, Inc. | 7/16/21 | 2,100.00 | 3 | USD | 630,000 | (240 | ) | (5,693 | ) | 5,453 | ||||||||||||||||||
Amazon.com, Inc. | 7/16/21 | 3,000.00 | 2 | USD | 600,000 | (668 | ) | (5,168 | ) | 4,500 | ||||||||||||||||||
Apple, Inc. | 7/16/21 | 115.00 | 54 | USD | 621,000 | (486 | ) | (5,819 | ) | 5,333 | ||||||||||||||||||
Applied Materials, Inc. | 7/16/21 | 115.00 | 108 | USD | 1,242,000 | (1,296 | ) | (28,227 | ) | 26,931 | ||||||||||||||||||
Autodesk, Inc. | 7/16/21 | 240.00 | 25 | USD | 600,000 | (675 | ) | (7,333 | ) | 6,658 | ||||||||||||||||||
Crowdstrike Holdings, Inc. | 7/16/21 | 170.00 | 18 | USD | 306,000 | (126 | ) | (7,286 | ) | 7,160 | ||||||||||||||||||
D.R. Horton, Inc. | 7/16/21 | 80.00 | 71 | USD | 568,000 | (710 | ) | (8,955 | ) | 8,245 | ||||||||||||||||||
Invesco QQQ Trust | 7/16/21 | 295.00 | 154 | USD | 4,543,000 | (2,310 | ) | (32,558 | ) | 30,248 | ||||||||||||||||||
iShares Russell 2000 ETF | 7/16/21 | 200.00 | 9 | USD | 180,000 | (144 | ) | (524 | ) | 380 | ||||||||||||||||||
Johnson Controls International PLC | 7/16/21 | 60.00 | 149 | USD | 894,000 | (63 | ) | (10,944 | ) | 10,881 | ||||||||||||||||||
Mastercard, Inc. | 7/16/21 | 330.00 | 19 | USD | 627,000 | (722 | ) | (6,364 | ) | 5,642 | ||||||||||||||||||
Mastercard, Inc. | 7/16/21 | 345.00 | 19 | USD | 655,500 | (2,280 | ) | (13,922 | ) | 11,642 | ||||||||||||||||||
Microsoft Corp. | 7/16/21 | 215.00 | 29 | USD | 623,500 | (261 | ) | (4,546 | ) | 4,285 | ||||||||||||||||||
Pultegroup, Inc. | 7/16/21 | 50.00 | 42 | USD | 210,000 | (714 | ) | (4,675 | ) | 3,961 | ||||||||||||||||||
Ralph Lauren Corp. | 7/16/21 | 115.00 | 32 | USD | 368,000 | (6,848 | ) | (5,966 | ) | (882 | ) | |||||||||||||||||
Ringcentral, Inc. | 7/16/21 | 260.00 | 6 | USD | 156,000 | (720 | ) | (2,747 | ) | 2,027 | ||||||||||||||||||
salesforce.com, Inc. | 7/16/21 | 185.00 | 33 | USD | 610,500 | (165 | ) | (6,535 | ) | 6,370 | ||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 7/16/21 | 105.00 | 16 | USD | 168,000 | (85 | ) | (464 | ) | 379 | ||||||||||||||||||
Twilio, Inc. | 7/16/21 | 300.00 | 5 | USD | 150,000 | (215 | ) | (4,589 | ) | 4,374 | ||||||||||||||||||
Mercadolibre, Inc. | 7/30/21 | 1,300.00 | 5 | USD | 650,000 | (3,250 | ) | (11,367 | ) | 8,117 | ||||||||||||||||||
Amazon.com, Inc. | 8/20/21 | 2,800.00 | 2 | USD | 560,000 | (2,304 | ) | (8,289 | ) | 5,985 | ||||||||||||||||||
Comcast Corp. | 8/20/21 | 52.50 | 39 | USD | 204,750 | (2,847 | ) | (2,958 | ) | 111 | ||||||||||||||||||
Facebook, Inc. | 8/20/21 | 305.00 | 25 | USD | 762,500 | (8,525 | ) | (14,225 | ) | 5,700 |
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) | |||||||||||||||||||||
Global Payments, Inc. | 8/20/21 | 170.00 | 36 | USD | 612,000 | $ | (7,200 | ) | $ | (7,912 | ) | $ | 712 | |||||||||||||||
Global Payments, Inc. | 8/20/21 | 185.00 | 34 | USD | 629,000 | (21,080 | ) | (19,984 | ) | (1,096 | ) | |||||||||||||||||
Las Vegas Sands Corp. | 8/20/21 | 50.00 | 37 | USD | 185,000 | (7,178 | ) | (3,910 | ) | (3,268 | ) | |||||||||||||||||
Mastercard, Inc. | 8/20/21 | 330.00 | 18 | USD | 594,000 | (5,454 | ) | (8,240 | ) | 2,786 | ||||||||||||||||||
Mastercard, Inc. | 8/20/21 | 340.00 | 28 | USD | 952,000 | (13,412 | ) | (19,929 | ) | 6,517 | ||||||||||||||||||
salesforce.com, Inc. | 8/20/21 | 220.00 | 20 | USD | 440,000 | (3,840 | ) | (6,909 | ) | 3,069 | ||||||||||||||||||
ServiceNow, Inc. | 8/20/21 | 410.00 | 15 | USD | 615,000 | (2,100 | ) | (13,047 | ) | 10,947 | ||||||||||||||||||
Trane Technologies PLC | 8/20/21 | 170.00 | 7 | USD | 119,000 | (1,260 | ) | (2,671 | ) | 1,411 | ||||||||||||||||||
Wells Fargo & Co. | 8/20/21 | 40.00 | 167 | USD | 668,000 | (8,350 | ) | (16,542 | ) | 8,192 | ||||||||||||||||||
Zscaler, Inc. | 8/20/21 | 190.00 | 20 | USD | 380,000 | (5,300 | ) | (10,380 | ) | 5,080 | ||||||||||||||||||
Advance Auto Parts, Inc. | 9/17/21 | 180.00 | 14 | USD | 252,000 | (3,570 | ) | (2,979 | ) | (591 | ) | |||||||||||||||||
Alphabet, Inc. | 9/17/21 | 2,100.00 | 3 | USD | 630,000 | (4,830 | ) | (19,309 | ) | 14,479 | ||||||||||||||||||
Amazon.com, Inc. | 9/17/21 | 3,000.00 | 2 | USD | 600,000 | (7,212 | ) | (20,461 | ) | 13,249 | ||||||||||||||||||
Carrier Global Corp. | 9/17/21 | 43.00 | 83 | USD | 356,900 | (5,395 | ) | (18,719 | ) | 13,324 | ||||||||||||||||||
Deere & Co. | 9/17/21 | 320.00 | 5 | USD | 160,000 | (3,275 | ) | (6,389 | ) | 3,114 | ||||||||||||||||||
EQT Corp. | 9/17/21 | 17.00 | 228 | USD | 387,600 | (9,120 | ) | (19,637 | ) | 10,517 | ||||||||||||||||||
Fedex Corp. | 9/17/21 | 270.00 | 16 | USD | 432,000 | (7,376 | ) | (8,124 | ) | 748 | ||||||||||||||||||
Freeport-McMoRan, Inc. | 9/17/21 | 32.00 | 60 | USD | 192,000 | (6,540 | ) | (7,408 | ) | 868 | ||||||||||||||||||
Illinois Tool Works, Inc. | 9/17/21 | 200.00 | 28 | USD | 560,000 | (5,880 | ) | (6,326 | ) | 446 | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 9/17/21 | 81.00 | 537 | USD | 4,349,700 | (13,425 | ) | (21,891 | ) | 8,466 | ||||||||||||||||||
Microsoft Corp. | 9/17/21 | 225.00 | 28 | USD | 630,000 | (3,584 | ) | (17,687 | ) | 14,103 | ||||||||||||||||||
Wells Fargo & Co. | 9/17/21 | 40.00 | 164 | USD | 656,000 | (13,612 | ) | (17,897 | ) | 4,285 | ||||||||||||||||||
Nucor Corp. | 10/15/21 | 92.50 | 37 | USD | 342,250 | (23,680 | ) | (20,398 | ) | (3,282 | ) | |||||||||||||||||
TE Connectivity Ltd. | 10/15/21 | 125.00 | 17 | USD | 212,500 | (5,780 | ) | (5,712 | ) | (68 | ) | |||||||||||||||||
Parker-Hannifin Corp. | 11/19/21 | 250.00 | 21 | USD | 525,000 | (9,660 | ) | (9,884 | ) | 224 | ||||||||||||||||||
$ | (233,967 | ) | $ | (565,933 | ) | $ | 331,966 | |||||||||||||||||||||
$ | (651,826 | ) | $ | (944,571 | ) | $ | 292,745 |
Credit Default Index Swaptions Written | |||||||||||||||||||||||||||||||||
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 | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Put | |||||||||||||||||||||||||||||||||
Sold Protection on 5-Year Credit Default Swap, 6/20/26 | Morgan Stanley & Co. LLC | 7/21/21 | 80.00 | CDX.NA.IG Series 36 | Quarterly | 1.000% | Semi-Annually | USD | 2,855,000 | $ | (49) | $ | (1,999) | $ | 1,950 |
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 | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 8/26/31 | Goldman Sachs International | 8/24/21 | 0.02% | Annually | 6-Month EURIBOR | Semi-Annually | EUR | 2,752,656 | $ | (6,640) | $ | (7,549) | $ | 909 | ||||||||||||||
10-Year Interest Rate Swap, 9/22/31 | Morgan Stanley & Co. LLC | 9/20/21 | 0.55% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 1,502,814 | (390) | (19,370) | 18,980 | |||||||||||||||||
1-Year Interest Rate Swap, 3/20/24 | Morgan Stanley & Co. LLC | 3/16/23 | 0.40% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 36,619,299 | (26,944) | (40,281) | 13,337 | |||||||||||||||||
1-Year Interest Rate Swap, 3/20/24 | Morgan Stanley & Co. LLC | 3/16/23 | 0.60% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD | 36,619,299 | (51,703) | (69,577) | 17,874 | |||||||||||||||||
(85,677) | (136,777) | 51,100 | ||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 6/17/31 | Barclays Bank PLC | 6/15/26 | 3-Month USD LIBOR BBA | Quarterly | 3.04 | Semi-Annually | USD | 5,700,000 | $ | (76,080) | $ | (95,475) | $ | 19,395 | ||||||||||||||
5-Year Interest Rate Swap, 6/17/31 | Barclays Bank PLC | 6/15/26 | 3-Month USD LIBOR BBA | Quarterly | 3.04 | Semi-Annually | USD | 5,696,231 | (76,029) | (95,269) | 19,240 | |||||||||||||||||
10-Year Interest Rate Swap, 7/12/31 | Goldman Sachs International | 7/08/21 | 3-Month USD LIBOR BBA | Quarterly | 2.15 | Semi-Annually | USD | 1,905,000 | — | (8,417) | 8,417 | |||||||||||||||||
30-Year Interest Rate Swap, 7/12/51 | Goldman Sachs International | 7/08/21 | 3-Month USD LIBOR BBA | Quarterly | 2.53 | Semi-Annually | USD | 727,000 | — | (6,752) | 6,752 | |||||||||||||||||
30-Year Interest Rate Swap, 7/12/51 | Goldman Sachs International | 7/08/21 | 3-Month USD LIBOR BBA | Quarterly | 2.53 | Semi-Annually | USD | 726,877 | — | (6,578) | 6,578 | |||||||||||||||||
10-Year Interest Rate Swap, 7/28/31 | Goldman Sachs International | 7/26/21 | 3-Month USD LIBOR BBA | Quarterly | 1.73 | Semi-Annually | USD | 4,816,594 | (2,989) | (29,832) | 26,843 | |||||||||||||||||
10-Year Interest Rate Swap, 8/26/31 | Goldman Sachs International | 8/24/21 | 3-Month USD LIBOR BBA | Quarterly | 1.72 | Semi-Annually | USD | 3,440,820 | (9,432) | (14,796) | 5,364 | |||||||||||||||||
10-Year Interest Rate Swap, 9/02/31 | Goldman Sachs International | 8/31/21 | 3-Month USD LIBOR BBA | Quarterly | 1.75 | Semi-Annually | USD | 5,308,094 | (15,149) | (42,429) | 27,280 | |||||||||||||||||
30-Year Interest Rate Swap, 9/02/51 | Goldman Sachs International | 8/31/21 | 3-Month USD LIBOR BBA | Quarterly | 2.19 | Semi-Annually | USD | 2,654,047 | (9,610) | (43,234) | 33,624 | |||||||||||||||||
30-Year Interest Rate Swap, 11/26/51 | Goldman Sachs International | 11/24/21 | 6-Month EURIBOR | Semi-Annually | 0.79 | Annually | EUR | 2,620,253 | (33,049) | (60,424) | 27,375 | |||||||||||||||||
10-Year Interest Rate Swap, 11/30/31 | Goldman Sachs International | 11/26/21 | 3-Month USD LIBOR BBA | Quarterly | 1.85 | Semi-Annually | USD | 4,816,594 | (31,766) | (65,692) | 33,926 | |||||||||||||||||
30-Year Interest Rate Swap, 12/07/51 | Goldman Sachs International | 12/03/21 | 3-Month USD LIBOR BBA | Quarterly | 2.32 | Semi-Annually | USD | 1,492,546 | (13,789) | (35,441) | 21,652 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Description | Counterparty | Expiration Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premium Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
30-Year Interest Rate Swap, 12/13/51 | Goldman Sachs International | 12/09/21 | 6-Month EURIBOR | Semi-Annually | 0.82 | Annually | EUR | 2,432,972 | $ | (30,050) | $ | (52,121) | $ | 22,071 | ||||||||||||||
10-Year Interest Rate Swap, 1/28/32 | Goldman Sachs International | 1/26/22 | 3-Month USD LIBOR BBA | Quarterly | 1.76 | Semi-Annually | USD | 6,955,806 | (84,117) | (57,907) | (26,210) | |||||||||||||||||
10-Year Interest Rate Swap, 1/28/32 | Goldman Sachs International | 1/26/22 | 3-Month USD LIBOR BBA | Quarterly | 1.76 | Semi-Annually | USD | 3,477,903 | (42,059) | (28,258) | (13,801) | |||||||||||||||||
30-Year Interest Rate Swap, 4/22/52 | Goldman Sachs International | 4/20/22 | 3-Month USD LIBOR BBA | Quarterly | 2.60 | Semi-Annually | USD | 1,363,314 | (14,417) | (41,695) | 27,278 | |||||||||||||||||
30-Year Interest Rate Swap, 4/22/52 | Goldman Sachs International | 4/20/22 | 3-Month USD LIBOR BBA | Quarterly | 2.60 | Semi-Annually | USD | 1,363,000 | (14,380) | (41,819) | 27,439 | |||||||||||||||||
30-Year Interest Rate Swap, 11/18/51 | JP Morgan Chase Bank N.A. | 11/16/21 | 6-Month EURIBOR | Semi-Annually | 0.78 | Annually | EUR | 2,681,299 | (32,355) | (34,283) | 1,928 | |||||||||||||||||
10-Year Interest Rate Swap, 9/22/31 | Morgan Stanley & Co. LLC | 9/20/21 | 3-Month USD LIBOR BBA | Quarterly | 1.40 | Semi-Annually | USD | 3,005,629 | (49,440) | (20,018) | (29,422) | |||||||||||||||||
10-Year Interest Rate Swap, 4/25/32 | Morgan Stanley & Co. LLC | 4/21/22 | 3-Month USD LIBOR BBA | Quarterly | 2.30 | Semi-Annually | USD | 2,892,513 | (16,927) | (41,008) | 24,081 | |||||||||||||||||
5-Year Interest Rate Swap, 7/2/31 | Morgan Stanley & Co. LLC | 6/30/26 | 3-Month USD LIBOR BBA | Quarterly | 3.04 | Semi-Annually | USD | 5,226,729 | (70,429) | (70,563) | 134 | |||||||||||||||||
(622,067) | (892,011) | 269,944 | ||||||||||||||||||||||||||
$ | (707,744) | $ | (1,028,788) | $ | 321,044 |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of America N.A. | 7/09/21 | JPY | 297,550,000 | USD | 2,692,286 | $ | (13,808) | |||||||||
Bank of America N.A. | 7/29/21 | JPY | 198,911,000 | USD | 1,825,841 | (34,987) | ||||||||||
Bank of America N.A. | 7/30/21 | JPY | 198,702,000 | USD | 1,825,813 | (36,825) | ||||||||||
Bank of America N.A. | 8/05/21 | USD | 2,870,464 | HKD | 22,293,000 | (926) | ||||||||||
Barclays Bank PLC | 7/22/21 | GBP | 17,000 | USD | 23,699 | (181) | ||||||||||
Barclays Bank PLC | 7/23/21 | GBP | 18,000 | USD | 25,093 | (192) | ||||||||||
Barclays Bank PLC | 8/20/21 | EUR | 3,014,591 | USD | 3,683,414 | (105,311) | ||||||||||
BNP Paribas SA | 7/08/21 | USD | 79,995 | CNH | 530,000 | (1,934) | ||||||||||
BNP Paribas SA | 7/08/21 | JPY | 288,769,000 | USD | 2,621,275 | (21,861) | ||||||||||
BNP Paribas SA | 7/14/21 | JPY | 215,042,168 | USD | 1,959,487 | (23,644) | ||||||||||
BNP Paribas SA | 7/15/21 | USD | 1,579,524 | BRL | 8,933,000 | (213,913) | ||||||||||
BNP Paribas SA | 8/05/21 | USD | 2,005,578 | CNH | 13,088,000 | (13,553) | ||||||||||
BNP Paribas SA | 8/06/21 | JPY | 225,280,000 | USD | 2,063,305 | (34,908) | ||||||||||
BNP Paribas SA | 8/12/21 | USD | 2,880,441 | HKD | 22,371,000 | (1,038) | ||||||||||
BNP Paribas SA | 8/19/21 | AUD | 2,293,711 | USD | 1,780,592 | (60,050) | ||||||||||
BNP Paribas SA | 9/16/21 | EUR | 209,000 | USD | 253,462 | (5,258) | ||||||||||
BNP Paribas SA | 9/17/21 | USD | 435,593 | INR | 32,083,583 | 7,556 | ||||||||||
BNP Paribas SA | 9/24/21 | GBP | 1,076,002 | EUR | 1,256,000 | (3,140) | ||||||||||
Citibank N.A. | 7/13/21 | USD | 1,056,000 | BRL | 6,060,912 | (161,069) | ||||||||||
Citibank N.A. | 7/14/21 | JPY | 173,295,832 | USD | 1,578,315 | (18,279) | ||||||||||
Citibank N.A. | 7/23/21 | INR | 54,013,000 | USD | 712,385 | 12,711 | ||||||||||
Citibank N.A. | 8/12/21 | EUR | 3,571,510 | USD | 4,343,181 | (104,719) | ||||||||||
Citibank N.A. | 8/13/21 | EUR | 2,811,239 | USD | 3,417,523 | (81,241) |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Citibank N.A. | 8/19/21 | KRW | 1,642,437,263 | USD | 1,457,871 | 252 | |||||||||||
Citibank N.A. | 9/09/21 | USD | 1,441,087 | BRL | 7,369,000 | (28,179) | |||||||||||
Citibank N.A. | 9/10/21 | USD | 356,000 | BRL | 1,809,192 | (4,680) | |||||||||||
Citibank N.A. | 9/24/21 | JPY | 116,934,942 | EUR | 882,000 | 5,692 | |||||||||||
Deutsche Bank AG | 7/21/21 | EUR | 2,023,145 | USD | 2,427,019 | (27,124) | |||||||||||
Deutsche Bank AG | 7/30/21 | EUR | 1,785,595 | USD | 2,166,933 | (48,436) | |||||||||||
Deutsche Bank AG | 8/19/21 | JPY | 247,444,000 | USD | 2,267,201 | (39,006) | |||||||||||
Deutsche Bank AG | 8/26/21 | JPY | 156,146,000 | USD | 1,425,114 | (18,964) | |||||||||||
Deutsche Bank AG | 9/23/21 | CAD | 1,602,997 | USD | 1,302,747 | (9,632) | |||||||||||
Deutsche Bank AG | 9/30/21 | USD | 1,789,529 | CNH | 11,637,251 | 1,321 | |||||||||||
Goldman Sachs International | 7/15/21 | JPY | 2,905,000 | USD | 26,470 | (319) | |||||||||||
Goldman Sachs International | 7/29/21 | GBP | 1,187,000 | USD | 1,636,577 | 5,535 | |||||||||||
Goldman Sachs International | 7/30/21 | JPY | 328,501,599 | EUR | 2,494,000 | (1,353) | |||||||||||
Goldman Sachs International | 8/11/21 | IDR | 6,982,959,090 | USD | 484,674 | (4,615) | |||||||||||
Goldman Sachs International | 9/09/21 | JPY | 340,615,324 | USD | 3,113,804 | (46,069) | |||||||||||
Goldman Sachs International | 9/10/21 | BRL | 1,823,930 | USD | 356,000 | 7,618 | |||||||||||
HSBC Bank PLC | 7/08/21 | USD | 2,692,469 | CNH | 17,835,000 | (64,505) | |||||||||||
HSBC Bank PLC | 7/15/21 | JPY | 292,451,000 | USD | 2,664,797 | (32,086) | |||||||||||
HSBC Bank PLC | 7/15/21 | JPY | 194,869,390 | EUR | 1,493,000 | (16,551) | |||||||||||
HSBC Bank PLC | 7/22/21 | GBP | 1,813,000 | USD | 2,527,485 | (19,410) | |||||||||||
HSBC Bank PLC | 7/23/21 | GBP | 1,812,000 | USD | 2,526,083 | (19,383) | |||||||||||
HSBC Bank PLC | 8/06/21 | USD | 1,172,404 | CNH | 7,651,000 | (7,860) | |||||||||||
HSBC Bank PLC | 8/11/21 | IDR | 3,439,367,910 | USD | 238,547 | (2,100) | |||||||||||
HSBC Bank PLC | 8/26/21 | USD | 2,094,131 | SEK | 17,307,000 | 70,829 | |||||||||||
HSBC Bank PLC | 9/09/21 | USD | 1,377,975 | CNH | 8,849,055 | 16,025 | |||||||||||
HSBC Bank PLC | 9/24/21 | USD | 3,591,517 | CNH | 23,349,527 | 1,928 | |||||||||||
JP Morgan Chase Bank N.A. | 7/09/21 | EUR | 3,000,000 | USD | 3,526,882 | 30,908 | |||||||||||
JP Morgan Chase Bank N.A. | 7/22/21 | USD | 1,771,695 | NOK | 14,767,000 | 56,452 | |||||||||||
JP Morgan Chase Bank N.A. | 7/29/21 | JPY | 2,598,000 | USD | 23,847 | (456) | |||||||||||
JP Morgan Chase Bank N.A. | 7/30/21 | JPY | 216,883,000 | USD | 2,008,153 | (55,475) | |||||||||||
JP Morgan Chase Bank N.A. | 8/05/21 | USD | 2,440,382 | GBP | 1,724,000 | 55,339 | |||||||||||
JP Morgan Chase Bank N.A. | 8/05/21 | JPY | 210,145,000 | USD | 1,931,782 | (39,675) | |||||||||||
JP Morgan Chase Bank N.A. | 8/06/21 | EUR | 1,187,605 | USD | 1,427,386 | (18,170) | |||||||||||
JP Morgan Chase Bank N.A. | 8/12/21 | JPY | 281,769,000 | USD | 2,596,991 | (59,850) | |||||||||||
JP Morgan Chase Bank N.A. | 8/12/21 | USD | 1,808,992 | EUR | 1,514,000 | 12,264 | |||||||||||
JP Morgan Chase Bank N.A. | 8/19/21 | JPY | 1,634,000 | USD | 14,973 | (259) | |||||||||||
JP Morgan Chase Bank N.A. | 8/20/21 | AUD | 1,951,477 | USD | 1,505,659 | (41,826) | |||||||||||
JP Morgan Chase Bank N.A. | 8/24/21 | KRW | 1,607,567,000 | USD | 1,425,401 | 1,745 | |||||||||||
JP Morgan Chase Bank N.A. | 8/26/21 | AUD | 409,035 | USD | 317,390 | (10,560) | |||||||||||
JP Morgan Chase Bank N.A. | 8/27/21 | AUD | 1,375,421 | USD | 1,064,191 | (32,441) | |||||||||||
JP Morgan Chase Bank N.A. | 9/02/21 | AUD | 1,533,025 | USD | 1,176,162 | (26,163) | |||||||||||
JP Morgan Chase Bank N.A. | 9/23/21 | USD | 2,500,486 | CNH | 16,296,920 | (5,077) | |||||||||||
Morgan Stanley & Co. LLC | 7/09/21 | PLN | 5,486,000 | EUR | 1,189,648 | 27,991 | |||||||||||
Morgan Stanley & Co. LLC | 7/14/21 | CHF | 3,296,000 | USD | 3,557,513 | 5,926 | |||||||||||
Morgan Stanley & Co. LLC | 7/15/21 | JPY | 261,062 | EUR | 2,000 | (22) | |||||||||||
Morgan Stanley & Co. LLC | 7/21/21 | USD | 2,473,917 | EUR | 2,023,145 | 74,022 | |||||||||||
Morgan Stanley & Co. LLC | 7/23/21 | EUR | 890,682 | USD | 1,078,270 | (21,682) | |||||||||||
Morgan Stanley & Co. LLC | 7/29/21 | JPY | 247,860,000 | USD | 2,271,807 | (40,250) | |||||||||||
Morgan Stanley & Co. LLC | 7/29/21 | USD | 1,642,800 | GBP | 1,187,000 | 688 | |||||||||||
Morgan Stanley & Co. LLC | 8/05/21 | GBP | 3,218,000 | USD | 4,472,215 | (20,319) | |||||||||||
Morgan Stanley & Co. LLC | 8/25/21 | KRW | 1,621,027,000 | USD | 1,442,837 | (3,746) | |||||||||||
State Street Bank and Trust Co. | 8/20/21 | USD | 3,600,800 | EUR | 3,014,591 | 22,697 | |||||||||||
UBS AG | 7/08/21 | JPY | 7,360,000 | USD | 66,811 | (558) | |||||||||||
UBS AG | 7/14/21 | USD | 1,818,842 | CHF | 1,628,000 | 58,745 | |||||||||||
UBS AG | 7/21/21 | JPY | 247,860,000 | USD | 2,271,157 | (39,751) | |||||||||||
UBS AG | 7/22/21 | AUD | 1,007,000 | USD | 781,492 | (26,215) | |||||||||||
UBS AG | 7/29/21 | MXN | 31,643,000 | USD | 1,566,548 | 15,599 | |||||||||||
UBS AG | 8/06/21 | JPY | 1,192,000 | USD | 10,920 | (187) | |||||||||||
UBS AG | 8/06/21 | USD | 44,895 | CNH | 293,000 | (304) | |||||||||||
UBS AG | 9/16/21 | USD | 255,248 | EUR | 209,000 | 7,044 | |||||||||||
UBS AG | 9/23/21 | USD | 1,760,010 | CNH | 11,473,000 | (3,901) | |||||||||||
UBS AG | 9/24/21 | USD | 109,041 | EUR | 91,763 | 46 | |||||||||||
$ | (1,275,063) |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
Euro-BTP | 9/08/21 | 83 | $ | 14,802,171 | $ | 99,186 | ||||||||
Euro-Bund | 9/08/21 | 21 | 4,291,586 | 6,533 | ||||||||||
Euro-Buxl 30 Year Bond | 9/08/21 | 4 | 948,437 | 15,530 | ||||||||||
Japan Bonds 10 Year | 9/13/21 | 6 | 8,193,547 | (1,099 | ) | |||||||||
Australia Bonds 10 Year | 9/15/21 | 102 | 10,837,758 | (37,518 | ) | |||||||||
S&P TSX 60 Index | 9/16/21 | 3 | 578,226 | 3,913 | ||||||||||
DAX Index | 9/17/21 | 6 | 2,803,485 | (41,636 | ) | |||||||||
E-mini Russell 2000 Index | 9/17/21 | 69 | 8,040,991 | (79,081 | ) | |||||||||
Euro Stoxx 50 Index | 9/17/21 | 91 | 4,466,303 | (90,286 | ) | |||||||||
FTSE 100 Index | 9/17/21 | 27 | 2,651,090 | (43,936 | ) | |||||||||
FTSE MIB Index | 9/17/21 | 9 | 1,362,128 | (27,946 | ) | |||||||||
Mini MSCI Emerging Market Index | 9/17/21 | 12 | 822,805 | (3,925 | ) | |||||||||
U.S. Treasury Long Bond | 9/21/21 | 19 | 2,983,477 | 70,773 | ||||||||||
U.S. Treasury Note 10 Year | 9/21/21 | 77 | 10,174,336 | 28,164 | ||||||||||
U.S. Treasury Ultra Bond | 9/21/21 | 15 | 2,856,973 | 33,340 | ||||||||||
U.S. Treasury Note 5 Year | 9/30/21 | 380 | 46,966,290 | (63,009 | ) | |||||||||
$ | (130,997 | ) | ||||||||||||
Short | ||||||||||||||
Yen Denom Nikkei Index | 9/09/21 | 1 | $ | (129,860 | ) | $ | 400 | |||||||
Nasdaq 100 E Mini Index | 9/17/21 | 47 | (13,147,035 | ) | (529,025 | ) | ||||||||
S&P 500 E Mini Index | 9/17/21 | 279 | (59,107,727 | ) | (718,243 | ) | ||||||||
U.S. Treasury Note Ultra 10 Year | 9/21/21 | 312 | (45,326,641 | ) | (600,734 | ) | ||||||||
UK Long Gilt | 9/28/21 | 33 | (5,810,831 | ) | (36,792 | ) | ||||||||
U.S. Treasury Note 2 Year | 9/30/21 | 365 | (80,474,012 | ) | 57,098 | |||||||||
$ | (1,827,296 | ) |
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 | 12/20/2024 | USD | 22,361,180 | $ | (447,648 | ) | $ | (493,336 | ) | $ | 45,688 | |||||||||||
CDX.NA.IG Series 36† | 1.000% | Quarterly | 6/20/2026 | USD | 1,398,129 | (35,505 | ) | (34,695 | ) | (810 | ) | |||||||||||||
$ | (483,153 | ) | $ | (528,031 | ) | $ | 44,878 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
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) | ||||||||||||||||||
Bombardier, Inc. | 5.000% | Quarterly | Barclays Bank PLC | 6/20/23 | USD | 230,995 | $ | (9,958 | ) | $ | 33,494 | $ | (43,452 | ) |
Centrally Cleared Credit Default Swap - 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 34† | 5.000% | Quarterly | 12/20/25 | BB | EUR | 1,860,490 | $ | 281,352 | $ | 173,481 | $ | 107,871 | ||||||||||||||
iTraxx Europe Crossover Series 35† | 5.000% | Quarterly | 6/20/26 | BB | EUR | 1,372,000 | 201,749 | 203,245 | (1,496 | ) | ||||||||||||||||
CDX.NA.HY Series 34† | 5.000% | Quarterly | 6/20/25 | BB | USD | 1,320,296 | 130,613 | 70,741 | 59,872 | |||||||||||||||||
$ | 613,714 | $ | 447,467 | $ | 166,247 |
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) | |||||||||||||||||||
Bombardier, Inc. | 5.000% | Quarterly | Barclays Bank PLC | CCC | 12/20/21 | USD | 350,000 | $ | 5,951 | $ | (17,500 | ) | $ | 23,451 |
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 | 18,349,315 | $ | 5,362 | $ | 3,250 | $ | 2,112 | ||||||||||||||
28 Day- MXN-TIIE-Banxico | Monthly | Fixed 4.415% | Monthly | 2/28/23 | MXN | 25,811,467 | (31,912 | ) | 10 | (31,922 | ) | |||||||||||||||
28 Day- MXN-TIIE-Banxico | Monthly | Fixed 4.495% | Monthly | 3/03/23 | MXN | 25,803,353 | (30,425 | ) | 10 | (30,435 | ) | |||||||||||||||
28 Day- MXN-TIIE-Banxico | Monthly | Fixed 4.680% | Monthly | 2/27/24 | MXN | 18,315,395 | (35,643 | ) | 7 | (35,650 | ) | |||||||||||||||
28 Day- MXN-TIIE-Banxico | Monthly | Fixed 4.855% | Monthly | 3/01/24 | MXN | 18,315,395 | (31,734 | ) | 7 | (31,741 | ) | |||||||||||||||
Fixed 1.060% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 3/27/22 | USD | 27,703,212 | (183,052 | ) | 218 | (183,270 | ) |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Fixed 0.880% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 8/17/22 | USD | 15,490,278 | (120,130 | ) | 122 | (120,252 | ) | |||||||||||||||
Fixed 0.398% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 3/08/24 | USD | 23,190,000 | 56,138 | 184 | 55,954 | |||||||||||||||||
Fixed 0.526% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 6/06/24 | USD | 5,548,326 | 22,394 | 43 | 22,351 | |||||||||||||||||
Fixed 0.574% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 6/28/24 | USD | 5,258,177 | (1,080 | ) | 66 | (1,146 | ) | |||||||||||||||
Fixed 1.600% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 1/24/25 | USD | 10,965,933 | (350,329 | ) | 286 | (350,615 | ) | |||||||||||||||
Fixed 0.351% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 8/27/25 | USD | 4,334,000 | 82,673 | 54 | 82,619 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.370% | Semi-Annually | 10/29/25 | USD | 12,517,428 | (257,227 | ) | 157 | (257,384 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.455% | Semi-Annually | 11/23/25 | USD | 3,480,000 | (61,173 | ) | 44 | (61,217 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.385% | Semi-Annually | 2/10/26 | USD | 8,745,368 | (204,833 | ) | 109 | (204,942 | ) | |||||||||||||||
Fixed 0.682% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/19/26 | USD | 4,277,961 | 43,204 | 53 | 43,151 | |||||||||||||||||
Fixed 0.700% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/22/26 | USD | 1,169,132 | 10,932 | 15 | 10,917 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.834% | Semi-Annually | 3/08/26 | USD | 14,230,000 | (46,859 | ) | 177 | (47,036 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.850% | Semi-Annually | 4/08/26 | USD | 20,612,004 | (68,030 | ) | 259 | (68,289 | ) | |||||||||||||||
Fixed 0.620% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 4/08/26 | USD | 8,487,296 | 120,049 | 107 | 119,942 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.870% | Semi-Annually | 4/08/26 | USD | 8,487,296 | (20,010 | ) | 107 | (20,117 | ) | |||||||||||||||
Fixed 0.600% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 4/08/26 | USD | 20,612,004 | 310,984 | 259 | 310,725 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Fixed 0.630% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 5/26/26 | USD | 19,779,000 | 297,189 | 248 | 296,941 | |||||||||||||||||
Fixed 0.850% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 5/27/26 | USD | 9,981,909 | 43,808 | 125 | 43,683 | |||||||||||||||||
Fixed 0.640% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 5/27/26 | USD | 29,945,725 | 433,470 | 376 | 433,094 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.976% | Semi-Annually | 6/28/26 | USD | 3,154,906 | 3,021 | 40 | 2,981 | |||||||||||||||||
Fixed 0.690% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 6/23/30 | USD | 1,360,000 | 79,516 | 24 | 79,492 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.080% | Semi-Annually | 8/17/30 | USD | 3,116,195 | (80,782 | ) | 56 | (80,838 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.639% | Semi-Annually | 8/21/30 | USD | 1,490,558 | (96,458 | ) | 27 | (96,485 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.675% | Semi-Annually | 9/14/30 | USD | 526,252 | (32,772 | ) | 9 | (32,781 | ) | |||||||||||||||
Fixed 0.710% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 9/25/30 | USD | 800,000 | 47,705 | 14 | 47,691 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.660% | Semi-Annually | 9/25/30 | USD | 800,000 | (51,214 | ) | 14 | (51,228 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.693% | Semi-Annually | 9/29/30 | USD | 640,000 | (39,301 | ) | 12 | (39,313 | ) | |||||||||||||||
Fixed 0.764% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 9/29/30 | USD | 640,000 | 35,270 | 12 | 35,258 | |||||||||||||||||
Fixed 0.810% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 11/23/30 | USD | 2,290,817 | 120,381 | 42 | 120,339 | |||||||||||||||||
Fixed 1.173% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/04/31 | USD | 1,508,382 | 32,596 | 27 | 32,569 | |||||||||||||||||
Fixed 1.195% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/05/31 | USD | 889,175 | 17,397 | 16 | 17,381 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.400% | Semi-Annually | 4/07/31 | USD | 6,584,667 | (9,492 | ) | 121 | (9,613 | ) |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.420% | Semi-Annually | 4/08/31 | USD | 3,793,814 | 1,552 | 70 | 1,482 | |||||||||||||||||
Fixed 1.570% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 5/27/31 | USD | 2,494,308 | (34,722 | ) | 46 | (34,768 | ) | |||||||||||||||
Fixed 1.540% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 5/28/31 | USD | 442,341 | (4,920 | ) | 8 | (4,928 | ) | |||||||||||||||
Fixed 2.180% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 6/17/31 | USD | 3,756,231 | (42,706 | ) | 58 | (42,764 | ) | |||||||||||||||
Fixed 2.179% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 6/17/31 | USD | 3,820,000 | (43,211 | ) | 59 | (43,270 | ) | |||||||||||||||
Fixed 2.162% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 6/18/31 | USD | 3,820,000 | (40,141 | ) | 59 | (40,200 | ) | |||||||||||||||
Fixed 1.994% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 7/02/31 | USD | 3,658,729 | (4,537 | ) | 57 | (4,594 | ) | |||||||||||||||
Fixed 1.990% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 7/02/31 | USD | 1,568,000 | (1,656 | ) | 24 | (1,680 | ) | |||||||||||||||
Fixed 0.885% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 7/02/50 | USD | 1,012,000 | 210,888 | 33 | 210,855 | |||||||||||||||||
Fixed 0.875% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 7/21/50 | USD | 665,841 | 140,380 | 22 | 140,358 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.080% | Semi-Annually | 9/28/50 | USD | 341,000 | (55,627 | ) | 11 | (55,638 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.075% | Semi-Annually | 9/28/50 | USD | 1,453,737 | (238,888 | ) | 48 | (238,936 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.070% | Semi-Annually | 10/21/50 | USD | 998,761 | (165,652 | ) | 34 | (165,686 | ) | |||||||||||||||
Fixed 1.270% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 10/23/50 | USD | 2,145,000 | 252,776 | 73 | 252,703 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 0.970% | Semi-Annually | 10/28/50 | USD | 816,000 | (154,663 | ) | 27 | (154,690 | ) |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Fixed 1.170% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 10/28/50 | USD | 848,013 | 120,351 | 29 | 120,322 | |||||||||||||||||
Fixed 0.980% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 10/29/50 | USD | 2,472,955 | 463,645 | 84 | 463,561 | |||||||||||||||||
Fixed 1.300% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 11/19/50 | USD | 1,876,740 | 207,462 | 63 | 207,399 | |||||||||||||||||
Fixed 1.220% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 11/27/50 | USD | 848,013 | 110,105 | 29 | 110,076 | |||||||||||||||||
Fixed 1.450% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 12/11/50 | USD | 616,988 | 45,965 | 21 | 45,944 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.200% | Semi-Annually | 12/22/50 | USD | 3,275,100 | (441,668 | ) | 111 | (441,779 | ) | |||||||||||||||
Fixed 1.270% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 12/30/50 | USD | 848,013 | 100,025 | 29 | 99,996 | |||||||||||||||||
Fixed 1.445% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 1/07/51 | USD | 2,018,820 | 153,852 | 68 | 153,784 | |||||||||||||||||
Fixed 1.520% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 1/08/51 | USD | 691,273 | 40,166 | 23 | 40,143 | |||||||||||||||||
Fixed 1.625% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 1/25/51 | USD | 1,484,866 | 48,695 | 50 | 48,645 | |||||||||||||||||
Fixed 1.480% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 1/28/51 | USD | 2,638,779 | 179,099 | 88 | 179,011 | |||||||||||||||||
Fixed 1.575% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/01/51 | USD | 1,530,734 | 68,803 | 51 | 68,752 | |||||||||||||||||
Fixed 1.660% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/04/51 | USD | 858,617 | 20,943 | 29 | 20,914 | |||||||||||||||||
Fixed 1.680% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/05/51 | USD | 889,175 | 17,387 | 30 | 17,357 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Fixed 0.888% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/10/51 | USD | 1,590,067 | 336,071 | 53 | 336,018 | |||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.238% | Semi-Annually | 2/10/51 | USD | 2,385,100 | (302,056 | ) | 80 | (302,136 | ) | |||||||||||||||
Fixed 1.912% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 2/22/51 | USD | 347,273 | (12,737 | ) | 12 | (12,749 | ) | |||||||||||||||
Fixed 2.010% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 5/27/51 | USD | 1,290,159 | (79,036 | ) | 44 | (79,080 | ) | |||||||||||||||
Fixed 1.973% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 5/28/51 | USD | 212,324 | (11,106 | ) | 7 | (11,113 | ) | |||||||||||||||
Fixed 2.035% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | 6/07/51 | USD | 401,839 | (27,088 | ) | 13 | (27,101 | ) | |||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.827% | Semi-Annually | 6/22/51 | USD | 882,938 | 14,417 | 29 | 14,388 | |||||||||||||||||
$ | 881,801 | $ | 8,279 | $ | 873,522 |
OTC Total Return Swaps | ||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | |||||||||||||||||||||||||||
Rate/ Reference | No. of Contracts/ Notional | Frequency | Rate/ Reference | No. of Contracts/ Notional | Frequency | Counterparty | Termination Date | Value | Upfront Premium Received (Paid)/ Received | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 157,788 | Maturity | S&P 500 Dividend Index Future December 2021 | 3,250 | Maturity | BNP Paribas SA | 12/17/21 | $ | 36,563 | $ | — | $ | 36,563 | |||||||||||||||
3-Month USD LIBOR BBA+ 0 bp | USD | 1,104,133 | Quarterly | Markit iBoxx Index | 6,027 | Quarterly | Goldman Sachs International | 9/20/21 | (2,856) | — | (2,856) | |||||||||||||||||
3-Month USD LIBOR BBA- 10 bp | USD | 157,777 | Quarterly | Goldman Sachs Expensive Software Basket | 368 | Quarterly | Goldman Sachs International | 2/22/22 | 18,189 | — | 18,189 | |||||||||||||||||
Financial Select Sector SPDR Fund | 7,573 | Quarterly | 3-Month USD LIBOR BBA + 30 bp | 280,580 | Quarterly | JP Morgan Chase Bank N.A. | 9/16/21 | 2,726 | — | 2,726 | ||||||||||||||||||
3-Month USD LIBOR BBA + 0 bp | USD | 736,089 | Quarterly | Markit iBoxx Index | 4,019 | Quarterly | Morgan Stanley & Co. LLC | 9/20/21 | (1,704) | — | (1,704) | |||||||||||||||||
$ | 52,918 | $ | — | $ | 52,918 |
MassMutual Select BlackRock Global Allocation Fund — Consolidated Portfolio of Investments (Continued) |
OTC Total Return Swaps
Reference Entity | Counterparty | Termination Date | Notional Amount | Net Value of Reference Entities | Unrealized Appreciation/ (Depreciation) | Gross Notional Amount Asset % | ||||||||||||||
Equity Securities Long/Short (a) | Citigroup Global Markets Inc. | 01/26/2022-02/24/2023 | USD | 390,349 | $ | 341,866 | $ | (48,483 | ) | 0.3% | ||||||||||
Equity Securities Short (b) | JP Morgan Chase Bank N.A. | 02/08/2023 | USD | (1,269,102 | ) | (1,261,900 | ) | 7,202 | 0.2% | |||||||||||
$ | (920,034 | ) | $ | (41,281 | ) |
(a) | The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of 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 to 150 basis points. Net payments are exchanged monthly. 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 |
(b) | The Fund pays the total return on a portfolio of 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 to 150 basis points. Net payments are exchanged monthly. 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 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 |
CNH | Offshore Chinese Yuan |
CNY | Chinese Yuan Renminbi |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
PLN | Polish Zloty |
SEK | Swedish Krona |
USD | United States |
MassMutual Diversified Value Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.4% | ||||||||
COMMON STOCK — 97.6% | ||||||||
Basic Materials — 4.1% | ||||||||
Chemicals — 2.7% | ||||||||
Celanese Corp. | 4,500 | $ | 682,200 | |||||
CF Industries Holdings, Inc. | 67,875 | 3,492,169 | ||||||
DuPont de Nemours, Inc. | 14,600 | 1,130,186 | ||||||
Eastman Chemical Co. | 5,200 | 607,100 | ||||||
FMC Corp. | 4,900 | 530,180 | ||||||
International Flavors & Fragrances, Inc. | 18,646 | 2,785,712 | ||||||
LyondellBasell Industries NV Class A | 12,900 | 1,327,023 | ||||||
The Mosaic Co. | 14,600 | 465,886 | ||||||
RPM International, Inc. | 5,000 | 443,400 | ||||||
11,463,856 | ||||||||
Forest Products & Paper — 0.9% | ||||||||
International Paper Co. | 58,983 | 3,616,248 | ||||||
Iron & Steel — 0.5% | ||||||||
Nucor Corp. | 11,600 | 1,112,788 | ||||||
Reliance Steel & Aluminum Co. | 2,500 | 377,250 | ||||||
Steel Dynamics, Inc. | 8,100 | 482,760 | ||||||
1,972,798 | ||||||||
17,052,902 | ||||||||
Communications — 6.4% | ||||||||
Advertising — 0.2% | ||||||||
The Interpublic Group of Cos., Inc. | 8,500 | 276,165 | ||||||
Omnicom Group, Inc. | 8,300 | 663,917 | ||||||
940,082 | ||||||||
Internet — 0.8% | ||||||||
CDW Corp./DE | 5,400 | 943,110 | ||||||
eBay, Inc. | 26,400 | 1,853,544 | ||||||
NortonLifeLock, Inc. | 15,900 | 432,798 | ||||||
3,229,452 | ||||||||
Media — 3.8% | ||||||||
Comcast Corp. Class A | 216,576 | 12,349,163 | ||||||
Discovery, Inc. Class A (a) (b) | 4,800 | 147,264 | ||||||
Fox Corp. Class A | 12,900 | 478,977 | ||||||
Fox Corp. Class B | 36,392 | 1,280,998 | ||||||
The Walt Disney Co. (a) | 8,414 | 1,478,929 | ||||||
15,735,331 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Telecommunications — 1.6% | ||||||||
Cisco Systems, Inc. | 115,700 | $ | 6,132,100 | |||||
Juniper Networks, Inc. | 8,800 | 240,680 | ||||||
Lumen Technologies, Inc. | 30,300 | 411,777 | ||||||
6,784,557 | ||||||||
26,689,422 | ||||||||
Consumer, Cyclical — 9.3% | ||||||||
Apparel — 0.1% | ||||||||
Hanesbrands, Inc. | 6,200 | 115,754 | ||||||
Skechers U.S.A., Inc. Class A (a) | 3,600 | 179,388 | ||||||
295,142 | ||||||||
Auto Manufacturers — 1.7% | ||||||||
Cummins, Inc. | 5,600 | 1,365,336 | ||||||
Ford Motor Co. (a) | 149,700 | 2,224,542 | ||||||
General Motors Co. (a) | 42,800 | 2,532,476 | ||||||
PACCAR, Inc. | 10,500 | 937,125 | ||||||
7,059,479 | ||||||||
Auto Parts & Equipment — 0.1% | ||||||||
Gentex Corp. | 7,200 | 238,248 | ||||||
Lear Corp. | 1,700 | 297,976 | ||||||
536,224 | ||||||||
Distribution & Wholesale — 0.1% | ||||||||
LKQ Corp. (a) | 11,600 | 570,952 | ||||||
Home Builders — 0.9% | ||||||||
D.R. Horton, Inc. | 14,000 | 1,265,180 | ||||||
Lennar Corp. Class A | 10,600 | 1,053,110 | ||||||
NVR, Inc. (a) | 100 | 497,330 | ||||||
PulteGroup, Inc. | 10,400 | 567,528 | ||||||
Toll Brothers, Inc. | 3,300 | 190,773 | ||||||
3,573,921 | ||||||||
Home Furnishing — 0.2% | ||||||||
Tempur Sealy International, Inc. | 3,200 | 125,408 | ||||||
Whirlpool Corp. | 2,400 | 523,248 | ||||||
648,656 | ||||||||
Housewares — 0.2% | ||||||||
Newell Brands, Inc. | 16,300 | 447,761 | ||||||
The Scotts Miracle-Gro Co. | 1,700 | 326,264 | ||||||
774,025 | ||||||||
Leisure Time — 0.1% | ||||||||
Brunswick Corp. | 2,900 | 288,898 | ||||||
Polaris, Inc. | 1,900 | 260,224 | ||||||
549,122 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Lodging — 0.6% | ||||||||
Hyatt Hotels Corp. Class A (a) | 1,600 | $ | 124,224 | |||||
Las Vegas Sands Corp. (a) | 41,635 | 2,193,748 | ||||||
2,317,972 | ||||||||
Retail — 5.2% | ||||||||
Advance Auto Parts, Inc. | 2,500 | 512,850 | ||||||
AutoNation, Inc. (a) | 3,300 | 312,873 | ||||||
AutoZone, Inc. (a) | 700 | 1,044,554 | ||||||
CarMax, Inc. (a) | 3,000 | 387,450 | ||||||
Casey's General Stores, Inc. | 1,500 | 291,960 | ||||||
Dick's Sporting Goods, Inc. | 1,800 | 180,342 | ||||||
Dollar Tree, Inc. (a) | 9,000 | 895,500 | ||||||
Genuine Parts Co. | 5,500 | 695,585 | ||||||
The Home Depot, Inc. | 11,000 | 3,507,790 | ||||||
Lowe's Cos., Inc. | 28,100 | 5,450,557 | ||||||
O'Reilly Automotive, Inc. (a) | 2,700 | 1,528,767 | ||||||
Target Corp. | 19,300 | 4,665,582 | ||||||
Tractor Supply Co. | 3,000 | 558,180 | ||||||
Walgreens Boots Alliance, Inc. | 25,800 | 1,357,338 | ||||||
Williams-Sonoma, Inc. | 2,300 | 367,195 | ||||||
21,756,523 | ||||||||
Textiles — 0.1% | ||||||||
Mohawk Industries, Inc. (a) | 2,800 | 538,132 | ||||||
38,620,148 | ||||||||
Consumer, Non-cyclical — 20.2% | ||||||||
Agriculture — 2.5% | ||||||||
Altria Group, Inc. | 29,400 | 1,401,792 | ||||||
Archer-Daniels-Midland Co. | 21,300 | 1,290,780 | ||||||
Bunge Ltd. | 5,300 | 414,195 | ||||||
Philip Morris International, Inc. | 72,553 | 7,190,728 | ||||||
10,297,495 | ||||||||
Beverages — 0.1% | ||||||||
Molson Coors Beverage Co. Class B (a) | 6,000 | 322,140 | ||||||
Biotechnology — 0.1% | ||||||||
Bio-Rad Laboratories, Inc. Class A (a) | 1,000 | 644,290 | ||||||
Commercial Services — 0.4% | ||||||||
AMERCO | 800 | 471,520 | ||||||
Quanta Services, Inc. | 4,200 | 380,394 | ||||||
Service Corp. International | 6,800 | 364,412 | ||||||
United Rentals, Inc. (a) | 2,100 | 669,921 | ||||||
1,886,247 | ||||||||
Food — 1.9% | ||||||||
Conagra Brands, Inc. | 43,543 | 1,584,094 | ||||||
The J.M. Smucker Co. | 3,200 | 414,624 | ||||||
The Kraft Heinz Co. | 36,500 | 1,488,470 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Tyson Foods, Inc. Class A | 58,169 | $ | 4,290,546 | |||||
7,777,734 | ||||||||
Health Care – Products — 0.2% | ||||||||
Henry Schein, Inc. (a) | 3,800 | 281,922 | ||||||
PerkinElmer, Inc. | 3,100 | 478,671 | ||||||
760,593 | ||||||||
Health Care – Services — 6.9% | ||||||||
Anthem, Inc. | 27,398 | 10,460,556 | ||||||
Centene Corp. (a) | 16,000 | 1,166,880 | ||||||
DaVita, Inc. (a) | 4,300 | 517,849 | ||||||
HCA Healthcare, Inc. | 13,000 | 2,687,620 | ||||||
Laboratory Corp. of America Holdings (a) | 3,700 | 1,020,645 | ||||||
Molina Healthcare, Inc. (a) | 2,300 | 582,038 | ||||||
Quest Diagnostics, Inc. | 5,200 | 686,244 | ||||||
UnitedHealth Group, Inc. | 28,200 | 11,292,408 | ||||||
Universal Health Services, Inc. Class B | 3,000 | 439,290 | ||||||
28,853,530 | ||||||||
Household Products & Wares — 0.7% | ||||||||
Kimberly-Clark Corp. | 22,922 | 3,066,505 | ||||||
Pharmaceuticals — 7.4% | ||||||||
AbbVie, Inc. | 26,593 | 2,995,436 | ||||||
AmerisourceBergen Corp. | 7,800 | 893,022 | ||||||
Becton Dickinson and Co. | 18,164 | 4,417,303 | ||||||
Cigna Corp. | 10,300 | 2,441,821 | ||||||
CVS Health Corp. | 76,279 | 6,364,720 | ||||||
Johnson & Johnson | 67,448 | 11,111,383 | ||||||
McKesson Corp. | 6,200 | 1,185,688 | ||||||
Sanofi Sponsored ADR | 26,095 | 1,374,163 | ||||||
30,783,536 | ||||||||
84,392,070 | ||||||||
Energy — 6.0% | ||||||||
Oil & Gas — 5.2% | ||||||||
Continental Resources, Inc. | 14,000 | 532,420 | ||||||
EOG Resources, Inc. | 48,741 | 4,066,949 | ||||||
Exxon Mobil Corp. | 126,100 | 7,954,388 | ||||||
Marathon Oil Corp. | 21,680 | 295,282 | ||||||
Phillips 66 | 13,100 | 1,124,242 | ||||||
TotalEnergies SE (b) | 109,515 | 4,968,405 | ||||||
TotalEnergies SE Sponsored ADR | 39,394 | 1,782,972 | ||||||
Valero Energy Corp. | 12,200 | 952,576 | ||||||
21,677,234 | ||||||||
Pipelines — 0.8% | ||||||||
Cheniere Energy, Inc. (a) | 9,700 | 841,378 | ||||||
Kinder Morgan, Inc. | 67,500 | 1,230,525 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
The Williams Cos., Inc. | 46,700 | $ | 1,239,885 | |||||
3,311,788 | ||||||||
24,989,022 | ||||||||
Financial — 27.2% | ||||||||
Banks — 16.3% | ||||||||
Bank of America Corp. | 256,800 | 10,587,864 | ||||||
The Bank of New York Mellon Corp. | 62,145 | 3,183,688 | ||||||
Citizens Financial Group, Inc. | 12,700 | 582,549 | ||||||
Comerica, Inc. | 4,100 | 292,494 | ||||||
Commerce Bancshares, Inc. | 3,400 | 253,504 | ||||||
Cullen/Frost Bankers, Inc. | 1,500 | 168,000 | ||||||
East West Bancorp, Inc. | 4,200 | 301,098 | ||||||
Fifth Third Bancorp | 123,442 | 4,719,188 | ||||||
The Goldman Sachs Group, Inc. | 13,547 | 5,141,493 | ||||||
Huntington Bancshares, Inc. | 141,000 | 2,012,070 | ||||||
JP Morgan Chase & Co. | 82,600 | 12,847,604 | ||||||
KeyCorp. | 29,200 | 602,980 | ||||||
M&T Bank Corp. | 3,700 | 537,647 | ||||||
Morgan Stanley | 31,807 | 2,916,384 | ||||||
Northern Trust Corp. | 6,300 | 728,406 | ||||||
The PNC Financial Services Group, Inc. | 12,700 | 2,422,652 | ||||||
Regions Financial Corp. | 28,800 | 581,184 | ||||||
State Street Corp. | 10,700 | 880,396 | ||||||
Truist Financial Corp. | 40,100 | 2,225,550 | ||||||
US Bancorp | 44,800 | 2,552,256 | ||||||
Wells Fargo & Co. | 305,281 | 13,826,176 | ||||||
Western Alliance Bancorp | 2,900 | 269,265 | ||||||
Zions Bancorp NA | 4,900 | 259,014 | ||||||
67,891,462 | ||||||||
Diversified Financial Services — 1.7% | ||||||||
Ally Financial, Inc. | 11,100 | 553,224 | ||||||
Capital One Financial Corp. | 13,600 | 2,103,784 | ||||||
Discover Financial Services | 8,400 | 993,636 | ||||||
LPL Financial Holdings, Inc. | 2,300 | 310,454 | ||||||
OneMain Holdings, Inc. | 3,700 | 221,667 | ||||||
Raymond James Financial, Inc. | 4,100 | 532,590 | ||||||
SEI Investments Co. | 4,400 | 272,668 | ||||||
Synchrony Financial | 17,500 | 849,100 | ||||||
T. Rowe Price Group, Inc. | 6,900 | 1,365,993 | ||||||
7,203,116 | ||||||||
Insurance — 7.7% | ||||||||
Aflac, Inc. | 20,900 | 1,121,494 | ||||||
Alleghany Corp. (a) | 400 | 266,828 | ||||||
The Allstate Corp. | 9,000 | 1,173,960 | ||||||
American Financial Group, Inc. | 2,600 | 324,272 | ||||||
American International Group, Inc. | 95,057 | 4,524,713 | ||||||
Arch Capital Group Ltd. (a) | 11,900 | 463,386 | ||||||
Assurant, Inc. | 1,700 | 265,506 | ||||||
Chubb Ltd. | 34,773 | 5,526,821 | ||||||
Cincinnati Financial Corp. | 4,700 | 548,114 | ||||||
Equitable Holdings, Inc. | 13,200 | 401,940 | ||||||
Everest Re Group Ltd. | 1,400 | 352,814 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
First American Financial Corp. | 2,700 | $ | 168,345 | |||||
Globe Life, Inc. | 2,800 | 266,700 | ||||||
The Hartford Financial Services Group, Inc. | 10,800 | 669,276 | ||||||
Lincoln National Corp. | 5,700 | 358,188 | ||||||
Loews Corp. | 56,698 | 3,098,546 | ||||||
Markel Corp. (a) | 420 | 498,418 | ||||||
MetLife, Inc. | 95,502 | 5,715,795 | ||||||
Old Republic International Corp. | 6,300 | 156,933 | ||||||
Principal Financial Group, Inc. | 8,300 | 524,477 | ||||||
The Progressive Corp. | 17,600 | 1,728,496 | ||||||
Prudential Financial, Inc. | 11,800 | 1,209,146 | ||||||
The Travelers Cos., Inc. | 14,000 | 2,095,940 | ||||||
Voya Financial, Inc. | 4,000 | 246,000 | ||||||
W.R. Berkley Corp. | 5,400 | 401,922 | ||||||
32,108,030 | ||||||||
Real Estate — 0.4% | ||||||||
CBRE Group, Inc. Class A (a) | 12,800 | 1,097,344 | ||||||
Jones Lang LaSalle, Inc. (a) | 1,900 | 371,374 | ||||||
1,468,718 | ||||||||
Real Estate Investment Trusts (REITS) — 1.1% | ||||||||
Equity Residential | 34,480 | 2,654,960 | ||||||
Weyerhaeuser Co. | 57,336 | 1,973,505 | ||||||
4,628,465 | ||||||||
113,299,791 | ||||||||
Industrial — 10.1% | ||||||||
Aerospace & Defense — 2.3% | ||||||||
The Boeing Co. (a) | 9,538 | 2,284,923 | ||||||
General Dynamics Corp. | 11,000 | 2,070,860 | ||||||
L3 Harris Technologies, Inc. | 23,716 | 5,126,214 | ||||||
9,481,997 | ||||||||
Building Materials — 0.3% | ||||||||
Fortune Brands Home & Security, Inc. | 5,300 | 527,933 | ||||||
Masco Corp. | 10,100 | 594,991 | ||||||
Owens Corning | 4,200 | 411,180 | ||||||
1,534,104 | ||||||||
Electrical Components & Equipment — 0.3% | ||||||||
Emerson Electric Co. | 15,500 | 1,491,720 | ||||||
Electronics — 0.3% | ||||||||
Arrow Electronics, Inc. (a) | 2,800 | 318,724 | ||||||
Hubbell, Inc. | 2,000 | 373,680 | ||||||
Jabil, Inc. | 5,700 | 331,284 | ||||||
Sensata Technologies Holding PLC (a) | 4,300 | 249,271 | ||||||
1,272,959 | ||||||||
Environmental Controls — 0.1% | ||||||||
Pentair PLC | 6,400 | 431,936 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Hand & Machine Tools — 0.1% | ||||||||
Snap-on, Inc. | 2,100 | $ | 469,203 | |||||
Machinery – Construction & Mining — 0.1% | ||||||||
Oshkosh Corp. | 1,900 | 236,816 | ||||||
Machinery – Diversified — 0.4% | ||||||||
AGCO Corp. | 2,800 | 365,064 | ||||||
Dover Corp. | 5,500 | 828,300 | ||||||
Westinghouse Air Brake Technologies Corp. | 7,300 | 600,790 | ||||||
1,794,154 | ||||||||
Miscellaneous - Manufacturing — 3.1% | ||||||||
3M Co. | 22,100 | 4,389,723 | ||||||
General Electric Co. | 493,250 | 6,639,145 | ||||||
ITT, Inc. | 3,300 | 302,247 | ||||||
Parker-Hannifin Corp. | 3,500 | 1,074,885 | ||||||
Textron, Inc. | 8,800 | 605,176 | ||||||
13,011,176 | ||||||||
Packaging & Containers — 0.6% | ||||||||
Amcor PLC | 60,200 | 689,892 | ||||||
Berry Global Group, Inc. (a) | 3,500 | 228,270 | ||||||
Crown Holdings, Inc. | 5,100 | 521,271 | ||||||
Packaging Corp. of America | 3,700 | 501,054 | ||||||
Sealed Air Corp. | 6,000 | 355,500 | ||||||
Sonoco Products Co. | 2,600 | 173,940 | ||||||
2,469,927 | ||||||||
Shipbuilding — 0.1% | ||||||||
Huntington Ingalls Industries, Inc. | 1,100 | 231,825 | ||||||
Transportation — 2.4% | ||||||||
Expeditors International of Washington, Inc. | 1,700 | 215,220 | ||||||
United Parcel Service, Inc. Class B | 46,714 | 9,715,110 | ||||||
9,930,330 | ||||||||
42,356,147 | ||||||||
Technology — 9.8% | ||||||||
Computers — 1.6% | ||||||||
Genpact Ltd. | 7,200 | 327,096 | ||||||
Hewlett Packard Enterprise Co. | 49,600 | 723,168 | ||||||
HP, Inc. | 49,500 | 1,494,405 | ||||||
International Business Machines Corp. | 24,500 | 3,591,455 | ||||||
NetApp, Inc. | 8,600 | 703,652 | ||||||
6,839,776 | ||||||||
Semiconductors — 4.6% | ||||||||
Broadcom, Inc. | 10,600 | 5,054,504 | ||||||
Intel Corp. | 82,100 | 4,609,094 | ||||||
Micron Technology, Inc. (a) | 28,900 | 2,455,922 | ||||||
MKS Instruments, Inc. | 1,500 | 266,925 | ||||||
Qorvo, Inc. (a) | 3,100 | 606,515 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
QUALCOMM, Inc. | 39,412 | $ | 5,633,157 | |||||
Skyworks Solutions, Inc. | 3,400 | 651,950 | ||||||
19,278,067 | ||||||||
Software — 3.6% | ||||||||
Citrix Systems, Inc. | 13,000 | 1,524,510 | ||||||
Microsoft Corp. | 16,740 | 4,534,866 | ||||||
Oracle Corp. | 113,000 | 8,795,920 | ||||||
14,855,296 | ||||||||
40,973,139 | ||||||||
Utilities — 4.5% | ||||||||
Electric — 4.0% | ||||||||
AES Corp. | 25,500 | 664,785 | ||||||
Evergy, Inc. | 6,300 | 380,709 | ||||||
Exelon Corp. | 37,400 | 1,657,194 | ||||||
FirstEnergy Corp. | 16,200 | 602,802 | ||||||
Pinnacle West Capital Corp. | 2,300 | 188,531 | ||||||
Public Service Enterprise Group, Inc. | 20,300 | 1,212,722 | ||||||
Sempra Energy | 36,252 | 4,802,665 | ||||||
The Southern Co. | 120,377 | 7,284,012 | ||||||
16,793,420 | ||||||||
Gas — 0.5% | ||||||||
NiSource, Inc. | 74,867 | 1,834,242 | ||||||
UGI Corp. | 8,100 | 375,112 | ||||||
2,209,354 | ||||||||
19,002,774 | ||||||||
TOTAL COMMON STOCK (Cost $314,018,544) | 407,375,415 | |||||||
PREFERRED STOCK — 0.8% | ||||||||
Consumer, Cyclical — 0.3% | ||||||||
Auto Manufacturers — 0.3% | ||||||||
Volkswagen AG 2.300% | 5,034 | 1,262,404 | ||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Pharmaceuticals — 0.1% | ||||||||
Becton Dickinson and Co. Convertible 6.000% (b) | 9,376 | 501,710 | ||||||
Utilities — 0.4% | ||||||||
Electric — 0.3% | ||||||||
Sempra Energy Convertible 6.750% | 2,116 | 208,997 | ||||||
The Southern Co. Convertible 6.750% | 15,701 | 794,942 | ||||||
1,003,939 | ||||||||
Gas — 0.1% | ||||||||
NiSource, Inc. 7.750% (b) | 5,482 | 563,494 |
MassMutual Diversified Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
$ | 1,567,433 | |||||||
TOTAL PREFERRED STOCK (Cost $3,272,291) | 3,331,547 | |||||||
TOTAL EQUITIES (Cost $317,290,835) | 410,706,962 | |||||||
MUTUAL FUNDS — 0.9% | ||||||||
Diversified Financial Services — 0.9% | ||||||||
iShares Russell 1000 Value ETF | 20,000 | 3,172,400 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) | 779,723 | 779,723 | ||||||
3,952,123 | ||||||||
TOTAL MUTUAL FUNDS (Cost $3,959,758) | 3,952,123 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $321,250,593) | 414,659,085 | |||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
Mutual Fund — 0.0% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 104 | 104 | ||||||
Repurchase Agreement — 1.0% | Principal Amount | |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (d) | $ | 3,954,968 | 3,954,968 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,955,072) | 3,955,072 | |||||||
TOTAL INVESTMENTS — 100.3% (Cost $325,205,665) (e) | 418,614,157 | |||||||
Other Assets/(Liabilities) — (0.3)% | (1,399,079) | |||||||
NET ASSETS — 100.0% | $ | 417,215,078 |
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) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $759,283 or 0.18% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2). |
(c) | Represents investment of security lending cash collateral. (Note 2). |
(d) | Maturity value of $3,954,968. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity dates ranging from 1/31/23 - 4/15/25, and an aggregate market value, including accrued interest, of $4,034,168. |
(e) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Fundamental Value Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.1% | ||||||||
COMMON STOCK — 99.1% | ||||||||
Basic Materials — 4.6% | ||||||||
Chemicals — 4.2% | ||||||||
Atotech Ltd. (a) | 104,434 | $ | 2,666,200 | |||||
Axalta Coating Systems Ltd. (a) | 49,001 | 1,494,040 | ||||||
DuPont de Nemours, Inc. | 67,651 | 5,236,864 | ||||||
Element Solutions, Inc. | 143,690 | 3,359,472 | ||||||
FMC Corp. | 12,473 | 1,349,579 | ||||||
International Flavors & Fragrances, Inc. | 47,425 | 7,085,295 | ||||||
Linde PLC | 9,323 | 2,695,279 | ||||||
PPG Industries, Inc. | 8,175 | 1,387,870 | ||||||
25,274,599 | ||||||||
Mining — 0.4% | ||||||||
Kinross Gold Corp. | 163,890 | 1,040,702 | ||||||
Newmont Corp. | 26,931 | 1,706,887 | ||||||
2,747,589 | ||||||||
28,022,188 | ||||||||
Communications — 6.3% | ||||||||
Internet — 1.9% | ||||||||
Alphabet, Inc. Class A (a) | 2,586 | 6,314,469 | ||||||
Facebook, Inc. Class A (a) | 11,231 | 3,905,131 | ||||||
NortonLifeLock, Inc. | 59,005 | 1,606,116 | ||||||
11,825,716 | ||||||||
Media — 2.1% | ||||||||
Altice USA, Inc. Class A (a) | 75,124 | 2,564,733 | ||||||
Charter Communications, Inc. Class A (a) | 3,934 | 2,838,184 | ||||||
Comcast Corp. Class A | 123,386 | 7,035,470 | ||||||
12,438,387 | ||||||||
Telecommunications — 2.3% | ||||||||
Cisco Systems, Inc. | 150,517 | 7,977,401 | ||||||
T-Mobile US, Inc. (a) | 41,896 | 6,067,798 | ||||||
14,045,199 | ||||||||
38,309,302 | ||||||||
Consumer, Cyclical — 9.9% | ||||||||
Apparel — 0.9% | ||||||||
Ralph Lauren Corp. | 18,659 | 2,198,217 |
MassMutual Fundamental Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Tapestry, Inc. (a) | 77,616 | $ | 3,374,743 | |||||
5,572,960 | ||||||||
Auto Parts & Equipment — 0.3% | ||||||||
Allison Transmission Holdings, Inc. | 23,113 | 918,511 | ||||||
Lear Corp. | 6,144 | 1,076,920 | ||||||
1,995,431 | ||||||||
Distribution & Wholesale — 0.4% | ||||||||
LKQ Corp. (a) | 48,453 | 2,384,857 | ||||||
Entertainment — 0.9% | ||||||||
Marriott Vacations Worldwide Corp. (a) | 16,512 | 2,630,362 | ||||||
SeaWorld Entertainment, Inc. (a) | 56,180 | 2,805,629 | ||||||
5,435,991 | ||||||||
Food Services — 0.3% | ||||||||
Aramark | 43,558 | 1,622,535 | ||||||
Home Builders — 0.8% | ||||||||
Lennar Corp. Class A | 50,277 | 4,995,020 | ||||||
Home Furnishing — 0.5% | ||||||||
Sony Group Corp. Sponsored ADR | 32,162 | 3,126,790 | ||||||
Leisure Time — 0.6% | ||||||||
Harley-Davidson, Inc. | 45,988 | 2,107,170 | ||||||
Polaris, Inc. | 9,316 | 1,275,919 | ||||||
3,383,089 | ||||||||
Lodging — 1.2% | ||||||||
Las Vegas Sands Corp. (a) | 78,623 | 4,142,646 | ||||||
MGM Resorts International | 67,043 | 2,859,384 | ||||||
7,002,030 | ||||||||
Retail — 3.5% | ||||||||
Advance Auto Parts, Inc. | 20,116 | 4,126,596 | ||||||
AutoZone, Inc. (a) | 4,080 | 6,088,258 | ||||||
Kohl's Corp. | 27,852 | 1,534,924 | ||||||
Lowe's Cos., Inc. | 39,654 | 7,691,686 | ||||||
The TJX Cos., Inc. | 26,762 | 1,804,294 | ||||||
21,245,758 | ||||||||
Textiles — 0.5% | ||||||||
Mohawk Industries, Inc. (a) | 15,582 | 2,994,705 | ||||||
59,759,166 | ||||||||
Consumer, Non-cyclical — 22.2% | ||||||||
Agriculture — 1.0% | ||||||||
Altria Group, Inc. | 43,919 | 2,094,058 | ||||||
Philip Morris International, Inc. | 38,251 | 3,791,056 | ||||||
5,885,114 |
MassMutual Fundamental Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Beverages — 2.0% | ||||||||
Coca-Cola Europacific Partners PLC | 165,589 | $ | 9,822,740 | |||||
Molson Coors Beverage Co. Class B (a) | 45,515 | 2,443,700 | ||||||
12,266,440 | ||||||||
Biotechnology — 0.7% | ||||||||
Corteva, Inc. | 89,022 | 3,948,126 | ||||||
Commercial Services — 1.0% | ||||||||
PROG Holdings, Inc. | 28,678 | 1,380,272 | ||||||
Quanta Services, Inc. | 17,328 | 1,569,397 | ||||||
United Rentals, Inc. (a) | 10,325 | 3,293,778 | ||||||
6,243,447 | ||||||||
Cosmetics & Personal Care — 0.7% | ||||||||
The Procter & Gamble Co. | 31,990 | 4,316,411 | ||||||
Food — 0.3% | ||||||||
US Foods Holding Corp. (a) | 48,173 | 1,847,916 | ||||||
Health Care – Products — 2.6% | ||||||||
Avantor, Inc. (a) | 107,898 | 3,831,458 | ||||||
Envista Holdings Corp. (a) | 37,336 | 1,613,289 | ||||||
Hologic, Inc. (a) | 27,749 | 1,851,413 | ||||||
LivaNova PLC (a) | 25,088 | 2,110,152 | ||||||
Medtronic PLC | 48,335 | 5,999,823 | ||||||
15,406,135 | ||||||||
Health Care – Services — 4.1% | ||||||||
Anthem, Inc. | 21,176 | 8,084,997 | ||||||
Centene Corp. (a) | 47,802 | 3,486,200 | ||||||
Humana, Inc. | 3,456 | 1,530,040 | ||||||
UnitedHealth Group, Inc. | 29,899 | 11,972,756 | ||||||
25,073,993 | ||||||||
Pharmaceuticals — 9.8% | ||||||||
AbbVie, Inc. | 25,653 | 2,889,554 | ||||||
AmerisourceBergen Corp. | 20,537 | 2,351,281 | ||||||
Becton Dickinson and Co. | 8,778 | 2,134,722 | ||||||
Cigna Corp. | 44,762 | 10,611,727 | ||||||
CVS Health Corp. | 114,435 | 9,548,456 | ||||||
Johnson & Johnson | 77,871 | 12,828,469 | ||||||
McKesson Corp. | 12,384 | 2,368,316 | ||||||
Merck & Co., Inc. | 111,710 | 8,687,687 | ||||||
Novartis AG Sponsored ADR | 47,039 | 4,291,838 | ||||||
Pfizer, Inc. | 85,730 | 3,357,187 | ||||||
59,069,237 | ||||||||
134,056,819 | ||||||||
Energy — 7.0% | ||||||||
Oil & Gas — 6.5% | ||||||||
BP PLC Sponsored ADR | 48,000 | 1,268,160 | ||||||
Canadian Natural Resources Ltd. | 73,152 | 2,653,955 |
MassMutual Fundamental Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ConocoPhillips | 107,447 | $ | 6,543,522 | |||||
EOG Resources, Inc. | 12,124 | 1,011,627 | ||||||
Hess Corp. | 81,727 | 7,136,402 | ||||||
HollyFrontier Corp. | 42,323 | 1,392,427 | ||||||
Marathon Petroleum Corp. | 74,381 | 4,494,100 | ||||||
Phillips 66 | 82,336 | 7,066,075 | ||||||
Pioneer Natural Resources Co. | 35,868 | 5,829,267 | ||||||
Valero Energy Corp. | 23,904 | 1,866,424 | ||||||
39,261,959 | ||||||||
Oil & Gas Services — 0.5% | ||||||||
Schlumberger NV | 92,651 | 2,965,759 | ||||||
42,227,718 | ||||||||
Financial — 24.0% | ||||||||
Banks — 11.6% | ||||||||
Bank of America Corp. | 145,520 | 5,999,790 | ||||||
Citigroup, Inc. | 87,323 | 6,178,102 | ||||||
Fifth Third Bancorp | 55,356 | 2,116,260 | ||||||
The Goldman Sachs Group, Inc. | 19,019 | 7,218,281 | ||||||
JP Morgan Chase & Co. | 109,352 | 17,008,610 | ||||||
Northern Trust Corp. | 48,773 | 5,639,134 | ||||||
Truist Financial Corp. | 94,233 | 5,229,932 | ||||||
US Bancorp | 116,935 | 6,661,787 | ||||||
Wells Fargo & Co. | 306,277 | 13,871,285 | ||||||
69,923,181 | ||||||||
Diversified Financial Services — 3.7% | ||||||||
AerCap Holdings NV (a) | 48,344 | 2,475,696 | ||||||
American Express Co. | 34,382 | 5,680,938 | ||||||
Capital One Financial Corp. | 22,516 | 3,483,000 | ||||||
The Charles Schwab Corp. | 55,676 | 4,053,770 | ||||||
Discover Financial Services | 20,552 | 2,431,096 | ||||||
Navient Corp. | 68,135 | 1,317,049 | ||||||
SLM Corp. | 140,596 | 2,944,080 | ||||||
22,385,629 | ||||||||
Insurance — 6.7% | ||||||||
Aflac, Inc. | 23,431 | 1,257,308 | ||||||
American International Group, Inc. | 91,641 | 4,362,112 | ||||||
Aon PLC Class A | 16,411 | 3,918,290 | ||||||
Assurant, Inc. | 15,275 | 2,385,650 | ||||||
Axis Capital Holdings Ltd. | 22,475 | 1,101,500 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 30,395 | 8,447,378 | ||||||
Chubb Ltd. | 60,476 | 9,612,055 | ||||||
Everest Re Group Ltd. | 9,313 | 2,346,969 | ||||||
Fidelity National Financial, Inc. | 35,704 | 1,551,696 | ||||||
The Progressive Corp. | 32,540 | 3,195,753 | ||||||
Willis Towers Watson PLC | 9,338 | 2,147,927 | ||||||
40,326,638 | ||||||||
Real Estate — 0.3% | ||||||||
The Howard Hughes Corp. (a) | 21,398 | 2,085,449 |
MassMutual Fundamental Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Real Estate Investment Trusts (REITS) — 1.7% | ||||||||
American Campus Communities, Inc. | 51,712 | $ | 2,415,985 | |||||
Corporate Office Properties Trust | 99,205 | 2,776,748 | ||||||
MGM Growth Properties LLC Class A | 78,905 | 2,889,501 | ||||||
VICI Properties, Inc. (b) | 81,154 | 2,517,397 | ||||||
10,599,631 | ||||||||
145,320,528 | ||||||||
Industrial — 13.3% | ||||||||
Aerospace & Defense — 3.9% | ||||||||
The Boeing Co. (a) | 10,999 | 2,634,920 | ||||||
General Dynamics Corp. | 54,851 | 10,326,249 | ||||||
Howmet Aerospace, Inc. (a) | 79,622 | 2,744,570 | ||||||
Northrop Grumman Corp. | 3,722 | 1,352,687 | ||||||
Raytheon Technologies Corp. | 80,961 | 6,906,783 | ||||||
23,965,209 | ||||||||
Building Materials — 0.9% | ||||||||
CRH PLC Sponsored ADR | 39,976 | 2,032,380 | ||||||
Owens Corning | 33,413 | 3,271,133 | ||||||
5,303,513 | ||||||||
Electrical Components & Equipment — 0.3% | ||||||||
Emerson Electric Co. | 16,510 | 1,588,922 | ||||||
Electronics — 0.2% | ||||||||
Allegion PLC | 7,340 | 1,022,462 | ||||||
Engineering & Construction — 0.7% | ||||||||
AECOM (a) | 39,837 | 2,522,479 | ||||||
Jacobs Engineering Group, Inc. | 12,298 | 1,640,799 | ||||||
4,163,278 | ||||||||
Hand & Machine Tools — 0.9% | ||||||||
Stanley Black & Decker, Inc. | 27,526 | 5,642,555 | ||||||
Machinery – Construction & Mining — 1.7% | ||||||||
BWX Technologies, Inc. | 25,594 | 1,487,523 | ||||||
Caterpillar, Inc. | 18,474 | 4,020,497 | ||||||
Vertiv Holdings Co. | 171,854 | 4,691,614 | ||||||
10,199,634 | ||||||||
Machinery – Diversified — 3.3% | ||||||||
Deere & Co. | 33,853 | 11,940,292 | ||||||
Dover Corp. | 13,162 | 1,982,197 | ||||||
Otis Worldwide Corp. | 34,605 | 2,829,651 | ||||||
Westinghouse Air Brake Technologies Corp. | 42,872 | 3,528,365 | ||||||
20,280,505 | ||||||||
Miscellaneous - Manufacturing — 0.7% | ||||||||
Eaton Corp. PLC | 28,208 | 4,179,862 |
MassMutual Fundamental Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Transportation — 0.7% | ||||||||
J.B. Hunt Transport Services, Inc. | 15,306 | $ | 2,494,113 | |||||
Union Pacific Corp. | 8,866 | 1,949,899 | ||||||
4,444,012 | ||||||||
80,789,952 | ||||||||
Technology — 8.5% | ||||||||
Computers — 0.9% | ||||||||
Cognizant Technology Solutions Corp. Class A | 63,924 | 4,427,376 | ||||||
NetApp, Inc. | 14,930 | 1,221,573 | ||||||
5,648,949 | ||||||||
Semiconductors — 5.2% | ||||||||
Applied Materials, Inc. | 40,546 | 5,773,750 | ||||||
Broadcom, Inc. | 5,745 | 2,739,446 | ||||||
KLA Corp. | 5,498 | 1,782,506 | ||||||
Lam Research Corp. | 4,700 | 3,058,290 | ||||||
Microchip Technology, Inc. | 15,967 | 2,390,898 | ||||||
Micron Technology, Inc. (a) | 56,506 | 4,801,880 | ||||||
NXP Semiconductor NV | 14,736 | 3,031,490 | ||||||
Qorvo, Inc. (a) | 13,066 | 2,556,363 | ||||||
QUALCOMM, Inc. | 30,218 | 4,319,059 | ||||||
Texas Instruments, Inc. | 4,659 | 895,926 | ||||||
31,349,608 | ||||||||
Software — 2.4% | ||||||||
Fidelity National Information Services, Inc. | 22,427 | 3,177,233 | ||||||
Oracle Corp. | 114,657 | 8,924,901 | ||||||
SS&C Technologies Holdings, Inc | 29,634 | 2,135,426 | ||||||
14,237,560 | ||||||||
51,236,117 | ||||||||
Utilities — 3.3% | ||||||||
Electric — 3.3% | ||||||||
CenterPoint Energy, Inc. | 338,651 | 8,303,722 | ||||||
Dominion Energy, Inc. | 32,302 | 2,376,458 | ||||||
Edison International | 29,030 | 1,678,515 | ||||||
Entergy Corp. | 28,727 | 2,864,082 | ||||||
Exelon Corp. | 106,249 | 4,707,893 | ||||||
19,930,670 | ||||||||
19,930,670 | ||||||||
TOTAL COMMON STOCK (Cost $440,929,973) | 599,652,460 | |||||||
TOTAL EQUITIES (Cost $440,929,973) | 599,652,460 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $440,929,973) | 599,652,460 | |||||||
MassMutual Fundamental Value Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||||
Repurchase Agreement — 0.9% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (c) | $ | 5,389,281 | $ | 5,389,281 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,389,281) | 5,389,281 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $446,319,254) (d) | 605,041,741 | |||||||
Other Assets/(Liabilities) — 0.0% | 164,138 | |||||||
NET ASSETS — 100.0% | $ | 605,205,879 |
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 June 30, 2021, was $2,493,816 or 0.41% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $2,543,921 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 $5,389,281. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $5,497,161. |
(d) | See Note 3 for aggregate cost for federal tax purposes. |
MM S&P 500 Index Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.7% | ||||||||
COMMON STOCK — 99.7% | ||||||||
Basic Materials — 2.1% | ||||||||
Chemicals — 1.6% | ||||||||
Air Products & Chemicals, Inc. | 21,800 | $ | 6,271,424 | |||||
Albemarle Corp. | 11,510 | 1,938,974 | ||||||
Celanese Corp. | 11,211 | 1,699,588 | ||||||
CF Industries Holdings, Inc. | 21,608 | 1,111,732 | ||||||
Dow, Inc. | 73,789 | 4,669,368 | ||||||
DuPont de Nemours, Inc. | 52,504 | 4,064,335 | ||||||
Eastman Chemical Co. | 13,261 | 1,548,222 | ||||||
Ecolab, Inc. | 24,606 | 5,068,098 | ||||||
FMC Corp. | 12,850 | 1,390,370 | ||||||
International Flavors & Fragrances, Inc. | 24,629 | 3,679,572 | ||||||
Linde PLC | 51,172 | 14,793,825 | ||||||
LyondellBasell Industries NV Class A | 25,514 | 2,624,625 | ||||||
The Mosaic Co. | 33,235 | 1,060,529 | ||||||
PPG Industries, Inc. | 23,252 | 3,947,492 | ||||||
The Sherwin-Williams Co. | 23,510 | 6,405,299 | ||||||
60,273,453 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 38,901 | 2,385,020 | ||||||
Iron & Steel — 0.1% | ||||||||
Nucor Corp. | 29,490 | 2,828,976 | ||||||
Mining — 0.3% | ||||||||
Freeport-McMoRan, Inc. | 144,891 | 5,376,905 | ||||||
Newmont Corp. | 78,724 | 4,989,527 | ||||||
10,366,432 | ||||||||
75,853,881 | ||||||||
Communications — 16.3% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. | 38,072 | 1,236,959 | ||||||
Omnicom Group, Inc. | 21,208 | 1,696,428 | ||||||
2,933,387 | ||||||||
Internet — 11.8% | ||||||||
Alphabet, Inc. Class A (a) | 29,618 | 72,320,936 | ||||||
Alphabet, Inc. Class C (a) | 28,061 | 70,329,845 | ||||||
Amazon.com, Inc. (a) | 42,230 | 145,277,957 | ||||||
Booking Holdings, Inc. (a) | 4,046 | 8,853,012 | ||||||
CDW Corp./DE | 13,667 | 2,386,942 | ||||||
eBay, Inc. | 63,889 | 4,485,647 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Etsy, Inc. (a) | 12,540 | $ | 2,581,234 | |||||
Expedia Group, Inc. (a) | 14,043 | 2,298,980 | ||||||
F5 Networks, Inc. (a) | 5,990 | 1,118,093 | ||||||
Facebook, Inc. Class A (a) | 236,043 | 82,074,511 | ||||||
Netflix, Inc. (a) | 43,685 | 23,074,854 | ||||||
NortonLifeLock, Inc. | 56,963 | 1,550,533 | ||||||
Twitter, Inc. (a) | 78,238 | 5,383,557 | ||||||
VeriSign, Inc. (a) | 9,710 | 2,210,870 | ||||||
423,946,971 | ||||||||
Media — 2.1% | ||||||||
Charter Communications, Inc. Class A (a) | 13,561 | 9,783,583 | ||||||
Comcast Corp. Class A | 452,098 | 25,778,628 | ||||||
Discovery, Inc. Class A (a) (b) | 16,229 | 497,906 | ||||||
Discovery, Inc. Class C (a) | 29,246 | 847,549 | ||||||
DISH Network Corp. Class A (a) | 24,085 | 1,006,753 | ||||||
Fox Corp. Class A | 32,671 | 1,213,074 | ||||||
Fox Corp. Class B | 15,309 | 538,877 | ||||||
News Corp. Class A | 37,728 | 972,250 | ||||||
News Corp. Class B | 12,785 | 311,315 | ||||||
ViacomCBS, Inc. Class B | 59,988 | 2,711,458 | ||||||
The Walt Disney Co. (a) | 179,066 | 31,474,431 | ||||||
75,135,824 | ||||||||
Telecommunications — 2.3% | ||||||||
Arista Networks, Inc. (a) | 5,405 | 1,958,286 | ||||||
AT&T, Inc. | 703,585 | 20,249,176 | ||||||
Cisco Systems, Inc. | 415,180 | 22,004,540 | ||||||
Corning, Inc. | 76,687 | 3,136,498 | ||||||
Juniper Networks, Inc. | 31,692 | 866,776 | ||||||
Lumen Technologies, Inc. | 96,268 | 1,308,282 | ||||||
Motorola Solutions, Inc. | 16,618 | 3,603,613 | ||||||
T-Mobile US, Inc. (a) | 57,809 | 8,372,478 | ||||||
Verizon Communications, Inc. | 408,289 | 22,876,433 | ||||||
84,376,082 | ||||||||
586,392,264 | ||||||||
Consumer, Cyclical — 9.5% | ||||||||
Airlines — 0.3% | ||||||||
Alaska Air Group, Inc. (a) | 12,633 | 761,896 | ||||||
American Airlines Group, Inc. (a) | 62,457 | 1,324,713 | ||||||
Delta Air Lines, Inc. (a) | 62,683 | 2,711,667 | ||||||
Southwest Airlines Co. (a) | 58,356 | 3,098,120 | ||||||
United Airlines Holdings, Inc. (a) | 31,958 | 1,671,084 | ||||||
9,567,480 | ||||||||
Apparel — 0.7% | ||||||||
Hanesbrands, Inc. | 35,219 | 657,539 | ||||||
NIKE, Inc. Class B | 125,502 | 19,388,804 | ||||||
PVH Corp. (a) | 7,160 | 770,344 | ||||||
Ralph Lauren Corp. | 4,918 | 579,389 | ||||||
Tapestry, Inc. (a) | 27,269 | 1,185,656 | ||||||
Under Armour, Inc. Class A (a) | 19,645 | 415,492 | ||||||
Under Armour, Inc. Class C (a) | 19,459 | 361,354 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
VF Corp. | 31,856 | $ | 2,613,466 | |||||
25,972,044 | ||||||||
Auto Manufacturers — 2.0% | ||||||||
Cummins, Inc. | 14,373 | 3,504,281 | ||||||
Ford Motor Co. (a) | 387,890 | 5,764,045 | ||||||
General Motors Co. (a) | 125,507 | 7,426,249 | ||||||
PACCAR, Inc. | 34,034 | 3,037,535 | ||||||
Tesla, Inc. (a) | 75,913 | 51,598,066 | ||||||
71,330,176 | ||||||||
Auto Parts & Equipment — 0.2% | ||||||||
Aptiv PLC (a) | 26,589 | 4,183,247 | ||||||
BorgWarner, Inc. | 23,118 | 1,122,148 | ||||||
5,305,395 | ||||||||
Distribution & Wholesale — 0.3% | ||||||||
Copart, Inc. (a) | 20,632 | 2,719,917 | ||||||
Fastenal Co. | 56,390 | 2,932,280 | ||||||
LKQ Corp. (a) | 27,370 | 1,347,151 | ||||||
Pool Corp. | 3,949 | 1,811,248 | ||||||
W.W. Grainger, Inc. | 4,316 | 1,890,408 | ||||||
10,701,004 | ||||||||
Entertainment — 0.1% | ||||||||
Caesars Entertainment, Inc. (a) | 20,543 | 2,131,336 | ||||||
Live Nation Entertainment, Inc. (a) | 13,956 | 1,222,406 | ||||||
Penn National Gaming, Inc. (a) | 14,423 | 1,103,216 | ||||||
4,456,958 | ||||||||
Home Builders — 0.3% | ||||||||
D.R. Horton, Inc. | 32,436 | 2,931,242 | ||||||
Lennar Corp. Class A | 27,235 | 2,705,797 | ||||||
NVR, Inc. (a) | 340 | 1,690,922 | ||||||
PulteGroup, Inc. | 25,925 | 1,414,727 | ||||||
8,742,688 | ||||||||
Home Furnishing — 0.1% | ||||||||
Leggett & Platt, Inc. | 13,298 | 688,970 | ||||||
Whirlpool Corp. | 6,168 | 1,344,747 | ||||||
2,033,717 | ||||||||
Housewares — 0.0% | ||||||||
Newell Brands, Inc. | 36,795 | 1,010,759 | ||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. (a) | 78,140 | 2,059,770 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 36,654 | 1,077,994 | ||||||
Royal Caribbean Cruises Ltd. (a) | 21,323 | 1,818,426 | ||||||
4,956,190 | ||||||||
Lodging — 0.3% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 27,365 | 3,300,766 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Las Vegas Sands Corp. (a) | 32,504 | $ | 1,712,636 | |||||
Marriott International, Inc. Class A (a) | 26,457 | 3,611,910 | ||||||
MGM Resorts International | 40,507 | 1,727,623 | ||||||
Wynn Resorts Ltd. (a) | 10,233 | 1,251,496 | ||||||
11,604,431 | ||||||||
Retail — 5.1% | ||||||||
Advance Auto Parts, Inc. | 6,352 | 1,303,049 | ||||||
AutoZone, Inc. (a) | 2,127 | 3,173,952 | ||||||
Best Buy Co., Inc. | 21,781 | 2,504,379 | ||||||
CarMax, Inc. (a) | 16,156 | 2,086,547 | ||||||
Chipotle Mexican Grill, Inc. (a) | 2,774 | 4,300,643 | ||||||
Costco Wholesale Corp. | 43,613 | 17,256,356 | ||||||
Darden Restaurants, Inc. | 12,830 | 1,873,052 | ||||||
Dollar General Corp. | 23,268 | 5,034,963 | ||||||
Dollar Tree, Inc. (a) | 22,864 | 2,274,968 | ||||||
Domino's Pizza, Inc. | 3,817 | 1,780,592 | ||||||
The Gap, Inc. | 20,797 | 699,819 | ||||||
Genuine Parts Co. | 14,338 | 1,813,327 | ||||||
The Home Depot, Inc. | 104,750 | 33,403,728 | ||||||
L Brands, Inc. | 22,920 | 1,651,615 | ||||||
Lowe's Cos., Inc. | 69,627 | 13,505,549 | ||||||
McDonald's Corp. | 73,614 | 17,004,098 | ||||||
O'Reilly Automotive, Inc. (a) | 6,916 | 3,915,908 | ||||||
Ross Stores, Inc. | 35,200 | 4,364,800 | ||||||
Starbucks Corp. | 116,253 | 12,998,248 | ||||||
Target Corp. | 48,771 | 11,789,902 | ||||||
The TJX Cos., Inc. | 118,783 | 8,008,350 | ||||||
Tractor Supply Co. | 11,223 | 2,088,151 | ||||||
Ulta Beauty, Inc. (a) | 5,396 | 1,865,775 | ||||||
Walgreens Boots Alliance, Inc. | 70,548 | 3,711,530 | ||||||
Walmart, Inc. | 135,435 | 19,099,044 | ||||||
Yum! Brands, Inc. | 29,348 | 3,375,900 | ||||||
180,884,245 | ||||||||
Textiles — 0.0% | ||||||||
Mohawk Industries, Inc. (a) | 5,830 | 1,120,468 | ||||||
Toys, Games & Hobbies — 0.0% | ||||||||
Hasbro, Inc. | 12,583 | 1,189,345 | ||||||
338,874,900 | ||||||||
Consumer, Non-cyclical — 19.9% | ||||||||
Agriculture — 0.8% | ||||||||
Altria Group, Inc. | 182,437 | 8,698,596 | ||||||
Archer-Daniels-Midland Co. | 54,895 | 3,326,637 | ||||||
Philip Morris International, Inc. | 153,682 | 15,231,423 | ||||||
27,256,656 | ||||||||
Beverages — 1.4% | ||||||||
Brown-Forman Corp. Class B | 17,820 | 1,335,431 | ||||||
The Coca-Cola Co. | 382,733 | 20,709,683 | ||||||
Constellation Brands, Inc. Class A | 16,579 | 3,877,662 | ||||||
Molson Coors Beverage Co. Class B (a) | 18,345 | 984,943 | ||||||
Monster Beverage Corp. (a) | 36,531 | 3,337,107 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
PepsiCo, Inc. | 136,277 | $ | 20,192,163 | |||||
50,436,989 | ||||||||
Biotechnology — 1.5% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 21,679 | 3,982,649 | ||||||
Amgen, Inc. | 56,625 | 13,802,344 | ||||||
Bio-Rad Laboratories, Inc. Class A (a) | 2,112 | 1,360,740 | ||||||
Biogen, Inc. (a) | 14,789 | 5,120,987 | ||||||
Corteva, Inc. | 72,361 | 3,209,210 | ||||||
Gilead Sciences, Inc. | 123,689 | 8,517,225 | ||||||
Illumina, Inc. (a) | 14,393 | 6,810,911 | ||||||
Incyte Corp. (a) | 18,258 | 1,536,046 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 10,326 | 5,767,484 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 25,479 | 5,137,331 | ||||||
55,244,927 | ||||||||
Commercial Services — 2.5% | ||||||||
Automatic Data Processing, Inc. | 41,973 | 8,336,677 | ||||||
Cintas Corp. | 8,657 | 3,306,974 | ||||||
Equifax, Inc. | 11,937 | 2,859,031 | ||||||
FleetCor Technologies, Inc. (a) | 8,124 | 2,080,231 | ||||||
Gartner, Inc. (a) | 8,514 | 2,062,091 | ||||||
Global Payments, Inc. | 29,095 | 5,456,476 | ||||||
IHS Markit Ltd. | 36,731 | 4,138,114 | ||||||
MarketAxess Holdings, Inc. | 3,790 | 1,757,006 | ||||||
Moody's Corp. | 15,892 | 5,758,784 | ||||||
Nielsen Holdings PLC | 34,604 | 853,681 | ||||||
PayPal Holdings, Inc. (a) | 115,741 | 33,736,187 | ||||||
Quanta Services, Inc. | 13,977 | 1,265,897 | ||||||
Robert Half International, Inc. | 10,847 | 965,058 | ||||||
Rollins, Inc. | 21,123 | 722,407 | ||||||
S&P Global, Inc. | 23,761 | 9,752,702 | ||||||
United Rentals, Inc. (a) | 7,150 | 2,280,922 | ||||||
Verisk Analytics, Inc. | 15,938 | 2,784,687 | ||||||
88,116,925 | ||||||||
Cosmetics & Personal Care — 1.3% | ||||||||
Colgate-Palmolive Co. | 83,324 | 6,778,408 | ||||||
The Estee Lauder Cos., Inc. Class A | 22,800 | 7,252,224 | ||||||
The Procter & Gamble Co. | 241,368 | 32,567,784 | ||||||
46,598,416 | ||||||||
Food — 1.0% | ||||||||
Campbell Soup Co. | 19,621 | 894,521 | ||||||
Conagra Brands, Inc. | 46,687 | 1,698,473 | ||||||
General Mills, Inc. | 60,255 | 3,671,337 | ||||||
The Hershey Co. | 14,361 | 2,501,399 | ||||||
Hormel Foods Corp. | 27,323 | 1,304,673 | ||||||
The J.M. Smucker Co. | 10,657 | 1,380,827 | ||||||
Kellogg Co. | 24,550 | 1,579,302 | ||||||
The Kraft Heinz Co. | 64,272 | 2,621,012 | ||||||
The Kroger Co. | 74,534 | 2,855,398 | ||||||
Lamb Weston Holdings, Inc. | 14,162 | 1,142,307 | ||||||
McCormick & Co., Inc. | 24,604 | 2,173,025 | ||||||
Mondelez International, Inc. Class A | 138,180 | 8,627,959 | ||||||
Sysco Corp. | 50,337 | 3,913,702 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Tyson Foods, Inc. Class A | 28,764 | $ | 2,121,633 | |||||
36,485,568 | ||||||||
Health Care – Products — 3.9% | ||||||||
Abbott Laboratories | 175,165 | 20,306,878 | ||||||
ABIOMED, Inc. (a) | 4,406 | 1,375,157 | ||||||
Align Technology, Inc. (a) | 7,122 | 4,351,542 | ||||||
Baxter International, Inc. | 49,253 | 3,964,867 | ||||||
Boston Scientific Corp. (a) | 139,802 | 5,977,934 | ||||||
The Cooper Cos., Inc. | 4,855 | 1,923,891 | ||||||
Danaher Corp. | 62,629 | 16,807,118 | ||||||
Dentsply Sirona, Inc. | 21,542 | 1,362,747 | ||||||
Edwards Lifesciences Corp. (a) | 61,012 | 6,319,013 | ||||||
Henry Schein, Inc. (a) | 13,716 | 1,017,590 | ||||||
Hologic, Inc. (a) | 25,263 | 1,685,547 | ||||||
IDEXX Laboratories, Inc. (a) | 8,367 | 5,284,179 | ||||||
Intuitive Surgical, Inc. (a) | 11,689 | 10,749,672 | ||||||
Medtronic PLC | 132,738 | 16,476,768 | ||||||
PerkinElmer, Inc. | 10,994 | 1,697,584 | ||||||
ResMed, Inc. | 14,288 | 3,522,278 | ||||||
Steris PLC | 9,670 | 1,994,921 | ||||||
Stryker Corp. | 32,385 | 8,411,356 | ||||||
Teleflex, Inc. | 4,617 | 1,855,064 | ||||||
Thermo Fisher Scientific, Inc. | 38,769 | 19,557,797 | ||||||
West Pharmaceutical Services, Inc. | 7,204 | 2,586,956 | ||||||
Zimmer Biomet Holdings, Inc. | 20,484 | 3,294,237 | ||||||
140,523,096 | ||||||||
Health Care – Services — 2.1% | ||||||||
Anthem, Inc. | 24,119 | 9,208,634 | ||||||
Catalent, Inc. (a) | 16,793 | 1,815,659 | ||||||
Centene Corp. (a) | 57,492 | 4,192,892 | ||||||
Charles River Laboratories International, Inc. (a) | 4,963 | 1,835,913 | ||||||
DaVita, Inc. (a) | 6,883 | 828,920 | ||||||
HCA Healthcare, Inc. | 25,842 | 5,342,575 | ||||||
Humana, Inc. | 12,682 | 5,614,575 | ||||||
IQVIA Holdings, Inc. (a) | 18,881 | 4,575,244 | ||||||
Laboratory Corp. of America Holdings (a) | 9,671 | 2,667,745 | ||||||
Quest Diagnostics, Inc. | 12,904 | 1,702,941 | ||||||
UnitedHealth Group, Inc. | 93,016 | 37,247,327 | ||||||
Universal Health Services, Inc. Class B | 7,609 | 1,114,186 | ||||||
76,146,611 | ||||||||
Household Products & Wares — 0.3% | ||||||||
Avery Dennison Corp. | 8,166 | 1,716,820 | ||||||
Church & Dwight Co., Inc. | 24,167 | 2,059,512 | ||||||
The Clorox Co. | 12,171 | 2,189,684 | ||||||
Kimberly-Clark Corp. | 33,417 | 4,470,526 | ||||||
10,436,542 | ||||||||
Pharmaceuticals — 5.1% | ||||||||
AbbVie, Inc. | 174,027 | 19,602,401 | ||||||
AmerisourceBergen Corp. | 14,515 | 1,661,822 | ||||||
Becton Dickinson and Co. | 28,576 | 6,949,397 | ||||||
Bristol-Myers Squibb Co. | 220,302 | 14,720,580 | ||||||
Cardinal Health, Inc. | 28,796 | 1,643,964 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Cigna Corp. | 33,793 | $ | 8,011,307 | |||||
CVS Health Corp. | 129,750 | 10,826,340 | ||||||
DexCom, Inc. (a) | 9,480 | 4,047,960 | ||||||
Eli Lilly & Co. | 78,447 | 18,005,155 | ||||||
Johnson & Johnson | 259,471 | 42,745,253 | ||||||
McKesson Corp. | 15,610 | 2,985,256 | ||||||
Merck & Co., Inc. | 249,758 | 19,423,680 | ||||||
Organon & Co. (a) | 25,059 | 758,285 | ||||||
Perrigo Co. PLC | 13,360 | 612,556 | ||||||
Pfizer, Inc. | 551,622 | 21,601,518 | ||||||
Viatris, Inc. | 119,046 | 1,701,167 | ||||||
Zoetis, Inc. | 46,760 | 8,714,194 | ||||||
184,010,835 | ||||||||
715,256,565 | ||||||||
Energy — 2.9% | ||||||||
Energy – Alternate Sources — 0.1% | ||||||||
Enphase Energy, Inc. (a) | 13,459 | 2,471,476 | ||||||
Oil & Gas — 2.3% | ||||||||
APA Corp. | 38,145 | 825,076 | ||||||
Cabot Oil & Gas Corp. | 40,804 | 712,438 | ||||||
Chevron Corp. | 190,168 | 19,918,196 | ||||||
ConocoPhillips | 132,514 | 8,070,103 | ||||||
Devon Energy Corp. | 59,558 | 1,738,498 | ||||||
Diamondback Energy, Inc. | 17,684 | 1,660,351 | ||||||
EOG Resources, Inc. | 57,187 | 4,771,683 | ||||||
Exxon Mobil Corp. | 416,660 | 26,282,913 | ||||||
Hess Corp. | 27,196 | 2,374,755 | ||||||
Marathon Oil Corp. | 75,712 | 1,031,197 | ||||||
Marathon Petroleum Corp. | 62,760 | 3,791,959 | ||||||
Occidental Petroleum Corp. | 83,565 | 2,613,078 | ||||||
Phillips 66 | 43,242 | 3,711,029 | ||||||
Pioneer Natural Resources Co. | 22,841 | 3,712,119 | ||||||
Valero Energy Corp. | 40,013 | 3,124,215 | ||||||
84,337,610 | ||||||||
Oil & Gas Services — 0.2% | ||||||||
Baker Hughes Co. | 71,816 | 1,642,432 | ||||||
Halliburton Co. | 88,636 | 2,049,265 | ||||||
Nov, Inc. (a) | 38,985 | 597,250 | ||||||
Schlumberger NV | 138,412 | 4,430,568 | ||||||
8,719,515 | ||||||||
Pipelines — 0.3% | ||||||||
Kinder Morgan, Inc. | 192,455 | 3,508,454 | ||||||
ONEOK, Inc. | 44,312 | 2,465,520 | ||||||
The Williams Cos., Inc. | 120,420 | 3,197,151 | ||||||
9,171,125 | ||||||||
104,699,726 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Financial — 15.2% | ||||||||
Banks — 5.2% | ||||||||
Bank of America Corp. | 742,616 | $ | 30,618,058 | |||||
The Bank of New York Mellon Corp. | 79,233 | 4,059,107 | ||||||
Citigroup, Inc. | 203,531 | 14,399,818 | ||||||
Citizens Financial Group, Inc. | 42,387 | 1,944,292 | ||||||
Comerica, Inc. | 13,682 | 976,074 | ||||||
Fifth Third Bancorp | 69,630 | 2,661,955 | ||||||
First Republic Bank | 17,273 | 3,232,987 | ||||||
The Goldman Sachs Group, Inc. | 33,497 | 12,713,116 | ||||||
Huntington Bancshares, Inc. | 146,109 | 2,084,976 | ||||||
JP Morgan Chase & Co. | 298,119 | 46,369,429 | ||||||
KeyCorp. | 94,534 | 1,952,127 | ||||||
M&T Bank Corp. | 12,799 | 1,859,823 | ||||||
Morgan Stanley | 146,573 | 13,439,278 | ||||||
Northern Trust Corp. | 20,694 | 2,392,640 | ||||||
The PNC Financial Services Group, Inc. | 41,855 | 7,984,260 | ||||||
Regions Financial Corp. | 95,872 | 1,934,697 | ||||||
State Street Corp. | 34,011 | 2,798,425 | ||||||
SVB Financial Group (a) | 5,370 | 2,988,029 | ||||||
Truist Financial Corp. | 132,086 | 7,330,773 | ||||||
US Bancorp | 133,165 | 7,586,410 | ||||||
Wells Fargo & Co. | 407,111 | 18,438,057 | ||||||
Zions Bancorp NA | 16,065 | 849,196 | ||||||
188,613,527 | ||||||||
Diversified Financial Services — 4.1% | ||||||||
American Express Co. | 64,071 | 10,586,451 | ||||||
Ameriprise Financial, Inc. | 11,440 | 2,847,187 | ||||||
BlackRock, Inc. | 13,977 | 12,229,456 | ||||||
Capital One Financial Corp. | 44,396 | 6,867,617 | ||||||
Cboe Global Markets, Inc. | 10,392 | 1,237,168 | ||||||
The Charles Schwab Corp. | 147,706 | 10,754,474 | ||||||
CME Group, Inc. | 35,393 | 7,527,383 | ||||||
Discover Financial Services | 30,173 | 3,569,164 | ||||||
Franklin Resources, Inc. | 26,353 | 843,032 | ||||||
Intercontinental Exchange, Inc. | 55,525 | 6,590,817 | ||||||
Invesco Ltd. | 38,034 | 1,016,649 | ||||||
Mastercard, Inc. Class A | 86,190 | 31,467,107 | ||||||
Nasdaq, Inc. | 11,178 | 1,965,092 | ||||||
Raymond James Financial, Inc. | 12,044 | 1,564,516 | ||||||
Synchrony Financial | 53,783 | 2,609,551 | ||||||
T. Rowe Price Group, Inc. | 22,449 | 4,444,229 | ||||||
Visa, Inc. Class A | 166,736 | 38,986,212 | ||||||
The Western Union Co. | 39,341 | 903,663 | ||||||
146,009,768 | ||||||||
Insurance — 3.3% | ||||||||
Aflac, Inc. | 62,267 | 3,341,247 | ||||||
The Allstate Corp. | 29,461 | 3,842,893 | ||||||
American International Group, Inc. | 84,527 | 4,023,485 | ||||||
Aon PLC Class A | 22,242 | 5,310,500 | ||||||
Arthur J Gallagher & Co. | 20,076 | 2,812,246 | ||||||
Assurant, Inc. | 5,993 | 935,987 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 186,640 | 51,870,989 | ||||||
Chubb Ltd. | 44,177 | 7,021,492 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Cincinnati Financial Corp. | 14,546 | $ | 1,696,354 | |||||
Everest Re Group Ltd. | 3,887 | 979,563 | ||||||
Globe Life, Inc. | 9,303 | 886,111 | ||||||
The Hartford Financial Services Group, Inc. | 34,943 | 2,165,418 | ||||||
Lincoln National Corp. | 17,434 | 1,095,553 | ||||||
Loews Corp. | 21,807 | 1,191,753 | ||||||
Marsh & McLennan Cos., Inc. | 50,230 | 7,066,356 | ||||||
MetLife, Inc. | 73,570 | 4,403,164 | ||||||
Principal Financial Group, Inc. | 24,624 | 1,555,991 | ||||||
The Progressive Corp. | 57,406 | 5,637,843 | ||||||
Prudential Financial, Inc. | 38,582 | 3,953,497 | ||||||
The Travelers Cos., Inc. | 24,870 | 3,723,288 | ||||||
Unum Group | 20,118 | 571,351 | ||||||
W.R. Berkley Corp. | 14,076 | 1,047,677 | ||||||
Willis Towers Watson PLC | 12,620 | 2,902,852 | ||||||
118,035,610 | ||||||||
Real Estate — 0.1% | ||||||||
CBRE Group, Inc. Class A (a) | 33,281 | 2,853,180 | ||||||
Real Estate Investment Trusts (REITS) — 2.5% | ||||||||
Alexandria Real Estate Equities, Inc. | 13,475 | 2,451,641 | ||||||
American Tower Corp. | 44,848 | 12,115,239 | ||||||
AvalonBay Communities, Inc. | 13,832 | 2,886,600 | ||||||
Boston Properties, Inc. | 13,849 | 1,586,957 | ||||||
Crown Castle International Corp. | 42,680 | 8,326,868 | ||||||
Digital Realty Trust, Inc. | 27,813 | 4,184,744 | ||||||
Duke Realty Corp. | 36,839 | 1,744,327 | ||||||
Equinix, Inc. | 8,818 | 7,077,327 | ||||||
Equity Residential | 34,200 | 2,633,400 | ||||||
Essex Property Trust, Inc. | 6,395 | 1,918,564 | ||||||
Extra Space Storage, Inc. | 13,024 | 2,133,592 | ||||||
Federal Realty Investment Trust | 7,035 | 824,291 | ||||||
Healthpeak Properties, Inc. | 53,521 | 1,781,714 | ||||||
Host Hotels & Resorts, Inc. (a) | 68,454 | 1,169,879 | ||||||
Iron Mountain, Inc. (b) | 28,018 | 1,185,722 | ||||||
Kimco Realty Corp. | 43,643 | 909,957 | ||||||
Mid-America Apartment Communities, Inc. | 11,194 | 1,885,293 | ||||||
Prologis, Inc. | 72,987 | 8,724,136 | ||||||
Public Storage | 15,037 | 4,521,476 | ||||||
Realty Income Corp. | 36,889 | 2,461,972 | ||||||
Regency Centers Corp. | 15,927 | 1,020,443 | ||||||
SBA Communications Corp. | 10,745 | 3,424,431 | ||||||
Simon Property Group, Inc. | 32,348 | 4,220,767 | ||||||
UDR, Inc. | 28,876 | 1,414,346 | ||||||
Ventas, Inc. | 37,201 | 2,124,177 | ||||||
Vornado Realty Trust | 14,944 | 697,436 | ||||||
Welltower, Inc. | 40,822 | 3,392,308 | ||||||
Weyerhaeuser Co. | 74,173 | 2,553,035 | ||||||
89,370,642 | ||||||||
Savings & Loans — 0.0% | ||||||||
People's United Financial, Inc. | 43,325 | 742,591 | ||||||
545,625,318 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Industrial — 8.2% | ||||||||
Aerospace & Defense — 1.6% | ||||||||
The Boeing Co. (a) | 54,151 | $ | 12,972,414 | |||||
General Dynamics Corp. | 22,583 | 4,251,476 | ||||||
Howmet Aerospace, Inc. (a) | 37,880 | 1,305,724 | ||||||
L3 Harris Technologies, Inc. | 20,083 | 4,340,940 | ||||||
Lockheed Martin Corp. | 24,072 | 9,107,641 | ||||||
Northrop Grumman Corp. | 14,786 | 5,373,676 | ||||||
Raytheon Technologies Corp. | 149,406 | 12,745,826 | ||||||
Teledyne Technologies, Inc. (a) | 4,568 | 1,913,215 | ||||||
TransDigm Group, Inc. (a) | 5,380 | 3,482,420 | ||||||
55,493,332 | ||||||||
Building Materials — 0.5% | ||||||||
Carrier Global Corp. | 80,364 | 3,905,690 | ||||||
Fortune Brands Home & Security, Inc. | 13,739 | 1,368,542 | ||||||
Johnson Controls International PLC | 70,421 | 4,832,993 | ||||||
Martin Marietta Materials, Inc. | 6,202 | 2,181,926 | ||||||
Masco Corp. | 25,170 | 1,482,765 | ||||||
Vulcan Materials Co. | 13,206 | 2,298,768 | ||||||
16,070,684 | ||||||||
Electrical Components & Equipment — 0.3% | ||||||||
AMETEK, Inc. | 22,603 | 3,017,500 | ||||||
Emerson Electric Co. | 59,045 | 5,682,491 | ||||||
Generac Holdings, Inc. (a) | 6,251 | 2,595,103 | ||||||
11,295,094 | ||||||||
Electronics — 1.2% | ||||||||
Agilent Technologies, Inc. | 29,771 | 4,400,451 | ||||||
Allegion PLC | 8,791 | 1,224,586 | ||||||
Amphenol Corp. Class A | 58,977 | 4,034,617 | ||||||
Fortive Corp. | 33,639 | 2,345,984 | ||||||
Garmin Ltd. | 14,711 | 2,127,799 | ||||||
Honeywell International, Inc. | 68,462 | 15,017,140 | ||||||
Keysight Technologies, Inc. (a) | 18,199 | 2,810,108 | ||||||
Mettler-Toledo International, Inc. (a) | 2,286 | 3,166,887 | ||||||
TE Connectivity Ltd. | 32,603 | 4,408,252 | ||||||
Trimble, Inc. (a) | 24,933 | 2,040,267 | ||||||
Waters Corp. (a) | 6,126 | 2,117,207 | ||||||
43,693,298 | ||||||||
Engineering & Construction — 0.1% | ||||||||
Jacobs Engineering Group, Inc. | 12,836 | 1,712,579 | ||||||
Environmental Controls — 0.2% | ||||||||
Pentair PLC | 16,699 | 1,127,016 | ||||||
Republic Services, Inc. | 20,606 | 2,266,866 | ||||||
Waste Management, Inc. | 38,302 | 5,366,493 | ||||||
8,760,375 | ||||||||
Hand & Machine Tools — 0.1% | ||||||||
Snap-on, Inc. | 5,312 | 1,186,860 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Stanley Black & Decker, Inc. | 15,793 | $ | 3,237,407 | |||||
4,424,267 | ||||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Caterpillar, Inc. | 53,932 | 11,737,221 | ||||||
Machinery – Diversified — 0.7% | ||||||||
Deere & Co. | 30,703 | 10,829,255 | ||||||
Dover Corp. | 14,335 | 2,158,851 | ||||||
IDEX Corp. | 7,482 | 1,646,414 | ||||||
Ingersoll Rand, Inc. (a) | 36,834 | 1,797,868 | ||||||
Otis Worldwide Corp. | 39,810 | 3,255,264 | ||||||
Rockwell Automation, Inc. | 11,364 | 3,250,331 | ||||||
Westinghouse Air Brake Technologies Corp. | 17,265 | 1,420,909 | ||||||
Xylem, Inc. | 17,707 | 2,124,132 | ||||||
26,483,024 | ||||||||
Miscellaneous - Manufacturing — 1.3% | ||||||||
3M Co. | 57,168 | 11,355,280 | ||||||
A.O. Smith Corp. | 12,885 | 928,493 | ||||||
Eaton Corp. PLC | 39,246 | 5,815,472 | ||||||
General Electric Co. | 864,712 | 11,639,023 | ||||||
Illinois Tool Works, Inc. | 28,210 | 6,306,628 | ||||||
Parker-Hannifin Corp. | 12,732 | 3,910,124 | ||||||
Textron, Inc. | 22,128 | 1,521,743 | ||||||
Trane Technologies PLC | 23,520 | 4,330,973 | ||||||
45,807,736 | ||||||||
Packaging & Containers — 0.2% | ||||||||
Amcor PLC | 153,706 | 1,761,471 | ||||||
Ball Corp. | 32,546 | 2,636,877 | ||||||
Packaging Corp. of America | 9,257 | 1,253,583 | ||||||
Sealed Air Corp. | 14,753 | 874,115 | ||||||
WestRock Co. | 25,749 | 1,370,362 | ||||||
7,896,408 | ||||||||
Shipbuilding — 0.0% | ||||||||
Huntington Ingalls Industries, Inc. | 4,047 | 852,905 | ||||||
Transportation — 1.7% | ||||||||
C.H. Robinson Worldwide, Inc. | 13,003 | 1,217,991 | ||||||
CSX Corp. | 224,007 | 7,186,144 | ||||||
Expeditors International of Washington, Inc. | 16,476 | 2,085,862 | ||||||
FedEx Corp. | 23,973 | 7,151,865 | ||||||
J.B. Hunt Transport Services, Inc. | 8,134 | 1,325,435 | ||||||
Kansas City Southern | 9,010 | 2,553,164 | ||||||
Norfolk Southern Corp. | 24,651 | 6,542,622 | ||||||
Old Dominion Freight Line, Inc. | 9,388 | 2,382,674 | ||||||
Union Pacific Corp. | 65,474 | 14,399,697 | ||||||
United Parcel Service, Inc. Class B | 71,235 | 14,814,743 | ||||||
59,660,197 | ||||||||
293,887,120 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Technology — 23.1% | ||||||||
Computers — 7.3% | ||||||||
Accenture PLC Class A | 62,656 | $ | 18,470,362 | |||||
Apple, Inc. | 1,545,414 | 211,659,901 | ||||||
Cognizant Technology Solutions Corp. Class A | 51,699 | 3,580,673 | ||||||
DXC Technology Co. (a) | 25,680 | 999,979 | ||||||
Fortinet, Inc. (a) | 13,271 | 3,161,020 | ||||||
Hewlett Packard Enterprise Co. | 128,256 | 1,869,973 | ||||||
HP, Inc. | 118,282 | 3,570,934 | ||||||
International Business Machines Corp. | 88,130 | 12,918,977 | ||||||
Leidos Holdings, Inc. | 13,003 | 1,314,603 | ||||||
NetApp, Inc. | 21,879 | 1,790,140 | ||||||
Seagate Technology Holdings PLC | 19,797 | 1,740,750 | ||||||
Western Digital Corp. (a) | 30,372 | 2,161,575 | ||||||
263,238,887 | ||||||||
Office & Business Equipment — 0.1% | ||||||||
Zebra Technologies Corp. Class A (a) | 5,308 | 2,810,533 | ||||||
Semiconductors — 5.7% | ||||||||
Advanced Micro Devices, Inc. (a) | 119,676 | 11,241,167 | ||||||
Analog Devices, Inc. | 36,329 | 6,254,401 | ||||||
Applied Materials, Inc. | 90,393 | 12,871,963 | ||||||
Broadcom, Inc. | 40,224 | 19,180,412 | ||||||
Intel Corp. | 397,807 | 22,332,885 | ||||||
IPG Photonics Corp. (a) | 3,652 | 769,732 | ||||||
KLA Corp. | 15,087 | 4,891,356 | ||||||
Lam Research Corp. | 14,047 | 9,140,383 | ||||||
Maxim Integrated Products, Inc. | 26,194 | 2,759,800 | ||||||
Microchip Technology, Inc. | 26,978 | 4,039,686 | ||||||
Micron Technology, Inc. (a) | 110,385 | 9,380,517 | ||||||
Monolithic Power Systems, Inc. | 4,188 | 1,564,009 | ||||||
NVIDIA Corp. | 61,379 | 49,109,338 | ||||||
NXP Semiconductor NV | 27,259 | 5,607,721 | ||||||
Qorvo, Inc. (a) | 11,212 | 2,193,628 | ||||||
QUALCOMM, Inc. | 111,119 | 15,882,239 | ||||||
Skyworks Solutions, Inc. | 16,228 | 3,111,719 | ||||||
Teradyne, Inc. | 16,185 | 2,168,142 | ||||||
Texas Instruments, Inc. | 91,051 | 17,509,107 | ||||||
Xilinx, Inc. | 24,163 | 3,494,936 | ||||||
203,503,141 | ||||||||
Software — 10.0% | ||||||||
Activision Blizzard, Inc. | 76,589 | 7,309,654 | ||||||
Adobe, Inc. (a) | 47,127 | 27,599,456 | ||||||
Akamai Technologies, Inc. (a) | 16,062 | 1,872,829 | ||||||
ANSYS, Inc. (a) | 8,624 | 2,993,045 | ||||||
Autodesk, Inc. (a) | 21,750 | 6,348,825 | ||||||
Broadridge Financial Solutions, Inc. | 11,402 | 1,841,765 | ||||||
Cadence Design Systems, Inc. (a) | 27,461 | 3,757,214 | ||||||
Cerner Corp. | 29,586 | 2,312,442 | ||||||
Citrix Systems, Inc. | 12,022 | 1,409,820 | ||||||
Electronic Arts, Inc. | 28,022 | 4,030,404 | ||||||
Fidelity National Information Services, Inc. | 61,132 | 8,660,570 | ||||||
Fiserv, Inc. (a) | 58,520 | 6,255,203 | ||||||
Intuit, Inc. | 26,941 | 13,205,670 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Jack Henry & Associates, Inc. | 7,218 | $ | 1,180,215 | |||||
Microsoft Corp. | 741,943 | 200,992,359 | ||||||
MSCI, Inc. | 8,132 | 4,335,007 | ||||||
Oracle Corp. | 178,951 | 13,929,546 | ||||||
Paychex, Inc. | 31,524 | 3,382,525 | ||||||
Paycom Software, Inc. (a) | 4,836 | 1,757,741 | ||||||
PTC, Inc. (a) | 10,520 | 1,486,055 | ||||||
Roper Technologies, Inc. | 10,384 | 4,882,557 | ||||||
salesforce.com, Inc. (a) | 91,235 | 22,285,973 | ||||||
ServiceNow, Inc. (a) | 19,469 | 10,699,189 | ||||||
Synopsys, Inc. (a) | 15,010 | 4,139,608 | ||||||
Take-Two Interactive Software, Inc. (a) | 11,427 | 2,022,808 | ||||||
Tyler Technologies, Inc. (a) | 3,994 | 1,806,766 | ||||||
360,497,246 | ||||||||
830,049,807 | ||||||||
Utilities — 2.5% | ||||||||
Electric — 2.3% | ||||||||
AES Corp. | 65,974 | 1,719,942 | ||||||
Alliant Energy Corp. | 24,309 | 1,355,470 | ||||||
Ameren Corp. | 25,025 | 2,003,001 | ||||||
American Electric Power Co., Inc. | 49,373 | 4,176,462 | ||||||
CenterPoint Energy, Inc. | 56,638 | 1,388,764 | ||||||
CMS Energy Corp. | 28,472 | 1,682,126 | ||||||
Consolidated Edison, Inc. | 33,941 | 2,434,249 | ||||||
Dominion Energy, Inc. | 79,460 | 5,845,872 | ||||||
DTE Energy Co. | 19,211 | 2,489,746 | ||||||
Duke Energy Corp. | 75,672 | 7,470,340 | ||||||
Edison International | 37,546 | 2,170,910 | ||||||
Entergy Corp. | 19,795 | 1,973,561 | ||||||
Evergy, Inc. | 22,918 | 1,384,935 | ||||||
Eversource Energy | 33,568 | 2,693,496 | ||||||
Exelon Corp. | 96,477 | 4,274,896 | ||||||
FirstEnergy Corp. | 53,726 | 1,999,144 | ||||||
NextEra Energy, Inc. | 193,151 | 14,154,105 | ||||||
NRG Energy, Inc. | 24,700 | 995,410 | ||||||
Pinnacle West Capital Corp. | 10,847 | 889,129 | ||||||
PPL Corp. | 75,968 | 2,124,825 | ||||||
Public Service Enterprise Group, Inc. | 49,812 | 2,975,769 | ||||||
Sempra Energy | 31,187 | 4,131,654 | ||||||
The Southern Co. | 104,059 | 6,296,610 | ||||||
WEC Energy Group, Inc. | 31,192 | 2,774,528 | ||||||
Xcel Energy, Inc. | 52,939 | 3,487,621 | ||||||
82,892,565 | ||||||||
Gas — 0.1% | ||||||||
Atmos Energy Corp. | 12,948 | 1,244,432 | ||||||
NiSource, Inc. | 39,306 | 962,997 | ||||||
2,207,429 | ||||||||
Water — 0.1% | ||||||||
American Water Works Co., Inc. | 17,996 | 2,773,723 |
MM S&P 500 Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
$ | 87,873,717 | |||||||
TOTAL COMMON STOCK (Cost $1,717,580,122) | 3,578,513,298 | |||||||
TOTAL EQUITIES (Cost $1,717,580,122) | 3,578,513,298 | |||||||
MUTUAL FUNDS — 0.0% | ||||||||
Diversified Financial Services — 0.0% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) | 506,079 | 506,079 | ||||||
TOTAL MUTUAL FUNDS (Cost $506,079) | 506,079 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,718,086,201) | 3,579,019,377 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||
Repurchase Agreement — 0.3% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (d) | $ | 9,381,378 | 9,381,378 | |||||
U.S. Treasury Bill — 0.2% | ||||||||
U.S. Treasury Bill | ||||||||
0.061% 7/15/21 (e) (f) | 7,365,000 | 7,364,878 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,746,206) | 16,746,256 | |||||||
TOTAL INVESTMENTS — 100.2% (Cost $1,734,832,407) (g) | 3,595,765,633 | |||||||
Other Assets/(Liabilities) — (0.2)% | (5,989,045) | |||||||
NET ASSETS — 100.0% | $ | 3,589,776,588 |
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 June 30, 2021, was $1,076,244 or 0.03% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $595,053 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 $9,381,378. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $9,569,032. |
(e) | A portion of this security is pledged/held as collateral for open derivatives. |
(f) | The rate shown represents yield-to-maturity. |
(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 | 9/17/21 | 81 | $ | 17,006,674 | $ | 362,156 |
MassMutual Equity Opportunities Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 97.6% | ||||||||
COMMON STOCK — 96.9% | ||||||||
Basic Materials — 6.1% | ||||||||
Chemicals — 5.6% | ||||||||
CF Industries Holdings, Inc. | 100,900 | $ | 5,191,305 | |||||
Ecolab, Inc. | 77,816 | 16,027,762 | ||||||
International Flavors & Fragrances, Inc. | 27,400 | 4,093,560 | ||||||
Linde PLC | 60,945 | 17,619,199 | ||||||
42,931,826 | ||||||||
Forest Products & Paper — 0.5% | ||||||||
International Paper Co. | 65,600 | 4,021,936 | ||||||
46,953,762 | ||||||||
Communications — 1.4% | ||||||||
Media — 1.4% | ||||||||
Comcast Corp. Class A | 119,600 | 6,819,592 | ||||||
Fox Corp. Class B | 52,500 | 1,848,000 | ||||||
The Walt Disney Co. (a) | 12,550 | 2,205,913 | ||||||
10,873,505 | ||||||||
Consumer, Cyclical — 10.5% | ||||||||
Apparel — 3.2% | ||||||||
NIKE, Inc. Class B | 160,556 | 24,804,297 | ||||||
Lodging — 0.4% | ||||||||
Las Vegas Sands Corp. (a) | 62,100 | 3,272,049 | ||||||
Retail — 6.9% | ||||||||
McDonald's Corp. | 107,415 | 24,811,791 | ||||||
The TJX Cos., Inc. | 426,215 | 28,735,415 | ||||||
53,547,206 | ||||||||
81,623,552 | ||||||||
Consumer, Non-cyclical — 35.5% | ||||||||
Agriculture — 0.5% | ||||||||
Philip Morris International, Inc. | 38,750 | 3,840,513 | ||||||
Beverages — 9.8% | ||||||||
The Coca-Cola Co. | 385,636 | 20,866,764 | ||||||
Diageo PLC | 609,403 | 29,204,727 | ||||||
PepsiCo, Inc. | 173,298 | 25,677,565 | ||||||
75,749,056 |
MassMutual Equity Opportunities Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Cosmetics & Personal Care — 6.1% | ||||||||
Colgate-Palmolive Co. | 358,110 | $ | 29,132,249 | |||||
The Procter & Gamble Co. | 133,568 | 18,022,330 | ||||||
47,154,579 | ||||||||
Food — 1.0% | ||||||||
Conagra Brands, Inc. | 61,900 | 2,251,922 | ||||||
Tyson Foods, Inc. Class A | 73,900 | 5,450,864 | ||||||
7,702,786 | ||||||||
Health Care – Products — 6.4% | ||||||||
Baxter International, Inc. | 194,145 | 15,628,672 | ||||||
Danaher Corp. | 27,109 | 7,274,971 | ||||||
Medtronic PLC | 216,366 | 26,857,512 | ||||||
49,761,155 | ||||||||
Health Care – Services — 4.8% | ||||||||
Anthem, Inc. | 26,650 | 10,174,970 | ||||||
UnitedHealth Group, Inc. | 67,109 | 26,873,128 | ||||||
37,048,098 | ||||||||
Household Products & Wares — 0.6% | ||||||||
Kimberly-Clark Corp. | 34,700 | 4,642,166 | ||||||
Pharmaceuticals — 6.3% | ||||||||
AbbVie, Inc. | 39,800 | 4,483,072 | ||||||
Becton Dickinson and Co. | 27,000 | 6,566,130 | ||||||
CVS Health Corp. | 57,900 | 4,831,176 | ||||||
Johnson & Johnson | 186,089 | 30,656,302 | ||||||
Sanofi Sponsored ADR | 38,400 | 2,022,144 | ||||||
48,558,824 | ||||||||
274,457,177 | ||||||||
Energy — 1.7% | ||||||||
Oil & Gas — 1.7% | ||||||||
EOG Resources, Inc. | 38,750 | 3,233,300 | ||||||
TotalEnergies SE | 164,900 | 7,481,075 | ||||||
TotalEnergies SE Sponsored ADR | 57,900 | 2,620,554 | ||||||
13,334,929 | ||||||||
Financial — 21.3% | ||||||||
Banks — 4.0% | ||||||||
The Bank of New York Mellon Corp. | 53,000 | 2,715,190 | ||||||
Fifth Third Bancorp | 153,000 | 5,849,190 | ||||||
The Goldman Sachs Group, Inc. | 5,300 | 2,011,509 | ||||||
Huntington Bancshares, Inc. | 210,000 | 2,996,700 | ||||||
Morgan Stanley | 47,350 | 4,341,522 | ||||||
Wells Fargo & Co. | 289,900 | 13,129,571 | ||||||
31,043,682 |
MassMutual Equity Opportunities Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Diversified Financial Services — 4.8% | ||||||||
American Express Co. | 157,512 | $ | 26,025,708 | |||||
Visa, Inc. Class A | 48,299 | 11,293,272 | ||||||
37,318,980 | ||||||||
Insurance — 9.2% | ||||||||
American International Group, Inc. | 142,300 | 6,773,480 | ||||||
Chubb Ltd. | 166,664 | 26,489,576 | ||||||
Loews Corp. | 71,700 | 3,918,405 | ||||||
Marsh & McLennan Cos., Inc. | 199,196 | 28,022,893 | ||||||
MetLife, Inc. | 102,000 | 6,104,700 | ||||||
71,309,054 | ||||||||
Real Estate Investment Trusts (REITS) — 3.3% | ||||||||
American Tower Corp. | 28,312 | 7,648,204 | ||||||
Equity Residential | 50,000 | 3,850,000 | ||||||
Public Storage | 35,380 | 10,638,412 | ||||||
Weyerhaeuser Co. | 83,800 | 2,884,396 | ||||||
25,021,012 | ||||||||
164,692,728 | ||||||||
Industrial — 11.9% | ||||||||
Aerospace & Defense — 7.0% | ||||||||
The Boeing Co. (a) | 13,750 | 3,293,950 | ||||||
L3 Harris Technologies, Inc. | 27,100 | 5,857,665 | ||||||
Lockheed Martin Corp. | 46,672 | 17,658,351 | ||||||
Northrop Grumman Corp. | 75,623 | 27,483,667 | ||||||
54,293,633 | ||||||||
Miscellaneous - Manufacturing — 1.3% | ||||||||
General Electric Co. | 738,000 | 9,933,480 | ||||||
Transportation — 3.6% | ||||||||
Union Pacific Corp. | 85,496 | 18,803,135 | ||||||
United Parcel Service, Inc. Class B | 42,100 | 8,755,537 | ||||||
27,558,672 | ||||||||
91,785,785 | ||||||||
Technology — 6.2% | ||||||||
Computers — 1.6% | ||||||||
Accenture PLC Class A | 43,263 | 12,753,500 | ||||||
Semiconductors — 1.1% | ||||||||
QUALCOMM, Inc. | 59,000 | 8,432,870 | ||||||
Software — 3.5% | ||||||||
Citrix Systems, Inc. | 19,300 | 2,263,311 | ||||||
Microsoft Corp. | 91,612 | 24,817,690 | ||||||
27,081,001 | ||||||||
48,267,371 |
MassMutual Equity Opportunities Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Utilities — 2.3% | ||||||||
Electric — 2.0% | ||||||||
Sempra Energy | 54,300 | $ | 7,193,664 | |||||
The Southern Co. | 132,800 | 8,035,728 | ||||||
15,229,392 | ||||||||
Gas — 0.3% | ||||||||
NiSource, Inc. | 107,200 | 2,626,400 | ||||||
17,855,792 | ||||||||
TOTAL COMMON STOCK (Cost $578,819,135) | 749,844,601 | |||||||
PREFERRED STOCK — 0.7% | ||||||||
Consumer, Cyclical — 0.3% | ||||||||
Auto Manufacturers — 0.3% | ||||||||
Volkswagen AG 2.300% | 7,800 | 1,956,049 | ||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Pharmaceuticals — 0.1% | ||||||||
Becton Dickinson and Co. Convertible 6.000% (b) | 15,000 | 802,650 | ||||||
Utilities — 0.3% | ||||||||
Electric — 0.2% | ||||||||
Sempra Energy Convertible 6.750% | 2,750 | 271,618 | ||||||
The Southern Co. Convertible 6.750% | 23,100 | 1,169,553 | ||||||
1,441,171 | ||||||||
Gas — 0.1% | ||||||||
NiSource, Inc. 7.750% | 8,204 | 843,289 | ||||||
2,284,460 | ||||||||
TOTAL PREFERRED STOCK (Cost $4,930,675) | 5,043,159 | |||||||
TOTAL EQUITIES (Cost $583,749,810) | 754,887,760 | |||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) | 810,957 | 810,957 | ||||||
TOTAL MUTUAL FUNDS (Cost $810,957) | 810,957 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $584,560,767) | 755,698,717 | |||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||
Mutual Fund — 0.0% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 156 | 156 |
MassMutual Equity Opportunities Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Repurchase Agreement — 2.5% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (d) | $ | 19,429,520 | $ | 19,429,520 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $19,429,676) | 19,429,676 | |||||||
TOTAL INVESTMENTS — 100.2% (Cost $603,990,443) (e) | 775,128,393 | |||||||
Other Assets/(Liabilities) — (0.2)% | (1,177,824) | |||||||
NET ASSETS — 100.0% | $ | 773,950,569 |
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 June 30, 2021, was $794,657 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 $2,176 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). |
(c) | Represents investment of security lending cash collateral. (Note 2). |
(d) | Maturity value of $19,429,520. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $19,818,225. |
(e) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Fundamental Growth Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.3% | ||||||||
COMMON STOCK — 99.3% | ||||||||
Basic Materials — 0.7% | ||||||||
Chemicals — 0.7% | ||||||||
Celanese Corp. | 2,650 | $ | 401,740 | |||||
Communications — 12.5% | ||||||||
Internet — 10.2% | ||||||||
CDW Corp./DE | 7,236 | 1,263,767 | ||||||
Etsy, Inc. (a) | 5,274 | 1,085,600 | ||||||
Expedia Group, Inc. (a) | 2,240 | 366,710 | ||||||
Match Group, Inc. (a) | 8,896 | 1,434,480 | ||||||
Palo Alto Networks, Inc. (a) | 1,700 | 630,785 | ||||||
Roku, Inc. (a) | 1,075 | 493,694 | ||||||
Zendesk, Inc. (a) | 6,590 | 951,201 | ||||||
6,226,237 | ||||||||
Media — 0.8% | ||||||||
Fox Corp. Class A | 12,840 | 476,749 | ||||||
Telecommunications — 1.5% | ||||||||
Juniper Networks, Inc. | 12,730 | 348,166 | ||||||
Nice Ltd. Sponsored ADR (a) (b) | 2,190 | 541,937 | ||||||
890,103 | ||||||||
7,593,089 | ||||||||
Consumer, Cyclical — 18.1% | ||||||||
Apparel — 1.1% | ||||||||
Tapestry, Inc. (a) | 14,910 | 648,287 | ||||||
Distribution & Wholesale — 0.9% | ||||||||
Copart, Inc. (a) | 4,400 | 580,052 | ||||||
Entertainment — 2.4% | ||||||||
DraftKings, Inc. Class A (a) (b) | 17,426 | 909,115 | ||||||
Live Nation Entertainment, Inc. (a) | 6,090 | 533,423 | ||||||
Vail Resorts, Inc. (a) | 50 | 15,826 | ||||||
1,458,364 | ||||||||
Lodging — 1.6% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 8,166 | 984,983 | ||||||
Retail — 12.1% | ||||||||
Burlington Stores, Inc. (a) | 3,613 | 1,163,350 | ||||||
Chipotle Mexican Grill, Inc. (a) | 620 | 961,211 | ||||||
Domino's Pizza, Inc. | 1,647 | 768,309 |
MassMutual Fundamental Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Freshpet, Inc. (a) | 4,406 | $ | 718,002 | |||||
Lululemon Athletica, Inc. (a) | 3,944 | 1,439,441 | ||||||
Ross Stores, Inc. | 4,880 | 605,120 | ||||||
Ulta Beauty, Inc. (a) | 1,600 | 553,232 | ||||||
Williams-Sonoma, Inc. | 2,730 | 435,844 | ||||||
Wingstop, Inc. | 4,425 | 697,513 | ||||||
7,342,022 | ||||||||
11,013,708 | ||||||||
Consumer, Non-cyclical — 28.3% | ||||||||
Biotechnology — 6.8% | ||||||||
Abcam PLC Sponsored ADR (a) | 3,716 | 70,753 | ||||||
Ascendis Pharma A/S ADR (a) | 4,110 | 540,671 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 4,800 | 400,512 | ||||||
Incyte Corp. (a) | 10,909 | 917,774 | ||||||
Rocket Pharmaceuticals, Inc. (a) | 4,990 | 221,007 | ||||||
Seagen, Inc. (a) | 12,664 | 1,999,392 | ||||||
4,150,109 | ||||||||
Commercial Services — 12.6% | ||||||||
Avalara, Inc. (a) | 7,071 | 1,144,088 | ||||||
Chegg, Inc. (a) | 10,045 | 834,840 | ||||||
FleetCor Technologies, Inc. (a) | 2,080 | 532,605 | ||||||
Global Payments, Inc. | 3,240 | 607,630 | ||||||
MarketAxess Holdings, Inc. | 2,177 | 1,009,235 | ||||||
Repay Holdings Corp. (a) | 27,934 | 671,533 | ||||||
Shift4 Payments, Inc. Class A (a) | 9,665 | 905,804 | ||||||
TransUnion | 17,688 | 1,942,319 | ||||||
7,648,054 | ||||||||
Health Care – Products — 5.6% | ||||||||
ABIOMED, Inc. (a) | 2,665 | 831,773 | ||||||
The Cooper Cos., Inc. | 990 | 392,307 | ||||||
IDEXX Laboratories, Inc. (a) | 1,058 | 668,180 | ||||||
Insulet Corp. (a) | 1,810 | 496,863 | ||||||
Omnicell, Inc. (a) | 6,914 | 1,047,126 | ||||||
3,436,249 | ||||||||
Health Care – Services — 2.5% | ||||||||
ICON PLC (a) (b) | 3,210 | 663,539 | ||||||
Oak Street Health, Inc. (a) (b) | 6,840 | 400,619 | ||||||
Quest Diagnostics, Inc. | 3,280 | 432,861 | ||||||
1,497,019 | ||||||||
Pharmaceuticals — 0.8% | ||||||||
DexCom, Inc. (a) | 1,200 | 512,400 | ||||||
17,243,831 | ||||||||
Energy — 0.7% | ||||||||
Oil & Gas — 0.7% | ||||||||
Devon Energy Corp. | 15,480 | 451,861 |
MassMutual Fundamental Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Financial — 5.4% | ||||||||
Diversified Financial Services — 3.7% | ||||||||
Hamilton Lane, Inc. Class A | 13,269 | $ | 1,209,071 | |||||
LPL Financial Holdings, Inc. | 3,040 | 410,339 | ||||||
Synchrony Financial | 12,950 | 628,334 | ||||||
2,247,744 | ||||||||
Insurance — 0.9% | ||||||||
Arthur J Gallagher & Co. | 3,930 | 550,514 | ||||||
Real Estate Investment Trusts (REITS) — 0.8% | ||||||||
Essex Property Trust, Inc. | 1,650 | 495,017 | ||||||
3,293,275 | ||||||||
Industrial — 12.7% | ||||||||
Aerospace & Defense — 3.1% | ||||||||
Hexcel Corp. (a) | 14,446 | 901,430 | ||||||
Teledyne Technologies, Inc. (a) | 890 | 372,759 | ||||||
TransDigm Group, Inc. (a) | 969 | 627,224 | ||||||
1,901,413 | ||||||||
Building Materials — 2.9% | ||||||||
The AZEK Co., Inc (a) | 8,920 | 378,743 | ||||||
Fortune Brands Home & Security, Inc. | 13,787 | 1,373,323 | ||||||
1,752,066 | ||||||||
Electrical Components & Equipment — 0.8% | ||||||||
AMETEK, Inc. | 3,580 | 477,930 | ||||||
Electronics — 0.6% | ||||||||
Mettler-Toledo International, Inc. (a) | 282 | 390,666 | ||||||
Environmental Controls — 0.7% | ||||||||
Waste Connections, Inc. | 3,390 | 404,868 | ||||||
Machinery – Construction & Mining — 1.9% | ||||||||
BWX Technologies, Inc. | 19,402 | 1,127,644 | ||||||
Machinery – Diversified — 1.7% | ||||||||
IDEX Corp. | 1,990 | 437,900 | ||||||
Rockwell Automation, Inc. | 2,055 | 587,771 | ||||||
1,025,671 | ||||||||
Miscellaneous - Manufacturing — 1.0% | ||||||||
Trane Technologies PLC | 3,350 | 616,869 | ||||||
7,697,127 | ||||||||
Technology — 20.9% | ||||||||
Computers — 4.7% | ||||||||
Cognizant Technology Solutions Corp. Class A | 5,340 | 369,848 | ||||||
Fortinet, Inc. (a) | 3,020 | 719,334 | ||||||
Varonis Systems, Inc. (a) | 23,990 | 1,382,304 |
MassMutual Fundamental Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Western Digital Corp. (a) | 5,920 | $ | 421,327 | |||||
2,892,813 | ||||||||
Semiconductors — 4.7% | ||||||||
KLA Corp. | 4,284 | 1,388,916 | ||||||
Microchip Technology, Inc. | 3,810 | 570,509 | ||||||
Teradyne, Inc. | 2,810 | 376,428 | ||||||
Xilinx, Inc. | 3,640 | 526,489 | ||||||
2,862,342 | ||||||||
Software — 11.5% | ||||||||
Guidewire Software, Inc. (a) | 9,966 | 1,123,368 | ||||||
HubSpot, Inc. (a) | 935 | 544,843 | ||||||
Lightspeed POS, Inc. (a) | 7,630 | 637,944 | ||||||
MSCI, Inc. | 1,055 | 562,399 | ||||||
Nutanix, Inc. Class A (a) | 14,380 | 549,604 | ||||||
Splunk, Inc. (a) | 3,540 | 511,813 | ||||||
Take-Two Interactive Software, Inc. (a) | 5,689 | 1,007,067 | ||||||
Twilio, Inc. Class A (a) | 1,545 | 608,977 | ||||||
ZoomInfo Technologies, Inc. Class A (a) (b) | 27,524 | 1,435,927 | ||||||
6,981,942 | ||||||||
12,737,097 | ||||||||
TOTAL COMMON STOCK (Cost $50,368,943) | 60,431,728 | |||||||
TOTAL EQUITIES (Cost $50,368,943) | 60,431,728 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $50,368,943) | 60,431,728 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
Repurchase Agreement — 1.0% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (c) | $ | 623,443 | $ | 623,443 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $623,443) | 623,443 | |||||||
TOTAL INVESTMENTS — 100.3% (Cost $50,992,386) (d) | 61,055,171 | |||||||
Other Assets/(Liabilities) — (0.3)% | (187,361) | |||||||
NET ASSETS — 100.0% | $ | 60,867,810 |
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 June 30, 2021, was $2,959,094 or 4.86% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $3,034,231 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 $623,443. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $636,083. |
(d) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Blue Chip Growth Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.3% | ||||||||
COMMON STOCK — 99.0% | ||||||||
Basic Materials — 0.2% | ||||||||
Chemicals — 0.2% | ||||||||
Linde PLC | 20,705 | $ | 5,985,815 | |||||
The Sherwin-Williams Co. | 6,170 | 1,681,017 | ||||||
7,666,832 | ||||||||
Communications — 36.1% | ||||||||
Internet — 33.1% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 443,540 | 100,586,001 | ||||||
Alphabet, Inc. Class A (a) | 45,998 | 112,317,456 | ||||||
Alphabet, Inc. Class C (a) | 96,724 | 242,421,296 | ||||||
Amazon.com, Inc. (a) | 121,040 | 416,396,966 | ||||||
Booking Holdings, Inc. (a) | 7,784 | 17,032,093 | ||||||
Coupang, Inc. (a) | 13,128 | 549,013 | ||||||
DoorDash, Inc., Class A (a) | 61,236 | 10,920,216 | ||||||
Etsy, Inc. (a) | 25,594 | 5,268,269 | ||||||
Expedia Group, Inc. (a) | 8,100 | 1,326,051 | ||||||
Facebook, Inc. Class A (a) | 922,947 | 320,917,901 | ||||||
IAC/InterActiveCorp (a) | 27,018 | 4,165,365 | ||||||
JD.com, Inc. ADR (a) | 9,343 | 745,665 | ||||||
Match Group, Inc. (a) | 156,687 | 25,265,779 | ||||||
Netflix, Inc. (a) | 79,364 | 41,920,858 | ||||||
Pinduoduo, Inc. ADR (a) | 6,736 | 855,607 | ||||||
Pinterest, Inc. Class A (a) | 268,302 | 21,182,443 | ||||||
Roku, Inc. (a) | 9,806 | 4,503,406 | ||||||
Sea Ltd. ADR (a) | 177,398 | 48,713,491 | ||||||
Shopify, Inc. Class A (a) | 10,930 | 15,968,511 | ||||||
Snap, Inc. Class A (a) | 707,470 | 48,207,006 | ||||||
Spotify Technology SA (a) | 34,034 | 9,379,430 | ||||||
Tencent Holdings Ltd. | 617,200 | 46,425,251 | ||||||
Vimeo, Inc. (a) | 45,106 | 2,210,194 | ||||||
Wayfair, Inc. Class A (a) (b) | 800 | 252,568 | ||||||
Zendesk, Inc. (a) | 2,560 | 369,510 | ||||||
1,497,900,346 | ||||||||
Media — 2.1% | ||||||||
FactSet Research Systems, Inc. | 78,674 | 26,403,781 | ||||||
The Walt Disney Co. (a) | 393,009 | 69,079,192 | ||||||
95,482,973 | ||||||||
Telecommunications — 0.9% | ||||||||
Cisco Systems, Inc. | 658,751 | 34,913,803 |
MassMutual Blue Chip Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
T-Mobile US, Inc. (a) | 37,925 | $ | 5,492,678 | |||||
40,406,481 | ||||||||
1,633,789,800 | ||||||||
Consumer, Cyclical — 4.7% | ||||||||
Apparel — 0.3% | ||||||||
NIKE, Inc. Class B | 79,804 | 12,328,920 | ||||||
Auto Parts & Equipment — 0.1% | ||||||||
Aptiv PLC (a) | 14,695 | 2,311,964 | ||||||
Distribution & Wholesale — 0.0% | ||||||||
Copart, Inc. (a) | 8,300 | 1,094,189 | ||||||
Entertainment — 0.1% | ||||||||
Live Nation Entertainment, Inc. (a) | 61,400 | 5,378,026 | ||||||
Lodging — 0.1% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 29,405 | 3,546,831 | ||||||
Marriott International, Inc. Class A (a) | 8,102 | 1,106,085 | ||||||
4,652,916 | ||||||||
Retail — 4.1% | ||||||||
Carvana Co. (a) (b) | 38,564 | 11,639,387 | ||||||
Chipotle Mexican Grill, Inc. (a) | 11,062 | 17,149,861 | ||||||
Dollar General Corp. | 79,899 | 17,289,345 | ||||||
Lululemon Athletica, Inc. (a) | 50,833 | 18,552,520 | ||||||
McDonald's Corp. | 8,883 | 2,051,884 | ||||||
Ross Stores, Inc. | 153,974 | 19,092,776 | ||||||
Starbucks Corp. | 464,789 | 51,968,058 | ||||||
The TJX Cos., Inc. | 49,877 | 3,362,707 | ||||||
Yum China Holdings, Inc. | 265,600 | 17,596,000 | ||||||
Yum! Brands, Inc. | 244,312 | 28,103,209 | ||||||
186,805,747 | ||||||||
212,571,762 | ||||||||
Consumer, Non-cyclical — 17.3% | ||||||||
Beverages — 1.4% | ||||||||
Monster Beverage Corp. (a) | 693,644 | 63,364,379 | ||||||
Biotechnology — 2.7% | ||||||||
Exact Sciences Corp. (a) | 1,153 | 143,330 | ||||||
Illumina, Inc. (a) | 111,761 | 52,886,423 | ||||||
Incyte Corp. (a) | 48,608 | 4,089,391 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 88,091 | 49,202,347 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 78,580 | 15,844,085 | ||||||
122,165,576 | ||||||||
Commercial Services — 3.7% | ||||||||
Ant International Co. Ltd., Class C (Acquired 6/07/18, Cost $3,358,253) (a) (c) (d) (e) | 598,619 | 4,220,264 | ||||||
Automatic Data Processing, Inc. | 74,119 | 14,721,516 | ||||||
Cintas Corp. | 6,306 | 2,408,892 | ||||||
CoStar Group, Inc. (a) | 123,060 | 10,191,829 |
MassMutual Blue Chip Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Equifax, Inc. | 11,573 | $ | 2,771,849 | |||||
Global Payments, Inc. | 229,310 | 43,004,797 | ||||||
PayPal Holdings, Inc. (a) | 226,624 | 66,056,364 | ||||||
S&P Global, Inc. | 51,193 | 21,012,167 | ||||||
Square, Inc. Class A (a) | 6,544 | 1,595,427 | ||||||
TransUnion | 31,757 | 3,487,236 | ||||||
169,470,341 | ||||||||
Cosmetics & Personal Care — 0.6% | ||||||||
Colgate-Palmolive Co. | 310,650 | 25,271,377 | ||||||
The Estee Lauder Cos., Inc. Class A | 2,396 | 762,120 | ||||||
26,033,497 | ||||||||
Health Care – Products — 3.1% | ||||||||
Align Technology, Inc. (a) | 4,316 | 2,637,076 | ||||||
Danaher Corp. | 95,270 | 25,566,657 | ||||||
Dentsply Sirona, Inc. | 95,848 | 6,063,345 | ||||||
Intuitive Surgical, Inc. (a) | 70,664 | 64,985,441 | ||||||
Stryker Corp. | 109,815 | 28,522,250 | ||||||
Thermo Fisher Scientific, Inc. | 23,617 | 11,914,068 | ||||||
139,688,837 | ||||||||
Health Care – Services — 1.9% | ||||||||
Anthem, Inc. | 37,100 | 14,164,780 | ||||||
Centene Corp. (a) | 98,755 | 7,202,202 | ||||||
HCA Healthcare, Inc. | 84,672 | 17,505,089 | ||||||
Humana, Inc. | 4,117 | 1,822,678 | ||||||
UnitedHealth Group, Inc. | 114,594 | 45,888,022 | ||||||
86,582,771 | ||||||||
Household Products & Wares — 0.1% | ||||||||
Avery Dennison Corp. | 21,206 | 4,458,350 | ||||||
Pharmaceuticals — 3.8% | ||||||||
AstraZeneca PLC Sponsored ADR (b) | 93,854 | 5,621,855 | ||||||
Cigna Corp. | 106,233 | 25,184,657 | ||||||
Eli Lilly & Co. | 2,872 | 659,181 | ||||||
Novartis AG Sponsored ADR | 656,056 | 59,858,550 | ||||||
Novo Nordisk A/S Sponsored ADR | 212,627 | 17,811,764 | ||||||
Roche Holding AG Sponsored ADR | 1,067,280 | 50,151,487 | ||||||
Zoetis, Inc. | 71,348 | 13,296,413 | ||||||
172,583,907 | ||||||||
784,347,658 | ||||||||
Energy — 0.7% | ||||||||
Oil & Gas Services — 0.7% | ||||||||
Schlumberger NV | 981,882 | 31,430,043 | ||||||
Financial — 6.9% | ||||||||
Banks — 0.6% | ||||||||
The Goldman Sachs Group, Inc. | 72,234 | 27,414,970 |
MassMutual Blue Chip Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Morgan Stanley | 23,189 | $ | 2,126,200 | |||||
29,541,170 | ||||||||
Diversified Financial Services — 6.2% | ||||||||
The Charles Schwab Corp. | 151,507 | 11,031,225 | ||||||
Mastercard, Inc. Class A | 140,334 | 51,234,540 | ||||||
SEI Investments Co. | 447,532 | 27,733,558 | ||||||
Visa, Inc. Class A | 814,608 | 190,471,642 | ||||||
280,470,965 | ||||||||
Insurance — 0.1% | ||||||||
Chubb Ltd. | 40 | 6,358 | ||||||
Marsh & McLennan Cos., Inc. | 26,692 | 3,755,030 | ||||||
3,761,388 | ||||||||
313,773,523 | ||||||||
Industrial — 5.3% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
The Boeing Co. (a) | 372,842 | 89,318,029 | ||||||
Electrical Components & Equipment — 0.1% | ||||||||
Generac Holdings, Inc. (a) | 14,000 | 5,812,100 | ||||||
Electronics — 0.1% | ||||||||
TE Connectivity Ltd. | 30,254 | 4,090,643 | ||||||
Machinery – Diversified — 1.8% | ||||||||
Deere & Co. | 229,470 | 80,936,364 | ||||||
Miscellaneous - Manufacturing — 0.2% | ||||||||
General Electric Co. | 552,694 | 7,439,261 | ||||||
Transportation — 1.1% | ||||||||
Expeditors International of Washington, Inc. | 410,210 | 51,932,586 | ||||||
Union Pacific Corp. | 1,148 | 252,480 | ||||||
52,185,066 | ||||||||
239,781,463 | ||||||||
Technology — 27.8% | ||||||||
Computers — 2.8% | ||||||||
Apple, Inc. | 810,745 | 111,039,635 | ||||||
Crowdstrike Holdings, Inc. Class A (a) | 11,833 | 2,973,752 | ||||||
Fortinet, Inc. (a) | 48,338 | 11,513,628 | ||||||
125,527,015 | ||||||||
Semiconductors — 6.1% | ||||||||
Advanced Micro Devices, Inc. (a) | 199,649 | 18,753,031 | ||||||
ASML Holding NV | 27,423 | 18,944,905 | ||||||
Marvell Technology, Inc. | 254,502 | 14,845,102 | ||||||
Maxim Integrated Products, Inc. | 19,895 | 2,096,137 | ||||||
Microchip Technology, Inc. | 36,249 | 5,427,925 | ||||||
Monolithic Power Systems, Inc. | 1,817 | 678,559 | ||||||
NVIDIA Corp. | 208,867 | 167,114,487 |
MassMutual Blue Chip Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
QUALCOMM, Inc. | 276,499 | $ | 39,520,002 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 3,426 | 411,668 | ||||||
Texas Instruments, Inc. | 55,074 | 10,590,730 | ||||||
278,382,546 | ||||||||
Software — 18.9% | ||||||||
Atlassian Corp. PLC Class A (a) | 27,922 | 7,172,045 | ||||||
Autodesk, Inc. (a) | 305,694 | 89,232,079 | ||||||
Cerner Corp. | 314,295 | 24,565,297 | ||||||
Coupa Software, Inc. (a) | 16,218 | 4,250,900 | ||||||
Datadog, Inc. Class A (a) | 39,143 | 4,074,003 | ||||||
DocuSign, Inc. (a) | 50,604 | 14,147,360 | ||||||
Fidelity National Information Services, Inc. | 95,322 | 13,504,268 | ||||||
Fiserv, Inc. (a) | 185,829 | 19,863,262 | ||||||
Intuit, Inc. | 139,527 | 68,391,950 | ||||||
Microsoft Corp. | 868,620 | 235,309,158 | ||||||
MongoDB, Inc. (a) | 32,906 | 11,896,177 | ||||||
MSCI, Inc. | 5,094 | 2,715,509 | ||||||
Oracle Corp. | 1,040,455 | 80,989,017 | ||||||
Paycom Software, Inc. (a) | 4,545 | 1,651,971 | ||||||
ROBLOX Corp. Class A (a) | 12,386 | 1,114,492 | ||||||
Roper Technologies, Inc. | 25,029 | 11,768,636 | ||||||
salesforce.com, Inc. (a) | 487,958 | 119,193,501 | ||||||
ServiceNow, Inc. (a) | 95,683 | 52,582,593 | ||||||
Snowflake, Inc. Class A (a) | 4,124 | 997,183 | ||||||
Splunk, Inc. (a) | 35,546 | 5,139,241 | ||||||
Synopsys, Inc. (a) | 74,456 | 20,534,220 | ||||||
Twilio, Inc. Class A (a) | 11,856 | 4,673,161 | ||||||
Veeva Systems, Inc. Class A (a) | 23,513 | 7,311,367 | ||||||
Workday, Inc. Class A (a) | 134,088 | 32,012,169 | ||||||
Zoom Video Communications, Inc. Class A (a) | 55,363 | 21,427,142 | ||||||
854,516,701 | ||||||||
1,258,426,262 | ||||||||
TOTAL COMMON STOCK (Cost $2,279,895,085) | 4,481,787,343 | |||||||
PREFERRED STOCK — 0.3% | ||||||||
Consumer, Cyclical — 0.3% | ||||||||
Auto Manufacturers — 0.3% | ||||||||
Rivian Automotive, Inc., Series F (Acquired 1/19/21, Cost $5,922,532) (a) (c) (d) (e) | 160,720 | 11,260,043 | ||||||
Technology — 0.0% | ||||||||
Software — 0.0% | ||||||||
Databricks, Inc., Series G (Acquired 2/01/21, Cost $815,183) (a) (c) (d) (e) | 4,596 | 815,193 | ||||||
TOTAL PREFERRED STOCK (Cost $6,737,715) | 12,075,236 | |||||||
TOTAL EQUITIES (Cost $2,286,632,800) | 4,493,862,579 | |||||||
MassMutual Blue Chip Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) | 4,977,420 | $ | 4,977,420 | |||||
TOTAL MUTUAL FUNDS (Cost $4,977,420) | 4,977,420 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $2,291,610,220) | 4,498,839,999 | |||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||
Mutual Fund — 0.0% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 100 | 100 | ||||||
Principal Amount | ||||||||
Repurchase Agreement — 0.8% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (g) | $ | 37,941,498 | 37,941,498 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $37,941,598) | 37,941,598 | |||||||
TOTAL INVESTMENTS — 100.2% (Cost $2,329,551,818) (h) | 4,536,781,597 | |||||||
Other Assets/(Liabilities) — (0.2)% | (8,268,021) | |||||||
NET ASSETS — 100.0% | $ | 4,528,513,576 |
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 June 30, 2021, was $16,884,136 or 0.37% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $12,260,051 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 June 30, 2021, these securities amounted to a value of $16,295,500 or 0.36% of net assets. |
(e) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $16,295,500 or 0.36% 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 $37,941,498. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $38,700,416. |
(h) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Growth Opportunities Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.3% | ||||||||
COMMON STOCK — 98.3% | ||||||||
Communications — 35.7% | ||||||||
Internet — 32.1% | ||||||||
Airbnb, Inc. Class A (a) | 55,772 | $ | 8,540,924 | |||||
Amazon.com, Inc. (a) | 7,335 | 25,233,573 | ||||||
DoorDash, Inc., Class A (a) | 22,855 | 4,075,732 | ||||||
Facebook, Inc. Class A (a) | 32,254 | 11,215,038 | ||||||
Fiverr International Ltd. (a) (b) | 17,614 | 4,271,219 | ||||||
Match Group, Inc. (a) (b) | 124,763 | 20,118,034 | ||||||
Netflix, Inc. (a) | 46,841 | 24,741,885 | ||||||
Sea Ltd. ADR (a) | 102,371 | 28,111,076 | ||||||
Shopify, Inc. Class A (a) | 4,008 | 5,855,608 | ||||||
Uber Technologies, Inc. (a) | 476,690 | 23,891,703 | ||||||
Wix.com Ltd. (a) | 21,545 | 6,254,083 | ||||||
Zillow Group, Inc. Class C Class C (a) (b) | 46,370 | 5,667,341 | ||||||
167,976,216 | ||||||||
Media — 3.6% | ||||||||
Charter Communications, Inc. Class A (a) (b) | 25,615 | 18,479,942 | ||||||
186,456,158 | ||||||||
Consumer, Cyclical — 5.4% | ||||||||
Apparel — 1.7% | ||||||||
NIKE, Inc. Class B | 56,924 | 8,794,189 | ||||||
Entertainment — 0.9% | ||||||||
Warner Music Group Corp. Class A (b) | 141,258 | 5,090,938 | ||||||
Retail — 2.8% | ||||||||
Carvana Co. (a) (b) | 13,016 | 3,928,489 | ||||||
Floor & Decor Holdings, Inc. Class A (a) | 55,533 | 5,869,838 | ||||||
Starbucks Corp. | 42,128 | 4,710,332 | ||||||
14,508,659 | ||||||||
28,393,786 | ||||||||
Consumer, Non-cyclical — 19.0% | ||||||||
Commercial Services — 6.8% | ||||||||
CoStar Group, Inc. (a) | 74,160 | 6,141,931 | ||||||
PayPal Holdings, Inc. (a) | 43,442 | 12,662,474 | ||||||
Square, Inc. Class A (a) | 68,852 | 16,786,118 | ||||||
35,590,523 |
MassMutual Growth Opportunities Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Food — 0.6% | ||||||||
Grocery Outlet Holding Corp. (a) | 84,849 | $ | 2,940,866 | |||||
Health Care – Products — 8.8% | ||||||||
10X Genomics, Inc. Class A (a) | 35,162 | 6,885,423 | ||||||
Align Technology, Inc. (a) | 26,420 | 16,142,620 | ||||||
Edwards Lifesciences Corp. (a) | 138,664 | 14,361,430 | ||||||
Intuitive Surgical, Inc. (a) | 9,415 | 8,658,411 | ||||||
46,047,884 | ||||||||
Pharmaceuticals — 2.8% | ||||||||
DexCom, Inc. (a) | 10,435 | 4,455,745 | ||||||
Sarepta Therapeutics, Inc. (a) | 59,147 | 4,598,088 | ||||||
Zoetis, Inc. | 29,769 | 5,547,751 | ||||||
14,601,584 | ||||||||
99,180,857 | ||||||||
Financial — 9.6% | ||||||||
Diversified Financial Services — 7.9% | ||||||||
Mastercard, Inc. Class A | 28,797 | 10,513,497 | ||||||
Visa, Inc. Class A (b) | 132,792 | 31,049,425 | ||||||
41,562,922 | ||||||||
Private Equity — 1.7% | ||||||||
KKR & Co., Inc. | 147,673 | 8,748,149 | ||||||
50,311,071 | ||||||||
Industrial — 1.2% | ||||||||
Environmental Controls — 1.2% | ||||||||
Waste Management, Inc. | 44,777 | 6,273,705 | ||||||
Technology — 27.4% | ||||||||
Software — 27.4% | ||||||||
Adobe, Inc. (a) | 10,096 | 5,912,622 | ||||||
Atlassian Corp. PLC Class A (a) | 23,327 | 5,991,773 | ||||||
Coupa Software, Inc. (a) | 34,856 | 9,136,106 | ||||||
Datadog, Inc. Class A (a) | 70,434 | 7,330,771 | ||||||
Intuit, Inc. | 19,187 | 9,404,892 | ||||||
Microsoft Corp. | 83,598 | 22,646,698 | ||||||
Paycom Software, Inc. (a) | 18,874 | 6,860,133 | ||||||
ServiceNow, Inc. (a) | 43,536 | 23,925,209 | ||||||
Snowflake, Inc. Class A (a) | 51,580 | 12,472,044 | ||||||
Twilio, Inc. Class A (a) | 65,708 | 25,899,465 | ||||||
Veeva Systems, Inc. Class A (a) | 23,632 | 7,348,370 |
MassMutual Growth Opportunities Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Zoom Video Communications, Inc. Class A (a) | 16,634 | $ | 6,437,857 | |||||
143,365,940 | ||||||||
TOTAL COMMON STOCK (Cost $294,841,803) | 513,981,517 | |||||||
TOTAL EQUITIES (Cost $294,841,803) | 513,981,517 | |||||||
MUTUAL FUNDS — 0.2% | ||||||||
Diversified Financial Services — 0.2% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) | 1,209,038 | 1,209,038 | ||||||
TOTAL MUTUAL FUNDS (Cost $1,209,038) | 1,209,038 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $296,050,841) | 515,190,555 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||
Repurchase Agreement — 2.5% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (d) | $ | 12,856,932 | 12,856,932 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,856,932) | 12,856,932 | |||||||
TOTAL INVESTMENTS — 101.0% (Cost $308,907,773) (e) | 528,047,487 | |||||||
Other Assets/(Liabilities) — (1.0)% | (5,310,408) | |||||||
NET ASSETS — 100.0% | $ | 522,737,079 |
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 June 30, 2021, was $56,143,695 or 10.74% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $56,079,601 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 $12,856,932. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $13,114,165. |
(e) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Mid Cap Value Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.0% | ||||||||
COMMON STOCK — 99.0% | ||||||||
Basic Materials — 3.3% | ||||||||
Chemicals — 1.3% | ||||||||
Axalta Coating Systems Ltd. (a) | 33,791 | $ | 1,030,288 | |||||
CF Industries Holdings, Inc. | 7,985 | 410,828 | ||||||
Huntsman Corp. | 7,335 | 194,524 | ||||||
1,635,640 | ||||||||
Forest Products & Paper — 0.5% | ||||||||
Mondi PLC | 23,001 | 606,026 | ||||||
Iron & Steel — 1.2% | ||||||||
Nucor Corp. | 6,836 | 655,777 | ||||||
Reliance Steel & Aluminum Co. | 2,353 | 355,068 | ||||||
Steel Dynamics, Inc. | 7,233 | 431,087 | ||||||
1,441,932 | ||||||||
Mining — 0.3% | ||||||||
Kinross Gold Corp. | 51,800 | 328,930 | ||||||
4,012,528 | ||||||||
Communications — 6.4% | ||||||||
Advertising — 0.4% | ||||||||
The Interpublic Group of Cos., Inc. | 14,673 | 476,726 | ||||||
Internet — 2.2% | ||||||||
CDW Corp./DE | 118 | 20,609 | ||||||
eBay, Inc. | 12,300 | 863,583 | ||||||
F5 Networks, Inc. (a) | 2,270 | 423,718 | ||||||
GoDaddy, Inc. Class A (a) | 255 | 22,175 | ||||||
IAC/InterActiveCorp (a) | 1,600 | 246,672 | ||||||
NortonLifeLock, Inc. | 682 | 18,564 | ||||||
Roku, Inc. (a) | 62 | 28,474 | ||||||
Twitter, Inc. (a) | 13,135 | 903,819 | ||||||
Wayfair, Inc. Class A (a) (b) | 351 | 110,814 | ||||||
2,638,428 | ||||||||
Media — 3.2% | ||||||||
DISH Network Corp. Class A (a) | 14,300 | 597,740 | ||||||
Fox Corp. Class A | 12,400 | 460,412 | ||||||
Fox Corp. Class B | 15,621 | 549,859 | ||||||
Liberty Broadband Corp. Class C (a) | 5,800 | 1,007,228 | ||||||
Liberty Media Corp-Liberty SiriusXM Class C (a) | 20,000 | 927,800 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
News Corp. Class A | 13,717 | $ | 353,487 | |||||
3,896,526 | ||||||||
Telecommunications — 0.6% | ||||||||
Ciena Corp. (a) | 5,709 | 324,785 | ||||||
Juniper Networks, Inc. | 10,084 | 275,797 | ||||||
Motorola Solutions, Inc. | 529 | 114,714 | ||||||
715,296 | ||||||||
7,726,976 | ||||||||
Consumer, Cyclical — 12.1% | ||||||||
Airlines — 0.6% | ||||||||
Southwest Airlines Co. (a) | 12,658 | 672,013 | ||||||
Apparel — 0.6% | ||||||||
PVH Corp. (a) | 2,653 | 285,436 | ||||||
Tapestry, Inc. (a) | 10,442 | 454,018 | ||||||
739,454 | ||||||||
Auto Manufacturers — 1.4% | ||||||||
Cummins, Inc. | 3,783 | 922,333 | ||||||
Honda Motor Co. Ltd. Sponsored ADR (b) | 13,210 | 425,098 | ||||||
PACCAR, Inc. | 3,324 | 296,667 | ||||||
TuSimple Holdings, Inc. Class A (a) | 176 | 12,538 | ||||||
1,656,636 | ||||||||
Auto Parts & Equipment — 1.2% | ||||||||
Aptiv PLC (a) | 4,821 | 758,488 | ||||||
BorgWarner, Inc. | 9,358 | 454,237 | ||||||
Bridgestone Corp. (b) | 4,700 | 213,770 | ||||||
QuantumScape Corp. (a) | 184 | 5,384 | ||||||
1,431,879 | ||||||||
Distribution & Wholesale — 1.3% | ||||||||
LKQ Corp. (a) | 26,737 | 1,315,995 | ||||||
W.W. Grainger, Inc. | 589 | 257,982 | ||||||
1,573,977 | ||||||||
Food Services — 0.4% | ||||||||
Sodexo SA (a) | 4,500 | 420,196 | ||||||
Home Builders — 0.9% | ||||||||
NVR, Inc. (a) | 100 | 497,330 | ||||||
PulteGroup, Inc. | 10,100 | 551,157 | ||||||
1,048,487 | ||||||||
Home Furnishing — 0.2% | ||||||||
Dolby Laboratories, Inc. Class A | 2,380 | 233,930 | ||||||
Tempur Sealy International, Inc. | 458 | 17,949 | ||||||
251,879 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Leisure Time — 0.7% | ||||||||
Brunswick Corp. | 2,979 | $ | 296,768 | |||||
Polaris, Inc. | 4,137 | 566,604 | ||||||
863,372 | ||||||||
Retail — 4.5% | ||||||||
Advance Auto Parts, Inc. | 3,980 | 816,457 | ||||||
Beacon Roofing Supply, Inc. (a) | 2,569 | 136,799 | ||||||
Dick's Sporting Goods, Inc. (b) | 753 | 75,443 | ||||||
Dollar Tree, Inc. (a) | 17,074 | 1,698,863 | ||||||
Genuine Parts Co. | 1,260 | 159,352 | ||||||
Kohl's Corp. | 5,687 | 313,411 | ||||||
L Brands, Inc. | 8,660 | 624,040 | ||||||
MSC Industrial Direct Co., Inc. Class A | 6,950 | 623,623 | ||||||
O'Reilly Automotive, Inc. (a) | 900 | 509,589 | ||||||
Ross Stores, Inc. | 3,900 | 483,600 | ||||||
5,441,177 | ||||||||
Textiles — 0.3% | ||||||||
Mohawk Industries, Inc. (a) | 2,172 | 417,437 | ||||||
14,516,507 | ||||||||
Consumer, Non-cyclical — 17.7% | ||||||||
Beverages — 0.5% | ||||||||
Molson Coors Beverage Co. Class B (a) | 10,800 | 579,852 | ||||||
Biotechnology — 0.3% | ||||||||
Incyte Corp. (a) | 241 | 20,275 | ||||||
United Therapeutics Corp. (a) | 1,600 | 287,056 | ||||||
307,331 | ||||||||
Commercial Services — 1.6% | ||||||||
AMERCO | 294 | 173,284 | ||||||
Euronet Worldwide, Inc. (a) | 3,475 | 470,341 | ||||||
FleetCor Technologies, Inc. (a) | 2,500 | 640,150 | ||||||
Gartner, Inc. (a) | 77 | 18,650 | ||||||
ManpowerGroup, Inc. | 2,187 | 260,056 | ||||||
Morningstar, Inc. | 84 | 21,597 | ||||||
Robert Half International, Inc. | 4,121 | 366,645 | ||||||
1,950,723 | ||||||||
Food — 4.0% | ||||||||
Conagra Brands, Inc. | 21,921 | 797,486 | ||||||
General Mills, Inc. | 4,041 | 246,218 | ||||||
Ingredion, Inc. | 244 | 22,082 | ||||||
The J.M. Smucker Co. | 2,648 | 343,101 | ||||||
Kellogg Co. | 4,239 | 272,695 | ||||||
Koninklijke Ahold Delhaize NV | 24,865 | 739,289 | ||||||
The Kraft Heinz Co. | 19,200 | 782,976 | ||||||
Orkla ASA | 30,608 | 311,796 | ||||||
Post Holdings, Inc. (a) | 10,500 | 1,138,935 | ||||||
Sysco Corp. | 2,840 | 220,810 | ||||||
4,875,388 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Health Care – Products — 3.1% | ||||||||
Baxter International, Inc. | 2,790 | $ | 224,595 | |||||
Bruker Corp. | 173 | 13,144 | ||||||
Envista Holdings Corp. (a) | 4,773 | 206,241 | ||||||
Henry Schein, Inc. (a) | 8,263 | 613,032 | ||||||
Hill-Rom Holdings, Inc. | 2,502 | 284,202 | ||||||
Hologic, Inc. (a) | 3,929 | 262,143 | ||||||
Koninklijke Philips NV | 3,610 | 179,417 | ||||||
PerkinElmer, Inc. | 4,163 | 642,809 | ||||||
ResMed, Inc. | 102 | 25,145 | ||||||
Zimmer Biomet Holdings, Inc. | 7,730 | 1,243,139 | ||||||
3,693,867 | ||||||||
Health Care – Services — 2.8% | ||||||||
Centene Corp. (a) | 14,893 | 1,086,147 | ||||||
Laboratory Corp. of America Holdings (a) | 2,700 | 744,795 | ||||||
Quest Diagnostics, Inc. | 5,915 | 780,603 | ||||||
Universal Health Services, Inc. Class B | 5,608 | 821,179 | ||||||
3,432,724 | ||||||||
Household Products & Wares — 0.9% | ||||||||
The Clorox Co. | 1,868 | 336,072 | ||||||
Kimberly-Clark Corp. | 2,772 | 370,838 | ||||||
Reynolds Consumer Products, Inc. | 7,800 | 236,730 | ||||||
Spectrum Brands Holdings, Inc. | 1,586 | 134,874 | ||||||
1,078,514 | ||||||||
Pharmaceuticals — 4.5% | ||||||||
AmerisourceBergen Corp. | 7,500 | 858,675 | ||||||
Bausch Health Cos., Inc. (a) | 15,500 | 454,460 | ||||||
Becton Dickinson and Co. | 1,809 | 439,931 | ||||||
Cardinal Health, Inc. | 11,750 | 670,807 | ||||||
Herbalife Nutrition Ltd. (a) | 355 | 18,719 | ||||||
Jazz Pharmaceuticals PLC (a) | 2,214 | 393,295 | ||||||
McKesson Corp. | 4,624 | 884,294 | ||||||
Organon & Co. (a) | 18,000 | 544,680 | ||||||
Perrigo Co. PLC | 7,900 | 362,215 | ||||||
Viatris, Inc. | 57,492 | 821,561 | ||||||
5,448,637 | ||||||||
21,367,036 | ||||||||
Energy — 4.1% | ||||||||
Oil & Gas — 2.5% | ||||||||
APA Corp. | 14,261 | 308,465 | ||||||
Cimarex Energy Co. | 2,742 | 198,658 | ||||||
ConocoPhillips | 12,149 | 739,874 | ||||||
Devon Energy Corp. | 7,390 | 215,714 | ||||||
EQT Corp. (a) | 19,200 | 427,392 | ||||||
HollyFrontier Corp. | 10,200 | 335,580 | ||||||
Marathon Oil Corp. | 29,759 | 405,318 | ||||||
Pioneer Natural Resources Co. | 2,455 | 398,987 | ||||||
3,029,988 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Oil & Gas Services — 0.6% | ||||||||
Baker Hughes Co. | 32,668 | $ | 747,117 | |||||
Pipelines — 1.0% | ||||||||
Targa Resources Corp. | 8,395 | 373,158 | ||||||
The Williams Cos., Inc. | 30,500 | 809,775 | ||||||
1,182,933 | ||||||||
4,960,038 | ||||||||
Financial — 25.0% | ||||||||
Banks — 5.7% | ||||||||
The Bank of New York Mellon Corp. | 20,411 | 1,045,655 | ||||||
CIT Group, Inc. | 11,200 | 577,808 | ||||||
Commerce Bancshares, Inc. | 1,482 | 110,498 | ||||||
Eastern Bankshares, Inc. | 2,515 | 51,734 | ||||||
First Hawaiian, Inc. | 7,770 | 220,202 | ||||||
Huntington Bancshares, Inc. | 44,008 | 627,994 | ||||||
KeyCorp. | 29,567 | 610,559 | ||||||
M&T Bank Corp. | 2,770 | 402,509 | ||||||
Northern Trust Corp. | 7,802 | 902,067 | ||||||
Prosperity Bancshares, Inc. | 3,146 | 225,883 | ||||||
State Street Corp. | 11,751 | 966,872 | ||||||
Synovus Financial Corp. | 5,523 | 242,349 | ||||||
Truist Financial Corp. | 9,848 | 546,564 | ||||||
Umpqua Holdings Corp. | 8,312 | 153,356 | ||||||
Westamerica Bancorp. | 4,195 | 243,436 | ||||||
6,927,486 | ||||||||
Diversified Financial Services — 2.5% | ||||||||
AerCap Holdings NV (a) | 11,000 | 563,310 | ||||||
Affiliated Managers Group, Inc. | 1,700 | 262,157 | ||||||
Ally Financial, Inc. | 13,700 | 682,808 | ||||||
Ameriprise Financial, Inc. | 2,150 | 535,092 | ||||||
Cboe Global Markets, Inc. | 3,600 | 428,580 | ||||||
LPL Financial Holdings, Inc. | 194 | 26,186 | ||||||
T. Rowe Price Group, Inc. | 2,434 | 481,859 | ||||||
2,979,992 | ||||||||
Insurance — 9.6% | ||||||||
Aflac, Inc. | 12,078 | 648,106 | ||||||
Alleghany Corp. (a) | 1,400 | 933,898 | ||||||
The Allstate Corp. | 9,898 | 1,291,095 | ||||||
American International Group, Inc. | 6,900 | 328,440 | ||||||
Arch Capital Group Ltd. (a) | 29,600 | 1,152,624 | ||||||
Arthur J Gallagher & Co. | 1,168 | 163,613 | ||||||
Assurant, Inc. | 2,217 | 346,251 | ||||||
Chubb Ltd. | 5,208 | 827,760 | ||||||
Equitable Holdings, Inc. | 11,700 | 356,265 | ||||||
Fidelity National Financial, Inc. | 25,100 | 1,090,846 | ||||||
First American Financial Corp. | 4,041 | 251,956 | ||||||
The Hanover Insurance Group, Inc. | 140 | 18,990 | ||||||
The Hartford Financial Services Group, Inc. | 13,300 | 824,201 | ||||||
Loews Corp. | 17,700 | 967,305 | ||||||
Markel Corp. (a) | 700 | 830,697 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Old Republic International Corp. | 14,000 | $ | 348,740 | |||||
Reinsurance Group of America, Inc. | 8,067 | 919,638 | ||||||
Unum Group | 7,341 | 208,484 | ||||||
11,508,909 | ||||||||
Private Equity — 0.6% | ||||||||
KKR & Co., Inc. | 12,154 | 720,003 | ||||||
Real Estate — 0.3% | ||||||||
Jones Lang LaSalle, Inc. (a) | 1,900 | 371,374 | ||||||
Real Estate Investment Trusts (REITS) — 6.2% | ||||||||
Annaly Capital Management, Inc. | 81,400 | 722,832 | ||||||
Apartment Income REIT Corp. | 2,353 | 111,603 | ||||||
Camden Property Trust | 3,517 | 466,600 | ||||||
Corporate Office Properties Trust | 624 | 17,466 | ||||||
Cousins Properties, Inc. | 5,438 | 200,010 | ||||||
Duke Realty Corp. | 13,104 | 620,474 | ||||||
Equinix, Inc. | 369 | 296,159 | ||||||
Essex Property Trust, Inc. | 1,264 | 379,213 | ||||||
First Industrial Realty Trust, Inc. | 4,774 | 249,346 | ||||||
Gaming and Leisure Properties, Inc. | 16,000 | 741,280 | ||||||
Healthcare Trust of America, Inc. Class A | 12,755 | 340,558 | ||||||
Healthpeak Properties, Inc. | 15,571 | 518,359 | ||||||
JBG SMITH Properties | 23,500 | 740,485 | ||||||
Kilroy Realty Corp. | 4,388 | 305,580 | ||||||
Kimco Realty Corp. | 15,600 | 325,260 | ||||||
MGM Growth Properties LLC Class A | 12,043 | 441,015 | ||||||
SBA Communications Corp. | 468 | 149,152 | ||||||
Weyerhaeuser Co. | 22,814 | 785,258 | ||||||
7,410,650 | ||||||||
Savings & Loans — 0.1% | ||||||||
Capitol Federal Financial, Inc. | 11,935 | 140,594 | ||||||
30,059,008 | ||||||||
Industrial — 15.3% | ||||||||
Aerospace & Defense — 0.8% | ||||||||
BAE Systems PLC | 60,040 | 434,065 | ||||||
General Dynamics Corp. | 2,944 | 554,237 | ||||||
988,302 | ||||||||
Building Materials — 1.0% | ||||||||
Fortune Brands Home & Security, Inc. | 5,151 | 513,091 | ||||||
Johnson Controls International PLC | 3,494 | 239,793 | ||||||
Owens Corning | 4,038 | 395,320 | ||||||
1,148,204 | ||||||||
Electrical Components & Equipment — 0.7% | ||||||||
Emerson Electric Co. | 8,992 | 865,390 | ||||||
Electronics — 5.2% | ||||||||
Agilent Technologies, Inc. | 5,327 | 787,384 | ||||||
Avnet, Inc. | 2,280 | 91,382 | ||||||
Flex Ltd. (a) | 26,300 | 469,981 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Fortive Corp. | 2,437 | $ | 169,956 | |||||
Garmin Ltd. | 4,602 | 665,633 | ||||||
Hubbell, Inc. | 2,869 | 536,044 | ||||||
nVent Electric PLC | 29,509 | 921,861 | ||||||
SYNNEX Corp. | 859 | 104,592 | ||||||
TE Connectivity Ltd. | 1,655 | 223,773 | ||||||
Trimble, Inc. (a) | 8,282 | 677,716 | ||||||
Vontier Corp. | 28,467 | 927,455 | ||||||
Waters Corp. (a) | 1,960 | 677,396 | ||||||
6,253,173 | ||||||||
Engineering & Construction — 0.2% | ||||||||
AECOM (a) | 3,500 | 221,620 | ||||||
Environmental Controls — 0.9% | ||||||||
Clean Harbors, Inc. (a) | 1,945 | 181,157 | ||||||
Pentair PLC | 6,233 | 420,665 | ||||||
Republic Services, Inc. | 4,790 | 526,948 | ||||||
1,128,770 | ||||||||
Hand & Machine Tools — 0.4% | ||||||||
Snap-on, Inc. | 2,011 | 449,318 | ||||||
Machinery – Construction & Mining — 0.6% | ||||||||
Oshkosh Corp. | 5,536 | 690,007 | ||||||
Machinery – Diversified — 0.4% | ||||||||
Cognex Corp. | 248 | 20,844 | ||||||
Crane Co. | 2,769 | 255,773 | ||||||
IMI PLC | 8,538 | 203,185 | ||||||
The Toro Co. | 601 | 66,038 | ||||||
545,840 | ||||||||
Miscellaneous - Manufacturing — 1.4% | ||||||||
A.O. Smith Corp. | 481 | 34,661 | ||||||
Axon Enterprise, Inc. (a) | 139 | 24,575 | ||||||
Carlisle Cos., Inc. | 1,983 | 379,507 | ||||||
ITT, Inc. | 3,264 | 298,950 | ||||||
Textron, Inc. | 2,017 | 138,709 | ||||||
Trane Technologies PLC | 4,215 | 776,150 | ||||||
1,652,552 | ||||||||
Packaging & Containers — 2.9% | ||||||||
Amcor PLC | 19,576 | 224,341 | ||||||
Berry Global Group, Inc. (a) | 6,600 | 430,452 | ||||||
Graphic Packaging Holding Co. | 34,737 | 630,129 | ||||||
Packaging Corp. of America | 2,029 | 274,767 | ||||||
Sealed Air Corp. | 10,500 | 622,125 | ||||||
Sonoco Products Co. | 11,267 | 753,762 | ||||||
WestRock Co. | 9,847 | 524,058 | ||||||
3,459,634 | ||||||||
Shipbuilding — 0.5% | ||||||||
Huntington Ingalls Industries, Inc. | 3,100 | 653,325 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Transportation — 0.3% | ||||||||
Heartland Express, Inc. | 16,206 | $ | 277,609 | |||||
Ryder System, Inc. | 1,979 | 147,099 | ||||||
424,708 | ||||||||
18,480,843 | ||||||||
Technology — 5.6% | ||||||||
Computers — 2.4% | ||||||||
Amdocs Ltd. | 3,048 | 235,793 | ||||||
EPAM Systems, Inc. (a) | 34 | 17,373 | ||||||
Fortinet, Inc. (a) | 76 | 18,103 | ||||||
Hewlett Packard Enterprise Co. | 43,264 | 630,789 | ||||||
HP, Inc. | 34,043 | 1,027,758 | ||||||
KBR, Inc. | 8,100 | 309,015 | ||||||
Lumentum Holdings, Inc. (a) | 2,805 | 230,094 | ||||||
NCR Corp. (a) | 10,200 | 465,222 | ||||||
2,934,147 | ||||||||
Office & Business Equipment — 0.0% | ||||||||
Zebra Technologies Corp. Class A (a) | 36 | 19,061 | ||||||
Semiconductors — 0.3% | ||||||||
Cirrus Logic, Inc. (a) | 2,182 | 185,732 | ||||||
Maxim Integrated Products, Inc. | 1,047 | 110,312 | ||||||
296,044 | ||||||||
Software — 2.9% | ||||||||
Akamai Technologies, Inc. (a) | 1,449 | 168,953 | ||||||
Cadence Design Systems, Inc. (a) | 148 | 20,249 | ||||||
CDK Global, Inc. | 20,817 | 1,034,397 | ||||||
Cerner Corp. | 10,308 | 805,673 | ||||||
Concentrix Corp. (a) | 764 | 122,851 | ||||||
Dropbox, Inc. Class A (a) | 736 | 22,308 | ||||||
HubSpot, Inc. (a) | 30 | 17,482 | ||||||
Manhattan Associates, Inc. (a) | 229 | 33,168 | ||||||
Open Text Corp. | 6,827 | 346,812 | ||||||
PTC, Inc. (a) | 145 | 20,483 | ||||||
SS&C Technologies Holdings, Inc | 8,200 | 590,892 | ||||||
Synopsys, Inc. (a) | 552 | 152,236 | ||||||
Take-Two Interactive Software, Inc. (a) | 486 | 86,032 | ||||||
Teradata Corp. (a) | 409 | 20,438 | ||||||
3,441,974 | ||||||||
6,691,226 | ||||||||
Utilities — 9.5% | ||||||||
Electric — 7.4% | ||||||||
CenterPoint Energy, Inc. | 30,700 | 752,764 | ||||||
CMS Energy Corp. | 10,679 | 630,915 | ||||||
Edison International | 12,157 | 702,918 | ||||||
Evergy, Inc. | 18,190 | 1,099,222 | ||||||
Eversource Energy | 11,321 | 908,397 | ||||||
NorthWestern Corp. | 9,694 | 583,773 |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
OGE Energy Corp. | 31,200 | $ | 1,049,880 | |||||
Pinnacle West Capital Corp. | 8,005 | 656,170 | ||||||
Vistra Corp. | 55,900 | 1,036,945 | ||||||
WEC Energy Group, Inc. | 7,505 | 667,570 | ||||||
Xcel Energy, Inc. | 12,246 | 806,766 | ||||||
8,895,320 | ||||||||
Gas — 2.1% | ||||||||
Atmos Energy Corp. | 3,343 | 321,296 | ||||||
NiSource, Inc. | 43,500 | 1,065,750 | ||||||
Spire, Inc. | 4,386 | 316,976 | ||||||
UGI Corp. | 17,300 | 801,163 | ||||||
2,505,185 | ||||||||
11,400,505 | ||||||||
TOTAL COMMON STOCK (Cost $109,701,815) | 119,214,667 | |||||||
TOTAL EQUITIES (Cost $109,701,815) | 119,214,667 | |||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
iShares Russell Mid-Cap Value ETF | 678 | 77,956 | ||||||
TOTAL MUTUAL FUNDS (Cost $76,822) | 77,956 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $109,778,637) | 119,292,623 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||
Repurchase Agreement — 0.3% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (c) | $ | 313,158 | 313,158 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $313,158) | 313,158 | |||||||
TOTAL INVESTMENTS — 99.4% (Cost $110,091,795) (d) | 119,605,781 | |||||||
Other Assets/(Liabilities) — 0.6% | 780,057 | |||||||
NET ASSETS — 100.0% | $ | 120,385,838 |
Abbreviation Legend
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued) |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $817,851 or 0.68% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $843,941 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 $313,158. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $319,441. |
(d) | 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. | 9/30/21 | USD | 386,648 | JPY | 42,762,512 | $ | 1,435 | |||||||||
Credit Suisse International | 9/30/21 | USD | 1,137,501 | EUR | 953,644 | 4,639 | ||||||||||
JP Morgan Chase Bank N.A. | 9/30/21 | GBP | 18,385 | USD | 25,612 | (175) | ||||||||||
JP Morgan Chase Bank N.A. | 9/30/21 | USD | 1,102,896 | GBP | 792,344 | 6,626 | ||||||||||
UBS AG | 9/30/21 | NOK | 61,885 | USD | 7,265 | (75) | ||||||||||
UBS AG | 9/30/21 | USD | 277,135 | NOK | 2,378,824 | 764 | ||||||||||
$ | 13,214 |
Currency Legend
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NOK | Norwegian Krone |
USD | U.S. Dollar |
MassMutual Small Cap Value Equity Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 97.7% | ||||||||
COMMON STOCK — 97.7% | ||||||||
Basic Materials — 6.9% | ||||||||
Chemicals — 4.1% | ||||||||
Axalta Coating Systems Ltd. (a) | 7,410 | $ | 225,931 | |||||
Element Solutions, Inc. | 37,621 | 879,579 | ||||||
H.B. Fuller Co. | 5,723 | 364,040 | ||||||
Orion Engineered Carbons SA (a) | 28,537 | 541,918 | ||||||
Rogers Corp. (a) | 5,193 | 1,042,754 | ||||||
Stepan Co. | 2,913 | 350,347 | ||||||
3,404,569 | ||||||||
Forest Products & Paper — 0.8% | ||||||||
Neenah, Inc. | 12,618 | 633,045 | ||||||
Iron & Steel — 1.5% | ||||||||
Allegheny Technologies, Inc. (a) | 60,431 | 1,259,986 | ||||||
Mining — 0.5% | ||||||||
Ferroglobe PLC (a) | 62,436 | 382,108 | ||||||
Ferroglobe Representation & Warranty Insurance Trust (b) (d) | 234,800 | — | ||||||
382,108 | ||||||||
5,679,708 | ||||||||
Communications — 2.3% | ||||||||
Telecommunications — 2.3% | ||||||||
Ciena Corp. (a) | 13,699 | 779,336 | ||||||
Infinera Corp. (a) | 107,403 | 1,095,511 | ||||||
1,874,847 | ||||||||
Consumer, Cyclical — 8.9% | ||||||||
Apparel — 0.8% | ||||||||
Kontoor Brands, Inc. | 11,704 | 660,223 | ||||||
Auto Parts & Equipment — 4.5% | ||||||||
Adient PLC (a) | 33,389 | 1,509,183 | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 97,040 | 1,004,364 | ||||||
Gentherm, Inc. (a) | 16,020 | 1,138,221 | ||||||
3,651,768 | ||||||||
Food Services — 1.0% | ||||||||
Aramark | 20,883 | 777,892 |
MassMutual Small Cap Value Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Home Builders — 0.6% | ||||||||
TRI Pointe Group, Inc. (a) | 24,182 | $ | 518,220 | |||||
Home Furnishing — 1.0% | ||||||||
Whirlpool Corp. | 3,895 | 849,188 | ||||||
Lodging — 0.5% | ||||||||
Wyndham Hotels & Resorts, Inc. | 6,081 | 439,595 | ||||||
Textiles — 0.5% | ||||||||
UniFirst Corp. | 1,709 | 401,000 | ||||||
7,297,886 | ||||||||
Consumer, Non-cyclical — 14.3% | ||||||||
Agriculture — 1.6% | ||||||||
Darling Ingredients, Inc. (a) | 20,040 | 1,352,700 | ||||||
Beverages — 0.5% | ||||||||
C&C Group PLC (a) | 110,029 | 369,785 | ||||||
Commercial Services — 3.8% | ||||||||
AMN Healthcare Services, Inc. (a) | 2,203 | 213,647 | ||||||
BrightView Holdings, Inc. (a) | 25,780 | 415,574 | ||||||
CBIZ, Inc. (a) | 19,822 | 649,567 | ||||||
Forrester Research, Inc. (a) | 7,743 | 354,629 | ||||||
Huron Consulting Group, Inc. (a) | 12,646 | 621,551 | ||||||
ICF International, Inc. | 5,633 | 494,915 | ||||||
Monro, Inc. | 6,195 | 393,445 | ||||||
3,143,328 | ||||||||
Food — 2.9% | ||||||||
Cranswick PLC | 9,202 | 505,721 | ||||||
Hostess Brands, Inc. (a) | 31,974 | 517,659 | ||||||
Post Holdings, Inc. (a) | 4,542 | 492,671 | ||||||
SunOpta, Inc. (a) | 67,436 | 825,417 | ||||||
2,341,468 | ||||||||
Health Care – Products — 1.7% | ||||||||
Haemonetics Corp. (a) | 4,966 | 330,934 | ||||||
Invacare Corp. (a) | 20,014 | 161,513 | ||||||
Lantheus Holdings, Inc. (a) | 33,717 | 931,938 | ||||||
1,424,385 | ||||||||
Health Care – Services — 1.6% | ||||||||
Encompass Health Corp. | 9,170 | 715,535 | ||||||
MEDNAX, Inc. (a) | 8,729 | 263,179 | ||||||
Syneos Health, Inc. (a) | 3,847 | 344,268 | ||||||
1,322,982 | ||||||||
Household Products & Wares — 1.8% | ||||||||
ACCO Brands Corp. | 55,679 | 480,510 | ||||||
Spectrum Brands Holdings, Inc. | 11,434 | 972,347 | ||||||
1,452,857 |
MassMutual Small Cap Value Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Pharmaceuticals — 0.4% | ||||||||
Owens & Minor, Inc. | 8,273 | $ | 350,196 | |||||
11,757,701 | ||||||||
Energy — 1.6% | ||||||||
Oil & Gas — 1.1% | ||||||||
Chesapeake Energy Corp. | 4,169 | 216,455 | ||||||
Magnolia Oil & Gas Corp. Class A (a) (c) | 40,519 | 633,312 | ||||||
849,767 | ||||||||
Oil & Gas Services — 0.5% | ||||||||
Bristow Group, Inc. (a) | 3,148 | 80,620 | ||||||
NOW, Inc. (a) | 36,402 | 345,455 | ||||||
426,075 | ||||||||
1,275,842 | ||||||||
Financial — 23.4% | ||||||||
Banks — 10.7% | ||||||||
1st Source Corp. | 6,230 | 289,446 | ||||||
Atlantic Union Bankshares Corp. | 11,095 | 401,861 | ||||||
Eastern Bankshares, Inc. | 19,502 | 401,156 | ||||||
First Citizens BancShares, Inc. Class A | 445 | 370,569 | ||||||
First Midwest Bancorp, Inc. | 18,986 | 376,492 | ||||||
Great Western Bancorp, Inc. | 13,409 | 439,681 | ||||||
Hancock Whitney Corp. | 13,517 | 600,695 | ||||||
International Bancshares Corp. | 12,918 | 554,699 | ||||||
OFG Bancorp | 48,548 | 1,073,882 | ||||||
Prosperity Bancshares, Inc. | 12,899 | 926,148 | ||||||
Synovus Financial Corp. | 13,788 | 605,017 | ||||||
Texas Capital Bancshares, Inc. (a) | 18,846 | 1,196,533 | ||||||
Umpqua Holdings Corp. | 56,366 | 1,039,953 | ||||||
Webster Financial Corp. | 8,870 | 473,126 | ||||||
8,749,258 | ||||||||
Insurance — 6.9% | ||||||||
Alleghany Corp. (a) | 1,264 | 843,176 | ||||||
Argo Group International Holdings Ltd. | 5,833 | 302,324 | ||||||
Assured Guaranty Ltd. | 8,655 | 410,939 | ||||||
Kemper Corp. | 9,750 | 720,525 | ||||||
MGIC Investment Corp. | 86,121 | 1,171,246 | ||||||
NMI Holdings, Inc. Class A (a) | 15,589 | 350,441 | ||||||
ProAssurance Corp. | 11,026 | 250,842 | ||||||
Reinsurance Group of America, Inc. | 3,912 | 445,968 | ||||||
SiriusPoint Ltd. (a) | 36,396 | 366,508 | ||||||
White Mountains Insurance Group Ltd. | 735 | 843,802 | ||||||
5,705,771 | ||||||||
Real Estate — 0.6% | ||||||||
Alexander & Baldwin, Inc. | 26,243 | 480,772 | ||||||
Real Estate Investment Trusts (REITS) — 4.0% | ||||||||
Brandywine Realty Trust | 37,707 | 516,963 |
MassMutual Small Cap Value Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Corporate Office Properties Trust | 11,074 | $ | 309,961 | |||||
Lexington Realty Trust | 27,769 | 331,840 | ||||||
Physicians Realty Trust | 29,801 | 550,424 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 29,862 | 551,551 | ||||||
PotlatchDeltic Corp. | 6,823 | 362,642 | ||||||
RPT Realty | 49,412 | 641,368 | ||||||
3,264,749 | ||||||||
Savings & Loans — 1.2% | ||||||||
Banc of California, Inc. | 34,436 | 604,008 | ||||||
Northwest Bancshares, Inc. | 25,935 | 353,753 | ||||||
957,761 | ||||||||
19,158,311 | ||||||||
Industrial — 28.5% | ||||||||
Aerospace & Defense — 0.8% | ||||||||
Hexcel Corp. (a) | 8,325 | 519,480 | ||||||
Park Aerospace Corp. | 9,323 | 138,913 | ||||||
658,393 | ||||||||
Building Materials — 4.2% | ||||||||
American Woodmark Corp. (a) | 7,040 | 575,097 | ||||||
Apogee Enterprises, Inc. | 25,901 | 1,054,948 | ||||||
Gibraltar Industries, Inc. (a) | 10,432 | 796,066 | ||||||
Louisiana-Pacific Corp. | 2,506 | 151,087 | ||||||
Tyman PLC | 138,407 | 862,559 | ||||||
3,439,757 | ||||||||
Electrical Components & Equipment — 1.8% | ||||||||
Belden, Inc. | 14,673 | 742,014 | ||||||
Encore Wire Corp. | 9,585 | 726,447 | ||||||
1,468,461 | ||||||||
Electronics — 2.9% | ||||||||
Coherent, Inc. (a) | 689 | 182,130 | ||||||
FARO Technologies, Inc. (a) | 11,393 | 886,033 | ||||||
II-VI, Inc. (a) (c) | 13,105 | 951,292 | ||||||
Vishay Precision Group, Inc. (a) | 9,492 | 323,108 | ||||||
2,342,563 | ||||||||
Engineering & Construction — 2.9% | ||||||||
Primoris Services Corp. | 41,115 | 1,210,015 | ||||||
WillScot Mobile Mini Holdings Corp. (a) | 41,166 | 1,147,296 | ||||||
2,357,311 | ||||||||
Environmental Controls — 1.8% | ||||||||
Clean Harbors, Inc. (a) | 6,364 | 592,743 | ||||||
Harsco Corp. (a) | 41,952 | 856,660 | ||||||
1,449,403 |
MassMutual Small Cap Value Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Hand & Machine Tools — 1.7% | ||||||||
Kennametal, Inc. | 23,227 | $ | 834,314 | |||||
Luxfer Holdings PLC | 25,638 | 570,445 | ||||||
1,404,759 | ||||||||
Machinery – Diversified — 2.2% | ||||||||
Albany International Corp. Class A | 3,705 | 330,708 | ||||||
Colfax Corp. (a) | 24,267 | 1,111,671 | ||||||
Thermon Group Holdings, Inc. (a) | 19,166 | 326,589 | ||||||
1,768,968 | ||||||||
Metal Fabricate & Hardware — 0.6% | ||||||||
Mueller Industries, Inc. | 12,280 | 531,847 | ||||||
Miscellaneous - Manufacturing — 2.5% | ||||||||
Enerpac Tool Group Corp. | 30,272 | 805,841 | ||||||
Federal Signal Corp. | 18,258 | 734,519 | ||||||
Materion Corp. | 7,273 | 548,021 | ||||||
2,088,381 | ||||||||
Packaging & Containers — 2.1% | ||||||||
Sealed Air Corp. | 14,632 | 866,946 | ||||||
TriMas Corp. (a) | 27,505 | 834,227 | ||||||
1,701,173 | ||||||||
Transportation — 3.1% | ||||||||
Air Transport Services Group, Inc. (a) | 45,804 | 1,064,027 | ||||||
Dorian LPG Ltd. (a) | 23,256 | 328,375 | ||||||
Kirby Corp. (a) | 17,382 | 1,054,044 | ||||||
Scorpio Tankers, Inc. | 5,967 | 131,572 | ||||||
2,578,018 | ||||||||
Trucking & Leasing — 1.9% | ||||||||
GATX Corp. (c) | 5,257 | 465,087 | ||||||
The Greenbrier Cos., Inc. | 24,423 | 1,064,354 | ||||||
1,529,441 | ||||||||
23,318,475 | ||||||||
Technology — 9.1% | ||||||||
Computers — 1.8% | ||||||||
Exlservice Holdings, Inc. (a) | 3,954 | 420,152 | ||||||
Science Applications International Corp. | 6,578 | 577,088 | ||||||
WNS Holdings Ltd. ADR (a) | 6,210 | 495,993 | ||||||
1,493,233 | ||||||||
Semiconductors — 5.4% | ||||||||
Brooks Automation, Inc. | 11,719 | 1,116,586 | ||||||
Cohu, Inc. (a) | 28,182 | 1,036,816 | ||||||
CTS Corp. | 14,187 | 527,189 | ||||||
Diodes, Inc. (a) | 11,899 | 949,183 | ||||||
Onto Innovation, Inc. (a) | 3,043 | 222,261 |
MassMutual Small Cap Value Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Photronics, Inc. (a) | 41,206 | $ | 544,331 | |||||
4,396,366 | ||||||||
Software — 1.9% | ||||||||
Allscripts Healthcare Solutions, Inc. (a) | 25,015 | 463,028 | ||||||
CDK Global, Inc. | 14,109 | 701,076 | ||||||
Progress Software Corp. | 9,237 | 427,211 | ||||||
1,591,315 | ||||||||
7,480,914 | ||||||||
Utilities — 2.7% | ||||||||
Electric — 0.8% | ||||||||
Portland General Electric Co. | 15,181 | 699,540 | ||||||
Gas — 1.9% | ||||||||
New Jersey Resources Corp. | 9,645 | 381,653 | ||||||
Spire, Inc. | 5,522 | 399,075 | ||||||
UGI Corp. | 16,652 | 771,154 | ||||||
1,551,882 | ||||||||
2,251,422 | ||||||||
TOTAL COMMON STOCK (Cost $56,090,124) | 80,095,106 | |||||||
TOTAL EQUITIES (Cost $56,090,124) | 80,095,106 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $56,090,124) | 80,095,106 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||||
Repurchase Agreement — 2.6% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (e) | $ | 2,133,432 | 2,133,432 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,133,432) | 2,133,432 | |||||||
TOTAL INVESTMENTS — 100.3% (Cost $58,223,556) (f) | 82,228,538 | |||||||
Other Assets/(Liabilities) — (0.3)% | (283,044) | |||||||
NET ASSETS — 100.0% | $ | 81,945,494 |
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Investment was valued using significant unobservable inputs. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $1,987,275 or 2.43% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $2,033,985 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) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $0 or 0.00% of net assets. |
(e) | Maturity value of $2,133,432. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $2,176,216. |
(f) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Small Company Value Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.6% | ||||||||
COMMON STOCK — 99.6% | ||||||||
Basic Materials — 5.4% | ||||||||
Chemicals — 3.1% | ||||||||
AdvanSix, Inc. (a) | 56,120 | $ | 1,675,743 | |||||
GCP Applied Technologies, Inc. (a) | 53,246 | 1,238,502 | ||||||
H.B. Fuller Co. | 28,730 | 1,827,515 | ||||||
Innospec, Inc. | 12,900 | 1,168,869 | ||||||
Minerals Technologies, Inc. | 13,673 | 1,075,655 | ||||||
Orion Engineered Carbons SA (a) | 113,038 | 2,146,592 | ||||||
9,132,876 | ||||||||
Iron & Steel — 2.3% | ||||||||
Carpenter Technology Corp. | 66,808 | 2,687,018 | ||||||
Commercial Metals Co. | 87,890 | 2,699,981 | ||||||
Schnitzer Steel Industries, Inc. Class A | 25,670 | 1,259,113 | ||||||
6,646,112 | ||||||||
Mining — 0.0% | ||||||||
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c) | 49,975 | — | ||||||
15,778,988 | ||||||||
Communications — 3.1% | ||||||||
Internet — 0.8% | ||||||||
Criteo SA Sponsored ADR (a) | 53,091 | 2,401,306 | ||||||
Media — 1.2% | ||||||||
Entravision Communications Corp. Class A | 126,680 | 846,222 | ||||||
Houghton Mifflin Harcourt Co. (a) | 217,222 | 2,398,131 | ||||||
Townsquare Media, Inc. Class A (a) | 11,287 | 143,909 | ||||||
3,388,262 | ||||||||
Telecommunications — 1.1% | ||||||||
A10 Networks, Inc. (a) | 175,589 | 1,977,132 | ||||||
Casa Systems, Inc. (a) | 149,510 | 1,326,154 | ||||||
3,303,286 | ||||||||
9,092,854 | ||||||||
Consumer, Cyclical — 22.3% | ||||||||
Airlines — 0.8% | ||||||||
SkyWest, Inc. (a) | 54,506 | 2,347,573 | ||||||
Apparel — 1.8% | ||||||||
Kontoor Brands, Inc. | 38,920 | 2,195,477 |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Steven Madden Ltd. | 36,830 | $ | 1,611,681 | |||||
Tapestry, Inc. (a) | 31,831 | 1,384,012 | ||||||
5,191,170 | ||||||||
Auto Manufacturers — 1.5% | ||||||||
Blue Bird Corp. (a) | 107,469 | 2,671,679 | ||||||
REV Group, Inc. | 111,640 | 1,751,632 | ||||||
4,423,311 | ||||||||
Auto Parts & Equipment — 2.6% | ||||||||
Dana, Inc. | 83,476 | 1,983,390 | ||||||
The Goodyear Tire & Rubber Co. (a) | 166,210 | 2,850,501 | ||||||
The Shyft Group, Inc. | 74,710 | 2,794,901 | ||||||
7,628,792 | ||||||||
Distribution & Wholesale — 0.5% | ||||||||
A-Mark Precious Metals, Inc. | 4,819 | 224,084 | ||||||
KAR Auction Services, Inc. (a) | 74,160 | 1,301,508 | ||||||
1,525,592 | ||||||||
Entertainment — 2.1% | ||||||||
Accel Entertainment, Inc. (a) | 61,303 | 727,666 | ||||||
IMAX Corp. (a) | 122,410 | 2,631,815 | ||||||
Scientific Games Corp. Class A (a) | 36,570 | 2,831,981 | ||||||
6,191,462 | ||||||||
Food Services — 0.2% | ||||||||
Healthcare Services Group, Inc. | 13,232 | 417,734 | ||||||
Home Builders — 2.2% | ||||||||
KB Home | 64,620 | 2,631,326 | ||||||
Skyline Champion Corp. (a) | 27,509 | 1,466,230 | ||||||
Taylor Morrison Home Corp. (a) | 92,219 | 2,436,426 | ||||||
6,533,982 | ||||||||
Home Furnishing — 1.1% | ||||||||
Herman Miller, Inc. | 68,650 | 3,236,161 | ||||||
Leisure Time — 1.5% | ||||||||
Brunswick Corp. | 12,953 | 1,290,378 | ||||||
Malibu Boats, Inc. Class A (a) | 32,317 | 2,369,806 | ||||||
OneWater Marine, Inc. Class A | 20,416 | 858,084 | ||||||
4,518,268 | ||||||||
Lodging — 0.6% | ||||||||
Hilton Grand Vacations, Inc. (a) | 44,950 | 1,860,481 | ||||||
Retail — 7.3% | ||||||||
Beacon Roofing Supply, Inc. (a) | 20,056 | 1,067,982 | ||||||
BJ's Restaurants, Inc. (a) | 8,012 | 393,710 | ||||||
Dave & Buster's Entertainment, Inc. (a) | 23,551 | 956,171 | ||||||
Dine Brands Global, Inc. (a) | 25,320 | 2,259,810 | ||||||
Foot Locker, Inc. | 33,700 | 2,076,931 | ||||||
Genesco, Inc. (a) | 30,130 | 1,918,678 |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
GMS, Inc. (a) | 20,454 | $ | 984,656 | |||||
MarineMax, Inc. (a) | 25,628 | 1,249,109 | ||||||
Papa John's International, Inc. | 22,250 | 2,323,790 | ||||||
Penske Automotive Group, Inc. | 26,685 | 2,014,451 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 30,249 | 1,001,544 | ||||||
Regis Corp. (a) (d) | 119,462 | 1,118,164 | ||||||
Ruth's Hospitality Group, Inc. (a) | 55,947 | 1,288,459 | ||||||
Sally Beauty Holdings, Inc. (a) | 119,750 | 2,642,882 | ||||||
21,296,337 | ||||||||
Textiles — 0.1% | ||||||||
Mohawk Industries, Inc. (a) | 1,190 | 228,706 | ||||||
65,399,569 | ||||||||
Consumer, Non-cyclical — 10.7% | ||||||||
Commercial Services — 5.9% | ||||||||
Barrett Business Services, Inc. | 7,588 | 550,965 | ||||||
BrightView Holdings, Inc. (a) | 104,920 | 1,691,310 | ||||||
The Brink's Co. | 23,427 | 1,800,131 | ||||||
Deluxe Corp. | 34,580 | 1,651,887 | ||||||
EVERTEC, Inc. | 40,048 | 1,748,095 | ||||||
Herc Holdings, Inc. (a) | 27,764 | 3,111,511 | ||||||
Korn Ferry | 59,975 | 4,351,186 | ||||||
Loomis AB | 23,852 | 746,234 | ||||||
Viad Corp. (a) | 30,560 | 1,523,416 | ||||||
17,174,735 | ||||||||
Cosmetics & Personal Care — 0.6% | ||||||||
Edgewell Personal Care Co. | 38,118 | 1,673,380 | ||||||
The Honest Co., Inc. (a) | 11,933 | 193,196 | ||||||
1,866,576 | ||||||||
Food — 1.8% | ||||||||
The Hain Celestial Group, Inc. (a) (d) | 65,194 | 2,615,583 | ||||||
Nomad Foods Ltd. (a) | 93,428 | 2,641,210 | ||||||
5,256,793 | ||||||||
Health Care – Products — 0.2% | ||||||||
Apria, Inc. (a) | 17,081 | 478,268 | ||||||
Health Care – Services — 1.3% | ||||||||
MEDNAX, Inc. (a) | 109,640 | 3,305,646 | ||||||
National HealthCare Corp. | 5,887 | 411,501 | ||||||
3,717,147 | ||||||||
Household Products & Wares — 0.8% | ||||||||
Spectrum Brands Holdings, Inc. | 27,224 | 2,315,129 | ||||||
Pharmaceuticals — 0.1% | ||||||||
Premier, Inc. Class A | 13,156 | 457,697 | ||||||
31,266,345 |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Energy — 3.5% | ||||||||
Energy – Alternate Sources — 0.3% | ||||||||
Enviva Partners LP (e) | 16,696 | $ | 875,038 | |||||
Oil & Gas — 1.4% | ||||||||
Cimarex Energy Co. | 28,070 | 2,033,671 | ||||||
Earthstone Energy, Inc. Class A (a) | 17,593 | 194,755 | ||||||
HollyFrontier Corp. | 59,790 | 1,967,091 | ||||||
4,195,517 | ||||||||
Oil & Gas Services — 1.8% | ||||||||
ChampionX Corp. (a) | 45,004 | 1,154,353 | ||||||
Dril-Quip, Inc. (a) | 46,233 | 1,564,062 | ||||||
Helix Energy Solutions Group, Inc. (a) | 147,572 | 842,636 | ||||||
MRC Global, Inc. (a) | 162,384 | 1,526,410 | ||||||
NCS Multistage Holdings, Inc. (a) | 1,061 | 32,222 | ||||||
5,119,683 | ||||||||
10,190,238 | ||||||||
Financial — 31.6% | ||||||||
Banks — 16.1% | ||||||||
1st Source Corp. | 41,068 | 1,908,019 | ||||||
Ameris Bancorp | 21,890 | 1,108,291 | ||||||
Associated Banc-Corp. | 92,239 | 1,889,055 | ||||||
Bank of Marin Bancorp | 28,056 | 894,986 | ||||||
BankUnited, Inc. | 97,847 | 4,177,088 | ||||||
Carter Bankshares, Inc. (a) | 91,415 | 1,143,602 | ||||||
F.N.B. Corp. | 86,321 | 1,064,338 | ||||||
First BanCorp | 23,413 | 279,083 | ||||||
First Hawaiian, Inc. | 13,619 | 385,962 | ||||||
First Mid Bancshares, Inc. | 4,814 | 195,015 | ||||||
Five Star Bancorp (a) | 3,235 | 78,125 | ||||||
HarborOne Bancorp, Inc. | 170,007 | 2,437,900 | ||||||
Heritage Financial Corp. | 78,642 | 1,967,623 | ||||||
Hilltop Holdings, Inc. | 8,950 | 325,780 | ||||||
Home BancShares, Inc. | 47,670 | 1,176,496 | ||||||
Independent Bank Corp. | 6,093 | 460,022 | ||||||
Independent Bank Group, Inc. | 48,352 | 3,577,081 | ||||||
Old National Bancorp | 59,007 | 1,039,113 | ||||||
Origin Bancorp, Inc. | 13,815 | 586,585 | ||||||
Premier Financial Corp. | 58,057 | 1,649,399 | ||||||
QCR Holdings, Inc. | 5,554 | 267,092 | ||||||
Renasant Corp. | 7,210 | 288,400 | ||||||
Sandy Spring Bancorp, Inc. | 39,409 | 1,739,119 | ||||||
Signature Bank | 3,545 | 870,829 | ||||||
South State Corp. | 11,051 | 903,530 | ||||||
Synovus Financial Corp. | 61,737 | 2,709,020 | ||||||
Texas Capital Bancshares, Inc. (a) | 47,540 | 3,018,315 | ||||||
Towne Bank | 22,198 | 675,263 | ||||||
TriCo Bancshares | 46,046 | 1,960,639 | ||||||
UMB Financial Corp. | 20,084 | 1,869,017 | ||||||
Umpqua Holdings Corp. | 115,704 | 2,134,739 | ||||||
Valley National Bancorp | 140,198 | 1,882,859 |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Webster Financial Corp. | 48,332 | $ | 2,578,029 | |||||
47,240,414 | ||||||||
Diversified Financial Services — 1.8% | ||||||||
Moelis & Co. Class A | 39,017 | 2,219,677 | ||||||
Stifel Financial Corp. | 45,945 | 2,979,993 | ||||||
5,199,670 | ||||||||
Insurance — 2.5% | ||||||||
Axis Capital Holdings Ltd. | 31,970 | 1,566,850 | ||||||
The Hanover Insurance Group, Inc. | 15,670 | 2,125,479 | ||||||
James River Group Holdings Ltd. | 15,294 | 573,831 | ||||||
ProAssurance Corp. | 11,526 | 262,216 | ||||||
ProSight Global, Inc. (a) | 21,516 | 274,544 | ||||||
Selective Insurance Group, Inc. | 31,752 | 2,576,675 | ||||||
7,379,595 | ||||||||
Investment Companies — 0.6% | ||||||||
Compass Diversified Holdings (e) | 74,275 | 1,894,012 | ||||||
Real Estate Investment Trusts (REITS) — 7.4% | ||||||||
Armada Hoffler Properties, Inc. | 64,365 | 855,411 | ||||||
Brandywine Realty Trust | 77,544 | 1,063,128 | ||||||
Cousins Properties, Inc. | 64,923 | 2,387,868 | ||||||
Four Corners Property Trust, Inc. | 26,929 | 743,510 | ||||||
Getty Realty Corp. | 14,364 | 447,439 | ||||||
Healthcare Realty Trust, Inc. | 9,138 | 275,968 | ||||||
Highwoods Properties, Inc. | 10,030 | 453,055 | ||||||
Independence Realty Trust, Inc. | 149,550 | 2,726,296 | ||||||
Kite Realty Group Trust | 25,242 | 555,576 | ||||||
Lexington Realty Trust | 22,437 | 268,122 | ||||||
National Health Investors, Inc. | 7,637 | 512,061 | ||||||
National Storage Affiliates Trust | 37,354 | 1,888,618 | ||||||
NETSTREIT Corp. | 8,397 | 193,635 | ||||||
Physicians Realty Trust | 176,665 | 3,263,003 | ||||||
RLJ Lodging Trust | 146,420 | 2,229,977 | ||||||
Sabra Health Care REIT, Inc. | 7,832 | 142,542 | ||||||
STAG Industrial, Inc. | 86,678 | 3,244,357 | ||||||
Summit Hotel Properties, Inc. (a) | 26,742 | 249,503 | ||||||
Weingarten Realty Investors | 4,381 | 140,499 | ||||||
21,640,568 | ||||||||
Savings & Loans — 3.2% | ||||||||
Berkshire Hills Bancorp, Inc. | 7,851 | 215,196 | ||||||
Pacific Premier Bancorp, Inc. | 78,749 | 3,330,295 | ||||||
Provident Financial Services, Inc. | 20,120 | 460,547 | ||||||
Sterling Bancorp | 115,086 | 2,852,982 | ||||||
WSFS Financial Corp. | 53,296 | 2,483,060 | ||||||
9,342,080 | ||||||||
92,696,339 |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Industrial — 15.9% | ||||||||
Aerospace & Defense — 0.0% | ||||||||
AAR Corp. (a) | 2,277 | $ | 88,234 | |||||
Building Materials — 1.5% | ||||||||
Cornerstone Building Brands, Inc. (a) | 36,304 | 660,007 | ||||||
Hayward Holdings, Inc. (a) | 30,764 | 800,479 | ||||||
Masonite International Corp. (a) | 21,057 | 2,353,962 | ||||||
Tecnoglass, Inc. (d) | 29,545 | 632,263 | ||||||
4,446,711 | ||||||||
Electrical Components & Equipment — 1.0% | ||||||||
Belden, Inc. | 54,147 | 2,738,214 | ||||||
Graham Corp. | 12,497 | 171,958 | ||||||
2,910,172 | ||||||||
Electronics — 2.1% | ||||||||
Advanced Energy Industries, Inc. | 4,154 | 468,197 | ||||||
Avnet, Inc. | 41,231 | 1,652,538 | ||||||
Coherent, Inc. (a) | 6,191 | 1,636,529 | ||||||
II-VI, Inc. (a) (d) | 33,652 | 2,442,799 | ||||||
6,200,063 | ||||||||
Engineering & Construction — 0.8% | ||||||||
Arcosa, Inc. | 11,381 | 668,520 | ||||||
Dycom Industries, Inc. (a) | 15,149 | 1,129,055 | ||||||
NV5 Global, Inc. (a) | 7,224 | 682,740 | ||||||
2,480,315 | ||||||||
Environmental Controls — 0.1% | ||||||||
CECO Environmental Corp. (a) | 30,461 | 218,101 | ||||||
Hand & Machine Tools — 1.1% | ||||||||
Hurco Cos., Inc. | 1,726 | 60,410 | ||||||
Kennametal, Inc. | 14,453 | 519,152 | ||||||
Luxfer Holdings PLC | 13,458 | 299,441 | ||||||
Regal Beloit Corp. | 18,530 | 2,473,940 | ||||||
3,352,943 | ||||||||
Machinery – Construction & Mining — 1.6% | ||||||||
The Manitowoc Co., Inc. (a) | 80,920 | 1,982,540 | ||||||
Terex Corp. | 54,569 | 2,598,576 | ||||||
4,581,116 | ||||||||
Machinery – Diversified — 3.0% | ||||||||
Albany International Corp. Class A | 9,543 | 851,808 | ||||||
Cactus, Inc. Class A | 72,020 | 2,644,574 | ||||||
Colfax Corp. (a) | 31,128 | 1,425,974 | ||||||
Crane Co. | 19,539 | 1,804,818 | ||||||
DXP Enterprises, Inc. (a) | 21,174 | 705,094 | ||||||
Gates Industrial Corp. PLC (a) | 47,722 | 862,337 |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Welbilt, Inc. (a) | 22,028 | $ | 509,948 | |||||
8,804,553 | ||||||||
Metal Fabricate & Hardware — 0.5% | ||||||||
The Timken Co. | 16,406 | 1,322,159 | ||||||
Miscellaneous - Manufacturing — 1.4% | ||||||||
DIRTT Environmental Solutions (a) (d) | 53,328 | 227,977 | ||||||
EnPro Industries, Inc. | 5,538 | 538,017 | ||||||
Hillenbrand, Inc. | 38,920 | 1,715,594 | ||||||
Trinseo SA | 28,799 | 1,723,332 | ||||||
4,204,920 | ||||||||
Packaging & Containers — 1.4% | ||||||||
Graphic Packaging Holding Co. | 140,827 | 2,554,602 | ||||||
Karat Packaging, Inc. (a) (d) | 5,977 | 121,752 | ||||||
Pactiv Evergreen, Inc. | 85,063 | 1,281,899 | ||||||
3,958,253 | ||||||||
Transportation — 0.7% | ||||||||
ArcBest Corp. | 36,460 | 2,121,607 | ||||||
Trucking & Leasing — 0.7% | ||||||||
GATX Corp. (d) | 21,600 | 1,910,952 | ||||||
46,600,099 | ||||||||
Technology — 5.3% | ||||||||
Computers — 1.4% | ||||||||
KBR, Inc. | 21,359 | 814,846 | ||||||
NCR Corp. (a) | 27,585 | 1,258,152 | ||||||
TaskUS, Inc. (a) | 13,936 | 477,168 | ||||||
Unisys Corp. (a) | 66,022 | 1,671,017 | ||||||
4,221,183 | ||||||||
Semiconductors — 1.7% | ||||||||
Kulicke & Soffa Industries, Inc. | 54,318 | 3,324,261 | ||||||
Magnachip Semiconductor Corp. (a) | 72,910 | 1,739,633 | ||||||
5,063,894 | ||||||||
Software — 2.2% | ||||||||
Avaya Holdings Corp. (a) | 34,611 | 931,036 | ||||||
CommVault Systems, Inc. (a) | 18,677 | 1,459,981 | ||||||
Donnelley Financial Solutions, Inc. (a) | 51,139 | 1,687,587 | ||||||
IBEX Holdings Ltd. (a) | 13,215 | 257,957 | ||||||
Teradata Corp. (a) | 42,004 | 2,098,940 | ||||||
6,435,501 | ||||||||
15,720,578 | ||||||||
Utilities — 1.8% | ||||||||
Electric — 1.0% | ||||||||
Charah Solutions, Inc. (a) | 33,111 | 167,211 |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
IDACORP, Inc. | 26,920 | $ | 2,624,700 | |||||
2,791,911 | ||||||||
Gas — 0.8% | ||||||||
South Jersey Industries, Inc. (d) | 15,857 | 411,172 | ||||||
Southwest Gas Holdings, Inc. | 31,070 | 2,056,523 | ||||||
2,467,695 | ||||||||
5,259,606 | ||||||||
TOTAL COMMON STOCK (Cost $224,076,266) | 292,004,616 | |||||||
TOTAL EQUITIES (Cost $224,076,266) | 292,004,616 | |||||||
MUTUAL FUNDS — 0.4% | ||||||||
Diversified Financial Services — 0.4% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) | 1,117,174 | 1,117,174 | ||||||
TOTAL MUTUAL FUNDS (Cost $1,117,174) | 1,117,174 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $225,193,440) | 293,121,790 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||||
Repurchase Agreement — 0.9% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (g) | $ | 2,672,067 | 2,672,067 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,672,067) | 2,672,067 | |||||||
TOTAL INVESTMENTS — 100.9% (Cost $227,865,507) (h) | 295,793,857 | |||||||
Other Assets/(Liabilities) — (0.9)% | (2,527,084) | |||||||
NET ASSETS — 100.0% | $ | 293,266,773 |
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Investment was valued using significant unobservable inputs. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $0 or 0.00% of net assets. |
MassMutual Small Company Value Fund — Portfolio of Investments (Continued) |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $5,402,176 or 1.84% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $4,409,605 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 $2,672,067. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity dates ranging from 1/31/23 - 4/15/25, and an aggregate market value, including accrued interest, of $2,725,624. |
(h) | See Note 3 for aggregate cost for federal tax purposes. |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
UBS AG | 9/30/21 | USD | 645,578 | SEK | 5,496,336 | $ | 2,802 |
Currency Legend
SEK | Swedish Krona |
USD | U.S. Dollar |
MM S&P Mid Cap Index Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.3% | ||||||||
COMMON STOCK — 99.3% | ||||||||
Basic Materials — 4.3% | ||||||||
Chemicals — 2.1% | ||||||||
Ashland Global Holdings, Inc. | 11,067 | $ | 968,362 | |||||
Cabot Corp. | 11,475 | 653,272 | ||||||
The Chemours Co. | 33,477 | 1,165,000 | ||||||
Ingevity Corp. (a) | 8,055 | 655,355 | ||||||
Minerals Technologies, Inc. | 6,860 | 539,676 | ||||||
NewMarket Corp. | 1,483 | 477,496 | ||||||
Olin Corp. | 28,941 | 1,338,811 | ||||||
RPM International, Inc. | 26,159 | 2,319,780 | ||||||
Sensient Technologies Corp. | 8,514 | 736,972 | ||||||
Valvoline, Inc. | 36,527 | 1,185,666 | ||||||
10,040,390 | ||||||||
Iron & Steel — 1.8% | ||||||||
Cleveland-Cliffs, Inc. (a) (b) | 93,026 | 2,005,641 | ||||||
Commercial Metals Co. | 24,336 | 747,602 | ||||||
Reliance Steel & Aluminum Co. | 12,891 | 1,945,252 | ||||||
Steel Dynamics, Inc. | 40,629 | 2,421,488 | ||||||
United States Steel Corp. | 54,478 | 1,307,472 | ||||||
8,427,455 | ||||||||
Mining — 0.4% | ||||||||
Compass Minerals International, Inc. | 6,886 | 408,064 | ||||||
Royal Gold, Inc. | 13,297 | 1,517,188 | ||||||
1,925,252 | ||||||||
20,393,097 | ||||||||
Communications — 2.6% | ||||||||
Internet — 0.3% | ||||||||
TripAdvisor, Inc. (a) | 19,914 | 802,534 | ||||||
Yelp, Inc. (a) | 14,080 | 562,637 | ||||||
1,365,171 | ||||||||
Media — 1.5% | ||||||||
Cable One, Inc. | 1,097 | 2,098,353 | ||||||
FactSet Research Systems, Inc. | 7,646 | 2,566,074 | ||||||
The New York Times Co. Class A | 29,387 | 1,279,804 | ||||||
TEGNA, Inc. | 44,520 | 835,195 | ||||||
World Wrestling Entertainment, Inc. Class A (b) | 9,100 | 526,799 | ||||||
7,306,225 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Telecommunications — 0.8% | ||||||||
Ciena Corp. (a) | 31,285 | $ | 1,779,804 | |||||
Iridium Communications, Inc. (a) (b) | 23,673 | 946,683 | ||||||
Telephone & Data Systems, Inc. | 20,185 | 457,392 | ||||||
ViaSat, Inc. (a) | 13,790 | 687,293 | ||||||
3,871,172 | ||||||||
12,542,568 | ||||||||
Consumer, Cyclical — 16.2% | ||||||||
Airlines — 0.2% | ||||||||
JetBlue Airways Corp. (a) | 64,053 | 1,074,809 | ||||||
Apparel — 1.9% | ||||||||
Capri Holdings Ltd. (a) | 30,614 | 1,750,815 | ||||||
Carter's, Inc. | 8,860 | 914,086 | ||||||
Columbia Sportswear Co. | 6,189 | 608,750 | ||||||
Crocs, Inc. (a) | 13,163 | 1,533,753 | ||||||
Deckers Outdoor Corp. (a) | 5,623 | 2,159,625 | ||||||
Skechers U.S.A., Inc. Class A (a) | 27,202 | 1,355,476 | ||||||
Urban Outfitters, Inc. (a) | 13,874 | 571,886 | ||||||
8,894,391 | ||||||||
Auto Parts & Equipment — 1.7% | ||||||||
Adient PLC (a) | 19,060 | 861,512 | ||||||
Dana, Inc. | 29,322 | 696,691 | ||||||
Fox Factory Holding Corp. (a) | 8,473 | 1,318,907 | ||||||
Gentex Corp. | 48,789 | 1,614,428 | ||||||
The Goodyear Tire & Rubber Co. (a) | 56,535 | 969,575 | ||||||
Lear Corp. | 11,051 | 1,937,019 | ||||||
Visteon Corp. (a) | 5,658 | 684,279 | ||||||
8,082,411 | ||||||||
Distribution & Wholesale — 1.2% | ||||||||
Avient Corp. | 18,503 | 909,607 | ||||||
IAA, Inc. (a) | 27,271 | 1,487,360 | ||||||
KAR Auction Services, Inc. (a) (b) | 25,167 | 441,681 | ||||||
Univar Solutions, Inc. (a) | 34,332 | 837,014 | ||||||
Watsco, Inc. | 6,662 | 1,909,596 | ||||||
5,585,258 | ||||||||
Entertainment — 1.0% | ||||||||
Churchill Downs, Inc. | 7,019 | 1,391,587 | ||||||
Cinemark Holdings, Inc. (a) | 21,872 | 480,090 | ||||||
Marriott Vacations Worldwide Corp. (a) | 8,649 | 1,377,786 | ||||||
Scientific Games Corp. Class A (a) | 11,511 | 891,412 | ||||||
Six Flags Entertainment Corp. (a) | 15,364 | 664,954 | ||||||
4,805,829 | ||||||||
Food Services — 0.1% | ||||||||
Healthcare Services Group, Inc. | 15,144 | 478,096 | ||||||
Home Builders — 0.9% | ||||||||
KB Home | 18,032 | 734,263 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Taylor Morrison Home Corp. (a) | 26,111 | $ | 689,853 | |||||
Thor Industries, Inc. | 11,222 | 1,268,086 | ||||||
Toll Brothers, Inc. | 22,709 | 1,312,807 | ||||||
TRI Pointe Group, Inc. (a) | 23,801 | 510,055 | ||||||
4,515,064 | ||||||||
Home Furnishing — 0.4% | ||||||||
Herman Miller, Inc. | 11,954 | 563,512 | ||||||
Tempur Sealy International, Inc. | 37,090 | 1,453,557 | ||||||
2,017,069 | ||||||||
Housewares — 0.3% | ||||||||
The Scotts Miracle-Gro Co. | 8,242 | 1,581,805 | ||||||
Leisure Time — 1.4% | ||||||||
Brunswick Corp. | 15,764 | 1,570,410 | ||||||
Callaway Golf Co. | 23,435 | 790,462 | ||||||
Harley-Davidson, Inc. | 31,074 | 1,423,811 | ||||||
Polaris, Inc. | 11,654 | 1,596,132 | ||||||
YETI Holdings, Inc. (a) | 15,195 | 1,395,205 | ||||||
6,776,020 | ||||||||
Lodging — 0.9% | ||||||||
Boyd Gaming Corp. (a) | 16,324 | 1,003,763 | ||||||
Choice Hotels International, Inc. | 5,853 | 695,687 | ||||||
Travel + Leisure Co. | 17,417 | 1,035,441 | ||||||
Wyndham Hotels & Resorts, Inc. | 18,884 | 1,365,124 | ||||||
4,100,015 | ||||||||
Retail — 5.9% | ||||||||
American Eagle Outfitters, Inc. (b) | 30,629 | 1,149,506 | ||||||
AutoNation, Inc. (a) | 10,942 | 1,037,411 | ||||||
BJ's Wholesale Club Holdings, Inc. (a) | 27,666 | 1,316,348 | ||||||
Casey's General Stores, Inc. | 7,488 | 1,457,464 | ||||||
Cracker Barrel Old Country Store, Inc. | 4,809 | 713,944 | ||||||
Dick's Sporting Goods, Inc. (b) | 13,220 | 1,324,512 | ||||||
FirstCash, Inc. | 8,318 | 635,828 | ||||||
Five Below, Inc. (a) | 11,324 | 2,188,590 | ||||||
Foot Locker, Inc. | 20,834 | 1,283,999 | ||||||
Jack in the Box, Inc. | 4,467 | 497,802 | ||||||
Kohl's Corp. | 31,580 | 1,740,374 | ||||||
Lithia Motors, Inc. | 6,025 | 2,070,431 | ||||||
MSC Industrial Direct Co., Inc. Class A | 9,469 | 849,653 | ||||||
Murphy USA, Inc. | 5,040 | 672,185 | ||||||
Nordstrom, Inc. (a) | 22,068 | 807,027 | ||||||
Nu Skin Enterprises, Inc. Class A | 10,065 | 570,182 | ||||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 11,450 | 963,289 | ||||||
Papa John's International, Inc. | 6,674 | 697,033 | ||||||
RH (a) | 3,404 | 2,311,316 | ||||||
Texas Roadhouse, Inc. | 13,264 | 1,275,997 | ||||||
The Wendy's Co. | 35,677 | 835,555 | ||||||
Williams-Sonoma, Inc. | 15,399 | 2,458,450 | ||||||
Wingstop, Inc. | 6,017 | 948,460 | ||||||
World Fuel Services Corp. | 12,794 | 405,954 | ||||||
28,211,310 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Toys, Games & Hobbies — 0.3% | ||||||||
Mattel, Inc. (a) | 70,568 | $ | 1,418,417 | |||||
77,540,494 | ||||||||
Consumer, Non-cyclical — 17.3% | ||||||||
Agriculture — 0.5% | ||||||||
Darling Ingredients, Inc. (a) | 32,956 | 2,224,530 | ||||||
Beverages — 0.4% | ||||||||
The Boston Beer Co., Inc. Class A (a) | 1,884 | 1,923,187 | ||||||
Biotechnology — 1.6% | ||||||||
Arrowhead Pharmaceuticals, Inc. (a) | 21,037 | 1,742,284 | ||||||
Emergent BioSolutions, Inc. (a) | 9,183 | 578,437 | ||||||
Exelixis, Inc. (a) | 63,535 | 1,157,608 | ||||||
Halozyme Therapeutics, Inc. (a) | 26,993 | 1,225,752 | ||||||
Ligand Pharmaceuticals, Inc. (a) (b) | 3,367 | 441,717 | ||||||
Nektar Therapeutics (a) | 36,925 | 633,633 | ||||||
United Therapeutics Corp. (a) | 9,079 | 1,628,864 | ||||||
7,408,295 | ||||||||
Commercial Services — 4.0% | ||||||||
Adtalem Global Education, Inc. (a) | 9,910 | 353,192 | ||||||
ASGN, Inc. (a) | 10,742 | 1,041,222 | ||||||
Avis Budget Group, Inc. (a) | 10,475 | 815,898 | ||||||
The Brink's Co. | 10,035 | 771,089 | ||||||
FTI Consulting, Inc. (a) | 6,940 | 948,073 | ||||||
Graham Holdings Co. Class B | 818 | 518,530 | ||||||
Grand Canyon Education, Inc. (a) | 9,337 | 840,050 | ||||||
H&R Block, Inc. | 36,564 | 858,523 | ||||||
HealthEquity, Inc. (a) | 16,908 | 1,360,756 | ||||||
Insperity, Inc. | 7,311 | 660,695 | ||||||
John Wiley & Sons, Inc. Class A | 8,825 | 531,088 | ||||||
LiveRamp Holdings, Inc. (a) | 13,916 | 651,965 | ||||||
ManpowerGroup, Inc. | 11,001 | 1,308,129 | ||||||
Paylocity Holding Corp. (a) | 7,604 | 1,450,843 | ||||||
PROG Holdings, Inc. | 13,558 | 652,547 | ||||||
Progyny, Inc. (a) | 7,573 | 446,807 | ||||||
R1 RCM, Inc. (a) | 27,922 | 620,985 | ||||||
Sabre Corp. (a) (b) | 64,860 | 809,453 | ||||||
Service Corp. International | 33,967 | 1,820,292 | ||||||
Strategic Education, Inc. | 4,947 | 376,269 | ||||||
WEX, Inc. (a) | 9,057 | 1,756,152 | ||||||
WW International, Inc. (a) | 9,671 | 349,510 | ||||||
18,942,068 | ||||||||
Cosmetics & Personal Care — 0.1% | ||||||||
Coty, Inc. Class A (a) | 57,504 | 537,087 | ||||||
Food — 1.6% | ||||||||
Flowers Foods, Inc. | 39,904 | 965,677 | ||||||
Grocery Outlet Holding Corp. (a) | 17,568 | 608,907 | ||||||
The Hain Celestial Group, Inc. (a) | 16,604 | 666,152 | ||||||
Ingredion, Inc. | 13,511 | 1,222,745 | ||||||
Lancaster Colony Corp. | 3,964 | 767,074 | ||||||
Pilgrim's Pride Corp. (a) | 9,871 | 218,939 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Post Holdings, Inc. (a) | 11,940 | $ | 1,295,132 | |||||
Sanderson Farms, Inc. | 4,028 | 757,143 | ||||||
Sprouts Farmers Market, Inc. (a) | 23,907 | 594,089 | ||||||
Tootsie Roll Industries, Inc. (b) | 3,613 | 122,517 | ||||||
TreeHouse Foods, Inc. (a) | 11,328 | 504,322 | ||||||
7,722,697 | ||||||||
Health Care – Products — 4.5% | ||||||||
Bio-Techne Corp. | 7,864 | 3,540,845 | ||||||
Envista Holdings Corp. (a) | 32,446 | 1,401,992 | ||||||
Globus Medical, Inc. Class A (a) | 15,664 | 1,214,430 | ||||||
Haemonetics Corp. (a) | 10,301 | 686,459 | ||||||
Hill-Rom Holdings, Inc. | 13,450 | 1,527,785 | ||||||
ICU Medical, Inc. (a) | 3,985 | 820,113 | ||||||
Integra LifeSciences Holdings Corp. (a) | 14,364 | 980,199 | ||||||
LivaNova PLC (a) | 9,863 | 829,577 | ||||||
Masimo Corp. (a) | 10,220 | 2,477,839 | ||||||
Neogen Corp. (a) | 21,797 | 1,003,534 | ||||||
NuVasive, Inc. (a) | 10,414 | 705,861 | ||||||
Penumbra, Inc. (a) | 6,870 | 1,882,792 | ||||||
Quidel Corp. (a) | 7,805 | 999,976 | ||||||
Repligen Corp. (a) | 10,324 | 2,060,877 | ||||||
STAAR Surgical Co. (a) | 9,508 | 1,449,970 | ||||||
21,582,249 | ||||||||
Health Care – Services — 3.0% | ||||||||
Acadia Healthcare Co., Inc. (a) | 18,202 | 1,142,176 | ||||||
Amedisys, Inc. (a) | 6,575 | 1,610,415 | ||||||
Chemed Corp. | 3,219 | 1,527,415 | ||||||
Encompass Health Corp. | 20,119 | 1,569,886 | ||||||
LHC Group, Inc. (a) | 6,404 | 1,282,465 | ||||||
Medpace Holdings, Inc. (a) | 5,621 | 992,837 | ||||||
Molina Healthcare, Inc. (a) | 11,826 | 2,992,688 | ||||||
Syneos Health, Inc. (a) | 20,504 | 1,834,903 | ||||||
Tenet Healthcare Corp. (a) | 21,650 | 1,450,333 | ||||||
14,403,118 | ||||||||
Healthcare-Products — 0.1% | ||||||||
Patterson Cos., Inc. | 17,628 | 535,715 | ||||||
Household Products & Wares — 0.2% | ||||||||
Helen of Troy Ltd. (a) | 4,945 | 1,128,054 | ||||||
Pharmaceuticals — 1.3% | ||||||||
Jazz Pharmaceuticals PLC (a) | 12,137 | 2,156,017 | ||||||
Neurocrine Biosciences, Inc. (a) | 19,157 | 1,864,359 | ||||||
PRA Health Sciences, Inc. (a) | 13,126 | 2,168,546 | ||||||
6,188,922 | ||||||||
82,595,922 | ||||||||
Energy — 3.3% | ||||||||
Energy – Alternate Sources — 1.3% | ||||||||
First Solar, Inc. (a) | 17,184 | 1,555,324 | ||||||
SolarEdge Technologies, Inc. (a) | 10,527 | 2,909,347 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Sunrun, Inc. (a) (b) | 32,663 | $ | 1,821,942 | |||||
6,286,613 | ||||||||
Oil & Gas — 1.1% | ||||||||
Cimarex Energy Co. | 20,837 | 1,509,641 | ||||||
CNX Resources Corp. (a) | 44,531 | 608,293 | ||||||
EQT Corp. (a) | 56,519 | 1,258,113 | ||||||
HollyFrontier Corp. | 30,244 | 995,028 | ||||||
Murphy Oil Corp. | 29,264 | 681,266 | ||||||
5,052,341 | ||||||||
Oil & Gas Services — 0.2% | ||||||||
ChampionX Corp. (a) | 37,786 | 969,211 | ||||||
Pipelines — 0.7% | ||||||||
Antero Midstream Corp. (b) | 57,996 | 602,578 | ||||||
Equitrans Midstream Corp. | 81,881 | 696,807 | ||||||
Targa Resources Corp. | 46,319 | 2,058,880 | ||||||
3,358,265 | ||||||||
15,666,430 | ||||||||
Financial — 24.0% | ||||||||
Banks — 6.6% | ||||||||
Associated Banc-Corp. | 30,976 | 634,388 | ||||||
BancorpSouth Bank | 19,543 | 553,653 | ||||||
Bank of Hawaii Corp. | 8,135 | 685,130 | ||||||
Bank OZK | 24,501 | 1,032,962 | ||||||
Cathay General Bancorp | 15,148 | 596,225 | ||||||
CIT Group, Inc. | 20,006 | 1,032,110 | ||||||
Commerce Bancshares, Inc. | 21,260 | 1,585,146 | ||||||
Cullen/Frost Bankers, Inc. | 11,468 | 1,284,416 | ||||||
East West Bancorp, Inc. | 28,693 | 2,057,001 | ||||||
F.N.B. Corp. | 64,341 | 793,325 | ||||||
First Financial Bankshares, Inc. | 28,831 | 1,416,467 | ||||||
First Horizon Corp. | 111,540 | 1,927,411 | ||||||
Fulton Financial Corp. | 32,905 | 519,241 | ||||||
Glacier Bancorp, Inc. | 19,341 | 1,065,302 | ||||||
Hancock Whitney Corp. | 17,583 | 781,388 | ||||||
Home BancShares, Inc. | 30,794 | 759,996 | ||||||
International Bancshares Corp. | 11,290 | 484,793 | ||||||
PacWest Bancorp | 23,675 | 974,463 | ||||||
Pinnacle Financial Partners, Inc. | 15,402 | 1,359,843 | ||||||
Prosperity Bancshares, Inc. | 18,835 | 1,352,353 | ||||||
Signature Bank | 11,650 | 2,861,822 | ||||||
Synovus Financial Corp. | 30,127 | 1,321,973 | ||||||
Texas Capital Bancshares, Inc. (a) | 10,230 | 649,503 | ||||||
Trustmark Corp. | 12,852 | 395,842 | ||||||
UMB Financial Corp. | 8,789 | 817,904 | ||||||
Umpqua Holdings Corp. | 44,673 | 824,217 | ||||||
United Bankshares, Inc. | 27,150 | 990,975 | ||||||
Valley National Bancorp | 82,210 | 1,104,080 | ||||||
Webster Financial Corp. | 18,300 | 976,122 | ||||||
Wintrust Financial Corp. | 11,531 | 872,089 | ||||||
31,710,140 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Diversified Financial Services — 2.8% | ||||||||
Affiliated Managers Group, Inc. | 8,410 | $ | 1,296,906 | |||||
Alliance Data Systems Corp. | 10,072 | 1,049,402 | ||||||
Evercore, Inc. Class A | 8,259 | 1,162,620 | ||||||
Federated Hermes, Inc. | 18,819 | 638,152 | ||||||
Interactive Brokers Group, Inc. Class A | 16,376 | 1,076,395 | ||||||
Janus Henderson Group PLC | 34,583 | 1,342,166 | ||||||
Jefferies Financial Group, Inc. | 40,400 | 1,381,680 | ||||||
LendingTree, Inc. (a) | 2,250 | 476,730 | ||||||
Navient Corp. | 36,230 | 700,326 | ||||||
SEI Investments Co. | 23,922 | 1,482,446 | ||||||
SLM Corp. | 65,140 | 1,364,032 | ||||||
Stifel Financial Corp. | 21,276 | 1,379,961 | ||||||
13,350,816 | ||||||||
Insurance — 4.5% | ||||||||
Alleghany Corp. (a) | 2,812 | 1,875,801 | ||||||
American Financial Group, Inc. | 13,915 | 1,735,479 | ||||||
Brighthouse Financial, Inc. (a) | 17,288 | 787,295 | ||||||
Brown & Brown, Inc. | 47,253 | 2,511,024 | ||||||
CNO Financial Group, Inc. | 26,482 | 625,505 | ||||||
Essent Group Ltd. | 22,871 | 1,028,051 | ||||||
First American Financial Corp. | 22,146 | 1,380,803 | ||||||
The Hanover Insurance Group, Inc. | 7,237 | 981,627 | ||||||
Kemper Corp. | 12,230 | 903,797 | ||||||
Kinsale Capital Group, Inc. | 4,339 | 714,937 | ||||||
Mercury General Corp. | 5,416 | 351,769 | ||||||
MGIC Investment Corp. | 68,623 | 933,273 | ||||||
Old Republic International Corp. | 57,337 | 1,428,265 | ||||||
Primerica, Inc. | 7,974 | 1,221,138 | ||||||
Reinsurance Group of America, Inc. | 13,777 | 1,570,578 | ||||||
RenaissanceRe Holdings Ltd. | 10,062 | 1,497,427 | ||||||
RLI Corp. | 8,053 | 842,263 | ||||||
Selective Insurance Group, Inc. | 12,137 | 984,918 | ||||||
21,373,950 | ||||||||
Real Estate — 0.4% | ||||||||
Jones Lang LaSalle, Inc. (a) | 10,394 | 2,031,611 | ||||||
Real Estate Investment Trusts (REITS) — 9.2% | ||||||||
American Campus Communities, Inc. | 27,897 | 1,303,348 | ||||||
Apartment Income REIT Corp. | 31,652 | 1,501,254 | ||||||
Brixmor Property Group, Inc. | 60,149 | 1,376,811 | ||||||
Camden Property Trust | 19,774 | 2,623,417 | ||||||
CoreSite Realty Corp. | 8,719 | 1,173,577 | ||||||
Corporate Office Properties Trust | 22,737 | 636,409 | ||||||
Cousins Properties, Inc. | 30,112 | 1,107,519 | ||||||
CyrusOne, Inc. | 24,742 | 1,769,548 | ||||||
Douglas Emmett, Inc. | 33,430 | 1,123,917 | ||||||
EastGroup Properties, Inc. | 8,115 | 1,334,512 | ||||||
EPR Properties (a) | 15,154 | 798,313 | ||||||
First Industrial Realty Trust, Inc. | 26,172 | 1,366,964 | ||||||
Healthcare Realty Trust, Inc. | 28,759 | 868,522 | ||||||
Highwoods Properties, Inc. | 21,063 | 951,416 | ||||||
Hudson Pacific Properties, Inc. | 30,596 | 851,181 | ||||||
JBG SMITH Properties | 22,405 | 705,981 | ||||||
Kilroy Realty Corp. | 21,463 | 1,494,683 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Lamar Advertising Co. Class A | 17,530 | $ | 1,830,483 | |||||
Life Storage, Inc. | 15,514 | 1,665,428 | ||||||
The Macerich Co. | 33,676 | 614,587 | ||||||
Medical Properties Trust, Inc. | 118,811 | 2,388,101 | ||||||
National Retail Properties, Inc. | 35,525 | 1,665,412 | ||||||
National Storage Affiliates Trust | 13,878 | 701,672 | ||||||
Omega Healthcare Investors, Inc. | 47,517 | 1,724,392 | ||||||
Park Hotels & Resorts, Inc. (a) | 47,909 | 987,404 | ||||||
Pebblebrook Hotel Trust | 26,615 | 626,783 | ||||||
Physicians Realty Trust | 43,718 | 807,471 | ||||||
PotlatchDeltic Corp. | 13,563 | 720,873 | ||||||
PS Business Parks, Inc. | 4,067 | 602,241 | ||||||
Rayonier, Inc. | 28,218 | 1,013,873 | ||||||
Rexford Industrial Realty, Inc. | 27,059 | 1,541,010 | ||||||
Sabra Health Care REIT, Inc. | 43,821 | 797,542 | ||||||
SL Green Realty Corp. (b) | 14,056 | 1,124,480 | ||||||
Spirit Realty Capital, Inc. | 23,280 | 1,113,715 | ||||||
STORE Capital Corp. | 49,183 | 1,697,305 | ||||||
Urban Edge Properties | 22,295 | 425,834 | ||||||
Weingarten Realty Investors | 24,338 | 780,520 | ||||||
43,816,498 | ||||||||
Savings & Loans — 0.5% | ||||||||
New York Community Bancorp, Inc. | 93,782 | 1,033,478 | ||||||
Sterling Bancorp | 38,825 | 962,472 | ||||||
Washington Federal, Inc. | 14,543 | 462,176 | ||||||
2,458,126 | ||||||||
114,741,141 | ||||||||
Industrial — 19.9% | ||||||||
Aerospace & Defense — 0.4% | ||||||||
Hexcel Corp. (a) | 16,944 | 1,057,306 | ||||||
Mercury Systems, Inc. (a) | 11,379 | 754,200 | ||||||
1,811,506 | ||||||||
Building Materials — 2.8% | ||||||||
Builders FirstSource, Inc. (a) | 41,840 | 1,784,894 | ||||||
Eagle Materials, Inc. | 8,595 | 1,221,435 | ||||||
Lennox International, Inc. | 6,960 | 2,441,568 | ||||||
Louisiana-Pacific Corp. | 20,705 | 1,248,305 | ||||||
MDU Resources Group, Inc. | 40,642 | 1,273,720 | ||||||
Owens Corning | 21,095 | 2,065,201 | ||||||
Simpson Manufacturing Co., Inc. | 8,783 | 969,995 | ||||||
Trex Co., Inc. (a) | 23,300 | 2,381,493 | ||||||
13,386,611 | ||||||||
Electrical Components & Equipment — 1.3% | ||||||||
Acuity Brands, Inc. | 7,204 | 1,347,364 | ||||||
Belden, Inc. | 9,051 | 457,709 | ||||||
Energizer Holdings, Inc. | 11,778 | 506,219 | ||||||
EnerSys | 8,652 | 845,560 | ||||||
Littelfuse, Inc. | 4,973 | 1,267,071 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Universal Display Corp. | 8,689 | $ | 1,931,825 | |||||
6,355,748 | ||||||||
Electronics — 3.2% | ||||||||
Arrow Electronics, Inc. (a) | 14,973 | 1,704,377 | ||||||
Avnet, Inc. | 20,158 | 807,933 | ||||||
Coherent, Inc. (a) | 4,955 | 1,309,805 | ||||||
Hubbell, Inc. | 10,968 | 2,049,261 | ||||||
II-VI, Inc. (a) (b) | 21,233 | 1,541,303 | ||||||
Jabil, Inc. | 27,027 | 1,570,809 | ||||||
National Instruments Corp. | 26,674 | 1,127,777 | ||||||
nVent Electric PLC | 33,810 | 1,056,224 | ||||||
SYNNEX Corp. | 8,366 | 1,018,644 | ||||||
Vishay Intertechnology, Inc. | 26,883 | 606,212 | ||||||
Vontier Corp. | 34,161 | 1,112,965 | ||||||
Woodward, Inc. | 11,883 | 1,460,183 | ||||||
15,365,493 | ||||||||
Engineering & Construction — 1.4% | ||||||||
AECOM (a) | 29,624 | 1,875,792 | ||||||
Dycom Industries, Inc. (a) | 6,205 | 462,458 | ||||||
EMCOR Group, Inc. | 11,008 | 1,356,075 | ||||||
Fluor Corp. (a) | 25,391 | 449,421 | ||||||
MasTec, Inc. (a) | 11,431 | 1,212,829 | ||||||
TopBuild Corp. (a) | 6,692 | 1,323,544 | ||||||
6,680,119 | ||||||||
Environmental Controls — 0.8% | ||||||||
Clean Harbors, Inc. (a) | 10,118 | 942,391 | ||||||
Stericycle, Inc. (a) | 18,568 | 1,328,540 | ||||||
Tetra Tech, Inc. | 10,927 | 1,333,531 | ||||||
3,604,462 | ||||||||
Hand & Machine Tools — 1.0% | ||||||||
Kennametal, Inc. | 16,931 | 608,162 | ||||||
Lincoln Electric Holdings, Inc. | 12,016 | 1,582,627 | ||||||
MSA Safety, Inc. | 7,368 | 1,219,993 | ||||||
Regal Beloit Corp. | 8,233 | 1,099,188 | ||||||
4,509,970 | ||||||||
Machinery – Construction & Mining — 0.5% | ||||||||
Oshkosh Corp. | 13,860 | 1,727,510 | ||||||
Terex Corp. | 14,066 | 669,823 | ||||||
2,397,333 | ||||||||
Machinery – Diversified — 3.8% | ||||||||
AGCO Corp. | 12,502 | 1,630,011 | ||||||
Cognex Corp. | 35,763 | 3,005,880 | ||||||
Colfax Corp. (a) | 23,878 | 1,093,851 | ||||||
Crane Co. | 10,021 | 925,640 | ||||||
Curtiss-Wright Corp. | 8,297 | 985,352 | ||||||
Flowserve Corp. | 26,405 | 1,064,650 | ||||||
Graco, Inc. | 34,316 | 2,597,721 | ||||||
The Middleby Corp. (a) | 11,232 | 1,946,056 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Nordson Corp. | 10,916 | $ | 2,396,171 | |||||
The Toro Co. | 21,624 | 2,376,045 | ||||||
18,021,377 | ||||||||
Metal Fabricate & Hardware — 0.5% | ||||||||
The Timken Co. | 13,811 | 1,113,028 | ||||||
Valmont Industries, Inc. | 4,300 | 1,015,015 | ||||||
Worthington Industries, Inc. | 7,128 | 436,091 | ||||||
2,564,134 | ||||||||
Miscellaneous - Manufacturing — 1.7% | ||||||||
Axon Enterprise, Inc. (a) | 13,061 | 2,309,185 | ||||||
Carlisle Cos., Inc. | 10,569 | 2,022,695 | ||||||
Donaldson Co., Inc. | 25,563 | 1,624,017 | ||||||
ITT, Inc. | 17,379 | 1,591,743 | ||||||
Trinity Industries, Inc. | 16,251 | 436,989 | ||||||
7,984,629 | ||||||||
Packaging & Containers — 0.9% | ||||||||
AptarGroup, Inc. | 13,315 | 1,875,285 | ||||||
Greif, Inc. Class A | 5,406 | 327,333 | ||||||
Silgan Holdings, Inc. | 15,838 | 657,277 | ||||||
Sonoco Products Co. | 20,363 | 1,362,285 | ||||||
4,222,180 | ||||||||
Transportation — 1.5% | ||||||||
Kirby Corp. (a) | 12,178 | 738,474 | ||||||
Knight-Swift Transportation Holdings, Inc. | 24,701 | 1,122,907 | ||||||
Landstar System, Inc. | 7,780 | 1,229,396 | ||||||
Ryder System, Inc. | 10,884 | 809,008 | ||||||
Werner Enterprises, Inc. | 11,579 | 515,497 | ||||||
XPO Logistics, Inc. (a) | 20,563 | 2,876,558 | ||||||
7,291,840 | ||||||||
Trucking & Leasing — 0.1% | ||||||||
GATX Corp. | 7,195 | 636,542 | ||||||
94,831,944 | ||||||||
Technology — 8.7% | ||||||||
Computers — 2.0% | ||||||||
CACI International, Inc. Class A (a) | 4,765 | 1,215,647 | ||||||
Genpact Ltd. | 35,161 | 1,597,364 | ||||||
KBR, Inc. | 28,547 | 1,089,068 | ||||||
Lumentum Holdings, Inc. (a) (b) | 15,343 | 1,258,586 | ||||||
MAXIMUS, Inc. | 12,455 | 1,095,666 | ||||||
NCR Corp. (a) | 26,547 | 1,210,809 | ||||||
NetScout Systems, Inc. (a) | 14,885 | 424,818 | ||||||
Qualys, Inc. (a) | 6,834 | 688,116 | ||||||
Science Applications International Corp. | 11,689 | 1,025,476 | ||||||
9,605,550 | ||||||||
Office & Business Equipment — 0.2% | ||||||||
Xerox Holdings Corp. | 32,638 | 766,667 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Semiconductors — 2.7% | ||||||||
Amkor Technology, Inc. | 21,701 | $ | 513,663 | |||||
Brooks Automation, Inc. | 15,043 | 1,433,297 | ||||||
Cirrus Logic, Inc. (a) | 11,593 | 986,796 | ||||||
CMC Materials, Inc. | 5,912 | 891,175 | ||||||
Cree, Inc. (a) | 23,357 | 2,287,351 | ||||||
Lattice Semiconductor Corp. (a) | 27,673 | 1,554,669 | ||||||
MKS Instruments, Inc. | 11,193 | 1,991,794 | ||||||
Semtech Corp. (a) | 13,175 | 906,440 | ||||||
Silicon Laboratories, Inc. (a) | 9,045 | 1,386,146 | ||||||
Synaptics, Inc. (a) | 7,143 | 1,111,308 | ||||||
13,062,639 | ||||||||
Software — 3.8% | ||||||||
ACI Worldwide, Inc. (a) | 23,980 | 890,617 | ||||||
Aspen Technology, Inc. (a) | 13,748 | 1,890,900 | ||||||
Blackbaud, Inc. (a) | 9,919 | 759,498 | ||||||
CDK Global, Inc. | 24,678 | 1,226,250 | ||||||
Ceridian HCM Holding, Inc. (a) | 26,540 | 2,545,717 | ||||||
CommVault Systems, Inc. (a) | 9,267 | 724,401 | ||||||
Concentrix Corp. (a) | 8,428 | 1,355,222 | ||||||
Envestnet, Inc. (a) | 11,051 | 838,329 | ||||||
Fair Isaac Corp. (a) | 5,814 | 2,922,582 | ||||||
j2 Global, Inc. (a) | 8,606 | 1,183,755 | ||||||
Manhattan Associates, Inc. (a) | 12,844 | 1,860,325 | ||||||
SailPoint Technologies Holding, Inc. (a) | 18,746 | 957,358 | ||||||
Teradata Corp. (a) | 22,240 | 1,111,333 | ||||||
18,266,287 | ||||||||
41,701,143 | ||||||||
Utilities — 3.0% | ||||||||
Electric — 1.3% | ||||||||
ALLETE, Inc. | 10,534 | 737,169 | ||||||
Black Hills Corp. | 12,727 | 835,273 | ||||||
Hawaiian Electric Industries, Inc. | 22,129 | 935,614 | ||||||
IDACORP, Inc. | 10,229 | 997,327 | ||||||
NorthWestern Corp. | 10,259 | 617,797 | ||||||
OGE Energy Corp. | 40,541 | 1,364,205 | ||||||
PNM Resources, Inc. | 17,397 | 848,452 | ||||||
6,335,837 | ||||||||
Gas — 1.3% | ||||||||
National Fuel Gas Co. | 18,477 | 965,423 | ||||||
New Jersey Resources Corp. | 19,508 | 771,932 | ||||||
ONE Gas, Inc. | 10,792 | 799,903 | ||||||
Southwest Gas Holdings, Inc. | 11,782 | 779,851 | ||||||
Spire, Inc. | 10,472 | 756,811 | ||||||
UGI Corp. | 42,270 | 1,957,524 | ||||||
6,031,444 | ||||||||
Water — 0.4% | ||||||||
Essential Utilities, Inc. | 45,261 | 2,068,428 |
MM S&P Mid Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
$ | 14,435,709 | |||||||
TOTAL COMMON STOCK (Cost $341,257,354) | 474,448,448 | |||||||
TOTAL EQUITIES (Cost $341,257,354) | 474,448,448 | |||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) | 545,795 | 545,795 | ||||||
TOTAL MUTUAL FUNDS (Cost $545,795) | 545,795 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $341,803,149) | 474,994,243 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||||
Repurchase Agreement — 0.5% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (d) | $ | 2,616,203 | 2,616,203 | |||||
U.S. Treasury Bill — 0.4% | ||||||||
U.S. Treasury Bill | ||||||||
0.061% 7/15/21 (e) (f) | 1,930,000 | 1,929,968 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,546,158) | 4,546,171 | |||||||
TOTAL INVESTMENTS — 100.3% (Cost $346,349,307) (g) | 479,540,414 | |||||||
Other Assets/(Liabilities) — (0.3)% | (1,595,536) | |||||||
NET ASSETS — 100.0% | $ | 477,944,878 |
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 June 30, 2021, was $14,720,124 or 3.08% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $14,489,607 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 $2,616,203. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $2,668,570. |
(e) | A portion of this security is pledged/held as collateral for open derivatives. |
(f) | The rate shown represents yield-to-maturity. |
(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 Mid 400 E Mini Index | 9/17/21 | 18 | $ | 4,903,754 | $ | (57,434) |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.6% | ||||||||
COMMON STOCK — 99.6% | ||||||||
Basic Materials — 3.1% | ||||||||
Chemicals — 1.7% | ||||||||
AdvanSix, Inc. (a) | 3,044 | $ | 90,895 | |||||
American Vanguard Corp. | 3,353 | 58,711 | ||||||
Amyris, Inc. (a) (b) | 18,654 | 305,366 | ||||||
Balchem Corp. | 3,597 | 472,142 | ||||||
Cabot Corp. | 6,262 | 356,496 | ||||||
Codexis, Inc. (a) | 6,710 | 152,049 | ||||||
Danimer Scientific, Inc. (a) | 7,669 | 192,108 | ||||||
Ferro Corp. (a) | 9,159 | 197,560 | ||||||
GCP Applied Technologies, Inc. (a) | 5,478 | 127,418 | ||||||
H.B. Fuller Co. | 5,816 | 369,956 | ||||||
Hawkins, Inc. | 2,137 | 69,987 | ||||||
Ingevity Corp. (a) | 4,490 | 365,306 | ||||||
Innospec, Inc. | 2,735 | 247,818 | ||||||
Intrepid Potash, Inc. (a) | 1,117 | 35,588 | ||||||
Koppers Holdings, Inc. (a) | 2,333 | 75,473 | ||||||
Kraton Corp. (a) | 3,505 | 113,176 | ||||||
Kronos Worldwide, Inc. | 2,533 | 36,273 | ||||||
Marrone Bio Innovations, Inc. (a) | 11,187 | 18,570 | ||||||
Minerals Technologies, Inc. | 3,747 | 294,776 | ||||||
Oil-Dri Corp. of America | 568 | 19,414 | ||||||
Orion Engineered Carbons SA (a) | 6,755 | 128,277 | ||||||
PQ Group Holdings, Inc. | 5,729 | 87,997 | ||||||
Quaker Chemical Corp. (b) | 1,505 | 356,971 | ||||||
Rayonier Advanced Materials, Inc. (a) | 6,994 | 46,790 | ||||||
Rogers Corp. (a) | 2,087 | 419,070 | ||||||
Sensient Technologies Corp. | 4,716 | 408,217 | ||||||
Stepan Co. | 2,404 | 289,129 | ||||||
Tronox Holdings PLC Class A | 12,799 | 286,698 | ||||||
Valhi, Inc. | 267 | 6,496 | ||||||
Zymergen, Inc. (a) | 2,088 | 83,541 | ||||||
5,712,268 | ||||||||
Forest Products & Paper — 0.2% | ||||||||
Clearwater Paper Corp. (a) | 1,863 | 53,971 | ||||||
Domtar Corp. (a) | 5,574 | 306,347 | ||||||
Glatfelter Corp. | 4,918 | 68,704 | ||||||
Neenah, Inc. | 1,868 | 93,718 | ||||||
Schweitzer-Mauduit International, Inc. | 3,481 | 140,563 | ||||||
Verso Corp. Class A | 3,336 | 59,047 | ||||||
722,350 | ||||||||
Iron & Steel — 0.3% | ||||||||
Allegheny Technologies, Inc. (a) | 14,208 | 296,237 | ||||||
Carpenter Technology Corp. | 5,311 | 213,608 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Commercial Metals Co. | 13,383 | $ | 411,126 | |||||
Schnitzer Steel Industries, Inc. Class A | 2,887 | 141,607 | ||||||
1,062,578 | ||||||||
Mining — 0.9% | ||||||||
Arconic Corp. (a) | 12,315 | 438,660 | ||||||
Century Aluminum Co. (a) | 5,751 | 74,130 | ||||||
Coeur Mining, Inc. (a) | 27,037 | 240,089 | ||||||
Compass Minerals International, Inc. | 3,814 | 226,018 | ||||||
Constellium SE (a) | 13,693 | 259,482 | ||||||
Energy Fuels, Inc. (a) (b) | 15,639 | 94,616 | ||||||
Ferroglobe Representation & Warranty Insurance Trust (a) (c) (d) | 10,133 | — | ||||||
Gatos Silver, Inc. (a) | 3,861 | 67,529 | ||||||
Hecla Mining Co. | 59,297 | 441,170 | ||||||
Kaiser Aluminum Corp. | 1,763 | 217,713 | ||||||
Livent Corp. (a) (b) | 16,401 | 317,523 | ||||||
MP Materials Corp. (a) | 8,138 | 299,967 | ||||||
Novagold Resources, Inc. (a) | 26,453 | 211,889 | ||||||
Perpetua Resources Corp. (a) | 2,988 | 21,812 | ||||||
PolyMet Mining Corp. (a) (b) | 3,213 | 11,599 | ||||||
United States Lime & Minerals, Inc. | 235 | 32,686 | ||||||
Ur-Energy, Inc. (a) | 20,166 | 28,232 | ||||||
Uranium Energy Corp. (a) (b) | 23,760 | 63,202 | ||||||
3,046,317 | ||||||||
10,543,513 | ||||||||
Communications — 4.9% | ||||||||
Advertising — 0.2% | ||||||||
Advantage Solutions, Inc. (a) | 8,523 | 91,963 | ||||||
Boston Omaha Corp. Class A (a) (b) | 1,943 | 61,613 | ||||||
Clear Channel Outdoor Holdings, Inc. (a) | 40,513 | 106,954 | ||||||
Fluent, Inc. (a) (b) | 5,161 | 15,122 | ||||||
MDC Partners, Inc. Class A (a) | 6,971 | 40,780 | ||||||
National CineMedia, Inc. | 6,504 | 32,975 | ||||||
Quotient Technology, Inc. (a) | 9,934 | 107,387 | ||||||
456,794 | ||||||||
Internet — 2.4% | ||||||||
1-800-Flowers.com, Inc. Class A (a) | 2,988 | 95,228 | ||||||
Cargurus, Inc. (a) | 10,362 | 271,795 | ||||||
CarParts.com, Inc. (a) | 5,285 | 107,603 | ||||||
Cars.com, Inc. (a) | 7,655 | 109,696 | ||||||
ChannelAdvisor Corp. (a) | 3,272 | 80,197 | ||||||
Cogent Communications Holdings, Inc. | 4,756 | 365,689 | ||||||
Comscore, Inc. (a) | 7,604 | 38,020 | ||||||
Digital Media Solutions, Inc. Class A (a) | 308 | 2,981 | ||||||
ePlus, Inc. (a) | 1,477 | 128,041 | ||||||
Eventbrite, Inc. Class A (a) (b) | 8,372 | 159,068 | ||||||
Everquote, Inc. Class A (a) | 2,107 | 68,857 | ||||||
fuboTV, Inc. (a) | 14,667 | 470,957 | ||||||
Groupon, Inc. (a) | 2,592 | 111,871 | ||||||
HealthStream, Inc. (a) | 2,812 | 78,567 | ||||||
HyreCar, Inc. (a) | 1,957 | 40,940 | ||||||
Lands' End, Inc. (a) | 1,600 | 65,680 | ||||||
Limelight Networks, Inc. (a) (b) | 14,257 | 44,910 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Liquidity Services, Inc. (a) | 2,967 | $ | 75,510 | |||||
Livexlive Media, Inc. (a) | 5,679 | 26,805 | ||||||
Magnite, Inc. (a) | 11,716 | 396,469 | ||||||
MediaAlpha, Inc. Class A (a) | 2,310 | 97,251 | ||||||
Mimecast Ltd. (a) | 6,650 | 352,782 | ||||||
Open Lending Corp. Class A (a) | 11,629 | 501,094 | ||||||
Overstock.com, Inc. (a) | 4,795 | 442,099 | ||||||
Perficient, Inc. (a) | 3,629 | 291,844 | ||||||
Q2 Holdings, Inc. (a) | 6,102 | 625,943 | ||||||
QuinStreet, Inc. (a) | 5,569 | 103,472 | ||||||
RealReal, Inc. (a) | 8,771 | 173,315 | ||||||
Revolve Group, Inc. (a) | 4,005 | 275,945 | ||||||
Shutterstock, Inc. | 2,610 | 256,224 | ||||||
Stamps.com, Inc. (a) | 1,983 | 397,175 | ||||||
Stitch Fix, Inc. Class A (a) | 6,591 | 397,437 | ||||||
TechTarget, Inc. (a) | 2,845 | 220,459 | ||||||
TrueCar, Inc. (a) | 10,952 | 61,879 | ||||||
Tucows, Inc. Class A (a) (b) | 1,054 | 84,657 | ||||||
Upwork, Inc. (a) | 13,009 | 758,295 | ||||||
VirnetX Holding Corp. (a) (b) | 7,054 | 30,121 | ||||||
Yelp, Inc. (a) | 8,082 | 322,957 | ||||||
Zix Corp. (a) | 6,009 | 42,363 | ||||||
8,174,196 | ||||||||
Media — 0.8% | ||||||||
AMC Networks, Inc. Class A (a) | 3,249 | 217,033 | ||||||
CuriosityStream, Inc. (a) (b) | 2,900 | 39,556 | ||||||
The E.W. Scripps Co. Class A | 6,376 | 130,007 | ||||||
Entercom Communications Corp. (a) | 13,204 | 56,909 | ||||||
Entravision Communications Corp. Class A | 6,660 | 44,489 | ||||||
Gannett Co., Inc. (a) | 15,656 | 85,952 | ||||||
Gray Television, Inc. | 9,522 | 222,815 | ||||||
Hemisphere Media Group, Inc. (a) | 1,825 | 21,535 | ||||||
Houghton Mifflin Harcourt Co. (a) | 14,177 | 156,514 | ||||||
iHeartMedia, Inc. Class A (a) | 12,492 | 336,410 | ||||||
Liberty Latin America Ltd. Class A (a) | 4,664 | 64,643 | ||||||
Liberty Latin America Ltd. Class C (a) | 17,354 | 244,691 | ||||||
Meredith Corp. (a) | 4,448 | 193,221 | ||||||
MSG Networks, Inc. Class A (a) | 3,458 | 50,418 | ||||||
Scholastic Corp. | 3,236 | 122,612 | ||||||
Sinclair Broadcast Group, Inc. Class A | 5,097 | 169,322 | ||||||
TEGNA, Inc. | 24,663 | 462,678 | ||||||
Thryv Holdings, Inc. (a) | 721 | 25,790 | ||||||
Value Line, Inc. | 150 | 4,650 | ||||||
WideOpenWest, Inc. (a) | 5,840 | 120,946 | ||||||
2,770,191 | ||||||||
Telecommunications — 1.5% | ||||||||
A10 Networks, Inc. (a) | 6,749 | 75,994 | ||||||
ADTRAN, Inc. | 5,373 | 110,952 | ||||||
Anterix, Inc. (a) | 1,245 | 74,688 | ||||||
ATN International, Inc. | 1,227 | 55,816 | ||||||
Aviat Networks, Inc. (a) | 1,076 | 35,261 | ||||||
CalAmp Corp. (a) | 3,936 | 50,066 | ||||||
Calix, Inc. (a) | 6,101 | 289,797 | ||||||
Cambium Networks Corp. (a) | 996 | 48,157 | ||||||
Casa Systems, Inc. (a) (b) | 3,548 | 31,471 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Cincinnati Bell, Inc. (a) | 5,665 | $ | 87,354 | |||||
Clearfield, Inc. (a) | 1,280 | 47,936 | ||||||
Consolidated Communications Holdings, Inc. (a) | 8,156 | 71,691 | ||||||
DZS, Inc. (a) | 1,877 | 38,948 | ||||||
EchoStar Corp. Class A (a) | 4,609 | 111,953 | ||||||
Extreme Networks, Inc. (a) | 13,765 | 153,617 | ||||||
Globalstar, Inc. (a) | 67,703 | 120,511 | ||||||
Gogo, Inc. (a) (b) | 6,574 | 74,812 | ||||||
Harmonic, Inc. (a) | 9,950 | 84,774 | ||||||
HC2 Holdings, Inc. (a) | 5,333 | 21,225 | ||||||
IDT Corp. Class B (a) | 2,238 | 82,716 | ||||||
Infinera Corp. (a) (b) | 19,851 | 202,480 | ||||||
Inseego Corp. (a) (b) | 9,300 | 93,837 | ||||||
InterDigital, Inc. | 3,451 | 252,027 | ||||||
Iridium Communications, Inc. (a) (b) | 13,329 | 533,027 | ||||||
KVH Industries, Inc. (a) | 1,679 | 20,652 | ||||||
Loral Space & Communications, Inc. (b) | 1,455 | 56,527 | ||||||
Maxar Technologies, Inc. | 8,000 | 319,360 | ||||||
NeoPhotonics Corp. (a) | 5,631 | 57,493 | ||||||
NETGEAR, Inc. (a) | 3,360 | 128,755 | ||||||
Ooma, Inc. (a) | 2,433 | 45,886 | ||||||
ORBCOMM, Inc. (a) | 8,301 | 93,303 | ||||||
Plantronics, Inc. (a) | 3,805 | 158,783 | ||||||
Preformed Line Products Co. | 338 | 25,080 | ||||||
Ribbon Communications, Inc. (a) | 7,794 | 59,312 | ||||||
Shenandoah Telecommunications Co. | 5,388 | 261,372 | ||||||
Telephone & Data Systems, Inc. | 11,265 | 255,265 | ||||||
United States Cellular Corp. (a) | 1,701 | 61,763 | ||||||
Viavi Solutions, Inc. (a) | 25,500 | 450,330 | ||||||
Vonage Holdings Corp. (a) | 27,011 | 389,228 | ||||||
5,132,219 | ||||||||
16,533,400 | ||||||||
Consumer, Cyclical — 13.9% | ||||||||
Airlines — 0.4% | ||||||||
Allegiant Travel Co. (a) | 1,691 | 328,054 | ||||||
Frontier Group Holdings, Inc. (a) | 3,892 | 66,320 | ||||||
Hawaiian Holdings, Inc. (a) | 5,602 | 136,521 | ||||||
Mesa Air Group, Inc. (a) | 3,845 | 35,874 | ||||||
SkyWest, Inc. (a) | 5,552 | 239,124 | ||||||
Spirit Airlines, Inc. (a) | 10,973 | 334,018 | ||||||
Sun Country Airlines Holdings, Inc. (a) | 1,934 | 71,577 | ||||||
1,211,488 | ||||||||
Apparel — 0.8% | ||||||||
Crocs, Inc. (a) | 7,205 | 839,527 | ||||||
Fossil Group, Inc. (a) | 5,275 | 75,327 | ||||||
Kontoor Brands, Inc. | 5,786 | 326,388 | ||||||
Oxford Industries, Inc. | 1,791 | 177,022 | ||||||
PLBY Group, Inc. (a) | 1,209 | 47,018 | ||||||
Rocky Brands, Inc. | 779 | 43,312 | ||||||
Steven Madden Ltd. | 9,147 | 400,273 | ||||||
Superior Group of Cos, Inc. | 1,287 | 30,772 | ||||||
Unifi, Inc. (a) | 1,534 | 37,368 | ||||||
Urban Outfitters, Inc. (a) | 7,652 | 315,416 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Wolverine World Wide, Inc. | 9,069 | $ | 305,081 | |||||
2,597,504 | ||||||||
Auto Manufacturers — 0.5% | ||||||||
Arcimoto, Inc. (a) | 3,055 | 52,516 | ||||||
Blue Bird Corp. (a) | 1,777 | 44,176 | ||||||
Canoo, Inc. (a) (b) | 8,898 | 88,446 | ||||||
Fisker, Inc. (a) | 17,706 | 341,372 | ||||||
Hyliion Holdings Corp. (a) (b) | 13,078 | 152,359 | ||||||
Lordstown Motors Corp. (a) | 12,506 | 138,316 | ||||||
Navistar International Corp. (a) | 5,590 | 248,755 | ||||||
Nikola Corp. (a) | 22,367 | 403,948 | ||||||
REV Group, Inc. | 3,191 | 50,067 | ||||||
Wabash National Corp. | 5,730 | 91,680 | ||||||
Workhorse Group, Inc. (a) (b) | 13,785 | 228,693 | ||||||
XL Fleet Corp. (a) | 4,276 | 35,619 | ||||||
1,875,947 | ||||||||
Auto Parts & Equipment — 1.4% | ||||||||
Adient PLC (a) | 10,567 | 477,628 | ||||||
Aeva Technologies, Inc. (a) | 2,769 | 29,268 | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 12,575 | 130,151 | ||||||
Citius Pharmaceuticals, Inc. (a) (b) | 12,665 | 44,074 | ||||||
Commercial Vehicle Group, Inc. (a) | 3,574 | 37,992 | ||||||
Cooper-Standard Holding, Inc. (a) | 1,902 | 55,158 | ||||||
Dana, Inc. | 16,216 | 385,292 | ||||||
Dorman Products, Inc. (a) | 2,983 | 309,248 | ||||||
Douglas Dynamics, Inc. | 2,509 | 102,091 | ||||||
Fox Factory Holding Corp. (a) | 4,712 | 733,470 | ||||||
Gentherm, Inc. (a) | 3,708 | 263,453 | ||||||
The Goodyear Tire & Rubber Co. (a) | 30,835 | 528,820 | ||||||
Meritor, Inc. (a) | 7,811 | 182,934 | ||||||
Methode Electronics, Inc. (b) | 4,230 | 208,158 | ||||||
Miller Industries, Inc. | 1,276 | 50,325 | ||||||
Modine Manufacturing Co. (a) | 5,578 | 92,539 | ||||||
Motorcar Parts of America, Inc. (a) | 2,141 | 48,044 | ||||||
Romeo Power, Inc. (a) (b) | 4,661 | 37,941 | ||||||
The Shyft Group, Inc. | 3,860 | 144,403 | ||||||
Standard Motor Products, Inc. | 2,328 | 100,919 | ||||||
Tenneco, Inc. Class A (a) | 7,885 | 152,338 | ||||||
Titan International, Inc. (a) | 5,633 | 47,768 | ||||||
Velodyne Lidar, Inc. (a) | 7,887 | 83,918 | ||||||
Visteon Corp. (a) | 3,097 | 374,551 | ||||||
XPEL, Inc. (a) | 2,003 | 167,992 | ||||||
4,788,475 | ||||||||
Distribution & Wholesale — 0.8% | ||||||||
A-Mark Precious Metals, Inc. | 974 | 45,291 | ||||||
Avient Corp. | 10,157 | 499,318 | ||||||
Core-Mark Holding Co., Inc. | 4,982 | 224,240 | ||||||
EVI Industries, Inc. (a) | 606 | 17,210 | ||||||
G-III Apparel Group Ltd. (a) | 4,919 | 161,638 | ||||||
Global Industrial Co. | 1,429 | 52,459 | ||||||
H&E Equipment Services, Inc. | 3,581 | 119,140 | ||||||
KAR Auction Services, Inc. (a) (b) | 13,878 | 243,559 | ||||||
Resideo Technologies, Inc. (a) | 16,129 | 483,870 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ScanSource, Inc. (a) | 2,797 | $ | 78,680 | |||||
Titan Machinery, Inc. (a) | 2,203 | 68,161 | ||||||
Veritiv Corp. (a) | 1,722 | 105,765 | ||||||
VSE Corp. | 1,167 | 57,778 | ||||||
WESCO International, Inc. (a) | 4,968 | 510,810 | ||||||
2,667,919 | ||||||||
Entertainment — 1.9% | ||||||||
Accel Entertainment, Inc. (a) | 6,273 | 74,461 | ||||||
AMC Entertainment Holdings, Inc. Class A (a) | 45,428 | 2,574,859 | ||||||
Bally's Corp. (a) | 3,642 | 197,069 | ||||||
Chicken Soup For The Soul Entertainment, Inc. (a) | 1,284 | 53,158 | ||||||
Cinemark Holdings, Inc. (a) | 12,057 | 264,651 | ||||||
Eros STX Global Corp. (a) | 35,384 | 54,138 | ||||||
Esports Technologies, Inc. (a) | 270 | 5,686 | ||||||
Everi Holdings, Inc. (a) | 9,319 | 232,416 | ||||||
GAN Ltd. (a) (b) | 4,476 | 73,585 | ||||||
Golden Entertainment, Inc. (a) | 1,895 | 84,896 | ||||||
Golden Nugget Online Gaming, Inc. (a) | 3,557 | 45,387 | ||||||
Hall of Fame Resort & Entertainment Co. (a) | 6,137 | 24,118 | ||||||
IMAX Corp. (a) | 5,555 | 119,433 | ||||||
International Game Technology PLC (a) (b) | 11,154 | 267,250 | ||||||
Liberty Media Corp-Liberty Braves Class A (a) (b) | 1,175 | 33,159 | ||||||
Liberty Media Corp-Liberty Braves Class C (a) | 4,075 | 113,163 | ||||||
Lions Gate Entertainment Corp. Class A (a) | 6,585 | 136,309 | ||||||
Lions Gate Entertainment Corp. Class B (a) | 12,755 | 233,416 | ||||||
Madison Square Garden Entertainment Corp. (a) | 2,109 | 177,093 | ||||||
Monarch Casino & Resort, Inc. (a) | 1,455 | 96,277 | ||||||
NEOGAMES SA (a) | 626 | 38,480 | ||||||
RCI Hospitality Holdings, Inc. | 934 | 61,831 | ||||||
Red Rock Resorts, Inc. Class A (a) | 6,877 | 292,272 | ||||||
Rush Street Interactive, Inc. (a) | 5,835 | 71,537 | ||||||
Scientific Games Corp. Class A (a) | 10,727 | 830,699 | ||||||
SeaWorld Entertainment, Inc. (a) | 5,748 | 287,055 | ||||||
6,442,398 | ||||||||
Food Services — 0.1% | ||||||||
Healthcare Services Group, Inc. | 8,357 | 263,830 | ||||||
Home Builders — 1.3% | ||||||||
Beazer Homes USA, Inc. (a) | 3,311 | 63,869 | ||||||
Cavco Industries, Inc. (a) | 1,029 | 228,633 | ||||||
Century Communities, Inc. | 3,357 | 223,375 | ||||||
Forestar Group, Inc. (a) | 1,989 | 41,590 | ||||||
Green Brick Partners, Inc. (a) | 3,442 | 78,271 | ||||||
Hovnanian Enterprises, Inc. Class A (a) | 571 | 60,692 | ||||||
Installed Building Products, Inc. | 2,642 | 323,275 | ||||||
KB Home | 9,998 | 407,118 | ||||||
Landsea Homes Corp. (a) | 655 | 5,482 | ||||||
LCI Industries | 2,764 | 363,245 | ||||||
LGI Homes, Inc. (a) | 2,474 | 400,640 | ||||||
M.D.C. Holdings, Inc. | 6,363 | 321,968 | ||||||
M/I Homes, Inc. (a) | 3,198 | 187,627 | ||||||
Meritage Home Corp. (a) | 4,179 | 393,160 | ||||||
Skyline Champion Corp. (a) | 5,859 | 312,285 | ||||||
Taylor Morrison Home Corp. (a) | 13,991 | 369,642 | ||||||
TRI Pointe Group, Inc. (a) | 13,095 | 280,626 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Winnebago Industries, Inc. | 3,585 | $ | 243,637 | |||||
4,305,135 | ||||||||
Home Furnishing — 0.6% | ||||||||
Aterian, Inc. (a) | 2,209 | 32,318 | ||||||
Casper Sleep, Inc. (a) | 3,245 | 26,739 | ||||||
Daktronics, Inc. (a) | 4,287 | 28,251 | ||||||
Ethan Allen Interiors, Inc. | 2,491 | 68,752 | ||||||
Flexsteel Industries, Inc. | 740 | 29,889 | ||||||
Hamilton Beach Brands Holding Co. Class A | 804 | 17,905 | ||||||
Herman Miller, Inc. | 6,596 | 310,935 | ||||||
Hooker Furniture Corp. | 1,318 | 45,655 | ||||||
iRobot Corp. (a) | 3,120 | 291,377 | ||||||
Kopin Corp. (a) | 8,657 | 70,814 | ||||||
The Lovesac Co. (a) | 1,425 | 113,701 | ||||||
Purple Innovation, Inc. (a) | 5,602 | 147,949 | ||||||
Sleep Number Corp. (a) | 2,669 | 293,457 | ||||||
Sonos, Inc. (a) | 13,415 | 472,610 | ||||||
Universal Electronics, Inc. (a) | 1,494 | 72,459 | ||||||
VOXX International Corp. (a) | 1,734 | 24,293 | ||||||
2,047,104 | ||||||||
Housewares — 0.0% | ||||||||
Lifetime Brands, Inc. | 1,423 | 21,302 | ||||||
Tupperware Brands Corp. (a) | 5,530 | 131,338 | ||||||
152,640 | ||||||||
Leisure Time — 0.5% | ||||||||
Acushnet Holdings Corp. | 3,822 | 188,807 | ||||||
Callaway Golf Co. | 12,910 | 435,454 | ||||||
Camping World Holdings, Inc. Class A (b) | 4,762 | 195,194 | ||||||
Clarus Corp. | 2,715 | 69,776 | ||||||
Drive Shack, Inc. (a) | 9,211 | 30,489 | ||||||
Escalade, Inc. | 1,153 | 26,461 | ||||||
Johnson Outdoors, Inc. Class A | 588 | 71,148 | ||||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 8,181 | 33,297 | ||||||
Lindblad Expeditions Holdings, Inc. (a) (b) | 3,428 | 54,882 | ||||||
Malibu Boats, Inc. Class A (a) | 2,310 | 169,392 | ||||||
Marine Products Corp. | 869 | 13,417 | ||||||
MasterCraft Boat Holdings, Inc. (a) | 2,090 | 54,946 | ||||||
Nautilus, Inc. (a) (b) | 3,334 | 56,178 | ||||||
OneSpaWorld Holdings Ltd. (a) | 5,894 | 57,113 | ||||||
OneWater Marine, Inc. Class A | 1,095 | 46,023 | ||||||
Vista Outdoor, Inc. (a) | 6,520 | 301,746 | ||||||
1,804,323 | ||||||||
Lodging — 0.2% | ||||||||
Bluegreen Vacations Holding Corp. (a) | 1,700 | 30,600 | ||||||
Century Casinos, Inc. (a) | 3,051 | 40,975 | ||||||
Diamond Resorts International (a) (c) (d) | 68 | — | ||||||
Full House Resorts, Inc. (a) | 3,649 | 36,271 | ||||||
Hilton Grand Vacations, Inc. (a) | 9,550 | 395,275 | ||||||
The Marcus Corp. (a) | 2,569 | 54,488 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Target Hospitality Corp. (a) | 2,836 | $ | 10,522 | |||||
568,131 | ||||||||
Office Furnishings — 0.2% | ||||||||
CompX International, Inc. | 230 | 4,777 | ||||||
HNI Corp. | 4,902 | 215,541 | ||||||
Interface, Inc. | 6,469 | 98,976 | ||||||
Kimball International, Inc. Class B | 4,129 | 54,296 | ||||||
Knoll, Inc. | 5,309 | 137,981 | ||||||
Steelcase, Inc. Class A | 9,943 | 150,239 | ||||||
661,810 | ||||||||
Retail — 5.1% | ||||||||
Abercrombie & Fitch Co. Class A (a) | 6,843 | 317,720 | ||||||
Academy Sports & Outdoors, Inc. (a) | 6,897 | 284,432 | ||||||
America's Car-Mart, Inc. (a) | 676 | 95,803 | ||||||
American Eagle Outfitters, Inc. (b) | 16,980 | 637,259 | ||||||
Arko Corp. (a) | 2,283 | 20,981 | ||||||
Asbury Automotive Group, Inc. (a) | 2,160 | 370,159 | ||||||
Aspen Aerogels, Inc. (a) | 2,365 | 70,761 | ||||||
At Home Group, Inc. (a) | 7,322 | 269,742 | ||||||
Barnes & Noble Education, Inc. (a) | 4,287 | 30,909 | ||||||
Bassett Furniture Industries, Inc. | 1,037 | 25,251 | ||||||
Beacon Roofing Supply, Inc. (a) | 6,225 | 331,481 | ||||||
Bed Bath & Beyond, Inc. (a) | 12,245 | 407,636 | ||||||
Big 5 Sporting Goods Corp. | 2,321 | 59,603 | ||||||
Big Lots, Inc. | 3,873 | 255,657 | ||||||
Biglari Holdings, Inc. Class B (a) | 90 | 14,352 | ||||||
BJ's Restaurants, Inc. (a) | 2,520 | 123,833 | ||||||
BJ's Wholesale Club Holdings, Inc. (a) | 15,290 | 727,498 | ||||||
Bloomin' Brands, Inc. (a) (b) | 9,880 | 268,143 | ||||||
BlueLinx Holdings, Inc. (a) | 1,001 | 50,330 | ||||||
Boot Barn Holdings, Inc. (a) | 3,205 | 269,380 | ||||||
Brinker International, Inc. (a) | 5,068 | 313,456 | ||||||
The Buckle, Inc. | 3,331 | 165,717 | ||||||
Caleres, Inc. | 4,122 | 112,489 | ||||||
Cannae Holdings, Inc. (a) | 9,733 | 330,046 | ||||||
CarLotz, Inc. (a) | 4,841 | 26,432 | ||||||
Carrols Restaurant Group, Inc. (a) | 3,668 | 22,045 | ||||||
The Cato Corp. Class A | 2,191 | 36,962 | ||||||
The Cheesecake Factory, Inc. (a) | 4,830 | 261,689 | ||||||
Chico's FAS, Inc. (a) | 13,370 | 87,975 | ||||||
The Children's Place, Inc. (a) | 1,568 | 145,918 | ||||||
Chuy's Holdings, Inc. (a) | 2,229 | 83,053 | ||||||
Citi Trends, Inc. (a) | 994 | 86,478 | ||||||
Clean Energy Fuels Corp. (a) | 15,531 | 157,640 | ||||||
Conn's, Inc. (a) | 1,982 | 50,541 | ||||||
The Container Store Group, Inc. (a) | 3,573 | 46,592 | ||||||
Cracker Barrel Old Country Store, Inc. | 2,645 | 392,677 | ||||||
Dave & Buster's Entertainment, Inc. (a) | 4,821 | 195,733 | ||||||
Del Taco Restaurants, Inc. | 3,370 | 33,734 | ||||||
Denny's Corp. (a) | 6,977 | 115,051 | ||||||
Designer Brands, Inc. Class A (a) | 6,708 | 111,017 | ||||||
Dillard's, Inc. Class A | 701 | 126,797 | ||||||
Dine Brands Global, Inc. (a) | 1,820 | 162,435 | ||||||
Duluth Holdings, Inc. Class B (a) (b) | 1,290 | 26,639 | ||||||
El Pollo Loco Holdings, Inc. (a) | 2,120 | 38,775 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Fiesta Restaurant Group, Inc. (a) | 2,007 | $ | 26,954 | |||||
FirstCash, Inc. | 4,493 | 343,445 | ||||||
Franchise Group, Inc. | 3,160 | 111,453 | ||||||
Genesco, Inc. (a) | 1,639 | 104,372 | ||||||
GMS, Inc. (a) | 4,785 | 230,350 | ||||||
Group 1 Automotive, Inc. | 1,960 | 302,683 | ||||||
GrowGeneration Corp. (a) | 6,036 | 290,332 | ||||||
Guess?, Inc. | 4,486 | 118,430 | ||||||
Haverty Furniture Cos., Inc. | 1,869 | 79,918 | ||||||
Hibbett, Inc. (a) | 1,812 | 162,410 | ||||||
Jack in the Box, Inc. | 2,564 | 285,732 | ||||||
JOANN, Inc. | 1,292 | 20,349 | ||||||
Kirkland's, Inc. (a) | 1,563 | 35,761 | ||||||
Kura Sushi USA, Inc.Class A (a) (b) | 411 | 15,622 | ||||||
La-Z-Boy, Inc. | 5,164 | 191,275 | ||||||
Lazydays Holdings, Inc. (a) | 818 | 17,996 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 3,206 | 67,647 | ||||||
Macy's, Inc. (a) | 35,047 | 664,491 | ||||||
MarineMax, Inc. (a) | 2,398 | 116,879 | ||||||
Movado Group, Inc. | 1,765 | 55,545 | ||||||
Murphy USA, Inc. | 2,810 | 374,770 | ||||||
National Vision Holdings, Inc. (a) | 9,105 | 465,539 | ||||||
Noodles & Co. (a) | 4,527 | 56,497 | ||||||
Nu Skin Enterprises, Inc. Class A | 5,544 | 314,068 | ||||||
The ODP Corp. (a) | 5,461 | 262,183 | ||||||
The ONE Group Hospitality, Inc. (a) | 2,177 | 23,991 | ||||||
OptimizeRx Corp. (a) (b) | 1,885 | 116,681 | ||||||
Papa John's International, Inc. | 3,689 | 385,279 | ||||||
Party City Holdco, Inc. (a) | 12,330 | 115,039 | ||||||
PC Connection, Inc. | 1,264 | 58,485 | ||||||
PetMed Express, Inc. (b) | 2,204 | 70,197 | ||||||
PriceSmart, Inc. | 2,621 | 238,537 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 1,745 | 57,777 | ||||||
Regis Corp. (a) (b) | 2,657 | 24,870 | ||||||
Rite Aid Corp. (a) (b) | 6,130 | 99,919 | ||||||
Rush Enterprises, Inc. Class A | 4,729 | 204,482 | ||||||
Rush Enterprises, Inc. Class B | 751 | 28,643 | ||||||
Ruth's Hospitality Group, Inc. (a) | 3,746 | 86,270 | ||||||
Sally Beauty Holdings, Inc. (a) | 12,571 | 277,442 | ||||||
Shake Shack, Inc. Class A (a) | 4,175 | 446,808 | ||||||
Shift Technologies, Inc. (a) | 6,920 | 59,374 | ||||||
Shoe Carnival, Inc. | 982 | 70,301 | ||||||
Signet Jewelers Ltd. (a) | 5,817 | 469,955 | ||||||
Sonic Automotive, Inc. Class A | 2,441 | 109,210 | ||||||
Sportsman's Warehouse Holdings, Inc. (a) | 4,865 | 86,451 | ||||||
Texas Roadhouse, Inc. | 7,810 | 751,322 | ||||||
Tilly's, Inc. Class A | 2,366 | 37,809 | ||||||
TravelCenters of America, Inc. (a) | 1,392 | 40,702 | ||||||
Vera Bradley, Inc. (a) | 2,865 | 35,497 | ||||||
Wingstop, Inc. | 3,329 | 524,750 | ||||||
Winmark Corp. | 392 | 75,295 | ||||||
World Fuel Services Corp. | 6,954 | 220,650 | ||||||
Zumiez, Inc. (a) | 2,434 | 119,242 | ||||||
17,310,500 | ||||||||
Textiles — 0.1% | ||||||||
UniFirst Corp. | 1,682 | 394,664 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Toys, Games & Hobbies — 0.0% | ||||||||
Funko, Inc. Class A (a) | 2,958 | $ | 62,946 | |||||
47,154,814 | ||||||||
Consumer, Non-cyclical — 26.5% | ||||||||
Agriculture — 0.3% | ||||||||
22nd Century Group, Inc. (a) | 16,836 | 77,951 | ||||||
The Andersons, Inc. | 3,500 | 106,855 | ||||||
AppHarvest, Inc. (a) | 5,349 | 85,584 | ||||||
Cadiz, Inc. (a) | 2,251 | 30,614 | ||||||
Fresh Del Monte Produce, Inc. | 3,725 | 122,478 | ||||||
Greenlane Holdings, Inc. Class A (a) (b) | 1,759 | 7,863 | ||||||
Limoneira Co. | 1,726 | 30,291 | ||||||
Mission Produce, Inc. (a) | 4,131 | 85,553 | ||||||
Tejon Ranch Co. (a) | 2,388 | 36,321 | ||||||
Turning Point Brands, Inc. | 1,624 | 74,330 | ||||||
Universal Corp. | 2,689 | 153,192 | ||||||
Vector Group Ltd. | 16,122 | 227,965 | ||||||
Vital Farms, Inc. (a) | 2,708 | 54,052 | ||||||
1,093,049 | ||||||||
Beverages — 0.4% | ||||||||
Celsius Holdings, Inc. (a) | 5,074 | 386,081 | ||||||
Coca-Cola Consolidated, Inc. | 524 | 210,716 | ||||||
The Duckhorn Portfolio, Inc. (a) | 2,246 | 49,547 | ||||||
MGP Ingredients, Inc. (b) | 1,580 | 106,871 | ||||||
National Beverage Corp. | 2,620 | 123,742 | ||||||
NewAge, Inc. (a) | 14,842 | 33,098 | ||||||
Primo Water Corp. | 17,537 | 293,394 | ||||||
1,203,449 | ||||||||
Biotechnology — 9.0% | ||||||||
4D Molecular Therapeutics, Inc. (a) | 1,097 | 26,416 | ||||||
89bio, Inc. (a) (b) | 1,074 | 20,084 | ||||||
9 Meters Biopharma, Inc. (a) | 23,684 | 26,052 | ||||||
ACADIA Pharmaceuticals, Inc. (a) | 13,349 | 325,582 | ||||||
Adicet Bio, Inc. (a) | 2,334 | 24,017 | ||||||
Adverum Biotechnologies, Inc. (a) | 9,753 | 34,136 | ||||||
Affimed NV (a) | 12,976 | 110,296 | ||||||
Agenus, Inc. (a) | 21,984 | 120,692 | ||||||
Akero Therapeutics, Inc. (a) | 2,867 | 71,130 | ||||||
Akouos, Inc. (a) (b) | 2,695 | 33,822 | ||||||
Akoya Biosciences, Inc. (a) | 851 | 16,458 | ||||||
Albireo Pharma, Inc. (a) | 1,891 | 66,525 | ||||||
Aldeyra Therapeutics, Inc. (a) | 5,415 | 61,352 | ||||||
Aligos Therapeutics, Inc. (a) | 2,092 | 42,645 | ||||||
Allakos, Inc. (a) | 3,898 | 332,772 | ||||||
Allogene Therapeutics, Inc. (a) | 7,585 | 197,817 | ||||||
Alpine Immune Sciences, Inc. (a) | 1,299 | 11,691 | ||||||
Altimmune, Inc. (a) | 3,626 | 35,716 | ||||||
ALX Oncology Holdings, Inc. (a) | 1,982 | 108,376 | ||||||
Amicus Therapeutics, Inc. (a) | 29,356 | 282,992 | ||||||
AnaptysBio, Inc. (a) | 2,151 | 55,775 | ||||||
Anavex Life Sciences Corp. (a) (b) | 6,913 | 158,031 | ||||||
Angion Biomedica Corp. (a) | 730 | 9,505 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ANI Pharmaceuticals, Inc. (a) | 1,099 | $ | 38,520 | |||||
Annexon, Inc. (a) | 3,478 | 78,290 | ||||||
Apellis Pharmaceuticals, Inc. (a) | 7,244 | 457,821 | ||||||
Applied Molecular Transport, Inc. (a) (b) | 2,743 | 125,465 | ||||||
Applied Therapeutics, Inc. (a) (b) | 1,977 | 41,082 | ||||||
Arbutus Biopharma Corp. (a) (b) | 8,714 | 26,403 | ||||||
Arcturus Therapeutics Holdings, Inc. (a) (b) | 2,338 | 79,118 | ||||||
Arcus Biosciences, Inc. (a) | 5,042 | 138,453 | ||||||
Arcutis Biotherapeutics, Inc. (a) | 3,085 | 84,190 | ||||||
Ardelyx, Inc. (a) | 9,428 | 71,464 | ||||||
Arena Pharmaceuticals, Inc. (a) | 6,821 | 465,192 | ||||||
Arrowhead Pharmaceuticals, Inc. (a) | 11,305 | 936,280 | ||||||
Atara Biotherapeutics, Inc. (a) | 9,233 | 143,573 | ||||||
Atea Pharmaceuticals, Inc. (a) | 7,203 | 154,720 | ||||||
Athersys, Inc. (a) (b) | 22,435 | 32,306 | ||||||
Athira Pharma, Inc. (a) (b) | 3,597 | 36,833 | ||||||
Atossa Therapeutics, Inc. (a) | 13,044 | 82,438 | ||||||
Atreca, Inc. Class A (a) (b) | 2,891 | 24,631 | ||||||
Avid Bioservices, Inc. (a) | 6,735 | 172,753 | ||||||
Avidity Biosciences, Inc. (a) (b) | 3,387 | 83,693 | ||||||
Avrobio, Inc. (a) | 4,070 | 36,182 | ||||||
Axsome Therapeutics, Inc. (a) (b) | 3,099 | 209,059 | ||||||
Beam Therapeutics, Inc. (a) (b) | 5,240 | 674,440 | ||||||
Berkeley Lights, Inc. (a) | 5,348 | 239,644 | ||||||
BioAtla, Inc. (a) | 1,353 | 57,340 | ||||||
BioCryst Pharmaceuticals, Inc. (a) | 19,831 | 313,528 | ||||||
Biodesix, Inc. (a) | 1,370 | 18,098 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 6,026 | 585,004 | ||||||
Biomea Fusion, Inc. (a) | 962 | 15,017 | ||||||
Black Diamond Therapeutics, Inc. (a) (b) | 2,545 | 31,024 | ||||||
Bluebird Bio, Inc. (a) | 7,534 | 240,937 | ||||||
Blueprint Medicines Corp. (a) | 6,526 | 574,027 | ||||||
Bolt Biotherapeutics, Inc. (a) | 1,304 | 20,160 | ||||||
Bridgebio Pharma, Inc. (a) (b) | 12,002 | 731,642 | ||||||
Brooklyn ImmunoTherapeutics, Inc. (a) | 2,657 | 47,853 | ||||||
C4 Therapeutics, Inc. (a) | 3,841 | 145,343 | ||||||
Cara Therapeutics, Inc. (a) | 4,936 | 70,437 | ||||||
Cardiff Oncology, Inc. (a) | 4,032 | 26,813 | ||||||
CEL-SCI Corp. (a) (b) | 3,968 | 34,442 | ||||||
Celldex Therapeutics, Inc. (a) | 4,373 | 146,233 | ||||||
Cerecor, Inc. (a) (b) | 5,904 | 19,306 | ||||||
Cerevel Therapeutics Holdings, Inc. (a) | 3,934 | 100,789 | ||||||
ChemoCentryx, Inc. (a) | 6,022 | 80,635 | ||||||
Chinook Therapeutics, Inc. (a) | 3,507 | 49,519 | ||||||
ChromaDex Corp. (a) (b) | 5,231 | 51,578 | ||||||
Clene, Inc. (a) | 2,551 | 28,673 | ||||||
Codiak Biosciences, Inc. (a) | 1,751 | 32,446 | ||||||
Cogent Biosciences, Inc. (a) | 4,144 | 33,608 | ||||||
Constellation Pharmaceuticals, Inc. (a) | 4,045 | 136,721 | ||||||
Cortexyme, Inc. (a) (b) | 2,225 | 117,925 | ||||||
Crinetics Pharmaceuticals, Inc. (a) (b) | 4,065 | 76,625 | ||||||
Cue Biopharma, Inc. (a) | 3,395 | 39,552 | ||||||
Cullinan Management, Inc. (a) | 1,484 | 38,213 | ||||||
Curis, Inc. (a) | 9,661 | 77,964 | ||||||
Cymabay Therapeutics, Inc. (a) (b) | 7,741 | 33,751 | ||||||
CytomX Therapeutics, Inc. (a) | 7,362 | 46,601 | ||||||
Deciphera Pharmaceuticals, Inc. (a) | 4,378 | 160,279 | ||||||
Denali Therapeutics, Inc. (a) | 10,147 | 795,931 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Design Therapeutics, Inc. (a) | 1,502 | $ | 29,875 | |||||
Dicerna Pharmaceuticals, Inc. (a) | 7,690 | 286,991 | ||||||
Dynavax Technologies Corp. (a) (b) | 12,051 | 118,702 | ||||||
Dyne Therapeutics, Inc. (a) (b) | 3,349 | 70,463 | ||||||
Edgewise Therapeutics, Inc. (a) | 1,376 | 29,350 | ||||||
Editas Medicine, Inc. (a) (b) | 7,634 | 432,390 | ||||||
Eiger BioPharmaceuticals, Inc. (a) | 3,605 | 30,715 | ||||||
Emergent BioSolutions, Inc. (a) | 5,463 | 344,114 | ||||||
Epizyme, Inc. (a) | 10,051 | 83,524 | ||||||
Esperion Therapeutics, Inc. (a) | 2,939 | 62,160 | ||||||
Evelo Biosciences, Inc. (a) (b) | 3,387 | 46,537 | ||||||
Evolus, Inc. (a) | 3,597 | 45,502 | ||||||
Exagen, Inc. (a) | 1,206 | 18,078 | ||||||
EyePoint Pharmaceuticals, Inc. (a) | 2,357 | 21,189 | ||||||
Fate Therapeutics, Inc. (a) | 8,943 | 776,163 | ||||||
FibroGen, Inc. (a) | 9,612 | 255,968 | ||||||
Finch Therapeutics Group, Inc. (a) | 843 | 11,861 | ||||||
Forma Therapeutics Holdings, Inc. (a) (b) | 3,577 | 89,032 | ||||||
Forte Biosciences, Inc. (a) | 1,258 | 42,294 | ||||||
Frequency Therapeutics, Inc. (a) (b) | 3,567 | 35,527 | ||||||
Gemini Therapeutics, Inc. (a) | 2,441 | 15,793 | ||||||
Generation Bio Co., (a) | 4,889 | 131,514 | ||||||
Geron Corp. (a) (b) | 34,157 | 48,161 | ||||||
Global Blood Therapeutics, Inc. (a) | 6,674 | 233,723 | ||||||
Gossamer Bio, Inc. (a) (b) | 6,761 | 54,899 | ||||||
Greenwich Lifesciences, Inc. (a) | 450 | 20,223 | ||||||
GT Biopharma, Inc. (a) | 2,657 | 41,184 | ||||||
Halozyme Therapeutics, Inc. (a) | 15,719 | 713,800 | ||||||
Harvard Bioscience, Inc. (a) | 4,281 | 35,661 | ||||||
Homology Medicines, Inc. (a) | 4,711 | 34,249 | ||||||
Humanigen, Inc. (a) | 5,003 | 86,952 | ||||||
iBio, Inc. (a) | 24,228 | 36,584 | ||||||
IGM Biosciences, Inc. (a) | 903 | 75,130 | ||||||
Ikena Oncology, Inc. (a) | 1,011 | 14,194 | ||||||
Immunic, Inc. (a) | 1,728 | 21,185 | ||||||
ImmunityBio, Inc. (a) | 7,461 | 106,543 | ||||||
ImmunoGen, Inc. (a) | 21,750 | 143,333 | ||||||
Immunovant, Inc. (a) | 4,165 | 44,024 | ||||||
Impel Neuropharma, Inc. (a) | 604 | 5,345 | ||||||
Infinity Pharmaceuticals, Inc. (a) | 9,761 | 29,185 | ||||||
Inhibrx, Inc. (a) | 3,113 | 85,670 | ||||||
Innoviva, Inc. (a) | 7,086 | 95,023 | ||||||
Inovio Pharmaceuticals, Inc. (a) (b) | 23,060 | 213,766 | ||||||
Inozyme Pharma, Inc. (a) (b) | 1,608 | 27,400 | ||||||
Insmed, Inc. (a) | 11,517 | 327,774 | ||||||
Instil Bio, Inc. (a) | 1,944 | 37,558 | ||||||
Intercept Pharmaceuticals, Inc. (a) | 3,128 | 62,466 | ||||||
Intra-Cellular Therapies, Inc. (a) | 7,883 | 321,784 | ||||||
iTeos Therapeutics, Inc. (a) | 2,259 | 57,943 | ||||||
IVERIC bio, Inc. (a) | 10,104 | 63,756 | ||||||
Kadmon Holdings, Inc. (a) | 19,431 | 75,198 | ||||||
Kaleido Biosciences, Inc. (a) | 2,166 | 16,115 | ||||||
Karuna Therapeutics, Inc. (a) (b) | 2,476 | 282,239 | ||||||
Karyopharm Therapeutics, Inc. (a) | 8,060 | 83,179 | ||||||
KemPharm, Inc. (a) | 3,188 | 40,870 | ||||||
Keros Therapeutics, Inc. (a) | 1,741 | 73,940 | ||||||
Kezar Life Sciences, Inc. (a) | 3,913 | 21,248 | ||||||
Kiniksa Pharmaceuticals Ltd. Class A (a) | 3,230 | 44,994 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Kinnate Biopharma, Inc. (a) | 1,523 | $ | 35,455 | |||||
Kodiak Sciences, Inc. (a) (b) | 3,736 | 347,448 | ||||||
Kronos Bio, Inc. (a) (b) | 4,330 | 103,704 | ||||||
Krystal Biotech, Inc. (a) | 2,000 | 136,000 | ||||||
Kymera Therapeutics, Inc. (a) | 3,224 | 156,364 | ||||||
Lexicon Pharmaceuticals, Inc. (a) | 7,565 | 34,723 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 1,680 | 220,399 | ||||||
Lineage Cell Therapeutics, Inc. (a) | 13,512 | 38,509 | ||||||
MacroGenics, Inc. (a) | 6,580 | 176,739 | ||||||
Magenta Therapeutics, Inc. (a) | 3,337 | 32,636 | ||||||
MEI Pharma, Inc. (a) | 12,159 | 34,653 | ||||||
MeiraGTx Holdings PLC (a) (b) | 3,314 | 51,367 | ||||||
Mersana Therapeutics, Inc. (a) | 7,680 | 104,294 | ||||||
Mind Medicine MindMed, Inc. (a) | 35,930 | 123,959 | ||||||
Molecular Templates, Inc. (a) (b) | 4,123 | 32,242 | ||||||
Mustang Bio, Inc. (a) | 7,758 | 25,757 | ||||||
Myriad Genetics, Inc. (a) | 8,539 | 261,123 | ||||||
NeoGenomics, Inc. (a) | 12,629 | 570,452 | ||||||
NGM Biopharmaceuticals, Inc. (a) | 3,515 | 69,316 | ||||||
Nkarta, Inc. (a) | 1,574 | 49,880 | ||||||
Nurix Therapeutics, Inc. (a) | 3,494 | 92,696 | ||||||
Nuvation Bio, Inc. (a) | 3,953 | 36,802 | ||||||
Olema Pharmaceuticals, Inc. (a) | 1,361 | 38,081 | ||||||
Omeros Corp. (a) (b) | 6,741 | 100,036 | ||||||
Oncocyte Corp. (a) (b) | 7,946 | 45,610 | ||||||
Oncorus, Inc. (a) | 2,278 | 31,436 | ||||||
Oncternal Therapeutics, Inc. (a) | 4,935 | 23,441 | ||||||
Organogenesis Holdings, Inc. (a) | 4,253 | 70,685 | ||||||
Oyster Point Pharma, Inc. (a) | 1,239 | 21,298 | ||||||
Pacific Biosciences of California, Inc. (a) (b) | 21,690 | 758,499 | ||||||
Phathom Pharmaceuticals, Inc. (a) (b) | 2,258 | 76,433 | ||||||
Pliant Therapeutics, Inc. (a) (b) | 2,690 | 78,333 | ||||||
Portage Biotech, Inc. (a) | 401 | 8,405 | ||||||
Poseida Therapeutics, Inc. (a) (b) | 3,201 | 32,074 | ||||||
Praxis Precision Medicines, Inc. (a) | 2,721 | 49,740 | ||||||
Precigen, Inc. (a) | 10,576 | 68,956 | ||||||
Precision BioSciences, Inc. (a) | 5,322 | 66,631 | ||||||
Prelude Therapeutics, Inc. (a) | 1,170 | 33,497 | ||||||
Prothena Corp. PLC (a) | 3,803 | 195,512 | ||||||
Provention Bio, Inc. (a) (b) | 6,213 | 52,376 | ||||||
PTC Therapeutics, Inc. (a) | 7,747 | 327,466 | ||||||
Puma Biotechnology, Inc. (a) | 3,523 | 32,341 | ||||||
Radius Health, Inc. (a) | 5,274 | 96,198 | ||||||
Rain Therapeutics, Inc. (a) | 827 | 12,852 | ||||||
RAPT Therapeutics, Inc. (a) | 2,004 | 63,707 | ||||||
Recursion Pharmaceuticals, Inc. Class A (a) | 2,357 | 86,031 | ||||||
REGENXBIO, Inc. (a) | 4,417 | 171,600 | ||||||
Relay Therapeutics, Inc. (a) | 6,530 | 238,933 | ||||||
Replimune Group, Inc. (a) | 2,987 | 114,761 | ||||||
Revolution Medicines, Inc. (a) | 6,624 | 210,246 | ||||||
Rigel Pharmaceuticals, Inc. (a) | 19,109 | 82,933 | ||||||
Rocket Pharmaceuticals, Inc. (a) | 4,423 | 195,895 | ||||||
Rubius Therapeutics, Inc. (a) | 5,030 | 122,782 | ||||||
Sana Biotechnology, Inc. (a) (b) | 2,995 | 58,882 | ||||||
Sangamo Therapeutics, Inc. (a) | 13,089 | 156,675 | ||||||
Scholar Rock Holding Corp. (a) | 3,087 | 89,214 | ||||||
Seelos Therapeutics, Inc. (a) | 8,443 | 22,290 | ||||||
Seer, Inc. (a) (b) | 1,660 | 54,415 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Selecta Biosciences, Inc. (a) | 9,960 | $ | 41,633 | |||||
Sensei Biotherapeutics, Inc. (a) | 868 | 8,472 | ||||||
Sesen Bio, Inc. (a) | 19,066 | 88,085 | ||||||
Shattuck Labs, Inc. (a) | 2,967 | 86,013 | ||||||
Sigilon Therapeutics, Inc. (a) | 847 | 9,088 | ||||||
Silverback Therapeutics, Inc. (a) | 1,427 | 44,080 | ||||||
Solid Biosciences, Inc. (a) | 6,648 | 24,332 | ||||||
Sorrento Therapeutics, Inc. (a) | 30,406 | 294,634 | ||||||
SpringWorks Therapeutics, Inc. (a) | 3,257 | 268,409 | ||||||
Spruce Biosciences, Inc. (a) (b) | 876 | 9,820 | ||||||
SQZ Biotechnologies Co. (a) | 2,537 | 36,660 | ||||||
Stoke Therapeutics, Inc. (a) | 2,129 | 71,662 | ||||||
Surface Oncology, Inc. (a) | 3,706 | 27,647 | ||||||
Sutro Biopharma, Inc. (a) | 4,835 | 89,883 | ||||||
Syndax Pharmaceuticals, Inc. (a) | 5,015 | 86,108 | ||||||
Talaris Therapeutics, Inc. (a) | 993 | 14,587 | ||||||
Tarsus Pharmaceuticals, Inc. (a) | 940 | 27,241 | ||||||
Taysha Gene Therapies, Inc. (a) | 2,482 | 52,618 | ||||||
TCR2 Therapeutics, Inc. (a) | 3,417 | 56,073 | ||||||
Terns Pharmaceuticals, Inc. (a) | 988 | 12,113 | ||||||
TG Therapeutics, Inc. (a) (b) | 14,297 | 554,581 | ||||||
Theravance Biopharma, Inc. (a) (b) | 5,942 | 86,278 | ||||||
Translate Bio, Inc. (a) | 7,477 | 205,917 | ||||||
TransMedics Group, Inc. (a) | 2,896 | 96,089 | ||||||
Travere Therapeutics, Inc. (a) | 6,485 | 94,616 | ||||||
Trillium Therapeutics, Inc. (a) | 10,911 | 105,837 | ||||||
Turning Point Therapeutics, Inc. (a) | 5,129 | 400,165 | ||||||
Twist Bioscience Corp. (a) | 5,266 | 701,695 | ||||||
UroGen Pharma Ltd. (a) | 2,208 | 33,716 | ||||||
Vaxart, Inc. (a) | 13,323 | 99,789 | ||||||
VBI Vaccines, Inc. (a) | 20,585 | 68,960 | ||||||
Veracyte, Inc. (a) | 7,525 | 300,850 | ||||||
Verastem, Inc. (a) | 19,274 | 78,445 | ||||||
Vericel Corp. (a) | 5,185 | 272,213 | ||||||
Veru, Inc. (a) | 7,050 | 56,894 | ||||||
Viking Therapeutics, Inc. (a) (b) | 7,821 | 46,848 | ||||||
Vincerx Pharma, Inc. (a) | 524 | 6,807 | ||||||
Vir Biotechnology, Inc. (a) (b) | 6,705 | 317,012 | ||||||
Viracta Therapeutics, Inc. (a) | 4,041 | 45,825 | ||||||
VistaGen Therapeutics, Inc. (a) | 21,335 | 67,205 | ||||||
Vor BioPharma, Inc. (a) | 1,283 | 23,928 | ||||||
WaVe Life Sciences Ltd. (a) | 4,202 | 27,985 | ||||||
Werewolf Therapeutics, Inc. (a) | 845 | 14,737 | ||||||
XBiotech, Inc. (a) (b) | 1,740 | 28,814 | ||||||
Xencor, Inc. (a) | 6,304 | 217,425 | ||||||
XOMA Corp. (a) | 680 | 23,120 | ||||||
Y-mAbs Therapeutics, Inc. (a) | 3,898 | 131,752 | ||||||
Zentalis Pharmaceuticals, Inc. (a) | 3,709 | 197,319 | ||||||
ZIOPHARM Oncology, Inc. (a) (b) | 23,452 | 61,913 | ||||||
30,574,161 | ||||||||
Commercial Services — 4.7% | ||||||||
2U, Inc. (a) | 8,001 | 333,402 | ||||||
The Aaron's Co., Inc. | 3,779 | 120,890 | ||||||
ABM Industries, Inc. | 7,513 | 333,202 | ||||||
Acacia Research Corp. (a) (b) | 5,613 | 37,944 | ||||||
Adtalem Global Education, Inc. (a) | 5,514 | 196,519 | ||||||
Alarm.com Holdings, Inc. (a) | 5,275 | 446,793 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Alta Equipment Group, Inc. (a) | 2,039 | $ | 27,098 | |||||
American Public Education, Inc. (a) | 2,068 | 58,607 | ||||||
AMN Healthcare Services, Inc. (a) | 5,258 | 509,921 | ||||||
Arlo Technologies, Inc. (a) | 9,039 | 61,194 | ||||||
ASGN, Inc. (a) | 5,796 | 561,806 | ||||||
Avis Budget Group, Inc. (a) | 5,706 | 444,440 | ||||||
Barrett Business Services, Inc. | 843 | 61,210 | ||||||
BrightView Holdings, Inc. (a) | 4,618 | 74,442 | ||||||
The Brink's Co. | 5,429 | 417,164 | ||||||
CAI International, Inc. | 1,812 | 101,472 | ||||||
Carriage Services, Inc. | 1,872 | 69,208 | ||||||
Cass Information Systems, Inc. | 1,606 | 65,445 | ||||||
CBIZ, Inc. (a) | 5,561 | 182,234 | ||||||
Cimpress PLC (a) | 1,957 | 212,158 | ||||||
CoreCivic, Inc. (a) | 13,375 | 140,036 | ||||||
Corvel Corp. (a) | 982 | 131,883 | ||||||
Coursera, Inc. (a) | 1,344 | 53,169 | ||||||
CRA International, Inc. | 790 | 67,624 | ||||||
Cross Country Healthcare, Inc. (a) | 4,022 | 66,403 | ||||||
Custom Truck One Source, Inc. (a) | 1,479 | 14,080 | ||||||
Deluxe Corp. | 4,694 | 224,232 | ||||||
Emerald Holding, Inc. (a) | 2,576 | 13,885 | ||||||
Ennis, Inc. | 2,932 | 63,097 | ||||||
EVERTEC, Inc. | 6,749 | 294,594 | ||||||
Evo Payments, Inc. Class A (a) | 5,253 | 145,718 | ||||||
Forrester Research, Inc. (a) | 1,215 | 55,647 | ||||||
Franklin Covey Co. (a) | 1,402 | 45,355 | ||||||
GP Strategies Corp. (a) | 1,423 | 22,370 | ||||||
Graham Holdings Co. Class B | 432 | 273,845 | ||||||
Green Dot Corp. Class A (a) | 5,951 | 278,804 | ||||||
GreenSky, Inc. Class A (a) | 7,954 | 44,145 | ||||||
The Hackett Group, Inc. | 2,747 | 49,501 | ||||||
HealthEquity, Inc. (a) | 9,125 | 734,380 | ||||||
Heidrick & Struggles International, Inc. | 2,148 | 95,693 | ||||||
Herc Holdings, Inc. (a) | 2,779 | 311,443 | ||||||
HireQuest, Inc. | 563 | 10,421 | ||||||
Huron Consulting Group, Inc. (a) | 2,491 | 122,433 | ||||||
ICF International, Inc. | 2,078 | 182,573 | ||||||
Insperity, Inc. | 4,053 | 366,270 | ||||||
John Wiley & Sons, Inc. Class A | 4,813 | 289,646 | ||||||
Kelly Services, Inc. Class A (a) | 3,911 | 93,747 | ||||||
Kforce, Inc. | 2,270 | 142,851 | ||||||
Korn Ferry | 5,954 | 431,963 | ||||||
Laureate Education, Inc. Class A (a) | 11,781 | 170,942 | ||||||
LiveRamp Holdings, Inc. (a) | 7,260 | 340,131 | ||||||
Macquarie Infrastructure Corp. | 8,242 | 315,421 | ||||||
Marathon Digital Holdings, Inc. (a) | 10,647 | 333,996 | ||||||
Medifast, Inc. | 1,300 | 367,874 | ||||||
MoneyGram International, Inc. (a) | 8,694 | 87,636 | ||||||
Monro, Inc. | 3,700 | 234,987 | ||||||
Multiplan Corp. (a) | 44,518 | 423,811 | ||||||
National Research Corp. Class A | 1,572 | 72,155 | ||||||
Paya Holdings, Inc. Class A (a) | 9,155 | 100,888 | ||||||
Perdoceo Education Corp. (a) | 7,871 | 96,577 | ||||||
Priority Technology Holdings, Inc. (a) | 994 | 7,594 | ||||||
PROG Holdings, Inc. | 7,486 | 360,301 | ||||||
Progyny, Inc. (a) | 7,039 | 415,301 | ||||||
R1 RCM, Inc. (a) | 14,683 | 326,550 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Rent-A-Center, Inc. | 7,352 | $ | 390,171 | |||||
Repay Holdings Corp. (a) | 8,583 | 206,335 | ||||||
Resources Connection, Inc. | 3,590 | 51,552 | ||||||
Riot Blockchain, Inc. (a) | 9,404 | 354,249 | ||||||
RR Donnelley & Sons Co. (a) | 7,899 | 49,606 | ||||||
ShotSpotter, Inc. (a) | 925 | 45,112 | ||||||
SP Plus Corp. (a) | 2,598 | 79,473 | ||||||
StoneMor, Inc. (a) | 3,567 | 9,346 | ||||||
Strategic Education, Inc. | 2,715 | 206,503 | ||||||
Stride, Inc. (a) | 4,492 | 144,328 | ||||||
Team, Inc. (a) | 2,929 | 19,624 | ||||||
Textainer Group Holdings Ltd. (a) (b) | 5,346 | 180,534 | ||||||
Transcat, Inc. (a) | 797 | 45,038 | ||||||
TriNet Group, Inc. (a) | 4,521 | 327,682 | ||||||
Triton International Ltd. | 7,445 | 389,671 | ||||||
TrueBlue, Inc. (a) | 3,896 | 109,517 | ||||||
Vectrus, Inc. (a) | 1,300 | 61,867 | ||||||
Viad Corp. (a) | 2,271 | 113,209 | ||||||
Vivint Smart Home, Inc. (a) | 10,223 | 134,944 | ||||||
Willdan Group, Inc. (a) | 1,230 | 46,297 | ||||||
WW International, Inc. (a) | 5,873 | 212,250 | ||||||
15,912,429 | ||||||||
Cosmetics & Personal Care — 0.2% | ||||||||
The Beauty Health Co. (a) | 5,176 | 86,957 | ||||||
Edgewell Personal Care Co. | 6,058 | 265,946 | ||||||
elf Beauty, Inc. (a) | 5,088 | 138,088 | ||||||
The Honest Co., Inc. (a) | 2,768 | 44,814 | ||||||
Inter Parfums, Inc. | 1,992 | 143,424 | ||||||
Revlon, Inc. Class A (a) | 815 | 10,465 | ||||||
689,694 | ||||||||
Food — 1.5% | ||||||||
AquaBounty Technologies, Inc. (a) | 5,854 | 31,377 | ||||||
B&G Foods, Inc. | 7,144 | 234,323 | ||||||
BellRing Brands, Inc. Class A (a) | 4,436 | 139,024 | ||||||
Cal-Maine Foods, Inc. | 3,972 | 143,826 | ||||||
Calavo Growers, Inc. | 1,925 | 122,084 | ||||||
The Chefs' Warehouse, Inc. (a) | 3,524 | 112,169 | ||||||
HF Foods Group, Inc. (a) (b) | 4,077 | 21,567 | ||||||
Hostess Brands, Inc. (a) | 14,638 | 236,989 | ||||||
Ingles Markets, Inc. Class A | 1,561 | 90,959 | ||||||
J&J Snack Foods Corp. | 1,645 | 286,904 | ||||||
John B Sanfilippo & Son, Inc. | 1,008 | 89,279 | ||||||
Laird Superfood, Inc. (a) | 691 | 20,640 | ||||||
Lancaster Colony Corp. | 2,117 | 409,661 | ||||||
Landec Corp. (a) | 2,981 | 33,536 | ||||||
Nathan's Famous, Inc. | 311 | 22,181 | ||||||
Natural Grocers by Vitamin Cottage, Inc. | 1,081 | 11,610 | ||||||
Performance Food Group Co. (a) | 14,720 | 713,773 | ||||||
Sanderson Farms, Inc. | 2,266 | 425,940 | ||||||
Seneca Foods Corp. Class A (a) | 733 | 37,442 | ||||||
The Simply Good Foods Co. (a) | 9,496 | 346,699 | ||||||
SpartanNash Co. | 4,011 | 77,452 | ||||||
Sprouts Farmers Market, Inc. (a) | 13,237 | 328,939 | ||||||
Tattooed Chef, Inc. (a) | 5,215 | 111,862 | ||||||
Tootsie Roll Industries, Inc. | 1,733 | 58,766 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TreeHouse Foods, Inc. (a) | 5,800 | $ | 258,216 | |||||
United Natural Foods, Inc. (a) | 6,225 | 230,201 | ||||||
Utz Brands, Inc. | 6,578 | 143,335 | ||||||
Village Super Market, Inc. Class A | 966 | 22,711 | ||||||
Weis Markets, Inc. | 1,828 | 94,434 | ||||||
Whole Earth Brands, Inc. (a) | 4,161 | 60,335 | ||||||
4,916,234 | ||||||||
Health Care – Products — 4.2% | ||||||||
Accelerate Diagnostics, Inc. (a) | 3,791 | 30,555 | ||||||
Accuray, Inc. (a) | 10,455 | 47,257 | ||||||
Acutus Medical, Inc. (a) (b) | 1,720 | 29,206 | ||||||
Alphatec Holdings, Inc. (a) | 7,678 | 117,627 | ||||||
AngioDynamics, Inc. (a) | 4,145 | 112,454 | ||||||
Apria, Inc. (a) | 845 | 23,660 | ||||||
Apyx Medical Corp. (a) | 3,501 | 36,095 | ||||||
Asensus Surgical, Inc. (a) | 26,095 | 82,721 | ||||||
Aspira Women's Health, Inc. (a) (b) | 8,108 | 45,567 | ||||||
AtriCure, Inc. (a) | 4,997 | 396,412 | ||||||
Atrion Corp. | 157 | 97,486 | ||||||
Avanos Medical, Inc. (a) | 5,359 | 194,907 | ||||||
Avita Medical, Inc. (a) | 2,662 | 54,624 | ||||||
AxoGen, Inc. (a) | 4,266 | 92,188 | ||||||
Axonics Inc. (a) | 4,643 | 294,413 | ||||||
BioLife Solutions, Inc. (a) | 2,723 | 121,201 | ||||||
Bionano Genomics, Inc. (a) | 31,377 | 229,993 | ||||||
Bioventus, Inc. Class A (a) | 959 | 16,878 | ||||||
Butterfly Network, Inc. (a) | 3,624 | 52,476 | ||||||
Cardiovascular Systems, Inc. (a) | 4,381 | 186,850 | ||||||
CareDx, Inc. (a) | 5,582 | 510,865 | ||||||
Castle Biosciences, Inc. (a) | 2,377 | 174,305 | ||||||
Celcuity, Inc. (a) | 889 | 21,336 | ||||||
Cerus Corp. (a) | 18,854 | 111,427 | ||||||
ClearPoint Neuro, Inc. (a) | 2,099 | 40,070 | ||||||
CONMED Corp. | 3,239 | 445,136 | ||||||
CryoLife, Inc. (a) (b) | 4,238 | 120,359 | ||||||
Cutera, Inc. (a) | 1,967 | 96,442 | ||||||
CytoSorbents Corp. (a) (b) | 4,642 | 35,047 | ||||||
Dermtech, Inc. (a) (b) | 2,645 | 109,953 | ||||||
Eargo, Inc. (a) | 2,153 | 85,926 | ||||||
Glaukos Corp. (a) | 5,013 | 425,253 | ||||||
Haemonetics Corp. (a) | 5,627 | 374,983 | ||||||
Hanger, Inc. (a) | 4,214 | 106,530 | ||||||
Inari Medical, Inc. (a) | 3,791 | 353,624 | ||||||
InfuSystem Holdings, Inc. (a) | 1,996 | 41,497 | ||||||
Inogen, Inc. (a) | 2,174 | 141,680 | ||||||
Inspire Medical Systems, Inc. (a) | 3,000 | 579,780 | ||||||
Integer Holdings Corp. (a) | 3,664 | 345,149 | ||||||
Intersect ENT, Inc. (a) | 3,737 | 63,865 | ||||||
Invacare Corp. (a) | 3,577 | 28,866 | ||||||
iRadimed Corp. (a) | 721 | 21,205 | ||||||
iRhythm Technologies, Inc. (a) | 3,295 | 218,623 | ||||||
Lantheus Holdings, Inc. (a) | 7,511 | 207,604 | ||||||
LeMaitre Vascular, Inc. | 2,004 | 122,284 | ||||||
LivaNova PLC (a) | 5,480 | 460,923 | ||||||
Luminex Corp. | 5,080 | 186,944 | ||||||
Meridian Bioscience, Inc. (a) | 4,748 | 105,311 | ||||||
Merit Medical Systems, Inc. (a) | 5,725 | 370,178 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
MiMedx Group, Inc. (a) | 12,389 | $ | 154,986 | |||||
Misonix, Inc. (a) | 1,378 | 30,564 | ||||||
NanoString Technologies, Inc. (a) | 5,064 | 328,097 | ||||||
Natus Medical, Inc. (a) | 3,758 | 97,633 | ||||||
Neogen Corp. (a) | 12,007 | 552,802 | ||||||
NeuroPace, Inc. (a) | 777 | 18,485 | ||||||
Nevro Corp. (a) | 3,859 | 639,784 | ||||||
NuVasive, Inc. (a) | 5,778 | 391,633 | ||||||
Omnicell, Inc. (a) | 4,800 | 726,960 | ||||||
OraSure Technologies, Inc. (a) | 8,002 | 81,140 | ||||||
Orthofix Medical, Inc. (a) | 2,157 | 86,517 | ||||||
OrthoPediatrics Corp. (a) | 1,537 | 97,108 | ||||||
PAVmed, Inc. (a) | 8,056 | 51,558 | ||||||
Pulmonx Corp. (a) | 2,832 | 124,948 | ||||||
Pulse Biosciences, Inc. (a) | 1,583 | 25,961 | ||||||
Quanterix Corp. (a) | 3,442 | 201,908 | ||||||
Quotient Ltd. (a) (b) | 8,690 | 31,632 | ||||||
Retractable Technologies, Inc. (a) (b) | 1,912 | 22,103 | ||||||
SeaSpine Holdings Corp. (a) | 3,540 | 72,605 | ||||||
Shockwave Medical, Inc. (a) | 3,764 | 714,144 | ||||||
SI-BONE, Inc. (a) | 3,584 | 112,788 | ||||||
Sientra, Inc. (a) | 6,379 | 50,777 | ||||||
Silk Road Medical, Inc. (a) | 3,784 | 181,102 | ||||||
Soliton, Inc. (a) | 1,035 | 23,277 | ||||||
STAAR Surgical Co. (a) | 5,244 | 799,710 | ||||||
Stereotaxis, Inc. (a) | 5,535 | 53,357 | ||||||
Surmodics, Inc. (a) | 1,519 | 82,406 | ||||||
Tactile Systems Technology, Inc. (a) | 2,140 | 111,280 | ||||||
Talis Biomedical Corp. (a) | 1,648 | 18,177 | ||||||
Treace Medical Concepts, Inc. (a) | 1,219 | 38,106 | ||||||
Utah Medical Products, Inc. | 391 | 33,251 | ||||||
Varex Imaging Corp. (a) | 4,274 | 114,629 | ||||||
ViewRay, Inc. (a) | 15,195 | 100,287 | ||||||
Zynex, Inc. (a) (b) | 2,185 | 33,933 | ||||||
14,371,383 | ||||||||
Health Care – Services — 2.3% | ||||||||
Accolade, Inc. (a) (b) | 5,615 | 304,951 | ||||||
Addus HomeCare Corp. (a) | 1,733 | 151,187 | ||||||
Agiliti, Inc. (a) | 2,521 | 55,134 | ||||||
American Well Corp. Class A (a) | 21,715 | 273,175 | ||||||
Aveanna Healthcare Holdings, Inc. (a) | 4,303 | 53,228 | ||||||
Brookdale Senior Living, Inc. (a) | 20,634 | 163,009 | ||||||
Community Health Systems, Inc. (a) | 13,859 | 213,983 | ||||||
The Ensign Group, Inc. | 5,861 | 507,973 | ||||||
Fulgent Genetics, Inc. (a) (b) | 2,264 | 208,809 | ||||||
Innovage Holding Corp. (a) | 2,044 | 43,558 | ||||||
Inotiv, Inc. (a) | 1,444 | 38,526 | ||||||
Invitae Corp. (a) (b) | 22,351 | 753,899 | ||||||
The Joint Corp. (a) | 1,542 | 129,405 | ||||||
LHC Group, Inc. (a) | 3,407 | 682,286 | ||||||
Magellan Health, Inc. (a) | 2,647 | 249,347 | ||||||
MEDNAX, Inc. (a) | 8,477 | 255,582 | ||||||
Medpace Holdings, Inc. (a) | 3,235 | 571,398 | ||||||
ModivCare, Inc. (a) | 1,389 | 236,227 | ||||||
National HealthCare Corp. | 1,395 | 97,510 | ||||||
Neuronetics, Inc. (a) | 2,787 | 44,648 | ||||||
Ontrak, Inc. (a) | 954 | 30,986 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
OPKO Health, Inc. (a) (b) | 43,844 | $ | 177,568 | |||||
Ortho Clinical Diagnostics Holdings PLC Class H (a) | 9,871 | 211,338 | ||||||
The Pennant Group, Inc. (a) | 2,858 | 116,892 | ||||||
Personalis, Inc. (a) | 3,971 | 100,466 | ||||||
RadNet, Inc. (a) | 4,983 | 167,877 | ||||||
Select Medical Holdings Corp. | 12,324 | 520,812 | ||||||
SOC Telemed, Inc. (a) | 4,562 | 25,958 | ||||||
Surgery Partners, Inc. (a) | 3,536 | 235,568 | ||||||
Tenet Healthcare Corp. (a) | 11,847 | 793,631 | ||||||
Tivity Health, Inc. (a) | 4,907 | 129,103 | ||||||
Triple-S Management Corp. Class B (a) | 2,489 | 55,430 | ||||||
U.S. Physical Therapy, Inc. | 1,424 | 164,999 | ||||||
Vapotherm, Inc. (a) | 2,538 | 59,998 | ||||||
Viemed Healthcare, Inc. (a) | 3,972 | 28,400 | ||||||
7,852,861 | ||||||||
Healthcare-Products — 0.1% | ||||||||
Patterson Cos., Inc. | 9,561 | 290,559 | ||||||
Household Products & Wares — 0.4% | ||||||||
ACCO Brands Corp. | 10,448 | 90,166 | ||||||
Central Garden & Pet Co. (a) | 1,093 | 57,853 | ||||||
Central Garden & Pet Co. Class A (a) | 4,519 | 218,268 | ||||||
Helen of Troy Ltd. (a) | 2,728 | 622,311 | ||||||
Quanex Building Products Corp. | 3,772 | 93,696 | ||||||
WD-40 Co. | 1,524 | 390,586 | ||||||
1,472,880 | ||||||||
Pharmaceuticals — 3.4% | ||||||||
Aclaris Therapeutics, Inc. (a) | 4,843 | 85,043 | ||||||
AdaptHealth Corp. (a) (b) | 8,784 | 240,769 | ||||||
Aeglea BioTherapeutics, Inc. (a) | 4,495 | 31,285 | ||||||
Aerie Pharmaceuticals, Inc. (a) | 4,722 | 75,599 | ||||||
Agios Pharmaceuticals, Inc. (a) (b) | 6,871 | 378,661 | ||||||
Akebia Therapeutics, Inc. (a) | 17,828 | 67,568 | ||||||
Alector, Inc. (a) (b) | 6,425 | 133,833 | ||||||
Alkermes PLC (a) | 17,891 | 438,687 | ||||||
Allovir, Inc. (a) | 3,301 | 65,162 | ||||||
Amneal Pharmaceuticals, Inc. (a) | 11,158 | 57,129 | ||||||
Amphastar Pharmaceuticals, Inc. (a) | 4,183 | 84,329 | ||||||
Ampio Pharmaceuticals, Inc. (a) | 21,215 | 35,429 | ||||||
Anika Therapeutics, Inc. (a) | 1,599 | 69,221 | ||||||
Antares Pharma, Inc. (a) (b) | 18,712 | 81,584 | ||||||
Arvinas, Inc. (a) | 4,868 | 374,836 | ||||||
Athenex, Inc. (a) | 9,649 | 44,578 | ||||||
Beyondspring, Inc. (a) | 2,502 | 26,121 | ||||||
BioDelivery Sciences International, Inc. (a) | 10,493 | 37,565 | ||||||
Bioxcel Therapeutics, Inc. (a) (b) | 1,705 | 49,547 | ||||||
Cassava Sciences, Inc. (a) (b) | 4,268 | 364,658 | ||||||
Catalyst Pharmaceuticals, Inc. (a) | 10,998 | 63,239 | ||||||
Chimerix, Inc. (a) | 8,141 | 65,128 | ||||||
Clovis Oncology, Inc. (a) | 11,110 | 64,438 | ||||||
Coherus Biosciences, Inc. (a) | 7,145 | 98,815 | ||||||
Collegium Pharmaceutical, Inc. (a) | 3,973 | 93,922 | ||||||
Corcept Therapeutics, Inc. (a) | 10,780 | 237,160 | ||||||
CorMedix, Inc. (a) | 4,229 | 29,011 | ||||||
Covetrus, Inc. (a) | 11,544 | 311,688 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Cytokinetics, Inc. (a) | 7,608 | $ | 150,562 | |||||
Durect Corp. (a) (b) | 25,381 | 41,371 | ||||||
Eagle Pharmaceuticals, Inc. (a) | 1,271 | 54,399 | ||||||
Enanta Pharmaceuticals, Inc. (a) | 2,163 | 95,194 | ||||||
Endo International PLC (a) | 25,547 | 119,560 | ||||||
Flexion Therapeutics, Inc. (a) | 5,404 | 44,475 | ||||||
Foghorn Therapeutics, Inc. (a) | 2,180 | 23,261 | ||||||
Fortress Biotech, Inc. (a) (b) | 7,946 | 28,367 | ||||||
Fulcrum Therapeutics, Inc. (a) (b) | 2,474 | 25,928 | ||||||
G1 Therapeutics, Inc. (a) (b) | 4,373 | 95,944 | ||||||
Gritstone bio, Inc. (a) | 4,504 | 41,122 | ||||||
Harmony Biosciences Holdings, Inc. (a) | 2,492 | 70,349 | ||||||
Harpoon Therapeutics, Inc. (a) | 2,089 | 28,974 | ||||||
Heron Therapeutics, Inc. (a) | 10,281 | 159,561 | ||||||
Heska Corp. (a) | 1,069 | 245,581 | ||||||
Hookipa Pharma, Inc. (a) (b) | 2,164 | 19,822 | ||||||
Ideaya Biosciences, Inc. (a) | 3,131 | 65,720 | ||||||
Intellia Therapeutics, Inc. (a) | 7,125 | 1,153,609 | ||||||
Ironwood Pharmaceuticals, Inc. (a) | 16,191 | 208,378 | ||||||
Jounce Therapeutics, Inc. (a) | 3,676 | 24,997 | ||||||
Kala Pharmaceuticals, Inc. (a) | 5,390 | 28,567 | ||||||
KalVista Pharmaceuticals, Inc. (a) | 2,208 | 52,904 | ||||||
Kura Oncology, Inc. (a) | 7,087 | 147,764 | ||||||
Landos Biopharma, Inc. (a) | 796 | 9,194 | ||||||
Madrigal Pharmaceuticals, Inc. (a) | 1,266 | 123,321 | ||||||
MannKind Corp. (a) (b) | 27,542 | 150,104 | ||||||
Marinus Pharmaceuticals, Inc. (a) (b) | 4,117 | 73,859 | ||||||
Mirum Pharmaceuticals, Inc. (a) | 387 | 6,691 | ||||||
Morphic Holding, Inc. (a) | 2,312 | 132,686 | ||||||
Nature's Sunshine Products, Inc. | 1,315 | 22,842 | ||||||
Neoleukin Therapeutics, Inc. (a) | 3,810 | 35,166 | ||||||
NexImmune, Inc. (a) | 810 | 13,219 | ||||||
Ocugen, Inc. (a) | 20,598 | 165,402 | ||||||
Ocular Therapeutix, Inc. (a) | 8,500 | 120,530 | ||||||
Option Care Health, Inc. (a) | 12,339 | 269,854 | ||||||
Oramed Pharmaceuticals, Inc. (a) | 2,980 | 39,872 | ||||||
ORIC Pharmaceuticals, Inc. (a) | 3,292 | 58,235 | ||||||
Outlook Therapeutics, Inc. (a) | 9,762 | 24,307 | ||||||
Owens & Minor, Inc. | 8,092 | 342,534 | ||||||
Pacira BioSciences, Inc. (a) | 4,877 | 295,936 | ||||||
Paratek Pharmaceuticals, Inc. (a) (b) | 4,938 | 33,677 | ||||||
Passage Bio, Inc. (a) | 4,136 | 54,761 | ||||||
PetIQ, Inc. (a) (b) | 2,942 | 113,561 | ||||||
Phibro Animal Health Corp. Class A | 2,298 | 66,366 | ||||||
PMV Pharmaceuticals, Inc. (a) | 2,926 | 99,952 | ||||||
Prestige Consumer Healthcare, Inc. (a) | 5,576 | 290,510 | ||||||
Prometheus Biosciences, Inc. (a) | 1,260 | 30,946 | ||||||
Protagonist Therapeutics, Inc. (a) | 4,611 | 206,942 | ||||||
Reata Pharmaceuticals, Inc. Class A (a) | 3,062 | 433,365 | ||||||
Relmada Therapeutics, Inc. (a) | 1,687 | 54,001 | ||||||
Reneo Pharmaceuticals, Inc. (a) | 706 | 6,587 | ||||||
Revance Therapeutics, Inc. (a) | 7,829 | 232,052 | ||||||
Rhythm Pharmaceuticals, Inc. (a) | 4,913 | 96,197 | ||||||
Senseonics Holdings, Inc. (a) | 46,332 | 177,915 | ||||||
Seres Therapeutics, Inc. (a) | 7,764 | 185,171 | ||||||
SIGA Technologies, Inc. (a) | 5,460 | 34,289 | ||||||
Spectrum Pharmaceuticals, Inc. (a) | 17,310 | 64,913 | ||||||
Spero Therapeutics, Inc. (a) (b) | 2,700 | 37,692 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Summit Therapeutics, Inc. (a) | 2,506 | $ | 18,695 | |||||
Supernus Pharmaceuticals, Inc. (a) | 5,475 | 168,575 | ||||||
Syros Pharmaceuticals, Inc. (a) (b) | 6,425 | 35,016 | ||||||
TherapeuticsMD, Inc. (a) (b) | 40,365 | 48,034 | ||||||
Tonix Pharmaceuticals Holding Corp. (a) | 36,420 | 40,426 | ||||||
Trevena, Inc. (a) (b) | 18,229 | 30,807 | ||||||
USANA Health Sciences, Inc. (a) | 1,417 | 145,143 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 6,131 | 131,878 | ||||||
Vaxcyte, Inc. (a) | 4,434 | 99,809 | ||||||
Verrica Pharmaceuticals, Inc. (a) (b) | 1,448 | 16,362 | ||||||
Zogenix, Inc. (a) (b) | 6,286 | 108,622 | ||||||
11,577,430 | ||||||||
89,954,129 | ||||||||
Energy — 4.4% | ||||||||
Coal — 0.1% | ||||||||
Arch Resources, Inc. (a) | 1,691 | 96,353 | ||||||
CONSOL Energy, Inc. (a) | 3,820 | 70,556 | ||||||
Peabody Energy Corp. (a) | 7,728 | 61,283 | ||||||
SunCoke Energy, Inc. | 9,307 | 66,452 | ||||||
Warrior Met Coal, Inc. | 5,740 | 98,728 | ||||||
393,372 | ||||||||
Energy – Alternate Sources — 0.7% | ||||||||
Advent Technologies Holdings, Inc. (a) | 1,901 | 18,326 | ||||||
Aemetis, Inc. (a) | 2,589 | 28,919 | ||||||
Alto Ingredients, Inc. (a) | 7,971 | 48,703 | ||||||
Array Technologies, Inc. (a) | 14,247 | 222,253 | ||||||
Beam Global (a) | 982 | 37,620 | ||||||
Cleanspark, Inc. (a) | 3,652 | 60,769 | ||||||
Eos Energy Enterprises, Inc. (a) | 1,960 | 35,202 | ||||||
FuelCell Energy, Inc. (a) | 36,295 | 323,025 | ||||||
FutureFuel Corp. | 2,904 | 27,878 | ||||||
Gevo, Inc. (a) | 21,767 | 158,246 | ||||||
Green Plains, Inc. (a) | 4,782 | 160,771 | ||||||
Renewable Energy Group, Inc. (a) | 4,999 | 311,638 | ||||||
REX American Resources Corp. (a) | 595 | 53,657 | ||||||
Stem, Inc. (a) | 6,986 | 251,566 | ||||||
Sunnova Energy International, Inc. (a) (b) | 9,601 | 361,574 | ||||||
SunPower Corp. (a) (b) | 8,914 | 260,467 | ||||||
TPI Composites, Inc. (a) (b) | 3,985 | 192,954 | ||||||
2,553,568 | ||||||||
Oil & Gas — 2.7% | ||||||||
Antero Resources Corp. (a) | 31,920 | 479,758 | ||||||
Berry Corp. | 7,563 | 50,823 | ||||||
Bonanza Creek Energy, Inc. | 3,441 | 161,968 | ||||||
Brigham Minerals, Inc. Class A | 4,899 | 104,300 | ||||||
California Resources Corp. (a) | 9,377 | 282,623 | ||||||
Callon Petroleum Co. (a) | 4,450 | 256,720 | ||||||
Centennial Resource Development, Inc. Class A (a) | 20,195 | 136,922 | ||||||
Chesapeake Energy Corp. | 11,022 | 572,262 | ||||||
CNX Resources Corp. (a) | 24,405 | 333,372 | ||||||
Comstock Resources, Inc. (a) | 10,213 | 68,121 | ||||||
Contango Oil & Gas Co. (a) (b) | 16,378 | 70,753 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
CVR Energy, Inc. | 3,343 | $ | 60,040 | |||||
Delek US Holdings, Inc. | 7,322 | 158,302 | ||||||
Denbury, Inc. (a) | 5,628 | 432,118 | ||||||
Earthstone Energy, Inc. Class A (a) | 2,694 | 29,823 | ||||||
Extraction Oil & Gas, Inc. (a) | 1,743 | 95,708 | ||||||
Falcon Minerals Corp. | 4,485 | 22,784 | ||||||
Helmerich & Payne, Inc. | 11,743 | 383,174 | ||||||
HighPeak Energy, Inc. (a) | 556 | 5,688 | ||||||
Kosmos Energy Ltd. (a) | 45,188 | 156,350 | ||||||
Laredo Petroleum, Inc. (a) | 1,403 | 130,184 | ||||||
Magnolia Oil & Gas Corp. Class A (a) | 15,532 | 242,765 | ||||||
Matador Resources Co. | 12,354 | 444,868 | ||||||
Murphy Oil Corp. | 16,345 | 380,512 | ||||||
Nabors Industries Ltd. (a) | 790 | 90,250 | ||||||
Northern Oil and Gas, Inc. | 5,335 | 110,808 | ||||||
Oasis Petroleum, Inc. | 2,251 | 226,338 | ||||||
Ovintiv, Inc. | 29,240 | 920,183 | ||||||
Par Pacific Holdings, Inc. (a) | 4,990 | 83,932 | ||||||
Patterson-UTI Energy, Inc. | 20,844 | 207,189 | ||||||
PBF Energy, Inc. Class A (a) | 10,745 | 164,398 | ||||||
PDC Energy, Inc. | 11,090 | 507,811 | ||||||
Penn Virginia Corp. (a) (b) | 1,709 | 40,349 | ||||||
Range Resources Corp. (a) | 26,672 | 447,023 | ||||||
Riley Exploration Permian, Inc. | 255 | 7,390 | ||||||
SM Energy Co. | 13,005 | 320,313 | ||||||
Southwestern Energy Co. (a) (b) | 75,555 | 428,397 | ||||||
Talos Energy, Inc. (a) | 4,110 | 64,280 | ||||||
Tellurian, Inc. (a) | 35,349 | 164,373 | ||||||
Vine Energy, Inc. Class A (a) | 2,299 | 35,841 | ||||||
W&T Offshore, Inc. (a) | 10,721 | 51,997 | ||||||
Whiting Petroleum Corp. (a) | 4,393 | 239,638 | ||||||
9,170,448 | ||||||||
Oil & Gas Services — 0.7% | ||||||||
Archrock, Inc. | 15,082 | 134,381 | ||||||
Bristow Group, Inc. (a) | 752 | 19,259 | ||||||
ChampionX Corp. (a) | 22,625 | 580,331 | ||||||
DMC Global, Inc. (a) | 2,071 | 116,411 | ||||||
Dril-Quip, Inc. (a) | 3,911 | 132,309 | ||||||
Frank's International NV (a) (b) | 18,448 | 55,897 | ||||||
FTS International, Inc. Class A (a) | 989 | 27,979 | ||||||
Helix Energy Solutions Group, Inc. (a) (b) | 15,905 | 90,818 | ||||||
Liberty Oilfield Services, Inc. Class A (a) | 9,683 | 137,111 | ||||||
Matrix Service Co. (a) | 2,979 | 31,279 | ||||||
MRC Global, Inc. (a) | 9,018 | 84,769 | ||||||
National Energy Services Reunited Corp. (a) (b) | 3,312 | 47,196 | ||||||
Newpark Resources, Inc. (a) | 9,999 | 34,597 | ||||||
NexTier Oilfield Solutions, Inc. (a) | 19,231 | 91,540 | ||||||
NOW, Inc. (a) | 12,296 | 116,689 | ||||||
Oceaneering International, Inc. (a) | 11,107 | 172,936 | ||||||
Oil States International, Inc. (a) | 6,783 | 53,247 | ||||||
ProPetro Holding Corp. (a) | 9,484 | 86,873 | ||||||
RPC, Inc. (a) | 7,482 | 37,036 | ||||||
Select Energy Services, Inc. Class A (a) | 6,703 | 40,486 | ||||||
Solaris Oilfield Infrastructure, Inc. Class A | 3,433 | 33,437 | ||||||
TETRA Technologies, Inc. (a) | 13,682 | 59,380 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
US Silica Holdings, Inc. (a) | 8,191 | $ | 94,688 | |||||
2,278,649 | ||||||||
Pipelines — 0.2% | ||||||||
Equitrans Midstream Corp. | 45,607 | 388,115 | ||||||
Golar LNG Ltd. (a) | 11,468 | 151,951 | ||||||
540,066 | ||||||||
14,936,103 | ||||||||
Financial — 21.1% | ||||||||
Banks — 7.6% | ||||||||
1st Source Corp. | 1,935 | 89,900 | ||||||
Alerus Financial Corp. | 1,717 | 49,810 | ||||||
Allegiance Bancshares, Inc. | 2,174 | 83,569 | ||||||
Altabancorp | 2,009 | 87,010 | ||||||
Amalgamated Financial Corp. | 1,576 | 24,633 | ||||||
American National Bankshares, Inc. | 1,223 | 38,023 | ||||||
Ameris Bancorp | 7,419 | 375,624 | ||||||
Arrow Financial Corp. | 1,515 | 54,464 | ||||||
Associated Banc-Corp. | 16,854 | 345,170 | ||||||
Atlantic Capital Bancshares, Inc. (a) | 2,185 | 55,630 | ||||||
Atlantic Union Bankshares Corp. | 8,786 | 318,229 | ||||||
BancFirst Corp. | 1,911 | 119,304 | ||||||
The Bancorp, Inc. (a) | 5,836 | 134,286 | ||||||
BancorpSouth Bank | 11,367 | 322,027 | ||||||
Bank First Corp. | 721 | 50,304 | ||||||
Bank of Marin Bancorp | 1,470 | 46,893 | ||||||
The Bank of NT Butterfield & Son Ltd. | 5,589 | 198,130 | ||||||
BankUnited, Inc. | 10,393 | 443,677 | ||||||
Banner Corp. | 3,858 | 209,142 | ||||||
Bar Harbor Bankshares | 1,667 | 47,710 | ||||||
Blue Ridge Bankshares, Inc. | 1,924 | 33,708 | ||||||
Bridgewater Bancshares, Inc. (a) | 2,415 | 39,002 | ||||||
Bryn Mawr Bank Corp. | 2,195 | 92,607 | ||||||
Business First Bancshares, Inc. | 2,222 | 50,995 | ||||||
Byline Bancorp, Inc. | 2,849 | 64,473 | ||||||
Cadence BanCorp | 13,726 | 286,599 | ||||||
Cambridge Bancorp | 735 | 60,998 | ||||||
Camden National Corp. | 1,679 | 80,189 | ||||||
Capital Bancorp, Inc. /MD (a) | 928 | 18,978 | ||||||
Capital City Bank Group, Inc. | 1,547 | 39,897 | ||||||
Capstar Financial Holdings, Inc. | 2,268 | 46,494 | ||||||
Carter Bankshares, Inc. (a) | 2,841 | 35,541 | ||||||
Cathay General Bancorp | 8,509 | 334,914 | ||||||
CBTX, Inc. | 2,074 | 56,641 | ||||||
Central Pacific Financial Corp. | 3,147 | 82,011 | ||||||
Century Bancorp, Inc. Class A | 300 | 34,200 | ||||||
CIT Group, Inc. | 11,075 | 571,359 | ||||||
Citizens & Northern Corp. | 1,741 | 42,655 | ||||||
City Holding Co. | 1,716 | 129,112 | ||||||
Civista Bancshares, Inc. | 1,793 | 39,625 | ||||||
CNB Financial Corp. | 1,772 | 40,437 | ||||||
Coastal Financial Corp. (a) | 1,062 | 30,331 | ||||||
Columbia Banking System, Inc. | 8,024 | 309,405 | ||||||
Community Bank System, Inc. | 5,971 | 451,706 | ||||||
Community Trust Bancorp, Inc. | 1,796 | 72,522 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ConnectOne Bancorp, Inc. | 4,145 | $ | 108,475 | |||||
CrossFirst Bankshares, Inc. (a) | 5,243 | 72,091 | ||||||
Customers Bancorp, Inc. (a) | 3,358 | 130,928 | ||||||
CVB Financial Corp. | 14,408 | 296,661 | ||||||
Dime Community Bancshares, Inc. | 3,907 | 131,353 | ||||||
Eagle Bancorp, Inc. | 3,511 | 196,897 | ||||||
Eastern Bankshares, Inc. | 19,159 | 394,101 | ||||||
Enterprise Bancorp, Inc. | 1,077 | 35,272 | ||||||
Enterprise Financial Services Corp. | 3,215 | 149,144 | ||||||
Equity Bancshares, Inc. Class A (a) | 1,503 | 45,826 | ||||||
Farmers National Banc Corp. | 2,811 | 43,599 | ||||||
FB Financial Corp. | 3,696 | 137,935 | ||||||
Fidelity D&D Bancorp, Inc. | 453 | 24,507 | ||||||
Financial Institutions, Inc. | 1,814 | 54,420 | ||||||
First BanCorp | 24,031 | 286,450 | ||||||
First Bancorp | 3,133 | 128,171 | ||||||
First Bancorp, Inc. | 1,110 | 32,690 | ||||||
The First Bancshares, Inc. | 2,247 | 84,105 | ||||||
First Bank | 1,791 | 24,250 | ||||||
First Busey Corp. | 5,638 | 139,033 | ||||||
First Choice Bancorp | 1,181 | 35,961 | ||||||
First Commonwealth Financial Corp. | 10,565 | 148,650 | ||||||
First Community Bancshares, Inc. | 1,990 | 59,402 | ||||||
First Financial Bancorp | 10,708 | 253,030 | ||||||
First Financial Bankshares, Inc. | 14,492 | 711,992 | ||||||
First Financial Corp. | 1,314 | 53,637 | ||||||
First Foundation, Inc. | 4,400 | 99,044 | ||||||
First Internet Bancorp | 1,080 | 33,458 | ||||||
First Interstate BancSystem, Inc. Class A | 4,565 | 190,954 | ||||||
First Merchants Corp. | 6,029 | 251,228 | ||||||
First Mid Bancshares, Inc. (b) | 1,845 | 74,741 | ||||||
First Midwest Bancorp, Inc. | 12,692 | 251,682 | ||||||
The First of Long Island Corp. | 2,612 | 55,453 | ||||||
Five Star Bancorp (a) | 588 | 14,200 | ||||||
Flagstar Bancorp, Inc. | 5,813 | 245,716 | ||||||
Fulton Financial Corp. | 17,690 | 279,148 | ||||||
German American Bancorp Inc. | 2,751 | 102,337 | ||||||
Glacier Bancorp, Inc. | 10,693 | 588,970 | ||||||
Great Southern Bancorp, Inc. | 1,160 | 62,524 | ||||||
Great Western Bancorp, Inc. | 6,182 | 202,708 | ||||||
Guaranty Bancshares, Inc. | 931 | 31,719 | ||||||
Hancock Whitney Corp. | 9,652 | 428,935 | ||||||
Hanmi Financial Corp. | 3,442 | 65,605 | ||||||
HarborOne Bancorp, Inc. | 5,614 | 80,505 | ||||||
Hawthorn Bancshares, Inc. | 27 | 626 | ||||||
HBT Financial, Inc. | 1,120 | 19,499 | ||||||
Heartland Financial USA, Inc. | 4,485 | 210,750 | ||||||
Heritage Commerce Corp. | 6,606 | 73,525 | ||||||
Heritage Financial Corp. | 3,940 | 98,579 | ||||||
Hilltop Holdings, Inc. | 7,202 | 262,153 | ||||||
Home BancShares, Inc. | 17,013 | 419,881 | ||||||
HomeStreet, Inc. | 2,310 | 94,109 | ||||||
Hope Bancorp, Inc. | 13,205 | 187,247 | ||||||
Horizon Bancorp, Inc. | 4,867 | 84,832 | ||||||
Howard Bancorp, Inc. (a) | 1,322 | 21,324 | ||||||
Independent Bank Corp. | 3,675 | 277,463 | ||||||
Independent Bank Corp. of Michigan | 2,293 | 49,781 | ||||||
Independent Bank Group, Inc. | 4,198 | 310,568 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
International Bancshares Corp. | 5,993 | $ | 257,339 | |||||
Kearny Financial Corp. | 8,090 | 96,676 | ||||||
Lakeland Bancorp, Inc. | 5,637 | 98,535 | ||||||
Lakeland Financial Corp. | 2,718 | 167,538 | ||||||
Live Oak Bancshares, Inc. | 3,517 | 207,503 | ||||||
Luther Burbank Corp. | 1,696 | 20,115 | ||||||
Macatawa Bank Corp. | 3,127 | 27,361 | ||||||
Mercantile Bank Corp. | 1,790 | 54,058 | ||||||
Merchants Bancorp | 1,075 | 42,183 | ||||||
Meta Financial Group, Inc. | 3,500 | 177,205 | ||||||
Metrocity Bankshares, Inc. | 2,097 | 36,718 | ||||||
Metropolitan Bank Holding Corp. (a) | 845 | 50,886 | ||||||
Mid Penn Bancorp, Inc. (b) | 1,090 | 29,921 | ||||||
Midland States Bancorp, Inc. | 2,442 | 64,151 | ||||||
MidWestOne Financial Group, Inc. | 1,590 | 45,744 | ||||||
MVB Financial Corp. | 1,112 | 47,438 | ||||||
National Bank Holdings Corp. Class A | 3,272 | 123,485 | ||||||
NBT Bancorp, Inc. | 4,695 | 168,879 | ||||||
Nicolet Bankshares, Inc. (a) | 989 | 69,566 | ||||||
Northrim BanCorp, Inc. | 690 | 29,498 | ||||||
OFG Bancorp | 5,661 | 125,221 | ||||||
Old National Bancorp | 18,405 | 324,112 | ||||||
Old Second Bancorp, Inc. | 3,040 | 37,696 | ||||||
Origin Bancorp, Inc. | 2,461 | 104,494 | ||||||
Orrstown Financial Services, Inc. | 1,282 | 29,576 | ||||||
Park National Corp. | 1,605 | 188,459 | ||||||
PCSB Financial Corp. | 1,553 | 28,218 | ||||||
Peapack Gladstone Financial Corp. | 2,102 | 65,309 | ||||||
Peoples Bancorp, Inc. | 2,073 | 61,402 | ||||||
Peoples Financial Services Corp. | 742 | 31,609 | ||||||
Pioneer Bancorp, Inc. (a) | 1,236 | 14,857 | ||||||
Preferred Bank | 1,532 | 96,930 | ||||||
Premier Financial Bancorp, Inc. | 1,435 | 24,180 | ||||||
Premier Financial Corp. | 4,120 | 117,049 | ||||||
Primis Financial Corp. | 2,646 | 40,378 | ||||||
Provident Bancorp, Inc. | 1,856 | 30,271 | ||||||
QCR Holdings, Inc. | 1,720 | 82,715 | ||||||
RBB Bancorp | 1,567 | 37,953 | ||||||
Red River Bancshares, Inc. | 529 | 26,720 | ||||||
Reliant Bancorp, Inc. | 1,691 | 46,891 | ||||||
Renasant Corp. | 6,156 | 246,240 | ||||||
Republic Bancorp, Inc. Class A | 1,099 | 50,697 | ||||||
Republic First Bancorp, Inc. (a) | 5,271 | 21,031 | ||||||
S&T Bancorp, Inc. | 4,304 | 134,715 | ||||||
Sandy Spring Bancorp, Inc. | 5,163 | 227,843 | ||||||
Seacoast Banking Corp. of Florida | 6,035 | 206,095 | ||||||
ServisFirst Bancshares, Inc. | 5,570 | 378,649 | ||||||
Sierra Bancorp | 1,509 | 38,404 | ||||||
Silvergate Capital Corp. Class A (a) | 2,555 | 289,533 | ||||||
Simmons First National Corp. Class A | 11,977 | 351,405 | ||||||
SmartFinancial, Inc. | 1,592 | 38,224 | ||||||
South Plains Financial, Inc. | 1,191 | 27,548 | ||||||
South State Corp. | 7,907 | 646,476 | ||||||
Southern First Bancshares, Inc. (a) | 836 | 42,770 | ||||||
Southside Bancshares, Inc. | 3,457 | 132,161 | ||||||
Spirit of Texas Bancshares, Inc. | 1,464 | 33,438 | ||||||
Stock Yards Bancorp, Inc. | 2,296 | 116,843 | ||||||
Summit Financial Group, Inc. | 1,296 | 28,525 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Texas Capital Bancshares, Inc. (a) | 5,658 | $ | 359,226 | |||||
Tompkins Financial Corp. | 1,589 | 123,243 | ||||||
Towne Bank | 7,471 | 227,268 | ||||||
TriCo Bancshares | 3,078 | 131,061 | ||||||
TriState Capital Holdings, Inc. (a) | 3,177 | 64,779 | ||||||
Triumph Bancorp, Inc. (a) | 2,619 | 194,461 | ||||||
TrustCo Bank Corp. NY | 2,080 | 71,510 | ||||||
Trustmark Corp. | 7,024 | 216,339 | ||||||
UMB Financial Corp. | 4,884 | 454,505 | ||||||
United Bankshares, Inc. | 13,939 | 508,773 | ||||||
United Community Banks, Inc. | 9,703 | 310,593 | ||||||
Univest Financial Corp. | 3,308 | 87,232 | ||||||
Valley National Bancorp | 44,646 | 599,596 | ||||||
Veritex Holdings, Inc. | 5,299 | 187,638 | ||||||
Walker & Dunlop, Inc. | 3,270 | 341,323 | ||||||
Washington Trust Bancorp, Inc. | 1,901 | 97,616 | ||||||
WesBanco, Inc. | 7,279 | 259,351 | ||||||
West BanCorp, Inc. | 1,854 | 51,449 | ||||||
Westamerica Bancorp. | 2,898 | 168,171 | ||||||
25,879,348 | ||||||||
Diversified Financial Services — 2.3% | ||||||||
Amerant Bancorp, Inc. (a) | 2,338 | 49,986 | ||||||
Artisan Partners Asset Management, Inc. Class A | 6,556 | 333,176 | ||||||
Assetmark Financial Holdings, Inc. (a) | 2,009 | 50,346 | ||||||
Associated Capital Group, Inc. Class A | 217 | 8,433 | ||||||
Atlanticus Holdings Corp. (a) | 575 | 22,828 | ||||||
B. Riley Financial, Inc. | 2,224 | 167,912 | ||||||
BGC Partners, Inc. Class A | 36,990 | 209,733 | ||||||
Blucora, Inc. (a) | 5,453 | 94,391 | ||||||
Boston Private Financial Holdings, Inc. | 9,166 | 135,199 | ||||||
Brightsphere Investment Group, Inc. | 6,466 | 151,498 | ||||||
Cohen & Steers, Inc. | 2,767 | 227,143 | ||||||
Columbia Financial, Inc. (a) | 4,460 | 76,801 | ||||||
Cowen, Inc. Class A | 2,896 | 118,881 | ||||||
Curo Group Holdings Corp. | 2,335 | 39,695 | ||||||
Diamond Hill Investment Group, Inc. | 349 | 58,391 | ||||||
Encore Capital Group, Inc. (a) (b) | 3,445 | 163,259 | ||||||
Enova International, Inc. (a) | 4,061 | 138,927 | ||||||
EZCORP, Inc. Class A (a) | 5,555 | 33,497 | ||||||
Federal Agricultural Mortgage Corp. Class C | 1,017 | 100,581 | ||||||
Federated Hermes, Inc. | 10,554 | 357,886 | ||||||
Finance Of America Cos., Inc. Class A (a) | 3,712 | 28,323 | ||||||
Focus Financial Partners, Inc. Class A (a) | 5,765 | 279,602 | ||||||
GAMCO Investors, Inc. Class A | 603 | 15,135 | ||||||
GCM Grosvenor, Inc. Class A | 3,655 | 38,085 | ||||||
Greenhill & Co., Inc. | 1,693 | 26,343 | ||||||
Hamilton Lane, Inc. Class A | 3,796 | 345,892 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b) | 8,542 | 479,633 | ||||||
Home Point Capital, Inc. (a) (b) | 907 | 5,379 | ||||||
Houlihan Lokey, Inc. | 5,796 | 474,055 | ||||||
I3 Verticals, Inc. Class A (a) | 2,297 | 69,415 | ||||||
International Money Express, Inc. (a) | 3,554 | 52,777 | ||||||
LendingClub Corp. (a) | 10,763 | 195,133 | ||||||
LendingTree, Inc. (a) | 1,297 | 274,808 | ||||||
Marlin Business Services Corp. | 913 | 20,780 | ||||||
Moelis & Co. Class A | 6,824 | 388,217 | ||||||
Mr Cooper Group, Inc. (a) | 7,915 | 261,670 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Navient Corp. | 19,657 | $ | 379,970 | |||||
Nelnet, Inc. Class A | 1,891 | 142,260 | ||||||
Ocwen Financial Corp. (a) | 912 | 28,254 | ||||||
Oportun Financial Corp. (a) (b) | 2,312 | 46,309 | ||||||
Oppenheimer Holdings, Inc. Class A | 1,056 | 53,687 | ||||||
PennyMac Financial Services, Inc. | 3,941 | 243,239 | ||||||
Piper Sandler Cos. | 1,974 | 255,751 | ||||||
PJT Partners, Inc. Class A | 2,686 | 191,727 | ||||||
PRA Group, Inc. (a) | 5,063 | 194,774 | ||||||
Pzena Investment Management, Inc. Class A | 1,998 | 21,998 | ||||||
Regional Management Corp. | 907 | 42,212 | ||||||
Sculptor Capital Management, Inc. | 2,402 | 59,065 | ||||||
StepStone Group, Inc. Class A | 4,165 | 143,276 | ||||||
Stonex Group, Inc. (a) | 1,872 | 113,574 | ||||||
Velocity Financial, Inc. (a) | 954 | 11,915 | ||||||
Virtus Investment Partners, Inc. | 814 | 226,105 | ||||||
WisdomTree Investments, Inc. (b) | 15,464 | 95,877 | ||||||
World Acceptance Corp. (a) | 493 | 78,998 | ||||||
7,822,801 | ||||||||
Insurance — 2.3% | ||||||||
Ambac Financial Group, Inc. (a) | 5,104 | 79,929 | ||||||
American Equity Investment Life Holding Co. | 9,521 | 307,719 | ||||||
American National Group, Inc. | 831 | 123,445 | ||||||
AMERISAFE, Inc. | 2,129 | 127,080 | ||||||
Argo Group International Holdings Ltd. | 3,533 | 183,115 | ||||||
BRP Group, Inc. Class A (a) | 5,150 | 137,248 | ||||||
Citizens, Inc. (a) (b) | 5,618 | 29,719 | ||||||
CNO Financial Group, Inc. | 14,624 | 345,419 | ||||||
Crawford & Co. Class A | 1,935 | 17,550 | ||||||
Donegal Group, Inc. Class A | 1,653 | 24,084 | ||||||
eHealth, Inc. (a) | 2,724 | 159,082 | ||||||
Employers Holdings, Inc. | 3,170 | 135,676 | ||||||
Enstar Group Ltd. (a) | 1,534 | 366,503 | ||||||
Essent Group Ltd. | 12,350 | 555,132 | ||||||
Genworth Financial, Inc. Class A (a) | 56,550 | 220,545 | ||||||
Goosehead Insurance, Inc. Class A | 1,975 | 251,417 | ||||||
Greenlight Capital Re Ltd. Class A (a) | 3,009 | 27,472 | ||||||
HCI Group, Inc. (b) | 631 | 62,740 | ||||||
Heritage Insurance Holdings, Inc. | 2,914 | 25,002 | ||||||
Horace Mann Educators Corp. | 4,641 | 173,666 | ||||||
Independence Holding Co. | 511 | 23,670 | ||||||
Investors Title Co. | 148 | 25,845 | ||||||
James River Group Holdings Ltd. | 3,991 | 149,742 | ||||||
Kinsale Capital Group, Inc. | 2,399 | 395,283 | ||||||
Maiden Holdings Ltd. (a) | 7,753 | 26,128 | ||||||
MBIA, Inc. (a) | 5,320 | 58,520 | ||||||
MetroMile, Inc. (a) | 4,094 | 37,460 | ||||||
National Western Life Group, Inc. Class A | 289 | 64,849 | ||||||
NI Holdings, Inc. (a) | 1,047 | 19,903 | ||||||
NMI Holdings, Inc. Class A (a) | 9,387 | 211,020 | ||||||
Palomar Holdings, Inc. (a) | 2,741 | 206,836 | ||||||
ProAssurance Corp. | 5,993 | 136,341 | ||||||
ProSight Global, Inc. (a) | 1,077 | 13,743 | ||||||
Radian Group, Inc. | 21,445 | 477,151 | ||||||
RLI Corp. | 4,464 | 466,890 | ||||||
Safety Insurance Group, Inc. | 1,640 | 128,379 | ||||||
Selective Insurance Group, Inc. | 6,627 | 537,781 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Selectquote, Inc. (a) | 14,961 | $ | 288,149 | |||||
SiriusPoint Ltd. (a) | 9,768 | 98,364 | ||||||
State Auto Financial Corp. | 2,002 | 34,274 | ||||||
Stewart Information Services Corp. | 2,975 | 168,653 | ||||||
Tiptree, Inc. | 2,518 | 23,417 | ||||||
Trean Insurance Group, Inc. (a) | 1,962 | 29,587 | ||||||
Trupanion, Inc. (a) | 4,260 | 490,326 | ||||||
United Fire Group, Inc. | 2,364 | 65,554 | ||||||
United Insurance Holdings Corp. | 2,330 | 13,281 | ||||||
Universal Insurance Holdings, Inc. | 2,977 | 41,321 | ||||||
Watford Holdings Ltd. (a) (b) | 2,003 | 70,085 | ||||||
7,655,095 | ||||||||
Investment Companies — 0.0% | ||||||||
Altus Midstream Co. Class A | 363 | 24,506 | ||||||
Rafael Holdings, Inc. Class B Class B (a) | 1,092 | 55,747 | ||||||
80,253 | ||||||||
Real Estate — 0.9% | ||||||||
Alexander & Baldwin, Inc. | 8,067 | 147,787 | ||||||
Cushman & Wakefield PLC (a) | 13,100 | 228,857 | ||||||
eXp World Holdings, Inc. (a) | 6,925 | 268,482 | ||||||
Fathom Holdings, Inc. (a) (b) | 597 | 19,576 | ||||||
FRP Holdings, Inc. (a) | 748 | 41,649 | ||||||
Kennedy-Wilson Holdings, Inc. | 13,391 | 266,079 | ||||||
Legacy Housing Corp. (a) | 944 | 15,963 | ||||||
Marcus & Millichap, Inc. (a) | 2,670 | 103,783 | ||||||
McGrath RentCorp | 2,691 | 219,505 | ||||||
Newmark Group, Inc. Class A | 16,731 | 200,939 | ||||||
Radius Global Infrastructure, Inc. Class A (a) (b) | 4,908 | 71,166 | ||||||
RE/MAX Holdings, Inc. Class A | 2,110 | 70,326 | ||||||
Realogy Holdings Corp. (a) | 12,851 | 234,145 | ||||||
Redfin Corp. (a) (b) | 11,349 | 719,640 | ||||||
The RMR Group, Inc. Class A | 1,734 | 67,002 | ||||||
The St. Joe Co. | 3,732 | 166,485 | ||||||
2,841,384 | ||||||||
Real Estate Investment Trusts (REITS) — 7.1% | ||||||||
Acadia Realty Trust | 9,452 | 207,566 | ||||||
Agree Realty Corp. | 7,504 | 528,957 | ||||||
Alexander's, Inc. | 244 | 65,380 | ||||||
American Assets Trust, Inc. | 5,568 | 207,631 | ||||||
American Finance Trust, Inc. | 12,130 | 102,862 | ||||||
Apartment Investment and Management Co. Class A | 16,607 | 111,433 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 15,653 | 249,665 | ||||||
Apple Hospitality REIT, Inc. | 23,426 | 357,481 | ||||||
Arbor Realty Trust, Inc. | 14,194 | 252,937 | ||||||
Ares Commercial Real Estate Corp. | 4,199 | 61,683 | ||||||
Armada Hoffler Properties, Inc. | 6,698 | 89,016 | ||||||
ARMOUR Residential REIT, Inc. | 7,885 | 90,047 | ||||||
Ashford Hospitality Trust, Inc. (a) (b) | 12,233 | 55,782 | ||||||
Blackstone Mortgage Trust, Inc. Class A | 15,461 | 493,051 | ||||||
Braemar Hotels & Resorts, Inc. (a) | 4,965 | 30,833 | ||||||
Brandywine Realty Trust | 18,902 | 259,146 | ||||||
BrightSpire Capital, Inc. | 9,820 | 92,308 | ||||||
Broadmark Realty Capital, Inc. | 14,317 | 151,617 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Broadstone Net Lease, Inc. (b) | 15,871 | $ | 371,540 | |||||
BRT Apartments Corp. | 1,297 | 22,490 | ||||||
Capstead Mortgage Corp. | 10,964 | 67,319 | ||||||
CareTrust REIT, Inc. | 10,763 | 250,025 | ||||||
Catchmark Timber Trust, Inc. Class A | 5,592 | 65,426 | ||||||
Centerspace | 1,467 | 115,746 | ||||||
Chatham Lodging Trust (a) | 5,373 | 69,151 | ||||||
Chimera Investment Corp. | 25,696 | 386,982 | ||||||
City Office REIT, Inc. | 4,737 | 58,881 | ||||||
Clipper Realty, Inc. | 1,346 | 9,893 | ||||||
Columbia Property Trust, Inc. | 12,782 | 222,279 | ||||||
Community Healthcare Trust, Inc. | 2,572 | 122,067 | ||||||
CorePoint Lodging Inc. (a) | 4,492 | 48,064 | ||||||
Corporate Office Properties Trust | 12,592 | 352,450 | ||||||
CTO Realty Growth, Inc. | 668 | 35,751 | ||||||
DiamondRock Hospitality Co. (a) | 23,307 | 226,078 | ||||||
Digitalbridge Group, Inc. (a) (b) | 53,345 | 421,426 | ||||||
Diversified Healthcare Trust | 26,459 | 110,599 | ||||||
Dynex Capital, Inc. | 3,378 | 63,033 | ||||||
Easterly Government Properties, Inc. | 9,395 | 198,047 | ||||||
EastGroup Properties, Inc. | 4,438 | 729,829 | ||||||
Ellington Financial, Inc. | 4,561 | 87,343 | ||||||
Empire State Realty Trust, Inc. Class A (b) | 15,949 | 191,388 | ||||||
Equity Commonwealth | 13,075 | 342,565 | ||||||
Essential Properties Realty Trust, Inc. | 13,059 | 353,115 | ||||||
Farmland Partners, Inc. | 2,882 | 34,728 | ||||||
Four Corners Property Trust, Inc. | 8,421 | 232,504 | ||||||
Franklin Street Properties Corp. | 11,570 | 60,858 | ||||||
The GEO Group, Inc. (b) | 13,115 | 93,379 | ||||||
Getty Realty Corp. | 4,427 | 137,901 | ||||||
Gladstone Commercial Corp. | 3,904 | 88,074 | ||||||
Gladstone Land Corp. (b) | 2,811 | 67,633 | ||||||
Global Medical REIT, Inc. | 6,312 | 93,165 | ||||||
Global Net Lease, Inc. | 10,733 | 198,561 | ||||||
Granite Point Mortgage Trust, Inc. | 6,097 | 89,931 | ||||||
Great Ajax Corp. | 2,417 | 31,373 | ||||||
Healthcare Realty Trust, Inc. | 15,803 | 477,251 | ||||||
Hersha Hospitality Trust (a) | 3,631 | 39,070 | ||||||
Independence Realty Trust, Inc. | 11,379 | 207,439 | ||||||
Indus Realty Trust, Inc. | 487 | 31,972 | ||||||
Industrial Logistics Properties Trust | 7,229 | 188,966 | ||||||
Innovative Industrial Properties, Inc. (b) | 2,644 | 505,057 | ||||||
Invesco Mortgage Capital, Inc. (b) | 27,625 | 107,738 | ||||||
iStar, Inc. (b) | 7,891 | 163,580 | ||||||
Kite Realty Group Trust | 9,299 | 204,671 | ||||||
KKR Real Estate Finance Trust, Inc. | 3,601 | 77,890 | ||||||
Ladder Capital Corp. | 12,717 | 146,754 | ||||||
Lexington Realty Trust | 30,594 | 365,598 | ||||||
LTC Properties, Inc. (b) | 4,330 | 166,229 | ||||||
The Macerich Co. | 22,049 | 402,394 | ||||||
Mack-Cali Realty Corp. | 9,791 | 167,916 | ||||||
MFA Financial, Inc. | 49,388 | 226,691 | ||||||
Monmouth Real Estate Investment Corp. | 10,613 | 198,675 | ||||||
National Health Investors, Inc. | 4,879 | 327,137 | ||||||
National Storage Affiliates Trust | 7,836 | 396,188 | ||||||
NETSTREIT Corp. | 4,419 | 101,902 | ||||||
New Senior Investment Group, Inc. | 9,220 | 80,952 | ||||||
New York Mortgage Trust, Inc. | 42,351 | 189,309 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
NexPoint Residential Trust, Inc. | 2,481 | $ | 136,405 | |||||
Office Properties, Inc. ome Trust | 5,331 | 156,252 | ||||||
One Liberty Properties, Inc. | 1,803 | 51,187 | ||||||
Orchid Island Capital, Inc. (b) | 10,549 | 54,749 | ||||||
Outfront Media, Inc. (a) | 16,240 | 390,247 | ||||||
Paramount Group, Inc. | 20,819 | 209,647 | ||||||
Pebblebrook Hotel Trust | 14,507 | 341,640 | ||||||
PennyMac Mortgage Investment Trust | 10,932 | 230,228 | ||||||
Physicians Realty Trust | 24,157 | 446,180 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 13,819 | 255,237 | ||||||
Plymouth Industrial REIT, Inc. | 3,263 | 65,325 | ||||||
Postal Realty Trust, Inc. Class A | 1,340 | 24,442 | ||||||
PotlatchDeltic Corp. | 7,367 | 391,556 | ||||||
Preferred Apartment Communities, Inc. Class A | 5,524 | 53,859 | ||||||
PS Business Parks, Inc. | 2,240 | 331,699 | ||||||
QTS Realty Trust, Inc. Class A | 7,667 | 592,659 | ||||||
Ready Capital Corp. REIT | 6,451 | 102,377 | ||||||
Redwood Trust, Inc. | 12,574 | 151,768 | ||||||
Retail Opportunity Investments Corp. | 12,962 | 228,909 | ||||||
Retail Properties of America, Inc. Class A | 23,927 | 273,964 | ||||||
Retail Value, Inc. | 1,943 | 42,260 | ||||||
RLJ Lodging Trust | 18,267 | 278,206 | ||||||
RPT Realty | 8,981 | 116,573 | ||||||
Ryman Hospitality Properties, Inc. (a) | 6,001 | 473,839 | ||||||
Sabra Health Care REIT, Inc. | 24,051 | 437,728 | ||||||
Safehold, Inc. | 1,996 | 156,686 | ||||||
Saul Centers, Inc. | 1,345 | 61,130 | ||||||
Seritage Growth Properties Class A (a) | 4,072 | 74,925 | ||||||
Service Properties Trust | 18,311 | 230,719 | ||||||
SITE Centers Corp. | 19,326 | 291,050 | ||||||
STAG Industrial, Inc. | 17,952 | 671,943 | ||||||
Summit Hotel Properties, Inc. (a) | 11,556 | 107,818 | ||||||
Sunstone Hotel Investors, Inc. (a) | 23,981 | 297,844 | ||||||
Tanger Factory Outlet Centers, Inc. | 11,067 | 208,613 | ||||||
Terreno Realty Corp. | 7,648 | 493,449 | ||||||
TPG RE Finance Trust, Inc. | 6,727 | 90,478 | ||||||
Two Harbors Investment Corp. (b) | 30,540 | 230,882 | ||||||
UMH Properties, Inc. | 4,515 | 98,517 | ||||||
Uniti Group, Inc. | 21,703 | 229,835 | ||||||
Universal Health Realty Income Trust | 1,427 | 87,832 | ||||||
Urban Edge Properties | 12,916 | 246,696 | ||||||
Urstadt Biddle Properties, Inc. Class A | 3,329 | 64,516 | ||||||
Washington Real Estate Investment Trust | 9,439 | 217,097 | ||||||
Whitestone REIT | 4,550 | 37,538 | ||||||
Xenia Hotels & Resorts, Inc. (a) | 12,712 | 238,096 | ||||||
24,202,968 | ||||||||
Savings & Loans — 0.9% | ||||||||
Axos Financial, Inc. (a) | 6,360 | 295,040 | ||||||
Banc of California, Inc. | 5,083 | 89,156 | ||||||
Berkshire Hills Bancorp, Inc. | 5,686 | 155,853 | ||||||
Brookline Bancorp, Inc. | 8,522 | 127,404 | ||||||
Capitol Federal Financial, Inc. | 14,460 | 170,339 | ||||||
Flushing Financial Corp. | 3,341 | 71,598 | ||||||
FS Bancorp, Inc. | 420 | 29,933 | ||||||
Hingham Institution for Savings | 162 | 47,061 | ||||||
Home Bancorp Inc. | 873 | 33,270 | ||||||
HomeTrust Bancshares, Inc. | 1,668 | 46,537 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Investors Bancorp, Inc. | 25,499 | $ | 363,616 | |||||
Meridian Bancorp, Inc. | 5,201 | 106,412 | ||||||
Northfield Bancorp, Inc. | 5,057 | 82,935 | ||||||
Northwest Bancshares, Inc. | 13,671 | 186,472 | ||||||
OceanFirst Financial Corp. | 6,566 | 136,835 | ||||||
Pacific Premier Bancorp, Inc. | 10,461 | 442,396 | ||||||
Provident Financial Services, Inc. | 8,459 | 193,627 | ||||||
Southern Missouri Bancorp, Inc. | 883 | 39,700 | ||||||
Washington Federal, Inc. | 8,042 | 255,575 | ||||||
Waterstone Financial, Inc. | 2,482 | 48,796 | ||||||
WSFS Financial Corp. | 5,243 | 244,271 | ||||||
3,166,826 | ||||||||
71,648,675 | ||||||||
Government — 0.0% | ||||||||
Multi-National — 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior SA | 3,497 | 53,749 | ||||||
Industrial — 12.3% | ||||||||
Aerospace & Defense — 0.7% | ||||||||
AAR Corp. (a) | 3,791 | 146,901 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 8,380 | 404,670 | ||||||
Aerovironment, Inc. (a) | 2,508 | 251,176 | ||||||
AerSale Corp. (a) | 993 | 12,373 | ||||||
Astronics Corp. (a) | 2,723 | 47,680 | ||||||
Barnes Group, Inc. | 5,275 | 270,344 | ||||||
Ducommun, Inc. (a) | 1,220 | 66,563 | ||||||
Kaman Corp. | 3,078 | 155,131 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 13,681 | 389,772 | ||||||
Moog, Inc. Class A | 3,226 | 271,177 | ||||||
National Presto Industries, Inc. | 577 | 58,652 | ||||||
Park Aerospace Corp. | 2,144 | 31,946 | ||||||
Triumph Group, Inc. (a) | 5,753 | 119,375 | ||||||
2,225,760 | ||||||||
Building Materials — 1.3% | ||||||||
AAON, Inc. | 4,677 | 292,733 | ||||||
American Woodmark Corp. (a) | 1,891 | 154,476 | ||||||
Apogee Enterprises, Inc. | 2,816 | 114,696 | ||||||
Boise Cascade Co. | 4,393 | 256,331 | ||||||
Caesarstone Ltd. | 2,486 | 36,693 | ||||||
Cornerstone Building Brands, Inc. (a) | 6,109 | 111,062 | ||||||
Forterra, Inc. (a) | 3,259 | 76,619 | ||||||
Gibraltar Industries, Inc. (a) | 3,660 | 279,295 | ||||||
Griffon Corp. | 5,179 | 132,738 | ||||||
JELD-WEN Holding, Inc. (a) | 9,368 | 246,004 | ||||||
Masonite International Corp. (a) | 2,738 | 306,081 | ||||||
Patrick Industries, Inc. | 2,533 | 184,909 | ||||||
PGT Innovations, Inc. (a) | 6,559 | 152,366 | ||||||
Simpson Manufacturing Co., Inc. | 4,860 | 536,738 | ||||||
SPX Corp. (a) | 4,891 | 298,742 | ||||||
Summit Materials, Inc. Class A (a) | 13,087 | 456,082 | ||||||
UFP Industries, Inc. | 6,718 | 499,416 | ||||||
US Concrete, Inc. (a) | 1,808 | 133,430 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
View, Inc. (a) | 9,448 | $ | 80,119 | |||||
4,348,530 | ||||||||
Electrical Components & Equipment — 0.7% | ||||||||
American Superconductor Corp. (a) | 3,020 | 52,518 | ||||||
Belden, Inc. | 4,934 | 249,512 | ||||||
Blink Charging Co. (a) | 4,074 | 167,726 | ||||||
Encore Wire Corp. | 2,240 | 169,770 | ||||||
Energizer Holdings, Inc. | 7,591 | 326,261 | ||||||
EnerSys | 4,782 | 467,345 | ||||||
Insteel Industries, Inc. | 2,092 | 67,258 | ||||||
nLight, Inc. (a) | 4,744 | 172,112 | ||||||
Novanta, Inc. (a) | 3,932 | 529,876 | ||||||
Powell Industries, Inc. (b) | 1,067 | 33,024 | ||||||
2,235,402 | ||||||||
Electronics — 1.9% | ||||||||
Advanced Energy Industries, Inc. | 4,292 | 483,751 | ||||||
Akoustis Technologies, Inc. (a) | 4,852 | 51,965 | ||||||
Allied Motion Technologies, Inc. | 1,312 | 45,303 | ||||||
API Group Corp. (a) (e) | 20,125 | 420,411 | ||||||
Atkore ,Inc. (a) | 5,243 | 372,253 | ||||||
Badger Meter, Inc. | 3,257 | 319,577 | ||||||
Benchmark Electronics, Inc. | 3,984 | 113,385 | ||||||
Brady Corp. Class A | 5,257 | 294,602 | ||||||
Comtech Telecommunications Corp. | 2,823 | 68,204 | ||||||
FARO Technologies, Inc. (a) | 2,035 | 158,262 | ||||||
Fluidigm Corp. (a) (b) | 8,400 | 51,744 | ||||||
GoPro, Inc. Class A (a) | 13,928 | 162,261 | ||||||
Identiv, Inc. (a) | 2,304 | 39,168 | ||||||
II-VI, Inc. (a) (b) | 11,668 | 846,980 | ||||||
Itron, Inc. (a) | 5,046 | 504,499 | ||||||
Kimball Electronics, Inc. (a) | 2,706 | 58,828 | ||||||
Knowles Corp. (a) | 9,896 | 195,347 | ||||||
Luna Innovations, Inc. (a) (b) | 3,308 | 35,826 | ||||||
Mesa Laboratories, Inc. | 551 | 149,415 | ||||||
MicroVision, Inc. (a) | 17,662 | 295,839 | ||||||
Napco Security Technologies, Inc. (a) (b) | 1,620 | 58,919 | ||||||
NVE Corp. | 541 | 40,061 | ||||||
OSI Systems, Inc. (a) | 1,886 | 191,693 | ||||||
Plexus Corp. (a) | 3,158 | 288,673 | ||||||
Rekor Systems, Inc. (a) | 3,502 | 35,580 | ||||||
Sanmina Corp. (a) | 7,164 | 279,110 | ||||||
Stoneridge, Inc. (a) | 2,924 | 86,258 | ||||||
TTM Technologies, Inc. (a) | 11,911 | 170,327 | ||||||
Turtle Beach Corp. (a) | 1,661 | 53,019 | ||||||
Vicor Corp. (a) | 2,354 | 248,912 | ||||||
Vishay Intertechnology, Inc. | 14,858 | 335,048 | ||||||
Vishay Precision Group, Inc. (a) | 1,421 | 48,371 | ||||||
6,503,591 | ||||||||
Engineering & Construction — 1.3% | ||||||||
908 Devices, Inc. (a) (b) | 815 | 31,581 | ||||||
Arcosa, Inc. | 5,402 | 317,313 | ||||||
Atlas Technical Consultants, Inc. (a) | 1,501 | 14,530 | ||||||
Comfort Systems USA, Inc. | 3,977 | 313,348 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Concrete Pumping Holdings, Inc. (a) | 2,908 | $ | 24,631 | |||||
Construction Partners, Inc. Class A (a) (b) | 3,196 | 100,354 | ||||||
Dycom Industries, Inc. (a) | 3,334 | 248,483 | ||||||
EMCOR Group, Inc. | 6,037 | 743,698 | ||||||
Exponent, Inc. | 5,790 | 516,526 | ||||||
Fluor Corp. (a) | 15,847 | 280,492 | ||||||
Granite Construction, Inc. | 5,104 | 211,969 | ||||||
Great Lakes Dredge & Dock Corp. (a) | 7,275 | 106,288 | ||||||
IES Holdings, Inc. (a) | 952 | 48,895 | ||||||
Infrastructure and Energy Alternatives, Inc. (a) | 2,334 | 30,015 | ||||||
Iteris, Inc. (a) | 4,666 | 31,029 | ||||||
Latham Group, Inc. (a) | 2,590 | 82,776 | ||||||
Mistras Group, Inc. (a) | 2,138 | 21,017 | ||||||
MYR Group, Inc. (a) | 1,851 | 168,293 | ||||||
NV5 Global, Inc. (a) | 1,427 | 134,866 | ||||||
Primoris Services Corp. | 5,962 | 175,462 | ||||||
Sterling Construction Co., Inc. (a) | 3,120 | 75,286 | ||||||
Tutor Perini Corp. (a) | 4,691 | 64,970 | ||||||
WillScot Mobile Mini Holdings Corp. (a) | 20,850 | 581,089 | ||||||
4,322,911 | ||||||||
Environmental Controls — 0.6% | ||||||||
Casella Waste Systems, Inc. Class A (a) | 5,486 | 347,977 | ||||||
CECO Environmental Corp. (a) | 3,457 | 24,752 | ||||||
Centrus Energy Corp. Class A (a) | 1,054 | 26,751 | ||||||
Covanta Holding Corp. | 13,353 | 235,146 | ||||||
Energy Recovery, Inc. (a) | 4,681 | 106,633 | ||||||
Harsco Corp. (a) | 8,729 | 178,246 | ||||||
Heritage-Crystal Clean, Inc. (a) | 1,760 | 52,237 | ||||||
Montrose Environmental Group, Inc. (a) | 2,513 | 134,848 | ||||||
Pure Cycle Corp. (a) | 2,183 | 30,169 | ||||||
PureCycle Technologies, Inc. (a) (b) | 3,673 | 86,866 | ||||||
Sharps Compliance Corp. (a) | 1,607 | 16,552 | ||||||
Tetra Tech, Inc. | 6,015 | 734,071 | ||||||
US Ecology, Inc. (a) | 3,507 | 131,583 | ||||||
2,105,831 | ||||||||
Hand & Machine Tools — 0.2% | ||||||||
Franklin Electric Co., Inc. | 5,173 | 417,047 | ||||||
Kennametal, Inc. | 9,325 | 334,954 | ||||||
Luxfer Holdings PLC | 3,180 | 70,755 | ||||||
822,756 | ||||||||
Machinery – Construction & Mining — 0.4% | ||||||||
Argan, Inc. | 1,679 | 80,239 | ||||||
Astec Industries, Inc. | 2,526 | 158,986 | ||||||
Babcock & Wilcox Enterprises, Inc. (a) | 6,190 | 48,777 | ||||||
Bloom Energy Corp. Class A (a) (b) | 15,534 | 417,399 | ||||||
Hyster-Yale Materials Handling, Inc. | 1,121 | 81,811 | ||||||
The Manitowoc Co., Inc. (a) | 3,846 | 94,227 | ||||||
Terex Corp. | 7,633 | 363,484 | ||||||
1,244,923 | ||||||||
Machinery – Diversified — 1.6% | ||||||||
AgEagle Aerial Systems, Inc. (a) | 7,442 | 39,219 | ||||||
Alamo Group, Inc. | 1,124 | 171,612 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Albany International Corp. Class A | 3,432 | $ | 306,340 | |||||
Altra Industrial Motion Corp. | 7,227 | 469,899 | ||||||
Applied Industrial Technologies, Inc. | 4,331 | 394,381 | ||||||
Cactus, Inc. Class A | 6,085 | 223,441 | ||||||
Chart Industries, Inc. (a) | 4,074 | 596,108 | ||||||
CIRCOR International, Inc. (a) | 2,053 | 66,928 | ||||||
Columbus McKinnon Corp. | 3,099 | 149,496 | ||||||
CSW Industrials, Inc. | 1,526 | 180,770 | ||||||
DXP Enterprises, Inc. (a) | 1,957 | 65,168 | ||||||
Eastman Kodak Co. (a) (b) | 5,006 | 41,650 | ||||||
The Gorman-Rupp Co. | 2,509 | 86,410 | ||||||
GrafTech International Ltd. | 19,017 | 220,978 | ||||||
Hydrofarm Holdings Group, Inc. (a) | 1,261 | 74,538 | ||||||
Ichor Holdings Ltd. (a) | 3,110 | 167,318 | ||||||
Kadant, Inc. | 1,284 | 226,100 | ||||||
Lindsay Corp. | 1,214 | 200,650 | ||||||
Mueller Water Products, Inc. Class A | 17,520 | 252,638 | ||||||
NN, Inc. (a) | 4,807 | 35,331 | ||||||
Ranpak Holdings Corp. (a) | 3,898 | 97,567 | ||||||
SPX FLOW, Inc. | 4,700 | 306,628 | ||||||
Tennant Co. | 2,054 | 164,012 | ||||||
Thermon Group Holdings, Inc. (a) | 3,706 | 63,150 | ||||||
Watts Water Technologies, Inc. Class A | 3,070 | 447,944 | ||||||
Welbilt, Inc. (a) | 14,584 | 337,620 | ||||||
5,385,896 | ||||||||
Metal Fabricate & Hardware — 0.8% | ||||||||
AZZ, Inc. | 2,767 | 143,275 | ||||||
Helios Technologies, Inc. | 3,591 | 280,278 | ||||||
Lawson Products, Inc. (a) | 519 | 27,772 | ||||||
Mayville Engineering Co., Inc. (a) | 997 | 20,050 | ||||||
Mueller Industries, Inc. | 6,261 | 271,164 | ||||||
Northwest Pipe Co. (a) (b) | 1,097 | 30,990 | ||||||
Olympic Steel, Inc. | 1,038 | 30,507 | ||||||
Omega Flex, Inc. | 343 | 50,321 | ||||||
Park-Ohio Holdings Corp. | 934 | 30,019 | ||||||
Proto Labs, Inc. (a) | 3,092 | 283,846 | ||||||
RBC Bearings, Inc. (a) | 2,759 | 550,200 | ||||||
Rexnord Corp. | 13,385 | 669,785 | ||||||
Ryerson Holding Corp. (a) | 1,896 | 27,682 | ||||||
Standex International Corp. | 1,343 | 127,464 | ||||||
TimkenSteel Corp. (a) (b) | 5,083 | 71,924 | ||||||
Tredegar Corp. | 2,947 | 40,580 | ||||||
Worthington Industries, Inc. | 3,857 | 235,971 | ||||||
2,891,828 | ||||||||
Miscellaneous - Manufacturing — 1.2% | ||||||||
American Outdoor Brands, Inc. (a) | 1,568 | 55,100 | ||||||
AMMO, Inc. (a) | 7,352 | 71,976 | ||||||
Byrna Technologies, Inc. (a) | 1,182 | 26,855 | ||||||
Chase Corp. | 838 | 85,987 | ||||||
Enerpac Tool Group Corp. | 6,730 | 179,153 | ||||||
EnPro Industries, Inc. | 2,299 | 223,348 | ||||||
ESCO Technologies, Inc. | 2,851 | 267,452 | ||||||
Fabrinet (a) | 4,122 | 395,176 | ||||||
Federal Signal Corp. | 6,713 | 270,064 | ||||||
Haynes International, Inc. | 1,408 | 49,815 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Hillenbrand, Inc. | 8,383 | $ | 369,523 | |||||
John Bean Technologies Corp. | 3,501 | 499,313 | ||||||
Lydall, Inc. (a) | 1,943 | 117,590 | ||||||
Materion Corp. | 2,272 | 171,195 | ||||||
Meta Materials, Inc. (a) | 6,862 | 51,396 | ||||||
Myers Industries, Inc. | 4,065 | 85,365 | ||||||
NL Industries, Inc. | 880 | 5,720 | ||||||
Raven Industries, Inc. | 3,978 | 230,127 | ||||||
Smith & Wesson Brands, Inc. | 5,930 | 205,771 | ||||||
Sturm, Ruger & Co., Inc. | 1,921 | 172,852 | ||||||
Trinity Industries, Inc. | 9,678 | 260,242 | ||||||
Trinseo SA | 4,342 | 259,825 | ||||||
4,053,845 | ||||||||
Packaging & Containers — 0.3% | ||||||||
Greif, Inc. Class A | 2,842 | 172,083 | ||||||
Greif, Inc. Class B | 711 | 41,949 | ||||||
Karat Packaging, Inc. (a) | 506 | 10,307 | ||||||
Matthews International Corp. Class A | 3,444 | 123,846 | ||||||
O-I Glass, Inc. (a) | 17,623 | 287,784 | ||||||
Pactiv Evergreen, Inc. | 4,802 | 72,366 | ||||||
TriMas Corp. (a) | 4,798 | 145,523 | ||||||
UFP Technologies, Inc. (a) | 775 | 44,501 | ||||||
898,359 | ||||||||
Transportation — 1.2% | ||||||||
AFC Gamma, Inc. | 807 | 16,665 | ||||||
Air Transport Services Group, Inc. (a) | 6,578 | 152,807 | ||||||
ArcBest Corp. | 2,824 | 164,329 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 3,211 | 218,701 | ||||||
Costamare, Inc. | 5,834 | 68,900 | ||||||
Covenant Logistics Group, Inc. (a) | 1,402 | 28,993 | ||||||
CryoPort, Inc. (a) (b) | 4,524 | 285,464 | ||||||
Daseke, Inc. (a) | 4,675 | 30,294 | ||||||
DHT Holdings, Inc. | 16,131 | 104,690 | ||||||
Diamond S Shipping, Inc. (a) | 3,446 | 34,322 | ||||||
Dorian LPG Ltd. (a) | 3,323 | 46,921 | ||||||
Eagle Bulk Shipping, Inc. (a) (b) | 929 | 43,960 | ||||||
Echo Global Logistics, Inc. (a) | 2,929 | 90,037 | ||||||
Forward Air Corp. | 3,032 | 272,122 | ||||||
Frontline Ltd. (b) | 13,308 | 119,772 | ||||||
Genco Shipping & Trading Ltd. | 3,582 | 67,628 | ||||||
Heartland Express, Inc. | 5,278 | 90,412 | ||||||
Hub Group, Inc. Class A (a) | 3,692 | 243,598 | ||||||
Ideanomics, Inc. (a) | 45,563 | 129,399 | ||||||
International Seaways, Inc. | 2,674 | 51,287 | ||||||
Marten Transport Ltd. | 6,617 | 109,114 | ||||||
Matson, Inc. | 4,793 | 306,752 | ||||||
Nordic American Tankers Ltd. | 16,559 | 54,314 | ||||||
PAM Transportation Services, Inc. (a) | 211 | 11,130 | ||||||
Radiant Logistics, Inc. (a) | 4,473 | 30,998 | ||||||
Safe Bulkers, Inc. (a) (b) | 6,087 | 24,409 | ||||||
Saia, Inc. (a) | 2,961 | 620,300 | ||||||
Scorpio Tankers, Inc. | 5,438 | 119,908 | ||||||
SFL Corp. Ltd. | 11,624 | 88,924 | ||||||
Teekay Corp. (a) | 7,734 | 28,771 | ||||||
Teekay Tankers Ltd. Class A (a) | 2,654 | 38,271 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Tidewater, Inc. (a) | 4,500 | $ | 54,225 | |||||
Universal Logistics Holdings, Inc. | 909 | 21,180 | ||||||
US Xpress Enterprises, Inc. Class A (a) (b) | 2,964 | 25,490 | ||||||
Werner Enterprises, Inc. | 6,962 | 309,948 | ||||||
Yellow Corp. (a) | 5,622 | 36,599 | ||||||
4,140,634 | ||||||||
Trucking & Leasing — 0.1% | ||||||||
GATX Corp. | 3,939 | 348,483 | ||||||
The Greenbrier Cos., Inc. | 3,604 | 157,062 | ||||||
Willis Lease Finance Corp. (a) | 310 | 13,287 | ||||||
518,832 | ||||||||
41,699,098 | ||||||||
Technology — 10.9% | ||||||||
Computers — 2.2% | ||||||||
3D Systems Corp. (a) | 13,542 | 541,274 | ||||||
Cantaloupe, Inc. (a) | 6,493 | 77,007 | ||||||
Conduent, Inc. (a) | 18,677 | 140,078 | ||||||
Corsair Gaming, Inc. (a) (b) | 3,000 | 99,870 | ||||||
Desktop Metal, Inc. Class A (a) | 9,326 | 107,249 | ||||||
Diebold Nixdorf, Inc. (a) | 8,057 | 103,452 | ||||||
Exlservice Holdings, Inc. (a) | 3,662 | 389,124 | ||||||
The ExOne Co. (a) | 1,902 | 41,159 | ||||||
Grid Dynamics Holdings, Inc. (a) | 3,411 | 51,267 | ||||||
iCAD, Inc. (a) | 2,380 | 41,198 | ||||||
Insight Enterprises, Inc. (a) (b) | 3,898 | 389,839 | ||||||
KBR, Inc. | 15,773 | 601,740 | ||||||
MAXIMUS, Inc. | 6,839 | 601,627 | ||||||
Mitek Systems, Inc. (a) | 4,704 | 90,599 | ||||||
NetScout Systems, Inc. (a) | 7,819 | 223,154 | ||||||
Onespan, Inc. (a) | 3,873 | 98,916 | ||||||
PAE, Inc. (a) | 7,738 | 68,868 | ||||||
PAR Technology Corp. (a) | 2,646 | 185,061 | ||||||
Parsons Corp. (a) | 2,930 | 115,325 | ||||||
Ping Identity Holding Corp. (a) (b) | 4,851 | 111,088 | ||||||
PlayAGS, Inc. (a) | 3,129 | 30,977 | ||||||
Qualys, Inc. (a) | 3,803 | 382,924 | ||||||
Quantum Corp. (a) (b) | 6,223 | 42,877 | ||||||
Rapid7, Inc. (a) | 6,129 | 579,987 | ||||||
Rimini Street, Inc. (a) | 4,887 | 30,104 | ||||||
SecureWorks Corp. Class A (a) | 1,096 | 20,309 | ||||||
Startek, Inc. (a) | 1,903 | 13,568 | ||||||
Super Micro Computer, Inc. (a) | 4,810 | 169,216 | ||||||
Sykes Enterprises, Inc. (a) | 4,273 | 229,460 | ||||||
Telos Corp. (a) | 1,917 | 65,197 | ||||||
Tenable Holdings, Inc. (a) | 10,121 | 418,503 | ||||||
TTEC Holdings, Inc. | 2,061 | 212,469 | ||||||
Unisys Corp. (a) | 7,320 | 185,269 | ||||||
Varonis Systems, Inc. (a) | 11,799 | 679,858 | ||||||
Vocera Communications, Inc. (a) | 3,795 | 151,231 | ||||||
Vuzix Corp. (a) | 6,547 | 120,138 | ||||||
7,409,982 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Office & Business Equipment — 0.1% | ||||||||
Pitney Bowes, Inc. | 19,642 | $ | 172,260 | |||||
Semiconductors — 2.5% | ||||||||
Alpha & Omega Semiconductor Ltd. (a) | 2,370 | 72,024 | ||||||
Ambarella, Inc. (a) | 3,905 | 416,390 | ||||||
Amkor Technology, Inc. | 11,387 | 269,530 | ||||||
Atomera, Inc. (a) (b) | 2,256 | 48,369 | ||||||
Axcelis Technologies, Inc. (a) | 3,712 | 150,039 | ||||||
AXT, Inc. (a) | 4,522 | 49,652 | ||||||
CEVA, Inc. (a) | 2,523 | 119,338 | ||||||
CMC Materials, Inc. | 3,259 | 491,262 | ||||||
Cohu, Inc. (a) | 5,346 | 196,679 | ||||||
CTS Corp. | 3,556 | 132,141 | ||||||
Diodes, Inc. (a) | 4,862 | 387,842 | ||||||
DSP Group, Inc. (a) | 2,499 | 36,985 | ||||||
EMCORE Corp. (a) | 4,074 | 37,562 | ||||||
FormFactor, Inc. (a) | 8,673 | 316,218 | ||||||
Impinj, Inc. (a) (b) | 2,081 | 107,359 | ||||||
Kulicke & Soffa Industries, Inc. | 6,830 | 417,996 | ||||||
Lattice Semiconductor Corp. (a) | 15,140 | 850,565 | ||||||
MACOM Technology Solutions Holdings, Inc. (a) | 5,432 | 348,083 | ||||||
MaxLinear, Inc. (a) | 7,802 | 331,507 | ||||||
Onto Innovation, Inc. (a) | 5,433 | 396,826 | ||||||
Ouster, Inc. (a) | 3,239 | 40,455 | ||||||
Photronics, Inc. (a) | 6,849 | 90,475 | ||||||
Power Integrations, Inc. | 6,735 | 552,674 | ||||||
Rambus, Inc. (a) | 12,495 | 296,257 | ||||||
Semtech Corp. (a) | 7,214 | 496,323 | ||||||
Silicon Laboratories, Inc. (a) | 4,955 | 759,354 | ||||||
SiTime Corp. (a) | 1,436 | 181,783 | ||||||
SkyWater Technology, Inc. (a) | 876 | 25,097 | ||||||
SMART Global Holdings, Inc. (a) | 1,582 | 75,430 | ||||||
Synaptics, Inc. (a) | 3,936 | 612,363 | ||||||
Ultra Clean Holdings, Inc. (a) | 4,853 | 260,703 | ||||||
Veeco Instruments, Inc. (a) | 5,593 | 134,456 | ||||||
8,701,737 | ||||||||
Software — 6.1% | ||||||||
1Life Healthcare, Inc. (a) | 13,005 | 429,945 | ||||||
8x8, Inc. (a) | 11,876 | 329,678 | ||||||
ACI Worldwide, Inc. (a) | 13,158 | 488,688 | ||||||
Agilysys, Inc. (a) | 2,123 | 120,735 | ||||||
Alignment Healthcare, Inc. (a) | 2,939 | 68,684 | ||||||
Alkami Technology, Inc. (a) | 775 | 27,644 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 15,606 | 288,867 | ||||||
Altair Engineering, Inc. Class A (a) (b) | 5,036 | 347,333 | ||||||
American Software, Inc. Class A | 3,488 | 76,596 | ||||||
Apollo Medical Holdings, Inc. (a) | 4,045 | 254,066 | ||||||
Appfolio, Inc. Class A (a) (b) | 2,090 | 295,108 | ||||||
Appian Corp. (a) (b) | 4,388 | 604,447 | ||||||
Asana, Inc. Class A (a) | 8,250 | 511,748 | ||||||
Avaya Holdings Corp. (a) | 9,206 | 247,641 | ||||||
Avid Technology, Inc. (a) | 4,033 | 157,892 | ||||||
Bandwidth, Inc. Class A (a) | 2,547 | 351,282 | ||||||
Benefitfocus, Inc. (a) | 2,781 | 39,212 | ||||||
BigCommerce Holdings, Inc. (a) (b) | 5,241 | 340,246 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Blackbaud, Inc. (a) | 5,399 | $ | 413,401 | |||||
Blackline, Inc. (a) | 5,986 | 666,062 | ||||||
BM Technologies, Inc. (a) | 579 | 7,203 | ||||||
Bottomline Technologies de, Inc. (a) | 4,936 | 183,027 | ||||||
Box, Inc. Class A (a) | 16,427 | 419,710 | ||||||
Brightcove, Inc. (a) | 4,538 | 65,120 | ||||||
BTRS Holdings, Inc. (a) | 5,281 | 66,646 | ||||||
Cardlytics, Inc. (a) (b) | 3,566 | 452,632 | ||||||
Castlight Health, Inc. Class B (a) | 13,305 | 34,992 | ||||||
Cerence, Inc. (a) (b) | 4,221 | 450,423 | ||||||
Cloudera, Inc. (a) | 25,819 | 409,489 | ||||||
CommVault Systems, Inc. (a) | 4,710 | 368,181 | ||||||
Computer Programs & Systems, Inc. | 1,520 | 50,510 | ||||||
Cornerstone OnDemand, Inc. (a) | 7,022 | 362,195 | ||||||
CSG Systems International, Inc. | 3,659 | 172,632 | ||||||
Daily Journal Corp. (a) | 136 | 46,036 | ||||||
DarioHealth Corp. (a) | 1,504 | 32,125 | ||||||
Digi International, Inc. (a) | 3,761 | 75,634 | ||||||
Digimarc Corp. (a) (b) | 1,414 | 47,369 | ||||||
Digital Turbine, Inc. (a) | 9,424 | 716,507 | ||||||
DigitalOcean Holdings, Inc. (a) | 1,439 | 79,994 | ||||||
Domo, Inc. Class B (a) | 3,078 | 248,795 | ||||||
Donnelley Financial Solutions, Inc. (a) | 3,281 | 108,273 | ||||||
E2open Parent Holdings, Inc. (a) | 4,660 | 53,217 | ||||||
Ebix, Inc. (b) | 2,958 | 100,276 | ||||||
eGain Corp. (a) | 2,303 | 26,438 | ||||||
Envestnet, Inc. (a) | 6,061 | 459,787 | ||||||
Evolent Health, Inc. Class A (a) (b) | 8,634 | 182,350 | ||||||
Forian, Inc. (a) | 2,022 | 25,417 | ||||||
Genius Brands International, Inc. (a) | 31,472 | 57,908 | ||||||
GreenBox POS (a) | 1,939 | 23,132 | ||||||
GTY Technology Holdings, Inc. (a) | 3,581 | 25,461 | ||||||
Health Catalyst, Inc. (a) | 4,987 | 276,828 | ||||||
IBEX Holdings Ltd. (a) (b) | 642 | 12,532 | ||||||
Inovalon Holdings, Inc. Class A (a) | 8,427 | 287,192 | ||||||
Intelligent Systems Corp. (a) | 833 | 26,206 | ||||||
j2 Global, Inc. (a) | 4,848 | 666,842 | ||||||
JFrog Ltd. (a) (b) | 5,756 | 262,013 | ||||||
LivePerson, Inc. (a) | 7,147 | 451,976 | ||||||
ManTech International Corp. Class A | 3,057 | 264,553 | ||||||
MedAvail Holdings, Inc. (a) | 1,307 | 16,011 | ||||||
MicroStrategy, Inc. Class A (a) (b) | 876 | 582,102 | ||||||
Model N, Inc. (a) | 3,878 | 132,899 | ||||||
Momentive Global, Inc. (a) | 14,267 | 300,606 | ||||||
NantHealth, Inc. (a) | 3,036 | 7,044 | ||||||
NextGen Healthcare, Inc. (a) | 6,250 | 103,688 | ||||||
ON24, Inc. (a) | 1,031 | 36,580 | ||||||
Outset Medical, Inc. (a) | 5,103 | 255,048 | ||||||
PagerDuty, Inc. (a) | 9,005 | 383,433 | ||||||
PDF Solutions, Inc. (a) | 3,260 | 59,267 | ||||||
Phreesia, Inc. (a) | 4,253 | 260,709 | ||||||
Porch Group, Inc. (a) | 1,772 | 34,270 | ||||||
Privia Health Group, Inc. (a) | 2,186 | 96,993 | ||||||
Progress Software Corp. | 4,900 | 226,625 | ||||||
PROS Holdings, Inc. (a) | 4,459 | 203,197 | ||||||
QAD, Inc. Class A | 1,335 | 116,172 | ||||||
Rackspace Technology, Inc. (a) | 5,997 | 117,601 | ||||||
SailPoint Technologies Holding, Inc. (a) | 10,101 | 515,858 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Sapiens International Corp. NV | 3,450 | $ | 90,632 | |||||
Schrodinger, Inc. /United States (a) | 5,055 | 382,209 | ||||||
Simulations Plus, Inc. (b) | 1,714 | 94,116 | ||||||
Smith Micro Software, Inc. (a) | 4,952 | 25,849 | ||||||
Sprout Social, Inc. Class A (a) | 4,928 | 440,662 | ||||||
SPS Commerce, Inc. (a) | 4,025 | 401,896 | ||||||
Sumo Logic, Inc. (a) (b) | 9,101 | 187,936 | ||||||
Tabula Rasa HealthCare, Inc. (a) (b) | 2,501 | 125,050 | ||||||
Upland Software, Inc. (a) | 3,204 | 131,909 | ||||||
Verint Systems, Inc. (a) (b) | 7,185 | 323,828 | ||||||
Veritone, Inc. (a) | 3,157 | 62,224 | ||||||
Verra Mobility Corp. (a) | 14,945 | 229,705 | ||||||
Viant Technology, Inc. (a) | 1,207 | 35,944 | ||||||
Workiva, Inc. (a) | 4,688 | 521,915 | ||||||
Xperi Holding Corp. | 11,703 | 260,275 | ||||||
Yext, Inc. (a) | 12,337 | 176,296 | ||||||
Zuora, Inc. Class A Class A (a) | 11,699 | 201,808 | ||||||
20,799,253 | ||||||||
37,083,232 | ||||||||
Utilities — 2.5% | ||||||||
Electric — 1.3% | ||||||||
ALLETE, Inc. | 5,854 | 409,663 | ||||||
Ameresco, Inc. Class A (a) | 3,448 | 216,259 | ||||||
Avista Corp. | 7,728 | 329,754 | ||||||
Black Hills Corp. | 7,032 | 461,510 | ||||||
Clearway Energy, Inc. Class A | 4,007 | 101,056 | ||||||
Clearway Energy, Inc. Class C (b) | 9,050 | 239,644 | ||||||
Evoqua Water Technologies Corp. (a) | 12,909 | 436,066 | ||||||
FTC Solar, Inc. (a) | 2,115 | 28,151 | ||||||
MGE Energy, Inc. | 4,059 | 302,152 | ||||||
NorthWestern Corp. | 5,660 | 340,845 | ||||||
Ormat Technologies, Inc. | 5,072 | 352,656 | ||||||
Otter Tail Corp. | 4,582 | 223,647 | ||||||
PNM Resources, Inc. | 9,545 | 465,510 | ||||||
Portland General Electric Co. | 10,039 | 462,597 | ||||||
Spark Energy, Inc. Class A (b) | 1,464 | 16,587 | ||||||
Unitil Corp. | 1,664 | 88,142 | ||||||
4,474,239 | ||||||||
Gas — 0.8% | ||||||||
Brookfield Infrastructure Corp. Class A | 4,085 | 308,009 | ||||||
Chesapeake Utilities Corp. | 1,921 | 231,154 | ||||||
New Jersey Resources Corp. | 10,779 | 426,525 | ||||||
Northwest Natural Holding Co. | 3,401 | 178,620 | ||||||
ONE Gas, Inc. | 5,881 | 435,900 | ||||||
South Jersey Industries, Inc. (b) | 11,491 | 297,962 | ||||||
Southwest Gas Holdings, Inc. | 6,472 | 428,382 | ||||||
Spire, Inc. | 5,656 | 408,759 | ||||||
2,715,311 | ||||||||
Water — 0.4% | ||||||||
American States Water Co. | 4,115 | 327,389 | ||||||
Artesian Resources Corp. Class A | 915 | 33,645 | ||||||
California Water Service Group | 5,664 | 314,579 |
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Global Water Resources, Inc. | 1,419 | $ | 24,236 | |||||
Middlesex Water Co. | 1,924 | 157,248 | ||||||
SJW Group | 3,086 | 195,344 | ||||||
The York Water Co. (b) | 1,479 | 66,999 | ||||||
1,119,440 | ||||||||
8,308,990 | ||||||||
TOTAL COMMON STOCK (Cost $253,112,736) | 337,915,703 | |||||||
TOTAL EQUITIES (Cost $253,112,736) | 337,915,703 | |||||||
WARRANTS — 0.0% | ||||||||
Energy — 0.0% | ||||||||
Oil & Gas — 0.0% | ||||||||
Nabors Industries Ltd. (a) | 326 | 3,260 | ||||||
TOTAL WARRANTS (Cost $0) | 3,260 | |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Biotechnology — 0.0% | ||||||||
Aduro Biotech, Inc., CVR (a) (c) (d) | 1,859 | — | ||||||
Tobira Therapeutics Inc., CVR (a) (c) (d) | 1,376 | 10,471 | ||||||
Pharmaceuticals — 0.0% | ||||||||
GTx, Inc., CVR (a) (b) (c) (d) | 111 | — | ||||||
Omthera Pharmaceuticals Inc., CVR (a) (c) (d) | 428 | — | ||||||
10,471 | ||||||||
TOTAL RIGHTS (Cost $310) | 10,471 | |||||||
Principal Amount | ||||||||
BONDS & NOTES — 0.0% | ||||||||
CORPORATE DEBT — 0.0% | ||||||||
Diversified Financial Services — 0.0% | ||||||||
GAMCO Investors, Inc. | $ | 1,206 | 1,206 | |||||
TOTAL CORPORATE DEBT (Cost $1,206) | 1,206 | |||||||
TOTAL BONDS & NOTES (Cost $1,206) | 1,206 | |||||||
MM Russell 2000 Small Cap Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
MUTUAL FUNDS — 2.0% | ||||||||
Diversified Financial Services — 2.0% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) | 6,615,854 | $ | 6,615,854 | |||||
TOTAL MUTUAL FUNDS (Cost $6,615,854) | 6,615,854 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $259,730,106) | 344,546,494 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||||
Repurchase Agreement — 0.6% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (g) | $ | 2,000,940 | 2,000,940 | |||||
U.S. Treasury Bill — 0.3% | ||||||||
U.S. Treasury Bill | ||||||||
0.063% 7/15/21 (h) (i) | 1,155,000 | 1,154,981 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,155,913) | 3,155,921 | |||||||
TOTAL INVESTMENTS — 102.5% (Cost $262,886,019) (j) | 347,702,415 | |||||||
Other Assets/(Liabilities) — (2.5)% | (8,542,698) | |||||||
NET ASSETS — 100.0% | $ | 339,159,717 |
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 June 30, 2021, was $25,392,270 or 7.49% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $19,404,108 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 June 30, 2021, these securities amounted to a value of $10,471 or 0.00% of net assets. |
(e) | 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 June 30, 2021, the aggregate market value of these securities amounted to $420,411 or 0.12% of net assets. |
(f) | Represents investment of security lending cash collateral. (Note 2). |
(g) | Maturity value of $2,000,940. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $2,040,983. |
(h) | A portion of this security is pledged/held as collateral for open derivatives. |
(i) | The rate shown represents yield-to-maturity. |
(j) | 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 | 9/17/21 | 32 | $ | 3,703,282 | $ | (10,802) |
MassMutual Mid Cap Growth Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.5% | ||||||||
COMMON STOCK — 97.2% | ||||||||
Basic Materials — 1.0% | ||||||||
Chemicals — 0.6% | ||||||||
FMC Corp. | 133,410 | $ | 14,434,962 | |||||
RPM International, Inc. | 370,000 | 32,811,600 | ||||||
The Sherwin-Williams Co. | 49,905 | 13,596,617 | ||||||
60,843,179 | ||||||||
Mining — 0.4% | ||||||||
Kirkland Lake Gold Ltd. (a) | 857,000 | 33,020,210 | ||||||
93,863,389 | ||||||||
Communications — 6.2% | ||||||||
Internet — 5.1% | ||||||||
Bright Health Group, Inc. (b) | 325,903 | 5,592,495 | ||||||
Deliveroo Holdings PLC., Lockup Shares (Acquired 9/12/17-5/16/19, Cost $6,218,820) (b) (c) (d) | 3,494,800 | 13,245,171 | ||||||
Dragoneer Growth Opportunities Corp. (Acquired 3/15/21, Cost $2,417,020) (b) (c) (d) (e) | 241,702 | 2,166,617 | ||||||
Etsy, Inc. (b) | 284,000 | 58,458,560 | ||||||
Farfetch Ltd. Class A (b) | 465,000 | 23,417,400 | ||||||
IAC/InterActiveCorp (b) | 461,684 | 71,177,822 | ||||||
Match Group, Inc. (b) | 447,000 | 72,078,750 | ||||||
Okta, Inc. (a) (b) | 117,020 | 28,632,454 | ||||||
Palo Alto Networks, Inc. (b) | 89,790 | 33,316,580 | ||||||
Pinterest, Inc. Class A (b) | 278,000 | 21,948,100 | ||||||
Roku, Inc. (b) | 101,428 | 46,580,809 | ||||||
Spotify Technology SA (b) | 205,000 | 56,495,950 | ||||||
Squarespace, Inc. Class A (b) | 24,576 | 1,460,060 | ||||||
Twitter, Inc. (b) | 298,252 | 20,522,720 | ||||||
Vimeo, Inc. (b) | 887,644 | 43,494,556 | ||||||
498,588,044 | ||||||||
Media — 0.4% | ||||||||
Liberty Media Corp-Liberty Formula One Class C (b) | 733,000 | 35,337,930 | ||||||
Telecommunications — 0.7% | ||||||||
Corning, Inc. | 1,426,000 | 58,323,400 | ||||||
Gores Holdings V Inc. (Acquired 3/15/21, Cost $8,653,810) (b) (c) (d) (e) | 865,381 | 7,866,313 | ||||||
66,189,713 | ||||||||
600,115,687 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Consumer, Cyclical — 16.4% | ||||||||
Airlines — 0.9% | ||||||||
Alaska Air Group, Inc. (b) | 547,000 | $ | 32,989,570 | |||||
Azul SA (a) (b) | 596,461 | 15,746,571 | ||||||
Southwest Airlines Co. (b) | 754,000 | 40,029,860 | ||||||
88,766,001 | ||||||||
Apparel — 0.3% | ||||||||
VF Corp. | 324,000 | 26,580,960 | ||||||
Auto Parts & Equipment — 0.9% | ||||||||
Aptiv PLC (b) | 503,000 | 79,136,990 | ||||||
BorgWarner, Inc. | 289,830 | 14,068,348 | ||||||
93,205,338 | ||||||||
Distribution & Wholesale — 0.2% | ||||||||
Leslie's, Inc. (b) | 631,895 | 17,370,794 | ||||||
Entertainment — 2.3% | ||||||||
Caesars Entertainment, Inc. (b) | 1,057,315 | 109,696,431 | ||||||
DraftKings, Inc. Class A (a) (b) | 465,000 | 24,259,050 | ||||||
Live Nation Entertainment, Inc. (a) (b) | 459,698 | 40,264,948 | ||||||
Vail Resorts, Inc. (b) | 153,000 | 48,427,560 | ||||||
222,647,989 | ||||||||
Leisure Time — 0.4% | ||||||||
Planet Fitness, Inc. Class A (b) | 469,693 | 35,344,398 | ||||||
Lodging — 1.4% | ||||||||
Hilton Worldwide Holdings, Inc. (b) | 732,000 | 88,293,840 | ||||||
MGM Resorts International | 1,028,000 | 43,844,200 | ||||||
132,138,040 | ||||||||
Retail — 9.1% | ||||||||
Advance Auto Parts, Inc. | 195,259 | 40,055,431 | ||||||
Burlington Stores, Inc. (b) | 465,929 | 150,024,479 | ||||||
Carvana Co. (a) (b) | 53,118 | 16,032,075 | ||||||
Casey's General Stores, Inc. | 371,000 | 72,211,440 | ||||||
Chipotle Mexican Grill, Inc. (b) | 65,283 | 101,210,846 | ||||||
Darden Restaurants, Inc. | 167,091 | 24,393,615 | ||||||
Dollar General Corp. | 460,009 | 99,541,347 | ||||||
Dollar Tree, Inc. (b) | 598,000 | 59,501,000 | ||||||
Domino's Pizza, Inc. | 121,820 | 56,827,812 | ||||||
Five Below, Inc. (b) | 109,000 | 21,066,430 | ||||||
Floor & Decor Holdings, Inc. Class A (b) | 287,262 | 30,363,593 | ||||||
JAND, Inc., Class A (Acquired 11/19/20, Cost $365,174) (b) (c) (d) (f) | 14,855 | 364,402 | ||||||
Lululemon Athletica, Inc. (b) | 140,083 | 51,126,093 | ||||||
O'Reilly Automotive, Inc. (b) | 164,452 | 93,114,367 | ||||||
Ross Stores, Inc. | 536,802 | 66,563,448 | ||||||
882,396,378 | ||||||||
Toys, Games & Hobbies — 0.9% | ||||||||
Mattel, Inc. (b) | 4,388,003 | 88,198,860 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
$ | 1,586,648,758 | |||||||
Consumer, Non-cyclical — 31.0% | ||||||||
Beverages — 0.3% | ||||||||
The Boston Beer Co., Inc. Class A (b) | 30,000 | 30,624,000 | ||||||
Biotechnology — 4.4% | ||||||||
Alnylam Pharmaceuticals, Inc. (b) | 238,000 | 40,345,760 | ||||||
Argenx SE ADR (b) | 117,000 | 35,225,190 | ||||||
Ascendis Pharma A/S ADR (b) | 54,000 | 7,103,700 | ||||||
BioMarin Pharmaceutical, Inc. (b) | 114,935 | 9,590,176 | ||||||
Exact Sciences Corp. (b) | 478,671 | 59,503,592 | ||||||
Exelixis, Inc. (b) | 438,000 | 7,980,360 | ||||||
Guardant Health, Inc. (b) | 115,940 | 14,398,589 | ||||||
Horizon Therapeutics PLC (b) | 138,422 | 12,961,836 | ||||||
Illumina, Inc. (b) | 31,405 | 14,861,160 | ||||||
Incyte Corp. (b) | 823,817 | 69,307,724 | ||||||
Ionis Pharmaceuticals, Inc. (b) | 707,000 | 28,202,230 | ||||||
Kodiak Sciences, Inc. (a) (b) | 57,000 | 5,301,000 | ||||||
Moderna, Inc. (b) | 153,775 | 36,134,050 | ||||||
Seagen, Inc. (b) | 398,314 | 62,885,814 | ||||||
Ultragenyx Pharmaceutical, Inc. (b) | 188,000 | 17,925,800 | ||||||
421,726,981 | ||||||||
Commercial Services — 8.4% | ||||||||
Booz Allen Hamilton Holding Corp. | 151,946 | 12,942,760 | ||||||
Bright Horizons Family Solutions, Inc. (b) | 342,481 | 50,382,380 | ||||||
Cintas Corp. | 140,462 | 53,656,484 | ||||||
CoStar Group, Inc. (b) | 880,000 | 72,881,600 | ||||||
Dlocal Ltd. (b) | 229,743 | 12,068,400 | ||||||
Equifax, Inc. | 384,000 | 91,971,840 | ||||||
FleetCor Technologies, Inc. (b) | 317,000 | 81,171,020 | ||||||
Global Payments, Inc. | 240,962 | 45,190,013 | ||||||
Legalzoom.com Inc. (b) | 48,002 | 1,816,876 | ||||||
MarketAxess Holdings, Inc. | 86,000 | 39,868,740 | ||||||
Moody's Corp. | 42,964 | 15,568,865 | ||||||
Multiplan Corp. (a) (b) | 2,856,000 | 27,189,120 | ||||||
Quanta Services, Inc. | 348,949 | 31,604,311 | ||||||
Square, Inc. Class A (b) | 350,117 | 85,358,524 | ||||||
Terminix Global Holdings, Inc. (b) | 1,289,000 | 61,498,190 | ||||||
TransUnion | 791,000 | 86,859,710 | ||||||
Verisk Analytics, Inc. | 260,000 | 45,427,200 | ||||||
815,456,033 | ||||||||
Food — 0.3% | ||||||||
TreeHouse Foods, Inc. (b) | 654,000 | 29,116,080 | ||||||
Health Care – Products — 11.2% | ||||||||
Alcon, Inc. | 805,783 | 56,614,314 | ||||||
Align Technology, Inc. (b) | 57,585 | 35,184,435 | ||||||
Avantor, Inc. (b) | 2,700,000 | 95,877,000 | ||||||
Bruker Corp. | 1,776,000 | 134,940,480 | ||||||
The Cooper Cos., Inc. | 314,645 | 124,684,374 | ||||||
Dentsply Sirona, Inc. | 322,000 | 20,369,720 | ||||||
Edwards Lifesciences Corp. (b) | 121,335 | 12,566,666 | ||||||
Hologic, Inc. (b) | 2,678,942 | 178,739,010 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ICU Medical, Inc. (b) | 146,000 | $ | 30,046,800 | |||||
IDEXX Laboratories, Inc. (b) | 52,335 | 33,052,169 | ||||||
Insulet Corp. (b) | 104,476 | 28,679,707 | ||||||
Natera, Inc. (b) | 169,857 | 19,283,865 | ||||||
Novocure Ltd. (b) | 74,238 | 16,467,473 | ||||||
Quidel Corp. (a) (b) | 330,000 | 42,279,600 | ||||||
ResMed, Inc. | 38,025 | 9,373,923 | ||||||
Steris PLC | 95,105 | 19,620,162 | ||||||
Teleflex, Inc. | 441,297 | 177,308,722 | ||||||
West Pharmaceutical Services, Inc. | 129,000 | 46,323,900 | ||||||
1,081,412,320 | ||||||||
Health Care – Services — 3.4% | ||||||||
Acadia Healthcare Co., Inc. (b) | 965,000 | 60,553,750 | ||||||
agilon health, Inc. (b) | 259,000 | 10,507,630 | ||||||
Amedisys, Inc. (b) | 69,028 | 16,907,028 | ||||||
Catalent, Inc. (b) | 1,376,000 | 148,773,120 | ||||||
Humana, Inc. | 26,078 | 11,545,252 | ||||||
Molina Healthcare, Inc. (b) | 156,583 | 39,624,894 | ||||||
Ortho Clinical Diagnostics Holdings PLC Class H (b) | 895,000 | 19,161,950 | ||||||
PPD, Inc. (b) | 571,000 | 26,317,390 | ||||||
333,391,014 | ||||||||
Household Products & Wares — 0.9% | ||||||||
Avery Dennison Corp. | 317,000 | 66,646,080 | ||||||
Reynolds Consumer Products, Inc. | 738,000 | 22,398,300 | ||||||
89,044,380 | ||||||||
Pharmaceuticals — 2.1% | ||||||||
Alkermes PLC (b) | 1,297,000 | 31,802,440 | ||||||
DexCom, Inc. (b) | 53,373 | 22,790,271 | ||||||
Elanco Animal Health, Inc. (b) | 1,564,000 | 54,255,160 | ||||||
Neurocrine Biosciences, Inc. (b) | 277,000 | 26,957,640 | ||||||
Perrigo Co. PLC | 1,281,000 | 58,733,850 | ||||||
Sarepta Therapeutics, Inc. (b) | 141,794 | 11,023,066 | ||||||
205,562,427 | ||||||||
3,006,333,235 | ||||||||
Diversified — 0.0% | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
Dragoneer Growth Opportunities Corp. (a) (b) | 238,000 | 2,370,480 | ||||||
Energy — 0.2% | ||||||||
Energy – Alternate Sources — 0.1% | ||||||||
Array Technologies, Inc. (b) | 283,833 | 4,427,795 | ||||||
Shoals Technologies Group, Inc. Class A (b) | 366,000 | 12,993,000 | ||||||
17,420,795 | ||||||||
Oil & Gas — 0.1% | ||||||||
Venture Global LNG, Inc., Series B (Acquired 3/08/18, Cost $652,320) (b) (c) (d) (f) | 216 | 991,459 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Venture Global LNG, Inc., Series C (Acquired 10/16/17-3/08/18, Cost $4,872,708) (b) (c) (d) (f) | 1,328 | $ | 6,095,640 | |||||
7,087,099 | ||||||||
24,507,894 | ||||||||
Financial — 6.2% | ||||||||
Banks — 1.1% | ||||||||
SVB Financial Group (b) | 132,482 | 73,716,959 | ||||||
Webster Financial Corp. | 557,000 | 29,710,380 | ||||||
103,427,339 | ||||||||
Diversified Financial Services — 2.2% | ||||||||
Cboe Global Markets, Inc. | 602,000 | 71,668,100 | ||||||
LPL Financial Holdings, Inc. | 211,416 | 28,536,932 | ||||||
Raymond James Financial, Inc. | 139,000 | 18,056,100 | ||||||
SoFi Technologies, Inc., Lockup Shares (Acquired 12/30/20, Cost $14,592,045) (b) (c) (d) | 1,430,416 | 26,050,021 | ||||||
Tradeweb Markets, Inc. Class A | 806,000 | 68,155,360 | ||||||
212,466,513 | ||||||||
Insurance — 1.7% | ||||||||
Aon PLC Class A | 172,477 | 41,180,608 | ||||||
Assurant, Inc. | 380,000 | 59,348,400 | ||||||
Axis Capital Holdings Ltd. | 683,000 | 33,473,830 | ||||||
GoHealth, Inc. Class A (b) | 494,000 | 5,537,740 | ||||||
Kemper Corp. | 217,000 | 16,036,300 | ||||||
Selectquote, Inc. (b) | 326,000 | 6,278,760 | ||||||
161,855,638 | ||||||||
Private Equity — 1.2% | ||||||||
KKR & Co., Inc. | 2,050,813 | 121,490,162 | ||||||
599,239,652 | ||||||||
Industrial — 15.0% | ||||||||
Building Materials — 0.5% | ||||||||
Builders FirstSource, Inc. (b) | 317,676 | 13,552,058 | ||||||
Martin Marietta Materials, Inc. | 98,000 | 34,477,380 | ||||||
48,029,438 | ||||||||
Electronics — 4.5% | ||||||||
Agilent Technologies, Inc. | 1,252,717 | 185,164,100 | ||||||
Amphenol Corp. Class A | 738,066 | 50,491,095 | ||||||
Fortive Corp. | 868,000 | 60,534,320 | ||||||
Keysight Technologies, Inc. (b) | 598,000 | 92,337,180 | ||||||
National Instruments Corp. | 1,150,000 | 48,622,000 | ||||||
437,148,695 | ||||||||
Engineering & Construction — 0.3% | ||||||||
MasTec, Inc. (a) (b) | 246,763 | 26,181,554 | ||||||
Environmental Controls — 0.8% | ||||||||
Stericycle, Inc. (b) | 228,252 | 16,331,431 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Waste Connections, Inc. | 489,737 | $ | 58,489,290 | |||||
74,820,721 | ||||||||
Machinery – Construction & Mining — 0.5% | ||||||||
BWX Technologies, Inc. | 781,000 | 45,391,720 | ||||||
Machinery – Diversified — 3.0% | ||||||||
Cognex Corp. | 220,000 | 18,491,000 | ||||||
Colfax Corp. (b) | 1,626,000 | 74,487,060 | ||||||
IDEX Corp. | 354,000 | 77,897,700 | ||||||
Ingersoll Rand, Inc. (b) | 2,564,000 | 125,148,840 | ||||||
296,024,600 | ||||||||
Miscellaneous - Manufacturing — 1.5% | ||||||||
Textron, Inc. | 2,199,000 | 151,225,230 | ||||||
Packaging & Containers — 2.6% | ||||||||
Ball Corp. | 2,104,895 | 170,538,593 | ||||||
Packaging Corp. of America | 185,000 | 25,052,700 | ||||||
Sealed Air Corp. | 1,013,000 | 60,020,250 | ||||||
255,611,543 | ||||||||
Transportation — 1.3% | ||||||||
J.B. Hunt Transport Services, Inc. | 585,000 | 95,325,750 | ||||||
Knight-Swift Transportation Holdings, Inc. | 415,053 | 18,868,309 | ||||||
XPO Logistics, Inc. (b) | 82,311 | 11,514,486 | ||||||
125,708,545 | ||||||||
1,460,142,046 | ||||||||
Technology — 20.2% | ||||||||
Computers — 1.7% | ||||||||
Crowdstrike Holdings, Inc. Class A (b) | 164,000 | 41,214,840 | ||||||
Fortinet, Inc. (b) | 238,000 | 56,689,220 | ||||||
Genpact Ltd. | 402,945 | 18,305,791 | ||||||
KBR, Inc. | 355,084 | 13,546,455 | ||||||
Leidos Holdings, Inc. | 322,505 | 32,605,256 | ||||||
162,361,562 | ||||||||
Semiconductors — 6.9% | ||||||||
Advanced Micro Devices, Inc. (b) | 241,409 | 22,675,547 | ||||||
Cree, Inc. (b) | 226,499 | 22,181,047 | ||||||
Entegris, Inc. | 567,000 | 69,723,990 | ||||||
KLA Corp. | 291,710 | 94,575,299 | ||||||
Lam Research Corp. | 65,885 | 42,871,370 | ||||||
Lattice Semiconductor Corp. (b) | 207,000 | 11,629,260 | ||||||
Marvell Technology, Inc. | 2,442,368 | 142,463,325 | ||||||
Microchip Technology, Inc. | 1,348,381 | 201,906,571 | ||||||
Skyworks Solutions, Inc. | 321,000 | 61,551,750 | ||||||
669,578,159 | ||||||||
Software — 11.6% | ||||||||
Atlassian Corp. PLC Class A (b) | 268,692 | 69,016,227 | ||||||
Autodesk, Inc. (b) | 60,283 | 17,596,608 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Bill.com Holdings, Inc. (b) | 109,000 | $ | 19,966,620 | |||||
Black Knight, Inc. (b) | 697,000 | 54,352,060 | ||||||
Broadridge Financial Solutions, Inc. | 184,000 | 29,721,520 | ||||||
Ceridian HCM Holding, Inc. (b) | 731,000 | 70,117,520 | ||||||
Citrix Systems, Inc. | 324,000 | 37,995,480 | ||||||
Clarivate PLC (b) | 3,292,000 | 90,628,760 | ||||||
Clear Secure Inc. Class A (b) | 97,028 | 3,881,120 | ||||||
Confluent, Inc. Class A (a) (b) | 89,000 | 4,227,500 | ||||||
Coupa Software, Inc. (b) | 115,399 | 30,247,232 | ||||||
DocuSign, Inc. (b) | 366,000 | 102,322,620 | ||||||
Doximity, Inc. Class A (b) | 140,000 | 8,148,000 | ||||||
Five9, Inc. (b) | 238,454 | 43,730,079 | ||||||
HubSpot, Inc. (b) | 23,178 | 13,506,284 | ||||||
Jack Henry & Associates, Inc. | 92,000 | 15,042,920 | ||||||
MongoDB, Inc. (a) (b) | 91,172 | 32,960,502 | ||||||
MSCI, Inc. | 71,948 | 38,354,040 | ||||||
nCino, Inc. (b) | 184,000 | 11,025,280 | ||||||
Paycom Software, Inc. (b) | 138,858 | 50,470,717 | ||||||
Playtika Holding Corp. (b) | 518,000 | 12,349,120 | ||||||
Procore Technologies, Inc. (b) | 30,079 | 2,856,001 | ||||||
Procore Technologies, Inc., Lockup Shares (Acquired 7/15/20-12/09/20, Cost $2,972,913) (b) (c) (d) | 54,836 | 4,946,344 | ||||||
PTC, Inc. (b) | 245,000 | 34,608,700 | ||||||
Roper Technologies, Inc. | 136,000 | 63,947,200 | ||||||
SentinelOne Inc. Class A (b) | 121,114 | 5,147,345 | ||||||
Signify Health, Inc. Class A (b) | 747,059 | 22,733,005 | ||||||
Splunk, Inc. (b) | 205,914 | 29,771,046 | ||||||
Twilio, Inc. Class A (b) | 123,346 | 48,618,059 | ||||||
Veeva Systems, Inc. Class A (b) | 314,189 | 97,697,070 | ||||||
Workday, Inc. Class A (b) | 68,070 | 16,251,032 | ||||||
Zynga, Inc. Class A (b) | 4,430,000 | 47,090,900 | ||||||
1,129,326,911 | ||||||||
1,961,266,632 | ||||||||
Utilities — 1.0% | ||||||||
Electric — 1.0% | ||||||||
Ameren Corp. | 322,000 | 25,772,880 | ||||||
Eversource Energy | 184,000 | 14,764,159 | ||||||
Sempra Energy | 412,000 | 54,581,758 | ||||||
95,118,797 | ||||||||
TOTAL COMMON STOCK (Cost $6,245,973,278) | 9,429,606,570 | |||||||
PREFERRED STOCK — 1.3% | ||||||||
Consumer, Cyclical — 1.1% | ||||||||
Auto Manufacturers — 1.1% | ||||||||
Rivian Automotive, Inc., Series D (Acquired 12/23/19, Cost $11,560,694) (b) (c) (d) (f) | 1,076,014 | 75,385,541 | ||||||
Rivian Automotive, Inc., Series E (Acquired 7/10/20, Cost $6,096,028) (b) (c) (d) (f) | 393,546 | 27,571,833 | ||||||
102,957,374 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Retail — 0.0% | ||||||||
JAND, Inc., Series AA (Acquired 11/19/20, Cost $755,582) (b) (c) (d) (f) | 30,753 | $ | 754,390 | |||||
JAND, Inc., Series B (Acquired 11/19/20, Cost $1,010) (b) (c) (d) (f) | 41 | 1,006 | ||||||
755,396 | ||||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Commercial Services — 0.0% | ||||||||
Redwood Materials, Inc., Series C (Acquired 5/28/21, Cost $3,678,889) (b) (c) (d) (f) | 77,608 | 3,678,889 | ||||||
Wework Companies, Inc., Series D-1 (Acquired 12/09/14, Cost $1,394,302) (b) (c) (d) (f) | 83,736 | 716,734 | ||||||
Wework Companies, Inc., Series D-2 (Acquired 12/09/14, Cost $1,095,513) (b) (c) (d) (f) | 36,452 | 312,009 | ||||||
4,707,632 | ||||||||
Health Care – Services — 0.1% | ||||||||
Caris Life Sciences, Inc., Series D (Acquired 5/11/21, Cost $5,006,003) (b) (c) (d) (f) | 618,025 | 5,006,003 | ||||||
9,713,635 | ||||||||
Financial — 0.0% | ||||||||
Investment Companies — 0.0% | ||||||||
Maplebear, Inc., Series I (Acquired 2/26/21, Cost $1,765,375) (b) (c) (d) (f) | 14,123 | 1,765,375 | ||||||
Industrial — 0.1% | ||||||||
Electrical Components & Equipment — 0.1% | ||||||||
Sila Nanotechnologies, Inc., Series F (Acquired 1/07/21, Cost $7,310,569) (b) (c) (d) (f) | 177,128 | 7,310,569 | ||||||
Technology — 0.0% | ||||||||
Software — 0.0% | ||||||||
Databricks, Inc., Series G (Acquired 2/01/21, Cost $2,400,675) (b) (c) (d) (f) | 13,535 | 2,400,703 | ||||||
TOTAL PREFERRED STOCK (Cost $40,576,093) | 124,903,052 | |||||||
TOTAL EQUITIES (Cost $6,286,549,371) | 9,554,509,622 | |||||||
WARRANTS — 0.0% | ||||||||
Diversified — 0.0% | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
Pershing Square Tontine Holdings Ltd., Expires 7/24/25 (b) | 80,019 | 504,120 | ||||||
TOTAL WARRANTS (Cost $454,870) | 504,120 | |||||||
MUTUAL FUNDS — 0.5% | ||||||||
Diversified Financial Services — 0.5% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (g) | 52,343,015 | 52,343,015 |
MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TOTAL MUTUAL FUNDS (Cost $52,343,015) | $ | 52,343,015 | ||||||
TOTAL LONG-TERM INVESTMENTS (Cost $6,339,347,256) | 9,607,356,757 | |||||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||||
Mutual Fund — 1.1% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 103,877,547 | 103,877,547 | ||||||
Repurchase Agreement — 0.8% | Principal Amount | |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (h) | $ | 77,918,966 | 77,918,966 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $181,796,513) | 181,796,513 | |||||||
TOTAL INVESTMENTS — 100.9% (Cost $6,521,143,769) (i) | 9,789,153,270 | |||||||
Other Assets/(Liabilities) — (0.9)% | (86,542,499) | |||||||
NET ASSETS — 100.0% | $ | 9,702,610,771 |
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 June 30, 2021, was $178,367,453 or 1.84% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $129,909,969 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 June 30, 2021, these securities amounted to a value of $186,629,019 or 1.92% of net assets. |
(d) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $186,629,019 or 1.92% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(f) | Investment was valued using significant unobservable inputs. |
(g) | Represents investment of security lending cash collateral. (Note 2). |
(h) | Maturity value of $77,918,966. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $79,477,397. |
(i) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.0% | ||||||||
COMMON STOCK — 99.0% | ||||||||
Basic Materials — 1.9% | ||||||||
Chemicals — 1.7% | ||||||||
Amyris, Inc. (a) | 24,967 | $ | 408,710 | |||||
Cabot Corp. | 26,886 | 1,530,620 | ||||||
Danimer Scientific, Inc. (a) | 25,852 | 647,593 | ||||||
Element Solutions, Inc. | 119,515 | 2,794,261 | ||||||
Methanex Corp. (b) | 55,617 | 1,839,254 | ||||||
Olin Corp. | 75,221 | 3,479,723 | ||||||
Rogers Corp. (a) | 11,172 | 2,243,337 | ||||||
12,943,498 | ||||||||
Iron & Steel — 0.2% | ||||||||
Allegheny Technologies, Inc. (a) | 64,733 | 1,349,683 | ||||||
14,293,181 | ||||||||
Communications — 5.1% | ||||||||
Internet — 3.7% | ||||||||
Criteo SA Sponsored ADR (a) | 57,690 | 2,609,319 | ||||||
Figs, Inc. Class A (a) | 37,426 | 1,875,043 | ||||||
Magnite, Inc. (a) | 29,322 | 992,256 | ||||||
Mimecast Ltd. (a) | 46,938 | 2,490,061 | ||||||
Perficient, Inc. (a) | 89,637 | 7,208,608 | ||||||
Q2 Holdings, Inc. (a) | 22,536 | 2,311,743 | ||||||
RealReal, Inc. (a) | 202,865 | 4,008,612 | ||||||
Shutterstock, Inc. | 50,307 | 4,938,638 | ||||||
Squarespace, Inc. Class A (a) | 25,000 | 1,485,250 | ||||||
The Honest Company, Inc., Lockup Shares (Acquired 8/03/15, Cost $650,636) (a) (c) (d) | 30,058 | 470,107 | ||||||
28,389,637 | ||||||||
Media — 0.2% | ||||||||
The New York Times Co. Class A | 32,785 | 1,427,787 | ||||||
Telecommunications — 1.2% | ||||||||
Calix, Inc. (a) | 103,978 | 4,938,955 | ||||||
Ciena Corp. (a) | 32,115 | 1,827,022 | ||||||
Viavi Solutions, Inc. (a) | 129,290 | 2,283,261 | ||||||
9,049,238 | ||||||||
38,866,662 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Consumer, Cyclical — 15.6% | ||||||||
Apparel — 1.2% | ||||||||
Carter's, Inc. | 21,148 | $ | 2,181,839 | |||||
Deckers Outdoor Corp. (a) | 3,451 | 1,325,426 | ||||||
Oxford Industries, Inc. | 14,626 | 1,445,634 | ||||||
Steven Madden Ltd. | 54,398 | 2,380,456 | ||||||
Wolverine World Wide, Inc. | 44,860 | 1,509,090 | ||||||
8,842,445 | ||||||||
Auto Manufacturers — 0.3% | ||||||||
REV Group, Inc. | 126,733 | 1,988,441 | ||||||
Auto Parts & Equipment — 1.4% | ||||||||
Dana, Inc. | 134,931 | 3,205,961 | ||||||
Fox Factory Holding Corp. (a) | 21,735 | 3,383,270 | ||||||
Proterra, Inc. (a) (b) | 47,429 | 811,510 | ||||||
Visteon Corp. (a) | 28,622 | 3,461,545 | ||||||
10,862,286 | ||||||||
Distribution & Wholesale — 0.4% | ||||||||
SiteOne Landscape Supply, Inc. (a) | 18,969 | 3,210,693 | ||||||
Entertainment — 1.2% | ||||||||
Churchill Downs, Inc. | 17,156 | 3,401,348 | ||||||
Cinemark Holdings, Inc. (a) | 103,855 | 2,279,617 | ||||||
Penn National Gaming, Inc. (a) | 15,638 | 1,196,151 | ||||||
Red Rock Resorts, Inc. Class A (a) | 46,730 | 1,986,025 | ||||||
8,863,141 | ||||||||
Home Builders — 1.1% | ||||||||
Cavco Industries, Inc. (a) | 10,362 | 2,302,333 | ||||||
Skyline Champion Corp. (a) | 111,734 | 5,955,422 | ||||||
8,257,755 | ||||||||
Leisure Time — 2.1% | ||||||||
Acushnet Holdings Corp. | 48,203 | 2,381,228 | ||||||
Planet Fitness, Inc. Class A (a) | 56,343 | 4,239,811 | ||||||
Polaris, Inc. | 13,915 | 1,905,798 | ||||||
YETI Holdings, Inc. (a) | 79,594 | 7,308,321 | ||||||
15,835,158 | ||||||||
Lodging — 1.0% | ||||||||
Boyd Gaming Corp. (a) | 79,119 | 4,865,027 | ||||||
Travel + Leisure Co. | 45,323 | 2,694,453 | ||||||
7,559,480 | ||||||||
Retail — 6.9% | ||||||||
American Eagle Outfitters, Inc. (b) | 92,340 | 3,465,520 | ||||||
BJ's Restaurants, Inc. (a) | 36,304 | 1,783,979 | ||||||
Bloomin' Brands, Inc. (a) (b) | 94,783 | 2,572,411 | ||||||
Boot Barn Holdings, Inc. (a) | 18,844 | 1,583,838 | ||||||
Denny's Corp. (a) | 104,582 | 1,724,557 | ||||||
FirstCash, Inc. | 34,606 | 2,645,283 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Five Below, Inc. (a) | 21,153 | $ | 4,088,240 | |||||
Floor & Decor Holdings, Inc. Class A (a) | 25,911 | 2,738,793 | ||||||
Freshpet, Inc. (a) | 41,962 | 6,838,127 | ||||||
La-Z-Boy, Inc. | 33,452 | 1,239,062 | ||||||
Lithia Motors, Inc. | 12,498 | 4,294,813 | ||||||
Nu Skin Enterprises, Inc. Class A | 42,693 | 2,418,558 | ||||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 81,291 | 6,839,012 | ||||||
Rush Enterprises, Inc. Class A | 42,800 | 1,850,672 | ||||||
Texas Roadhouse, Inc. | 36,383 | 3,500,045 | ||||||
Wingstop, Inc. | 30,007 | 4,730,003 | ||||||
52,312,913 | ||||||||
117,732,312 | ||||||||
Consumer, Non-cyclical — 26.5% | ||||||||
Beverages — 0.4% | ||||||||
The Boston Beer Co., Inc. Class A (a) | 2,836 | 2,894,989 | ||||||
Biotechnology — 7.9% | ||||||||
Acceleron Pharma, Inc. (a) | 27,410 | 3,439,681 | ||||||
Akero Therapeutics, Inc. (a) (b) | 28,458 | 706,043 | ||||||
Allakos, Inc. (a) | 12,905 | 1,101,700 | ||||||
ALX Oncology Holdings, Inc. (a) | 43,340 | 2,369,831 | ||||||
Amicus Therapeutics, Inc. (a) | 175,569 | 1,692,485 | ||||||
Apellis Pharmaceuticals, Inc. (a) | 62,913 | 3,976,102 | ||||||
Arena Pharmaceuticals, Inc. (a) | 40,118 | 2,736,048 | ||||||
Arrowhead Pharmaceuticals, Inc. (a) | 13,330 | 1,103,991 | ||||||
Ascendis Pharma A/S ADR (a) | 9,435 | 1,241,174 | ||||||
Berkeley Lights, Inc. (a) (b) | 17,942 | 803,981 | ||||||
BioAtla, Inc. (a) | 37,728 | 1,598,913 | ||||||
Blueprint Medicines Corp. (a) | 16,817 | 1,479,223 | ||||||
Deciphera Pharmaceuticals, Inc. (a) | 21,827 | 799,086 | ||||||
Dicerna Pharmaceuticals, Inc. (a) | 29,434 | 1,098,477 | ||||||
Freeline Therapeutics Holdings PLC (a) | 27,351 | 222,911 | ||||||
Halozyme Therapeutics, Inc. (a) | 56,521 | 2,566,619 | ||||||
ImmunoGen, Inc. (a) | 119,872 | 789,956 | ||||||
Insmed, Inc. (a) | 18,075 | 514,415 | ||||||
Karuna Therapeutics, Inc. (a) | 6,636 | 756,438 | ||||||
Kodiak Sciences, Inc. (a) (b) | 29,947 | 2,785,071 | ||||||
Mersana Therapeutics, Inc. (a) | 109,414 | 1,485,842 | ||||||
NeoGenomics, Inc. (a) | 80,872 | 3,652,988 | ||||||
PTC Therapeutics, Inc. (a) | 25,231 | 1,066,514 | ||||||
RAPT Therapeutics, Inc. (a) | 26,627 | 846,472 | ||||||
Revolution Medicines, Inc. (a) | 52,784 | 1,675,364 | ||||||
Rocket Pharmaceuticals, Inc. (a) | 42,537 | 1,883,964 | ||||||
Sage Therapeutics, Inc. (a) | 13,189 | 749,267 | ||||||
TCR2 Therapeutics, Inc. (a) | 93,145 | 1,528,509 | ||||||
TG Therapeutics, Inc. (a) (b) | 101,809 | 3,949,171 | ||||||
Theravance Biopharma, Inc. (a) (b) | 49,440 | 717,869 | ||||||
Turning Point Therapeutics, Inc. (a) | 31,776 | 2,479,164 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 18,970 | 1,808,789 | ||||||
UroGen Pharma Ltd. (a) (b) | 53,685 | 819,770 | ||||||
Veracyte, Inc. (a) | 67,304 | 2,690,814 | ||||||
Y-mAbs Therapeutics, Inc. (a) | 80,140 | 2,708,732 | ||||||
59,845,374 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Commercial Services — 4.9% | ||||||||
2U, Inc. (a) (b) | 71,127 | $ | 2,963,862 | |||||
Avalara, Inc. (a) | 24,510 | 3,965,718 | ||||||
Chegg, Inc. (a) | 52,583 | 4,370,173 | ||||||
Cross Country Healthcare, Inc. (a) | 95,461 | 1,576,061 | ||||||
Green Dot Corp. Class A (a) | 40,911 | 1,916,680 | ||||||
HealthEquity, Inc. (a) | 11,500 | 925,520 | ||||||
Herc Holdings, Inc. (a) | 35,982 | 4,032,503 | ||||||
Legalzoom.com Inc. (a) | 3,400 | 128,690 | ||||||
LiveRamp Holdings, Inc. (a) | 44,896 | 2,103,378 | ||||||
Multiplan Corp. (a) (b) | 281,251 | 2,677,509 | ||||||
Paylocity Holding Corp. (a) | 14,150 | 2,699,820 | ||||||
Repay Holdings Corp. (a) | 100,442 | 2,414,626 | ||||||
Shift4 Payments, Inc. Class A (a) | 20,998 | 1,967,933 | ||||||
Textainer Group Holdings Ltd. (a) (b) | 48,061 | 1,623,020 | ||||||
TriNet Group, Inc. (a) | 46,577 | 3,375,901 | ||||||
36,741,394 | ||||||||
Food — 0.9% | ||||||||
BellRing Brands, Inc. Class A (a) | 73,178 | 2,293,399 | ||||||
Performance Food Group Co. (a) | 42,554 | 2,063,443 | ||||||
Sanderson Farms, Inc. | 12,914 | 2,427,445 | ||||||
6,784,287 | ||||||||
Health Care – Products — 7.6% | ||||||||
Avanos Medical, Inc. (a) | 50,595 | 1,840,140 | ||||||
Axonics Inc. (a) (b) | 41,737 | 2,646,543 | ||||||
Bio-Techne Corp. | 8,107 | 3,650,258 | ||||||
CareDx, Inc. (a) | 39,424 | 3,608,084 | ||||||
Glaukos Corp. (a) | 12,905 | 1,094,731 | ||||||
Globus Medical, Inc. Class A (a) | 94,860 | 7,354,496 | ||||||
Haemonetics Corp. (a) | 28,456 | 1,896,308 | ||||||
Hill-Rom Holdings, Inc. | 20,997 | 2,385,049 | ||||||
Inari Medical, Inc. (a) | 19,066 | 1,778,476 | ||||||
Inspire Medical Systems, Inc. (a) | 28,783 | 5,562,603 | ||||||
Integra LifeSciences Holdings Corp. (a) | 37,395 | 2,551,835 | ||||||
Masimo Corp. (a) | 10,863 | 2,633,734 | ||||||
NanoString Technologies, Inc. (a) | 19,054 | 1,234,509 | ||||||
Omnicell, Inc. (a) | 29,967 | 4,538,502 | ||||||
Penumbra, Inc. (a) | 10,303 | 2,823,640 | ||||||
Quanterix Corp. (a) | 14,797 | 867,992 | ||||||
Repligen Corp. (a) | 31,552 | 6,298,410 | ||||||
Shockwave Medical, Inc. (a) | 6,790 | 1,288,267 | ||||||
Tandem Diabetes Care, Inc. (a) | 36,629 | 3,567,665 | ||||||
57,621,242 | ||||||||
Health Care – Services — 3.8% | ||||||||
Acadia Healthcare Co., Inc. (a) | 42,854 | 2,689,089 | ||||||
Accolade, Inc. (a) (b) | 56,034 | 3,043,207 | ||||||
Amedisys, Inc. (a) | 21,050 | 5,155,776 | ||||||
LHC Group, Inc. (a) | 28,735 | 5,754,471 | ||||||
Medpace Holdings, Inc. (a) | 41,334 | 7,300,824 | ||||||
Oak Street Health, Inc. (a) (b) | 40,725 | 2,385,263 | ||||||
Surgery Partners, Inc. (a) | 40,068 | 2,669,330 | ||||||
28,997,960 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Pharmaceuticals — 1.0% | ||||||||
Heron Therapeutics, Inc. (a) (b) | 99,863 | $ | 1,549,874 | |||||
Intellia Therapeutics, Inc. (a) | 7,378 | 1,194,572 | ||||||
KalVista Pharmaceuticals, Inc. (a) | 39,518 | 946,851 | ||||||
Kura Oncology, Inc. (a) | 33,355 | 695,452 | ||||||
Myovant Sciences Ltd. (a) (b) | 44,858 | 1,021,416 | ||||||
Owens & Minor, Inc. | 32,300 | 1,367,259 | ||||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 5,024 | 711,047 | ||||||
7,486,471 | ||||||||
200,371,717 | ||||||||
Energy — 1.9% | ||||||||
Energy – Alternate Sources — 1.2% | ||||||||
Atlantica Sustainable Infrastructure PLC (b) | 64,373 | 2,395,963 | ||||||
First Solar, Inc. (a) | 26,589 | 2,406,570 | ||||||
Maxeon Solar Technologies Ltd. (a) | 138,253 | 2,962,762 | ||||||
Stem, Inc. (a) | 21,914 | 789,123 | ||||||
SunPower Corp. (a) | 23,021 | 672,674 | ||||||
9,227,092 | ||||||||
Oil & Gas — 0.7% | ||||||||
Delek US Holdings, Inc. | 50,400 | 1,089,648 | ||||||
Matador Resources Co. | 21,252 | 765,285 | ||||||
Viper Energy Partners LP (g) | 96,975 | 1,826,039 | ||||||
Whiting Petroleum Corp. (a) | 21,714 | 1,184,499 | ||||||
4,865,471 | ||||||||
14,092,563 | ||||||||
Financial — 11.7% | ||||||||
Banks — 3.5% | ||||||||
Ameris Bancorp | 88,689 | 4,490,324 | ||||||
Atlantic Union Bankshares Corp. | 70,785 | 2,563,833 | ||||||
BancorpSouth Bank | 74,123 | 2,099,905 | ||||||
First Interstate BancSystem, Inc. Class A | 47,789 | 1,999,014 | ||||||
Great Western Bancorp, Inc. | 68,566 | 2,248,279 | ||||||
National Bank Holdings Corp. Class A | 68,356 | 2,579,755 | ||||||
Pinnacle Financial Partners, Inc. | 34,161 | 3,016,075 | ||||||
Seacoast Banking Corp. of Florida | 72,076 | 2,461,395 | ||||||
Silvergate Capital Corp. Class A (a) | 9,214 | 1,044,130 | ||||||
Simmons First National Corp. Class A | 81,297 | 2,385,254 | ||||||
Western Alliance Bancorp | 20,176 | 1,873,342 | ||||||
26,761,306 | ||||||||
Diversified Financial Services — 2.8% | ||||||||
Air Lease Corp. | 48,269 | 2,014,748 | ||||||
Artisan Partners Asset Management, Inc. Class A | 20,961 | 1,065,238 | ||||||
Cohen & Steers, Inc. | 20,416 | 1,675,949 | ||||||
Evercore, Inc. Class A | 17,464 | 2,458,407 | ||||||
Hamilton Lane, Inc. Class A | 53,840 | 4,905,901 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b) | 73,452 | 4,124,330 | ||||||
LPL Financial Holdings, Inc. | 17,609 | 2,376,863 | ||||||
PRA Group, Inc. (a) | 60,370 | 2,322,434 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
StepStone Group, Inc. Class A | 5,200 | $ | 178,880 | |||||
21,122,750 | ||||||||
Insurance — 1.7% | ||||||||
Assured Guaranty Ltd. | 52,286 | 2,482,539 | ||||||
Kemper Corp. | 22,306 | 1,648,413 | ||||||
Kinsale Capital Group, Inc. | 12,201 | 2,010,359 | ||||||
MGIC Investment Corp. | 174,430 | 2,372,248 | ||||||
Selective Insurance Group, Inc. | 33,418 | 2,711,871 | ||||||
SiriusPoint Ltd. (a) | 177,415 | 1,786,569 | ||||||
13,011,999 | ||||||||
Real Estate — 0.5% | ||||||||
McGrath RentCorp | 30,896 | 2,520,187 | ||||||
Redfin Corp. (a) (b) | 19,739 | 1,251,650 | ||||||
3,771,837 | ||||||||
Real Estate Investment Trusts (REITS) — 2.6% | ||||||||
Essential Properties Realty Trust, Inc. | 171,787 | 4,645,120 | ||||||
JBG SMITH Properties | 66,375 | 2,091,476 | ||||||
Life Storage, Inc. | 21,207 | 2,276,571 | ||||||
PotlatchDeltic Corp. | 36,811 | 1,956,505 | ||||||
PS Business Parks, Inc. | 14,126 | 2,091,778 | ||||||
Ryman Hospitality Properties, Inc. (a) | 30,332 | 2,395,015 | ||||||
Xenia Hotels & Resorts, Inc. (a) | 236,209 | 4,424,195 | ||||||
19,880,660 | ||||||||
Savings & Loans — 0.6% | ||||||||
Sterling Bancorp | 171,663 | 4,255,526 | ||||||
88,804,078 | ||||||||
Industrial — 16.6% | ||||||||
Aerospace & Defense — 0.5% | ||||||||
Mercury Systems, Inc. (a) | 22,700 | 1,504,556 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 45,141 | 2,130,204 | ||||||
3,634,760 | ||||||||
Building Materials — 2.5% | ||||||||
The AZEK Co., Inc (a) | 38,889 | 1,651,227 | ||||||
Builders FirstSource, Inc. (a) | 59,935 | 2,556,827 | ||||||
Gibraltar Industries, Inc. (a) | 29,898 | 2,281,516 | ||||||
Louisiana-Pacific Corp. | 66,579 | 4,014,048 | ||||||
Patrick Industries, Inc. | 28,176 | 2,056,848 | ||||||
SPX Corp. (a) | 26,522 | 1,619,964 | ||||||
Trex Co., Inc. (a) | 46,646 | 4,767,688 | ||||||
18,948,118 | ||||||||
Electrical Components & Equipment — 0.9% | ||||||||
EnerSys | 26,737 | 2,613,007 | ||||||
Novanta, Inc. (a) | 33,842 | 4,560,548 | ||||||
7,173,555 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Electronics — 0.6% | ||||||||
II-VI, Inc. (a) (b) | 59,274 | $ | 4,302,700 | |||||
Engineering & Construction — 0.7% | ||||||||
Fluor Corp. (a) (b) | 205,565 | 3,638,501 | ||||||
TopBuild Corp. (a) | 7,803 | 1,543,277 | ||||||
5,181,778 | ||||||||
Environmental Controls — 0.7% | ||||||||
Casella Waste Systems, Inc. Class A (a) | 43,440 | 2,755,399 | ||||||
Clean Harbors, Inc. (a) | 26,459 | 2,464,391 | ||||||
5,219,790 | ||||||||
Hand & Machine Tools — 0.7% | ||||||||
Kennametal, Inc. | 68,553 | 2,462,424 | ||||||
Regal Beloit Corp. | 21,520 | 2,873,135 | ||||||
5,335,559 | ||||||||
Machinery – Construction & Mining — 0.1% | ||||||||
Argan, Inc. | 10,108 | 483,061 | ||||||
Machinery – Diversified — 5.0% | ||||||||
Albany International Corp. Class A | 24,318 | 2,170,625 | ||||||
Altra Industrial Motion Corp. | 85,060 | 5,530,601 | ||||||
Applied Industrial Technologies, Inc. | 36,252 | 3,301,107 | ||||||
Chart Industries, Inc. (a) | 42,903 | 6,277,567 | ||||||
Colfax Corp. (a) | 46,319 | 2,121,873 | ||||||
Curtiss-Wright Corp. | 19,250 | 2,286,130 | ||||||
Hydrofarm Holdings Group, Inc. (a) | 31,609 | 1,868,408 | ||||||
Kornit Digital Ltd. (a) | 60,460 | 7,516,992 | ||||||
The Middleby Corp. (a) | 15,969 | 2,766,789 | ||||||
Ranpak Holdings Corp. (a) | 43,137 | 1,079,719 | ||||||
SPX FLOW, Inc. | 50,038 | 3,264,479 | ||||||
38,184,290 | ||||||||
Metal Fabricate & Hardware — 1.6% | ||||||||
Advanced Drainage Systems, Inc. | 49,787 | 5,803,670 | ||||||
Helios Technologies, Inc. | 30,797 | 2,403,706 | ||||||
Rexnord Corp. | 64,497 | 3,227,430 | ||||||
Xometry, Inc. Class A (a) | 8,625 | 753,739 | ||||||
12,188,545 | ||||||||
Miscellaneous - Manufacturing — 1.5% | ||||||||
Enerpac Tool Group Corp. | 84,920 | 2,260,570 | ||||||
Federal Signal Corp. | 64,330 | 2,587,996 | ||||||
ITT, Inc. | 49,305 | 4,515,845 | ||||||
John Bean Technologies Corp. | 13,089 | 1,866,753 | ||||||
11,231,164 | ||||||||
Packaging & Containers — 0.3% | ||||||||
Graphic Packaging Holding Co. | 133,961 | 2,430,053 | ||||||
Transportation — 1.2% | ||||||||
CryoPort, Inc. (a) (b) | 36,294 | 2,290,152 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Kirby Corp. (a) | 32,238 | $ | 1,954,912 | |||||
Saia, Inc. (a) | 21,517 | 4,507,596 | ||||||
8,752,660 | ||||||||
Trucking & Leasing — 0.3% | ||||||||
GATX Corp. | 23,290 | 2,060,466 | ||||||
125,126,499 | ||||||||
Technology — 19.4% | ||||||||
Computers — 3.6% | ||||||||
CyberArk Software Ltd. (a) | 19,164 | 2,496,494 | ||||||
Globant SA (a) | 14,953 | 3,277,399 | ||||||
PAR Technology Corp. (a) (b) | 39,514 | 2,763,609 | ||||||
Rapid7, Inc. (a) | 81,535 | 7,715,657 | ||||||
Telos Corp. (a) | 69,683 | 2,369,919 | ||||||
Varonis Systems, Inc. (a) | 155,390 | 8,953,572 | ||||||
27,576,650 | ||||||||
Semiconductors — 5.7% | ||||||||
ACM Research, Inc. Class A (a) (b) | 20,246 | 2,069,546 | ||||||
Ambarella, Inc. (a) | 26,220 | 2,795,838 | ||||||
Entegris, Inc. | 24,924 | 3,064,904 | ||||||
FormFactor, Inc. (a) | 100,681 | 3,670,829 | ||||||
Lattice Semiconductor Corp. (a) | 128,422 | 7,214,748 | ||||||
MACOM Technology Solutions Holdings, Inc. (a) | 47,421 | 3,038,738 | ||||||
MKS Instruments, Inc. | 42,764 | 7,609,854 | ||||||
Nova Measuring Instruments Ltd. (a) (b) | 16,876 | 1,736,372 | ||||||
Power Integrations, Inc. | 39,852 | 3,270,255 | ||||||
Synaptics, Inc. (a) | 11,400 | 1,773,612 | ||||||
Tower Semiconductor Ltd. (a) | 221,234 | 6,510,917 | ||||||
42,755,613 | ||||||||
Software — 10.1% | ||||||||
1Life Healthcare, Inc. (a) | 20,924 | 691,747 | ||||||
Bandwidth, Inc. Class A (a) (b) | 45,744 | 6,309,013 | ||||||
Bill.com Holdings, Inc. (a) | 12,811 | 2,346,719 | ||||||
Cardlytics, Inc. (a) (b) | 47,395 | 6,015,847 | ||||||
Cerence, Inc. (a) (b) | 28,176 | 3,006,661 | ||||||
Clear Secure Inc. Class A (a) | 6,126 | 245,040 | ||||||
Cloudera, Inc. (a) | 186,747 | 2,961,807 | ||||||
Digital Turbine, Inc. (a) | 58,286 | 4,431,485 | ||||||
Doximity, Inc. Class A (a) | 8,607 | 500,927 | ||||||
Five9, Inc. (a) | 23,199 | 4,254,465 | ||||||
Health Catalyst, Inc. (a) | 41,678 | 2,313,546 | ||||||
j2 Global, Inc. (a) (b) | 22,769 | 3,131,876 | ||||||
Jamf Holding Corp. (a) | 67,982 | 2,282,156 | ||||||
Latch, Inc., Lockup Shares (Acquired 6/04/21, Cost $1,454,230) (a) (c) (d) | 145,423 | 1,707,266 | ||||||
Lightspeed POS, Inc. (a) | 35,746 | 2,988,723 | ||||||
Manhattan Associates, Inc. (a) | 57,598 | 8,342,494 | ||||||
MarkLogic Corp. (Escrow Shares) (Acquired 11/11/20, Cost $25,755) (a) (c) (d) (e) | 77,018 | 1,001 | ||||||
Momentive Global, Inc. (a) | 105,376 | 2,220,272 | ||||||
Monday.com Ltd. (a) | 2,924 | 653,777 | ||||||
New Relic, Inc. (a) (b) | 27,258 | 1,825,468 | ||||||
Paymentus Holdings, Inc. (a) | 14,395 | 511,023 |
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Payoneer Global, Inc., Lockup Shares (Acquired 2/03/21, Cost $255,000) (a) (c) (d) | 25,500 | $ | 251,539 | |||||
Phreesia, Inc. (a) | 38,093 | 2,335,101 | ||||||
Porch Group, Inc. (Acquired 12/23/20, Cost $798,940) (a) (c) (d) | 79,894 | 1,524,378 | ||||||
Porch Group, Inc. (a) | 26,692 | 516,223 | ||||||
SailPoint Technologies Holding, Inc. (a) (b) | 51,406 | 2,625,304 | ||||||
SentinelOne Inc. Class A (a) | 2,200 | 93,500 | ||||||
Signify Health, Inc. Class A (a) | 33,822 | 1,029,204 | ||||||
Sprout Social, Inc. Class A (a) | 60,239 | 5,386,571 | ||||||
Verra Mobility Corp. (a) | 177,557 | 2,729,051 | ||||||
Zynga, Inc. Class A (a) | 303,060 | 3,221,528 | ||||||
76,453,712 | ||||||||
146,785,975 | ||||||||
Utilities — 0.3% | ||||||||
Electric — 0.3% | ||||||||
Portland General Electric Co. | 49,246 | 2,269,256 | ||||||
TOTAL COMMON STOCK (Cost $562,326,447) | 748,342,243 | |||||||
TOTAL EQUITIES (Cost $562,326,447) | 748,342,243 | |||||||
RIGHTS — 0.0% | ||||||||
Financial — 0.0% | ||||||||
Diversified Financial Services — 0.0% | ||||||||
Decarbonization Plus Acquisition Corp. (Acquired 2/09/21, Cost $0) (a) (c) (d) (e) | 64,700 | — | ||||||
One (Acquired 2/24/21, Cost $0) (a) (c) (d) (e) | 178,500 | — | ||||||
TOTAL RIGHTS (Cost $0) | — | |||||||
MUTUAL FUNDS — 1.9% | ||||||||
Diversified Financial Services — 1.9% | ||||||||
iShares Russell 2000 ETF | 9,917 | 2,274,663 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) | 11,719,533 | 11,719,533 | ||||||
TOTAL MUTUAL FUNDS (Cost $13,971,284) | 13,994,196 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $576,297,731) | 762,336,439 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||||
Repurchase Agreement — 0.7% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (h) | $ | 5,412,716 | $ | 5,412,716 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,412,716) | 5,412,716 | |||||||
MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
TOTAL INVESTMENTS — 101.6% (Cost $581,710,447) (i) | $ | 767,749,155 | ||||||
Other Assets/(Liabilities) — (1.6)% | (12,225,093) | |||||||
NET ASSETS — 100.0% | $ | 755,524,062 |
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) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $67,363,799 or 8.92% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $57,348,929 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 June 30, 2021, these securities amounted to a value of $3,954,291 or 0.52% of net assets. |
(d) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $3,954,291 or 0.52% 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) | Security is a Master Limited Partnership. |
(h) | Maturity value of $5,412,716. Collateralized by U.S. Government Agency obligations with rates ranging from 0.125% - 0.375%, maturity dates ranging from 4/15/25 - 7/15/25, and an aggregate market value, including accrued interest, of $5,521,017. |
(i) | See Note 3 for aggregate cost for federal tax purposes. |
MM MSCI EAFE International Index Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 96.6% | ||||||||
COMMON STOCK — 96.0% | ||||||||
Australia — 6.8% | ||||||||
Afterpay Ltd. (a) | 2,689 | $ | 237,966 | |||||
The AGL Energy Ltd. | 7,234 | 44,366 | ||||||
Ampol Ltd. | 2,912 | 61,625 | ||||||
APA Group | 14,397 | 95,922 | ||||||
Aristocrat Leisure Ltd. | 6,998 | 226,096 | ||||||
ASX Ltd. | 2,367 | 137,979 | ||||||
Aurizon Holdings Ltd. | 23,803 | 66,448 | ||||||
AusNet Services Ltd. | 22,416 | 29,362 | ||||||
Australia & New Zealand Banking Group Ltd. | 34,384 | 724,288 | ||||||
BHP Group Ltd. | 35,642 | 1,292,841 | ||||||
BlueScope Steel Ltd. | 5,625 | 92,452 | ||||||
Brambles Ltd. | 17,946 | 153,944 | ||||||
Cochlear Ltd. | 805 | 151,989 | ||||||
Coles Group Ltd. | 16,362 | 209,757 | ||||||
Commonwealth Bank of Australia | 21,478 | 1,606,191 | ||||||
Computershare Ltd. | 6,056 | 77,024 | ||||||
Crown Resorts Ltd. (a) | 4,509 | 40,333 | ||||||
CSL Ltd. | 5,498 | 1,176,174 | ||||||
Dexus | 12,765 | 101,764 | ||||||
Domino's Pizza Enterprises Ltd. | 743 | 67,170 | ||||||
Endeavour Group Ltd. (a) (b) | 15,205 | 71,725 | ||||||
Evolution Mining Ltd. | 20,954 | 70,945 | ||||||
Fortescue Metals Group Ltd. | 20,755 | 363,243 | ||||||
Goodman Group | 20,433 | 322,842 | ||||||
The GPT Group | 21,615 | 79,156 | ||||||
Insurance Australia Group Ltd. | 30,483 | 117,597 | ||||||
Lendlease Corp Ltd. | 7,587 | 65,219 | ||||||
Macquarie Group Ltd. | 4,123 | 483,580 | ||||||
Magellan Financial Group Ltd. | 1,634 | 66,022 | ||||||
Medibank Pvt. Ltd. | 33,970 | 80,454 | ||||||
Mirvac Group | 49,515 | 107,934 | ||||||
National Australia Bank Ltd. | 39,831 | 781,785 | ||||||
Newcrest Mining Ltd. | 10,012 | 190,386 | ||||||
Northern Star Resources Ltd. | 13,409 | 98,664 | ||||||
Orica Ltd. | 5,221 | 52,022 | ||||||
Origin Energy Ltd. | 21,305 | 71,754 | ||||||
Qantas Airways Ltd. (a) | 11,575 | 40,583 | ||||||
QBE Insurance Group Ltd. | 18,043 | 145,502 | ||||||
Ramsay Health Care Ltd. | 2,237 | 105,443 | ||||||
REA Group Ltd. | 575 | 72,917 | ||||||
Reece Ltd. | 3,596 | 63,865 | ||||||
Rio Tinto Ltd. | 4,549 | 432,078 | ||||||
Santos Ltd. | 22,935 | 122,344 | ||||||
Scentre Group | 63,066 | 128,983 | ||||||
SEEK Ltd. | 4,025 | 100,065 | ||||||
Sonic Healthcare Ltd. | 5,465 | 157,346 | ||||||
South32 Ltd. | 58,367 | 128,246 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Stockland | 29,016 | $ | 101,939 | |||||
Suncorp Group Ltd. | 15,653 | 130,048 | ||||||
Sydney Airport (a) | 15,730 | 68,323 | ||||||
Tabcorp Holdings Ltd. | 25,053 | 97,064 | ||||||
Telstra Corp. Ltd. | 51,085 | 144,074 | ||||||
Transurban Group | 32,728 | 350,076 | ||||||
Treasury Wine Estates Ltd. | 8,820 | 77,242 | ||||||
Vicinity Centres | 48,045 | 55,440 | ||||||
Washington H Soul Pattinson & Co. Ltd. (b) | 1,298 | 32,845 | ||||||
Wesfarmers Ltd. | 13,654 | 604,902 | ||||||
Westpac Banking Corp. | 44,365 | 854,914 | ||||||
WiseTech Global Ltd. | 1,913 | 45,784 | ||||||
Woodside Petroleum Ltd. | 11,782 | 196,327 | ||||||
Woolworths Group Ltd. | 15,205 | 434,274 | ||||||
14,307,643 | ||||||||
Austria — 0.2% | ||||||||
Erste Group Bank AG | 3,212 | 117,743 | ||||||
OMV AG | 1,788 | 102,003 | ||||||
Raiffeisen Bank International AG | 1,797 | 40,660 | ||||||
Verbund AG | 858 | 78,980 | ||||||
voestalpine AG | 1,417 | 57,703 | ||||||
397,089 | ||||||||
Belgium — 0.9% | ||||||||
Ageas SA | 2,136 | 118,462 | ||||||
Anheuser-Busch InBev SA | 9,191 | 661,883 | ||||||
Elia Group SA/NV | 383 | 40,412 | ||||||
Etablissements Franz Colruyt NV | 676 | 37,806 | ||||||
Groupe Bruxelles Lambert SA | 1,357 | 151,779 | ||||||
KBC Group NV | 3,054 | 232,633 | ||||||
Proximus SADP | 1,822 | 35,205 | ||||||
Sofina SA | 188 | 81,130 | ||||||
Solvay SA | 848 | 107,965 | ||||||
UCB SA | 1,544 | 161,431 | ||||||
Umicore SA | 2,413 | 147,510 | ||||||
1,776,216 | ||||||||
Bermuda — 0.1% | ||||||||
CK Infrastructure Holdings Ltd. | 8,000 | 47,706 | ||||||
Hongkong Land Holdings Ltd. | 14,200 | 67,644 | ||||||
Jardine Matheson Holdings Ltd. | 2,600 | 166,321 | ||||||
281,671 | ||||||||
Cayman Islands — 0.6% | ||||||||
Budweiser Brewing Co. APAC Ltd. (c) | 21,025 | 66,178 | ||||||
Chow Tai Fook Jewellery Group Ltd. | 24,400 | 55,751 | ||||||
CK Asset Holdings Ltd. | 24,745 | 170,824 | ||||||
CK Hutchison Holdings Ltd. | 31,745 | 247,359 | ||||||
ESR Cayman Ltd. (a) (c) | 23,600 | 79,639 | ||||||
Futu Holdings Ltd. ADR (a) | 616 | 110,319 | ||||||
Melco Resorts & Entertainment Ltd. ADR (a) | 2,717 | 45,021 | ||||||
Sands China Ltd. (a) | 27,600 | 116,244 | ||||||
Sea Ltd. ADR (a) | 172 | 47,231 | ||||||
WH Group Ltd. (c) | 117,072 | 105,249 | ||||||
Wharf Real Estate Investment Co. Ltd. | 20,000 | 116,305 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Wynn Macau Ltd. (a) | 19,600 | $ | 30,845 | |||||
Xinyi Glass Holdings Co. Ltd. | 22,000 | 89,680 | ||||||
1,280,645 | ||||||||
Denmark — 2.5% | ||||||||
Ambu A/S Class B | 2,054 | 78,942 | ||||||
AP Moller - Maersk A/S Class A | 39 | 108,377 | ||||||
AP Moller - Maersk A/S Class B | 75 | 215,685 | ||||||
Carlsberg A/S Class B | 1,255 | 234,293 | ||||||
Chr Hansen Holding A/S | 1,298 | 117,165 | ||||||
Coloplast A/S Class B | 1,450 | 238,044 | ||||||
Danske Bank A/S | 8,442 | 148,410 | ||||||
Demant A/S (a) | 1,191 | 67,232 | ||||||
DSV PANALPINA A/S | 2,492 | 581,024 | ||||||
Genmab A/S (a) | 779 | 317,740 | ||||||
GN Store Nord A/S | 1,565 | 137,043 | ||||||
Novo Nordisk A/S Class B | 20,813 | 1,741,258 | ||||||
Novozymes A/S Class B | 2,546 | 192,140 | ||||||
Orsted A/S (c) | 2,317 | 325,963 | ||||||
Pandora A/S | 1,233 | 166,144 | ||||||
ROCKWOOL International A/S Class B | 100 | 48,800 | ||||||
Tryg A/S | 4,387 | 107,666 | ||||||
Vestas Wind Systems A/S | 12,108 | 474,476 | ||||||
5,300,402 | ||||||||
Finland — 1.2% | ||||||||
Elisa OYJ | 1,735 | 103,523 | ||||||
Fortum OYJ | 5,414 | 149,319 | ||||||
Kesko OYJ Class B | 3,279 | 121,125 | ||||||
Kone OYJ Class B | 4,074 | 332,388 | ||||||
Neste OYJ | 5,057 | 309,839 | ||||||
Nokia OYJ (a) | 65,988 | 353,373 | ||||||
Nordea Bank Abp | 39,048 | 434,478 | ||||||
Orion OYJ Class B | 1,311 | 56,357 | ||||||
Sampo OYJ Class A | 6,094 | 280,245 | ||||||
Stora Enso OYJ Class R | 7,132 | 130,185 | ||||||
UPM-Kymmene OYJ | 6,262 | 236,897 | ||||||
Wartsila OYJ Abp | 5,587 | 82,996 | ||||||
2,590,725 | ||||||||
France — 10.3% | ||||||||
Accor SA (a) | 2,054 | 76,750 | ||||||
Aeroports de Paris (a) | 374 | 48,755 | ||||||
Air Liquide SA | 5,740 | 1,005,786 | ||||||
Alstom SA (a) | 3,415 | 172,562 | ||||||
Amundi SA (c) | 765 | 67,398 | ||||||
Arkema SA | 749 | 94,038 | ||||||
Atos SE | 1,194 | 72,663 | ||||||
AXA SA | 23,289 | 590,002 | ||||||
BioMerieux | 506 | 58,811 | ||||||
BNP Paribas SA | 13,607 | 852,126 | ||||||
Bollore SA | 9,232 | 49,507 | ||||||
Bouygues SA | 2,848 | 105,427 | ||||||
Bureau Veritas SA (a) | 3,568 | 112,927 | ||||||
Capgemini SE | 1,907 | 366,699 | ||||||
Carrefour SA | 7,496 | 147,449 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Cie de Saint-Gobain | 6,211 | $ | 409,510 | |||||
Cie Generale des Etablissements Michelin SCA | 2,018 | 322,078 | ||||||
CNP Assurances | 2,157 | 36,666 | ||||||
Covivio | 612 | 52,358 | ||||||
Credit Agricole SA | 14,107 | 197,433 | ||||||
Danone SA | 7,970 | 561,310 | ||||||
Dassault Aviation SA | 28 | 32,963 | ||||||
Dassault Systemes SE | 1,579 | 383,065 | ||||||
Edenred | 2,884 | 164,378 | ||||||
Eiffage SA | 1,012 | 103,012 | ||||||
Electricite de France SA | 5,850 | 79,874 | ||||||
Engie SA | 22,345 | 306,333 | ||||||
EssilorLuxottica SA | 3,436 | 634,448 | ||||||
Eurazeo SE | 498 | 43,373 | ||||||
Faurecia SE | 249 | 12,182 | ||||||
Faurecia SE | 1,196 | 58,739 | ||||||
Gecina SA | 532 | 81,533 | ||||||
Getlink SE | 4,856 | 75,757 | ||||||
Hermes International | 381 | 555,516 | ||||||
Iliad SA | 181 | 26,530 | ||||||
Ipsen SA | 464 | 48,273 | ||||||
Kering SA | 907 | 793,689 | ||||||
Klepierre | 2,496 | 64,345 | ||||||
L'Oreal SA | 3,048 | 1,359,138 | ||||||
La Francaise des Jeux SAEM (c) | 1,166 | 68,569 | ||||||
Legrand SA | 3,191 | 337,939 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3,360 | 2,638,161 | ||||||
Orange SA | 24,633 | 280,907 | ||||||
Orpea SA (a) | 623 | 79,256 | ||||||
Pernod Ricard SA | 2,515 | 558,225 | ||||||
Publicis Groupe SA | 2,722 | 174,189 | ||||||
Remy Cointreau SA (b) | 287 | 59,278 | ||||||
Renault SA (a) | 2,403 | 97,151 | ||||||
Safran SA | 4,116 | 571,072 | ||||||
Sanofi | 13,707 | 1,436,297 | ||||||
Sartorius Stedim Biotech | 339 | 160,369 | ||||||
Schneider Electric SE | 6,526 | 1,027,287 | ||||||
SCOR SE (a) (b) | 1,980 | 62,984 | ||||||
SEB SA | 340 | 61,465 | ||||||
Societe Generale SA | 9,635 | 283,719 | ||||||
Sodexo SA (a) | 1,073 | 100,193 | ||||||
Suez SA (b) | 4,229 | 100,547 | ||||||
Teleperformance | 697 | 282,933 | ||||||
Thales SA | 1,304 | 133,119 | ||||||
TotalEnergies SE | 30,202 | 1,370,185 | ||||||
Ubisoft Entertainment SA (a) | 1,132 | 79,258 | ||||||
Unibail Rodamco Westfield (a) | 9,567 | 40,658 | ||||||
Unibail Rodamco Westfield (a) | 1,042 | 90,252 | ||||||
Valeo SA | 2,878 | 86,680 | ||||||
Veolia Environnement SA | 6,593 | 199,198 | ||||||
Vinci SA | 6,420 | 685,527 | ||||||
Vivendi SE | 8,709 | 292,606 | ||||||
Wendel SE | 330 | 44,341 | ||||||
Worldline SA (a) (c) | 2,888 | 270,585 | ||||||
21,896,353 | ||||||||
Germany — 8.4% | ||||||||
adidas AG | 2,301 | 856,821 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Allianz SE Registered | 4,984 | $ | 1,242,691 | |||||
BASF SE | 11,065 | 871,944 | ||||||
Bayer AG Registered | 11,855 | 720,093 | ||||||
Bayerische Motoren Werke AG | 3,974 | 420,988 | ||||||
Bechtle AG | 347 | 64,536 | ||||||
Beiersdorf AG | 1,224 | 147,726 | ||||||
Brenntag SE | 1,881 | 174,933 | ||||||
Carl Zeiss Meditec AG | 492 | 95,073 | ||||||
Commerzbank AG (a) | 12,611 | 89,475 | ||||||
Continental AG (a) | 1,333 | 196,022 | ||||||
Covestro AG (c) | 2,366 | 152,830 | ||||||
Daimler AG Registered | 10,330 | 922,782 | ||||||
Delivery Hero AG (a) (c) | 1,924 | 254,208 | ||||||
Deutsche Bank AG Registered (a) | 25,303 | 329,607 | ||||||
Deutsche Boerse AG | 2,277 | 397,453 | ||||||
Deutsche Lufthansa AG Registered (a) (b) | 3,637 | 40,933 | ||||||
Deutsche Post AG Registered | 11,980 | 815,131 | ||||||
Deutsche Telekom AG Registered | 40,268 | 851,303 | ||||||
Deutsche Wohnen SE | 4,170 | 255,275 | ||||||
E.ON SE | 26,836 | 310,352 | ||||||
Evonik Industries AG | 2,526 | 84,706 | ||||||
Fresenius Medical Care AG & Co. KGaA | 2,494 | 207,173 | ||||||
Fresenius SE & Co. KGaA | 5,122 | 267,268 | ||||||
GEA Group AG | 1,883 | 76,270 | ||||||
Hannover Rueck SE | 734 | 122,805 | ||||||
HeidelbergCement AG | 1,845 | 158,296 | ||||||
HelloFresh SE (a) | 2,026 | 196,978 | ||||||
Henkel AG & Co. KGaA | 1,223 | 112,605 | ||||||
Infineon Technologies AG | 15,679 | 628,741 | ||||||
KION Group AG | 899 | 95,816 | ||||||
Knorr-Bremse AG | 885 | 101,849 | ||||||
LANXESS AG | 893 | 61,237 | ||||||
LEG Immobilien SE | 869 | 125,203 | ||||||
Merck KGaA | 1,591 | 305,424 | ||||||
MTU Aero Engines AG | 652 | 161,546 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered | 1,715 | 469,818 | ||||||
Nemetschek SE | 696 | 53,316 | ||||||
Puma SE | 313 | 37,319 | ||||||
Puma SE | 980 | 116,843 | ||||||
Rational AG | 64 | 58,093 | ||||||
RWE AG | 7,650 | 277,230 | ||||||
SAP SE | 12,632 | 1,782,343 | ||||||
Scout24 AG (c) | 1,082 | 91,331 | ||||||
Siemens AG Registered | 9,254 | 1,466,295 | ||||||
Siemens Energy AG (a) | 4,870 | 146,832 | ||||||
Siemens Healthineers AG (c) | 3,276 | 200,891 | ||||||
Symrise AG | 1,574 | 219,426 | ||||||
Teamviewer AG (a) (c) | 2,010 | 75,718 | ||||||
Telefonica Deutschland Holding AG | 12,247 | 32,318 | ||||||
Uniper SE | 1,102 | 40,629 | ||||||
United Internet AG Registered | 1,173 | 47,970 | ||||||
Volkswagen AG | 399 | 130,976 | ||||||
Vonovia SE | 6,454 | 417,644 | ||||||
Zalando SE (a) (c) (d) (e) | 600 | 72,502 | ||||||
Zalando SE (a) (c) | 2,035 | 246,004 | ||||||
17,899,591 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Hong Kong — 2.4% | ||||||||
AIA Group Ltd. | 146,180 | $ | 1,816,824 | |||||
The Bank of East Asia Ltd. | 16,395 | 30,393 | ||||||
BOC Hong Kong Holdings Ltd. | 45,500 | 154,226 | ||||||
CLP Holdings Ltd. | 19,999 | 197,672 | ||||||
Galaxy Entertainment Group Ltd. (a) | 27,000 | 216,133 | ||||||
Hang Lung Properties Ltd. | 25,000 | 60,711 | ||||||
Hang Seng Bank Ltd. | 8,900 | 177,681 | ||||||
Henderson Land Development Co. Ltd. | 17,325 | 82,114 | ||||||
HK Electric Investments & HK Electric Investments Ltd. Class SS | 31,706 | 32,138 | ||||||
HKT Trust & HKT Ltd. | 47,840 | 65,189 | ||||||
Hong Kong & China Gas Co. Ltd. | 137,290 | 213,247 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 14,481 | 863,157 | ||||||
Link REIT | 25,503 | 246,747 | ||||||
MTR Corp. Ltd. | 19,028 | 105,993 | ||||||
New World Development Co. Ltd. | 18,722 | 97,297 | ||||||
Power Assets Holdings Ltd. | 17,000 | 104,331 | ||||||
Sino Land Co. Ltd. | 40,205 | 63,382 | ||||||
SJM Holdings Ltd. (a) | 25,000 | 27,274 | ||||||
Sun Hung Kai Properties Ltd. | 15,758 | 234,818 | ||||||
Swire Pacific Ltd. Class A | 6,000 | 40,687 | ||||||
Swire Properties Ltd. | 14,196 | 42,327 | ||||||
Techtronic Industries Co. Ltd. | 16,903 | 295,823 | ||||||
5,168,164 | ||||||||
Ireland — 0.8% | ||||||||
CRH PLC | 9,571 | 485,610 | ||||||
DCC PLC | 1,232 | 100,920 | ||||||
Flutter Entertainment PLC (a) | 1,985 | 359,806 | ||||||
James Hardie Industries PLC | 5,439 | 184,728 | ||||||
Kerry Group PLC Class A | 1,935 | 270,272 | ||||||
Kingspan Group PLC | 1,893 | 178,811 | ||||||
Smurfit Kappa Group PLC | 2,998 | 162,650 | ||||||
1,742,797 | ||||||||
Israel — 0.6% | ||||||||
Azrieli Group Ltd. | 547 | 38,523 | ||||||
Bank Hapoalim B.M. (a) | 13,821 | 110,934 | ||||||
Bank Leumi Le-Israel BM (a) | 17,710 | 134,535 | ||||||
Check Point Software Technologies Ltd. (a) | 1,367 | 158,750 | ||||||
CyberArk Software Ltd. (a) | 475 | 61,878 | ||||||
Elbit Systems Ltd. | 334 | 43,247 | ||||||
ICL Group Ltd. | 7,427 | 50,385 | ||||||
Israel Discount Bank Ltd. Class A (a) | 14,549 | 69,281 | ||||||
Mizrahi Tefahot Bank Ltd. (a) | 1,761 | 54,223 | ||||||
Nice Ltd. (a) | 755 | 186,122 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (a) | 13,420 | 132,858 | ||||||
Wix.com Ltd. (a) | 682 | 197,971 | ||||||
1,238,707 | ||||||||
Italy — 1.8% | ||||||||
Amplifon SpA | 1,515 | 74,989 | ||||||
Assicurazioni Generali SpA | 13,450 | 269,420 | ||||||
Atlantia SpA (a) | 5,678 | 102,897 | ||||||
DiaSorin SpA | 321 | 60,725 | ||||||
Enel SpA | 98,209 | 912,488 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Eni SpA | 30,849 | $ | 376,364 | |||||
FinecoBank Banca Fineco SpA (a) | 7,632 | 133,365 | ||||||
Infrastrutture Wireless Italiane SpA (c) | 4,035 | 45,621 | ||||||
Intesa Sanpaolo SpA | 198,529 | 547,951 | ||||||
Mediobanca Banca di Credito Finanziario SpA (a) | 7,537 | 87,962 | ||||||
Moncler SpA | 2,374 | 160,704 | ||||||
Nexi SpA (a) (c) | 5,374 | 118,028 | ||||||
Poste Italiane SpA (c) | 6,446 | 85,250 | ||||||
Prysmian SpA | 3,082 | 110,542 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 1,143 | 65,364 | ||||||
Snam SpA | 24,584 | 142,273 | ||||||
Telecom Italia SpA | 120,980 | 60,115 | ||||||
Terna SpA | 16,970 | 126,440 | ||||||
UniCredit SpA | 25,326 | 298,463 | ||||||
3,778,961 | ||||||||
Japan — 22.4% | ||||||||
ABC-Mart, Inc. | 400 | 22,856 | ||||||
Acom Co. Ltd. | 5,000 | 21,777 | ||||||
Advantest Corp. | 2,400 | 215,189 | ||||||
Aeon Co. Ltd. | 8,000 | 214,871 | ||||||
AGC, Inc. (b) | 2,300 | 96,545 | ||||||
Aisin Corp. | 1,800 | 76,939 | ||||||
Ajinomoto Co. Inc. | 5,700 | 147,943 | ||||||
ANA Holdings, Inc. (a) | 1,900 | 44,654 | ||||||
Asahi Group Holdings Ltd. (b) | 5,600 | 261,562 | ||||||
Asahi Intecc Co. Ltd. | 2,500 | 59,747 | ||||||
Asahi Kasei Corp. | 15,300 | 167,547 | ||||||
Astellas Pharma, Inc. | 22,200 | 386,449 | ||||||
Azbil Corp. | 1,500 | 62,151 | ||||||
Bandai Namco Holdings, Inc. | 2,400 | 166,576 | ||||||
Bridgestone Corp. (b) | 6,900 | 313,832 | ||||||
Brother Industries Ltd. | 2,900 | 57,848 | ||||||
Canon, Inc. (b) | 12,200 | 275,879 | ||||||
Capcom Co. Ltd. | 2,200 | 64,379 | ||||||
Casio Computer Co. Ltd. | 2,500 | 41,776 | ||||||
Central Japan Railway Co. | 1,700 | 257,755 | ||||||
The Chiba Bank Ltd. | 6,200 | 37,323 | ||||||
Chubu Electric Power Co. Inc. | 7,800 | 95,060 | ||||||
Chugai Pharmaceutical Co. Ltd. | 8,200 | 322,971 | ||||||
Concordia Financial Group Ltd. | 12,700 | 46,346 | ||||||
Cosmos Pharmaceutical Corp. | 200 | 29,349 | ||||||
CyberAgent, Inc. | 5,000 | 107,411 | ||||||
Dai Nippon Printing Co. Ltd. | 2,800 | 59,175 | ||||||
Dai-ichi Life Holdings, Inc. | 12,500 | 228,772 | ||||||
Daifuku Co. Ltd. | 1,200 | 108,935 | ||||||
Daiichi Sankyo Co. Ltd. | 20,300 | 437,357 | ||||||
Daikin Industries Ltd. | 3,000 | 558,453 | ||||||
Daito Trust Construction Co. Ltd. | 800 | 87,461 | ||||||
Daiwa House Industry Co. Ltd. | 6,900 | 207,060 | ||||||
Daiwa House REIT Investment Corp. | 23 | 67,812 | ||||||
Daiwa Securities Group, Inc. | 16,400 | 89,753 | ||||||
Denso Corp. | 5,300 | 361,397 | ||||||
Dentsu Group, Inc. (b) | 2,600 | 92,981 | ||||||
Disco Corp. | 400 | 122,317 | ||||||
East Japan Railway Co. | 3,700 | 265,172 | ||||||
Eisai Co. Ltd. | 2,900 | 283,400 | ||||||
ENEOS Holdings, Inc. | 37,500 | 156,979 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
FANUC Corp. | 2,300 | $ | 554,416 | |||||
Fast Retailing Co. Ltd. | 700 | 526,677 | ||||||
Fuji Electric Co. Ltd. | 1,600 | 74,711 | ||||||
FUJIFILM Holdings Corp. | 4,400 | 326,174 | ||||||
Fujitsu Ltd. | 2,400 | 449,530 | ||||||
GLP J-REIT | 51 | 87,987 | ||||||
GMO Payment Gateway, Inc. | 500 | 64,999 | ||||||
Hakuhodo DY Holdings, Inc. (b) | 2,900 | 44,981 | ||||||
Hamamatsu Photonics KK | 1,700 | 102,489 | ||||||
Hankyu Hanshin Holdings, Inc. | 2,800 | 86,215 | ||||||
Harmonic Drive Systems, Inc. | 500 | 27,554 | ||||||
Hikari Tsushin, Inc. (b) | 300 | 52,671 | ||||||
Hino Motors Ltd. | 3,600 | 31,685 | ||||||
Hirose Electric Co. Ltd. | 425 | 62,142 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 600 | 29,532 | ||||||
Hitachi Construction Machinery Co. Ltd. | 1,300 | 39,708 | ||||||
Hitachi Ltd. | 11,700 | 669,601 | ||||||
Hitachi Metals Ltd. (a) | 2,600 | 49,717 | ||||||
Honda Motor Co. Ltd. | 19,600 | 628,366 | ||||||
Hoshizaki Corp. | 700 | 59,463 | ||||||
Hoya Corp. | 4,500 | 596,425 | ||||||
Hulic Co. Ltd. (b) | 3,200 | 35,991 | ||||||
Ibiden Co. Ltd. | 1,300 | 70,004 | ||||||
Idemitsu Kosan Co. Ltd. | 2,571 | 62,055 | ||||||
Iida Group Holdings Co. Ltd. | 1,800 | 46,319 | ||||||
Inpex Corp. (b) | 12,600 | 94,432 | ||||||
Isuzu Motors Ltd. | 6,800 | 90,193 | ||||||
Ito En Ltd. (b) | 700 | 41,515 | ||||||
ITOCHU Corp. | 14,500 | 416,799 | ||||||
Itochu Techno-Solutions Corp. | 1,200 | 37,172 | ||||||
Japan Airlines Co. Ltd. (a) | 1,800 | 38,944 | ||||||
Japan Exchange Group, Inc. | 6,200 | 137,809 | ||||||
Japan Metropolitan Fund Invest | 87 | 94,267 | ||||||
Japan Post Bank Co. Ltd. | 5,000 | 41,880 | ||||||
Japan Post Holdings Co. Ltd. | 19,300 | 158,763 | ||||||
Japan Post Insurance Co. Ltd. | 2,900 | 53,413 | ||||||
Japan Real Estate Investment Corp. | 15 | 92,204 | ||||||
Japan Tobacco, Inc. (b) | 14,200 | 268,186 | ||||||
JFE Holdings, Inc. | 5,300 | 62,083 | ||||||
JSR Corp. | 2,500 | 75,582 | ||||||
Kajima Corp. | 5,500 | 69,634 | ||||||
Kakaku.com, Inc. | 1,700 | 51,361 | ||||||
The Kansai Electric Power Co., Inc. | 7,800 | 74,138 | ||||||
Kansai Paint Co. Ltd. | 2,200 | 56,042 | ||||||
Kao Corp. (b) | 5,900 | 362,930 | ||||||
KDDI Corp. | 19,300 | 601,759 | ||||||
Keio Corp. | 1,300 | 76,388 | ||||||
Keisei Electric Railway Co. Ltd. | 1,600 | 51,037 | ||||||
Keyence Corp. | 2,400 | 1,210,665 | ||||||
Kikkoman Corp. | 1,800 | 118,707 | ||||||
Kintetsu Group Holdings Co. Ltd. (a) | 2,100 | 73,699 | ||||||
Kirin Holdings Co. Ltd. (b) | 9,600 | 187,129 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 600 | 51,244 | ||||||
Kobe Bussan Co. Ltd. | 1,600 | 50,393 | ||||||
Koei Tecmo Holdings Co. Ltd. | 780 | 38,071 | ||||||
Koito Manufacturing Co. Ltd. | 1,300 | 80,817 | ||||||
Komatsu Ltd. | 10,400 | 258,396 | ||||||
Konami Holdings Corp. | 1,100 | 66,007 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Kose Corp. | 400 | $ | 62,957 | |||||
Kubota Corp. (b) | 12,100 | 244,635 | ||||||
Kurita Water Industries Ltd. | 1,200 | 57,556 | ||||||
Kyocera Corp. | 3,900 | 241,003 | ||||||
Kyowa Kirin Co. Ltd. | 3,300 | 116,510 | ||||||
Lasertec Corp. | 900 | 174,531 | ||||||
Lawson, Inc. | 600 | 27,754 | ||||||
Lion Corp. (b) | 2,700 | 45,744 | ||||||
LIXIL Group Corp. | 3,300 | 85,307 | ||||||
M3, Inc. | 5,400 | 394,604 | ||||||
Makita Corp. | 2,800 | 131,775 | ||||||
Marubeni Corp. | 18,200 | 158,192 | ||||||
Mazda Motor Corp. (a) | 7,100 | 66,688 | ||||||
McDonald's Holdings Co. Japan Ltd. (b) | 1,000 | 44,111 | ||||||
Medipal Holdings Corp. | 2,400 | 45,830 | ||||||
MEIJI Holdings Co. Ltd. | 1,500 | 89,775 | ||||||
Mercari, Inc. (a) | 1,200 | 63,770 | ||||||
MinebeaMitsumi, Inc. | 4,500 | 118,977 | ||||||
MISUMI Group, Inc. | 3,500 | 118,400 | ||||||
Mitsubishi Chemical Holding Corp. | 15,700 | 131,598 | ||||||
Mitsubishi Corp. | 15,100 | 411,315 | ||||||
Mitsubishi Electric Corp. | 21,600 | 312,949 | ||||||
Mitsubishi Estate Co. Ltd. | 14,400 | 232,788 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 1,900 | 40,271 | ||||||
Mitsubishi HC Capital, Inc. | 8,100 | 43,233 | ||||||
Mitsubishi Heavy Industries Ltd. | 3,900 | 114,690 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 147,200 | 794,638 | ||||||
Mitsui & Co. Ltd. | 18,400 | 414,003 | ||||||
Mitsui Chemicals, Inc. | 2,300 | 79,186 | ||||||
Mitsui Fudosan Co. Ltd. | 10,800 | 250,036 | ||||||
Miura Co. Ltd. | 1,100 | 47,656 | ||||||
Mizuho Financial Group, Inc. | 29,500 | 415,673 | ||||||
MonotaRO Co. Ltd. | 2,700 | 63,957 | ||||||
MS&AD Insurance Group Holdings, Inc. | 5,400 | 155,886 | ||||||
Murata Manufacturing Co. Ltd. | 7,000 | 534,170 | ||||||
Nabtesco Corp. (b) | 1,400 | 52,936 | ||||||
NEC Corp. | 3,000 | 154,389 | ||||||
Nexon Co. Ltd. | 6,000 | 133,762 | ||||||
NGK Insulators Ltd. | 3,200 | 53,667 | ||||||
NH Foods Ltd. | 1,000 | 38,874 | ||||||
Nidec Corp. | 5,400 | 625,430 | ||||||
Nihon M&A Center, Inc. | 3,800 | 98,608 | ||||||
Nintendo Co. Ltd. | 1,400 | 814,576 | ||||||
Nippon Building Fund, Inc. | 17 | 106,029 | ||||||
Nippon Express Co. Ltd. | 900 | 68,514 | ||||||
Nippon Paint Holdings Co. Ltd. (b) | 8,700 | 118,021 | ||||||
Nippon Prologis REIT, Inc. | 23 | 73,192 | ||||||
Nippon Sanso Holdings Corp. | 1,800 | 36,876 | ||||||
Nippon Shinyaku Co. Ltd. | 600 | 47,570 | ||||||
Nippon Steel Corp. | 10,500 | 176,850 | ||||||
Nippon Telegraph & Telephone Corp. | 15,400 | 401,147 | ||||||
Nippon Yusen KK | 1,900 | 96,225 | ||||||
Nissan Chemical Corp. | 1,500 | 73,414 | ||||||
Nissan Motor Co. Ltd. (a) | 28,400 | 140,874 | ||||||
Nisshin Seifun Group, Inc. | 2,400 | 35,097 | ||||||
Nissin Foods Holdings Co. Ltd. | 800 | 57,604 | ||||||
Nitori Holdings Co. Ltd. | 1,000 | 177,021 | ||||||
Nitto Denko Corp. | 1,800 | 134,248 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Nomura Holdings, Inc. | 37,600 | $ | 190,996 | |||||
Nomura Real Estate Holdings, Inc. | 1,300 | 32,968 | ||||||
Nomura Real Estate Master Fund, Inc. | 49 | 78,543 | ||||||
Nomura Research Institute Ltd. | 4,300 | 142,299 | ||||||
NSK Ltd. | 4,600 | 38,860 | ||||||
NTT Data Corp. | 7,200 | 112,276 | ||||||
Obayashi Corp. | 8,100 | 64,317 | ||||||
Obic Co. Ltd. | 800 | 148,992 | ||||||
Odakyu Electric Railway Co. Ltd. | 3,600 | 90,730 | ||||||
Oji Holdings Corp. | 9,900 | 56,758 | ||||||
Olympus Corp. | 13,900 | 276,158 | ||||||
Omron Corp. | 2,300 | 182,297 | ||||||
Ono Pharmaceutical Co. Ltd. | 4,500 | 99,884 | ||||||
Oracle Corp. | 500 | 38,268 | ||||||
Oriental Land Co. Ltd. | 2,400 | 341,875 | ||||||
ORIX Corp. | 14,400 | 242,302 | ||||||
Orix JREIT, Inc. | 32 | 61,570 | ||||||
Osaka Gas Co. Ltd. | 4,600 | 85,231 | ||||||
Otsuka Corp. | 1,400 | 73,438 | ||||||
Otsuka Holdings Co. Ltd. (b) | 4,800 | 198,992 | ||||||
Pan Pacific International Holding Corp. | 5,000 | 103,810 | ||||||
Panasonic Corp. | 26,400 | 305,341 | ||||||
PeptiDream, Inc. (a) | 1,200 | 58,848 | ||||||
Persol Holdings Co. Ltd. | 2,100 | 41,468 | ||||||
Pigeon Corp. (b) | 1,400 | 39,303 | ||||||
Pola Orbis Holdings, Inc. (b) | 1,200 | 31,703 | ||||||
Rakuten Group, Inc. | 10,800 | 121,846 | ||||||
Recruit Holdings Co. Ltd. | 16,400 | 806,977 | ||||||
Renesas Electronics Corp. (a) | 15,300 | 165,529 | ||||||
Resona Holdings, Inc. | 26,100 | 100,056 | ||||||
Ricoh Co. Ltd. | 8,400 | 94,653 | ||||||
Rinnai Corp. | 400 | 38,046 | ||||||
Rohm Co. Ltd. | 1,100 | 101,761 | ||||||
Ryohin Keikaku Co. Ltd. | 3,100 | 64,739 | ||||||
Santen Pharmaceutical Co. Ltd. | 4,400 | 60,584 | ||||||
SBI Holdings, Inc. | 3,042 | 71,928 | ||||||
SCSK Corp. | 600 | 35,742 | ||||||
Secom Co. Ltd. | 2,600 | 197,565 | ||||||
Seiko Epson Corp. | 3,400 | 59,774 | ||||||
Sekisui Chemical Co. Ltd. | 4,500 | 76,888 | ||||||
Sekisui House Ltd. (b) | 7,500 | 153,768 | ||||||
Seven & i Holdings Co. Ltd. | 9,200 | 438,555 | ||||||
SG Holdings Co. Ltd. | 3,900 | 102,236 | ||||||
Sharp Corp. (b) | 2,600 | 42,877 | ||||||
Shimadzu Corp. | 2,800 | 108,203 | ||||||
Shimano, Inc. | 900 | 213,411 | ||||||
Shimizu Corp. | 6,700 | 51,305 | ||||||
Shin-Etsu Chemical Co. Ltd. | 4,300 | 718,721 | ||||||
Shionogi & Co. Ltd. | 3,200 | 166,769 | ||||||
Shiseido Co. Ltd. (b) | 4,900 | 360,305 | ||||||
The Shizuoka Bank Ltd. (b) | 5,500 | 42,364 | ||||||
SMC Corp. | 700 | 413,462 | ||||||
Softbank Corp. | 34,400 | 449,982 | ||||||
SoftBank Group Corp. | 15,200 | 1,064,460 | ||||||
Sohgo Security Services Co. Ltd. | 900 | 40,979 | ||||||
Sompo Holdings, Inc. | 3,900 | 143,687 | ||||||
Sony Group Corp. | 15,200 | 1,475,207 | ||||||
Square Enix Holdings Co. Ltd. | 1,000 | 49,614 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Stanley Electric Co. Ltd. | 1,300 | $ | 37,601 | |||||
Subaru Corp. | 7,500 | 147,897 | ||||||
SUMCO Corp. | 3,300 | 80,591 | ||||||
Sumitomo Chemical Co. Ltd. | 18,200 | 96,234 | ||||||
Sumitomo Corp. | 13,800 | 184,625 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 2,300 | 47,979 | ||||||
Sumitomo Electric Industries Ltd. | 9,200 | 135,667 | ||||||
Sumitomo Metal Mining Co. Ltd. | 3,000 | 116,779 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 15,600 | 536,870 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 4,200 | 132,936 | ||||||
Sumitomo Realty & Development Co. Ltd. | 3,800 | 135,747 | ||||||
Suntory Beverage & Food Ltd. (b) | 1,700 | 63,803 | ||||||
Suzuki Motor Corp. | 4,500 | 190,335 | ||||||
Sysmex Corp. | 2,000 | 236,223 | ||||||
T&D Holdings, Inc. | 6,600 | 85,756 | ||||||
Taisei Corp. | 2,400 | 78,552 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 400 | 21,310 | ||||||
Takeda Pharmaceutical Co. Ltd. | 18,941 | 636,134 | ||||||
TDK Corp. | 1,600 | 194,395 | ||||||
Terumo Corp. | 7,900 | 320,009 | ||||||
THK Co. Ltd. (b) | 1,400 | 41,745 | ||||||
TIS, Inc. | 2,700 | 68,969 | ||||||
Tobu Railway Co. Ltd. | 2,400 | 62,024 | ||||||
Toho Co. Ltd. | 1,400 | 57,701 | ||||||
Toho Gas Co. Ltd. | 900 | 44,062 | ||||||
Tohoku Electric Power Co., Inc. | 5,400 | 42,282 | ||||||
Tokio Marine Holdings, Inc. | 7,700 | 352,863 | ||||||
Tokyo Century Corp. | 500 | 26,857 | ||||||
Tokyo Electric Power Co. Holdings, Inc. (a) | 18,500 | 54,938 | ||||||
Tokyo Electron Ltd. | 1,800 | 774,975 | ||||||
Tokyo Gas Co. Ltd. | 4,600 | 86,457 | ||||||
Tokyu Corp. | 6,200 | 84,292 | ||||||
TOPPAN, INC. | 3,200 | 51,401 | ||||||
Toray Industries, Inc. | 16,900 | 112,057 | ||||||
Toshiba Corp. (b) | 5,000 | 216,344 | ||||||
Tosoh Corp. | 3,200 | 55,162 | ||||||
TOTO Ltd. | 1,700 | 87,947 | ||||||
Toyo Suisan Kaisha Ltd. | 1,100 | 42,325 | ||||||
Toyota Industries Corp. | 1,800 | 155,645 | ||||||
Toyota Motor Corp. | 25,700 | 2,243,549 | ||||||
Toyota Tsusho Corp. | 2,600 | 122,645 | ||||||
Trend Micro, Inc. | 1,600 | 83,835 | ||||||
Tsuruha Holdings, Inc. | 500 | 57,877 | ||||||
Unicharm Corp. | 4,900 | 197,105 | ||||||
United Urban Investment Corp. | 38 | 54,957 | ||||||
USS Co. Ltd. | 2,700 | 47,080 | ||||||
Welcia Holdings Co. Ltd. | 1,200 | 39,202 | ||||||
West Japan Railway Co. | 2,000 | 113,987 | ||||||
Yakult Honsha Co. Ltd. | 1,600 | 90,568 | ||||||
Yamada Denki Co. Ltd. | 8,200 | 37,857 | ||||||
Yamaha Corp. | 1,600 | 86,806 | ||||||
Yamaha Motor Co. Ltd. (b) | 3,400 | 92,380 | ||||||
Yamato Holdings Co. Ltd. | 3,600 | 102,370 | ||||||
Yaskawa Electric Corp. | 2,900 | 141,654 | ||||||
Yokogawa Electric Corp. | 2,800 | 41,493 | ||||||
Z Holdings Corp. | 32,400 | 162,461 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ZOZO, Inc. | 1,500 | $ | 50,992 | |||||
47,561,449 | ||||||||
Luxembourg — 0.3% | ||||||||
ArcelorMittal SA | 8,815 | 270,603 | ||||||
Aroundtown SA | 12,157 | 94,716 | ||||||
Eurofins Scientific SE (a) | 1,635 | 186,969 | ||||||
InPost SA (a) | 2,436 | 48,941 | ||||||
Tenaris SA | 5,770 | 63,182 | ||||||
664,411 | ||||||||
Netherlands — 5.4% | ||||||||
ABN AMRO Bank NV (a) (c) | 5,306 | 64,051 | ||||||
Adyen NV (a) (c) | 237 | 579,210 | ||||||
Aegon NV | 21,857 | 90,588 | ||||||
Airbus SE (a) | 7,112 | 915,887 | ||||||
Akzo Nobel NV | 2,329 | 287,808 | ||||||
Argenx SE (a) | 568 | 171,115 | ||||||
ASM International NV | 578 | 190,047 | ||||||
ASML Holding NV | 5,073 | 3,492,768 | ||||||
CNH Industrial NV | 12,540 | 207,195 | ||||||
Davide Campari-Milano NV | 6,374 | 85,496 | ||||||
EXOR NV | 1,336 | 106,931 | ||||||
Ferrari NV | 34 | 7,018 | ||||||
Ferrari NV | 1,504 | 309,899 | ||||||
Heineken Holding NV | 1,384 | 139,431 | ||||||
Heineken NV (b) | 3,107 | 376,658 | ||||||
ING Groep NV | 46,994 | 621,715 | ||||||
JDE Peet's NV (a) (b) | 912 | 33,094 | ||||||
Just Eat Takeaway.com (a) (c) | 2,197 | 202,918 | ||||||
Koninklijke Ahold Delhaize NV | 12,778 | 379,917 | ||||||
Koninklijke DSM NV | 2,074 | 387,196 | ||||||
Koninklijke KPN NV | 41,166 | 128,606 | ||||||
Koninklijke Philips NV | 11,006 | 545,615 | ||||||
Koninklijke Vopak NV | 839 | 38,129 | ||||||
NN Group NV | 3,345 | 157,659 | ||||||
Prosus NV | 5,870 | 574,354 | ||||||
QIAGEN NV (a) | 2,828 | 136,692 | ||||||
Randstad NV | 1,452 | 111,129 | ||||||
Stellantis NV | 13,089 | 258,242 | ||||||
Stellantis NV (b) | 11,145 | 219,668 | ||||||
STMicroelectronics NV | 8,326 | 302,251 | ||||||
Wolters Kluwer NV | 3,294 | 331,072 | ||||||
11,452,359 | ||||||||
New Zealand — 0.3% | ||||||||
The a2 Milk Co. Ltd. (a) (b) | 9,580 | 43,118 | ||||||
Auckland International Airport Ltd. (a) | 13,821 | 70,229 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 7,062 | 153,609 | ||||||
Mercury NZ Ltd. | 8,257 | 38,487 | ||||||
Meridian Energy Ltd. | 13,498 | 50,219 | ||||||
Ryman Healthcare Ltd. | 5,035 | 46,195 | ||||||
Spark New Zealand Ltd. | 22,717 | 76,201 | ||||||
Xero Ltd. (a) | 1,618 | 166,192 | ||||||
644,250 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Norway — 0.6% | ||||||||
Adevinta ASA (a) | 3,348 | $ | 64,181 | |||||
DNB ASA | 10,983 | 239,218 | ||||||
Equinor ASA | 11,436 | 242,055 | ||||||
Gjensidige Forsikring ASA | 2,528 | 55,735 | ||||||
Mowi ASA | 5,395 | 137,240 | ||||||
Norsk Hydro ASA | 16,444 | 105,044 | ||||||
Orkla ASA | 9,029 | 91,976 | ||||||
Schibsted ASA Class A | 860 | 41,524 | ||||||
Schibsted ASA Class B | 1,234 | 51,412 | ||||||
Telenor ASA | 8,568 | 144,573 | ||||||
Yara International ASA | 2,134 | 112,403 | ||||||
1,285,361 | ||||||||
Papua New Guinea — 0.0% | ||||||||
Oil Search Ltd. | 24,061 | 68,778 | ||||||
Portugal — 0.2% | ||||||||
Banco Espirito Santo SA (a) (e) | 39,664 | — | ||||||
EDP - Energias de Portugal SA | 33,824 | 179,417 | ||||||
Galp Energia SGPS SA | 6,303 | 68,581 | ||||||
Jeronimo Martins SGPS SA | 3,060 | 55,816 | ||||||
303,814 | ||||||||
Singapore — 1.0% | ||||||||
Ascendas REIT | 40,032 | 87,975 | ||||||
CapitaLand Integrated Commercial Trust | 54,962 | 85,407 | ||||||
CapitaLand Ltd. | 32,146 | 88,800 | ||||||
City Developments Ltd. | 4,900 | 26,603 | ||||||
DBS Group Holdings, Ltd. | 21,622 | 479,813 | ||||||
Genting Singapore Ltd. | 77,400 | 48,051 | ||||||
Keppel Corp. Ltd. | 17,800 | 72,517 | ||||||
Mapletree Commercial Trust | 25,800 | 41,496 | ||||||
Mapletree Logistics Trust | 35,500 | 54,197 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 40,087 | 356,521 | ||||||
Singapore Airlines Ltd. (a) | 16,849 | 60,873 | ||||||
Singapore Exchange Ltd. | 10,000 | 83,246 | ||||||
Singapore Technologies Engineering Ltd. | 19,900 | 57,430 | ||||||
Singapore Telecommunications Ltd. | 100,700 | 171,862 | ||||||
United Overseas Bank Ltd. | 14,293 | 274,861 | ||||||
UOL Group Ltd. | 5,769 | 31,361 | ||||||
Venture Corp. Ltd. | 3,400 | 48,640 | ||||||
Wilmar International Ltd. | 23,400 | 78,425 | ||||||
2,148,078 | ||||||||
Spain — 2.4% | ||||||||
ACS Actividades de Construccion y Servicios SA | 2,895 | 77,536 | ||||||
Aena SME SA (a) (c) | 910 | 149,212 | ||||||
Amadeus IT Group SA (a) | 5,374 | 377,934 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 80,046 | 497,994 | ||||||
Banco Santander SA | 209,482 | 798,687 | ||||||
CaixaBank SA (b) | 51,883 | 159,425 | ||||||
Cellnex Telecom SA (c) | 6,085 | 387,636 | ||||||
EDP Renovaveis SA | 3,508 | 81,290 | ||||||
Enagas SA | 3,123 | 72,151 | ||||||
Endesa SA (b) | 3,855 | 93,519 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Ferrovial SA | 5,896 | $ | 173,080 | |||||
Grifols SA (b) | 3,737 | 101,241 | ||||||
Iberdrola SA | 69,776 | 850,250 | ||||||
Industria de Diseno Textil SA | 13,354 | 470,552 | ||||||
Naturgy Energy Group SA | 3,662 | 94,162 | ||||||
Red Electrica Corp. SA (b) | 5,267 | 97,753 | ||||||
Repsol SA (b) | 18,214 | 228,465 | ||||||
Siemens Gamesa Renewable Energy SA (a) | 2,992 | 99,890 | ||||||
Telefonica SA | 63,853 | 298,356 | ||||||
5,109,133 | ||||||||
Sweden — 3.4% | ||||||||
Alfa Laval AB | 3,842 | 135,768 | ||||||
Assa Abloy AB Class B | 12,289 | 370,254 | ||||||
Atlas Copco AB Class A | 8,084 | 495,243 | ||||||
Atlas Copco AB Class B | 4,746 | 249,721 | ||||||
Boliden AB | 3,316 | 127,540 | ||||||
Electrolux AB Series B | 2,839 | 78,755 | ||||||
Embracer Group AB (a) | 3,144 | 85,070 | ||||||
Epiroc AB Class A | 8,015 | 182,653 | ||||||
Epiroc AB Class B | 4,369 | 85,771 | ||||||
EQT AB | 2,974 | 107,990 | ||||||
Essity AB Class B | 7,151 | 237,114 | ||||||
Evolution AB (c) | 2,081 | 328,986 | ||||||
Fastighets AB Balder Class B (a) | 1,291 | 81,016 | ||||||
Hennes & Mauritz AB Class B (a) | 8,930 | 211,911 | ||||||
Hexagon AB Class B | 23,500 | 348,388 | ||||||
Husqvarna AB Class B | 5,064 | 67,319 | ||||||
ICA Gruppen AB | 1,278 | 59,482 | ||||||
Industrivarden AB Class A | 1,206 | 46,917 | ||||||
Industrivarden AB Class C | 2,011 | 73,607 | ||||||
Investment AB Latour | 1,869 | 61,351 | ||||||
Investor AB Class B | 21,913 | 504,809 | ||||||
Kinnevik AB Class B | 2,963 | 118,633 | ||||||
L E Lundbergforetagen AB Class B | 947 | 61,111 | ||||||
Lundin Energy AB (b) | 2,396 | 85,013 | ||||||
Nibe Industrier AB Class B | 17,460 | 183,780 | ||||||
Sandvik AB | 13,814 | 352,922 | ||||||
Securitas AB Class B | 3,748 | 59,200 | ||||||
Sinch AB (a) (c) | 5,580 | 93,921 | ||||||
Skandinaviska Enskilda Banken AB Class A | 19,868 | 256,490 | ||||||
Skanska AB Class B | 4,118 | 109,300 | ||||||
SKF AB Class B | 4,664 | 118,817 | ||||||
Svenska Cellulosa AB Class B | 7,401 | 121,308 | ||||||
Svenska Handelsbanken AB Class A | 17,717 | 199,808 | ||||||
Swedbank AB Class A | 11,062 | 205,691 | ||||||
Swedish Match AB | 19,760 | 168,538 | ||||||
Tele2 AB Class B (b) | 5,545 | 75,565 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 35,697 | 448,893 | ||||||
Telia Co AB | 32,336 | 143,543 | ||||||
Volvo AB Class A (b) | 2,189 | 54,304 | ||||||
Volvo AB Class B (b) | 17,368 | 418,055 | ||||||
7,214,557 | ||||||||
Switzerland — 9.5% | ||||||||
ABB Ltd. Registered | 20,941 | 710,832 | ||||||
Adecco Group AG Registered | 1,885 | 128,123 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Alcon, Inc. | 6,075 | $ | 425,535 | |||||
Baloise Holding AG Registered | 562 | 87,601 | ||||||
Banque Cantonale Vaudoise Registered | 368 | 33,055 | ||||||
Barry Callebaut AG Registered | 43 | 99,912 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 13 | 129,285 | ||||||
Chocoladefabriken Lindt & Spruengli AG Registered | 1 | 104,728 | ||||||
Cie Financiere Richemont SA Registered | 6,304 | 763,239 | ||||||
Clariant AG | 2,605 | 51,812 | ||||||
Coca-Cola HBC AG | 2,480 | 89,691 | ||||||
Credit Suisse Group AG Registered | 30,151 | 315,567 | ||||||
EMS-Chemie Holding AG Registered | 85 | 83,519 | ||||||
Geberit AG Registered | 456 | 342,169 | ||||||
Givaudan SA Registered | 113 | 525,568 | ||||||
Holcim Ltd. | 2,012 | 120,713 | ||||||
Holcim Ltd. (b) | 4,338 | 259,728 | ||||||
Julius Baer Group Ltd. | 2,733 | 178,248 | ||||||
Kuehne & Nagel International AG Registered | 661 | 226,249 | ||||||
Logitech International SA Registered | 2,119 | 256,813 | ||||||
Lonza Group AG Registered | 898 | 636,586 | ||||||
Nestle SA Registered | 34,887 | 4,344,665 | ||||||
Novartis AG Registered | 26,853 | 2,447,511 | ||||||
Partners Group Holding AG | 271 | 410,691 | ||||||
Roche Holding AG | 8,495 | 3,201,516 | ||||||
Roche Holding AG | 394 | 160,046 | ||||||
Schindler Holding AG | 489 | 149,611 | ||||||
Schindler Holding AG Registered | 257 | 75,119 | ||||||
SGS SA Registered | 71 | 219,031 | ||||||
Sika AG Registered (b) | 1,705 | 557,507 | ||||||
Sonova Holding AG Registered | 674 | 253,627 | ||||||
Straumann Holding AG Registered | 126 | 200,918 | ||||||
The Swatch Group AG | 363 | 124,591 | ||||||
The Swatch Group AG Registered | 586 | 38,681 | ||||||
Swiss Life Holding AG Registered | 390 | 189,547 | ||||||
Swiss Prime Site AG Registered | 894 | 88,718 | ||||||
Swiss Re AG | 3,676 | 331,307 | ||||||
Swisscom AG Registered | 313 | 178,721 | ||||||
Temenos Group AG Registered | 814 | 130,794 | ||||||
UBS Group AG Registered | 44,191 | 676,630 | ||||||
Vifor Pharma AG | 592 | 76,632 | ||||||
Zurich Insurance Group AG | 1,837 | 736,540 | ||||||
20,161,376 | ||||||||
United Kingdom — 13.9% | ||||||||
3i Group PLC | 11,902 | 193,459 | ||||||
Admiral Group PLC | 2,365 | 102,923 | ||||||
Anglo American PLC | 15,588 | 621,165 | ||||||
Antofagasta PLC | 4,839 | 96,124 | ||||||
Ashtead Group PLC | 5,362 | 398,268 | ||||||
Associated British Foods PLC | 4,355 | 133,702 | ||||||
AstraZeneca PLC | 15,883 | 1,905,931 | ||||||
Auto Trader Group PLC (a) (c) | 11,773 | 103,247 | ||||||
Aveva Group PLC | 1,403 | 72,046 | ||||||
Aviva PLC | 46,712 | 262,674 | ||||||
BAE Systems PLC | 39,282 | 283,993 | ||||||
Barclays PLC | 208,452 | 494,391 | ||||||
Barratt Developments PLC | 12,503 | 120,450 | ||||||
The Berkeley Group Holdings PLC | 1,503 | 95,673 | ||||||
BHP Group PLC | 25,501 | 751,658 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
BP PLC | 245,862 | $ | 1,074,540 | |||||
British American Tobacco PLC | 26,379 | 1,028,311 | ||||||
The British Land Co. PLC | 11,071 | 75,908 | ||||||
BT Group PLC (a) | 109,247 | 293,403 | ||||||
Bunzl PLC | 4,132 | 136,632 | ||||||
Burberry Group PLC (a) | 4,944 | 141,601 | ||||||
Coca-Cola Europacific Partners PLC | 2,506 | 148,656 | ||||||
Compass Group PLC (a) | 21,339 | 450,062 | ||||||
Croda International PLC | 1,698 | 173,202 | ||||||
Diageo PLC | 28,294 | 1,355,948 | ||||||
Direct Line Insurance Group PLC | 16,647 | 65,597 | ||||||
Entain PLC (a) | 7,205 | 174,108 | ||||||
Evraz PLC | 6,253 | 51,313 | ||||||
Experian PLC | 10,963 | 422,921 | ||||||
Ferguson PLC | 2,697 | 375,419 | ||||||
GlaxoSmithKline PLC | 60,825 | 1,194,887 | ||||||
Glencore PLC | 119,949 | 513,667 | ||||||
Halma PLC | 4,631 | 172,616 | ||||||
Hargreaves Lansdown PLC | 4,345 | 95,563 | ||||||
Hikma Pharmaceuticals PLC | 2,100 | 71,106 | ||||||
HSBC Holdings PLC | 246,462 | 1,422,283 | ||||||
Imperial Brands PLC | 11,582 | 249,586 | ||||||
Informa PLC (a) | 18,333 | 127,437 | ||||||
InterContinental Hotels Group PLC (a) | 2,217 | 147,774 | ||||||
Intertek Group PLC | 1,972 | 150,934 | ||||||
J Sainsbury PLC | 20,413 | 76,798 | ||||||
JD Sports Fashion PLC | 6,328 | 80,580 | ||||||
Johnson Matthey PLC | 2,405 | 102,383 | ||||||
Kingfisher PLC | 25,850 | 130,421 | ||||||
Land Securities Group PLC | 8,867 | 82,967 | ||||||
Legal & General Group PLC | 70,955 | 252,549 | ||||||
Lloyds Banking Group PLC | 851,826 | 551,055 | ||||||
London Stock Exchange Group PLC | 3,887 | 428,728 | ||||||
M&G PLC | 32,166 | 102,041 | ||||||
Melrose Industries PLC | 59,527 | 128,084 | ||||||
Mondi PLC | 5,906 | 155,610 | ||||||
National Grid PLC | 43,378 | 552,304 | ||||||
Natwest Group PLC | 59,625 | 167,539 | ||||||
Next PLC (a) | 1,638 | 178,267 | ||||||
Ocado Group PLC (a) | 5,965 | 165,282 | ||||||
Pearson PLC | 9,399 | 108,236 | ||||||
Persimmon PLC | 3,680 | 150,852 | ||||||
Phoenix Group Holdings PLC | 7,282 | 68,240 | ||||||
Prudential PLC | 31,467 | 597,050 | ||||||
Reckitt Benckiser Group PLC | 8,613 | 762,261 | ||||||
RELX PLC | 23,264 | 618,044 | ||||||
Rentokil Initial PLC | 22,702 | 155,525 | ||||||
Rio Tinto PLC | 13,515 | 1,112,647 | ||||||
Rolls-Royce Holdings PLC (a) | 102,474 | 140,583 | ||||||
Royal Dutch Shell PLC Class A | 49,513 | 994,987 | ||||||
Royal Dutch Shell PLC Class B | 44,866 | 871,766 | ||||||
The Sage Group PLC | 13,581 | 128,652 | ||||||
Schroders PLC | 1,529 | 74,397 | ||||||
Segro PLC | 14,332 | 217,136 | ||||||
Severn Trent PLC | 2,717 | 93,980 | ||||||
Smith & Nephew PLC | 10,703 | 231,943 | ||||||
Smiths Group PLC | 4,845 | 106,750 | ||||||
Spirax-Sarco Engineering PLC | 905 | 170,616 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
SSE PLC | 12,380 | $ | 257,189 | |||||
St. James's Place PLC | 6,573 | 134,514 | ||||||
Standard Chartered PLC | 32,811 | 209,056 | ||||||
Standard Life Aberdeen PLC | 26,646 | 99,915 | ||||||
Taylor Wimpey PLC | 44,695 | 98,483 | ||||||
Tesco PLC | 95,249 | 294,030 | ||||||
Unilever PLC | 31,814 | 1,860,768 | ||||||
United Utilities Group PLC | 8,298 | 111,906 | ||||||
Vodafone Group PLC | 322,974 | 543,219 | ||||||
Whitbread PLC (a) | 2,454 | 106,201 | ||||||
Wm Morrison Supermarkets PLC | 30,332 | 103,521 | ||||||
WPP PLC | 14,884 | 201,498 | ||||||
29,527,751 | ||||||||
TOTAL COMMON STOCK (Cost $160,096,819) | 203,800,281 | |||||||
PREFERRED STOCK — 0.6% | ||||||||
Germany — 0.6% | ||||||||
Bayerische Motoren Werke AG 2.590% | ||||||||
688 | 61,838 | |||||||
Fuchs Petrolub SE 2.460% | ||||||||
875 | 42,618 | |||||||
Henkel AG & Co. KGaA 2.130% | ||||||||
2,116 | 223,406 | |||||||
Porsche Automobil Holding SE 2.350% | ||||||||
1,879 | 201,343 | |||||||
Sartorius AG 0.150% | ||||||||
321 | 167,093 | |||||||
Volkswagen AG 2.300% | ||||||||
2,231 | 559,480 | |||||||
1,255,778 | ||||||||
Italy — 0.0% | ||||||||
Telecom Italia SpA 6.110% | ||||||||
73,532 | 38,969 | |||||||
TOTAL PREFERRED STOCK (Cost $935,928) | 1,294,747 | |||||||
TOTAL EQUITIES (Cost $161,032,747) | 205,095,028 | |||||||
MUTUAL FUNDS — 1.7% | ||||||||
United States — 1.7% | ||||||||
iShares Core MSCI EAFE ETF | 26,500 | 1,983,790 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) | 1,671,602 | 1,671,602 | ||||||
TOTAL MUTUAL FUNDS (Cost $3,672,021) | 3,655,392 | |||||||
RIGHTS — 0.0% | ||||||||
Spain — 0.0% | ||||||||
ACS Actividades de Construccion y Servicios SA (a) | 2,895 | 4,051 |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TOTAL RIGHTS (Cost $4,382) | $ | 4,051 | ||||||
TOTAL LONG-TERM INVESTMENTS (Cost $164,709,150) | 208,754,471 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.2% | ||||||||
Repurchase Agreement — 2.2% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (g) | $ | 4,714,704 | $ | 4,714,704 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,714,704) | 4,714,704 | |||||||
TOTAL INVESTMENTS — 100.5% (Cost $169,423,854) (h) | 213,469,175 | |||||||
Other Assets/(Liabilities) — (0.5)% | (1,058,297) | |||||||
NET ASSETS — 100.0% | $ | 212,410,878 |
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) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $6,387,568 or 3.01% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $5,055,597 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) | 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 June 30, 2021, the aggregate market value of these securities amounted to $4,235,145 or 1.99% of net assets. |
(d) | Investment was valued using significant unobservable inputs. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $72,502 or 0.03% of net assets. |
(f) | Represents investment of security lending cash collateral. (Note 2). |
(g) | Maturity value of $4,714,704. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $4,809,004. |
(h) | See Note 3 for aggregate cost for federal tax purposes. |
MM MSCI EAFE International Index Fund — Portfolio of Investments (Continued) |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of Montreal | 9/15/21 | EUR | 669,552 | USD | 817,017 | $ | (21,888) | |||||||||
Bank of New York Mellon | 9/15/21 | GBP | 140,000 | USD | 193,596 | 98 | ||||||||||
BNP Paribas SA | 9/15/21 | CHF | 90,000 | USD | 97,798 | (336) | ||||||||||
BNP Paribas SA | 9/15/21 | USD | 89,982 | AUD | 120,000 | (40) | ||||||||||
BNP Paribas SA | 9/15/21 | USD | 128,811 | HKD | 1,000,000 | (2) | ||||||||||
BNP Paribas SA | 9/15/21 | USD | 87,043 | CHF | 80,000 | 410 | ||||||||||
BNP Paribas SA | 9/17/21 | USD | 36,966 | ILS | 119,805 | 186 | ||||||||||
Citibank N.A. | 9/15/21 | AUD | 137,188 | USD | 106,426 | (3,509) | ||||||||||
Citibank N.A. | 9/15/21 | CHF | 45,330 | USD | 50,614 | (1,526) | ||||||||||
Citibank N.A. | 9/15/21 | SEK | 804,954 | USD | 97,411 | (3,289) | ||||||||||
Citibank N.A. | 9/15/21 | EUR | 310,000 | USD | 369,819 | (1,677) | ||||||||||
Citibank N.A. | 9/15/21 | GBP | 309,699 | USD | 432,993 | (4,515) | ||||||||||
Citibank N.A. | 9/15/21 | USD | 50,996 | HKD | 395,675 | 28 | ||||||||||
Citibank N.A. | 9/15/21 | USD | 2,005 | SGD | 2,658 | 29 | ||||||||||
Citibank N.A. | 9/15/21 | USD | 193,577 | GBP | 140,000 | (117) | ||||||||||
Citibank N.A. | 9/15/21 | USD | 475,715 | EUR | 400,000 | 693 | ||||||||||
Morgan Stanley & Co. LLC | 9/15/21 | DKK | 164,266 | USD | 26,880 | (649) | ||||||||||
Morgan Stanley & Co. LLC | 9/15/21 | JPY | 139,877,366 | USD | 1,273,422 | (13,554) | ||||||||||
Morgan Stanley & Co. LLC | 9/15/21 | EUR | 450,000 | USD | 535,958 | (1,558) | ||||||||||
Morgan Stanley & Co. LLC | 9/15/21 | USD | 12,167 | NOK | 101,065 | 425 | ||||||||||
Morgan Stanley & Co. LLC | 9/15/21 | USD | 292,359 | JPY | 32,170,000 | 2,606 | ||||||||||
$ | (48,185) |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
Hang Seng Index | 7/29/21 | 1 | $ | 185,101 | $ | (732) | ||||||||
Topix Index | 9/09/21 | 8 | 1,406,841 | (7,678) | ||||||||||
SPI 200 Index | 9/16/21 | 5 | 678,251 | (1,140) | ||||||||||
Euro Stoxx 50 Index | 9/17/21 | 51 | 2,486,598 | (34,105) | ||||||||||
FTSE 100 Index | 9/17/21 | 11 | 1,070,455 | (8,281) | ||||||||||
$ | (51,936) |
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 |
MassMutual Overseas Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.3% | ||||||||
COMMON STOCK — 98.3% | ||||||||
Australia — 0.9% | ||||||||
AMP Ltd. | 1,560,838 | $ | 1,321,002 | |||||
Brambles Ltd. | 215,800 | 1,851,176 | ||||||
Orica Ltd. | 283,615 | 2,825,928 | ||||||
5,998,106 | ||||||||
Belgium — 1.0% | ||||||||
Anheuser-Busch InBev SA | 37,700 | 2,714,937 | ||||||
KBC Group NV | 55,581 | 4,233,775 | ||||||
6,948,712 | ||||||||
Brazil — 0.2% | ||||||||
Ambev SA ADR | 457,587 | 1,574,099 | ||||||
Canada — 3.5% | ||||||||
Canadian National Railway Co. (a) | 78,165 | 8,247,971 | ||||||
Cenovus Energy, Inc. | 307,017 | 2,937,417 | ||||||
Intact Financial Corp. | 16,713 | 2,270,600 | ||||||
Open Text Corp. | 61,000 | 3,097,733 | ||||||
Restaurant Brands International, Inc. | 27,200 | 1,752,768 | ||||||
Suncor Energy, Inc. | 109,887 | 2,631,934 | ||||||
The Toronto-Dominion Bank | 41,147 | 2,883,543 | ||||||
23,821,966 | ||||||||
Cayman Islands — 1.6% | ||||||||
Alibaba Group Holding Ltd. (b) | 74,740 | 2,117,594 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (b) | 9,500 | 2,154,410 | ||||||
NetEase, Inc. | 88,100 | 2,032,434 | ||||||
Tencent Holdings Ltd. | 61,400 | 4,618,455 | ||||||
10,922,893 | ||||||||
Denmark — 2.0% | ||||||||
Carlsberg A/S Class B | 20,883 | 3,898,595 | ||||||
Novo Nordisk A/S Class B | 117,341 | 9,816,986 | ||||||
13,715,581 | ||||||||
Finland — 0.3% | ||||||||
UPM-Kymmene OYJ | 53,600 | 2,027,733 | ||||||
France — 16.1% | ||||||||
Accor SA (b) | 126,592 | 4,730,237 | ||||||
Air Liquide SA | 74,209 | 13,003,204 | ||||||
BNP Paribas SA | 125,431 | 7,855,003 | ||||||
Capgemini SE | 62,824 | 12,080,484 |
MassMutual Overseas Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Cie Generale des Etablissements Michelin SCA | 18,613 | $ | 2,970,682 | |||||
Danone SA | 6,210 | 436,194 | ||||||
Danone SA | 63,357 | 4,462,101 | ||||||
Dassault Systemes SE | 14,304 | 3,470,149 | ||||||
Engie SA | 280,181 | 3,841,064 | ||||||
EssilorLuxottica SA | 37,957 | 7,008,662 | ||||||
L'Oreal SA | 10,675 | 4,760,105 | ||||||
Legrand SA | 44,990 | 4,764,615 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 15,031 | 11,801,844 | ||||||
Pernod Ricard SA | 38,233 | 8,486,137 | ||||||
Publicis Groupe SA | 49,377 | 3,159,779 | ||||||
Schneider Electric SE | 92,857 | 14,617,041 | ||||||
Valeo SA | 108,730 | 3,274,744 | ||||||
110,722,045 | ||||||||
Germany — 14.2% | ||||||||
Allianz SE Registered | 30,640 | 7,639,657 | ||||||
Bayer AG Registered | 239,114 | 14,524,190 | ||||||
Bayer AG Registered | 400 | 24,349 | ||||||
Bayerische Motoren Werke AG | 77,985 | 8,261,385 | ||||||
Beiersdorf AG | 64,745 | 7,814,176 | ||||||
Continental AG (b) | 49,180 | 7,232,072 | ||||||
Daimler AG Registered | 88,773 | 7,930,118 | ||||||
Deutsche Boerse AG | 49,120 | 8,573,961 | ||||||
Fresenius Medical Care AG & Co. KGaA | 62,400 | 5,183,487 | ||||||
Fresenius SE & Co. KGaA | 27,400 | 1,429,745 | ||||||
Henkel AG & Co. KGaA | 16,700 | 1,537,610 | ||||||
Merck KGaA | 36,466 | 7,000,375 | ||||||
MTU Aero Engines AG | 10,165 | 2,518,583 | ||||||
SAP SE | 102,471 | 14,458,397 | ||||||
thyssenkrupp AG (b) | 500 | 5,191 | ||||||
thyssenkrupp AG (b) | 369,117 | 3,847,285 | ||||||
97,980,581 | ||||||||
Hong Kong — 1.8% | ||||||||
AIA Group Ltd. | 995,400 | 12,371,508 | ||||||
India — 2.2% | ||||||||
Axis Bank Ltd. (b) | 314,805 | 3,175,662 | ||||||
HDFC Bank Ltd. | 99,494 | 2,005,410 | ||||||
Housing Development Finance Corp. Ltd. | 119,588 | 3,993,882 | ||||||
Tata Consultancy Services Ltd. | 130,573 | 5,892,422 | ||||||
15,067,376 | ||||||||
Indonesia — 0.2% | ||||||||
Bank Mandiri Persero Tbk PT | 3,147,200 | 1,278,020 | ||||||
Ireland — 1.8% | ||||||||
Linde PLC (b) | 18,768 | 5,422,779 | ||||||
Ryanair Holdings PLC (b) | 11,700 | 221,486 | ||||||
Ryanair Holdings PLC Sponsored ADR (b) | 62,352 | 6,747,110 | ||||||
12,391,375 | ||||||||
Israel — 0.7% | ||||||||
Check Point Software Technologies Ltd. (b) | 42,597 | 4,946,790 |
MassMutual Overseas Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Italy — 2.3% | ||||||||
Eni SpA | 211,330 | $ | 2,578,270 | |||||
Intesa Sanpaolo SpA | 4,848,356 | 13,381,730 | ||||||
15,960,000 | ||||||||
Japan — 11.4% | ||||||||
Daikin Industries Ltd. | 41,800 | 7,781,110 | ||||||
Denso Corp. | 54,600 | 3,723,073 | ||||||
Hitachi Ltd. | 181,400 | 10,381,676 | ||||||
Hoya Corp. | 57,000 | 7,554,714 | ||||||
Japan Tobacco, Inc. (a) | 170,800 | 3,225,788 | ||||||
Koito Manufacturing Co. Ltd. | 58,300 | 3,624,310 | ||||||
Komatsu Ltd. | 67,500 | 1,677,093 | ||||||
Kose Corp. | 19,900 | 3,132,127 | ||||||
Kubota Corp. (a) | 317,000 | 6,409,043 | ||||||
Kyocera Corp. | 81,100 | 5,011,620 | ||||||
Olympus Corp. | 270,500 | 5,374,156 | ||||||
Shin-Etsu Chemical Co. Ltd. | 17,200 | 2,874,884 | ||||||
SMC Corp. | 7,600 | 4,489,018 | ||||||
Sony Group Corp. | 35,800 | 3,474,500 | ||||||
Terumo Corp. | 154,500 | 6,258,403 | ||||||
Toyota Motor Corp. | 36,900 | 3,221,282 | ||||||
78,212,797 | ||||||||
Mexico — 0.5% | ||||||||
Grupo Televisa SAB Sponsored ADR | 255,500 | 3,648,540 | ||||||
Netherlands — 6.0% | ||||||||
Akzo Nobel NV | 55,040 | 6,801,605 | ||||||
CNH Industrial NV | 404,397 | 6,681,743 | ||||||
EXOR NV | 53,100 | 4,250,034 | ||||||
ING Groep NV | 417,681 | 5,525,779 | ||||||
Koninklijke Philips NV | 150,481 | 7,459,990 | ||||||
QIAGEN NV (b) | 78,713 | 3,804,619 | ||||||
Randstad NV | 65,392 | 5,004,779 | ||||||
Wolters Kluwer NV | 16,326 | 1,640,887 | ||||||
41,169,436 | ||||||||
Portugal — 0.4% | ||||||||
Galp Energia SGPS SA | 249,918 | 2,719,285 | ||||||
Republic of Korea — 0.5% | ||||||||
NAVER Corp. | 7,980 | 2,959,138 | ||||||
Samsung Electronics Co. Ltd. | 2,350 | 168,437 | ||||||
3,127,575 | ||||||||
Singapore — 0.7% | ||||||||
DBS Group Holdings, Ltd. | 227,400 | 5,046,226 | ||||||
South Africa — 0.8% | ||||||||
Naspers Ltd. | 27,600 | 5,798,031 | ||||||
Spain — 1.1% | ||||||||
Amadeus IT Group SA (b) | 112,959 | 7,943,990 |
MassMutual Overseas Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Sweden — 1.5% | ||||||||
Essity AB Class B | 57,235 | $ | 1,897,805 | |||||
Hennes & Mauritz AB Class B (b) | 148,794 | 3,530,919 | ||||||
SKF AB Class B | 101,500 | 2,585,747 | ||||||
Volvo AB Class B (a) | 102,400 | 2,464,810 | ||||||
10,479,281 | ||||||||
Switzerland — 12.6% | ||||||||
Cie Financiere Richemont SA Registered | 69,533 | 8,418,508 | ||||||
Credit Suisse Group AG Registered | 675,425 | 7,069,152 | ||||||
Holcim Ltd. | 50,384 | 3,022,864 | ||||||
Julius Baer Group Ltd. | 57,465 | 3,747,912 | ||||||
Nestle SA Registered | 140,603 | 17,510,044 | ||||||
Novartis AG Registered | 114,279 | 10,415,936 | ||||||
Roche Holding AG | 46,200 | 17,411,422 | ||||||
Sika AG Registered (a) | 14,456 | 4,726,878 | ||||||
The Swatch Group AG | 4,395 | 1,508,477 | ||||||
UBS Group AG Registered | 475,543 | 7,281,270 | ||||||
Zurich Insurance Group AG | 14,394 | 5,771,236 | ||||||
86,883,699 | ||||||||
Taiwan — 1.1% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 61,188 | 7,352,350 | ||||||
United Kingdom — 12.3% | ||||||||
Bunzl PLC | 22,130 | 731,767 | ||||||
Compass Group PLC (b) | 374,480 | 7,898,184 | ||||||
Diageo PLC | 164,811 | 7,898,321 | ||||||
Experian PLC | 154,836 | 5,973,121 | ||||||
Glencore PLC | 1,762,000 | 7,545,546 | ||||||
Liberty Global PLC Series A (b) | 170,000 | 4,617,200 | ||||||
Lloyds Banking Group PLC | 14,109,700 | 9,127,705 | ||||||
Natwest Group PLC | 1,280,700 | 3,598,618 | ||||||
Prudential PLC | 146,700 | 2,783,462 | ||||||
Reckitt Benckiser Group PLC | 53,056 | 4,695,520 | ||||||
RELX PLC | 263,168 | 6,991,459 | ||||||
Rio Tinto PLC | 61,369 | 5,052,315 | ||||||
Rolls-Royce Holdings PLC (b) | 2,691,448 | 3,692,372 | ||||||
Schroders PLC | 57,568 | 2,801,094 | ||||||
Smiths Group PLC | 191,231 | 4,213,381 | ||||||
Tesco PLC | 1,276,735 | 3,941,226 | ||||||
WPP PLC | 212,044 | 2,870,632 | ||||||
84,431,923 | ||||||||
United States — 0.6% | ||||||||
Yum China Holdings, Inc. | 59,306 | 3,929,022 | ||||||
TOTAL COMMON STOCK (Cost $514,841,866) | 676,468,940 | |||||||
PREFERRED STOCK — 0.0% | ||||||||
Germany — 0.0% | ||||||||
Henkel AG & Co. KGaA 2.130% | ||||||||
1,900 | 200,601 |
MassMutual Overseas Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TOTAL PREFERRED STOCK (Cost $138,707) | $ | 200,601 | ||||||
TOTAL EQUITIES (Cost $514,980,573) | 676,669,541 | |||||||
Principal Amount | ||||||||
BONDS & NOTES — 0.1% | ||||||||
CORPORATE DEBT — 0.1% | ||||||||
United Kingdom — 0.1% | ||||||||
Credit Suisse Group Guernsey VII Ltd. | ||||||||
3.000% 11/12/21 CHF (c) (d) | $ | 400,000 | 483,545 | |||||
3.000% 11/12/21 CHF (c) (d) | 335,000 | 405,548 | ||||||
889,093 | ||||||||
TOTAL CORPORATE DEBT (Cost $806,878) | 889,093 | |||||||
TOTAL BONDS & NOTES (Cost $806,878) | 889,093 | |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.8% | ||||||||
United States — 0.8% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (e) | 5,396,216 | 5,396,216 | ||||||
TOTAL MUTUAL FUNDS (Cost $5,396,216) | 5,396,216 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $521,183,667) | 682,954,850 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.2% | ||||||||
Repurchase Agreement — 1.2% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (f) | $ | 7,978,732 | 7,978,732 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,978,732) | 7,978,732 | |||||||
TOTAL INVESTMENTS — 100.4% (Cost $529,162,399) (g) | 690,933,582 | |||||||
Other Assets/(Liabilities) — (0.4)% | (2,496,968) | |||||||
NET ASSETS — 100.0% | $ | 688,436,614 |
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 June 30, 2021, was $17,164,070 or 2.49% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $12,655,850 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 June 30, 2021, the aggregate market value of these securities amounted to $889,093 or 0.13% of net assets. |
(d) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(e) | Represents investment of security lending cash collateral. (Note 2). |
(f) | Maturity value of $7,978,732. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $8,138,345. |
(g) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Overseas Fund — Portfolio of Investments (Continued) |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
State Street Bank and Trust Co. | 12/15/21 | USD | 3,425,113 | CHF | 3,065,000 | $ | 97,037 |
Currency Legend
CHF | Swiss Franc |
USD | U.S. Dollar |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 97.6% | ||||||||
COMMON STOCK — 96.6% | ||||||||
Australia — 2.2% | ||||||||
Australia & New Zealand Banking Group Ltd. | 107,861 | $ | 2,272,057 | |||||
BHP Group Ltd. | 277,298 | 10,058,421 | ||||||
Challenger Ltd. | 203,921 | 827,088 | ||||||
Downer EDI Ltd. | 660,791 | 2,776,323 | ||||||
IGO Ltd. | 569,545 | 3,256,355 | ||||||
Incitec Pivot Ltd. | 1,069,319 | 1,911,642 | ||||||
Macquarie Group Ltd. | 19,115 | 2,241,968 | ||||||
Rio Tinto Ltd. | 14,447 | 1,372,221 | ||||||
Scentre Group | 1,344,973 | 2,750,751 | ||||||
South32 Ltd. | 2,465,057 | 5,416,314 | ||||||
Treasury Wine Estates Ltd. | 253,517 | 2,220,190 | ||||||
Worley Ltd. | 394,327 | 3,535,923 | ||||||
38,639,253 | ||||||||
Austria — 0.7% | ||||||||
BAWAG Group AG (a) | 75,736 | 4,030,664 | ||||||
Erste Group Bank AG | 233,600 | 8,563,115 | ||||||
12,593,779 | ||||||||
Belgium — 0.4% | ||||||||
Anheuser-Busch InBev SA | 26,941 | 1,940,136 | ||||||
KBC Group NV | 39,353 | 2,997,638 | ||||||
Umicore SA | 38,843 | 2,374,525 | ||||||
7,312,299 | ||||||||
Bermuda — 0.4% | ||||||||
China Resources Gas Group Ltd. | 392,000 | 2,352,717 | ||||||
Credicorp Ltd. (b) | 14,217 | 1,721,821 | ||||||
Hongkong Land Holdings Ltd. | 299,400 | 1,426,244 | ||||||
Kunlun Energy Co. Ltd. | 2,062,000 | 1,901,513 | ||||||
7,402,295 | ||||||||
Brazil — 1.0% | ||||||||
Ambev SA | 279,200 | 958,210 | ||||||
B3 SA - Brasil Bolsa Balcao | 596,900 | 2,018,549 | ||||||
Banco BTG Pactual SA | 52,700 | 1,293,289 | ||||||
BRF SA (b) | 133,000 | 730,808 | ||||||
EDP - Energias do Brasil SA | 463,571 | 1,647,822 | ||||||
Lojas Renner SA | 118,958 | 1,057,846 | ||||||
Magazine Luiza SA | 572,686 | 2,435,222 | ||||||
Raia Drogasil SA | 513,230 | 2,549,743 | ||||||
Rede D'Or Sao Luiz SA (a) | 197,564 | 2,741,936 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Suzano SA (b) | 120,281 | $ | 1,446,380 | |||||
16,879,805 | ||||||||
British Virgin Islands — 0.1% | ||||||||
Mail.ru Group Ltd. GDR (a) (b) | 41,896 | 949,862 | ||||||
Canada — 3.2% | ||||||||
ARC Resources Ltd. (c) | 236,396 | 2,011,921 | ||||||
Element Fleet Management Corp. (c) | 260,742 | 3,041,569 | ||||||
Franco-Nevada Corp. | 16,930 | 2,456,871 | ||||||
Lundin Mining Corp. | 177,530 | 1,601,150 | ||||||
Magna International, Inc. | 102,335 | 9,480,314 | ||||||
Manulife Financial Corp. | 123,766 | 2,436,181 | ||||||
National Bank of Canada (c) | 103,409 | 7,738,991 | ||||||
Shopify, Inc. Class A (b) | 2,555 | 3,732,804 | ||||||
Sun Life Financial, Inc. | 222,806 | 11,488,996 | ||||||
TC Energy Corp. (c) | 52,434 | 2,594,629 | ||||||
TMX Group Ltd. | 49,985 | 5,279,958 | ||||||
Waste Connections, Inc. | 32,908 | 3,930,203 | ||||||
55,793,587 | ||||||||
Cayman Islands — 6.0% | ||||||||
AAC Technologies Holdings, Inc. | 121,000 | 905,472 | ||||||
Alibaba Group Holding Ltd. (b) | 172,380 | 4,884,009 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (b) | 96,339 | 21,847,758 | ||||||
Baidu, Inc. Sponsored ADR (b) | 40,471 | 8,252,037 | ||||||
China Mengniu Dairy Co. Ltd. (b) | 1,341,000 | 8,109,081 | ||||||
CK Hutchison Holdings Ltd. | 339,500 | 2,645,409 | ||||||
Dlocal Ltd. (b) | 11,583 | 608,455 | ||||||
ENN Energy Holdings Ltd. | 80,300 | 1,528,621 | ||||||
Greentown Service Group Co. Ltd. | 526,000 | 816,676 | ||||||
JOYY, Inc. ADR | 55,386 | 3,653,814 | ||||||
Kanzhun Ltd. (b) | 12,686 | 503,000 | ||||||
Kingboard Holdings Ltd. | 191,500 | 1,063,026 | ||||||
Kuaishou Technology (a) (b) | 9,000 | 225,803 | ||||||
Meituan Class B (a) (b) | 49,600 | 2,048,558 | ||||||
New Oriental Education & Technology Group, Inc. Sponsored ADR (b) | 93,600 | 766,584 | ||||||
Pagseguro Digital Ltd. Class A (b) (c) | 27,837 | 1,556,645 | ||||||
Sea Ltd. ADR (b) | 1,139 | 312,769 | ||||||
Sino Biopharmaceutical Ltd. | 1,435,000 | 1,408,384 | ||||||
StoneCo Ltd. Class A (b) | 49,202 | 3,299,486 | ||||||
TAL Education Group Sponsored ADR (b) | 25,296 | 638,218 | ||||||
Tencent Holdings Ltd. | 333,300 | 25,070,538 | ||||||
Tencent Music Entertainment Group ADR (b) | 38,200 | 591,336 | ||||||
Tongcheng-Elong Holdings Ltd. (b) | 817,200 | 2,046,175 | ||||||
Trip.com Group Ltd. ADR (b) | 44,850 | 1,590,381 | ||||||
Vipshop Holdings Ltd. ADR (b) | 42,557 | 854,545 | ||||||
Weibo Corp. Sponsored ADR (b) | 48,949 | 2,575,696 | ||||||
Wuxi Biologics Cayman, Inc. (a) (b) | 79,500 | 1,457,139 | ||||||
XP, Inc. Class A (b) | 74,703 | 3,253,316 | ||||||
Zhongsheng Group Holdings Ltd. | 170,000 | 1,414,470 | ||||||
103,927,401 | ||||||||
Chile — 0.1% | ||||||||
Banco Santander Chile Sponsored ADR | 86,606 | 1,720,861 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
China — 3.0% | ||||||||
Anhui Conch Cement Co. Ltd. Class H | 372,500 | $ | 1,976,611 | |||||
Beijing Capital International Airport Co. Ltd. Class H (b) | 2,076,000 | 1,376,995 | ||||||
BTG Hotels Group Co. Ltd. Class A | 427,425 | 1,577,989 | ||||||
China Construction Bank Corp. Class H | 3,238,000 | 2,543,463 | ||||||
China Merchants Bank Co. Ltd. Class H | 184,500 | 1,574,328 | ||||||
Fuyao Glass Industry Group Co. Ltd. | 114,000 | 985,825 | ||||||
Gree Electric Appliances, Inc. of Zhuhai Class A | 1,037,600 | 8,368,850 | ||||||
Guangzhou Automobile Group Co. Ltd. Class H | 1,210,000 | 1,086,251 | ||||||
Hisense Home Appliances Group Co. Ltd. | 636,000 | 1,414,592 | ||||||
Hongfa Technology Co. Ltd. | 130,800 | 1,269,978 | ||||||
Huayu Automotive Systems Co. Ltd. | 284,100 | 1,155,634 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. Class A | 98,460 | 1,035,986 | ||||||
Kweichow Moutai Co. Ltd. Class A | 18,498 | 5,890,504 | ||||||
Midea Group Co. Ltd. Class A | 101,000 | 1,116,854 | ||||||
NARI Technology Co. Ltd. | 1,001,899 | 3,604,933 | ||||||
PICC Property & Casualty Co. Ltd. Class H | 2,008,000 | 1,756,453 | ||||||
Ping An Bank Co. Ltd. Class A | 329,500 | 1,153,779 | ||||||
Ping An Insurance Group Co. of China Ltd. Class A | 153,300 | 1,525,392 | ||||||
Ping An Insurance Group Co. of China Ltd. Class H | 634,000 | 6,189,703 | ||||||
Sinopharm Group Co. Ltd. Class H | 350,800 | 1,043,715 | ||||||
Songcheng Performance Development Co. Ltd. | 555,000 | 1,442,279 | ||||||
Tsingtao Brewery Co. Ltd. Class H | 120,000 | 1,290,840 | ||||||
Yifeng Pharmacy Chain Co. Ltd. Class A | 157,916 | 1,370,992 | ||||||
Zhejiang Runtu Co. Ltd. | 985,153 | 1,349,429 | ||||||
52,101,375 | ||||||||
Cyprus — 0.1% | ||||||||
Ozon Holdings PLC (b) (c) | 18,010 | 1,055,746 | ||||||
Czech Republic — 0.1% | ||||||||
Komercni banka AS (b) | 27,915 | 982,617 | ||||||
Denmark — 0.2% | ||||||||
Chr Hansen Holding A/S | 16,860 | 1,521,880 | ||||||
Genmab A/S (b) | 3,694 | 1,506,716 | ||||||
3,028,596 | ||||||||
Finland — 0.7% | ||||||||
Kojamo OYJ | 58,737 | 1,342,202 | ||||||
Sampo OYJ Class A | 186,315 | 8,568,089 | ||||||
Stora Enso OYJ Class R | 131,460 | 2,399,628 | ||||||
12,309,919 | ||||||||
France — 7.2% | ||||||||
Air Liquide SA | 39,384 | 6,901,025 | ||||||
Alstom SA (b) | 47,820 | 2,416,368 | ||||||
AXA SA | 480,136 | 12,163,735 | ||||||
BNP Paribas SA | 151,883 | 9,511,535 | ||||||
Dassault Aviation SA | 6,088 | 7,167,061 | ||||||
Electricite de France SA | 201,822 | 2,755,613 | ||||||
Engie SA | 535,400 | 7,339,920 | ||||||
EssilorLuxottica SA | 51,546 | 9,517,835 | ||||||
Eutelsat Communications SA | 124,236 | 1,452,016 | ||||||
Ipsen SA | 14,257 | 1,483,247 | ||||||
Kering SA | 3,048 | 2,667,215 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
L'Oreal SA | 11,021 | $ | 4,914,390 | |||||
Legrand SA | 21,064 | 2,230,759 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,243 | 1,761,129 | ||||||
Orange SA | 146,733 | 1,673,296 | ||||||
Safran SA | 14,280 | 1,981,270 | ||||||
Sanofi | 181,653 | 19,034,630 | ||||||
Teleperformance | 5,730 | 2,325,975 | ||||||
Thales SA | 126,431 | 12,906,682 | ||||||
TotalEnergies SE (c) | 263,634 | 11,960,375 | ||||||
Valeo SA | 45,914 | 1,382,844 | ||||||
123,546,920 | ||||||||
Germany — 5.8% | ||||||||
Auto1 Group SE (a) (b) | 17,064 | 749,643 | ||||||
BASF SE | 74,029 | 5,833,630 | ||||||
Bayer AG Registered | 165,305 | 10,040,906 | ||||||
Beiersdorf AG | 27,760 | 3,350,398 | ||||||
Covestro AG (a) | 74,601 | 4,818,799 | ||||||
Daimler AG Registered | 48,502 | 4,332,698 | ||||||
Deutsche Boerse AG | 27,367 | 4,776,946 | ||||||
Evotec SE (b) | 104,881 | 4,755,820 | ||||||
Fresenius SE & Co. KGaA | 126,550 | 6,603,440 | ||||||
GEA Group AG | 64,312 | 2,604,930 | ||||||
HeidelbergCement AG | 26,726 | 2,293,019 | ||||||
KION Group AG | 34,103 | 3,634,720 | ||||||
Knorr-Bremse AG | 35,661 | 4,103,999 | ||||||
MorphoSys AG (b) | 22,455 | 1,741,930 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered | 29,606 | 8,110,460 | ||||||
SAP SE | 25,203 | 3,556,079 | ||||||
Siemens AG Registered | 93,919 | 14,881,457 | ||||||
Siemens Healthineers AG (a) | 54,936 | 3,368,780 | ||||||
Stroeer SE & Co KGaA | 17,444 | 1,397,140 | ||||||
Teamviewer AG (a) (b) | 39,191 | 1,476,359 | ||||||
Telefonica Deutschland Holding AG | 473,382 | 1,249,178 | ||||||
Zalando SE (a) (b) | 52,061 | 6,293,478 | ||||||
99,973,809 | ||||||||
Hong Kong — 1.7% | ||||||||
AIA Group Ltd. | 1,354,400 | 16,833,404 | ||||||
Beijing Enterprises Holdings Ltd. | 234,500 | 832,074 | ||||||
China Overseas Land & Investment Ltd. | 546,500 | 1,241,647 | ||||||
China Resources Beer Holdings Company Ltd. | 236,000 | 2,117,633 | ||||||
Fosun International Ltd. | 1,405,000 | 2,021,098 | ||||||
Galaxy Entertainment Group Ltd. (b) | 414,000 | 3,314,037 | ||||||
Guangdong Investment Ltd. | 1,382,000 | 1,986,415 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 16,500 | 983,502 | ||||||
29,329,810 | ||||||||
Hungary — 0.4% | ||||||||
OTP Bank Nyrt (b) | 115,025 | 6,193,950 | ||||||
India — 3.3% | ||||||||
Ambuja Cements Ltd. | 542,979 | 2,487,589 | ||||||
Ashok Leyland Ltd. (b) | 527,099 | 872,567 | ||||||
Axis Bank Ltd. (b) | 424,578 | 4,283,020 | ||||||
HDFC Bank Ltd. | 173,593 | 3,498,956 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Hindalco Industries Ltd. | 231,284 | $ | 1,159,997 | |||||
Housing Development Finance Corp. Ltd. | 422,055 | 14,095,377 | ||||||
ICICI Bank Ltd. (b) | 290,119 | 2,468,870 | ||||||
ICICI Bank Ltd. Sponsored ADR (b) | 140,534 | 2,403,131 | ||||||
Indus Towers Ltd. | 465,852 | 1,502,356 | ||||||
Infosys Ltd. | 260,459 | 5,494,230 | ||||||
Kotak Mahindra Bank Ltd. (b) | 127,818 | 2,934,036 | ||||||
Maruti Suzuki India Ltd. | 31,084 | 3,156,166 | ||||||
NTPC Ltd. | 2,597,943 | 4,068,171 | ||||||
Petronet LNG Ltd. | 335,670 | 1,024,351 | ||||||
Reliance Industries Ltd. | 47,453 | 1,350,351 | ||||||
Shriram Transport Finance Co. Ltd. | 195,023 | 3,526,637 | ||||||
Tata Consultancy Services Ltd. | 16,221 | 732,012 | ||||||
Tech Mahindra Ltd. | 131,452 | 1,940,950 | ||||||
56,998,767 | ||||||||
Indonesia — 0.6% | ||||||||
Astra International Tbk PT | 2,717,200 | 925,722 | ||||||
Bank Central Asia Tbk PT | 2,387,600 | 4,960,584 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 5,478,600 | 1,488,668 | ||||||
Sarana Menara Nusantara Tbk PT | 36,511,800 | 3,122,460 | ||||||
10,497,434 | ||||||||
Ireland — 0.4% | ||||||||
DCC PLC | 24,767 | 2,028,795 | ||||||
Linde PLC (b) | 15,924 | 4,601,041 | ||||||
6,629,836 | ||||||||
Italy — 1.0% | ||||||||
Banca Mediolanum SpA | 343,212 | 3,336,336 | ||||||
DiaSorin SpA | 13,862 | 2,622,328 | ||||||
Intesa Sanpaolo SpA | 589,643 | 1,627,447 | ||||||
Leonardo SpA (b) | 251,996 | 2,041,280 | ||||||
Moncler SpA | 44,639 | 3,021,763 | ||||||
Prysmian SpA | 148,941 | 5,342,075 | ||||||
17,991,229 | ||||||||
Japan — 14.9% | ||||||||
Asahi Group Holdings Ltd. (c) | 71,000 | 3,316,233 | ||||||
Asahi Kasei Corp. | 218,300 | 2,390,551 | ||||||
Asics Corp. | 102,400 | 2,590,277 | ||||||
Astellas Pharma, Inc. | 636,600 | 11,081,684 | ||||||
Benesse Holdings, Inc. | 52,200 | 1,297,882 | ||||||
Bridgestone Corp. (c) | 56,100 | 2,551,588 | ||||||
Central Japan Railway Co. | 13,400 | 2,031,720 | ||||||
CyberAgent, Inc. | 156,200 | 3,355,522 | ||||||
Dai-ichi Life Holdings, Inc. | 117,800 | 2,155,949 | ||||||
Daiichi Sankyo Co. Ltd. | 29,900 | 644,187 | ||||||
Denso Corp. | 30,100 | 2,052,463 | ||||||
DIC Corp. (c) | 72,900 | 1,835,696 | ||||||
Disco Corp. | 5,500 | 1,681,855 | ||||||
Eisai Co. Ltd. | 6,700 | 654,752 | ||||||
Electric Power Development Co. Ltd. | 74,600 | 1,064,551 | ||||||
Fujitsu General Ltd. | 127,500 | 3,380,999 | ||||||
Fujitsu Ltd. | 34,200 | 6,405,800 | ||||||
Hamamatsu Photonics KK | 37,200 | 2,242,709 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Hikari Tsushin, Inc. (c) | 5,900 | $ | 1,035,859 | |||||
Hitachi Ltd. | 114,600 | 6,558,655 | ||||||
Hitachi Metals Ltd. (b) | 153,600 | 2,937,137 | ||||||
Honda Motor Co. Ltd. | 37,400 | 1,199,026 | ||||||
Hoshizaki Corp. | 27,100 | 2,302,071 | ||||||
JGC Holdings Corp. | 125,000 | 1,164,825 | ||||||
Kansai Paint Co. Ltd. | 49,200 | 1,253,305 | ||||||
Kao Corp. (c) | 26,000 | 1,599,352 | ||||||
Kirin Holdings Co. Ltd. (c) | 207,100 | 4,036,925 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 63,300 | 2,793,990 | ||||||
Mitsubishi Corp. | 66,500 | 1,811,421 | ||||||
Mitsubishi Electric Corp. | 518,300 | 7,509,333 | ||||||
Mitsubishi Estate Co. Ltd. | 148,100 | 2,394,157 | ||||||
Mitsubishi HC Capital, Inc. | 204,800 | 1,093,106 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,188,100 | 6,413,787 | ||||||
Mitsui Fudosan Co. Ltd. | 284,000 | 6,575,029 | ||||||
Murata Manufacturing Co. Ltd. | 87,700 | 6,692,392 | ||||||
Nippon Shokubai Co. Ltd. | 30,400 | 1,460,787 | ||||||
Nippon Telegraph & Telephone Corp. | 787,200 | 20,505,395 | ||||||
NTT Data Corp. | 360,400 | 5,620,023 | ||||||
Omron Corp. | 20,600 | 1,632,748 | ||||||
ORIX Corp. | 255,500 | 4,299,178 | ||||||
Otsuka Holdings Co. Ltd. (c) | 294,700 | 12,217,276 | ||||||
Outsourcing, Inc. | 131,500 | 2,388,672 | ||||||
Pan Pacific International Holding Corp. | 98,100 | 2,036,751 | ||||||
Panasonic Corp. | 186,100 | 2,152,423 | ||||||
Persol Holdings Co. Ltd. | 270,800 | 5,347,401 | ||||||
Pola Orbis Holdings, Inc. | 26,400 | 697,472 | ||||||
Recruit Holdings Co. Ltd. | 64,500 | 3,173,782 | ||||||
Renesas Electronics Corp. (b) | 114,600 | 1,239,847 | ||||||
Seven & i Holdings Co. Ltd. | 166,400 | 7,932,121 | ||||||
Shimadzu Corp. | 47,400 | 1,831,719 | ||||||
Shiseido Co. Ltd. | 11,300 | 830,908 | ||||||
SMC Corp. | 1,900 | 1,122,255 | ||||||
SoftBank Group Corp. | 26,000 | 1,820,788 | ||||||
Sompo Holdings, Inc. | 80,800 | 2,976,894 | ||||||
Sony Group Corp. | 78,800 | 7,647,782 | ||||||
Stanley Electric Co. Ltd. | 217,600 | 6,293,882 | ||||||
Sumitomo Corp. | 361,400 | 4,835,048 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 44,100 | 1,395,824 | ||||||
Sumitomo Rubber Industries Ltd. (c) | 65,700 | 906,295 | ||||||
Suzuki Motor Corp. | 89,100 | 3,768,639 | ||||||
Taiheiyo Cement Corp. | 51,300 | 1,124,946 | ||||||
Takeda Pharmaceutical Co. Ltd. | 196,831 | 6,610,579 | ||||||
Takeda Pharmaceutical Co. Ltd. Sponsored ADR | 57,917 | 974,743 | ||||||
TechnoPro Holdings, Inc. | 79,500 | 1,881,618 | ||||||
THK Co. Ltd. | 41,000 | 1,222,519 | ||||||
Tokio Marine Holdings, Inc. | 66,100 | 3,029,124 | ||||||
Tokyo Electron Ltd. | 16,100 | 6,931,723 | ||||||
Tosoh Corp. | 21,300 | 367,170 | ||||||
Toyota Motor Corp. | 168,900 | 14,744,567 | ||||||
Welcia Holdings Co. Ltd. | 31,800 | 1,038,842 | ||||||
Z Holdings Corp. | 1,209,700 | 6,065,705 | ||||||
256,230,234 | ||||||||
Luxembourg — 0.5% | ||||||||
Globant SA (b) | 2,700 | 591,786 | ||||||
InPost SA (b) | 34,221 | 687,525 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Millicom International Cellular SA (b) | 43,432 | $ | 1,720,175 | |||||
Samsonite International SA (a) (b) | 468,600 | 958,408 | ||||||
Tenaris SA | 144,476 | 1,582,031 | ||||||
Tenaris SA ADR | 101,515 | 2,223,179 | ||||||
7,763,104 | ||||||||
Malaysia — 0.1% | ||||||||
CIMB Group Holdings Bhd | 1,087,900 | 1,208,632 | ||||||
Mexico — 0.5% | ||||||||
Gruma SAB de CV Class B | 100,330 | 1,127,719 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV ADR (c) | 12,460 | 1,331,849 | ||||||
Grupo Aeroportuario del Sureste SAB de CV ADR (b) | 9,394 | 1,736,951 | ||||||
Grupo Mexico SAB de CV Series B | 155,684 | 733,825 | ||||||
Orbia Advance Corp. SAB de CV | 431,778 | 1,128,722 | ||||||
Wal-Mart de Mexico SAB de CV | 593,800 | 1,939,516 | ||||||
7,998,582 | ||||||||
Netherlands — 6.3% | ||||||||
Adyen NV (a) (b) | 531 | 1,297,723 | ||||||
Airbus SE (b) | 43,315 | 5,578,128 | ||||||
Akzo Nobel NV | 102,970 | 12,724,587 | ||||||
ASML Holding NV | 36,444 | 25,091,746 | ||||||
CNH Industrial NV | 193,296 | 3,193,778 | ||||||
ING Groep NV | 1,039,969 | 13,758,441 | ||||||
Koninklijke DSM NV | 16,949 | 3,164,213 | ||||||
Koninklijke Philips NV | 271,834 | 13,475,980 | ||||||
NXP Semiconductor NV | 57,862 | 11,903,371 | ||||||
Prosus NV | 94,944 | 9,289,855 | ||||||
Shop Apotheke Europe NV (a) (b) | 2,720 | 511,082 | ||||||
Signify NV (a) | 39,463 | 2,496,559 | ||||||
Stellantis NV | 171,043 | 3,355,447 | ||||||
X5 Retail Group NV GDR (a) | 42,605 | 1,494,684 | ||||||
Yandex NV Class A (b) | 20,800 | 1,471,600 | ||||||
108,807,194 | ||||||||
Norway — 0.7% | ||||||||
DNB ASA | 224,868 | 4,897,797 | ||||||
Equinor ASA | 178,845 | 3,785,446 | ||||||
Storebrand ASA | 307,476 | 2,786,108 | ||||||
11,469,351 | ||||||||
Philippines — 0.3% | ||||||||
Bank of the Philippine Islands | 548,340 | 996,283 | ||||||
SM Investments Corp. | 186,175 | 3,811,773 | ||||||
Universal Robina Corp. | 404,650 | 1,197,748 | ||||||
6,005,804 | ||||||||
Poland — 0.3% | ||||||||
Powszechny Zaklad Ubezpieczen SA (b) | 465,080 | 4,478,063 | ||||||
Portugal — 0.8% | ||||||||
Banco Comercial Portugues SA (b) | 5,488,796 | 877,851 | ||||||
Galp Energia SGPS SA | 697,820 | 7,592,777 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Jeronimo Martins SGPS SA | 247,032 | $ | 4,505,961 | |||||
12,976,589 | ||||||||
Republic of Korea — 4.6% | ||||||||
Amorepacific Corp. | 10,194 | 2,278,505 | ||||||
Hyundai Motor Co. | 5,451 | 1,159,585 | ||||||
KT Corp. Sponsored ADR | 178,169 | 2,485,458 | ||||||
KT Corp. | 45,462 | 1,283,918 | ||||||
LG Household & Health Care Ltd. | 7,354 | 11,507,456 | ||||||
NAVER Corp. | 44,706 | 16,577,846 | ||||||
POSCO | 10,601 | 3,262,325 | ||||||
Samsung Electronics Co. Ltd. | 570,543 | 40,893,866 | ||||||
79,448,959 | ||||||||
Russia — 0.9% | ||||||||
LUKOIL PJSC Sponsored ADR | 9,534 | 885,421 | ||||||
Moscow Exchange MICEX-RTS PJSC | 229,800 | 535,448 | ||||||
Novatek PJSC Sponsored GDR Registered (a) | 10,243 | 2,247,557 | ||||||
Sberbank of Russia PJSC Sponsored ADR | 663,711 | 11,012,335 | ||||||
14,680,761 | ||||||||
Saudi Arabia — 0.4% | ||||||||
Al Rajhi Bank | 45,614 | 1,350,070 | ||||||
The Saudi British Bank (b) | 127,526 | 1,071,261 | ||||||
The Saudi National Bank | 239,810 | 3,683,364 | ||||||
6,104,695 | ||||||||
Singapore — 0.9% | ||||||||
DBS Group Holdings, Ltd. | 74,700 | 1,657,665 | ||||||
Jardine Cycle & Carriage Ltd. | 77,500 | 1,231,117 | ||||||
United Overseas Bank Ltd. | 362,600 | 6,972,956 | ||||||
Wilmar International Ltd. | 753,300 | 2,524,691 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 3,162,200 | 3,324,414 | ||||||
15,710,843 | ||||||||
South Africa — 1.3% | ||||||||
Capitec Bank Holdings Ltd. | 32,733 | 3,867,240 | ||||||
Clicks Group Ltd. (c) | 70,254 | 1,209,075 | ||||||
FirstRand Ltd. | 857,627 | 3,219,862 | ||||||
Naspers Ltd. | 54,853 | 11,523,167 | ||||||
Shoprite Holdings Ltd. | 171,307 | 1,864,364 | ||||||
Telkom SA SOC Ltd. | 177,237 | 575,637 | ||||||
22,259,345 | ||||||||
Spain — 0.7% | ||||||||
Amadeus IT Group SA (b) | 38,512 | 2,708,407 | ||||||
Banco Bilbao Vizcaya Argentaria SA (b) | 512,170 | 3,186,389 | ||||||
Iberdrola SA | 396,221 | 4,828,123 | ||||||
Indra Sistemas SA (b) | 123,471 | 1,126,476 | ||||||
11,849,395 | ||||||||
Sweden — 1.4% | ||||||||
Assa Abloy AB Class B | 72,392 | 2,181,091 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Elekta AB | 144,162 | $ | 2,089,293 | |||||
Essity AB Class B | 59,316 | 1,966,807 | ||||||
Lundin Energy AB | 86,109 | 3,055,246 | ||||||
Svenska Handelsbanken AB Class A | 242,599 | 2,735,975 | ||||||
Swedbank AB Class A | 392,523 | 7,298,719 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 350,680 | 4,409,831 | ||||||
23,736,962 | ||||||||
Switzerland — 5.8% | ||||||||
ABB Ltd. Registered | 124,236 | 4,217,127 | ||||||
Alcon, Inc. | 50,590 | 3,543,669 | ||||||
Barry Callebaut AG Registered | 1,568 | 3,643,308 | ||||||
Holcim Ltd. (a) (b) | 20,888 | 1,253,207 | ||||||
Julius Baer Group Ltd. | 89,214 | 5,818,606 | ||||||
Lonza Group AG Registered | 10,625 | 7,531,985 | ||||||
Nestle SA Registered | 190,895 | 23,773,177 | ||||||
Novartis AG Registered | 158,497 | 14,446,176 | ||||||
PolyPeptide Group AG (a) (b) | 7,254 | 669,540 | ||||||
Roche Holding AG | 56,083 | 21,136,034 | ||||||
Temenos Group AG Registered | 6,465 | 1,038,802 | ||||||
UBS Group AG Registered | 250,587 | 3,836,859 | ||||||
Zurich Insurance Group AG | 19,972 | 8,007,721 | ||||||
98,916,211 | ||||||||
Taiwan — 4.0% | ||||||||
Hon Hai Precision Industry Co. Ltd. | 661,000 | 2,657,048 | ||||||
Largan Precision Co. Ltd. | 39,000 | 4,339,166 | ||||||
MediaTek, Inc. | 100,000 | 3,452,669 | ||||||
President Chain Store Corp. | 190,000 | 1,792,313 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 2,568,000 | 54,839,300 | ||||||
Vanguard International Semiconductor Corp. | 307,000 | 1,297,311 | ||||||
68,377,807 | ||||||||
Thailand — 0.5% | ||||||||
Airports of Thailand PCL | 396,300 | 766,633 | ||||||
Bangkok Dusit Medical Services PCL | 1,789,300 | 1,284,053 | ||||||
CP ALL PCL | 2,994,800 | 5,583,130 | ||||||
Land & Houses PCL | 6,263,300 | 1,554,902 | ||||||
9,188,718 | ||||||||
Turkey — 0.0% | ||||||||
BIM Birlesik Magazalar AS | 74,049 | 528,660 | ||||||
United Arab Emirates — 0.1% | ||||||||
First Abu Dhabi Bank PJSC | 540,641 | 2,458,384 | ||||||
United Kingdom — 11.8% | ||||||||
Amcor PLC | 601,961 | 6,838,460 | ||||||
Antofagasta PLC | 136,535 | 2,712,199 | ||||||
Ashtead Group PLC | 51,310 | 3,811,104 | ||||||
ASOS PLC (b) | 103,649 | 7,122,021 | ||||||
AstraZeneca PLC Sponsored ADR (c) | 358,095 | 21,449,891 | ||||||
Aviva PLC | 937,489 | 5,271,748 | ||||||
BHP Group PLC | 119,143 | 3,511,815 | ||||||
boohoo Group PLC (b) | 893,804 | 3,841,271 | ||||||
BP PLC Sponsored ADR | 106,909 | 2,824,536 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
British American Tobacco PLC | 69,629 | $ | 2,714,291 | |||||
Bunzl PLC | 43,281 | 1,431,161 | ||||||
Burberry Group PLC (b) | 90,539 | 2,593,132 | ||||||
Close Brothers Group PLC | 39,362 | 824,245 | ||||||
Compass Group PLC (b) | 132,159 | 2,787,375 | ||||||
Deliveroo Holdings PLC Class A (a) (b) (c) | 87,435 | 348,875 | ||||||
Deliveroo Holdings PLC., Lockup Shares (Acquired 5/16/19, Cost $550,376) (a) (b) (d) (e) | 263,400 | 998,277 | ||||||
Diageo PLC | 78,059 | 3,740,861 | ||||||
Direct Line Insurance Group PLC | 185,342 | 730,339 | ||||||
Dr. Martens Plc (b) | 63,118 | 388,478 | ||||||
Fresnillo PLC | 117,919 | 1,259,101 | ||||||
GlaxoSmithKline PLC Sponsored ADR (c) | 230,234 | 9,167,918 | ||||||
Great Portland Estates PLC | 420,528 | 4,130,584 | ||||||
Hargreaves Lansdown PLC | 35,240 | 775,062 | ||||||
HSBC Holdings PLC | 341,308 | 1,969,621 | ||||||
Imperial Brands PLC | 142,304 | 3,066,577 | ||||||
Informa PLC (b) | 269,898 | 1,876,118 | ||||||
Investec PLC | 257,175 | 1,026,646 | ||||||
Johnson Matthey PLC | 78,632 | 3,347,446 | ||||||
Kingfisher PLC | 715,607 | 3,610,466 | ||||||
Lloyds Banking Group PLC | 9,863,392 | 6,380,726 | ||||||
London Stock Exchange Group PLC | 56,749 | 6,259,293 | ||||||
Meggitt PLC (b) | 836,262 | 5,347,129 | ||||||
Melrose Industries PLC | 1,417,243 | 3,049,473 | ||||||
Mondi PLC | 49,203 | 1,296,393 | ||||||
National Grid PLC | 222,363 | 2,831,202 | ||||||
Network International Holdings PLC (a) (b) | 774,456 | 3,918,369 | ||||||
Next PLC (b) | 56,005 | 6,095,155 | ||||||
Persimmon PLC | 63,471 | 2,601,834 | ||||||
Playtech PLC (b) | 83,052 | 488,479 | ||||||
Prudential PLC | 186,068 | 3,530,425 | ||||||
Rolls-Royce Holdings PLC (b) | 2,163,612 | 2,968,239 | ||||||
Royal Dutch Shell PLC Class B Sponsored ADR | 42,402 | 1,646,470 | ||||||
Royal Dutch Shell PLC Class B | 218,506 | 4,245,666 | ||||||
Smith & Nephew PLC | 225,577 | 4,888,448 | ||||||
Smiths Group PLC | 142,180 | 3,132,643 | ||||||
Standard Chartered PLC | 137,398 | 875,434 | ||||||
THG PLC (b) | 203,283 | 1,715,098 | ||||||
Unilever PLC | 240,099 | 14,043,141 | ||||||
Unilever PLC | 121,489 | 7,110,665 | ||||||
Vodafone Group PLC | 2,228,074 | 3,747,460 | ||||||
Vodafone Group PLC Sponsored ADR (c) | 160,803 | 2,754,555 | ||||||
Whitbread PLC (b) | 57,426 | 2,485,213 | ||||||
WPP PLC | 530,003 | 7,175,132 | ||||||
202,756,260 | ||||||||
United States — 1.2% | ||||||||
Autoliv, Inc. | 19,527 | 1,922,278 | ||||||
Broadcom, Inc. | 9,010 | 4,296,328 | ||||||
Coupang, Inc. (b) (c) | 35,653 | 1,491,009 | ||||||
MercadoLibre, Inc. (b) | 1,871 | 2,914,625 | ||||||
Philip Morris International, Inc. | 21,064 | 2,087,653 | ||||||
Southern Copper Corp. | 10,775 | 693,048 | ||||||
Visa, Inc. Class A | 21,347 | 4,991,356 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Yum China Holdings, Inc. | 46,600 | $ | 3,087,250 | |||||
21,483,547 | ||||||||
TOTAL COMMON STOCK (Cost $1,342,763,979) | 1,660,297,250 | |||||||
PREFERRED STOCK — 1.0% | ||||||||
Brazil — 0.5% | ||||||||
Banco Bradesco SA 3.340% | 260,920 | 1,349,767 | ||||||
Itau Unibanco Holding SA 0.550% | 1,150,050 | 6,890,404 | ||||||
Petroleo Brasileiro SA 0.250% | 107,400 | 635,486 | ||||||
8,875,657 | ||||||||
Germany — 0.3% | ||||||||
Sartorius AG 0.150% | 1,443 | 751,140 | ||||||
Volkswagen AG 2.300% | 19,007 | 4,766,491 | ||||||
5,517,631 | ||||||||
Italy — 0.1% | ||||||||
Telecom Italia SpA 6.110% | 2,132,106 | 1,129,929 | ||||||
Republic of Korea — 0.1% | ||||||||
Samsung Electronics Co. Ltd. 3.760% | 18,652 | 1,220,830 | ||||||
TOTAL PREFERRED STOCK (Cost $14,956,995) | 16,744,047 | |||||||
TOTAL EQUITIES (Cost $1,357,720,974) | 1,677,041,297 | |||||||
MUTUAL FUNDS — 1.3% | ||||||||
United States — 1.3% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) | 21,879,547 | 21,879,547 | ||||||
TOTAL MUTUAL FUNDS (Cost $21,879,547) | 21,879,547 | |||||||
RIGHTS — 0.0% | ||||||||
Russia — 0.0% | ||||||||
Moscow Exchange (b) | 83,990 | 195,702 | ||||||
TOTAL RIGHTS (Cost $150,842) | 195,702 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,379,751,363) | 1,699,116,546 | |||||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||||
Mutual Fund — 1.8% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 31,707,781 | 31,707,781 |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Repurchase Agreement — 0.1% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (g) | $ | 1,067,592 | $ | 1,067,592 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $32,775,373) | 32,775,373 | |||||||
TOTAL INVESTMENTS — 100.8% (Cost $1,412,526,736) (h) | 1,731,891,919 | |||||||
Other Assets/(Liabilities) — (0.8)% | (14,274,238) | |||||||
NET ASSETS — 100.0% | $ | 1,717,617,681 |
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) | 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 June 30, 2021, the aggregate market value of these securities amounted to $44,355,302 or 2.58% 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 June 30, 2021, was $86,627,507 or 5.04% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $68,397,321 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) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $998,277 or 0.06% of net assets. |
(e) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $998,277 or 0.06% 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 $1,067,592. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $1,088,957. |
(h) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued) |
OTC Options Written | ||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Exercise Price | No. of Contracts | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Erste Group Bank AG | Morgan Stanley and Co. International | 7/16/21 | 36.00 | 7 | EUR | 25,200 | $ | (13 | ) | $ | (469 | ) | $ | 456 | ||||||||||||||||
Erste Group Bank AG | Morgan Stanley and Co. International | 7/16/21 | 36.00 | 45 | EUR | 162,000 | (85 | ) | (2,855 | ) | 2,770 | |||||||||||||||||||
Julius Baer Gruppe AG | Morgan Stanley and Co. International | 9/17/21 | 68.00 | 68 | CHF | 462,400 | (3,433 | ) | (7,675 | ) | 4,242 | |||||||||||||||||||
$ | (3,531 | ) | $ | (10,999 | ) | $ | 7,468 |
Currency Legend
CHF | Swiss Franc |
EUR | Euro |
MassMutual 20/80 Allocation Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
Equity Funds — 22.8% | ||||||||
DFA Commodity Strategy Portfolio | 317,526 | $ | 2,108,370 | |||||
Invesco Real Estate Fund, Class R6 | 23,299 | 509,078 | ||||||
MassMutual International Equity Fund, Class I (a) | 76,306 | 788,244 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 85,342 | 1,410,700 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 105,229 | 3,570,426 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 201,267 | 2,717,106 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 197,963 | 3,986,977 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 312,417 | 3,327,237 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 128,410 | 1,426,636 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 47,228 | 1,467,378 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 150,188 | 2,278,357 | ||||||
MassMutual Overseas Fund, Class I (a) | 274,088 | 2,839,551 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 12,729 | 270,247 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 67,040 | 901,019 | ||||||
MM Equity Asset Fund, Class I (a) | 1,329,663 | 13,456,187 | ||||||
Vanguard Developed Markets Index Fund, Admiral Shares | 150,940 | 2,495,043 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 11,475 | 517,537 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 7,963 | 2,340,659 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 7,767 | 838,349 | ||||||
47,249,101 | ||||||||
Fixed Income Funds — 77.2% | ||||||||
Barings Global Floating Rate Fund, Class Y (a) | 164,176 | 1,546,543 | ||||||
Invesco Oppenheimer International Bond Fund, Class R6 | 1,329,470 | 7,139,256 | ||||||
MassMutual Core Bond Fund, Class I (a) | 3,040,793 | 34,330,552 | ||||||
MassMutual High Yield Fund, Class I (a) | 138,366 | 1,278,498 | ||||||
MassMutual Inflation-Protected and Income Fund, Class I (a) | 534,428 | 6,017,663 | ||||||
MassMutual Short-Duration Bond Fund, Class I (a) | 4,034,726 | 40,589,341 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 2,385,525 | 25,978,366 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 3,398,069 | 34,660,303 | ||||||
Vanguard Long-Term Treasury Index Fund, Admiral Shares | 10,703 | 315,102 | ||||||
Vanguard Total Bond Market Index Fund, Institutional Shares | 682,890 | 7,723,485 | ||||||
159,579,109 | ||||||||
TOTAL MUTUAL FUNDS (Cost $193,650,874) | 206,828,210 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $193,650,874) | 206,828,210 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $193,650,874) (b) | 206,828,210 | |||||||
Other Assets/(Liabilities) — (0.0)% | (49,132) | |||||||
NET ASSETS — 100.0% | $ | 206,779,078 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual 40/60 Allocation Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 43.1% | ||||||||
DFA Commodity Strategy Portfolio | 265,632 | $ | 1,763,798 | |||||
Invesco Real Estate Fund, Class R6 | 40,290 | 880,335 | ||||||
MassMutual International Equity Fund, Class I (a) | 178,425 | 1,843,134 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 135,211 | 2,235,035 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 259,583 | 8,807,634 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 409,458 | 5,527,689 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 435,636 | 8,773,711 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 663,466 | 7,065,910 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 266,396 | 2,959,660 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 80,243 | 2,493,147 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 270,073 | 4,097,004 | ||||||
MassMutual Overseas Fund, Class I (a) | 563,774 | 5,840,698 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 29,614 | 628,709 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 174,882 | 2,350,413 | ||||||
MM Equity Asset Fund, Class I (a) | 2,662,407 | 26,943,562 | ||||||
Vanguard Developed Markets Index Fund, Institutional Shares | 378,940 | 6,271,449 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 46,717 | 2,106,929 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 16,959 | 4,985,238 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 17,918 | 1,934,034 | ||||||
97,508,089 | ||||||||
Fixed Income Funds — 57.0% | ||||||||
Barings Global Floating Rate Fund, Class Y (a) | 224,193 | 2,111,898 | ||||||
Invesco Oppenheimer International Bond Fund, Class R6 | 1,122,066 | 6,025,496 | ||||||
MassMutual Core Bond Fund, Class I (a) | 2,271,087 | 25,640,577 | ||||||
MassMutual High Yield Fund, Class I (a) | 160,099 | 1,479,311 | ||||||
MassMutual Inflation-Protected and Income Fund, Class I (a) | 343,645 | 3,869,443 | ||||||
MassMutual Short-Duration Bond Fund, Class I (a) | 2,655,441 | 26,713,733 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 2,209,765 | 24,064,345 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 3,018,421 | 30,787,892 | ||||||
Vanguard Long-Term Treasury Index Fund, Admiral Shares | 11,462 | 337,435 | ||||||
Vanguard Total Bond Market Index Fund, Institutional Shares | 719,077 | 8,132,765 | ||||||
129,162,895 | ||||||||
TOTAL MUTUAL FUNDS (Cost $204,803,542) | 226,670,984 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $204,803,542) | 226,670,984 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $204,803,542) (b) | 226,670,984 | |||||||
Other Assets/(Liabilities) — (0.1)% | (158,467) | |||||||
NET ASSETS — 100.0% | $ | 226,512,517 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual 60/40 Allocation Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 63.8% | ||||||||
DFA Commodity Strategy Portfolio | 220,565 | $ | 1,464,553 | |||||
Invesco Real Estate Fund, Class R6 | 61,152 | 1,336,170 | ||||||
MassMutual International Equity Fund, Class I (a) | 340,399 | 3,516,322 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 57,961 | 958,099 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 369,649 | 12,542,187 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 658,864 | 8,894,666 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 733,282 | 14,768,307 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 972,133 | 10,353,215 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 366,264 | 4,069,191 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 133,918 | 4,160,817 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 332,670 | 5,046,602 | ||||||
MassMutual Overseas Fund, Class I (a) | 673,706 | 6,979,592 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 64,090 | 1,360,629 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 308,227 | 4,142,575 | ||||||
MM Equity Asset Fund, Class I (a) | 4,486,297 | 45,401,323 | ||||||
Vanguard Developed Markets Index Fund, Institutional Shares | 473,939 | 7,843,692 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 40,489 | 1,826,051 | ||||||
Vanguard Mid-Cap Index Fund, Institutional Shares | 130,544 | 8,476,209 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 12,648 | 1,365,259 | ||||||
144,505,459 | ||||||||
Fixed Income Funds — 36.3% | ||||||||
Barings Global Floating Rate Fund, Class Y (a) | 382,865 | 3,606,587 | ||||||
Invesco Oppenheimer International Bond Fund, Class R6 | 842,405 | 4,523,717 | ||||||
MassMutual Core Bond Fund, Class I (a) | 1,487,037 | 16,788,644 | ||||||
MassMutual High Yield Fund, Class I (a) | 418,517 | 3,867,101 | ||||||
MassMutual Inflation-Protected and Income Fund, Class I (a) | 182,683 | 2,057,012 | ||||||
MassMutual Short-Duration Bond Fund, Class I (a) | 1,480,882 | 14,897,677 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 1,086,311 | 11,829,928 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 1,852,631 | 18,896,841 | ||||||
Vanguard Long-Term Treasury Index Fund, Admiral Shares | 12,576 | 370,232 | ||||||
Vanguard Total Bond Market Index Fund, Institutional Shares | 464,546 | 5,254,019 | ||||||
82,091,758 | ||||||||
TOTAL MUTUAL FUNDS (Cost $196,700,195) | 226,597,217 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $196,700,195) | 226,597,217 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $196,700,195) (b) | 226,597,217 | |||||||
Other Assets/(Liabilities) — (0.1)% | (144,476) | |||||||
NET ASSETS — 100.0% | $ | 226,452,741 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual 80/20 Allocation Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 78.8% | ||||||||
DFA Commodity Strategy Portfolio | 131,987 | $ | 876,395 | |||||
Invesco Real Estate Fund, Class R6 | 58,507 | 1,278,382 | ||||||
MassMutual International Equity Fund, Class I (a) | 230,995 | 2,386,176 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 229,764 | 3,797,997 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 311,630 | 10,573,594 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 454,884 | 6,140,937 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 484,826 | 9,764,403 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 724,927 | 7,720,471 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 291,288 | 3,236,209 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 137,757 | 4,280,119 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 278,935 | 4,231,441 | ||||||
MassMutual Overseas Fund, Class I (a) | 765,131 | 7,926,760 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 65,198 | 1,384,156 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 244,152 | 3,281,401 | ||||||
MM Equity Asset Fund, Class I (a) | 3,260,475 | 32,996,003 | ||||||
Vanguard Developed Markets Index Fund, Institutional Shares | 477,485 | 7,902,370 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 90,813 | 4,095,666 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 22,091 | 6,493,721 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 24,988 | 2,697,213 | ||||||
121,063,414 | ||||||||
Fixed Income Funds — 21.3% | ||||||||
Barings Global Floating Rate Fund, Class Y (a) | 307,359 | 2,895,324 | ||||||
Invesco Oppenheimer International Bond Fund, Class R6 | 547,329 | 2,939,156 | ||||||
MassMutual Core Bond Fund, Class I (a) | 448,263 | 5,060,891 | ||||||
MassMutual High Yield Fund, Class I (a) | 353,621 | 3,267,462 | ||||||
MassMutual Inflation-Protected and Income Fund, Class I (a) | 54,787 | 616,901 | ||||||
MassMutual Short-Duration Bond Fund, Class I (a) | 658,643 | 6,625,952 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 375,424 | 4,088,371 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 575,049 | 5,865,503 | ||||||
Vanguard Long-Term Treasury Index Fund, Admiral Shares | 6,019 | 177,197 | ||||||
Vanguard Total Bond Market Index Fund, Admiral Shares | 96,332 | 1,089,518 | ||||||
32,626,275 | ||||||||
TOTAL MUTUAL FUNDS (Cost $129,251,260) | 153,689,689 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $129,251,260) | 153,689,689 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $129,251,260) (b) | 153,689,689 | |||||||
Other Assets/(Liabilities) — (0.1)% | (90,148) | |||||||
NET ASSETS — 100.0% | $ | 153,599,541 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan In Retirement Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.2% | ||||||||
Equity Funds — 34.5% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 144,536 | $ | 2,999,120 | |||||
JPMorgan Realty Income Fund, Class R6 | 68,748 | 1,086,211 | ||||||
MassMutual International Equity Fund, Class I (a) | 133,151 | 1,375,451 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 126,439 | 2,090,042 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 49,872 | 1,692,162 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 124,633 | 1,682,539 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 125,755 | 2,532,702 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 144,536 | 1,539,304 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 47,941 | 532,621 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 26,271 | 816,251 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 49,570 | 751,984 | ||||||
MassMutual Overseas Fund, Class I (a) | 465,144 | 4,818,890 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 33,638 | 714,127 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 65,201 | 876,297 | ||||||
MM Equity Asset Fund, Class I (a) | 806,088 | 8,157,611 | ||||||
Vanguard Developed Markets Index Fund, Admiral Shares | 232,785 | 3,847,928 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 40,688 | 1,835,011 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 3,662 | 1,076,567 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 11,962 | 1,725,249 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 10,341 | 1,116,166 | ||||||
41,266,233 | ||||||||
Fixed Income Funds — 65.7% | ||||||||
Barings Global Floating Rate Fund, Class Y (a) | 239,040 | 2,251,757 | ||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 265,141 | 2,137,034 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 264,605 | 2,127,427 | ||||||
JPMorgan U.S. Government Money Market Fund, Class IM | 5,687,842 | 5,687,842 | ||||||
MassMutual Core Bond Fund, Class I (a) | 1,973,831 | 22,284,551 | ||||||
MassMutual High Yield Fund, Class I (a) | 1,343,219 | 12,411,345 | ||||||
MassMutual Inflation-Protected and Income Fund, Class I (a) | 761,315 | 8,572,404 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 685,751 | 7,467,825 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 732,106 | 7,467,486 | ||||||
Vanguard Total Bond Market Index Fund, Institutional Shares | 737,240 | 8,338,180 | ||||||
78,745,851 | ||||||||
TOTAL MUTUAL FUNDS (Cost $109,406,402) | 120,012,084 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $109,406,402) | 120,012,084 | |||||||
MassMutual RetireSMARTsm by JPMorgan In Retirement Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TOTAL INVESTMENTS — 100.2% (Cost $109,406,402) (b) | $ | 120,012,084 | ||||||
Other Assets/(Liabilities) — (0.2)% | (204,426) | |||||||
NET ASSETS — 100.0% | $ | 119,807,658 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2020 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 34.4% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 347,264 | $ | 7,205,731 | |||||
JPMorgan Realty Income Fund, Class R6 | 162,287 | 2,564,136 | ||||||
MassMutual International Equity Fund, Class I (a) | 308,014 | 3,181,783 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 320,093 | 5,291,132 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 116,153 | 3,941,084 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 298,213 | 4,025,876 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 298,476 | 6,011,299 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 342,911 | 3,652,003 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 111,221 | 1,235,665 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 61,597 | 1,913,808 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 118,170 | 1,792,641 | ||||||
MassMutual Overseas Fund, Class I (a) | 1,164,455 | 12,063,754 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 79,298 | 1,683,492 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 155,765 | 2,093,480 | ||||||
MM Equity Asset Fund, Class I (a) | 1,891,320 | 19,140,155 | ||||||
Vanguard Developed Markets Index Fund, Institutional Shares | 431,285 | 7,137,775 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 79,254 | 3,574,354 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 6,793 | 1,996,788 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 22,187 | 3,200,004 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 19,180 | 2,070,301 | ||||||
93,775,261 | ||||||||
Fixed Income Funds — 65.7% | ||||||||
Barings Global Floating Rate Fund, Class Y (a) | 443,361 | 4,176,461 | ||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 621,116 | 5,006,199 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 620,207 | 4,986,464 | ||||||
JPMorgan U.S. Government Money Market Fund, Class IM | 13,354,982 | 13,354,982 | ||||||
MassMutual Core Bond Fund, Class I (a) | 4,595,181 | 51,879,598 | ||||||
MassMutual High Yield Fund, Class I (a) | 3,149,938 | 29,105,431 | ||||||
MassMutual Inflation-Protected and Income Fund, Class I (a) | 1,788,903 | 20,143,048 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 1,597,308 | 17,394,686 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 1,705,705 | 17,398,188 | ||||||
Vanguard Total Bond Market Index Fund, Institutional Shares | 1,371,107 | 15,507,224 | ||||||
178,952,281 | ||||||||
TOTAL MUTUAL FUNDS (Cost $247,416,858) | 272,727,542 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $247,416,858) | 272,727,542 | |||||||
MassMutual RetireSMARTsm by JPMorgan 2020 Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $247,416,858) (b) | $ | 272,727,542 | ||||||
Other Assets/(Liabilities) — (0.1)% | (277,570) | |||||||
NET ASSETS — 100.0% | $ | 272,449,972 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2025 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 50.4% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 387,305 | $ | 8,036,583 | |||||
JPMorgan Realty Income Fund, Class R6 | 189,446 | 2,993,243 | ||||||
MassMutual International Equity Fund, Class I (a) | 343,155 | 3,544,792 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 365,632 | 6,043,891 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 136,923 | 4,645,799 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 347,185 | 4,686,993 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 348,275 | 7,014,252 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 402,236 | 4,283,809 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 130,839 | 1,453,621 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 71,912 | 2,234,302 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 136,962 | 2,077,712 | ||||||
MassMutual Overseas Fund, Class I (a) | 1,290,534 | 13,369,933 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 81,191 | 1,723,689 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 158,710 | 2,133,063 | ||||||
MM Equity Asset Fund, Class I (a) | 2,223,857 | 22,505,436 | ||||||
Vanguard Developed Markets Index Fund, Institutional Shares | 522,265 | 8,643,486 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 96,472 | 4,350,902 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 8,502 | 2,499,098 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 27,864 | 4,018,782 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 21,119 | 2,279,629 | ||||||
108,539,015 | ||||||||
Fixed Income Funds — 49.7% | ||||||||
Barings Global Floating Rate Fund, Class Y (a) | 298,799 | 2,814,685 | ||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 413,524 | 3,333,003 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 412,764 | 3,318,622 | ||||||
MassMutual Core Bond Fund, Class I (a) | 3,298,590 | 37,241,080 | ||||||
MassMutual High Yield Fund, Class I (a) | 1,855,918 | 17,148,681 | ||||||
MassMutual Inflation-Protected and Income Fund, Class I (a) | 555,804 | 6,258,349 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 1,146,579 | 12,486,243 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 1,224,287 | 12,487,729 | ||||||
Vanguard Total Bond Market Index Fund, Institutional Shares | 1,046,551 | 11,836,487 | ||||||
106,924,879 | ||||||||
TOTAL MUTUAL FUNDS (Cost $189,711,774) | 215,463,894 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $189,711,774) | 215,463,894 | |||||||
MassMutual RetireSMARTsm by JPMorgan 2025 Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $189,711,774) (b) | $ | 215,463,894 | ||||||
Other Assets/(Liabilities) — (0.1)% | (192,302) | |||||||
NET ASSETS — 100.0% | $ | 215,271,592 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2030 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 62.9% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 826,674 | $ | 17,153,488 | |||||
JPMorgan Realty Income Fund, Class R6 | 492,596 | 7,783,014 | ||||||
MassMutual International Equity Fund, Class I (a) | 845,464 | 8,733,641 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 993,358 | 16,420,202 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 358,063 | 12,149,064 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 913,555 | 12,332,986 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 912,531 | 18,378,383 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 1,063,101 | 11,322,029 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 338,803 | 3,764,105 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 186,430 | 5,792,384 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 357,919 | 5,429,624 | ||||||
MassMutual Overseas Fund, Class I (a) | 3,806,279 | 39,433,051 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 199,657 | 4,238,713 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 392,579 | 5,276,265 | ||||||
MM Equity Asset Fund, Class I (a) | 5,838,836 | 59,089,020 | ||||||
Vanguard Developed Markets Index Fund, Institutional Shares | 1,146,939 | 18,981,843 | ||||||
Vanguard Emerging Markets Stock Index Fund, Institutional Shares | 297,566 | 10,203,546 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 18,945 | 5,568,800 | ||||||
Vanguard Real Estate Index Fund, Institutional Shares | 402,333 | 8,980,065 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 44,482 | 4,801,366 | ||||||
275,831,589 | ||||||||
Fixed Income Funds — 37.2% | ||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 751,229 | 6,054,905 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 750,388 | 6,033,121 | ||||||
MassMutual Core Bond Fund, Class I (a) | 5,485,933 | 61,936,188 | ||||||
MassMutual High Yield Fund, Class I (a) | 3,320,148 | 30,678,170 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 1,907,442 | 20,772,046 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 2,037,021 | 20,777,617 | ||||||
Vanguard Total Bond Market Index Fund, Institutional Shares | 1,469,999 | 16,625,688 | ||||||
162,877,735 | ||||||||
TOTAL MUTUAL FUNDS (Cost $376,287,763) | 438,709,324 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $376,287,763) | 438,709,324 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $376,287,763) (b) | 438,709,324 | |||||||
Other Assets/(Liabilities) — (0.1)% | (370,153) | |||||||
NET ASSETS — 100.0% | $ | 438,339,171 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2035 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 76.7% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 393,594 | $ | 8,167,081 | |||||
JPMorgan Realty Income Fund, Class R6 | 265,620 | 4,196,800 | ||||||
MassMutual International Equity Fund, Class I (a) | 728,136 | 7,521,641 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 286,970 | 4,743,608 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 288,843 | 9,800,450 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 447,778 | 6,044,997 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 308,560 | 6,214,390 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 570,148 | 6,072,076 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 306,482 | 3,405,017 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 100,772 | 3,130,989 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 193,482 | 2,935,128 | ||||||
MassMutual Overseas Fund, Class I (a) | 2,471,481 | 25,604,540 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 124,668 | 2,646,701 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 245,271 | 3,296,437 | ||||||
MM Equity Asset Fund, Class I (a) | 3,138,255 | 31,759,137 | ||||||
Vanguard Developed Markets Index Fund, Admiral Shares | 334,090 | 5,522,513 | ||||||
Vanguard Emerging Markets Stock Index Fund, Institutional Shares | 282,970 | 9,703,049 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 10,674 | 3,137,492 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 34,902 | 5,033,879 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 28,949 | 3,124,782 | ||||||
152,060,707 | ||||||||
Fixed Income Funds — 23.4% | ||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 246,833 | 1,989,476 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 246,493 | 1,981,807 | ||||||
MassMutual Core Bond Fund, Class I (a) | 560,410 | 6,327,032 | ||||||
MassMutual High Yield Fund, Class I (a) | 1,168,048 | 10,792,762 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 1,086,472 | 11,831,681 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 1,160,688 | 11,839,021 | ||||||
Vanguard Total Bond Market Index Fund, Admiral Shares | 138,887 | 1,570,808 | ||||||
46,332,587 | ||||||||
TOTAL MUTUAL FUNDS (Cost $167,177,155) | 198,393,294 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $167,177,155) | 198,393,294 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $167,177,155) (b) | 198,393,294 | |||||||
Other Assets/(Liabilities) — (0.1)% | (161,285) | |||||||
NET ASSETS — 100.0% | $ | 198,232,009 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2040 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 85.7% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 610,975 | $ | 12,677,740 | |||||
JPMorgan Realty Income Fund, Class R6 | 482,866 | 7,629,285 | ||||||
MassMutual International Equity Fund, Class I (a) | 1,233,693 | 12,744,045 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 523,007 | 8,645,306 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 519,544 | 17,628,126 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 805,252 | 10,870,908 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 552,472 | 11,126,795 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 1,029,364 | 10,962,728 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 547,606 | 6,083,906 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 182,010 | 5,655,049 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 350,587 | 5,318,408 | ||||||
MassMutual Overseas Fund, Class I (a) | 4,611,749 | 47,777,717 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 216,664 | 4,599,787 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 426,452 | 5,731,519 | ||||||
MM Equity Asset Fund, Class I (a) | 5,654,983 | 57,228,432 | ||||||
Vanguard Developed Markets Index Fund, Institutional Shares | 554,441 | 9,175,997 | ||||||
Vanguard Emerging Markets Stock Index Fund, Institutional Shares | 499,924 | 17,142,400 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 18,038 | 5,302,416 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 59,358 | 8,561,159 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 46,946 | 5,067,321 | ||||||
269,929,044 | ||||||||
Fixed Income Funds — 14.4% | ||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 294,418 | 2,373,011 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 293,383 | 2,358,802 | ||||||
MassMutual Core Bond Fund, Class I (a) | 449,238 | 5,071,893 | ||||||
MassMutual High Yield Fund, Class I (a) | 1,657,353 | 15,313,939 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 870,722 | 9,482,164 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 929,896 | 9,484,938 | ||||||
Vanguard Total Bond Market Index Fund, Admiral Shares | 123,991 | 1,402,343 | ||||||
45,487,090 | ||||||||
TOTAL MUTUAL FUNDS (Cost $261,689,747) | 315,416,134 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $261,689,747) | 315,416,134 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $261,689,747) (b) | 315,416,134 | |||||||
Other Assets/(Liabilities) — (0.1)% | (235,098) | |||||||
NET ASSETS — 100.0% | $ | 315,181,036 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2045 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 94.8% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 280,463 | $ | 5,819,611 | |||||
JPMorgan Realty Income Fund, Class R6 | 235,730 | 3,724,530 | ||||||
MassMutual International Equity Fund, Class I (a) | 617,732 | 6,381,174 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 253,226 | 4,185,824 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 256,201 | 8,692,910 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 395,217 | 5,335,430 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 271,597 | 5,469,959 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 506,005 | 5,388,952 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 269,932 | 2,998,942 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 89,451 | 2,779,246 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 171,468 | 2,601,170 | ||||||
MassMutual Overseas Fund, Class I (a) | 2,268,824 | 23,505,013 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 103,390 | 2,194,977 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 202,440 | 2,720,789 | ||||||
MM Equity Asset Fund, Class I (a) | 2,787,438 | 28,208,877 | ||||||
Vanguard Developed Markets Index Fund, Admiral Shares | 289,268 | 4,781,602 | ||||||
Vanguard Emerging Markets Stock Index Fund, Institutional Shares | 250,383 | 8,585,630 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 9,446 | 2,776,641 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 30,957 | 4,464,926 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 23,895 | 2,579,206 | ||||||
133,195,409 | ||||||||
Fixed Income Funds — 5.3% | ||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 83,893 | 676,174 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 84,022 | 675,535 | ||||||
MassMutual Core Bond Fund, Class I (a) | 8,980 | 101,381 | ||||||
MassMutual High Yield Fund, Class I (a) | 610,428 | 5,640,358 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 17,469 | 190,233 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 18,655 | 190,282 | ||||||
Vanguard Total Bond Market Index Fund, Admiral Shares | 2,525 | 28,558 | ||||||
7,502,521 | ||||||||
TOTAL MUTUAL FUNDS (Cost $114,701,550) | 140,697,930 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $114,701,550) | 140,697,930 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $114,701,550) (b) | 140,697,930 | |||||||
Other Assets/(Liabilities) — (0.1)% | (122,541) | |||||||
NET ASSETS — 100.0% | $ | 140,575,389 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2050 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 94.8% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 394,681 | $ | 8,189,622 | |||||
JPMorgan Realty Income Fund, Class R6 | 345,066 | 5,452,040 | ||||||
MassMutual International Equity Fund, Class I (a) | 873,645 | 9,024,756 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 377,721 | 6,243,726 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 372,916 | 12,653,040 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 579,721 | 7,826,232 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 397,550 | 8,006,665 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 739,920 | 7,880,148 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 393,665 | 4,373,616 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 130,328 | 4,049,286 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 251,175 | 3,810,321 | ||||||
MassMutual Overseas Fund, Class I (a) | 3,367,482 | 34,887,110 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 151,097 | 3,207,788 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 297,389 | 3,996,912 | ||||||
MM Equity Asset Fund, Class I (a) | 4,064,795 | 41,135,728 | ||||||
Vanguard Developed Markets Index Fund, Admiral Shares | 388,612 | 6,423,758 | ||||||
Vanguard Emerging Markets Stock Index Fund, Institutional Shares | 357,149 | 12,246,625 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 12,689 | 3,730,054 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 41,585 | 5,997,812 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 32,097 | 3,464,594 | ||||||
192,599,833 | ||||||||
Fixed Income Funds — 5.3% | ||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 122,188 | 984,832 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 121,833 | 979,540 | ||||||
MassMutual Core Bond Fund, Class I (a) | 12,853 | 145,106 | ||||||
MassMutual High Yield Fund, Class I (a) | 881,874 | 8,148,519 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 25,000 | 272,246 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 26,699 | 272,335 | ||||||
Vanguard Total Bond Market Index Fund, Admiral Shares | 3,390 | 38,344 | ||||||
10,840,922 | ||||||||
TOTAL MUTUAL FUNDS (Cost $166,068,753) | 203,440,755 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $166,068,753) | 203,440,755 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $166,068,753) (b) | 203,440,755 | |||||||
Other Assets/(Liabilities) — (0.1)% | (131,857) | |||||||
NET ASSETS — 100.0% | $ | 203,308,898 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2055 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 94.8% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 135,951 | $ | 2,820,979 | |||||
JPMorgan Realty Income Fund, Class R6 | 118,903 | 1,878,674 | ||||||
MassMutual International Equity Fund, Class I (a) | 300,649 | 3,105,707 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 129,897 | 2,147,190 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 128,923 | 4,374,350 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 200,391 | 2,705,274 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 137,225 | 2,763,712 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 255,760 | 2,723,845 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 135,694 | 1,507,559 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 44,994 | 1,397,953 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 86,538 | 1,312,781 | ||||||
MassMutual Overseas Fund, Class I (a) | 1,161,966 | 12,037,965 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 52,067 | 1,105,388 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 102,452 | 1,376,949 | ||||||
MM Equity Asset Fund, Class I (a) | 1,405,172 | 14,220,346 | ||||||
Vanguard Developed Markets Index Fund, Admiral Shares | 135,349 | 2,237,319 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 94,880 | 4,279,073 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 4,419 | 1,299,048 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 14,482 | 2,088,714 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 11,177 | 1,206,482 | ||||||
66,589,308 | ||||||||
Fixed Income Funds — 5.3% | ||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 41,855 | 337,353 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 41,976 | 337,488 | ||||||
MassMutual Core Bond Fund, Class I (a) | 4,467 | 50,436 | ||||||
MassMutual High Yield Fund, Class I (a) | 305,233 | 2,820,353 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 8,690 | 94,634 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 9,265 | 94,505 | ||||||
Vanguard Total Bond Market Index Fund, Admiral Shares | 1,195 | 13,510 | ||||||
3,748,279 | ||||||||
TOTAL MUTUAL FUNDS (Cost $57,811,054) | 70,337,587 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $57,811,054) | 70,337,587 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $57,811,054) (b) | 70,337,587 | |||||||
Other Assets/(Liabilities) — (0.1)% | (60,070) | |||||||
NET ASSETS — 100.0% | $ | 70,277,517 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual RetireSMARTsm by JPMorgan 2060 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
Equity Funds — 94.7% | ||||||||
JPMorgan International Research Enhanced Equity Fund, Class R6 | 43,441 | $ | 901,406 | |||||
JPMorgan Realty Income Fund, Class R6 | 38,747 | 612,202 | ||||||
MassMutual International Equity Fund, Class I (a) | 96,417 | 995,993 | ||||||
MassMutual Strategic Emerging Markets Fund, Class I (a) | 42,909 | 709,293 | ||||||
MassMutual Blue Chip Growth Fund, Class I (a) | 41,937 | 1,422,919 | ||||||
MassMutual Diversified Value Fund, Class I (a) | 65,274 | 881,199 | ||||||
MassMutual Equity Opportunities Fund, Class I (a) | 44,700 | 900,259 | ||||||
MassMutual Fundamental Value Fund, Class I (a) | 83,513 | 889,412 | ||||||
MassMutual Growth Opportunities Fund, Class I (a) | 44,071 | 489,634 | ||||||
MassMutual Mid Cap Growth Fund, Class I (a) | 14,646 | 455,039 | ||||||
MassMutual Mid Cap Value Fund, Class I (a) | 28,254 | 428,620 | ||||||
MassMutual Overseas Fund, Class I (a) | 383,575 | 3,973,842 | ||||||
MassMutual Small Cap Growth Equity Fund, Class I (a) | 16,989 | 360,670 | ||||||
MassMutual Small Cap Value Equity Fund, Class I (a) | 33,476 | 449,917 | ||||||
MM Equity Asset Fund, Class I (a) | 457,807 | 4,633,011 | ||||||
Vanguard Developed Markets Index Fund, Admiral Shares | 41,113 | 679,593 | ||||||
Vanguard Emerging Markets Stock Index Fund, Admiral Shares | 29,954 | 1,350,939 | ||||||
Vanguard Mid-Cap Index Fund, Admiral Shares | 1,342 | 394,573 | ||||||
Vanguard Real Estate Index Fund, Admiral Shares | 4,399 | 634,402 | ||||||
Vanguard Small-Cap Index Fund, Admiral Shares | 3,395 | 366,433 | ||||||
21,529,356 | ||||||||
Fixed Income Funds — 5.3% | ||||||||
JPMorgan Emerging Markets Debt Fund, Class R6 | 13,641 | 109,949 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund, Class R6 | 13,591 | 109,273 | ||||||
MassMutual Core Bond Fund, Class I (a) | 1,434 | 16,190 | ||||||
MassMutual High Yield Fund, Class I (a) | 98,559 | 910,689 | ||||||
MassMutual Strategic Bond Fund, Class I (a) | 2,793 | 30,412 | ||||||
MassMutual Total Return Bond Fund, Class I (a) | 2,984 | 30,442 | ||||||
Vanguard Total Bond Market Index Fund, Admiral Shares | 363 | 4,104 | ||||||
1,211,059 | ||||||||
TOTAL MUTUAL FUNDS (Cost $18,770,012) | 22,740,415 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $18,770,012) | 22,740,415 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $18,770,012) (b) | 22,740,415 | |||||||
Other Assets/(Liabilities) — (0.0)% | (8,564) | |||||||
NET ASSETS — 100.0% | $ | 22,731,851 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MM Equity Asset Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.6% | ||||||||
COMMON STOCK — 98.6% | ||||||||
Basic Materials — 2.1% | ||||||||
Chemicals — 2.0% | ||||||||
Air Products & Chemicals, Inc. | 1,736 | $ | 499,412 | |||||
Celanese Corp. | 3,830 | 580,628 | ||||||
DuPont de Nemours, Inc. | 16,912 | 1,309,158 | ||||||
Eastman Chemical Co. | 16,153 | 1,885,863 | ||||||
Linde PLC | 4,138 | 1,196,296 | ||||||
LyondellBasell Industries NV Class A | 2,884 | 296,677 | ||||||
PPG Industries, Inc. | 13,542 | 2,299,025 | ||||||
8,067,059 | ||||||||
Mining — 0.1% | ||||||||
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c) | 3,141 | — | ||||||
Freeport-McMoRan, Inc. | 13,577 | 503,843 | ||||||
503,843 | ||||||||
8,570,902 | ||||||||
Communications — 16.6% | ||||||||
Internet — 12.7% | ||||||||
Alphabet, Inc. Class A (c) | 4,237 | 10,345,864 | ||||||
Alphabet, Inc. Class C (c) | 3,342 | 8,376,121 | ||||||
Amazon.com, Inc. (c) | 5,281 | 18,167,485 | ||||||
Booking Holdings, Inc. (c) | 750 | 1,641,068 | ||||||
Facebook, Inc. Class A (c) | 26,428 | 9,189,280 | ||||||
Lyft, Inc. Class A (c) | 9,185 | 555,509 | ||||||
Netflix, Inc. (c) | 6,168 | 3,257,999 | ||||||
51,533,326 | ||||||||
Media — 2.0% | ||||||||
Altice USA, Inc. Class A (c) | 11,453 | 391,005 | ||||||
Charter Communications, Inc. Class A (c) | 3,598 | 2,595,777 | ||||||
Comcast Corp. Class A | 66,088 | 3,768,338 | ||||||
Fox Corp. Class A | 2,566 | 95,276 | ||||||
The Walt Disney Co. (c) | 7,880 | 1,385,068 | ||||||
8,235,464 | ||||||||
Telecommunications — 1.9% | ||||||||
Cisco Systems, Inc. | 24,269 | 1,286,257 | ||||||
Motorola Solutions, Inc. | 1,072 | 232,463 | ||||||
T-Mobile US, Inc. (c) | 24,045 | 3,482,437 |
MM Equity Asset Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Verizon Communications, Inc. | 45,353 | $ | 2,541,129 | |||||
7,542,286 | ||||||||
67,311,076 | ||||||||
Consumer, Cyclical — 8.6% | ||||||||
Airlines — 0.3% | ||||||||
Delta Air Lines, Inc. (c) | 10,416 | 450,596 | ||||||
Southwest Airlines Co. (c) | 13,502 | 716,821 | ||||||
1,167,417 | ||||||||
Apparel — 1.0% | ||||||||
Carter's, Inc. | 8,183 | 844,240 | ||||||
NIKE, Inc. Class B | 19,537 | 3,018,271 | ||||||
3,862,511 | ||||||||
Auto Manufacturers — 1.6% | ||||||||
General Motors Co. (c) | 15,271 | 903,585 | ||||||
Tesla, Inc. (c) | 8,443 | 5,738,707 | ||||||
6,642,292 | ||||||||
Auto Parts & Equipment — 0.3% | ||||||||
Aptiv PLC (c) | 2,762 | 434,546 | ||||||
Magna International, Inc. | 9,894 | 916,580 | ||||||
1,351,126 | ||||||||
Home Builders — 0.5% | ||||||||
D.R. Horton, Inc. | 1,528 | 138,086 | ||||||
Lennar Corp. Class A | 18,021 | 1,790,386 | ||||||
1,928,472 | ||||||||
Leisure Time — 0.1% | ||||||||
Royal Caribbean Cruises Ltd. (c) | 2,396 | 204,331 | ||||||
Lodging — 0.2% | ||||||||
Hilton Worldwide Holdings, Inc. (c) | 8,317 | 1,003,197 | ||||||
Retail — 4.6% | ||||||||
AutoZone, Inc. (c) | 250 | 373,055 | ||||||
Best Buy Co., Inc. | 13,822 | 1,589,253 | ||||||
Costco Wholesale Corp. | 3,418 | 1,352,400 | ||||||
Dollar General Corp. | 1,658 | 358,775 | ||||||
Dollar Tree, Inc. (c) | 7,659 | 762,070 | ||||||
FF Group (b) (c) | 294 | 1,673 | ||||||
The Home Depot, Inc. | 11,756 | 3,748,871 | ||||||
Lowe's Cos., Inc. | 20,454 | 3,967,462 | ||||||
O'Reilly Automotive, Inc. (c) | 3,580 | 2,027,032 | ||||||
Target Corp. | 6,765 | 1,635,371 | ||||||
The TJX Cos., Inc. | 23,361 | 1,574,999 | ||||||
Yum! Brands, Inc. | 11,090 | 1,275,683 | ||||||
18,666,644 | ||||||||
34,825,990 |
MM Equity Asset Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Consumer, Non-cyclical — 19.5% | ||||||||
Agriculture — 1.2% | ||||||||
Altria Group, Inc. | 40,170 | $ | 1,915,306 | |||||
Philip Morris International, Inc. | 28,787 | 2,853,079 | ||||||
4,768,385 | ||||||||
Beverages — 1.0% | ||||||||
The Coca-Cola Co. | 54,193 | 2,932,383 | ||||||
Constellation Brands, Inc. Class A | 5,437 | 1,271,660 | ||||||
4,204,043 | ||||||||
Biotechnology — 1.4% | ||||||||
Alexion Pharmaceuticals, Inc. (c) | 2,339 | 429,698 | ||||||
Biogen, Inc. (c) | 3,501 | 1,212,291 | ||||||
Illumina, Inc. (c) | 2,342 | 1,108,258 | ||||||
Regeneron Pharmaceuticals, Inc. (c) | 1,998 | 1,115,963 | ||||||
Vertex Pharmaceuticals, Inc. (c) | 7,981 | 1,609,209 | ||||||
5,475,419 | ||||||||
Commercial Services — 2.0% | ||||||||
Booz Allen Hamilton Holding Corp. | 6,058 | 516,020 | ||||||
Cintas Corp. | 1,150 | 439,300 | ||||||
FleetCor Technologies, Inc. (c) | 941 | 240,952 | ||||||
PayPal Holdings, Inc. (c) | 11,860 | 3,456,953 | ||||||
S&P Global, Inc. | 8,690 | 3,566,811 | ||||||
8,220,036 | ||||||||
Cosmetics & Personal Care — 1.5% | ||||||||
The Estee Lauder Cos., Inc. Class A | 4,318 | 1,373,469 | ||||||
The Procter & Gamble Co. | 34,499 | 4,654,950 | ||||||
6,028,419 | ||||||||
Food — 0.6% | ||||||||
China Huishan Dairy Holdings Co. Ltd. (a) (b) (c) | 44,000 | — | ||||||
The Kroger Co. | 3,136 | 120,140 | ||||||
Mondelez International, Inc. Class A | 37,408 | 2,335,756 | ||||||
2,455,896 | ||||||||
Health Care – Products — 3.8% | ||||||||
Abbott Laboratories | 21,953 | 2,545,011 | ||||||
ABIOMED, Inc. (c) | 489 | 152,622 | ||||||
Boston Scientific Corp. (c) | 38,484 | 1,645,576 | ||||||
Danaher Corp. | 2,072 | 556,042 | ||||||
Intuitive Surgical, Inc. (c) | 736 | 676,855 | ||||||
Medtronic PLC | 27,604 | 3,426,484 | ||||||
Thermo Fisher Scientific, Inc. | 8,446 | 4,260,754 | ||||||
Zimmer Biomet Holdings, Inc. | 12,023 | 1,933,539 | ||||||
15,196,883 | ||||||||
Health Care – Services — 2.0% | ||||||||
Anthem, Inc. | 5,425 | 2,071,265 | ||||||
Centene Corp. (c) | 9,642 | 703,191 |
MM Equity Asset Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Town Health International Medical Group Ltd. (c) | 62,000 | $ | 3,873 | |||||
UnitedHealth Group, Inc. | 13,194 | 5,283,406 | ||||||
8,061,735 | ||||||||
Household Products & Wares — 0.4% | ||||||||
Kimberly-Clark Corp. | 11,345 | 1,517,734 | ||||||
Pharmaceuticals — 5.6% | ||||||||
AbbVie, Inc. | 37,364 | 4,208,681 | ||||||
AmerisourceBergen Corp. | 3,602 | 412,393 | ||||||
Becton Dickinson and Co. | 4,754 | 1,156,125 | ||||||
Bristol-Myers Squibb Co. | 53,642 | 3,584,358 | ||||||
Cigna Corp. | 10,225 | 2,424,041 | ||||||
DexCom, Inc. (c) | 1,028 | 438,956 | ||||||
Eli Lilly & Co. | 15,663 | 3,594,972 | ||||||
Johnson & Johnson | 24,525 | 4,040,248 | ||||||
Merck & Co., Inc. | 27,475 | 2,136,731 | ||||||
Organon & Co. (c) | 3,322 | 100,524 | ||||||
Pfizer, Inc. | 19,514 | 764,168 | ||||||
22,861,197 | ||||||||
78,789,747 | ||||||||
Energy — 2.8% | ||||||||
Oil & Gas — 2.2% | ||||||||
Cabot Oil & Gas Corp. | 5,210 | 90,966 | ||||||
Chevron Corp. | 21,128 | 2,212,947 | ||||||
ConocoPhillips | 25,101 | 1,528,651 | ||||||
Diamondback Energy, Inc. | 11,682 | 1,096,823 | ||||||
EOG Resources, Inc. | 12,889 | 1,075,458 | ||||||
Phillips 66 | 11,901 | 1,021,344 | ||||||
Pioneer Natural Resources Co. | 11,310 | 1,838,101 | ||||||
Untrade Brightoil (c) | 52,000 | 10,046 | ||||||
8,874,336 | ||||||||
Pipelines — 0.6% | ||||||||
Cheniere Energy, Inc. (c) | 6,648 | 576,647 | ||||||
Kinder Morgan, Inc. | 23,942 | 436,463 | ||||||
The Williams Cos., Inc. | 59,314 | 1,574,787 | ||||||
2,587,897 | ||||||||
11,462,233 | ||||||||
Financial — 15.2% | ||||||||
Banks — 5.5% | ||||||||
Bank of America Corp. | 52,629 | 2,169,894 | ||||||
Citigroup, Inc. | 41,880 | 2,963,010 | ||||||
The Goldman Sachs Group, Inc. | 9,270 | 3,518,243 | ||||||
KeyCorp. | 8,942 | 184,652 | ||||||
Morgan Stanley | 32,103 | 2,943,524 | ||||||
Regions Financial Corp. | 59,250 | 1,195,665 | ||||||
State Street Corp. | 20,271 | 1,667,898 | ||||||
SVB Financial Group (c) | 1,307 | 727,254 | ||||||
Truist Financial Corp. | 23,804 | 1,321,122 | ||||||
US Bancorp | 31,432 | 1,790,681 |
MM Equity Asset Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Wells Fargo & Co. | 88,493 | $ | 4,007,848 | |||||
22,489,791 | ||||||||
Diversified Financial Services — 4.4% | ||||||||
Ameriprise Financial, Inc. | 1,273 | 316,824 | ||||||
Capital One Financial Corp. | 13,656 | 2,112,447 | ||||||
The Charles Schwab Corp. | 5,444 | 396,378 | ||||||
Intercontinental Exchange, Inc. | 16,203 | 1,923,296 | ||||||
Mastercard, Inc. Class A | 15,634 | 5,707,817 | ||||||
T. Rowe Price Group, Inc. | 10,550 | 2,088,584 | ||||||
Visa, Inc. Class A | 22,109 | 5,169,526 | ||||||
17,714,872 | ||||||||
Insurance — 3.5% | ||||||||
The Allstate Corp. | 4,272 | 557,240 | ||||||
American International Group, Inc. | 13,624 | 648,502 | ||||||
Berkshire Hathaway, Inc. Class B (c) | 23,536 | 6,541,125 | ||||||
Chubb Ltd. | 7,783 | 1,237,030 | ||||||
Convoy Global Holdings Ltd. (a) (b) (c) | 42,000 | — | ||||||
The Hartford Financial Services Group, Inc. | 17,146 | 1,062,538 | ||||||
Marsh & McLennan Cos., Inc. | 3,845 | 540,915 | ||||||
The Progressive Corp. | 21,361 | 2,097,864 | ||||||
Prudential Financial, Inc. | 6,401 | 655,910 | ||||||
The Travelers Cos., Inc. | 2,730 | 408,708 | ||||||
Voya Financial, Inc. (d) | 4,050 | 249,075 | ||||||
13,998,907 | ||||||||
Real Estate Investment Trusts (REITS) — 1.8% | ||||||||
Camden Property Trust | 7,781 | 1,032,305 | ||||||
Equinix, Inc. | 2,180 | 1,749,668 | ||||||
Equity LifeStyle Properties, Inc. | 4,517 | 335,658 | ||||||
Mid-America Apartment Communities, Inc. | 4,849 | 816,669 | ||||||
Prologis, Inc. | 16,294 | 1,947,622 | ||||||
Public Storage | 1,044 | 313,920 | ||||||
Sun Communities, Inc. | 2,225 | 381,365 | ||||||
UDR, Inc. | 3,218 | 157,618 | ||||||
Ventas, Inc. | 11,424 | 652,310 | ||||||
7,387,135 | ||||||||
61,590,705 | ||||||||
Industrial — 8.2% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
General Dynamics Corp. | 3,635 | 684,325 | ||||||
Northrop Grumman Corp. | 3,915 | 1,422,828 | ||||||
Raytheon Technologies Corp. | 24,509 | 2,090,863 | ||||||
4,198,016 | ||||||||
Building Materials — 0.5% | ||||||||
Johnson Controls International PLC | 8,188 | 561,943 | ||||||
Masco Corp. | 20,978 | 1,235,814 | ||||||
1,797,757 |
MM Equity Asset Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Electronics — 0.6% | ||||||||
Amphenol Corp. Class A | 6,350 | $ | 434,403 | |||||
Honeywell International, Inc. | 8,045 | 1,764,671 | ||||||
Waters Corp. (c) | 756 | 261,281 | ||||||
2,460,355 | ||||||||
Engineering & Construction — 0.0% | ||||||||
Hsin Chong Group Holdings Ltd. (a) (b) (c) | 40,000 | — | ||||||
Hand & Machine Tools — 0.6% | ||||||||
Stanley Black & Decker, Inc. | 10,987 | 2,252,225 | ||||||
Machinery – Diversified — 1.2% | ||||||||
Deere & Co. | 9,916 | 3,497,473 | ||||||
Ingersoll Rand, Inc. (c) | 12,326 | 601,632 | ||||||
Otis Worldwide Corp. | 10,499 | 858,503 | ||||||
4,957,608 | ||||||||
Miscellaneous - Manufacturing — 1.8% | ||||||||
Eaton Corp. PLC | 18,375 | 2,722,808 | ||||||
Parker-Hannifin Corp. | 5,568 | 1,709,988 | ||||||
Trane Technologies PLC | 15,334 | 2,823,603 | ||||||
7,256,399 | ||||||||
Packaging & Containers — 0.3% | ||||||||
Crown Holdings, Inc. | 4,331 | 442,671 | ||||||
WestRock Co. | 11,648 | 619,907 | ||||||
1,062,578 | ||||||||
Transportation — 2.2% | ||||||||
FedEx Corp. | 8,700 | 2,595,471 | ||||||
Norfolk Southern Corp. | 8,335 | 2,212,192 | ||||||
Union Pacific Corp. | 6,491 | 1,427,566 | ||||||
United Parcel Service, Inc. Class B | 13,424 | 2,791,789 | ||||||
9,027,018 | ||||||||
33,011,956 | ||||||||
Technology — 23.2% | ||||||||
Computers — 7.9% | ||||||||
Accenture PLC Class A | 15,588 | 4,595,186 | ||||||
Apple, Inc. | 175,385 | 24,020,730 | ||||||
Fortinet, Inc. (c) | 1,559 | 371,338 | ||||||
Leidos Holdings, Inc. | 12,758 | 1,289,834 | ||||||
Seagate Technology Holdings PLC | 19,186 | 1,687,025 | ||||||
31,964,113 | ||||||||
Semiconductors — 6.6% | ||||||||
Advanced Micro Devices, Inc. (c) | 25,889 | 2,431,754 | ||||||
Analog Devices, Inc. | 16,740 | 2,881,958 | ||||||
Applied Materials, Inc. | 23,175 | 3,300,120 | ||||||
Intel Corp. | 22,770 | 1,278,308 | ||||||
Lam Research Corp. | 5,355 | 3,484,499 |
MM Equity Asset Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Microchip Technology, Inc. | 5,240 | $ | 784,638 | |||||
Micron Technology, Inc. (c) | 4,886 | 415,212 | ||||||
NVIDIA Corp. | 6,790 | 5,432,679 | ||||||
NXP Semiconductor NV | 9,910 | 2,038,685 | ||||||
QUALCOMM, Inc. | 3,919 | 560,143 | ||||||
Texas Instruments, Inc. | 21,655 | 4,164,256 | ||||||
26,772,252 | ||||||||
Software — 8.7% | ||||||||
Fiserv, Inc. (c) | 1,650 | 176,368 | ||||||
Intuit, Inc. | 7,231 | 3,544,419 | ||||||
Microsoft Corp. | 98,330 | 26,637,597 | ||||||
Oracle Corp. | 20,102 | 1,564,740 | ||||||
salesforce.com, Inc. (c) | 9,417 | 2,300,291 | ||||||
Workday, Inc. Class A (c) | 3,334 | 795,959 | ||||||
35,019,374 | ||||||||
93,755,739 | ||||||||
Utilities — 2.4% | ||||||||
Electric — 2.4% | ||||||||
CenterPoint Energy, Inc. | 12,932 | 317,093 | ||||||
Duke Energy Corp. | 22,137 | 2,185,365 | ||||||
Evergy, Inc. | 17,329 | 1,047,191 | ||||||
NextEra Energy, Inc. | 40,153 | 2,942,412 | ||||||
Public Service Enterprise Group, Inc. | 6,572 | 392,611 | ||||||
Sempra Energy | 12,365 | 1,638,115 | ||||||
Xcel Energy, Inc. | 18,262 | 1,203,101 | ||||||
9,725,888 | ||||||||
TOTAL COMMON STOCK (Cost $272,576,072) | 399,044,236 | |||||||
TOTAL EQUITIES (Cost $272,576,072) | 399,044,236 | |||||||
WARRANTS — 0.0% | ||||||||
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 | — | ||||||
Industrial — 0.0% | ||||||||
Engineering & Construction — 0.0% | ||||||||
Abengoa SA, Expires 3/31/25, Strike 0.0002 EUR (b) (c) | 11,608 | 66 | ||||||
TOTAL WARRANTS (Cost $0) | 66 | |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Biotechnology — 0.0% | ||||||||
Tobira Therapeutics Inc., CVR (a) (b) (c) | 505 | 3,843 |
MM Equity Asset Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
TOTAL RIGHTS (Cost $30) | $ | 3,843 | ||||||
TOTAL LONG-TERM INVESTMENTS (Cost $272,576,102) | 399,048,145 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||
Repurchase Agreement — 1.1% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (e) | $ | 4,514,875 | $ | 4,514,875 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,514,875) | 4,514,875 | |||||||
TOTAL INVESTMENTS — 99.7% (Cost $277,090,977) (f) | 403,563,020 | |||||||
Other Assets/(Liabilities) — 0.3% | 1,127,853 | |||||||
NET ASSETS — 100.0% | $ | 404,690,873 |
Abbreviation Legend
CVR | Contingent Value Rights |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Investment was valued using significant unobservable inputs. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $5,582 or 0.00% of net assets. |
(c) | Non-income producing security. |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $100,320 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 $103,863 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) | Maturity value of $4,514,875. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $4,605,205. |
(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 | 9/17/21 | 22 | $ | 4,656,950 | $ | 60,510 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 0.0% | ||||||||
PREFERRED STOCK — 0.0% | ||||||||
Energy — 0.0% | ||||||||
Pipelines — 0.0% | ||||||||
Targa Resources Corp. | ||||||||
9.500% (a) | 235 | $ | 252,684 | |||||
TOTAL PREFERRED STOCK (Cost $252,693) | 252,684 | |||||||
TOTAL EQUITIES (Cost $252,693) | 252,684 | |||||||
Principal Amount | ||||||||
BONDS & NOTES — 94.3% | ||||||||
BANK LOANS — 2.5% | ||||||||
Advertising — 0.1% | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. USD LIBOR + 3.500% | ||||||||
3.686% VRN 8/21/26 | $ | 243,282 | 237,302 | |||||
Lamar Media Corp., 2020 Term Loan B, 1 mo. USD LIBOR + 1.500% | ||||||||
1.577% VRN 2/05/27 | 305,000 | 299,663 | ||||||
536,965 | ||||||||
Aerospace & Defense — 0.1% | ||||||||
Dynasty Acquisition Co., Inc. | ||||||||
2020 Term Loan B1, 3 mo. USD LIBOR + 3.500% | ||||||||
3.647% VRN 4/06/26 | 106,552 | 103,710 | ||||||
2020 CAD Term Loan B2, 3 mo. USD LIBOR + 3.500% | ||||||||
3.647% VRN 4/06/26 | 57,286 | 55,758 | ||||||
TransDigm, Inc., 2020 Term Loan G, 1 mo. USD LIBOR + 2.250% | ||||||||
2.354% VRN 8/22/24 | 366,731 | 361,902 | ||||||
521,370 | ||||||||
Airlines — 0.1% | ||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, 3 mo. USD LIBOR + 4.750% | ||||||||
5.500% VRN 4/20/28 | 440,000 | 458,370 | ||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, 3 mo. USD LIBOR + 5.250% | ||||||||
6.250% VRN 6/21/27 | 425,000 | 453,543 | ||||||
United Airlines, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 4/21/28 | 175,000 | 177,138 | ||||||
1,089,051 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Auto Manufacturers — 0.1% | ||||||||
Navistar International Corporation, 2017 1st Lien Term Loan B, 2 mo. USD LIBOR + 3.500% | ||||||||
3.600% VRN 11/06/24 | $ | 583,492 | $ | 583,492 | ||||
Auto Parts & Equipment — 0.0% | ||||||||
Clarios Global LP, 2021 USD Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 4/30/26 | 299,115 | 296,124 | ||||||
Biotechnology — 0.1% | ||||||||
Aldevron, L.L.C., 2021 Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
4.250% VRN 10/12/26 | 469,596 | 469,450 | ||||||
Commercial Services — 0.0% | ||||||||
CoreLogic, Inc., Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 6/02/28 | 330,000 | 328,845 | ||||||
Computers — 0.1% | ||||||||
Peraton Corp., Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 2/01/28 | 299,250 | 299,873 | ||||||
Western Digital Corp., 2018 Term Loan B4, 1 mo. USD LIBOR + 1.750% | ||||||||
1.843% VRN 4/29/23 | 234,806 | 234,470 | ||||||
534,343 | ||||||||
Cosmetics & Personal Care — 0.1% | ||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 10/01/26 | 438,900 | 440,243 | ||||||
Electric — 0.0% | ||||||||
Pike Corporation, 2021 Incremental Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.110% VRN 1/21/28 | 86,301 | 86,074 | ||||||
Entertainment — 0.2% | ||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, 1 mo. USD LIBOR + 2.000% | ||||||||
2.110% VRN 3/10/28 | 593,513 | 587,577 | ||||||
Delta 2 (LUX) S.A.R.L., 2018 USD Term Loan, 1 mo. USD LIBOR + 2.500% | ||||||||
3.500% VRN 2/01/24 | 605,000 | 601,316 | ||||||
UFC Holdings LLC, 2021 Term Loan B, 6 mo. USD LIBOR + 3.000% | ||||||||
3.750% VRN 4/29/26 | 511,279 | 510,399 | ||||||
1,699,292 | ||||||||
Environmental Controls — 0.1% | ||||||||
Filtration Group Corp. | ||||||||
2018 1st Lien Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 3/29/25 | 473,823 | 469,578 | ||||||
2020 Incremental Term Loan, 1 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 3/29/25 | 84,362 | 84,362 | ||||||
GFL Environmental, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 5/30/25 | 278,672 | 278,711 | ||||||
Madison IAQ LLC, Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 6/16/28 | 25,000 | 25,000 | ||||||
857,651 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Hand & Machine Tools — 0.0% | ||||||||
Apex Tool Group, LLC, 2019 Term Loan B, 1 mo. USD LIBOR + 5.250% | ||||||||
6.500% VRN 8/01/24 | $ | 118,442 | $ | 118,819 | ||||
Health Care – Products — 0.0% | ||||||||
Maravai Intermediate Holdings, LLC, 2020 Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.750% VRN 10/19/27 | 294,195 | 295,299 | ||||||
Health Care – Services — 0.2% | ||||||||
ADMI Corp. | ||||||||
2021 Incremental Term Loan B3, | ||||||||
0.000% 12/23/27 (b) | 110,000 | 109,794 | ||||||
2021 Term Loan B2, 1 mo. USD LIBOR + 3.375% | ||||||||
3.250% VRN 12/23/27 | 264,338 | 261,200 | ||||||
HCA, Inc. , 2021 Term Loan B14, | ||||||||
0.000% 6/23/28 (b) | 45,000 | 45,079 | ||||||
ICON Luxembourg S.A.R.L., LUX Term Loan, | ||||||||
0.000% 7/03/28 (b) | 255,000 | 255,360 | ||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 11/16/25 | 209,589 | 208,985 | ||||||
Surgery Center Holdings, Inc. , 2021 Term Loan, 1 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 8/31/26 | 298,477 | 299,548 | ||||||
U.S. Renal Care, Inc. , 2019 Term Loan B, 1 mo. USD LIBOR + 5.000% | ||||||||
5.125% VRN 6/26/26 | 119,392 | 119,815 | ||||||
1,299,781 | ||||||||
Insurance — 0.2% | ||||||||
Alliant Holdings Intermediate LLC | ||||||||
2018 Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 5/09/25 | 227,512 | 224,927 | ||||||
2020 Term Loan B3, 1 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 10/08/27 | 213,594 | 213,772 | ||||||
Asurion LLC | ||||||||
2018 Term Loan B7, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 11/03/24 | 389,459 | 385,198 | ||||||
2020 Term Loan B8, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 12/23/26 | 552,211 | 545,656 | ||||||
2021 2nd Lien Term Loan B3, 1 mo. USD LIBOR + 5.250% | ||||||||
5.354% VRN 1/31/28 | 74,697 | 75,226 | ||||||
Hub International Limited, 2021 Term Loan B, 3 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 4/25/25 | 335,759 | 335,523 | ||||||
1,780,302 | ||||||||
Lodging — 0.1% | ||||||||
Caesars Resort Collection LLC | ||||||||
2017 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
2.854% VRN 12/23/24 | 379,105 | 375,651 | ||||||
2020 Term Loan B1, 1 mo. USD LIBOR + 4.500% | ||||||||
4.604% VRN 7/21/25 | 238,200 | 238,796 | ||||||
614,447 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Machinery – Construction & Mining — 0.0% | ||||||||
Brookfield WEC Holdings, Inc., 2021 Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 8/01/25 | $ | 238,800 | $ | 236,345 | ||||
Machinery – Diversified — 0.0% | ||||||||
AI Alpine AT Bidco GmbH, 2018 USD Term Loan B, 3 mo. USD LIBOR + 3.000% | ||||||||
3.200% VRN 10/31/25 | 45,968 | 44,590 | ||||||
Vertical Midco GmbH, USD Term Loan B, 6 mo. USD LIBOR + 4.250% | ||||||||
4.478% VRN 7/30/27 | 313,602 | 313,733 | ||||||
358,323 | ||||||||
Media — 0.1% | ||||||||
The E.W. Scripps Co., 2020 Term Loan B3, 1 mo. USD LIBOR + 3.000% | ||||||||
3.750% VRN 1/07/28 | 158,950 | 158,752 | ||||||
Mission Broadcasting, Inc. , 2021 Term Loan B, | ||||||||
0.000% 5/26/28 (b) | 175,000 | 173,906 | ||||||
Univision Communication, Inc. 2021 Term Loan B | ||||||||
0.000% 5/05/28 (b) | 250,000 | 248,855 | ||||||
581,513 | ||||||||
Packaging & Containers — 0.1% | ||||||||
Charter NEX US, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% VRN 12/01/27 | 720,965 | 721,866 | ||||||
Pharmaceuticals — 0.1% | ||||||||
Gainwell Acquisition Corp., Term Loan B, 3 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 10/01/27 | 290,000 | 290,652 | ||||||
Organon & Co, USD Term Loan, | ||||||||
0.000% 6/02/28 (b) | 185,000 | 185,117 | ||||||
PetVet Care Centers, LLC, 2021 Term Loan B3, 1 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 2/14/25 | 293,544 | 293,985 | ||||||
769,754 | ||||||||
Pipelines — 0.0% | ||||||||
Buckeye Partners, L.P., 2021 Term Loan B, 1 mo. USD LIBOR + 2.250% | ||||||||
2.354% VRN 11/01/26 | 380,202 | 377,350 | ||||||
Retail — 0.2% | ||||||||
IRB Holding Corp., 2020 Fourth Amendment Incremental Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
4.250% VRN 12/15/27 | 239,400 | 239,251 | ||||||
KFC Holding Co., 2021 Term Loan B, 1 mo. USD LIBOR + 1.750% | ||||||||
1.833% VRN 3/15/28 | 732,460 | 732,197 | ||||||
Staples, Inc., 7 Year Term Loan, 3 mo. USD LIBOR + 5.000% | ||||||||
5.176% VRN 4/16/26 | 184,060 | 179,114 | ||||||
WOOF Holdings, Inc., 1st Lien Term Loan, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 12/21/27 | 280,000 | 279,768 | ||||||
1,430,330 | ||||||||
Software — 0.5% | ||||||||
Applied Systems, Inc., 2017 1st Lien Term Loan, 1 mo. USD LIBOR + 3.250%, 3 mo. PRIME + 2.250% | ||||||||
3.750% - 5.500% VRN 9/19/24 | 874,015 | 871,725 | ||||||
Ascend Learning LLC |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2017 Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
4.000% VRN 7/12/24 | $ | 597,496 | $ | 596,875 | ||||
2020 Incremental Term Loan, 1 mo. USD LIBOR + 3.750% | ||||||||
4.750% VRN 7/12/24 | 238,200 | 238,200 | ||||||
Camelot U.S. Acquisition 1 Co. | ||||||||
Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 10/30/26 | 103,425 | 102,908 | ||||||
2020 Incremental Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
4.000% VRN 10/30/26 | 109,450 | 109,450 | ||||||
CCC Information Services, Inc, 2017 1st Lien Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
4.000% VRN 4/29/24 | 230,808 | 230,681 | ||||||
Epicor Software Corp., 2020 Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 7/30/27 | 298,921 | 298,461 | ||||||
Hyland Software, Inc., 2018 1st Lien Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 7/01/24 | 24,936 | 24,957 | ||||||
RealPage, Inc., 1st Lien Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 4/24/28 | 455,000 | 453,407 | ||||||
The Ultimate Software Group, Inc. | ||||||||
2021 Incremental Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 5/04/26 | 898,746 | 899,267 | ||||||
2020 2nd Lien Incremental Term Loan, 3 mo. USD LIBOR + 6.750% | ||||||||
7.500% VRN 5/03/27 | 135,000 | 137,137 | ||||||
3,963,068 | ||||||||
Telecommunications — 0.0% | ||||||||
Intelsat Jackson Holdings S.A., 2017 Term Loan B3, | ||||||||
0.000% 11/27/23 (b) | 170,000 | 172,409 | ||||||
Iridium Satellite LLC, 2021 Term Loan B, 1 mo. USD LIBOR + 2.750% | ||||||||
3.750% VRN 11/04/26 | 202,950 | 203,147 | ||||||
375,556 | ||||||||
TOTAL BANK LOANS (Cost $20,333,338) | 20,365,653 | |||||||
CORPORATE DEBT — 33.3% | ||||||||
Aerospace & Defense — 0.0% | ||||||||
TransDigm, Inc. | ||||||||
8.000% 12/15/25 (c) | 135,000 | 145,868 | ||||||
Agriculture — 0.3% | ||||||||
BAT Capital Corp. | ||||||||
3.557% 8/15/27 | 770,000 | 824,977 | ||||||
BAT International Finance PLC | ||||||||
1.668% 3/25/26 | 205,000 | 204,974 | ||||||
3.950% 6/15/25 (c) | 786,000 | 858,741 | ||||||
Bunge Finance Europe BV | ||||||||
1.850% 6/16/23 EUR (d) | 220,000 | 269,293 | ||||||
Reynolds American, Inc. | ||||||||
4.450% 6/12/25 | 395,000 | 437,716 | ||||||
2,595,701 | ||||||||
Airlines — 0.2% | ||||||||
American Airlines, Inc. /AAdvantage Loyalty IP Ltd. | ||||||||
5.500% 4/20/26 (c) | 170,000 | 179,988 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.750% 4/20/29 (c) | $ | 160,000 | $ | 172,734 | ||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.500% 6/20/27 (c) | 920,000 | 1,012,920 | ||||||
United Airlines Pass Through Trust | ||||||||
2.900% 11/01/29 | 152,909 | 152,352 | ||||||
2.700% 11/01/33 | 96,111 | 96,412 | ||||||
1,614,406 | ||||||||
Auto Manufacturers — 1.3% | ||||||||
American Honda Finance Corp. | ||||||||
0.750% 11/25/26 GBP (d) | 130,000 | 177,300 | ||||||
1.950% 10/18/24 EUR (d) | 200,000 | 252,840 | ||||||
BMW Finance NV | ||||||||
0.010% 3/24/23 EUR (c) (d) | 117,000 | 139,462 | ||||||
0.010% 4/14/23 EUR (c) (d) | 84,000 | 100,169 | ||||||
0.500% 11/22/22 EUR (c) (d) | 105,000 | 126,048 | ||||||
1.250% 9/05/22 EUR (c) (d) | 92,000 | 111,201 | ||||||
Daimler Finance North America LLC | ||||||||
1.450% 3/02/26 (c) | 695,000 | 698,518 | ||||||
2.450% 3/02/31 (c) | 255,000 | 261,602 | ||||||
Daimler International Finance BV | ||||||||
0.625% 2/27/23 EUR (c) (d) | 112,000 | 134,807 | ||||||
0.750% 5/11/23 EUR (c) (d) | 80,000 | 96,641 | ||||||
2.375% 9/12/22 EUR (c) (d) | 72,000 | 88,231 | ||||||
FCE Bank PLC | ||||||||
0.869% 9/13/21 EUR (c) (d) | 200,000 | 237,296 | ||||||
Ford Motor Co. | ||||||||
9.000% 4/22/25 | 40,000 | 49,315 | ||||||
9.625% 4/22/30 | 15,000 | 21,525 | ||||||
General Motors Financial Co., Inc. | ||||||||
0.955% 9/07/23 EUR (c) (d) | 110,000 | 132,925 | ||||||
2.200% 4/01/24 EUR (c) (d) | 270,000 | 338,155 | ||||||
4.000% 10/06/26 | 620,000 | 684,792 | ||||||
4.350% 4/09/25 | 750,000 | 829,013 | ||||||
5.100% 1/17/24 | 435,000 | 478,923 | ||||||
Hyundai Capital America | ||||||||
1.800% 10/15/25 (c) | 300,000 | 304,506 | ||||||
2.375% 2/10/23 (c) | 515,000 | 528,573 | ||||||
RCI Banque SA | ||||||||
0.250% 3/08/23 EUR (c) (d) | 55,000 | 65,562 | ||||||
0.750% 9/26/22 EUR (c) (d) | 71,000 | 84,999 | ||||||
0.750% 4/10/23 EUR (c) (d) | 68,000 | 81,631 | ||||||
Stellantis NV | ||||||||
2.375% 4/14/23 EUR (c) (d) | 53,000 | 65,633 | ||||||
Toyota Motor Credit Corp. | ||||||||
0.750% 7/21/22 EUR (c) (d) | 104,000 | 124,814 | ||||||
2.375% 2/01/23 EUR (c) (d) | 81,000 | 100,215 | ||||||
Volkswagen Bank GmbH | ||||||||
0.750% 6/15/23 EUR (c) (d) | 80,000 | 96,397 | ||||||
2.500% 7/31/26 EUR (c) (d) | 700,000 | 922,689 | ||||||
Volkswagen Financial Services AG | ||||||||
0.875% 4/12/23 EUR (c) (d) | 72,000 | 86,832 | ||||||
2.500% 4/06/23 EUR (c) (d) | 67,000 | 83,070 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
2.850% 9/26/24 (c) | 285,000 | 300,973 | ||||||
3.200% 9/26/26 (c) | 1,320,000 | 1,427,812 | ||||||
3.350% 5/13/25 (c) | 500,000 | 539,743 | ||||||
Volkswagen International Finance NV |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
0.875% 1/16/23 EUR (c) (d) | $ | 120,000 | $ | 144,568 | ||||
1.875% 3/30/27 EUR (c) (d) | 200,000 | 257,380 | ||||||
Volkswagen Leasing GmbH | ||||||||
1.500% 6/19/26 EUR (c) (d) (e) | 145,000 | 182,315 | ||||||
1.625% 8/15/25 EUR (c) (d) | 150,000 | 188,598 | ||||||
2.375% 9/06/22 EUR (c) (d) | 100,000 | 122,202 | ||||||
10,667,275 | ||||||||
Auto Parts & Equipment — 0.0% | ||||||||
Continental AG | ||||||||
0.010% 9/12/23 EUR (c) (d) | 45,000 | 53,419 | ||||||
The Goodyear Tire & Rubber Co. | ||||||||
5.000% 7/15/29 (c) | 110,000 | 115,170 | ||||||
Tenneco, Inc. | ||||||||
5.125% 4/15/29 (c) | 12,000 | 12,331 | ||||||
180,920 | ||||||||
Banks — 7.7% | ||||||||
ABN AMRO Bank NV | ||||||||
2.500% 11/29/23 EUR (c) (d) | 114,000 | 144,204 | ||||||
AIB Group PLC | ||||||||
2.250% 7/03/25 EUR (c) (d) | 300,000 | 385,353 | ||||||
Arion Banki HF | ||||||||
1.000% 3/20/23 EUR (c) (d) | 150,000 | 180,458 | ||||||
1.625% 12/01/21 EUR (c) (d) | 100,000 | 119,445 | ||||||
Banco Bilbao Vizcaya Argentaria SA | ||||||||
0.375% 10/02/24 EUR (c) (d) | 200,000 | 240,186 | ||||||
0.750% 9/11/22 EUR (c) (d) | 100,000 | 120,128 | ||||||
Banco Comercial Portugues SA 5 year EUR Swap + 4.267% | ||||||||
4.500% VRN 12/07/27 EUR (c) (d) | 100,000 | 122,393 | ||||||
Banco de Bogota SA | ||||||||
6.250% 5/12/26 (c) | 250,000 | 273,752 | ||||||
Banco de Credito del Peru | ||||||||
5 year CMT + 3.000% 3.125% VRN 7/01/30 (c) | 240,000 | 238,716 | ||||||
5 year CMT + 3.000% 3.125% VRN 7/01/30 (c) | 135,000 | 134,278 | ||||||
Banco de Sabadell SA | ||||||||
0.875% 3/05/23 EUR (c) (d) | 300,000 | 360,833 | ||||||
Banco Santander SA | ||||||||
1.125% 1/17/25 EUR (c) (d) | 300,000 | 367,818 | ||||||
1.375% 12/14/22 EUR (c) (d) | 100,000 | 121,440 | ||||||
2.746% 5/28/25 | 1,200,000 | 1,265,009 | ||||||
3.490% 5/28/30 | 200,000 | 216,187 | ||||||
Bangkok Bank PCL | ||||||||
5 year CMT + 1.900% 3.733% VRN 9/25/34 (c) | 450,000 | 466,744 | ||||||
4.450% 9/19/28 (c) | 330,000 | 380,101 | ||||||
Bank of America Corp. | ||||||||
0.750% 7/26/23 EUR (c) (d) | 110,000 | 133,046 | ||||||
1.625% 9/14/22 EUR (c) (d) | 111,000 | 134,787 | ||||||
SOFR + .960% 1.734% VRN 7/22/27 | 585,000 | 589,760 | ||||||
SOFR + 1.530% 1.898% VRN 7/23/31 | 1,240,000 | 1,206,934 | ||||||
2.375% 6/19/24 EUR (c) (d) | 150,000 | 190,841 | ||||||
2.375% 6/19/24 EUR (c) (d) | 150,000 | 190,841 | ||||||
3 mo. USD LIBOR + .990% 2.496% VRN 2/13/31 | 1,735,000 | 1,773,276 | ||||||
SOFR + 2.150% 2.592% VRN 4/29/31 | 585,000 | 603,769 | ||||||
3 mo. USD LIBOR + 1.040% 3.419% VRN 12/20/28 | 55,000 | 59,923 | ||||||
3 mo. USD LIBOR + 1.060% 3.559% VRN 4/23/27 | 495,000 | 542,368 | ||||||
3.950% 4/21/25 | 1,365,000 | 1,498,410 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
4.200% 8/26/24 | $ | 2,040,000 | $ | 2,236,666 | ||||
4.250% 10/22/26 | 700,000 | 790,765 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
0.750% 6/15/23 EUR (c) (d) | 100,000 | 121,090 | ||||||
Barclays PLC | ||||||||
1.875% 12/08/23 EUR (c) (d) | 113,000 | 140,483 | ||||||
SOFR + 2.714% 2.852% VRN 5/07/26 | 670,000 | 708,085 | ||||||
3 mo. USD LIBOR + 1.610% 3.932% VRN 5/07/25 | 475,000 | 512,801 | ||||||
BBVA Bancomer SA 5 year CMT + 2.650% | ||||||||
5.125% VRN 1/18/33 (c) | 300,000 | 312,600 | ||||||
BNP Paribas SA | ||||||||
SOFR + 1.004% 1.323% VRN 1/13/27 (c) | 890,000 | 879,588 | ||||||
3 mo. EURIBOR + 1.800% 2.125% VRN 1/23/27 EUR (c) (d) | 300,000 | 383,774 | ||||||
2.875% 10/24/22 EUR (c) (d) | 96,000 | 118,792 | ||||||
2.875% 9/26/23 EUR (c) (d) | 153,000 | 194,291 | ||||||
4.500% 3/21/23 EUR (c) (d) | 157,000 | 201,758 | ||||||
BPCE SA | ||||||||
0.375% 10/05/23 EUR (c) (d) | 100,000 | 120,352 | ||||||
4.625% 7/18/23 EUR (c) (d) | 100,000 | 129,916 | ||||||
CaixaBank SA | ||||||||
1.125% 1/12/23 EUR (c) (d) | 100,000 | 120,925 | ||||||
1.125% 5/17/24 EUR (c) (d) | 100,000 | 122,558 | ||||||
1.750% 10/24/23 EUR (c) (d) | 100,000 | 123,477 | ||||||
5 year EUR Swap + 2.350% 2.750% VRN 7/14/28 EUR (c) (d) | 200,000 | 247,583 | ||||||
Citigroup, Inc. | ||||||||
0.750% 10/26/23 EUR (c) (d) | 110,000 | 132,927 | ||||||
SOFR + 1.167% 2.561% VRN 5/01/32 | 300,000 | 305,960 | ||||||
SOFR + 2.842% 3.106% VRN 4/08/26 | 475,000 | 508,516 | ||||||
Commerzbank AG | ||||||||
0.500% 8/28/23 EUR (c) (d) | 142,000 | 170,751 | ||||||
1.500% 9/21/22 EUR (d) | 18,000 | 21,801 | ||||||
Cooperatieve Rabobank UA | ||||||||
0.750% 8/29/23 EUR (c) (d) | 100,000 | 121,070 | ||||||
2.375% 5/22/23 EUR (c) (d) | 130,000 | 162,195 | ||||||
3.875% 7/25/23 EUR (c) (d) | 118,000 | 151,350 | ||||||
4.125% 9/14/22 EUR (c) (d) | 115,000 | 143,294 | ||||||
4.625% 5/23/29 GBP (c) (d) | 150,000 | 247,042 | ||||||
Credit Agricole SA | ||||||||
0.875% 1/14/32 EUR (c) (d) | 200,000 | 240,394 | ||||||
1.000% 9/16/24 EUR (c) (d) | 200,000 | 246,292 | ||||||
Credit Suisse AG/London | ||||||||
1.000% 6/07/23 EUR (c) (d) | 111,000 | 134,648 | ||||||
Credit Suisse Group AG | ||||||||
BPSW1 + 1.230% 2.125% VRN 9/12/25 GBP (c) (d) | 250,000 | 354,841 | ||||||
SOFR + 3.730% 4.194% VRN 4/01/31 (c) | 480,000 | 539,978 | ||||||
Danske Bank A/S | ||||||||
0.250% 11/28/22 EUR (c) (d) | 109,000 | 130,282 | ||||||
0.875% 5/22/23 EUR (c) (d) | 110,000 | 132,761 | ||||||
5 year EUR Swap + 1.700% 1.375% VRN 2/12/30 EUR (c) (d) | 200,000 | 241,653 | ||||||
3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (c) | 200,000 | 200,976 | ||||||
3 mo. USD LIBOR + 1.591% 3.244% VRN 12/20/25 (c) | 1,040,000 | 1,106,963 | ||||||
3.875% 9/12/23 (c) | 5,000 | 5,320 | ||||||
1 year CMT + 1.730% 5.000% VRN 1/12/23 (c) | 1,000,000 | 1,021,854 | ||||||
5.375% 1/12/24 (c) | 200,000 | 221,785 | ||||||
Deutsche Bank AG | ||||||||
1.125% 8/30/23 EUR (c) (d) | 114,000 | 138,817 | ||||||
2.375% 1/11/23 EUR (c) (d) | 100,000 | 123,246 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Discover Bank | ||||||||
4.650% 9/13/28 | $ | 405,000 | $ | 475,675 | ||||
DNB Bank ASA | ||||||||
0.050% 11/14/23 EUR (c) (d) | 109,000 | 130,254 | ||||||
DNB Boligkreditt AS | ||||||||
1.875% 11/21/22 EUR (c) (d) | 100,000 | 122,482 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
1.375% 7/26/22 EUR (c) (d) | 118,000 | 142,433 | ||||||
1.375% 5/15/24 EUR (c) (d) | 40,000 | 48,671 | ||||||
SOFR + .818% 1.542% VRN 9/10/27 | 605,000 | 603,694 | ||||||
1.625% 7/27/26 EUR (c) (d) | 140,000 | 177,092 | ||||||
2.000% 7/27/23 EUR (c) (d) | 130,000 | 160,859 | ||||||
SOFR + 1.281% 2.615% VRN 4/22/32 | 2,950,000 | 3,017,139 | ||||||
3.250% 2/01/23 EUR (c) (d) | 134,000 | 167,539 | ||||||
3.500% 11/16/26 | 745,000 | 810,432 | ||||||
Heta Asset Resolution AG | ||||||||
2.375% 12/13/22 EUR (c) (d) | 1,100,000 | 1,356,819 | ||||||
HSBC Continental Europe SA | ||||||||
0.600% 3/20/23 EUR (c) (d) | 100,000 | 120,523 | ||||||
HSBC Holdings PLC | ||||||||
SOFR + 1.538% 1.645% VRN 4/18/26 | 940,000 | 952,939 | ||||||
SOFR + 1.929% 2.099% VRN 6/04/26 | 610,000 | 627,489 | ||||||
6.500% 5/20/24 GBP (c) (d) | 100,000 | 160,232 | ||||||
ING Groep NV | ||||||||
1.000% 9/20/23 EUR (c) (d) | 100,000 | 121,835 | ||||||
SOFR + 1.005% 1.726% VRN 4/01/27 | 260,000 | 262,335 | ||||||
Intesa Sanpaolo SpA | ||||||||
1.000% 7/04/24 EUR (c) (d) | 300,000 | 366,190 | ||||||
2.125% 8/30/23 EUR (c) (d) | 114,000 | 141,717 | ||||||
JP Morgan Chase & Co. | ||||||||
SOFR + .885% 1.578% VRN 4/22/27 | 630,000 | 633,545 | ||||||
SOFR + 1.105% 1.764% VRN 11/19/31 | 955,000 | 916,918 | ||||||
SOFR + 1.890% 2.182% VRN 6/01/28 | 675,000 | 691,555 | ||||||
SOFR + 1.510% 2.739% VRN 10/15/30 | 445,000 | 466,207 | ||||||
SOFR + 2.515% 2.956% VRN 5/13/31 | 2,320,000 | 2,439,669 | ||||||
JPMorgan Chase & Co. | ||||||||
1.500% 10/26/22 EUR (c) (d) | 111,000 | 134,936 | ||||||
2.750% 2/01/23 EUR (c) (d) | 114,000 | 141,800 | ||||||
KBC Group NV | ||||||||
0.750% 10/18/23 EUR (c) (d) | 100,000 | 121,288 | ||||||
Kookmin Bank | ||||||||
2.500% 11/04/30 (c) | 200,000 | 198,902 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
4.700% 6/02/37 CAD (d) | 75,000 | 77,862 | ||||||
4.700% 6/02/37 CAD (d) | 65,000 | 67,480 | ||||||
Landsbankinn HF | ||||||||
1.000% 5/30/23 EUR (c) (d) | 100,000 | 120,582 | ||||||
Lloyds Bank Corporate Markets PLC | ||||||||
0.250% 10/04/22 EUR (c) (d) | 100,000 | 119,478 | ||||||
Morgan Stanley | ||||||||
3 mo. EURIBOR + .753% 0.637% VRN 7/26/24 EUR (d) | 100,000 | 120,444 | ||||||
1.000% 12/02/22 EUR (d) | 110,000 | 132,810 | ||||||
1.375% 10/27/26 EUR (d) | 100,000 | 125,859 | ||||||
SOFR + .879% 1.593% VRN 5/04/27 | 670,000 | 674,466 | ||||||
1.875% 3/30/23 EUR (d) | 113,000 | 138,974 | ||||||
SOFR + 1.020% 1.928% VRN 4/28/32 | 215,000 | 209,237 | ||||||
SOFR + 1.485% 3.217% VRN 4/22/42 | 165,000 | 175,076 | ||||||
National Australia Bank Ltd. |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
0.625% 11/10/23 EUR (c) (d) | $ | 56,000 | $ | 67,865 | ||||
2.750% 8/08/22 EUR (c) (d) | 92,000 | 112,941 | ||||||
The Nationale-Nederlanden Bank NV | ||||||||
0.375% 2/26/25 EUR (c) (d) | 100,000 | 120,347 | ||||||
Natwest Group PLC | ||||||||
3 mo. EURIBOR + 2.039% 2.000% VRN 3/08/23 EUR (c) (d) | 110,000 | 132,348 | ||||||
2.500% 3/22/23 EUR (c) (d) | 114,000 | 141,226 | ||||||
3.875% 9/12/23 | 810,000 | 865,171 | ||||||
Nordea Bank Abp | ||||||||
1.000% 2/22/23 EUR (c) (d) | 111,000 | 134,556 | ||||||
QNB Finance Ltd. | ||||||||
2.750% 2/12/27 (c) | 800,000 | 837,307 | ||||||
Santander UK Group Holdings PLC | ||||||||
1.125% 9/08/23 EUR (c) (d) | 111,000 | 135,108 | ||||||
1 year CMT + 1.250% 1.532% VRN 8/21/26 | 1,465,000 | 1,468,066 | ||||||
Shinhan Bank Co. Ltd. | ||||||||
3.875% 3/24/26 (c) | 400,000 | 439,864 | ||||||
4.000% 4/23/29 (c) | 1,000,000 | 1,115,793 | ||||||
Societe Generale SA | ||||||||
5 year EUR Swap + 1.830% 2.500% VRN 9/16/26 EUR (c) (d) | 400,000 | 476,702 | ||||||
4.250% 7/13/22 EUR (c) (d) | 100,000 | 124,356 | ||||||
Stadshypotek AB | ||||||||
2.000% 9/01/28 SEK (c) (d) | 8,000,000 | 1,017,310 | ||||||
Standard Chartered PLC | ||||||||
5 year EUR Swap + 2.800% 2.500% VRN 9/09/30 EUR (c) (d) | 300,000 | 377,520 | ||||||
3 mo. USD LIBOR + 1.209% 2.819% VRN 1/30/26 (c) | 200,000 | 209,976 | ||||||
1 year CMT + 3.850% 4.644% VRN 4/01/31 (c) | 2,030,000 | 2,376,347 | ||||||
The Toronto-Dominion Bank | ||||||||
0.625% 7/20/23 EUR (c) (d) | 110,000 | 133,006 | ||||||
UBS Group AG 1 year CMT + 1.080% | ||||||||
1.364% VRN 1/30/27 (c) | 235,000 | 233,454 | ||||||
UniCredit SpA | ||||||||
2.000% 3/04/23 EUR (c) (d) | 313,000 | 384,229 | ||||||
EUAMDB05 + 4.739% 4.875% VRN 2/20/29 EUR (c) (d) | 200,000 | 258,370 | ||||||
Wells Fargo & Co. | ||||||||
1.500% 9/12/22 EUR (c) (d) | 111,000 | 134,527 | ||||||
SOFR + 2.000% 2.188% VRN 4/30/26 | 1,235,000 | 1,283,145 | ||||||
2.250% 5/02/23 EUR (c) (d) | 114,000 | 141,273 | ||||||
SOFR + 2.100% 2.393% VRN 6/02/28 | 1,105,000 | 1,146,598 | ||||||
SOFR + 1.262% 2.572% VRN 2/11/31 | 1,225,000 | 1,269,030 | ||||||
2.625% 8/16/22 EUR (c) (d) | 113,000 | 138,500 | ||||||
SOFR + 1.432% 2.879% VRN 10/30/30 | 2,145,000 | 2,273,764 | ||||||
SOFR + 2.530% 3.068% VRN 4/30/41 | 335,000 | 342,891 | ||||||
4.300% 7/22/27 | 290,000 | 330,830 | ||||||
62,227,077 | ||||||||
Beverages — 0.0% | ||||||||
Anheuser-Busch InBev SA/NV | ||||||||
2.000% 1/23/35 EUR (c) (d) | 150,000 | 198,174 | ||||||
Building Materials — 0.3% | ||||||||
Boral Finance Pty Ltd. | ||||||||
3.000% 11/01/22 (c) | 170,000 | 174,212 | ||||||
3.750% 5/01/28 (c) | 1,060,000 | 1,143,997 | ||||||
Cemex SAB de CV | ||||||||
7.375% 6/05/27 (c) | 300,000 | 337,860 | ||||||
Cie de Saint-Gobain | ||||||||
1.750% 4/03/23 EUR (c) (d) | 100,000 | 122,427 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
CRH Finance UK PLC | ||||||||
4.125% 12/02/29 GBP (c) (d) | $ | 150,000 | $ | 247,792 | ||||
HeidelbergCement Finance Luxembourg SA | ||||||||
0.500% 8/09/22 EUR (c) (d) | 64,000 | 76,394 | ||||||
Holcim Finance Luxembourg SA | ||||||||
1.375% 5/26/23 EUR (c) (d) | 111,000 | 135,089 | ||||||
Johnson Controls International PLC | ||||||||
1.000% 9/15/23 EUR (d) | 111,000 | 134,639 | ||||||
2,372,410 | ||||||||
Chemicals — 0.3% | ||||||||
BASF SE | ||||||||
0.101% 6/05/23 EUR (c) (d) | 100,000 | 119,369 | ||||||
Eastman Chemical Co. | ||||||||
1.500% 5/26/23 EUR (d) | 111,000 | 134,965 | ||||||
Ecolab, Inc. | ||||||||
4.800% 3/24/30 | 40,000 | 48,983 | ||||||
Equate Petrochemical BV | ||||||||
2.625% 4/28/28 (c) | 200,000 | 202,000 | ||||||
4.250% 11/03/26 (c) | 500,000 | 555,000 | ||||||
Evonik Industries AG | ||||||||
1.000% 1/23/23 EUR (c) (d) | 84,000 | 101,206 | ||||||
LANXESS AG | ||||||||
2.625% 11/21/22 EUR (c) (d) | 60,000 | 74,014 | ||||||
Methanex Corp. | ||||||||
5.125% 10/15/27 | 455,000 | 491,400 | ||||||
Westlake Chemical Corp. | ||||||||
1.625% 7/17/29 EUR (d) | 675,000 | 836,399 | ||||||
2,563,336 | ||||||||
Commercial Services — 0.5% | ||||||||
Abertis Infraestructuras SA | ||||||||
3.000% 3/27/31 EUR (c) (d) | 100,000 | 138,495 | ||||||
Adani Ports & Special Economic Zone Ltd. | ||||||||
4.200% 8/04/27 (c) | 250,000 | 260,569 | ||||||
Holding d'Infrastructures de Transport SASU | ||||||||
0.625% 3/27/23 EUR (c) (d) | 100,000 | 119,823 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | ||||||||
5.750% 4/15/26 (c) | 105,000 | 115,990 | ||||||
Shanghai Port Group BVI Co. Ltd. | ||||||||
2.375% 7/13/30 (c) | 200,000 | 200,808 | ||||||
Shanghai Port Group BVI Development Co. Ltd. | ||||||||
2.850% 9/11/29 (c) | 520,000 | 543,309 | ||||||
3.375% 6/18/29 (c) | 400,000 | 432,704 | ||||||
Transurban Finance Co. | ||||||||
1.450% 5/16/29 EUR (c) (d) | 225,000 | 281,159 | ||||||
2.450% 3/16/31 (c) | 920,000 | 926,290 | ||||||
3.375% 3/22/27 (c) | 560,000 | 607,137 | ||||||
Verisure Holding AB | ||||||||
3.250% 2/15/27 EUR (c) (d) | 100,000 | 118,597 | ||||||
3.875% 7/15/26 EUR (c) (d) | 100,000 | 121,161 | ||||||
3,866,042 | ||||||||
Computers — 0.1% | ||||||||
Capgemini SE | ||||||||
1.625% 4/15/26 EUR (c) (d) | 200,000 | 254,234 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2.500% 7/01/23 EUR (c) (d) | $ | 100,000 | $ | 124,216 | ||||
International Business Machines Corp. | ||||||||
0.375% 1/31/23 EUR (d) | 109,000 | 130,645 | ||||||
509,095 | ||||||||
Diversified Financial Services — 1.8% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
3.500% 1/15/25 | 150,000 | 159,016 | ||||||
4.450% 4/03/26 | 270,000 | 296,621 | ||||||
4.875% 1/16/24 | 540,000 | 587,957 | ||||||
6.500% 7/15/25 | 150,000 | 176,026 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
3.950% 7/01/24 (c) | 125,000 | 133,333 | ||||||
4.250% 4/15/26 (c) | 150,000 | 162,618 | ||||||
4.375% 5/01/26 (c) | 270,000 | 293,651 | ||||||
5.125% 10/01/23 (c) | 675,000 | 729,657 | ||||||
5.500% 1/15/23 (c) | 425,000 | 451,359 | ||||||
Capital One Financial Corp. | ||||||||
1.650% 6/12/29 EUR (d) | 300,000 | 376,499 | ||||||
3.650% 5/11/27 | 510,000 | 566,373 | ||||||
3.750% 3/09/27 | 115,000 | 127,836 | ||||||
Discover Financial Services | ||||||||
3.750% 3/04/25 | 860,000 | 940,315 | ||||||
4.100% 2/09/27 | 510,000 | 570,936 | ||||||
Encore Capital Group, Inc. | ||||||||
5.375% 2/15/26 GBP (c) (d) | 140,000 | 204,071 | ||||||
FCA Bank Spa/Ireland | ||||||||
0.500% 9/18/23 EUR (c) (d) | 109,000 | 130,620 | ||||||
0.500% 9/13/24 EUR (c) (d) | 160,000 | 192,288 | ||||||
0.625% 11/24/22 EUR (c) (d) | 109,000 | 130,540 | ||||||
1.000% 11/15/21 EUR (c) (d) | 100,000 | 119,185 | ||||||
GE Capital European Funding Unlimited Co. | ||||||||
2.625% 3/15/23 EUR (c) (d) | 39,000 | 48,493 | ||||||
GE Capital Funding LLC | ||||||||
4.050% 5/15/27 | 425,000 | 481,247 | ||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
3.373% 11/15/25 | 890,000 | 971,486 | ||||||
Intercontinental Exchange, Inc. | ||||||||
1.850% 9/15/32 | 1,960,000 | 1,856,924 | ||||||
2.100% 6/15/30 | 805,000 | 799,368 | ||||||
2.650% 9/15/40 | 185,000 | 177,457 | ||||||
Iqera Group SAS | ||||||||
4.250% 9/30/24 EUR (c) (d) | 100,000 | 118,684 | ||||||
Kuwait Projects Co. SPC Ltd. | ||||||||
4.500% 2/23/27 (c) | 200,000 | 198,000 | ||||||
LeasePlan Corp. NV | ||||||||
0.125% 9/13/23 EUR (d) | 108,000 | 128,800 | ||||||
0.750% 10/03/22 EUR (c) (d) | 109,000 | 130,821 | ||||||
EUAMDB05 + 7.556% 7.375% VRN EUR (a) (c) (d) | 200,000 | 265,134 | ||||||
LSEGA Financing PLC | ||||||||
2.000% 4/06/28 (c) | 1,225,000 | 1,239,859 | ||||||
2.500% 4/06/31 (c) | 435,000 | 446,254 | ||||||
3.200% 4/06/41 (c) | 200,000 | 209,826 | ||||||
Nasdaq, Inc. | ||||||||
1.750% 5/19/23 EUR (d) | 100,000 | 122,230 | ||||||
Navient Corp. | ||||||||
6.750% 6/15/26 | 435,000 | 485,569 | ||||||
Synchrony Financial |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
4.250% 8/15/24 | $ | 100,000 | $ | 109,281 | ||||
4.375% 3/19/24 | 132,000 | 143,726 | ||||||
14,282,060 | ||||||||
Electric — 1.8% | ||||||||
Ausgrid Finance Pty Ltd. | ||||||||
3.850% 5/01/23 (c) | 585,000 | 610,863 | ||||||
4.350% 8/01/28 (c) | 260,000 | 292,828 | ||||||
China Southern Power Grid International Finance BVI Co. Ltd. | ||||||||
4.250% 9/18/28 (c) | 400,000 | 455,349 | ||||||
ContourGlobal Power Holdings SA | ||||||||
3.125% 1/01/28 EUR (c) (d) | 100,000 | 120,028 | ||||||
DPL, Inc. | ||||||||
4.125% 7/01/25 | 165,000 | 176,962 | ||||||
E.ON International Finance BV | ||||||||
0.750% 11/30/22 EUR (c) (d) | 79,000 | 94,786 | ||||||
E.ON SE | ||||||||
0.010% 9/29/22 EUR (c) (d) | 53,000 | 63,082 | ||||||
0.010% 10/24/22 EUR (c) (d) | 85,000 | 101,170 | ||||||
0.375% 4/20/23 EUR (c) (d) | 104,000 | 124,616 | ||||||
1.625% 5/22/29 EUR (c) (d) | 150,000 | 194,710 | ||||||
Edison International | ||||||||
4.950% 4/15/25 | 30,000 | 33,220 | ||||||
Enel Finance International NV | ||||||||
3.625% 5/25/27 (c) | 1,970,000 | 2,165,070 | ||||||
4.875% 4/17/23 EUR (c) (d) | 120,000 | 155,599 | ||||||
5.000% 9/14/22 EUR (c) (d) | 135,000 | 170,427 | ||||||
5.250% 9/29/23 EUR (d) | 26,000 | 34,626 | ||||||
5.625% 8/14/24 GBP (c) (d) | 150,000 | 238,225 | ||||||
Engie SA | ||||||||
0.375% 2/28/23 EUR (c) (d) | 100,000 | 119,666 | ||||||
3.000% 2/01/23 EUR (c) (d) | 84,000 | 104,901 | ||||||
IE2 Holdco SAU | ||||||||
2.875% 6/01/26 EUR (c) (d) | 200,000 | 264,065 | ||||||
Minejesa Capital BV | ||||||||
5.625% 8/10/37 (c) | 300,000 | 324,750 | ||||||
NRG Energy, Inc. | ||||||||
4.450% 6/15/29 (c) | 230,000 | 254,086 | ||||||
OmGrid Funding Ltd. | ||||||||
5.196% 5/16/27 (c) | 425,000 | 438,600 | ||||||
Pacific Gas and Electric Co. | ||||||||
2.100% 8/01/27 | 955,000 | 927,985 | ||||||
2.500% 2/01/31 | 600,000 | 562,968 | ||||||
3.300% 8/01/40 | 500,000 | 451,960 | ||||||
4.550% 7/01/30 | 1,700,000 | 1,819,989 | ||||||
Sempra Energy | ||||||||
3.400% 2/01/28 | 1,065,000 | 1,171,148 | ||||||
State Grid Overseas Investment Ltd. | ||||||||
1.375% 5/02/25 EUR (c) (d) | 100,000 | 123,550 | ||||||
3.500% 5/04/27 (c) | 600,000 | 660,307 | ||||||
TNB Global Ventures Capital Bhd | ||||||||
3.244% 10/19/26 (c) | 380,000 | 406,342 | ||||||
Vistra Operations Co. LLC | ||||||||
3.550% 7/15/24 (c) | 1,285,000 | 1,356,896 | ||||||
4.375% 5/01/29 (c) | 195,000 | 195,975 | ||||||
14,214,749 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Electrical Components & Equipment — 0.0% | ||||||||
Schneider Electric SE | ||||||||
1.500% 9/08/23 EUR (c) (d) | $ | 100,000 | $ | 122,692 | ||||
Electronics — 0.1% | ||||||||
Arrow Electronics, Inc. | ||||||||
4.000% 4/01/25 | 375,000 | 406,888 | ||||||
Honeywell International, Inc. | ||||||||
0.750% 3/10/32 EUR (d) | 160,000 | 192,440 | ||||||
Keysight Technologies, Inc. | ||||||||
4.600% 4/06/27 | 80,000 | 93,025 | ||||||
692,353 | ||||||||
Engineering & Construction — 0.2% | ||||||||
Cellnex Telecom SA | ||||||||
1.750% 10/23/30 EUR (c) (d) | 200,000 | 235,976 | ||||||
Heathrow Funding Ltd. | ||||||||
4.875% 7/15/23 (c) | 820,000 | 821,190 | ||||||
Infrastrutture Wireless Italiane SpA | ||||||||
1.625% 10/21/28 EUR (c) (d) | 155,000 | 187,118 | ||||||
1,244,284 | ||||||||
Entertainment — 0.0% | ||||||||
Cirsa Finance International Sarl | ||||||||
6.250% 12/20/23 EUR (c) (d) | 100,000 | 120,258 | ||||||
International Game Technology PLC | ||||||||
3.500% 6/15/26 EUR (c) (d) | 100,000 | 121,421 | ||||||
3.500% 6/15/26 EUR (c) (d) | 100,000 | 121,421 | ||||||
363,100 | ||||||||
Environmental Controls — 0.0% | ||||||||
Madison IAQ LLC | ||||||||
4.125% 6/30/28 (c) | 30,000 | 30,300 | ||||||
Food — 0.3% | ||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson's LLC | ||||||||
7.500% 3/15/26 (c) | 180,000 | 197,550 | ||||||
Bellis Acquisition Co. PLC | ||||||||
3.250% 2/16/26 GBP (c) (d) | 100,000 | 138,503 | ||||||
Bellis Finco PLC | ||||||||
4.000% 2/16/27 GBP (c) (d) | 100,000 | 138,330 | ||||||
Carrefour SA | ||||||||
1.750% 7/15/22 EUR (c) (d) | 110,000 | 132,557 | ||||||
China Mengniu Dairy Co. Ltd. | ||||||||
2.500% 6/17/30 (c) | 400,000 | 398,503 | ||||||
Chobani LLC / Chobani Finance Corp., Inc. | ||||||||
4.625% 11/15/28 (c) | 240,000 | 248,700 | ||||||
Danone SA | ||||||||
0.424% 11/03/22 EUR (c) (d) | 100,000 | 119,608 | ||||||
Iceland Bondco PLC | ||||||||
4.625% 3/15/25 GBP (c) (d) | 150,000 | 204,123 | ||||||
Nestle Finance International Ltd. | ||||||||
0.750% 5/16/23 EUR (c) (d) | 39,000 | 47,082 | ||||||
Tesco Corporate Treasury Services PLC | ||||||||
0.875% 5/29/26 EUR (c) (d) | 150,000 | 182,810 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Yili Holding Investment Co. | ||||||||
1.625% 11/19/25 (c) | $ | 566,000 | $ | 563,851 | ||||
2,371,617 | ||||||||
Forest Products & Paper — 0.2% | ||||||||
Celulosa Arauco y Constitucion SA | ||||||||
4.200% 1/29/30 (c) | 1,500,000 | 1,631,100 | ||||||
Gas — 0.2% | ||||||||
APT Pipelines Ltd. | ||||||||
4.250% 7/15/27 (c) | 885,000 | 1,000,103 | ||||||
NiSource, Inc. | ||||||||
1.700% 2/15/31 | 370,000 | 350,040 | ||||||
1,350,143 | ||||||||
Health Care – Products — 0.2% | ||||||||
Abbott Ireland Financing DAC | ||||||||
0.875% 9/27/23 EUR (c) (d) | 111,000 | 134,881 | ||||||
Becton Dickinson Euro Finance Sarl | ||||||||
0.632% 6/04/23 EUR (d) | 109,000 | 131,008 | ||||||
1.213% 2/12/36 EUR (d) | 100,000 | 117,308 | ||||||
Medtronic Global Holdings SCA | ||||||||
0.375% 3/07/23 EUR (d) | 160,000 | 191,892 | ||||||
0.375% 10/15/28 EUR (d) | 100,000 | 119,518 | ||||||
PerkinElmer, Inc. | ||||||||
3.300% 9/15/29 | 195,000 | 210,365 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
0.125% 3/01/25 EUR (d) | 240,000 | 285,917 | ||||||
0.875% 10/01/31 EUR (d) | 240,000 | 289,714 | ||||||
2.375% 4/15/32 EUR (d) | 100,000 | 138,182 | ||||||
1,618,785 | ||||||||
Health Care – Services — 0.5% | ||||||||
CAB SELAS | ||||||||
3.375% 2/01/28 EUR (c) (d) | 135,000 | 159,276 | ||||||
Centene Corp. | ||||||||
2.450% 7/15/28 (f) | 230,000 | 233,105 | ||||||
2.500% 3/01/31 | 485,000 | 478,331 | ||||||
3.375% 2/15/30 | 515,000 | 538,175 | ||||||
4.250% 12/15/27 | 570,000 | 600,638 | ||||||
4.625% 12/15/29 | 875,000 | 962,299 | ||||||
Fresenius Medical Care AG & Co. KGaA | ||||||||
0.250% 11/29/23 EUR (c) (d) | 72,000 | 86,037 | ||||||
Humana, Inc. | ||||||||
4.875% 4/01/30 | 645,000 | 778,912 | ||||||
Tenet Healthcare Corp. | ||||||||
7.500% 4/01/25 (c) | 215,000 | 231,931 | ||||||
UnitedHealth Group, Inc. | ||||||||
2.000% 5/15/30 | 190,000 | 191,533 | ||||||
4,260,237 | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
CK Hutchison Finance 16 Ltd. | ||||||||
1.250% 4/06/23 EUR (c) (d) | 111,000 | 134,635 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Insurance — 0.6% | ||||||||
AIA Group Ltd. | ||||||||
3.900% 4/06/28 (c) | $ | 640,000 | $ | 718,317 | ||||
Allianz SE 10 mo. EURIBOR ICE Swap + 3.200% | ||||||||
3.375% VRN EUR (a) (c) (d) | 400,000 | 517,035 | ||||||
American International Group, Inc. | ||||||||
5.000% 4/26/23 GBP (c) (d) | 150,000 | 223,577 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
2.375% 6/19/39 GBP (d) | 300,000 | 445,504 | ||||||
Berkshire Hathaway, Inc. | ||||||||
0.750% 3/16/23 EUR (d) | 160,000 | 192,581 | ||||||
CNO Financial Group, Inc. | ||||||||
5.250% 5/30/25 | 217,000 | 246,166 | ||||||
CNP Assurances | ||||||||
1.875% 10/20/22 EUR (c) (d) | 100,000 | 121,505 | ||||||
Equitable Holdings, Inc. | ||||||||
4.350% 4/20/28 | 610,000 | 699,934 | ||||||
Hannover Rueck SE 3 mo. EURIBOR + 3.000% | ||||||||
1.750% VRN 10/08/40 EUR (c) (d) | 300,000 | 372,880 | ||||||
Legal & General Group PLC 5 Year UK Gilt + 4.580% | ||||||||
5.375% VRN 10/27/45 GBP (c) (d) | 185,000 | 294,749 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
2.250% 11/15/30 | 185,000 | 187,592 | ||||||
MGIC Investment Corp. | ||||||||
5.250% 8/15/28 | 95,000 | 100,700 | ||||||
Trinity Acquisition PLC | ||||||||
4.400% 3/15/26 | 545,000 | 616,159 | ||||||
XLIT Ltd. 3 mo. EURIBOR + 2.900% | ||||||||
3.250% VRN 6/29/47 EUR (d) | 100,000 | 132,863 | ||||||
4,869,562 | ||||||||
Internet — 0.7% | ||||||||
Adevinta ASA | ||||||||
3.000% 11/15/27 EUR (c) (d) | 100,000 | 122,577 | ||||||
Alibaba Group Holding Ltd. | ||||||||
3.400% 12/06/27 | 600,000 | 656,141 | ||||||
Baidu, Inc. | ||||||||
2.875% 7/06/22 | 1,560,000 | 1,593,167 | ||||||
3.625% 7/06/27 | 200,000 | 220,307 | ||||||
4.375% 3/29/28 | 530,000 | 602,225 | ||||||
Booking Holdings, Inc. | ||||||||
2.150% 11/25/22 EUR (d) | 100,000 | 121,868 | ||||||
MercadoLibre, Inc. | ||||||||
3.125% 1/14/31 | 200,000 | 196,008 | ||||||
Netflix, Inc. | ||||||||
4.625% 5/15/29 EUR (d) | 570,000 | 844,002 | ||||||
Tencent Holdings Ltd. | ||||||||
1.810% 1/26/26 (c) | 400,000 | 406,348 | ||||||
3.575% 4/11/26 (c) | 550,000 | 600,550 | ||||||
5,363,193 | ||||||||
Investment Companies — 0.1% | ||||||||
Criteria Caixa SA | ||||||||
1.500% 5/10/23 EUR (c) (d) | 100,000 | 121,977 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
JAB Holdings BV | ||||||||
2.000% 5/18/28 EUR (c) (d) | $ | 300,000 | $ | 387,264 | ||||
509,241 | ||||||||
Iron & Steel — 0.0% | ||||||||
ABJA Investment Co. Pte Ltd. | ||||||||
5.450% 1/24/28 (c) | 200,000 | 214,830 | ||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. | ||||||||
11.500% 4/01/23 (c) | 155,000 | 175,344 | ||||||
Deuce Finco Plc | ||||||||
5.500% 6/15/27 GBP (c) (d) | 100,000 | 138,330 | ||||||
Pinnacle Bidco PLC | ||||||||
5.500% 2/15/25 EUR (c) (d) | 100,000 | 121,539 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
10.875% 6/01/23 (c) | 155,000 | 176,506 | ||||||
9.125% 6/15/23 (c) | 30,000 | 32,925 | ||||||
644,644 | ||||||||
Lodging — 0.0% | ||||||||
Las Vegas Sands Corp. | ||||||||
3.200% 8/08/24 | 130,000 | 136,449 | ||||||
3.500% 8/18/26 | 210,000 | 223,546 | ||||||
359,995 | ||||||||
Machinery – Diversified — 0.1% | ||||||||
Sofima Holding SPA | ||||||||
3.750% 1/15/28 EUR (c) (d) | 100,000 | 119,144 | ||||||
TK Elevator Midco GmbH | ||||||||
4.375% 7/15/27 EUR (c) (d) | 100,000 | 123,829 | ||||||
TK Elevator US Newco, Inc. | ||||||||
5.250% 7/15/27 (c) | 485,000 | 511,069 | ||||||
754,042 | ||||||||
Media — 0.6% | ||||||||
Bertelsmann SE & Co. KGaA | ||||||||
2.625% 8/02/22 EUR (c) (d) | 100,000 | 122,435 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
4.250% 2/01/31 (c) | 465,000 | 473,719 | ||||||
5.375% 6/01/29 (c) | 80,000 | 87,448 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
2.300% 2/01/32 | 270,000 | 259,769 | ||||||
2.800% 4/01/31 | 1,060,000 | 1,081,538 | ||||||
4.200% 3/15/28 | 485,000 | 549,303 | ||||||
4.800% 3/01/50 | 145,000 | 166,658 | ||||||
5.125% 7/01/49 | 215,000 | 256,221 | ||||||
5.750% 4/01/48 | 45,000 | 57,311 | ||||||
6.484% 10/23/45 | 105,000 | 144,692 | ||||||
Comcast Corp. | ||||||||
3.250% 11/01/39 | 835,000 | 889,201 | ||||||
CSC Holdings LLC | ||||||||
7.500% 4/01/28 (c) | 200,000 | 219,500 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.000% 7/15/28 (c) | 90,000 | 92,795 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Summer BidCo BV | ||||||||
9.000% 11/15/25 EUR (c) (d) | $ | 262,188 | $ | 316,771 | ||||
TDF Infrastructure SASU | ||||||||
2.875% 10/19/22 EUR (c) (d) | 100,000 | 122,146 | ||||||
Virgin Media Secured Finance PLC | ||||||||
4.250% 1/15/30 GBP (c) (d) (e) | 150,000 | 206,582 | ||||||
Ziggo BV | ||||||||
2.875% 1/15/30 EUR (c) (d) | 100,000 | 118,575 | ||||||
2.875% 1/15/30 EUR (c) (d) | 100,000 | 118,575 | ||||||
5,283,239 | ||||||||
Mining — 0.2% | ||||||||
Alcoa Nederland Holding BV | ||||||||
5.500% 12/15/27 (c) | 325,000 | 352,560 | ||||||
Arconic Corp. | ||||||||
6.125% 2/15/28 (c) | 320,000 | 343,270 | ||||||
Constellium SE | ||||||||
4.250% 2/15/26 EUR (c) (d) | 200,000 | 240,847 | ||||||
Hudbay Minerals, Inc. | ||||||||
4.500% 4/01/26 (c) | 90,000 | 90,338 | ||||||
6.125% 4/01/29 (c) (e) | 200,000 | 213,000 | ||||||
1,240,015 | ||||||||
Miscellaneous - Manufacturing — 0.3% | ||||||||
General Electric Co. | ||||||||
0.875% 5/17/25 EUR (d) | 100,000 | 121,728 | ||||||
5.550% 1/05/26 | 545,000 | 646,031 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
0.010% 2/20/23 EUR (c) (d) | 100,000 | 119,255 | ||||||
0.375% 9/06/23 EUR (c) (d) | 107,000 | 128,822 | ||||||
1.700% 3/11/28 (c) | 250,000 | 251,753 | ||||||
2.150% 3/11/31 (c) | 800,000 | 809,828 | ||||||
2,077,417 | ||||||||
Multi-National — 0.1% | ||||||||
European Investment Bank | ||||||||
1.250% 5/12/25 SEK (c) (d) | 7,220,000 | 874,647 | ||||||
1.250% 5/12/25 SEK (c) (d) | 190,000 | 23,017 | ||||||
897,664 | ||||||||
Oil & Gas — 1.3% | ||||||||
Aker BP ASA | ||||||||
2.875% 1/15/26 (c) | 180,000 | 189,667 | ||||||
BP Capital Markets PLC | ||||||||
1.109% 2/16/23 EUR (c) (d) | 150,000 | 182,087 | ||||||
2.213% 9/25/26 EUR (c) (d) | 160,000 | 209,873 | ||||||
Continental Resources, Inc. | ||||||||
5.750% 1/15/31 (c) | 395,000 | 473,131 | ||||||
Diamondback Energy, Inc. | ||||||||
3.250% 12/01/26 | 545,000 | 584,458 | ||||||
Eni SpA | ||||||||
3.250% 7/10/23 EUR (c) (d) | 117,000 | 148,589 | ||||||
4.750% 9/12/28 (c) | 875,000 | 1,025,420 | ||||||
EQT Corp. | ||||||||
5.000% 1/15/29 | 130,000 | 144,946 | ||||||
8.500% STEP 2/01/30 | 130,000 | 169,378 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Leviathan Bond Ltd. | ||||||||
5.750% 6/30/23 (c) | $ | 300,000 | $ | 313,568 | ||||
Occidental Petroleum Corp. | ||||||||
2.900% 8/15/24 | 445,000 | 455,013 | ||||||
8.000% 7/15/25 | 260,000 | 311,350 | ||||||
8.500% 7/15/27 | 225,000 | 283,320 | ||||||
8.875% 7/15/30 | 85,000 | 113,678 | ||||||
OMV AG | ||||||||
0.010% 6/16/23 EUR (c) (d) | 71,000 | 84,533 | ||||||
Petrobras Global Finance BV | ||||||||
5.600% 1/03/31 | 85,000 | 95,230 | ||||||
7.375% 1/17/27 | 125,000 | 154,063 | ||||||
Petroleos Mexicanos | ||||||||
5.125% 3/15/23 EUR (c) (d) | 850,000 | 1,060,076 | ||||||
PTTEP Treasury Center Co. Ltd. | ||||||||
2.587% 6/10/27 (c) | 570,000 | 590,297 | ||||||
Reliance Industries Ltd. | ||||||||
3.667% 11/30/27 (c) (e) | 600,000 | 655,230 | ||||||
Thaioil Treasury Center Co. Ltd. | ||||||||
4.625% 11/20/28 (c) | 330,000 | 376,662 | ||||||
TotalEnergies Capital International SA | ||||||||
2.125% 3/15/23 EUR (c) (d) | 100,000 | 123,654 | ||||||
Valero Energy Corp. | ||||||||
2.150% 9/15/27 | 210,000 | 213,440 | ||||||
Wintershall Dea Finance BV | ||||||||
0.452% 9/25/23 EUR (c) (d) | 100,000 | 119,650 | ||||||
Woodside Finance Ltd. | ||||||||
3.700% 9/15/26 (c) | 2,000,000 | 2,162,525 | ||||||
10,239,838 | ||||||||
Packaging & Containers — 0.0% | ||||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC | ||||||||
3.000% 9/01/29 EUR (c) (d) | 180,000 | 212,980 | ||||||
Trivium Packaging Finance BV | ||||||||
3.750% 8/15/26 EUR (c) (d) | 100,000 | 120,211 | ||||||
333,191 | ||||||||
Pharmaceuticals — 2.9% | ||||||||
AbbVie, Inc. | ||||||||
2.950% 11/21/26 | 410,000 | 441,029 | ||||||
3.200% 11/21/29 | 340,000 | 369,615 | ||||||
3.800% 3/15/25 | 925,000 | 1,012,125 | ||||||
4.050% 11/21/39 | 270,000 | 313,046 | ||||||
4.250% 11/21/49 | 325,000 | 390,636 | ||||||
4.700% 5/14/45 | 530,000 | 662,205 | ||||||
4.875% 11/14/48 | 1,210,000 | 1,573,598 | ||||||
Astrazeneca Finance LLC | ||||||||
1.750% 5/28/28 | 445,000 | 445,142 | ||||||
2.250% 5/28/31 | 140,000 | 142,389 | ||||||
AstraZeneca PLC | ||||||||
3.000% 5/28/51 | 345,000 | 355,986 | ||||||
Bausch Health Americas, Inc. | ||||||||
8.500% 1/31/27 (c) | 150,000 | 163,035 | ||||||
Bausch Health Cos., Inc. | ||||||||
4.875% 6/01/28 (c) (e) | 40,000 | 40,850 | ||||||
Bayer Capital Corp. BV |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
0.625% 12/15/22 EUR (c) (d) | $ | 100,000 | $ | 119,899 | ||||
1.250% 11/13/23 EUR (c) (d) | 56,000 | 68,441 | ||||||
Becton Dickinson and Co. | ||||||||
1.957% 2/11/31 | 645,000 | 630,063 | ||||||
2.823% 5/20/30 | 1,610,000 | 1,688,021 | ||||||
3.020% 5/24/25 GBP (d) | 150,000 | 222,065 | ||||||
3.700% 6/06/27 | 899,000 | 999,447 | ||||||
3.794% 5/20/50 | 390,000 | 436,413 | ||||||
4.669% 6/06/47 | 460,000 | 574,400 | ||||||
Cardinal Health, Inc. | ||||||||
3.750% 9/15/25 | 885,000 | 973,648 | ||||||
4.368% 6/15/47 | 515,000 | 577,077 | ||||||
4.500% 11/15/44 | 100,000 | 114,511 | ||||||
4.900% 9/15/45 | 105,000 | 125,538 | ||||||
Cigna Corp. | ||||||||
2.375% 3/15/31 | 340,000 | 345,190 | ||||||
3.400% 3/01/27 | 385,000 | 422,479 | ||||||
4.500% 2/25/26 | 1,270,000 | 1,446,055 | ||||||
CVS Health Corp. | ||||||||
1.300% 8/21/27 | 450,000 | 442,278 | ||||||
1.875% 2/28/31 | 405,000 | 393,299 | ||||||
2.700% 8/21/40 | 680,000 | 660,162 | ||||||
3.625% 4/01/27 | 2,095,000 | 2,322,721 | ||||||
4.250% 4/01/50 | 365,000 | 433,871 | ||||||
5.050% 3/25/48 | 880,000 | 1,143,362 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
0.125% 5/12/23 EUR (c) (d) | 100,000 | 119,536 | ||||||
Merck Financial Services GmbH | ||||||||
1.375% 9/01/22 EUR (c) (d) | 48,000 | 57,811 | ||||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV | ||||||||
2.875% 4/30/28 EUR (c) (d) | 100,000 | 120,205 | ||||||
4.125% 4/30/28 (c) | 290,000 | 295,742 | ||||||
Perrigo Finance Unlimited Co. | ||||||||
3.150% 6/15/30 | 710,000 | 726,223 | ||||||
3.900% 12/15/24 | 850,000 | 915,528 | ||||||
4.375% 3/15/26 | 415,000 | 456,874 | ||||||
Roche Finance Europe BV | ||||||||
0.500% 2/27/23 EUR (c) (d) | 92,000 | 110,534 | ||||||
Sanofi | ||||||||
0.500% 3/21/23 EUR (c) (d) | 100,000 | 120,132 | ||||||
2.500% 11/14/23 EUR (c) (d) | 100,000 | 125,730 | ||||||
Takeda Pharmaceutical Co. Ltd. | ||||||||
1.125% 11/21/22 EUR (c) (d) | 110,000 | 132,868 | ||||||
2.250% 11/21/26 EUR (c) (d) | 270,000 | 353,637 | ||||||
Teva Pharmaceutical Finance Netherlands II BV | ||||||||
6.000% 1/31/25 EUR (d) | 100,000 | 127,651 | ||||||
23,711,067 | ||||||||
Pipelines — 2.3% | ||||||||
Boardwalk Pipelines LP | ||||||||
3.400% 2/15/31 | 1,040,000 | 1,105,221 | ||||||
4.950% 12/15/24 | 1,415,000 | 1,581,433 | ||||||
Cameron LNG LLC | ||||||||
2.902% 7/15/31 (c) | 180,000 | 192,043 | ||||||
3.302% 1/15/35 (c) | 200,000 | 215,070 | ||||||
3.701% 1/15/39 (c) | 150,000 | 167,012 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
3.700% 11/15/29 | 465,000 | 508,178 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
5.125% 6/30/27 | $ | 140,000 | $ | 163,023 | ||||
5.875% 3/31/25 | 760,000 | 871,222 | ||||||
7.000% 6/30/24 | 290,000 | 332,225 | ||||||
Cheniere Energy, Inc. | ||||||||
4.625% 10/15/28 (c) | 535,000 | 564,425 | ||||||
DCP Midstream Operating LP | ||||||||
6.750% 9/15/37 (c) | 160,000 | 192,400 | ||||||
Energy Transfer LP | ||||||||
2.900% 5/15/25 | 185,000 | 194,685 | ||||||
3.750% 5/15/30 | 390,000 | 424,077 | ||||||
4.500% 4/15/24 | 105,000 | 114,325 | ||||||
4.950% 6/15/28 | 160,000 | 185,005 | ||||||
5.000% 5/15/50 | 90,000 | 104,096 | ||||||
5.250% 4/15/29 | 685,000 | 809,796 | ||||||
5.500% 6/01/27 | 355,000 | 416,557 | ||||||
5.875% 1/15/24 | 600,000 | 664,865 | ||||||
6.000% 6/15/48 | 780,000 | 986,559 | ||||||
6.250% 4/15/49 | 105,000 | 137,875 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.000% 9/15/23 (c) | 55,000 | 56,087 | ||||||
2.600% 10/15/25 (c) | 170,000 | 174,671 | ||||||
3.450% 10/15/27 (c) | 70,000 | 73,589 | ||||||
NGL Energy Operating LLC / NGL Energy Finance Corp. | ||||||||
7.500% 2/01/26 (c) | 275,000 | 288,750 | ||||||
NuStar Logistics LP | ||||||||
5.750% 10/01/25 | 255,000 | 277,312 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.500% 5/15/30 | 95,000 | 109,526 | ||||||
5.000% 3/15/27 | 290,000 | 335,025 | ||||||
5.875% 6/30/26 | 1,715,000 | 2,030,929 | ||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | ||||||||
7.500% 10/01/25 (c) | 305,000 | 333,975 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||
4.000% 1/15/32 (c) | 125,000 | 128,581 | ||||||
4.875% 2/01/31 (c) | 25,000 | 27,062 | ||||||
6.875% 1/15/29 | 240,000 | 270,391 | ||||||
Transcanada Trust 3 mo. CDOR + 3.080% | ||||||||
4.650% VRN 5/18/77 CAD (d) | 650,000 | 543,408 | ||||||
Transcontinental Gas Pipe Line Co. LLC | ||||||||
4.000% 3/15/28 | 125,000 | 141,533 | ||||||
4.600% 3/15/48 | 575,000 | 700,991 | ||||||
The Williams Cos., Inc. | ||||||||
3.750% 6/15/27 | 1,170,000 | 1,300,472 | ||||||
3.900% 1/15/25 | 800,000 | 875,014 | ||||||
4.550% 6/24/24 | 385,000 | 424,136 | ||||||
5.100% 9/15/45 | 660,000 | 820,702 | ||||||
18,842,246 | ||||||||
Private Equity — 0.1% | ||||||||
Blackstone Property Partners Europe Holdings SARL | ||||||||
0.500% 9/12/23 EUR (c) (d) | 100,000 | 119,564 | ||||||
Blackstone Property Partners Europe Holdings Sarl | ||||||||
1.750% 3/12/29 EUR (c) (d) | 280,000 | 344,600 | ||||||
464,164 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Real Estate — 0.4% | ||||||||
ADLER Group SA | ||||||||
1.500% 7/26/24 EUR (c) (d) | $ | 100,000 | $ | 116,194 | ||||
Akelius Residential Property AB | ||||||||
1.750% 2/07/25 EUR (c) (d) | 370,000 | 462,467 | ||||||
CIFI Holdings Group Co. Ltd. | ||||||||
6.550% 3/28/24 (c) | 200,000 | 210,100 | ||||||
Country Garden Holdings Co. Ltd. | ||||||||
5.125% 1/17/25 (c) | 250,000 | 258,883 | ||||||
Dar Al-Arkan Sukuk Co. Ltd. | ||||||||
6.750% 2/15/25 (c) | 300,000 | 308,841 | ||||||
Howard Hughes Corp. | ||||||||
4.125% 2/01/29 (c) | 250,000 | 249,957 | ||||||
5.375% 8/01/28 (c) | 45,000 | 47,773 | ||||||
Logicor Financing Sarl | ||||||||
1.500% 11/14/22 EUR (c) (d) | 110,000 | 132,793 | ||||||
Shimao Group Holdings Ltd. | ||||||||
5.600% 7/15/26 (c) | 200,000 | 210,035 | ||||||
Sun Hung Kai Properties Capital Market Ltd. | ||||||||
2.875% 1/21/30 (c) | 1,150,000 | 1,202,192 | ||||||
Vonovia Finance BV | ||||||||
2.250% 12/15/23 EUR (c) (d) | 100,000 | 125,500 | ||||||
3,324,735 | ||||||||
Real Estate Investment Trusts (REITS) — 2.9% | ||||||||
American Campus Communities Operating Partnership LP | ||||||||
2.850% 2/01/30 | 810,000 | 834,397 | ||||||
3.300% 7/15/26 | 405,000 | 434,483 | ||||||
3.625% 11/15/27 | 1,045,000 | 1,137,636 | ||||||
American Tower Corp. | ||||||||
1.600% 4/15/26 | 280,000 | 283,080 | ||||||
Boston Properties LP | ||||||||
2.900% 3/15/30 | 785,000 | 815,954 | ||||||
3.250% 1/30/31 | 765,000 | 820,090 | ||||||
Brixmor Operating Partnership LP | ||||||||
4.050% 7/01/30 | 485,000 | 543,192 | ||||||
4.125% 6/15/26 | 2,000,000 | 2,226,733 | ||||||
4.125% 5/15/29 | 160,000 | 179,413 | ||||||
Digital Dutch Finco BV | ||||||||
0.125% 10/15/22 EUR (c) (d) | 108,000 | 128,531 | ||||||
Essex Portfolio LP | ||||||||
1.650% 1/15/31 | 380,000 | 356,323 | ||||||
4.000% 3/01/29 | 760,000 | 858,254 | ||||||
GLP Capital LP/GLP Financing II, Inc. | ||||||||
3.350% 9/01/24 | 125,000 | 132,415 | ||||||
Healthcare Realty Trust, Inc. | ||||||||
2.050% 3/15/31 | 230,000 | 222,593 | ||||||
3.625% 1/15/28 | 850,000 | 932,085 | ||||||
Healthpeak Properties, Inc. | ||||||||
2.875% 1/15/31 | 1,445,000 | 1,513,492 | ||||||
3.250% 7/15/26 | 65,000 | 70,549 | ||||||
3.500% 7/15/29 | 70,000 | 77,367 | ||||||
Highwoods Realty LP | ||||||||
3.050% 2/15/30 | 675,000 | 705,379 | ||||||
4.125% 3/15/28 | 405,000 | 454,023 | ||||||
Inmobiliaria Colonial Socimi SA | ||||||||
1.625% 11/28/25 EUR (c) (d) | 300,000 | 377,193 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
2.500% 11/28/29 EUR (c) (d) | $ | 100,000 | $ | 133,258 | ||||
Klepierre SA | ||||||||
1.000% 4/17/23 EUR (c) (d) | 100,000 | 120,767 | ||||||
Prologis LP | ||||||||
1.250% 10/15/30 | 210,000 | 197,818 | ||||||
2.250% 6/30/29 GBP (d) | 150,000 | 220,797 | ||||||
Regency Centers LP | ||||||||
3.600% 2/01/27 | 305,000 | 338,039 | ||||||
3.700% 6/15/30 | 205,000 | 227,008 | ||||||
4.125% 3/15/28 | 815,000 | 916,505 | ||||||
SBA Tower Trust | ||||||||
1.631% 5/15/51 (c) | 320,000 | 320,129 | ||||||
2.836% 1/15/50 (c) | 320,000 | 335,790 | ||||||
3.448% 3/15/48 (c) | 995,000 | 1,013,996 | ||||||
3.722% 4/09/48 (c) | 415,000 | 419,473 | ||||||
Scentre Group Trust 1 / Scentre Group Trust 2 | ||||||||
1.375% 3/22/23 EUR (c) (d) | 111,000 | 134,649 | ||||||
Simon Property Group LP | ||||||||
2.650% 7/15/30 | 435,000 | 451,019 | ||||||
3.300% 1/15/26 | 910,000 | 989,617 | ||||||
VEREIT Operating Partnership LP | ||||||||
2.200% 6/15/28 | 120,000 | 121,863 | ||||||
2.850% 12/15/32 | 580,000 | 606,664 | ||||||
3.400% 1/15/28 | 400,000 | 435,355 | ||||||
3.950% 8/15/27 | 1,850,000 | 2,084,899 | ||||||
4.875% 6/01/26 | 1,050,000 | 1,210,047 | ||||||
23,380,875 | ||||||||
Retail — 0.5% | ||||||||
eG Global Finance PLC | ||||||||
4.375% 2/07/25 EUR (c) (d) | 100,000 | 116,870 | ||||||
Jmh Co. Ltd. Co. | ||||||||
2.500% 4/09/31 (c) | 599,000 | 606,254 | ||||||
L Brands, Inc. | ||||||||
6.625% 10/01/30 (c) | 415,000 | 479,325 | ||||||
Next Group PLC | ||||||||
3.625% 5/18/28 GBP (c) (d) | 250,000 | 380,702 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
4.750% 2/15/28 (c) | 255,000 | 264,881 | ||||||
QVC, Inc. | ||||||||
4.375% 3/15/23 | 1,750,000 | 1,845,358 | ||||||
Ross Stores, Inc. | ||||||||
1.875% 4/15/31 | 495,000 | 479,857 | ||||||
4,173,247 | ||||||||
Savings & Loans — 0.0% | ||||||||
Nationwide Building Society | ||||||||
3 mo. EURIBOR + .930% 1.500% VRN 3/08/26 EUR (c) (d) | 140,000 | 174,511 | ||||||
5 year EUR Swap + 1.500% 2.000% VRN 7/25/29 EUR (c) (d) | 150,000 | 187,084 | ||||||
361,595 | ||||||||
Semiconductors — 0.6% | ||||||||
Asml Holding NV | ||||||||
0.625% 7/07/22 EUR (c) (d) | 100,000 | 119,454 | ||||||
1.625% 5/28/27 EUR (c) (d) | 100,000 | 129,095 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Infineon Technologies AG | ||||||||
1.125% 6/24/26 EUR (c) (d) | $ | 400,000 | $ | 495,545 | ||||
Micron Technology, Inc. | ||||||||
4.185% 2/15/27 | 1,150,000 | 1,297,790 | ||||||
4.975% 2/06/26 | 435,000 | 500,176 | ||||||
NXP BV / NXP Funding LLC | ||||||||
5.350% 3/01/26 (c) | 1,115,000 | 1,301,457 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | ||||||||
2.700% 5/01/25 (c) | 45,000 | 47,474 | ||||||
3.150% 5/01/27 (c) | 95,000 | 101,675 | ||||||
TSMC Global Ltd. | ||||||||
1.000% 9/28/27 (c) | 620,000 | 596,744 | ||||||
4,589,410 | ||||||||
Software — 0.2% | ||||||||
Clarivate Science Holdings Corp. | ||||||||
3.875% 6/30/28 (c) | 105,000 | 105,531 | ||||||
Fidelity National Information Services, Inc. | ||||||||
0.125% 12/03/22 EUR (d) | 109,000 | 129,851 | ||||||
0.750% 5/21/23 EUR (d) | 110,000 | 132,535 | ||||||
Fiserv, Inc. | ||||||||
3.000% 7/01/31 GBP (d) | 250,000 | 378,367 | ||||||
Oracle Corp. | ||||||||
2.300% 3/25/28 | 355,000 | 364,696 | ||||||
SAP SE | ||||||||
1.125% 2/20/23 EUR (c) (d) | 106,000 | 128,290 | ||||||
1,239,270 | ||||||||
Telecommunications — 3.0% | ||||||||
Altice France SA | ||||||||
3.375% 1/15/28 EUR (c) (d) | 135,000 | 155,957 | ||||||
5.500% 1/15/28 (c) | 495,000 | 513,661 | ||||||
America Movil SAB de CV | ||||||||
5.750% 6/28/30 GBP (d) | 140,000 | 255,488 | ||||||
AT&T, Inc. | ||||||||
1.600% 5/19/28 EUR (d) | 200,000 | 254,149 | ||||||
1.650% 2/01/28 | 415,000 | 412,268 | ||||||
2.050% 5/19/32 EUR (d) | 100,000 | 131,176 | ||||||
2.250% 2/01/32 | 1,250,000 | 1,228,376 | ||||||
2.300% 6/01/27 | 450,000 | 465,922 | ||||||
2.500% 3/15/23 EUR (d) | 113,000 | 139,313 | ||||||
2.550% 12/01/33 (c) | 480,000 | 476,188 | ||||||
2.750% 6/01/31 (e) | 825,000 | 858,148 | ||||||
3.800% 12/01/57 (c) | 844,000 | 880,113 | ||||||
4.300% 2/15/30 | 275,000 | 318,348 | ||||||
British Telecommunications PLC | ||||||||
1.125% 3/10/23 EUR (c) (d) | 111,000 | 134,559 | ||||||
C&W Senior Financing DAC | ||||||||
7.500% 10/15/26 (c) | 200,000 | 210,000 | ||||||
Chorus Ltd. | ||||||||
1.125% 10/18/23 EUR (c) (d) | 100,000 | 121,676 | ||||||
CK Hutchison Group Telecom Finance SA | ||||||||
0.375% 10/17/23 EUR (c) (d) | 109,000 | 130,358 | ||||||
Deutsche Telekom International Finance BV | ||||||||
0.625% 4/03/23 EUR (c) (d) | 112,000 | 134,883 | ||||||
4.250% 7/13/22 EUR (c) (d) | 80,000 | 99,382 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
HKT Capital No 4 Ltd. | ||||||||
3.000% 7/14/26 (c) | $ | 800,000 | $ | 847,729 | ||||
NBN Co., Ltd. | ||||||||
2.625% 5/05/31 (c) | 480,000 | 492,245 | ||||||
NTT Finance Corp. | ||||||||
1.591% 4/03/28 (c) | 765,000 | 763,489 | ||||||
2.065% 4/03/31 (c) | 200,000 | 202,954 | ||||||
Ooredoo International Finance Co. | ||||||||
2.625% 4/08/31 (c) | 225,000 | 227,637 | ||||||
Orange SA | ||||||||
0.750% 9/11/23 EUR (c) (d) | 100,000 | 121,008 | ||||||
0.875% 2/03/27 EUR (c) (d) | 200,000 | 247,438 | ||||||
PLT VII Finance Sarl | ||||||||
4.625% 1/05/26 EUR (c) (d) | 100,000 | 122,417 | ||||||
Sprint Capital Corp. | ||||||||
6.875% 11/15/28 | 250,000 | 320,625 | ||||||
T-Mobile USA, Inc. | ||||||||
3.500% 4/15/25 | 400,000 | 433,538 | ||||||
3.750% 4/15/27 | 2,560,000 | 2,828,800 | ||||||
Tele2 AB | ||||||||
1.125% 5/15/24 EUR (c) (d) | 140,000 | 171,005 | ||||||
2.125% 5/15/28 EUR (c) (d) | 130,000 | 169,877 | ||||||
Telefonica Emisiones SA | ||||||||
2.242% 5/27/22 EUR (c) (d) | 200,000 | 242,642 | ||||||
3.987% 1/23/23 EUR (c) (d) | 100,000 | 126,538 | ||||||
Telstra Corp. Ltd. | ||||||||
3.500% 9/21/22 EUR (c) (d) | 114,000 | 141,447 | ||||||
Verizon Communications, Inc. | ||||||||
1.300% 5/18/33 EUR (d) | 390,000 | 476,113 | ||||||
2.100% 3/22/28 | 365,000 | 372,818 | ||||||
2.550% 3/21/31 | 565,000 | 578,156 | ||||||
2.650% 11/20/40 | 530,000 | 510,528 | ||||||
2.987% 10/30/56 | 2,595,000 | 2,441,668 | ||||||
4.329% 9/21/28 | 520,000 | 604,493 | ||||||
4.522% 9/15/48 | 325,000 | 402,342 | ||||||
4.750% 11/01/41 | 165,000 | 208,174 | ||||||
Vmed O2 UK Financing I PLC | ||||||||
4.500% 7/15/31 GBP (c) (d) (f) | 155,000 | 215,235 | ||||||
Vodafone Group PLC | ||||||||
1.750% 8/25/23 EUR (c) (d) | 113,000 | 139,924 | ||||||
4.125% 5/30/25 | 280,000 | 312,603 | ||||||
4.125% 5/30/25 | 1,750,000 | 1,953,766 | ||||||
4.875% 6/19/49 | 700,000 | 883,487 | ||||||
5.250% 5/30/48 | 848,000 | 1,118,165 | ||||||
24,596,826 | ||||||||
Toys, Games & Hobbies — 0.0% | ||||||||
Hasbro, Inc. | ||||||||
3.550% 11/19/26 | 250,000 | 274,155 | ||||||
Transportation — 0.2% | ||||||||
Deutsche Post AG | ||||||||
2.750% 10/09/23 EUR (c) (d) | 62,000 | 78,642 | ||||||
Guangzhou Metro Investment Finance BVI Ltd. | ||||||||
2.310% 9/17/30 (c) | 600,000 | 570,762 | ||||||
InPost SA | ||||||||
2.250% 7/15/27 EUR (c) (d) | 100,000 | 119,429 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
SF Holding Investment Ltd. | ||||||||
2.875% 2/20/30 (c) | $ | 570,000 | $ | 581,252 | ||||
1,350,085 | ||||||||
Trucking & Leasing — 0.1% | ||||||||
SMBC Aviation Capital Finance DAC | ||||||||
4.125% 7/15/23 (c) | 1,110,000 | 1,180,220 | ||||||
Water — 0.0% | ||||||||
Veolia Environnement SA | ||||||||
0.314% 10/04/23 EUR (c) (d) | 100,000 | 119,783 | ||||||
TOTAL CORPORATE DEBT (Cost $259,281,911) | 269,650,908 | |||||||
MUNICIPAL OBLIGATIONS — 0.1% | ||||||||
Commonwealth of Puerto Rico, ClassA, | ||||||||
Revenue Bond, 8.000% 7/01/35 | 600,000 | 496,500 | ||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $483,000) | 496,500 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 11.2% | ||||||||
Auto Floor Plan Asset-Backed Securities — 0.3% | ||||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
Series 2020-2, Class B, 1.320% 9/15/27 | 410,000 | 410,264 | ||||||
Series 2018-2, Class B, 3.320% 3/15/25 | 1,200,000 | 1,256,362 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
Series 2020-2, Class C, 1.310% 10/15/25 (c) | 290,000 | 290,262 | ||||||
Series 2020-1, Class C, 1.480% 8/15/25 (c) | 485,000 | 488,477 | ||||||
Navistar Financial Dealer Note Master Trust, Series 2020-1, Class C, 1 mo. USD LIBOR + 2.150% | ||||||||
2.242% FRN 7/25/25 (c) | 270,000 | 272,470 | ||||||
2,717,835 | ||||||||
Automobile Asset-Backed Securities — 0.7% | ||||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Series 2020-3, Class D, 1.490% 9/18/26 | 275,000 | 277,252 | ||||||
Series 2018-2, Class D, 4.010% 7/18/24 | 255,000 | 267,460 | ||||||
Capital Auto Receivables Asset Trust | ||||||||
Series 2018-2, Class C, 3.690% 12/20/23 (c) | 447,729 | 448,512 | ||||||
Series 2018-1, Class D, 3.700% 6/20/25 (c) | 800,000 | 805,919 | ||||||
GM Financial Automobile Leasing Trust | ||||||||
Series 2020-3, Class C, 1.110% 10/21/24 | 305,000 | 306,983 | ||||||
Series 2020-2, Class C, 2.560% 7/22/24 | 270,000 | 277,787 | ||||||
Hyundai Auto Receivables Trust | ||||||||
Series 2020-C, Class C, 1.080% 12/15/27 | 520,000 | 514,228 | ||||||
Series 2020-B, Class C, 1.600% 12/15/26 | 500,000 | 503,805 | ||||||
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class D | ||||||||
1.570% 1/15/27 (c) | 735,000 | 727,641 | ||||||
Santander Retail Auto Lease Trust | ||||||||
Series 2021-A, Class D, 1.380% 3/22/27 (c) | 715,000 | 714,249 | ||||||
Series 2019-B, Class D, 3.310% 6/20/24 (c) | 715,000 | 734,051 | ||||||
World Omni Auto Receivables Trust, Series 2018-B, Class B | ||||||||
3.170% 1/15/25 | 200,000 | 204,213 | ||||||
5,782,100 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Commercial Mortgage-Backed Securities — 3.2% | ||||||||
Ashford Hospitality Trust, Series 2018-ASHF, Class B, 1 mo. USD LIBOR + 1.250% | ||||||||
1.323% FRN 4/15/35 (c) | $ | 235,000 | $ | 234,560 | ||||
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class B, 1 mo. USD LIBOR + 1.250% | ||||||||
1.323% FRN 9/15/32 (c) | 235,000 | 235,000 | ||||||
Aventura Mall Trust, Series 2018-AVM, Class A, | ||||||||
4.249% VRN 7/05/40 (c) (g) | 380,000 | 432,909 | ||||||
BANK, Series 2018-BNK13, Class A5, | ||||||||
4.217% VRN 8/15/61 (g) | 415,000 | 479,730 | ||||||
Barclays Commercial Mortgage Trust, Series 2019-BWAY, Class D, 1 mo. USD LIBOR + 2.160% | ||||||||
2.233% FRN 11/15/34 (c) | 245,000 | 238,473 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2018-B1, Class AM, 3.878% VRN 1/15/51 (g) | 290,000 | 323,249 | ||||||
Series 2018-B3, Class AS, 4.195% VRN 4/10/51 (g) | 375,000 | 426,721 | ||||||
Series 2018-B8, Class A5, 4.232% 1/15/52 | 620,000 | 720,013 | ||||||
Cantor Commercial Real Estate Lending, Series 2019-CF2, Class B | ||||||||
3.267% 11/15/52 | 295,000 | 317,767 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2013-375P, Class D, 3.635% VRN 5/10/35 (c) (g) | 315,000 | 319,383 | ||||||
Series 2013-375P, Class C, 3.635% VRN 5/10/35 (c) (g) | 390,000 | 399,680 | ||||||
Series 2017-C4, Class AS, 3.764% 10/12/50 | 520,000 | 568,287 | ||||||
Series 2018-B2, Class C, 4.827% VRN 3/10/51 (g) | 205,000 | 219,617 | ||||||
Cold Storage Trust, Series 2020-ICE5, Class C, 1 mo. USD LIBOR + 1.650% | ||||||||
1.723% FRN 11/15/37 (c) | 285,067 | 285,958 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2015-LC23, Class AM, 4.158% VRN 10/10/48 (g) | 1,650,000 | 1,804,312 | ||||||
Series 2015-CR26, Class B, 4.625% VRN 10/10/48 (g) | 627,000 | 689,641 | ||||||
Credit Suisse Mortgage Trust | ||||||||
Series 2020-NET, Class A, 2.257% 8/15/37 (c) | 305,000 | 313,833 | ||||||
Series 2020-NET, Class C, 3.526% 8/15/37 (c) | 480,000 | 506,731 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2019-C17, Class A4, 2.763% 9/15/52 | 655,000 | 689,444 | ||||||
Series 2019-C17, Class AS, 3.278% 9/15/52 | 285,000 | 307,377 | ||||||
Series 2019-C17, Class B, 3.480% 9/15/52 | 330,000 | 361,972 | ||||||
DC Office Trust, Series 2019-MTC, Class D, | ||||||||
3.174% VRN 9/15/45 (c) (g) | 520,000 | 519,607 | ||||||
Great Wolf Trust | ||||||||
Series 2019-WOLF, Class A, 1 mo. USD LIBOR + 1.034% 1.107% FRN 12/15/36 (c) | 710,000 | 710,445 | ||||||
Series 2019-WOLF, Class C, 1 mo. USD LIBOR + 1.633% 1.706% FRN 12/15/36 (c) | 435,000 | 435,000 | ||||||
Series 2019-WOLF, Class D, 1 mo. USD LIBOR + 1.933% 2.006% FRN 12/15/36 (c) | 820,000 | 814,877 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2019-GSMS, Class C, 1 mo. USD LIBOR + 1.300% 1.373% FRN 6/15/36 (c) | 735,000 | 733,623 | ||||||
Series 2019-GSA1, Class B, 3.511% 11/10/52 | 870,000 | 932,719 | ||||||
Series 2015-GC28, Class AS, 3.759% 2/10/48 | 400,000 | 428,927 | ||||||
Series 2017-GS8, Class C, 4.480% VRN 11/10/50 (g) | 540,000 | 580,191 | ||||||
Hilton Orlando Trust, Series 2018-ORL, Class B, 1 mo. USD LIBOR + 1.200% | ||||||||
1.273% FRN 12/15/34 (c) | 715,000 | 715,448 | ||||||
Independence Plaza Trust | ||||||||
Series 2018-INDP, Class A, 3.763% 7/10/35 (c) | 845,000 | 896,353 | ||||||
Series 2018-INDP, Class B, 3.911% 7/10/35 (c) | 855,000 | 901,742 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
InTown Hotel Portfolio Trust, Series 2018-STAY, Class C, 1 mo. USD LIBOR + 1.500% | ||||||||
1.573% FRN 1/15/33 (c) | $ | 500,000 | $ | 498,373 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||||||
4.248% 7/05/33 (c) | 115,000 | 121,140 | ||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class AS, | ||||||||
3.858% VRN 3/15/50 (g) | 160,000 | 174,610 | ||||||
Manhattan West, Series 2020-1MW, Class D, | ||||||||
2.413% VRN 9/10/39 (c) (g) | 290,000 | 288,132 | ||||||
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | ||||||||
4.310% 12/15/51 | 1,015,000 | 1,172,704 | ||||||
VNO Mortgage Trust, | ||||||||
4.033% VRN 1/10/35 (c) (g) | 750,000 | 769,269 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2021-SAVE, Class C, 1 mo. USD LIBOR + 1.800% 1.873% FRN 2/15/40 (c) | 368,154 | 370,454 | ||||||
Series 2019-JWDR, Class A, 2.584% VRN 9/15/31 (c) (g) | 710,000 | 722,636 | ||||||
Series 2014-LC18, Class AS, 3.808% 12/15/47 | 1,695,000 | 1,796,532 | ||||||
Series 2017-C39, Class B, 4.025% 9/15/50 | 1,010,000 | 1,106,795 | ||||||
Series 2015-C29, Class C, 4.354% VRN 6/15/48 (g) | 935,000 | 974,429 | ||||||
25,538,663 | ||||||||
Other Asset-Backed Securities — 3.7% | ||||||||
Applebee's Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I | ||||||||
4.194% 6/07/49 (c) | 679,863 | 706,408 | ||||||
Ares LVII CLO Ltd., Series 2020-57A, Class A, 3 mo. USD LIBOR + 1.320% | ||||||||
1.496% FRN 10/25/31 (c) | 745,000 | 745,432 | ||||||
Ballyrock CLO 15 Ltd., Series 2021-1A, Class A1, 3 mo. USD LIBOR + 1.060% | ||||||||
1.226% FRN 4/15/34 (c) | 495,000 | 495,097 | ||||||
Barings CLO Ltd., Series 2016-2A, Class AR, 3 mo. USD LIBOR + 1.080% | ||||||||
1.268% FRN 7/20/28 (c) | 341,611 | 341,631 | ||||||
Bayview Mortgage Fund IV Trust, Series 2017-RT3, Class A, | ||||||||
3.500% VRN 1/28/58 (c) (g) | 455,957 | 454,378 | ||||||
Bluemountain CLO Ltd., Series 2015-2A, Class A1R, 3 mo. USD LIBOR + .930% | ||||||||
1.120% FRN 7/18/27 (c) | 189,640 | 189,683 | ||||||
CBAM Ltd., Series 2019-9A, Class A, 3 mo. USD LIBOR + 1.280% | ||||||||
1.464% FRN 2/12/30 (c) | 1,230,000 | 1,230,028 | ||||||
CIFC Funding Ltd. | ||||||||
Series 2021-3A, Class A, 3 mo. USD LIBOR + 1.140% 1.288% FRN 7/15/36 (c) | 585,000 | 585,476 | ||||||
Series 2020-3A, Class A1, 3 mo. USD LIBOR + 1.350% 1.538% FRN 10/20/31 (c) | 1,405,000 | 1,406,042 | ||||||
Series 2020-1A, Class A1, 3 mo. USD LIBOR + 1.700% 1.884% FRN 7/15/32 (c) | 870,000 | 870,441 | ||||||
Driven Brands Funding LLC | ||||||||
Series 2020-2A, Class A2, 3.237% 1/20/51 (c) | 563,588 | 581,445 | ||||||
Series 2020-1A, Class A2, 3.786% 7/20/50 (c) | 272,938 | 285,421 | ||||||
Dryden 86 CLO Ltd. | ||||||||
Series 2020-86A, Class A1R, 3 mo. USD LIBOR + 1.100% 1.260% FRN 7/17/34 (c) (f) | 600,000 | 600,063 | ||||||
Series 2020-86A, Class A, 3 mo. USD LIBOR + 1.650% 1.840% FRN 7/17/30 (c) | 1,355,000 | 1,355,000 | ||||||
Golub Capital Partners CLO, Series 2018-39A, Class A1, 3 mo. USD LIBOR + 1.150% | ||||||||
1.338% FRN 10/20/28 (c) | 508,438 | 508,448 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Hardee's Funding LLC | ||||||||
Series 2021-1A, Class A2, 2.865% 6/20/51 (c) | $ | 300,000 | $ | 300,778 | ||||
Series 2018-1A, Class AII, 4.959% 6/20/48 (c) | 316,063 | 340,079 | ||||||
Hilton Grand Vacations Trust, Series 2020-AA, Class A | ||||||||
2.740% 2/25/39 (c) | 276,418 | 286,815 | ||||||
HPS Loan Management, Series 11A-17, Class BR, 3 mo. USD LIBOR + 1.550% | ||||||||
1.725% FRN 5/06/30 (c) | 265,000 | 263,812 | ||||||
Jack In The Box Funding LLC, Series 2019-1A, Class A2I | ||||||||
3.982% 8/25/49 (c) | 535,950 | 550,060 | ||||||
Madison Park Funding Ltd. | ||||||||
Series 2019-37A, Class A1, 3 mo. USD LIBOR + 1.300% 1.484% FRN 7/15/32 (c) | 510,000 | 510,148 | ||||||
Series 2019-33A, Class A, 3 mo. USD LIBOR + 1.330% 1.514% FRN 10/15/32 (c) | 1,020,000 | 1,022,849 | ||||||
Magnetite XVIII Ltd., Series 2016-18A, Class AR, 3 mo. USD LIBOR + 1.080% | ||||||||
1.236% FRN 11/15/28 (c) | 1,055,000 | 1,055,011 | ||||||
Mill City Mortgage Loan Trust, Series 2018-1, Class A1, | ||||||||
3.250% VRN 5/25/62 (c) (g) | 310,209 | 318,659 | ||||||
MVW LLC, Series 2020-1A, Class C | ||||||||
4.210% 10/20/37 (c) | 241,838 | 256,162 | ||||||
Neuberger Berman Loan Advisers CLO Ltd. | ||||||||
Series 2019-32A, Class AR, 3 mo. USD LIBOR + .990% 1.180% FRN 1/20/32 (c) | 1,445,000 | 1,445,249 | ||||||
Series 2017-16SA, Class AR, 3 mo. USD LIBOR + 1.040% 1.240% FRN 4/15/34 (c) | 765,000 | 765,405 | ||||||
Series 2021-43A, Class A, 3 mo. USD LIBOR + 1.130% 1.277% FRN 7/17/35 (c) (f) | 435,000 | 435,000 | ||||||
Series 2020-38A, Class A, 3 mo. USD LIBOR + 1.300% 1.488% FRN 10/20/32 (c) | 695,000 | 696,024 | ||||||
Oak Hill Credit Partners Ltd., Series 2019-3A, Class AR, 3 mo. USD LIBOR + 1.140% | ||||||||
1.269% FRN 7/02/35 (c) (f) | 600,000 | 600,121 | ||||||
OCP CLO Ltd. | ||||||||
Series 2014-7A, Class A1RR, 3 mo. USD LIBOR + 1.120% 1.308% FRN 7/20/29 (c) | 725,000 | 725,125 | ||||||
Series 2020-19A, Class A1, 3 mo. USD LIBOR + 1.750% 1.938% FRN 7/20/31 (c) | 565,000 | 565,205 | ||||||
Octagon Investment Partners Ltd., Series 2016-1A, Class AR, 3 mo. USD LIBOR + 1.180% | ||||||||
1.356% FRN 1/24/33 (c) | 885,000 | 883,308 | ||||||
OZLM Ltd. | ||||||||
Series 2014-7RA, Class A1R, 3 mo. USD LIBOR + 1.010% 1.200% FRN 7/17/29 (c) | 348,406 | 348,450 | ||||||
Series 2014-8A, Class A1RR, 3 mo. USD LIBOR + 1.170% 1.360% FRN 10/17/29 (c) | 639,963 | 640,000 | ||||||
Palmer Square CLO Ltd. | ||||||||
Series 2021-2A, Class A, 3 mo. USD LIBOR + 1.150% 1.256% FRN 7/15/34 (c) | 695,000 | 695,706 | ||||||
Series 2020-2A, Class A1A, 3 mo. USD LIBOR + 1.700% 1.884% FRN 7/15/31 (c) | 570,000 | 570,161 | ||||||
Reese Park CLO Ltd., Series 2020-1A, Class A1, 3 mo. USD LIBOR + 1.320% | ||||||||
1.504% FRN 10/15/32 (c) | 690,000 | 690,428 | ||||||
SBA Tower Trust, Series 2014-2A, Class C, | ||||||||
3.869% STEP 10/15/49 (c) | 735,000 | 772,327 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Sierra Receivables Funding LLC, Series 2020-2A, Class C | ||||||||
3.510% 7/20/37 (c) | $ | 272,371 | $ | 280,091 | ||||
Southwick Park CLO LLC, Series 2019-4A, Class A1, 3 mo. USD LIBOR + 1.300% | ||||||||
1.488% FRN 7/20/32 (c) | 1,215,000 | 1,215,639 | ||||||
Symphony CLO Ltd. | ||||||||
Series 2016-17A, Class AR, 3 mo. USD LIBOR + .880% 1.064% FRN 4/15/28 (c) | 543,221 | 543,236 | ||||||
Series 2021-26A, Class AR, 3 mo. USD LIBOR + 1.080% 1.189% FRN 4/20/33 (c) | 425,000 | 424,474 | ||||||
Series 2020-23A, Class A, 3 mo. USD LIBOR + 1.320% 1.504% FRN 1/15/34 (c) | 1,445,000 | 1,446,610 | ||||||
Towd Point Mortgage Trust | ||||||||
Series 2015-6, Class A1, 3.500% VRN 4/25/55 (c) (g) | 129,108 | 129,778 | ||||||
Series 2018-3, Class A1, 3.750% VRN 5/25/58 (c) (g) | 458,178 | 484,776 | ||||||
Wellfleet CLO Ltd., Series 2017-2A, Class A1R, 3 mo. USD LIBOR + 1.060% | ||||||||
1.248% FRN 10/20/29 (c) | 650,000 | 649,679 | ||||||
30,266,158 | ||||||||
Student Loans Asset-Backed Securities — 0.8% | ||||||||
Navient Private Education Refi Loan Trust | ||||||||
Series 2020-GA, Class A, 1.170% 9/16/69 (c) | 202,829 | 203,751 | ||||||
Series 2020-HA, Class A, 1.310% 1/15/69 (c) | 316,518 | 318,587 | ||||||
Series 2020-DA, Class A, 1.690% 5/15/69 (c) | 276,999 | 279,739 | ||||||
Series 2019-FA, Class A2, 2.600% 8/15/68 (c) | 582,341 | 592,484 | ||||||
Series 2020-CA, Class B, 2.830% 11/15/68 (c) | 470,000 | 473,392 | ||||||
Nelnet Student Loan Trust, Series 2020-1A, Class A, 1 mo. USD LIBOR + .740% | ||||||||
0.832% FRN 3/26/68 (c) | 263,590 | 262,404 | ||||||
SMB Private Education Loan Trust | ||||||||
Series 2021-A, Class APT1, 1.070% 1/15/53 (c) | 665,205 | 657,082 | ||||||
Series 2020-BA, Class A1A, 1.290% 7/15/53 (c) | 305,704 | 306,605 | ||||||
Series 2020-PTB, Class A2A, 1.600% 9/15/54 (c) | 575,000 | 579,018 | ||||||
Series 2021-A, Class B, 2.310% 1/15/53 (c) | 570,000 | 579,140 | ||||||
Series 2016-B, Class A2A, 2.430% 2/17/32 (c) | 585,967 | 597,983 | ||||||
Series 2018-A, Class A2A, 3.500% 2/15/36 (c) | 1,038,909 | 1,091,408 | ||||||
Series 2018-C, Class A2A, 3.630% 11/15/35 (c) | 754,000 | 787,047 | ||||||
6,728,640 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 2.4% | ||||||||
Angel Oak Mortgage Trust | ||||||||
Series 2020-3, Class A1, 1.691% VRN 4/25/65 (c) (g) | 747,319 | 754,817 | ||||||
Series 2020-6, Class A3, 1.775% VRN 5/25/65 (c) (g) | 585,067 | 588,329 | ||||||
Series 2020-5, Class A3, 2.041% VRN 5/25/65 (c) (g) | 192,422 | 193,325 | ||||||
Series 2020-5, Class M1, 2.970% VRN 5/25/65 (c) (g) | 275,000 | 281,076 | ||||||
Series 2019-3, Class A2, 3.136% VRN 5/25/59 (c) (g) | 207,009 | 206,898 | ||||||
Series 2018-3, Class A3, 3.238% VRN 5/25/59 (c) (g) | 185,381 | 185,248 | ||||||
Series 2019-1, Class A2, 4.022% VRN 11/25/48 (c) (g) | 77,456 | 78,354 | ||||||
CIM Trust | ||||||||
Series 2020-INV1, Class A2, 2.500% VRN 4/25/50 (c) (g) | 738,900 | 749,851 | ||||||
Series 2019-INV3, Class A15, 3.500% VRN 8/25/49 (c) (g) | 134,170 | 136,898 | ||||||
COLT Mortgage Loan Trust | ||||||||
Series 2020-3, Class A1, 1.506% VRN 4/27/65 (c) (g) | 181,415 | 182,164 | ||||||
Series 2019-3, Class A1, 2.764% VRN 8/25/49 (c) (g) | 313,134 | 312,962 | ||||||
Ellington Financial Mortgage Trust | ||||||||
Series 2021-2, Class A2, 1.085% VRN 6/25/66 (c) (g) | 511,432 | 511,790 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2019-2, Class A1, 2.739% VRN 11/25/59 (c) (g) | $ | 384,311 | $ | 390,007 | ||||
Series 2020-1, Class A3, 3.999% VRN 5/25/65 (c) (g) | 430,000 | 442,696 | ||||||
Flagstar Mortgage Trust | ||||||||
Series 2020-1INV, Class A11, 1 mo. USD LIBOR + .850% 0.942% FRN 3/25/50 (c) | 160,409 | 160,813 | ||||||
Series 2018-6RR, Class 2A4, 4.000% VRN 9/25/48 (c) (g) | 68,508 | 69,575 | ||||||
Galton Funding Mortgage Trust | ||||||||
Series 2020-H1, Class A1, 2.310% VRN 1/25/60 (c) (g) | 435,315 | 442,641 | ||||||
Series 2019-H1, Class A1, 2.657% VRN 10/25/59 (c) (g) | 160,373 | 164,071 | ||||||
Series 2019-H1, Class A3, 2.964% VRN 10/25/59 (c) (g) | 484,990 | 494,525 | ||||||
Series 2018-1, Class A23, 3.500% VRN 11/25/57 (c) (g) | 73,337 | 74,566 | ||||||
Series 2019-2, Class A42, 3.500% VRN 6/25/59 (c) (g) | 27,566 | 27,627 | ||||||
Series 2019-1, Class A42, 4.000% VRN 2/25/59 (c) (g) | 2,528 | 2,522 | ||||||
GMRF Mortgage Acquisition Co., Series 2019-1, Class A22, | ||||||||
4.000% VRN 2/25/59 (c) (g) | 46,937 | 47,902 | ||||||
GS Mortgage Backed Securities, Series 2020-INV1, Class A14, | ||||||||
2.989% VRN 10/25/50 (c) (g) | 406,721 | 412,639 | ||||||
GS Mortgage-Backed Securities Trust, Series 2021-GR1, Class A4, | ||||||||
2.500% VRN 11/25/51 (c) (g) | 530,000 | 534,304 | ||||||
Homeward Opportunities Fund I Trust | ||||||||
Series 2020-2, Class A1, 1.657% VRN 5/25/65 (c) (g) | 323,385 | 325,222 | ||||||
Series 2019-3, Class A3, 3.031% VRN 11/25/59 (c) (g) | 345,894 | 348,368 | ||||||
Hundred Acre Wood Trust, | ||||||||
2.500% VRN 7/25/51 (c) (g) | 1,009,867 | 1,021,860 | ||||||
JP Morgan Mortgage Trust | ||||||||
Series 2020-INV1, Class A11, 1 mo. USD LIBOR + .830% 0.922% FRN 8/25/50 (c) | 133,485 | 133,753 | ||||||
Series 2019-INV2, Class A3, 3.500% VRN 2/25/50 (c) (g) | 130,391 | 132,839 | ||||||
Series 2019-INV3, Class A3, 3.500% VRN 5/25/50 (c) (g) | 254,157 | 259,270 | ||||||
Series 2019-INV3, Class A15, 3.500% VRN 5/25/50 (c) (g) | 218,796 | 223,070 | ||||||
Series 2020-LTV1, Class A3, 3.500% VRN 6/25/50 (c) (g) | 238,507 | 243,752 | ||||||
Series 2020-LTV1, Class A15, 3.500% VRN 6/25/50 (c) (g) | 101,957 | 103,848 | ||||||
Series 2020-INV1, Class A3, 3.500% VRN 8/25/50 (c) (g) | 210,766 | 215,201 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2020-NQM1, Class A1, 2.464% VRN 1/26/60 (c) (g) | 303,896 | 306,959 | ||||||
Series 2019-NQM5, Class A1, 2.710% VRN 11/25/59 (c) (g) | 528,273 | 537,266 | ||||||
Onslow Bay Financial LLC | ||||||||
Series 2020-EXP1, Class 2A1, 1 mo. USD LIBOR + .750% 0.842% FRN 2/25/60 (c) | 411,865 | 412,444 | ||||||
Series 2020-EXP3, Class 1A8, 3.000% VRN 1/25/60 (c) (g) | 550,297 | 559,672 | ||||||
Series 2020-EXP2, Class A8, 3.000% VRN 5/25/60 (c) (g) | 626,360 | 640,124 | ||||||
Series 2020-INV1, Class A5, 3.500% VRN 12/25/49 (c) (g) | 303,203 | 309,598 | ||||||
Series 2019-EXP3, Class 1A8, 3.500% VRN 10/25/59 (c) (g) | 153,878 | 157,034 | ||||||
Series 2020-EXP1, Class 1A8, 3.500% VRN 2/25/60 (c) (g) | 476,237 | 486,498 | ||||||
Series 2019-INV2, Class A25, 4.000% VRN 5/27/49 (c) (g) | 278,343 | 283,811 | ||||||
Series 2019-EXP2, Class 1A3, 4.000% VRN 6/25/59 (c) (g) | 203,179 | 208,163 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (c) (g) | 289,686 | 293,573 | ||||||
Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (c) (g) | 360,107 | 365,559 | ||||||
Series 2018-CH1, Class A19, 4.000% VRN 2/25/48 (c) (g) | 241,281 | 246,007 | ||||||
Series 2018-CH2, Class A21, 4.000% VRN 6/25/48 (c) (g) | 72,925 | 74,362 | ||||||
Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (c) (g) | 93,812 | 95,445 | ||||||
Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (c) (g) | 110,428 | 112,196 | ||||||
SG Residential Mortgage Trust, Series 2019-3, Class A1, | ||||||||
2.703% VRN 9/25/59 (c) (g) | 139,533 | 140,224 | ||||||
Starwood Mortgage Residential Trust | ||||||||
Series 2019-1, Class A1, 2.941% VRN 6/25/49 (c) (g) | 201,965 | 201,892 | ||||||
Series 2019-1, Class A2, 3.146% VRN 6/25/49 (c) (g) | 343,147 | 342,962 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2018-IMC2, Class A1, 4.121% VRN 10/25/48 (c) (g) | $ | 277,498 | $ | 280,745 | ||||
Verus Securitization Trust | ||||||||
Series 2019-4, Class A1, 2.642% STEP 11/25/59 (c) | 521,093 | 529,020 | ||||||
Series 2019-INV3, Class A1, 2.692% VRN 11/25/59 (c) (g) | 730,229 | 743,000 | ||||||
Series 2019-3, Class A3, 3.040% STEP 7/25/59 (c) | 250,899 | 253,413 | ||||||
Series 2019-INV2, Class A2, 3.117% VRN 7/25/59 (c) (g) | 541,047 | 549,253 | ||||||
Series 2020-INV1, Class A3, 3.889% VRN 3/25/60 (c) (g) | 100,000 | 104,098 | ||||||
Vista Point Securitization Trust | ||||||||
Series 2020-1, Class A1, 1.763% VRN 3/25/65 (c) (g) | 456,161 | 458,813 | ||||||
Series 2020-2, Class M1, 3.401% VRN 4/25/65 (c) (g) | 350,000 | 360,644 | ||||||
19,505,558 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $88,963,004) | 90,538,954 | |||||||
SOVEREIGN DEBT OBLIGATIONS — 14.8% | ||||||||
1Malaysia Development Berhad Global Investments Ltd. | ||||||||
4.400% 3/09/23 (c) | 1,000,000 | 1,007,668 | ||||||
Albania Government International Bond | ||||||||
3.500% 10/09/25 EUR (c) (d) | 115,000 | 145,320 | ||||||
3.500% 10/09/25 EUR (c) (d) | 160,000 | 202,185 | ||||||
3.500% 6/16/27 EUR (c) (d) | 105,000 | 133,680 | ||||||
Australia Government International Bond | ||||||||
3.000% 3/21/47 AUD (c) (d) | 2,852,000 | 2,447,427 | ||||||
Bermuda Government International Bond | ||||||||
4.750% 2/15/29 (c) | 650,000 | 756,080 | ||||||
Bonos Tesoreria Pesos | ||||||||
4.500% 3/01/26 CLP (d) | 445,000,000 | 631,788 | ||||||
4.700% 9/01/30 CLP (c) (d) | 3,325,000,000 | 4,570,784 | ||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||
10.000% 1/01/25 BRL (d) | 4,471,000 | 904,566 | ||||||
Bundesrepublik Deutschland Bundesanleihe | ||||||||
0.010% 2/15/31 EUR (c) (d) | 1,525,000 | 1,852,405 | ||||||
Canadian Government International Bond | ||||||||
0.500% 12/01/30 CAD (d) | 1,400,000 | 1,041,106 | ||||||
Canadian Government Real Return Bond | ||||||||
4.000% 12/01/31 CAD (d) | 2,738,529 | 3,240,851 | ||||||
Croatia Government International Bond | ||||||||
1.125% 6/19/29 EUR (c) (d) | 465,000 | 566,426 | ||||||
1.125% 3/04/33 EUR (c) (d) | 184,000 | 216,356 | ||||||
3.875% 5/30/22 EUR (c) (d) | 400,000 | 492,086 | ||||||
Cyprus Government International Bond | ||||||||
0.010% 2/09/26 EUR (c) (d) | 245,000 | 291,961 | ||||||
1.250% 1/21/40 EUR (c) (d) | 45,000 | 54,408 | ||||||
1.500% 4/16/27 EUR (c) (d) | 70,000 | 90,120 | ||||||
2.375% 9/25/28 EUR (c) (d) | 1,402,000 | 1,927,578 | ||||||
2.750% 2/26/34 EUR (c) (d) | 93,000 | 137,118 | ||||||
2.750% 5/03/49 EUR (c) (d) | 114,000 | 182,192 | ||||||
3.750% 7/26/23 EUR (c) (d) | 120,000 | 154,598 | ||||||
3.750% 7/26/23 EUR (c) (d) | 100,000 | 128,832 | ||||||
3.875% 5/06/22 EUR (c) (d) | 220,000 | 270,209 | ||||||
4.250% 11/04/25 EUR (c) (d) | 250,000 | 354,191 | ||||||
4.250% 11/04/25 EUR (c) (d) | 540,000 | 765,053 | ||||||
Czech Republic International Bond | ||||||||
3.875% 5/24/22 EUR (c) (d) | 460,000 | 566,057 | ||||||
Deutsche Bundesrepublik Inflation Linked Bond | ||||||||
0.500% 4/15/30 EUR (c) (d) | 4,008,356 | 5,732,484 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Egypt Government International Bond | ||||||||
4.750% 4/11/25 EUR (c) (d) | $ | 290,000 | $ | 358,654 | ||||
Export Import Bank of Thailand | ||||||||
1.457% 10/15/25 (c) | 200,000 | 200,033 | ||||||
France Government Bond OAT | ||||||||
0.010% 11/25/30 EUR (c) (d) | 3,295,000 | 3,895,349 | ||||||
1.250% 5/25/36 EUR (c) (d) | 1,872,000 | 2,485,292 | ||||||
Hellenic Republic Government Bond | ||||||||
0.750% 6/18/31 EUR (c) (d) | 585,000 | 688,688 | ||||||
Iceland Government International Bond | ||||||||
0.010% 4/15/28 EUR (c) (d) | 346,000 | 406,379 | ||||||
Indonesia Government International Bond | ||||||||
3.750% 6/14/28 EUR (c) (d) | 1,280,000 | 1,800,397 | ||||||
6.125% 5/15/28 IDR (d) | 14,144,000,000 | 974,473 | ||||||
7.000% 5/15/27 IDR (d) | 6,090,000,000 | 444,822 | ||||||
8.375% 9/15/26 IDR (d) | 1,700,000,000 | 131,636 | ||||||
8.750% 5/15/31 IDR (d) | 4,710,000,000 | 374,146 | ||||||
10.250% 7/15/27 IDR (d) | 1,300,000,000 | 108,505 | ||||||
Ireland Government International Bond | ||||||||
0.200% 10/18/30 EUR (c) (d) | 1,582,000 | 1,898,232 | ||||||
1.350% 3/18/31 EUR (c) (d) | 1,335,000 | 1,779,259 | ||||||
1.500% 5/15/50 EUR (c) (d) | 73,000 | 100,475 | ||||||
2.000% 2/18/45 EUR (c) (d) | 191,000 | 290,051 | ||||||
5.400% 3/13/25 EUR (d) | 943,000 | 1,363,071 | ||||||
Israel Government International Bond | ||||||||
1.500% 1/18/27 EUR (c) (d) | 530,000 | 678,126 | ||||||
1.750% 8/31/25 ILS (d) | 4,274,000 | 1,403,075 | ||||||
5.500% 1/31/42 ILS (d) | 3,753,000 | 1,848,141 | ||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
0.650% 5/15/26 EUR (c) (d) | 1,278,527 | 1,634,981 | ||||||
2.800% 3/01/67 EUR (c) (d) | 1,146,000 | 1,604,048 | ||||||
Ivory Coast Government International Bond | ||||||||
4.875% 1/30/32 EUR (c) (d) | 105,000 | 124,367 | ||||||
Japan Government Thirty Year Bond | ||||||||
1.700% 9/20/44 JPY (d) | 294,200,000 | 3,323,312 | ||||||
2.200% 9/20/39 JPY (d) | 275,600,000 | 3,264,159 | ||||||
2.500% 9/20/37 JPY (d) | 427,550,000 | 5,177,475 | ||||||
Japan Government Twenty Year Bond | ||||||||
0.600% 6/20/37 JPY (d) | 337,100,000 | 3,174,648 | ||||||
0.700% 3/20/37 JPY (d) | 149,900,000 | 1,433,154 | ||||||
1.200% 12/20/34 JPY (d) | 305,850,000 | 3,115,461 | ||||||
1.500% 6/20/34 JPY (d) | 12,000,000 | 126,152 | ||||||
Japanese Government CPI Linked Bond | ||||||||
0.100% 3/10/24 JPY (d) | 165,469,600 | 1,509,699 | ||||||
0.100% 9/10/24 JPY (d) | 168,526,800 | 1,539,109 | ||||||
0.100% 3/10/25 JPY (d) | 185,826,400 | 1,700,279 | ||||||
0.200% 3/10/30 JPY (d) | 48,115,892 | 452,855 | ||||||
Korea Electric Power Corp. | ||||||||
7.000% 2/01/27 | 120,000 | 153,182 | ||||||
Korea National Oil Corp. | ||||||||
1.625% 10/05/30 (c) | 440,000 | 420,452 | ||||||
Korea South-East Power Co. Ltd. | ||||||||
1.000% 2/03/26 (c) | 400,000 | 394,757 | ||||||
Latvia Government International Bond | ||||||||
0.375% 10/07/26 EUR (c) (d) | 2,114,000 | 2,581,756 | ||||||
Malaysia Government Bond | ||||||||
3.844% 4/15/33 MYR (d) | 590,000 | 144,329 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
4.065% 6/15/50 MYR (d) | $ | 2,936,000 | $ | 678,692 | ||||
4.642% 11/07/33 MYR (d) | 3,255,000 | 851,218 | ||||||
4.736% 3/15/46 MYR (d) | 5,640,000 | 1,430,403 | ||||||
4.921% 7/06/48 MYR (d) | 6,645,000 | 1,710,891 | ||||||
4.935% 9/30/43 MYR (d) | 155,000 | 40,727 | ||||||
Mexican Bonos | ||||||||
8.500% 5/31/29 MXN (d) | 14,830,000 | 818,425 | ||||||
Morocco Government International Bond | ||||||||
1.375% 3/30/26 EUR (c) (d) | 160,000 | 192,230 | ||||||
National Highways Authority of India | ||||||||
7.300% 5/18/22 INR (c) (d) | 100,000,000 | 1,364,194 | ||||||
New South Wales Treasury Corp. | ||||||||
4.000% 5/20/26 AUD (c) (d) | 680,000 | 583,672 | ||||||
4.000% 5/20/26 AUD (c) (d) | 860,000 | 738,173 | ||||||
North Macedonia Government International Bond | ||||||||
1.625% 3/10/28 EUR (c) (d) | 400,000 | 467,186 | ||||||
Norway Government Bond | ||||||||
3.000% 3/14/24 NOK (c) (d) | 2,700,000 | 331,282 | ||||||
Philippine Government International Bond | ||||||||
0.250% 4/28/25 EUR (d) | 125,000 | 148,655 | ||||||
Portugal Obrigacoes do Tesouro OT | ||||||||
4.100% 2/15/45 EUR (c) (d) | 217,000 | 416,085 | ||||||
Province of Ontario Canada | ||||||||
3.500% 6/02/43 CAD (d) | 140,000 | 131,314 | ||||||
3.500% 6/02/43 CAD (d) | 62,000 | 58,153 | ||||||
Republic of South Africa Government Bond | ||||||||
7.000% 2/28/31 ZAR (d) | 18,675,000 | 1,121,939 | ||||||
8.000% 1/31/30 ZAR (d) | 2,510,000 | 166,679 | ||||||
8.250% 3/31/32 ZAR (d) | 9,191,000 | 587,775 | ||||||
10.500% 12/21/26 ZAR (d) | 17,225,000 | 1,371,124 | ||||||
Romanian Government International Bond | ||||||||
1.375% 12/02/29 EUR (c) (d) | 110,000 | 129,976 | ||||||
2.000% 1/28/32 EUR (c) (d) | 110,000 | 131,737 | ||||||
2.000% 1/28/32 EUR (c) (d) | 380,000 | 455,091 | ||||||
2.124% 7/16/31 EUR (c) (d) | 642,000 | 785,022 | ||||||
2.875% 10/28/24 EUR (c) (d) | 100,000 | 129,455 | ||||||
2.875% 5/26/28 EUR (c) (d) | 560,000 | 740,675 | ||||||
2.875% 3/11/29 EUR (c) (d) | 96,000 | 125,898 | ||||||
3.624% 5/26/30 EUR (c) (d) | 670,000 | 918,105 | ||||||
Russian Federal Bond - OFZ | ||||||||
8.150% 2/03/27 RUB (d) | 29,733,000 | 429,768 | ||||||
8.500% 9/17/31 RUB (d) | 55,000,000 | 829,268 | ||||||
Serbia Government International Bond | ||||||||
1.500% 6/26/29 EUR (c) (d) | 450,000 | 537,475 | ||||||
Serbia Treasury Bonds | ||||||||
4.500% 8/20/32 RSD (d) | 81,410,000 | 899,963 | ||||||
Singapore Government International Bond | ||||||||
2.875% 7/01/29 SGD (d) | 990,000 | 819,638 | ||||||
3.125% 9/01/22 SGD (d) | 1,130,000 | 867,311 | ||||||
Slovenia Government International Bond | ||||||||
0.275% 1/14/30 EUR (c) (d) | 639,000 | 774,030 | ||||||
1.500% 3/25/35 EUR (c) (d) | 398,000 | 537,742 | ||||||
3.125% 8/07/45 EUR (c) (d) | 237,000 | 425,751 | ||||||
5.250% 2/18/24 (c) | 200,000 | 224,309 | ||||||
5.250% 2/18/24 (c) | 200,000 | 224,309 | ||||||
Spain Government International Bond | ||||||||
0.010% 1/31/25 EUR (d) | 1,106,000 | 1,328,751 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Sri Lanka Government International Bond | ||||||||
6.250% 7/27/21 (c) | $ | 200,000 | $ | 195,000 | ||||
Thailand Government Bond | ||||||||
1.585% 12/17/35 THB (d) | 39,485,000 | 1,139,697 | ||||||
1.600% 12/17/29 THB (d) | 4,400,000 | 137,360 | ||||||
3.650% 6/20/31 THB (d) | 28,345,000 | 1,033,337 | ||||||
3.775% 6/25/32 THB (d) | 8,585,000 | 317,641 | ||||||
United Kingdom Gilt | ||||||||
0.625% 6/07/25 GBP (c) (d) | 2,408,000 | 3,380,256 | ||||||
0.625% 10/22/50 GBP (c) (d) | 1,037,000 | 1,218,885 | ||||||
4.250% 12/07/46 GBP (c) (d) | 1,119,000 | 2,564,912 | ||||||
4.750% 12/07/30 GBP (c) (d) | 1,784,000 | 3,373,260 | ||||||
119,849,947 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $117,948,038) | 119,849,947 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 14.2% | ||||||||
Collateralized Mortgage Obligations — 0.4% | ||||||||
Federal Home Loan Mortgage Corp. REMICS Series 4977, Class IO 4.500% 5/25/50 | 369,972 | 61,185 | ||||||
Federal Home Loan Multifamily Structured Pass Through Certificates | ||||||||
Series 2019-K100, Class B, 3.610% VRN 11/25/52 (c) (g) | 765,000 | 820,307 | ||||||
Series 2019-K98, Class B, 3.861% VRN 10/25/52 (c) (g) | 335,000 | 369,894 | ||||||
Series 2019-K736, Class B, 3.884% VRN 7/25/26 (c) (g) | 585,000 | 632,755 | ||||||
Series 2018-K73, Class B, 3.984% VRN 2/25/51 (c) (g) | 665,000 | 733,382 | ||||||
Series 2018-K731, Class B, 4.065% VRN 2/25/25 (c) (g) | 720,000 | 771,982 | ||||||
Federal National Mortgage Association REMICS Series 2018-44, Class PC 4.000% 6/25/44 | 36,886 | 37,095 | ||||||
3,426,600 | ||||||||
Pass-Through Securities — 12.8% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #SB8509 2.000% 1/01/36 | 1,070,153 | 1,106,552 | ||||||
Pool #QC3425 2.500% 6/01/51 | 290,000 | 300,988 | ||||||
Pool #ZS7403 3.000% 5/01/31 | 173,993 | 184,223 | ||||||
Pool #SB0222 3.000% 11/01/34 | 240,959 | 257,085 | ||||||
Pool #ZS4693 3.000% 12/01/46 | 107,112 | 112,663 | ||||||
Pool #G08756 3.000% 4/01/47 | 44,269 | 46,539 | ||||||
Pool #SD0080 3.000% 9/01/49 | 182,799 | 195,086 | ||||||
Pool #QA7625 3.000% 3/01/50 | 176,380 | 183,798 | ||||||
Pool #SD0286 3.000% 4/01/50 | 575,764 | 599,980 | ||||||
Pool #SD0393 3.000% 6/01/50 | 139,612 | 145,985 | ||||||
Pool #SD7531 3.000% 12/01/50 | 220,554 | 234,000 | ||||||
Pool #SB0015 3.500% 6/01/33 | 247,369 | 265,199 | ||||||
Pool #U90690 3.500% 6/01/42 | 78,030 | 84,201 | ||||||
Pool #U99051 3.500% 6/01/43 | 78,754 | 84,983 | ||||||
Pool #ZT0179 3.500% 11/01/47 | 850,009 | 909,336 | ||||||
Pool #SD0212 3.500% 12/01/49 | 233,755 | 249,431 | ||||||
Pool #RA1906 4.000% 12/01/49 | 634,897 | 685,324 | ||||||
Pool #SD8039 4.000% 1/01/50 | 501,551 | 533,394 | ||||||
Pool #SD0422 4.500% 7/01/45 | 177,222 | 197,279 | ||||||
Pool #RA2607 4.500% 5/01/50 | 100,418 | 108,117 | ||||||
Pool #ZS3941 5.000% 12/01/41 | 60,758 | 69,043 | ||||||
Federal National Mortgage Association | ||||||||
Pool #CB0570 2.000% 5/01/36 | 1,147,943 | 1,188,064 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #BM3859 2.500% 8/01/31 | $ | 140,217 | $ | 146,741 | ||||
Pool #BC9043 2.500% 11/01/31 | 419,980 | 440,310 | ||||||
Pool #BM1890 2.500% 1/01/32 | 112,554 | 117,721 | ||||||
Pool #CA7603 2.500% 11/01/50 | 668,858 | 692,560 | ||||||
Pool #CA7735 2.500% 11/01/50 | 770,977 | 798,298 | ||||||
Pool #CA7738 2.500% 11/01/50 | 614,562 | 636,340 | ||||||
Pool #CA8022 2.500% 12/01/50 | 26,986 | 27,942 | ||||||
Pool #CA8131 2.500% 12/01/50 | 955,750 | 989,619 | ||||||
Pool #BT1265 2.500% 6/01/51 | 620,000 | 643,492 | ||||||
Pool #BT1288 2.500% 7/01/51 (f) | 539,898 | 560,355 | ||||||
Pool #BM5109 3.000% 12/01/32 | 1,148,557 | 1,211,783 | ||||||
Pool #BM5111 3.000% 11/01/33 | 155,665 | 165,256 | ||||||
Pool #CA4885 3.000% 12/01/34 | 569,710 | 608,193 | ||||||
Pool #BO7256 3.000% 1/01/35 | 257,955 | 274,734 | ||||||
Pool #FM2547 3.000% 2/01/35 | 470,298 | 502,065 | ||||||
Pool #AL9412 3.000% 11/01/36 | 297,802 | 317,424 | ||||||
Pool #CA5597 3.000% 4/01/40 | 997,845 | 1,066,709 | ||||||
Pool #BM4221 3.000% 1/01/43 | 163,536 | 173,647 | ||||||
Pool #BM5468 3.000% 2/01/43 | 256,571 | 272,434 | ||||||
Pool #AB9248 3.000% 5/01/43 | 71,660 | 76,091 | ||||||
Pool #AU1629 3.000% 7/01/43 | 19,512 | 20,718 | ||||||
Pool #AS0406 3.000% 9/01/43 | 105,416 | 113,185 | ||||||
Pool #BM5469 3.000% 3/01/44 | 485,456 | 515,470 | ||||||
Pool #BM3380 3.000% 6/01/46 | 405,011 | 430,557 | ||||||
Pool #MA2670 3.000% 7/01/46 | 170,966 | 179,880 | ||||||
Pool #FM5500 3.000% 9/01/46 | 557,352 | 591,811 | ||||||
Pool #MA2806 3.000% 11/01/46 | 314,442 | 330,836 | ||||||
Pool #AS8295 3.000% 11/01/46 | 354,707 | 379,519 | ||||||
Pool #BD8462 3.000% 11/01/46 | 1,618,804 | 1,719,899 | ||||||
Pool #BM4896 3.000% 2/01/47 | 861,682 | 914,956 | ||||||
Pool #BM1418 3.000% 4/01/47 | 1,823,037 | 1,936,886 | ||||||
Pool #FM1000 3.000% 4/01/47 | 259,075 | 272,582 | ||||||
Pool #MA2956 3.000% 4/01/47 | 198,103 | 208,184 | ||||||
Pool #BM4744 3.000% 6/01/47 | 157,923 | 168,969 | ||||||
Pool #FM1572 3.000% 9/01/48 | 347,321 | 365,430 | ||||||
Pool #FM5499 3.000% 2/01/49 | 247,883 | 260,807 | ||||||
Pool #FM1445 3.000% 8/01/49 | 160,044 | 170,802 | ||||||
Pool #CA4794 3.000% 12/01/49 | 496,436 | 521,000 | ||||||
Pool #CA5337 3.000% 3/01/50 | 920,487 | 966,034 | ||||||
Pool #CA5540 3.000% 4/01/50 | 20,150 | 21,287 | ||||||
Pool #CA6314 3.000% 7/01/50 | 276,459 | 292,191 | ||||||
Pool #BQ1348 3.000% 8/01/50 | 194,802 | 204,559 | ||||||
Pool #CA6738 3.000% 8/01/50 | 364,622 | 383,319 | ||||||
Pool #BQ5052 3.000% 9/01/50 | 35,084 | 36,910 | ||||||
Pool #CA7755 3.000% 10/01/50 | 637,523 | 672,107 | ||||||
Pool #FM3462 3.500% 12/01/33 | 539,738 | 579,366 | ||||||
Pool #AS4449 3.500% 2/01/35 | 158,293 | 169,057 | ||||||
Pool #FM3340 3.500% 5/01/35 | 18,775 | 20,057 | ||||||
Pool #MA1283 3.500% 12/01/42 | 61,153 | 65,961 | ||||||
Pool #MA1373 3.500% 3/01/43 | 92,964 | 100,215 | ||||||
Pool #MA1437 3.500% 5/01/43 | 92,186 | 99,376 | ||||||
Pool #MA1546 3.500% 8/01/43 | 211,416 | 227,906 | ||||||
Pool #AL6167 3.500% 1/01/44 | 839,606 | 905,095 | ||||||
Pool #AS5182 3.500% 6/01/45 | 522,539 | 559,868 | ||||||
Pool #BC1747 3.500% 1/01/46 | 1,361,152 | 1,452,008 | ||||||
Pool #BM5785 3.500% 9/01/46 | 142,529 | 152,711 | ||||||
Pool #BM4582 3.500% 8/01/47 | 157,675 | 169,087 | ||||||
Pool #BM3122 3.500% 10/01/47 | 2,169,172 | 2,333,451 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #MA3210 3.500% 12/01/47 | $ | 56,991 | $ | 60,140 | ||||
Pool #MA3238 3.500% 1/01/48 | 1,097,020 | 1,156,275 | ||||||
Pool #CA1189 3.500% 2/01/48 | 247,716 | 261,405 | ||||||
Pool #BH9277 3.500% 2/01/48 | 597,173 | 629,430 | ||||||
Pool #FM1001 3.500% 11/01/48 | 73,873 | 77,956 | ||||||
Pool #BO1033 3.500% 8/01/49 | 20,714 | 21,778 | ||||||
Pool #BO1410 3.500% 9/01/49 | 277,915 | 292,188 | ||||||
Pool #BO1437 3.500% 10/01/49 | 253,126 | 266,126 | ||||||
Pool #FM3972 3.500% 7/01/50 | 416,862 | 442,082 | ||||||
Pool #BF0198 4.000% 11/01/40 | 159,546 | 175,172 | ||||||
Pool #MA0639 4.000% 2/01/41 | 518,332 | 569,506 | ||||||
Pool #AL2745 4.000% 3/01/42 | 726,032 | 796,007 | ||||||
Pool #BM3385 4.000% 6/01/45 | 858,756 | 933,204 | ||||||
Pool #FM2673 4.000% 10/01/45 | 1,253,650 | 1,370,951 | ||||||
Pool #AL8387 4.000% 3/01/46 | 1,262,632 | 1,372,093 | ||||||
Pool #MA3088 4.000% 8/01/47 | 55,275 | 59,359 | ||||||
Pool #MA3149 4.000% 10/01/47 | 686,369 | 736,649 | ||||||
Pool #MA3467 4.000% 9/01/48 | 7,685 | 8,178 | ||||||
Pool #BM5527 4.000% 10/01/48 | 177,602 | 192,333 | ||||||
Pool #BM5147 4.000% 10/01/48 | 36,837 | 40,411 | ||||||
Pool #CA3503 4.000% 5/01/49 | 121,197 | 128,949 | ||||||
Pool #CA4571 4.000% 11/01/49 | 179,008 | 190,318 | ||||||
Pool #CA4823 4.000% 12/01/49 | 281,969 | 299,871 | ||||||
Pool #AL0065 4.500% 4/01/41 | 279,125 | 310,186 | ||||||
Pool #AI1888 4.500% 5/01/41 | 305,918 | 339,961 | ||||||
Pool #AL0160 4.500% 5/01/41 | 401,468 | 446,145 | ||||||
Pool #AL6536 4.500% 3/01/45 | 432,679 | 477,854 | ||||||
Pool #BM4185 4.500% 9/01/46 | 198,972 | 218,183 | ||||||
Pool #FM2899 4.500% 11/01/46 | 495,915 | 551,102 | ||||||
Pool #FM5708 4.500% 5/01/47 | 265,759 | 295,333 | ||||||
Pool #BM3148 4.500% 11/01/47 | 224,795 | 248,950 | ||||||
Pool #BM4343 4.500% 5/01/48 | 468,581 | 518,933 | ||||||
Pool #CA2204 4.500% 8/01/48 | 100,928 | 108,422 | ||||||
Pool #CA2207 4.500% 8/01/48 | 61,503 | 66,291 | ||||||
Pool #FM7311 4.500% 3/01/49 | 778,919 | 838,337 | ||||||
Pool #CA5186 4.500% 1/01/50 | 43,920 | 47,311 | ||||||
Pool #CA5696 4.500% 5/01/50 | 192,836 | 207,697 | ||||||
Pool #AD6438 5.000% 6/01/40 | 72,126 | 81,962 | ||||||
Pool #AL9893 5.000% 2/01/45 | 383,093 | 433,538 | ||||||
Pool #FM4212 5.000% 12/01/47 | 618,014 | 703,189 | ||||||
Pool #BM3279 5.500% 5/01/44 | 1,452,373 | 1,678,568 | ||||||
Pool #BM4971 6.000% 7/01/41 | 267,378 | 316,294 | ||||||
Federal National Mortgage Association TBA 3.000% 7/14/51 (f) | 1,225,000 | 1,277,254 | ||||||
Government National Mortgage Association Pool #AA5821 3.000% 11/15/42 | 55,823 | 59,625 | ||||||
Government National Mortgage Association II | ||||||||
Pool #MA2891 3.000% 6/20/45 | 1,057,156 | 1,119,473 | ||||||
Pool #MA3662 3.000% 5/20/46 | 171,161 | 180,769 | ||||||
Pool #MA3802 3.000% 7/20/46 | 82,992 | 87,521 | ||||||
Pool #MA3873 3.000% 8/20/46 | 479,680 | 505,857 | ||||||
Pool #MA6144 3.000% 9/20/49 | 30,604 | 31,500 | ||||||
Pool #MA6209 3.000% 10/20/49 | 186,404 | 191,334 | ||||||
Pool #MA6399 3.000% 1/20/50 | 97,661 | 100,244 | ||||||
Pool #MA6531 3.000% 3/20/50 | 332,804 | 341,606 | ||||||
Pool #MA6757 3.000% 7/20/50 | 258,244 | 263,299 | ||||||
Pool #MA7313 3.000% 4/20/51 | 1,975,897 | 2,073,539 | ||||||
Pool #MA0318 3.500% 8/20/42 | 234,431 | 253,678 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Pool #MA1012 3.500% 5/20/43 | $ | 491,700 | $ | 531,762 | ||||
Pool #MA1090 3.500% 6/20/43 | 195,576 | 211,450 | ||||||
Pool #AL1773 3.500% 1/20/45 | 244,326 | 263,699 | ||||||
Pool #MA3310 3.500% 12/20/45 | 119,959 | 127,596 | ||||||
Pool #MA3597 3.500% 4/20/46 | 182,039 | 193,344 | ||||||
Pool #MA3663 3.500% 5/20/46 | 143,984 | 152,925 | ||||||
Pool #MA3736 3.500% 6/20/46 | 393,830 | 418,288 | ||||||
Pool #MA3803 3.500% 7/20/46 | 28,342 | 30,102 | ||||||
Pool #MA4004 3.500% 10/20/46 | 718,060 | 762,429 | ||||||
Pool #MA4382 3.500% 4/20/47 | 34,304 | 36,413 | ||||||
Pool #MA4586 3.500% 7/20/47 | 66,839 | 70,817 | ||||||
Pool #MA4719 3.500% 9/20/47 | 24,014 | 25,436 | ||||||
Pool #MA4900 3.500% 12/20/47 | 329,514 | 348,716 | ||||||
Pool #MA784472 3.500% 2/20/48 | 416,512 | 453,442 | ||||||
Pool #784504 3.500% 2/20/48 | 181,547 | 194,580 | ||||||
Pool #784474 3.500% 2/20/48 | 247,769 | 265,556 | ||||||
Pool #MA3245 4.000% 11/20/45 | 260,170 | 281,696 | ||||||
Pool #MA4511 4.000% 6/20/47 | 180,581 | 192,982 | ||||||
Pool #MA4720 4.000% 9/20/47 | 652,984 | 697,878 | ||||||
Pool #MA4838 4.000% 11/20/47 | 162,278 | 173,384 | ||||||
Pool #MA6934 4.000% 10/20/50 | 2,059,801 | 2,165,692 | ||||||
Pool #MA2894 4.500% 6/20/45 | 230,733 | 253,372 | ||||||
Pool #MA2963 4.500% 7/20/45 | 86,442 | 94,869 | ||||||
Pool #MA3312 4.500% 12/20/45 | 4,145 | 4,546 | ||||||
Pool #MA4588 4.500% 7/20/47 | 501,052 | 544,655 | ||||||
Pool #MA4654 4.500% 8/20/47 | 75,886 | 82,489 | ||||||
Pool #MA4781 5.000% 10/20/47 | 529,047 | 579,752 | ||||||
Pool #MA5194 5.000% 5/20/48 | 122,618 | 132,866 | ||||||
Pool #BF2644 5.000% 5/20/48 | 9,078 | 9,994 | ||||||
Pool #MA5266 5.000% 6/20/48 | 379,106 | 410,494 | ||||||
Pool #BF2878 5.000% 6/20/48 | 29,433 | 32,405 | ||||||
Pool #MA5988 5.000% 6/20/49 | 337,294 | 362,269 | ||||||
Pool #MA5081 5.500% 3/20/48 (f) | 84,786 | 94,808 | ||||||
Pool #MA5140 5.500% 4/20/48 (f) | 59,851 | 66,682 | ||||||
Pool #MA5195 5.500% 5/20/48 (f) | 212,435 | 234,890 | ||||||
Pool #MA5469 5.500% 9/20/48 (f) | 771 | 849 | ||||||
Pool #MA5531 5.500% 10/20/48 (f) | 20,270 | 22,324 | ||||||
Pool #MA5598 5.500% 11/20/48 (f) | 88,472 | 97,437 | ||||||
Pool #MA5654 5.500% 12/20/48 (f) | 300,854 | 331,245 | ||||||
Pool #MA5713 5.500% 1/20/49 (f) | 73,976 | 81,426 | ||||||
Pool #MA5820 5.500% 3/20/49 | 70,018 | 77,025 | ||||||
Government National Mortgage Association II TBA | ||||||||
2.500% 7/21/51 (f) | 6,650,000 | 6,885,347 | ||||||
3.000% 7/21/51 (f) | 2,090,000 | 2,180,621 | ||||||
3.500% 7/21/51 (f) | 1,310,000 | 1,376,319 | ||||||
Uniform Mortgage Backed Securities TBA | ||||||||
1.500% 7/19/36 (f) | 1,335,000 | 1,351,479 | ||||||
2.000% 7/14/51 (f) | 8,970,000 | 9,068,109 | ||||||
2.500% 7/14/51 (f) | 6,380,000 | 6,602,303 | ||||||
4.000% 7/14/51 (f) | 1,805,000 | 1,922,889 | ||||||
4.500% 7/14/51 (f) | 2,505,000 | 2,696,789 | ||||||
103,625,816 | ||||||||
Whole Loans — 1.0% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
Series 2021-HQA1, Class M1, SOFR30A + .700% 0.718% FRN 8/25/33 (c) | 285,000 | 284,843 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2017-DNA3, Class M1, 1 mo. USD LIBOR + .750% 0.842% FRN 3/25/30 | $ | 84,232 | $ | 84,240 | ||||
Series 2018-DNA3, Class M1, 1 mo. USD LIBOR + .750% 0.842% FRN 9/25/48 (c) | 709 | 708 | ||||||
Series 2020-DNA2, Class M1, 1 mo. USD LIBOR + .750% 0.842% FRN 2/25/50 (c) | 98,336 | 98,347 | ||||||
Series 2018-DNA2, Class M1, 1 mo. USD LIBOR + .800% 0.892% FRN 12/25/30 (c) | 92,427 | 92,445 | ||||||
Series 2018-DNA1, Class M2AT, 1 mo. USD LIBOR + 1.050% 1.142% FRN 7/25/30 | 452,738 | 450,637 | ||||||
Series 2017-DNA3, Class M2AS, 1 mo. USD LIBOR + 1.100% 1.192% FRN 3/25/30 | 745,000 | 735,503 | ||||||
Series 2018-HQA1, Class M2AS, 1 mo. USD LIBOR + 1.100% 1.192% FRN 9/25/30 | 326,225 | 325,904 | ||||||
Series 2019, Class M2, 1 mo. USD LIBOR + 1.400% 1.492% FRN 2/25/49 (c) | 389,013 | 390,929 | ||||||
Series 2017-HQA3, Class M2, 1 mo. USD LIBOR + 2.350% 2.442% FRN 4/25/30 | 613,244 | 624,849 | ||||||
Series 2020-DNA5, Class M2, SOFR30A + 2.800% 2.818% FRN 10/25/50 (c) | 641,000 | 650,083 | ||||||
Series 2015-DNA3, Class M3, 1 mo. USD LIBOR + 4.700% 4.792% FRN 4/25/28 | 671,227 | 694,153 | ||||||
Series 2016-HQA2, Class M3, 1 mo. USD LIBOR + 5.150% 5.242% FRN 11/25/28 | 902,027 | 944,416 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust | ||||||||
Series 2018-C01, Class 1ED2, 1 mo. USD LIBOR + .850% 0.942% FRN 7/25/30 | 638,669 | 628,942 | ||||||
Series 2018-C02, Class 2EB2, 1 mo. USD LIBOR + .900% 0.992% FRN 8/25/30 | 320,301 | 312,443 | ||||||
Series 2017-C04, Class 2ED2, 1 mo. USD LIBOR + 1.100% 1.192% FRN 11/25/29 | 741,750 | 724,967 | ||||||
Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 1.442% FRN 9/25/29 | 600,994 | 603,215 | ||||||
Series 2017-C06, Class 1M2B, 1 mo. USD LIBOR + 2.650% 2.742% FRN 2/25/30 | 520,000 | 526,582 | ||||||
8,173,206 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $113,682,848) | 115,225,622 | |||||||
U.S. TREASURY OBLIGATIONS — 18.2% | ||||||||
U.S. Treasury Bonds & Notes — 18.2% | ||||||||
U.S. Treasury Bond | ||||||||
1.875% 2/15/41 | 2,900,000 | 2,841,979 | ||||||
2.250% 5/15/41 | 10,890,000 | 11,343,403 | ||||||
2.375% 5/15/51 | 3,555,000 | 3,798,645 | ||||||
U.S. Treasury Inflation Index | ||||||||
0.125% 10/15/25 | 402 | 437 | ||||||
0.125% 1/15/31 | 4,871 | 5,364 | ||||||
U.S. Treasury Note | ||||||||
0.125% 1/31/23 | 7,025,000 | 7,018,432 | ||||||
0.125% 5/15/23 | 16,280,000 | 16,247,984 | ||||||
0.125% 6/30/23 | 16,770,000 | 16,728,722 | ||||||
0.125% 1/15/24 (h) | 15,795,000 | 15,700,930 | ||||||
0.125% 2/15/24 | 2,320,000 | 2,305,275 | ||||||
0.250% 3/15/24 | 7,210,000 | 7,181,818 | ||||||
0.250% 5/15/24 | 4,805,000 | 4,779,386 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
0.250% 6/15/24 | $ | 11,985,000 | $ | 11,912,847 | ||||
0.750% 3/31/26 | 11,620,000 | 11,573,401 | ||||||
0.750% 4/30/26 | 13,715,000 | 13,651,025 | ||||||
0.750% 5/31/26 | 22,830,000 | 22,710,649 | ||||||
147,800,297 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $147,587,934) | 147,800,297 | |||||||
TOTAL BONDS & NOTES (Cost $748,280,073) | 763,927,881 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $49,882) | 941 | |||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (i) | 923,579 | 923,579 | ||||||
TOTAL MUTUAL FUNDS (Cost $923,579) | 923,579 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $749,506,227) | 765,105,085 | |||||||
SHORT-TERM INVESTMENTS — 9.9% | ||||||||
Commercial Paper — 0.1% | ||||||||
BAT International Finance PLC | ||||||||
0.233% 7/15/21 (c) | 900,000 | 899,947 | ||||||
Number of Shares | ||||||||
Mutual Fund — 9.4% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 76,464,126 | 76,464,126 | ||||||
Principal Amount | ||||||||
Sovereign Debt Obligations — 0.3% | ||||||||
Egypt Treasury Bills | ||||||||
13.002% 7/13/21 EGP (d) (j) | $ | 7,775,000 | 494,042 | |||||
Japan Treasury Discount Bill | ||||||||
0.000% 8/16/21 JPY (d) | 222,000,000 | 1,998,547 | ||||||
U.S. Treasury Bill — 0.1% | ||||||||
U.S. Treasury Bill | ||||||||
0.044% 12/30/21 (j) | 900,000 | 899,750 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $80,765,678) | 80,756,412 | |||||||
TOTAL INVESTMENTS — 104.3% (Cost $830,271,905) (k) | 845,861,497 | |||||||
Other Assets/(Liabilities) — (4.3)% | (34,685,367) | |||||||
NET ASSETS — 100.0% | $ | 811,176,130 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Abbreviation Legend
CLO | Collateralized Loan Obligation |
FRN | Floating Rate Note |
REMICS | Real Estate Mortgage Investment Conduits |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Security is perpetual and has no stated maturity date. |
(b) | All or a portion of the security represents unsettled loan commitments at June 30, 2021 where the rate will be determined at time of settlement. |
(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 June 30, 2021, the aggregate market value of these securities amounted to $255,399,403 or 31.49% of net assets. |
(d) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(e) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $1,752,495 or 0.22% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $866,894 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). |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(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 June 30, 2021. |
(h) | A portion of this security is pledged/held as collateral for open derivatives. |
(i) | Represents investment of security lending cash collateral. (Note 2). |
(j) | The rate shown represents yield-to-maturity. |
(k) | 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) | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
USD Put EUR Call | UBS AG | 7/30/21 | 1.23 | 9,800,000 | USD | 9,800,000 | $ | 941 | $ | 49,882 | $ | (48,941 | ) |
OTC Options Written | ||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Exercise Price | No. of Contracts | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
USD Put EUR Call | UBS AG | 9/09/21 | 1.25 | 9,800,000 | USD | 9,800,000 | $ | (2,548 | ) | $ | (30,380 | ) | $ | 27,832 |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of America N.A. | 7/09/21 | INR | 7,516,000 | USD | 103,128 | $ | (2,080) | |||||||||
Bank of America N.A. | 8/20/21 | SEK | 5,965,125 | USD | 718,906 | (21,580) | ||||||||||
Bank of America N.A. | 8/20/21 | EUR | 4,952,098 | USD | 6,050,071 | (172,287) | ||||||||||
Bank of America N.A. | 9/10/21 | USD | 741,048 | MYR | 3,066,901 | 4,408 | ||||||||||
Bank of America N.A. | 10/15/21 | USD | 1,703,656 | CNH | 10,969,500 | 19,826 | ||||||||||
Barclays Bank PLC | 7/09/21 | USD | 2,757,681 | INR | 202,882,605 | 30,031 | ||||||||||
Barclays Bank PLC | 7/09/21 | USD | 487,434 | IDR | 7,156,990,761 | (5,876) | ||||||||||
Barclays Bank PLC | 7/23/21 | USD | 1,167,532 | AUD | 1,515,000 | 31,236 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
Barclays Bank PLC | 8/20/21 | USD | 616,465 | EUR | 515,000 | $ | 5,197 | |||||||||
BNP Paribas SA | 7/09/21 | KRW | 88,011,000 | USD | 78,029 | 119 | ||||||||||
BNP Paribas SA | 7/09/21 | USD | 164,240 | RUB | 11,819,872 | 2,753 | ||||||||||
BNP Paribas SA | 7/16/21 | MXN | 1,859,000 | USD | 93,764 | (668) | ||||||||||
BNP Paribas SA | 7/16/21 | CZK | 3,151,000 | USD | 147,740 | (1,238) | ||||||||||
BNP Paribas SA | 7/16/21 | USD | 70,089 | RSD | 6,889,186 | 580 | ||||||||||
BNP Paribas SA | 7/21/21 | JPY | 12,196,000 | USD | 110,154 | (357) | ||||||||||
BNP Paribas SA | 7/23/21 | USD | 1,963,351 | CAD | 2,428,000 | 4,680 | ||||||||||
BNP Paribas SA | 7/23/21 | USD | 42,543 | AUD | 56,000 | 541 | ||||||||||
BNP Paribas SA | 8/20/21 | GBP | 61,000 | USD | 84,765 | (374) | ||||||||||
BNP Paribas SA | 9/02/21 | USD | 236,795 | BRL | 1,262,467 | (15,144) | ||||||||||
BNP Paribas SA | 9/10/21 | USD | 1,797,338 | CLP | 1,309,685,522 | 17,257 | ||||||||||
BNP Paribas SA | 9/17/21 | USD | 180,839 | CNH | 1,175,000 | 106 | ||||||||||
BNP Paribas SA | 10/08/21 | USD | 1,448,696 | CLP | 1,062,804,888 | 5,445 | ||||||||||
BNP Paribas SA | 10/15/21 | USD | 851,022 | CNH | 5,484,750 | 9,107 | ||||||||||
Citibank N.A. | 7/09/21 | USD | 2,337,357 | RUB | 176,405,421 | (72,754) | ||||||||||
Citibank N.A. | 7/09/21 | RUB | 144,071,000 | USD | 1,884,390 | 83,958 | ||||||||||
Citibank N.A. | 7/09/21 | INR | 10,000,000 | USD | 133,686 | 758 | ||||||||||
Citibank N.A. | 7/15/21 | ILS | 7,440,964 | USD | 2,287,981 | (5,361) | ||||||||||
Citibank N.A. | 7/15/21 | USD | 5,473,550 | ILS | 17,940,672 | (30,002) | ||||||||||
Citibank N.A. | 7/16/21 | USD | 850,173 | RSD | 85,391,389 | (11,387) | ||||||||||
Citibank N.A. | 7/16/21 | TRY | 3,946,000 | USD | 456,000 | (6,212) | ||||||||||
Citibank N.A. | 7/16/21 | USD | 463,717 | TRY | 3,946,000 | 13,929 | ||||||||||
Citibank N.A. | 7/16/21 | USD | 1,040,984 | MXN | 20,589,000 | 9,910 | ||||||||||
Citibank N.A. | 7/21/21 | USD | 8,665,889 | JPY | 942,483,507 | 181,005 | ||||||||||
Citibank N.A. | 7/23/21 | CAD | 995,000 | USD | 822,679 | (20,011) | ||||||||||
Citibank N.A. | 7/23/21 | USD | 2,093,719 | CAD | 2,520,000 | 60,831 | ||||||||||
Citibank N.A. | 7/23/21 | AUD | 6,265,000 | USD | 4,895,548 | (196,607) | ||||||||||
Citibank N.A. | 7/23/21 | USD | 5,320,967 | AUD | 7,021,000 | 55,003 | ||||||||||
Citibank N.A. | 8/20/21 | EUR | 1,214,862 | USD | 1,474,768 | (32,815) | ||||||||||
Citibank N.A. | 8/20/21 | GBP | 1,395,000 | USD | 1,983,703 | (53,770) | ||||||||||
Citibank N.A. | 8/20/21 | USD | 30,821,796 | EUR | 25,342,183 | 742,448 | ||||||||||
Citibank N.A. | 8/20/21 | USD | 1,526,262 | GBP | 1,095,000 | 11,368 | ||||||||||
Citibank N.A. | 9/02/21 | USD | 231,787 | BRL | 1,249,843 | (17,633) | ||||||||||
Citibank N.A. | 10/15/21 | USD | 1,735,086 | ZAR | 23,893,182 | 84,047 | ||||||||||
Credit Suisse International | 7/23/21 | USD | 273,258 | AUD | 360,000 | 3,247 | ||||||||||
Credit Suisse International | 7/23/21 | USD | 303,910 | NOK | 2,590,000 | 3,070 | ||||||||||
Deutsche Bank AG | 7/09/21 | INR | 23,427,450 | USD | 317,043 | (2,074) | ||||||||||
Deutsche Bank AG | 7/21/21 | USD | 2,008,553 | JPY | 222,028,416 | 9,701 | ||||||||||
Deutsche Bank AG | 7/23/21 | USD | 272,984 | NOK | 2,320,000 | 3,506 | ||||||||||
Deutsche Bank AG | 8/20/21 | GBP | 1,075,000 | USD | 1,515,153 | (27,929) | ||||||||||
Deutsche Bank AG | 8/20/21 | EUR | 438,009 | USD | 535,070 | (15,185) | ||||||||||
Deutsche Bank AG | 8/20/21 | USD | 36,312 | GBP | 26,098 | 206 | ||||||||||
Deutsche Bank AG | 9/10/21 | USD | 143,890 | MYR | 598,337 | 175 | ||||||||||
Goldman Sachs International | 7/09/21 | TWD | 11,871,450 | USD | 424,283 | 1,793 | ||||||||||
Goldman Sachs International | 7/09/21 | USD | 389,776 | TWD | 11,016,705 | (5,623) | ||||||||||
Goldman Sachs International | 7/09/21 | KRW | 1,052,553,000 | USD | 944,926 | (10,328) | ||||||||||
Goldman Sachs International | 7/09/21 | IDR | 13,157,796,000 | USD | 915,023 | (8,095) | ||||||||||
Goldman Sachs International | 7/09/21 | USD | 730,554 | IDR | 10,735,486,140 | (9,411) | ||||||||||
Goldman Sachs International | 7/09/21 | INR | 168,215,000 | USD | 2,249,140 | 12,422 | ||||||||||
Goldman Sachs International | 7/23/21 | USD | 614,621 | CAD | 755,000 | 5,561 | ||||||||||
Goldman Sachs International | 8/20/21 | GBP | 45,482 | USD | 64,562 | (1,639) | ||||||||||
Goldman Sachs International | 9/10/21 | USD | 1,233,515 | THB | 38,531,946 | 31,585 | ||||||||||
Goldman Sachs International | 9/17/21 | ZAR | 1,050,000 | USD | 73,245 | (424) | ||||||||||
Goldman Sachs International | 10/08/21 | USD | 428,047 | TWD | 11,871,450 | 1,880 | ||||||||||
Goldman Sachs International | 10/15/21 | USD | 849,809 | CNH | 5,484,750 | 7,894 | ||||||||||
HSBC Bank USA | 7/09/21 | TWD | 14,509,550 | USD | 518,661 | 2,099 | ||||||||||
HSBC Bank USA | 7/09/21 | USD | 1,907,188 | INR | 140,869,691 | 13,269 |
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 | 7/09/21 | USD | 391,936 | TWD | 11,080,020 | $ | (5,736) | |||||||||
HSBC Bank USA | 7/09/21 | USD | 806,676 | IDR | 11,928,317,933 | (15,507) | ||||||||||
HSBC Bank USA | 7/09/21 | IDR | 6,032,072,230 | USD | 414,575 | 1,197 | ||||||||||
HSBC Bank USA | 7/09/21 | INR | 42,815,635 | USD | 572,162 | 3,471 | ||||||||||
HSBC Bank USA | 7/09/21 | USD | 648,904 | RUB | 47,537,389 | (568) | ||||||||||
HSBC Bank USA | 7/16/21 | MXN | 16,786,992 | USD | 825,969 | 14,705 | ||||||||||
HSBC Bank USA | 7/23/21 | CAD | 5,625,000 | USD | 4,491,978 | 45,719 | ||||||||||
HSBC Bank USA | 7/23/21 | USD | 1,517,390 | AUD | 1,960,949 | 46,619 | ||||||||||
HSBC Bank USA | 7/23/21 | USD | 3,521,447 | CAD | 4,301,138 | 51,712 | ||||||||||
HSBC Bank USA | 8/20/21 | EUR | 328,508 | USD | 400,915 | (10,999) | ||||||||||
HSBC Bank USA | 8/20/21 | USD | 24,566 | GBP | 17,463 | 407 | ||||||||||
HSBC Bank USA | 9/10/21 | USD | 309,914 | THB | 9,663,108 | 8,492 | ||||||||||
HSBC Bank USA | 9/17/21 | USD | 3,415,933 | CNH | 21,939,000 | 41,385 | ||||||||||
HSBC Bank USA | 10/08/21 | USD | 523,187 | TWD | 14,509,550 | 2,316 | ||||||||||
HSBC Bank USA | 10/08/21 | IDR | 1,217,797,000 | USD | 82,881 | 456 | ||||||||||
HSBC Bank USA | 10/08/21 | RUB | 47,537,389 | USD | 639,468 | 826 | ||||||||||
HSBC Bank USA | 10/08/21 | USD | 409,593 | IDR | 6,032,072,230 | (3,190) | ||||||||||
HSBC Bank USA | 10/08/21 | USD | 303,166 | INR | 22,815,635 | (496) | ||||||||||
JP Morgan Chase Bank | 7/16/21 | CZK | 2,300,000 | USD | 103,553 | 3,384 | ||||||||||
JP Morgan Chase Bank | 7/16/21 | USD | 128,759 | CZK | 2,694,000 | 3,504 | ||||||||||
JP Morgan Chase Bank | 7/21/21 | USD | 101,457 | JPY | 11,155,000 | 1,032 | ||||||||||
JP Morgan Chase Bank | 7/23/21 | USD | 1,551,305 | CAD | 1,925,000 | (1,596) | ||||||||||
JP Morgan Chase Bank | 8/20/21 | GBP | 1,680,000 | USD | 2,367,070 | (42,849) | ||||||||||
JP Morgan Chase Bank | 8/20/21 | EUR | 292,524 | USD | 357,663 | (10,458) | ||||||||||
JP Morgan Chase Bank | 8/20/21 | USD | 2,445,145 | GBP | 1,731,000 | 50,368 | ||||||||||
JP Morgan Chase Bank | 9/10/21 | USD | 1,680,785 | MYR | 6,956,366 | 9,932 | ||||||||||
JP Morgan Chase Bank | 9/17/21 | USD | 1,713,109 | SGD | 2,274,246 | 21,861 | ||||||||||
Morgan Stanley & Co. LLC | 7/09/21 | KRW | 2,712,716,000 | USD | 2,393,559 | 15,154 | ||||||||||
Morgan Stanley & Co. LLC | 7/09/21 | IDR | 4,225,736,504 | USD | 291,229 | 38 | ||||||||||
Morgan Stanley & Co. LLC | 7/21/21 | USD | 522,384 | JPY | 57,855,247 | 1,531 | ||||||||||
Morgan Stanley & Co. LLC | 7/23/21 | USD | 864,387 | CAD | 1,083,414 | (9,605) | ||||||||||
Morgan Stanley & Co. LLC | 7/23/21 | USD | 41,578 | AUD | 53,848 | 1,190 | ||||||||||
Morgan Stanley & Co. LLC | 8/20/21 | EUR | 1,023,621 | USD | 1,245,102 | (30,137) | ||||||||||
Morgan Stanley & Co. LLC | 8/20/21 | USD | 253,568 | GBP | 182,388 | 1,241 | ||||||||||
Morgan Stanley & Co. LLC | 8/20/21 | USD | 31,902,526 | EUR | 26,252,269 | 742,970 | ||||||||||
Morgan Stanley & Co. LLC | 9/10/21 | USD | 158,773 | THB | 5,076,985 | 407 | ||||||||||
Morgan Stanley & Co. LLC | 10/08/21 | USD | 782,295 | CLP | 565,215,696 | 14,752 | ||||||||||
Morgan Stanley & Co. LLC | 10/08/21 | USD | 287,974 | IDR | 4,225,736,504 | (1,199) | ||||||||||
Royal Bank of Canada | 7/23/21 | USD | 240,255 | AUD | 308,724 | 8,703 | ||||||||||
State Street Bank and Trust Co. | 7/16/21 | MXN | 7,299,664 | USD | 359,087 | 6,472 | ||||||||||
State Street Bank and Trust Co. | 7/21/21 | JPY | 441,598,000 | USD | 4,010,924 | (35,356) | ||||||||||
State Street Bank and Trust Co. | 7/21/21 | USD | 6,077,171 | JPY | 661,244,168 | 124,197 | ||||||||||
State Street Bank and Trust Co. | 7/23/21 | CAD | 64,831 | USD | 53,472 | (1,172) | ||||||||||
State Street Bank and Trust Co. | 7/23/21 | USD | 348,490 | NOK | 2,939,186 | 7,091 | ||||||||||
State Street Bank and Trust Co. | 7/23/21 | USD | 63,019 | CAD | 78,130 | (9) | ||||||||||
State Street Bank and Trust Co. | 8/13/21 | PLN | 457,000 | USD | 122,100 | (2,227) | ||||||||||
State Street Bank and Trust Co. | 8/20/21 | USD | 13,399,462 | GBP | 9,505,018 | 249,604 | ||||||||||
State Street Bank and Trust Co. | 8/20/21 | USD | 2,729,134 | SEK | 22,666,959 | 79,358 | ||||||||||
State Street Bank and Trust Co. | 8/20/21 | USD | 31,039,690 | EUR | 25,530,926 | 736,316 | ||||||||||
State Street Bank and Trust Co. | 8/20/21 | GBP | 21,000 | USD | 29,019 | 34 | ||||||||||
State Street Bank and Trust Co. | 8/20/21 | EUR | 348,098 | USD | 422,657 | (9,490) | ||||||||||
State Street Bank and Trust Co. | 9/17/21 | USD | 112,945 | ZAR | 1,629,000 | (32) | ||||||||||
UBS AG | 7/09/21 | RUB | 141,506,000 | USD | 1,968,368 | (35,065) | ||||||||||
UBS AG | 7/09/21 | USD | 151,769 | TWD | 4,284,275 | (1,998) | ||||||||||
UBS AG | 7/09/21 | USD | 693,040 | RUB | 49,814,318 | 12,460 | ||||||||||
UBS AG | 7/09/21 | USD | 917,561 | KRW | 1,036,532,320 | (2,811) | ||||||||||
UBS AG | 7/16/21 | MXN | 43,898,000 | USD | 2,163,814 | 34,550 | ||||||||||
UBS AG | 7/16/21 | CZK | 57,521,000 | USD | 2,655,203 | 19,174 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
UBS AG | 7/16/21 | USD | 2,815,779 | CZK | 60,278,000 | $ | 13,217 | |||||||||
UBS AG | 7/21/21 | USD | 10,162,480 | JPY | 1,109,091,831 | 177,674 | ||||||||||
UBS AG | 7/23/21 | NOK | 24,680,000 | USD | 2,985,921 | (119,231) | ||||||||||
UBS AG | 7/23/21 | USD | 2,360,863 | NOK | 19,770,000 | 64,490 | ||||||||||
UBS AG | 8/20/21 | EUR | 2,395,989 | USD | 2,884,189 | (40,323) | ||||||||||
UBS AG | 8/20/21 | USD | 2,519,203 | EUR | 2,073,268 | 58,383 | ||||||||||
UBS AG | 9/02/21 | USD | 472,619 | BRL | 2,537,559 | (33,778) | ||||||||||
UBS AG | 9/10/21 | USD | 418,175 | CLP | 305,216,478 | 3,335 | ||||||||||
UBS AG | 9/10/21 | USD | 1,010,058 | THB | 31,677,426 | 21,942 | ||||||||||
UBS AG | 9/17/21 | ZAR | 712,029 | USD | 49,409 | (28) | ||||||||||
UBS AG | 9/17/21 | USD | 1,745,298 | ZAR | 23,894,000 | 88,164 | ||||||||||
UBS AG | 10/08/21 | USD | 1,021,025 | CLP | 734,780,406 | 23,218 | ||||||||||
UBS AG | 10/08/21 | KRW | 1,172,542,320 | USD | 1,037,919 | 2,926 | ||||||||||
UBS AG | 10/08/21 | USD | 56,508 | TWD | 1,565,000 | 326 | ||||||||||
UBS AG | 10/15/21 | CZK | 30,139,000 | USD | 1,405,580 | (5,386) | ||||||||||
UBS AG | 11/12/21 | CZK | 30,139,000 | USD | 1,408,036 | (8,202) | ||||||||||
$ | 3,112,942 |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
Euro-BTP | 9/08/21 | 2 | $ | 357,637 | $ | 1,432 | ||||||||
Euro-Bund | 9/08/21 | 2 | 408,043 | 1,302 | ||||||||||
Korea 10 Year Bond | 9/17/21 | 25 | 2,795,035 | (2,556) | ||||||||||
Korea 3 Year Bond | 9/17/21 | 37 | 3,626,030 | (12,932) | ||||||||||
U.S. Treasury Long Bond | 9/21/21 | 146 | 23,192,538 | 276,962 | ||||||||||
U.S. Treasury Ultra 10 Year | 9/21/21 | 5 | 733,617 | 2,399 | ||||||||||
U.S. Treasury Ultra Bond | 9/21/21 | 308 | 56,827,339 | 2,520,411 | ||||||||||
U.S. Treasury Note 2 Year | 9/30/21 | 91 | 20,077,714 | (28,566) | ||||||||||
$ | 2,758,452 | |||||||||||||
Short | ||||||||||||||
Euro-Buxl 30 Year Bond | 9/08/21 | 7 | $ | (1,682,468) | $ | (4,475) | ||||||||
Euro-OAT | 9/08/21 | 8 | (1,502,383) | (6,271) | ||||||||||
Euro-Schatz | 9/08/21 | 122 | (16,224,367) | 2,025 | ||||||||||
U.S. Treasury Note 10 Year | 9/21/21 | 94 | (12,382,898) | (72,102) | ||||||||||
UK Long Gilt | 9/28/21 | 6 | (1,058,964) | (4,240) | ||||||||||
U.S. Treasury Note 5 Year | 9/30/21 | 203 | (25,148,428) | 92,201 | ||||||||||
$ | 7,138 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
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) | |||||||||||||||||
iTraxx Europe Crossover Series 35 | 5.000% | Quarterly | 6/20/26 | EUR | 815,000 | $ | (119,636 | ) | $ | (113,479 | ) | $ | (6,157 | ) |
Centrally Cleared Credit Default Swap - 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 Series 36 | 1.000% | Quarterly | 6/20/26 | NR* | USD | 14,940,000 | $ | 377,167 | $ | 354,877 | $ | 22,290 |
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 | $ | 2,161 | $ | (7,203 | ) | $ | 9,364 | ||||||||||||||
Republic of Greece | 1.000% | Quarterly | Bank of America N.A. | BB* | 12/20/24 | USD | 151,000 | 2,509 | (4,578 | ) | 7,087 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Bank of America N.A. | BB* | 12/20/24 | USD | 303,000 | 5,034 | (9,187 | ) | 14,221 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Bank of America N.A. | BB* | 12/20/24 | USD | 152,000 | 2,525 | (10,490 | ) | 13,015 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Bank of America N.A. | BB* | 12/20/29 | USD | 225,000 | (1,471 | ) | (11,045 | ) | 9,574 | ||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Bank of America N.A. | BB* | 12/20/29 | USD | 225,000 | (1,471 | ) | (11,239 | ) | 9,768 | ||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Barclays Bank PLC | BB* | 12/20/21 | USD | 160,000 | 679 | (10,870 | ) | 11,549 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Barclays Bank PLC | BB* | 6/20/24 | USD | 135,000 | 2,240 | (8,192 | ) | 10,432 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Barclays Bank PLC | BB* | 6/20/24 | USD | 67,500 | 1,120 | (3,879 | ) | 4,999 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Barclays Bank PLC | BB* | 6/20/24 | USD | 67,500 | 1,120 | (3,879 | ) | 4,999 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Barclays Bank PLC | BB* | 12/20/24 | USD | 450,000 | 7,476 | (2,504 | ) | 9,980 | |||||||||||||||||
Republic of Chile | 1.000% | Quarterly | Barclays Bank PLC | A* | 6/20/26 | USD | 2,755,000 | 56,172 | 65,003 | (8,831 | ) | |||||||||||||||||
Republic of Mexico | 1.000% | Quarterly | Barclays Bank PLC | NR* | 6/20/26 | USD | 2,900,000 | 8,604 | (5,848 | ) | 14,452 | |||||||||||||||||
Republic of Chile | 1.000% | Quarterly | BNP Paribas SA | A* | 6/20/26 | USD | 1,045,000 | 21,307 | 23,571 | (2,264 | ) | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Citibank N.A. | BB* | 6/20/25 | USD | 150,000 | 2,494 | (9,033 | ) | 11,527 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Citibank N.A. | BB* | 6/20/25 | USD | 75,000 | 1,248 | (4,350 | ) | 5,598 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Citibank N.A. | BB* | 12/20/25 | USD | 300,000 | 4,713 | (279 | ) | 4,992 | |||||||||||||||||
Republic of Mexico | 1.000% | Quarterly | Citibank N.A. | NR* | 6/20/26 | USD | 50,000 | 148 | (76 | ) | 224 | |||||||||||||||||
Republic of Indonesia | 1.000% | Quarterly | Goldman Sachs International | Baa2* | 6/20/26 | USD | 2,970,000 | 36,527 | 20,930 | 15,597 | ||||||||||||||||||
Barclays Bank PLC | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | A+* | 6/20/24 | EUR | 100,000 | 2,494 | 1,278 | 1,216 | ||||||||||||||||||
Republic of Indonesia | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | Baa2* | 6/20/26 | USD | 730,000 | 8,978 | 7,539 | 1,439 | ||||||||||||||||||
Republic of Indonesia | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | Baa2* | 6/20/26 | USD | 731,000 | 8,990 | 7,646 | 1,344 |
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) | |||||||||||||||||||
Republic of Mexico | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | NR* | 6/20/26 | USD | 1,010,000 | $ | 2,997 | $ | 1,490 | $ | 1,507 | |||||||||||||||
Republic of Mexico | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | NR* | 6/20/26 | USD | 670,000 | 1,988 | — | 1,988 | ||||||||||||||||||
Republic of Mexico | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | NR* | 6/20/26 | USD | 1,435,000 | 4,258 | 4,297 | (39 | ) | |||||||||||||||||
Republic of Mexico | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | NR* | 6/20/26 | USD | 2,990,000 | 8,872 | 9,697 | (825 | ) | |||||||||||||||||
Republic of Mexico | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | NR* | 6/20/26 | USD | 1,345,000 | 3,991 | 1,991 | 2,000 | ||||||||||||||||||
Republic of Mexico | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | NR* | 6/20/26 | USD | 1,505,000 | 4,466 | 2,179 | 2,287 | ||||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Morgan Stanley & Co. LLC | BB* | 12/20/24 | USD | 134,000 | 2,226 | (993 | ) | 3,219 | |||||||||||||||||
Republic of Greece | 1.000% | Quarterly | Morgan Stanley & Co. LLC | BB* | 6/20/25 | USD | 94,000 | 1,564 | (4,498 | ) | 6,062 | |||||||||||||||||
$ | 203,959 | $ | 37,478 | $ | 166,481 |
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 CNREPOFIX=CFXS-Reuters | Quarterly | Fixed 2.558% | Quarterly | 7/17/25 | CNY | 30,000,000 | $ | (31,109 | ) | $ | — | $ | (31,109 | ) | ||||||||||||
3-Month CNREPOFIX=CFXS-Reuters | Quarterly | Fixed 2.600% | Quarterly | 8/06/25 | CNY | 7,500,000 | (6,160 | ) | — | (6,160 | ) | |||||||||||||||
3-Month CNREPOFIX=CFXS-Reuters | Quarterly | Fixed 2.855% | Quarterly | 11/24/25 | CNY | 26,575,000 | 247 | — | 247 | |||||||||||||||||
3-Month CNREPOFIX=CFXS-Reuters | Quarterly | Fixed 2.605% | Quarterly | 1/15/26 | CNY | 58,525,000 | (58,715 | ) | — | (58,715 | ) | |||||||||||||||
3-Month CNREPOFIX=CFXS-Reuters | Quarterly | Fixed 2.780% | Quarterly | 6/28/26 | CNY | 9,775,000 | 242 | — | 242 | |||||||||||||||||
6-Month PRIBOR | Semi-Annually | Fixed 2.208% | Annually | 2/13/22 | CZK | 78,554,000 | 30,470 | — | 30,470 | |||||||||||||||||
Fixed 2.208% | Annually | 6-Month PRIBOR | Semi-Annually | 2/13/22 | CZK | 24,570,000 | (9,530 | ) | (19,182 | ) | 9,652 | |||||||||||||||
6-Month PRIBOR | Semi-Annually | Fixed 2.245% | Annually | 2/20/22 | CZK | 71,067,000 | 28,958 | — | 28,958 | |||||||||||||||||
6-Month PRIBOR | Semi-Annually | Fixed 2.230% | Annually | 2/21/22 | CZK | 75,130,000 | 30,414 | — | 30,414 | |||||||||||||||||
Fixed 1.600% | Annually | 6-Month PRIBOR | Semi-Annually | 2/13/30 | CZK | 6,496,000 | 6,395 | — | 6,395 | |||||||||||||||||
Fixed 1.690% | Annually | 6-Month PRIBOR | Semi-Annually | 2/20/30 | CZK | 11,856,000 | 7,687 | — | 7,687 |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Fixed 1.693% | Annually | 6-Month PRIBOR | Semi-Annually | 2/21/30 | CZK | 12,384,000 | 7,904 | — | 7,904 | |||||||||||||||||
Fixed 1.244% | Annually | 6-Month PRIBOR | Semi-Annually | 1/29/31 | CZK | 10,600,000 | 26,678 | — | 26,678 | |||||||||||||||||
6-Month EURIBOR | Semi-Annually | Fixed -0.124% | Maturity | 4/29/28 | EUR | 1,235,000 | (431 | ) | — | (431 | ) | |||||||||||||||
6-Month EURIBOR | Semi-Annually | Fixed -0.057% | Maturity | 5/19/28 | EUR | 1,060,000 | 5,209 | — | 5,209 | |||||||||||||||||
6-Month EURIBOR | Semi-Annually | Fixed -0.101% | Maturity | 6/01/28 | EUR | 500,000 | 496 | — | 496 | |||||||||||||||||
6-Month EURIBOR | Semi-Annually | Fixed -0.101% | Maturity | 6/01/28 | EUR | 1,950,000 | 1,969 | — | 1,969 | |||||||||||||||||
6-Month EURIBOR | Semi-Annually | Fixed 0.100% | Maturity | 6/03/28 | EUR | 625,000 | 671 | — | 671 | |||||||||||||||||
6-Month EURIBOR | Semi-Annually | Fixed -0.079% | Maturity | 6/29/28 | EUR | 384,000 | 924 | — | 924 | |||||||||||||||||
28 Day-MXN-TIIE-Banxico | Monthly | Fixed 5.499% | Monthly | 5/04/27 | MXN | 15,000,000 | (44,708 | ) | — | (44,708 | ) | |||||||||||||||
Fixed 2.620% | Annually | 6-Month WIBOR | Semi-Annually | 2/20/23 | PLN | 3,700,000 | (30,608 | ) | — | (30,608 | ) | |||||||||||||||
Fixed 2.440% | Annually | 6-Month WIBOR | Semi-Annually | 3/12/23 | PLN | 230,000 | (1,759 | ) | — | (1,759 | ) | |||||||||||||||
Fixed 2.350% | Annually | 6-Month WIBOR | Semi-Annually | 4/06/23 | PLN | 700,000 | (5,185 | ) | — | (5,185 | ) | |||||||||||||||
Fixed 2.305% | Annually | 6-Month WIBOR | Semi-Annually | 4/20/23 | PLN | 500,000 | (3,647 | ) | — | (3,647 | ) | |||||||||||||||
Fixed 2.430% | Annually | 6-Month WIBOR | Semi-Annually | 5/07/23 | PLN | 1,000,000 | (7,999 | ) | — | (7,999 | ) | |||||||||||||||
Fixed 2.518% | Annually | 6-Month WIBOR | Semi-Annually | 5/18/23 | PLN | 900,000 | (7,650 | ) | — | (7,650 | ) | |||||||||||||||
Fixed 0.940% | Annually | 6-Month WIBOR | Semi-Annually | 6/28/23 | PLN | 9,084,000 | (5,564 | ) | — | (5,564 | ) | |||||||||||||||
Fixed 0.934% | Annually | 6-Month WIBOR | Semi-Annually | 6/28/23 | PLN | 7,644,000 | (4,445 | ) | — | (4,445 | ) | |||||||||||||||
Fixed 0.956% | Annually | 6-Month WIBOR | Semi-Annually | 6/29/23 | PLN | 13,572,000 | (9,383 | ) | — | (9,383 | ) | |||||||||||||||
Fixed 2.395% | Annually | 6-Month WIBOR | Semi-Annually | 8/23/23 | PLN | 1,400,000 | (11,834 | ) | — | (11,834 | ) | |||||||||||||||
Fixed 3.090% | Annually | 6-Month WIBOR | Semi-Annually | 2/20/28 | PLN | 1,070,000 | (26,769 | ) | — | (26,769 | ) | |||||||||||||||
Fixed 2.850% | Annually | 6-Month WIBOR | Semi-Annually | 4/06/28 | PLN | 100,000 | (2,126 | ) | — | (2,126 | ) | |||||||||||||||
Fixed 2.920% | Annually | 6-Month WIBOR | Semi-Annually | 5/07/28 | PLN | 200,000 | (4,524 | ) | — | (4,524 | ) | |||||||||||||||
Fixed 3.030% | Annually | 6-Month WIBOR | Semi-Annually | 5/18/28 | PLN | 300,000 | (7,369 | ) | — | (7,369 | ) | |||||||||||||||
Fixed 1.715% | Annually | 6-Month WIBOR | Semi-Annually | 9/24/29 | PLN | 1,700,000 | (1,404 | ) | — | (1,404 | ) | |||||||||||||||
Fixed 1.780% | Annually | 6-Month WIBOR | Semi-Annually | 10/22/29 | PLN | 823,529 | (1,723 | ) | — | (1,723 | ) | |||||||||||||||
Fixed 1.775% | Annually | 6-Month WIBOR | Semi-Annually | 10/22/29 | PLN | 1,176,471 | (2,341 | ) | — | (2,341 | ) | |||||||||||||||
Fixed 1.820% | Annually | 6-Month WIBOR | Semi-Annually | 11/05/29 | PLN | 317,460 | (916 | ) | — | (916 | ) | |||||||||||||||
Fixed 1.803% | Annually | 6-Month WIBOR | Semi-Annually | 11/05/29 | PLN | 317,460 | (802 | ) | — | (802 | ) |
MassMutual Select T. Rowe Price Bond Asset Fund — Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Fixed 1.860% | Annually | 6-Month WIBOR | Semi-Annually | 11/07/29 | PLN | 312,699 | (1,158 | ) | — | (1,158 | ) | |||||||||||||||
Fixed 1.710% | Annually | 6-Month WIBOR | Semi-Annually | 12/19/29 | PLN | 2,500,000 | (1,305 | ) | — | (1,305 | ) | |||||||||||||||
Fixed 1.098% | Annually | 6-Month WIBOR | Semi-Annually | 11/12/30 | PLN | 1,075,000 | 15,378 | — | 15,378 | |||||||||||||||||
Fixed 1.950% | Annually | 6-Month WIBOR | Semi-Annually | 5/04/31 | PLN | 650,000 | (3,139 | ) | — | (3,139 | ) | |||||||||||||||
$ | (128,661 | ) | $ | (19,182 | ) | $ | (109,479 | ) |
* | Rating represents a weighted average of the ratings of all securities included in the underlying index for the credit default swap. Ratings used in the weighted average are from Moody's Investors Service, Inc., S&P Global Ratings, or Fitch Ratings, whichever is the highest for each constituent. All ratings are as of the report date and do not reflect subsequent changes. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings or Western Asset Management Company's rating category, as applicable. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
Currency Legend
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
CNH | Offshore Chinese Yuan |
CNY | Chinese Yuan Renminbi |
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 |
RSD | Serbian dinar |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | New Turkish Lira |
TWD | Taiwan Dollar |
USD | U.S. Dollar |
ZAR | South African Rand |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 97.1% | ||||||||
CORPORATE DEBT — 33.7% | ||||||||
Argentina — 0.2% | ||||||||
YPF SA | ||||||||
8.750% 4/04/24 (a) | $ | 295,000 | $ | 261,931 | ||||
Bermuda — 0.2% | ||||||||
Ooredoo International Finance Co. | ||||||||
2.625% 4/08/31 (a) | 260,000 | 263,047 | ||||||
Brazil — 0.7% | ||||||||
Banco do Brasil SA 10 year CMT + 6.362% | ||||||||
9.000% VRN (a) (b) | 300,000 | 334,305 | ||||||
Globo Comunicacao e Participacoes SA | ||||||||
4.875% 1/22/30 (a) | 450,000 | 464,630 | ||||||
798,935 | ||||||||
British Virgin Islands — 0.5% | ||||||||
State Grid Overseas Investment Ltd. | ||||||||
3.500% 5/04/27 (a) | 200,000 | 220,102 | ||||||
4.375% 5/22/43 (a) | 300,000 | 364,403 | ||||||
584,505 | ||||||||
Canada — 0.2% | ||||||||
MEGlobal Canada ULC | ||||||||
5.875% 5/18/30 (a) | 200,000 | 246,506 | ||||||
Cayman Islands — 3.9% | ||||||||
AAC Technologies Holdings, Inc. | ||||||||
2.625% 6/02/26 (a) | 230,000 | 232,825 | ||||||
CIFI Holdings Group Co. Ltd. | ||||||||
5.250% 5/13/26 (a) | 200,000 | 205,318 | ||||||
6.550% 3/28/24 (a) | 200,000 | 210,100 | ||||||
Cosan Overseas Ltd. | ||||||||
8.250% (a) (b) | 100,000 | 102,500 | ||||||
Country Garden Holdings Co. Ltd. | ||||||||
4.750% 1/17/23 (a) | 200,000 | 204,603 | ||||||
8.000% 1/27/24 (a) | 200,000 | 210,248 | ||||||
CSN Inova Ventures | ||||||||
6.750% 1/28/28 (a) | 200,000 | 221,200 | ||||||
DP World Crescent Ltd. | ||||||||
3.875% 7/18/29 (a) | 500,000 | 542,500 | ||||||
Grupo Aval Ltd. | ||||||||
4.375% 2/04/30 (a) | 200,000 | 197,400 | ||||||
Health & Happiness H&H International Holdings Ltd. | ||||||||
5.625% 10/24/24 (a) | 200,000 | 206,104 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Huazhu Group Ltd., Convertible, | ||||||||
3.000% 5/01/26 (a) | $ | 69,000 | $ | 99,489 | ||||
KSA Sukuk Ltd. | ||||||||
2.969% 10/29/29 (a) | 310,000 | 329,045 | ||||||
Lamar Funding Ltd. | ||||||||
3.958% 5/07/25 (a) | 500,000 | 501,250 | ||||||
Lima Metro Line 2 Finance Ltd. | ||||||||
5.875% 7/05/34 (a) | 102,674 | 119,616 | ||||||
Sharjah Sukuk Program Ltd. | ||||||||
3.234% 10/23/29 (a) | 450,000 | 465,071 | ||||||
Shimao Group Holdings Ltd. | ||||||||
3.450% 1/11/31 (a) | 325,000 | 303,146 | ||||||
Tingyi Cayman Islands Holding Corp. | ||||||||
1.625% 9/24/25 (a) | 205,000 | 203,666 | ||||||
4,354,081 | ||||||||
Chile — 1.6% | ||||||||
AES Gener SA 5 year USD Swap + 4.644% | ||||||||
7.125% VRN 3/26/79 (a) | 450,000 | 481,730 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
5.150% 1/29/50 (a) | 250,000 | 288,500 | ||||||
Corp. Nacional del Cobre de Chile | ||||||||
3.150% 1/15/51 (a) (c) | 200,000 | 192,837 | ||||||
3.700% 1/30/50 (a) | 330,000 | 348,112 | ||||||
3.750% 1/15/31 (a) | 200,000 | 217,898 | ||||||
Empresa de Transporte de Pasajeros Metro SA | ||||||||
4.700% 5/07/50 (a) | 200,000 | 226,000 | ||||||
1,755,077 | ||||||||
Colombia — 0.7% | ||||||||
Banco Davivienda SA 10 year CMT + 5.097% | ||||||||
6.650% VRN (a) (b) | 200,000 | 209,650 | ||||||
Banco de Bogota SA | ||||||||
6.250% 5/12/26 (a) | 250,000 | 273,753 | ||||||
Bancolombia SA 5 year CMT + 2.944% | ||||||||
4.625% VRN 12/18/29 | 325,000 | 330,284 | ||||||
813,687 | ||||||||
Hong Kong — 0.6% | ||||||||
Lenovo Group Ltd. | ||||||||
3.421% 11/02/30 (a) | 200,000 | 209,352 | ||||||
3.421% 11/02/30 | 200,000 | 209,352 | ||||||
Yanlord Land HK Co. Ltd. | ||||||||
6.750% 4/23/23 (a) | 200,000 | 207,000 | ||||||
625,704 | ||||||||
India — 0.7% | ||||||||
Adani Ports & Special Economic Zone Ltd. | ||||||||
4.200% 8/04/27 (a) | 200,000 | 208,455 | ||||||
4.375% 7/03/29 (a) | 200,000 | 209,291 | ||||||
Bharti Airtel Ltd. | ||||||||
3.250% 6/03/31 (a) | 400,000 | 397,262 | ||||||
815,008 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Indonesia — 2.8% | ||||||||
Bank Negara Indonesia Persero Tbk PT | ||||||||
3.750% 3/30/26 (a) | $ | 413,000 | $ | 420,447 | ||||
Hutama Karya Persero PT | ||||||||
3.750% 5/11/30 (a) | 200,000 | 214,311 | ||||||
Pertamina Persero PT | ||||||||
5.625% 5/20/43 (a) | 1,000,000 | 1,170,295 | ||||||
6.000% 5/03/42 (a) | 200,000 | 245,032 | ||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||||||
3.875% 7/17/29 (a) | 545,000 | 576,338 | ||||||
4.000% 6/30/50 (a) | 200,000 | 198,650 | ||||||
4.875% 7/17/49 (a) | 200,000 | 217,760 | ||||||
3,042,833 | ||||||||
Ireland — 0.7% | ||||||||
GTLK Europe DAC | ||||||||
5.125% 5/31/24 (a) | 300,000 | 318,306 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
5.125% 7/15/29 (a) | 400,000 | 412,672 | ||||||
730,978 | ||||||||
Israel — 1.0% | ||||||||
Israel Chemicals Ltd. | ||||||||
6.375% 5/31/38 (a) | 150,000 | 190,500 | ||||||
6.375% 5/31/38 (a) | 200,000 | 254,000 | ||||||
Israel Electric Corp. Ltd. | ||||||||
4.250% 8/14/28 (a) | 250,000 | 279,880 | ||||||
Leviathan Bond Ltd. | ||||||||
6.125% 6/30/25 (a) | 300,000 | 329,625 | ||||||
1,054,005 | ||||||||
Jamaica — 0.1% | ||||||||
TransJamaican Highway Ltd. | ||||||||
5.750% 10/10/36 (a) | 149,130 | 147,899 | ||||||
Kazakhstan — 0.4% | ||||||||
KazMunayGas National Co. JSC | ||||||||
3.500% 4/14/33 (a) | 400,000 | 414,659 | ||||||
Luxembourg — 0.2% | ||||||||
Millicom International Cellular SA | ||||||||
4.500% 4/27/31 (a) (c) | 200,000 | 207,000 | ||||||
Mauritius — 0.2% | ||||||||
HTA Group Ltd/Mauritius | ||||||||
7.000% 12/18/25 (a) | 200,000 | 212,756 | ||||||
Mexico — 9.8% | ||||||||
Axtel SAB de CV | ||||||||
6.375% 11/14/24 (a) | 200,000 | 207,000 | ||||||
Banco Mercantil De Norte Jr Subordina Regs Var | ||||||||
8.375% (a) | 200,000 | 241,680 | ||||||
Banco Mercantil del Norte SA/Grand Cayman 5 year CMT + 4.967% | ||||||||
6.750% VRN (a) (b) | 200,000 | 215,000 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
5.375% 4/17/25 (a) | 285,000 | 323,372 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
BBVA Bancomer SA 5 year CMT + 2.650% | ||||||||
5.125% VRN 1/18/33 (a) | $ | 600,000 | $ | 625,200 | ||||
Cemex SAB de CV | ||||||||
5.450% 11/19/29 (a) | 200,000 | 219,900 | ||||||
Cometa Energia SA de CV | ||||||||
6.375% 4/24/35 (a) | 365,600 | 419,526 | ||||||
Controladora Mabe SA de CV | ||||||||
5.600% 10/23/28 (a) | 250,000 | 291,649 | ||||||
Industrias Penoles SAB de CV | ||||||||
4.750% 8/06/50 (a) | 200,000 | 216,000 | ||||||
Infraestructura Energetica Nova SAB de CV | ||||||||
4.875% 1/14/48 (a) | 300,000 | 307,125 | ||||||
Mexico City Airport Trust | ||||||||
5.500% 7/31/47 (a) | 2,442,000 | 2,475,700 | ||||||
Petroleos Mexicanos | ||||||||
4.500% 1/23/26 | 500,000 | 506,200 | ||||||
5.625% 1/23/46 | 300,000 | 244,641 | ||||||
6.500% 3/13/27 | 1,200,000 | 1,265,316 | ||||||
6.500% 6/02/41 | 3,635,000 | 3,257,360 | ||||||
10,815,669 | ||||||||
Netherlands — 0.5% | ||||||||
Embraer Netherlands Finance BV | ||||||||
5.050% 6/15/25 | 300,000 | 316,845 | ||||||
Petrobras Global Finance BV | ||||||||
5.500% 6/10/51 | 185,000 | 185,370 | ||||||
502,215 | ||||||||
Oman — 0.2% | ||||||||
Bank Muscat SAOG | ||||||||
4.750% 3/17/26 (a) | 200,000 | 207,500 | ||||||
Panama — 0.5% | ||||||||
Banco General SA 10 year CMT + 3.665% | ||||||||
5.250% VRN (a) (b) (c) | 200,000 | 209,322 | ||||||
Banco Nacional de Panama | ||||||||
2.500% 8/11/30 (a) | 310,000 | 300,244 | ||||||
509,566 | ||||||||
Paraguay — 0.2% | ||||||||
Telfon Celuar Del Paragu SA | ||||||||
5.875% 4/15/27 (a) | 200,000 | 210,000 | ||||||
Peru — 0.2% | ||||||||
Consorcio Transmantaro SA | ||||||||
4.700% 4/16/34 (a) | 200,000 | 219,000 | ||||||
Philippines — 1.0% | ||||||||
Globe Telecom, Inc. | ||||||||
3.000% 7/23/35 (a) | 400,000 | 367,678 | ||||||
International Container Terminal Services, Inc. | ||||||||
4.750% 6/17/30 (a) | 400,000 | 446,663 | ||||||
Manila Water Co., Inc. | ||||||||
4.375% 7/30/30 (a) | 300,000 | 324,021 | ||||||
1,138,362 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Qatar — 0.5% | ||||||||
Qatar Petroleum | ||||||||
2.250% 7/12/31 (d) | $ | 270,000 | $ | 267,130 | ||||
3.125% 7/12/41 (d) | 250,000 | 249,077 | ||||||
516,207 | ||||||||
Saudi Arabia — 1.3% | ||||||||
Saudi Arabian Oil Co. | ||||||||
3.500% 4/16/29 (a) | 550,000 | 595,375 | ||||||
4.250% 4/16/39 (a) | 800,000 | 894,862 | ||||||
1,490,237 | ||||||||
Sri Lanka — 0.2% | ||||||||
SriLankan Airlines Ltd. | ||||||||
7.000% 6/25/24 (a) | 300,000 | 201,000 | ||||||
Thailand — 0.3% | ||||||||
Thaioil Treasury Center Co. Ltd. | ||||||||
3.500% 10/17/49 (a) | 200,000 | 184,470 | ||||||
3.500% 10/17/49 (a) | 200,000 | 184,471 | ||||||
368,941 | ||||||||
Turkey — 1.0% | ||||||||
Akbank T.A.S. | ||||||||
5.125% 3/31/25 (a) | 200,000 | 201,000 | ||||||
Turk Telekomunikasyon AS | ||||||||
4.875% 6/19/24 (a) | 450,000 | 469,125 | ||||||
Turkiye Sise ve Cam Fabrikalari AS | ||||||||
6.950% 3/14/26 (a) | 200,000 | 222,000 | ||||||
Yapi ve Kredi Bankasi AS | ||||||||
5.850% 6/21/24 (a) | 200,000 | 205,400 | ||||||
1,097,525 | ||||||||
Ukrainian Ssr — 0.3% | ||||||||
VF Ukraine PAT via VFU Funding PLC | ||||||||
6.200% 2/11/25 (a) | 275,000 | 286,688 | ||||||
United Arab Emirates — 1.3% | ||||||||
Acwa Power Management And Investments One Ltd. | ||||||||
5.950% 12/15/39 (a) | 299,679 | 355,887 | ||||||
Emirates NBD Bank PJSC 6 year USD Swap + 3.656% | ||||||||
6.125% VRN (a) (b) | 200,000 | 215,500 | ||||||
Oztel Holdings SPC Ltd. | ||||||||
6.625% 4/24/28 (a) | 250,000 | 277,087 | ||||||
Ruwais Power Co. PJSC | ||||||||
6.000% 8/31/36 (a) | 400,000 | 533,080 | ||||||
1,381,554 | ||||||||
United Kingdom — 0.5% | ||||||||
HTA Group Ltd., Convertible, | ||||||||
2.875% 3/18/27 (a) | 200,000 | 214,906 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Ukraine Railways Via Rail Capital Markets PLC | ||||||||
8.250% 7/09/24 (a) | $ | 350,000 | $ | 368,025 | ||||
582,931 | ||||||||
United States — 0.7% | ||||||||
Citgo Holding, Inc. | ||||||||
9.250% 8/01/24 (a) | 165,000 | 168,300 | ||||||
Kosmos Energy Ltd. | ||||||||
7.125% 4/04/26 (a) | 200,000 | 198,220 | ||||||
MercadoLibre, Inc., Convertible, | ||||||||
2.000% 8/15/28 | 65,000 | 229,450 | ||||||
Periama Holdings LLC/DE | ||||||||
5.950% 4/19/26 (a) | 200,000 | 216,580 | ||||||
812,550 | ||||||||
Venezuela — 0.5% | ||||||||
Petroleos de Venezuela SA | ||||||||
5.375% 4/12/27 (a) (e) | 900,000 | 38,250 | ||||||
6.000% 5/16/24 (a) (e) | 2,400,000 | 102,000 | ||||||
6.000% 11/15/26 (a) (e) | 1,750,000 | 74,375 | ||||||
8.500% 10/27/20 (a) (e) | 250,000 | 63,750 | ||||||
9.000% 11/17/21 (a) (e) | 4,990,000 | 214,570 | ||||||
9.750% 5/17/35 (a) (e) | 150,000 | 6,375 | ||||||
12.750% 2/17/22 (a) (e) | 1,500,000 | 64,305 | ||||||
563,625 | ||||||||
TOTAL CORPORATE DEBT (Cost $38,417,209) | 37,232,181 | |||||||
SOVEREIGN DEBT OBLIGATIONS — 63.3% | ||||||||
Albania — 0.4% | ||||||||
Albania Government International Bond | ||||||||
3.500% 6/16/27 EUR (a) (f) | 350,000 | 445,599 | ||||||
Angola — 2.9% | ||||||||
Angolan Government International Bond | ||||||||
8.000% 11/26/29 (a) | 650,000 | 666,172 | ||||||
8.250% 5/09/28 (a) | 975,000 | 1,016,750 | ||||||
9.125% 11/26/49 (a) | 600,000 | 613,548 | ||||||
9.500% 11/12/25 (a) | 800,000 | 875,016 | ||||||
3,171,486 | ||||||||
Argentina — 1.6% | ||||||||
Argentine Republic Government International Bond | ||||||||
0.125% STEP 7/09/30 (e) | 871,224 | 313,205 | ||||||
0.125% STEP 7/09/35 | 1,999,923 | 632,996 | ||||||
0.125% STEP 1/09/38 (e) | 1,727,891 | 653,143 | ||||||
1.000% 7/09/29 | 533,017 | 201,853 | ||||||
1.000% 12/15/35 | 845,000 | 8,458 | ||||||
1,809,655 | ||||||||
Bahamas — 2.3% | ||||||||
Bahamas Government International Bond | ||||||||
6.000% 11/21/28 (a) | 1,600,000 | 1,620,000 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
8.950% 10/15/32 (a) | $ | 800,000 | $ | 906,000 | ||||
2,526,000 | ||||||||
Bahrain — 0.8% | ||||||||
Bahrain Government International Bond | ||||||||
7.000% 10/12/28 (a) | 600,000 | 672,673 | ||||||
7.500% 9/20/47 (a) | 200,000 | 215,240 | ||||||
887,913 | ||||||||
Barbados — 0.3% | ||||||||
Barbados Government International Bond | ||||||||
6.500% 10/01/29 (a) | 300,000 | 303,000 | ||||||
Benin — 0.5% | ||||||||
Benin Government International Bond | ||||||||
4.875% 1/19/32 EUR (a) (f) | 440,000 | 521,667 | ||||||
Bermuda — 0.2% | ||||||||
Bermuda Government International Bond | ||||||||
3.375% 8/20/50 (a) | 251,000 | 253,334 | ||||||
Brazil — 1.9% | ||||||||
Brazilian Government International Bond | ||||||||
3.875% 6/12/30 | 700,000 | 706,601 | ||||||
4.625% 1/13/28 | 650,000 | 702,670 | ||||||
5.000% 1/27/45 | 740,000 | 746,031 | ||||||
2,155,302 | ||||||||
Colombia — 1.2% | ||||||||
Colombia Government International Bond | ||||||||
3.000% 1/30/30 | 500,000 | 490,315 | ||||||
4.125% 5/15/51 (c) | 200,000 | 189,576 | ||||||
4.500% 1/28/26 | 200,000 | 218,302 | ||||||
5.625% 2/26/44 | 400,000 | 453,204 | ||||||
1,351,397 | ||||||||
Costa Rica — 0.6% | ||||||||
Costa Rica Government International Bond | ||||||||
7.000% 4/04/44 (a) | 600,000 | 619,506 | ||||||
Dominican Republic — 2.8% | ||||||||
Dominican Republic International Bond | ||||||||
4.500% 1/30/30 (a) | 205,000 | 209,615 | ||||||
4.875% 9/23/32 (a) | 525,000 | 542,078 | ||||||
4.875% 9/23/32 (a) | 300,000 | 309,759 | ||||||
5.950% 1/25/27 (a) | 350,000 | 393,575 | ||||||
6.500% 2/15/48 (a) | 300,000 | 327,540 | ||||||
6.850% 1/27/45 (a) | 1,150,000 | 1,301,340 | ||||||
3,083,907 | ||||||||
Ecuador — 1.9% | ||||||||
Ecuador Government International Bond | ||||||||
0.000% 7/31/30 (a) | 165,446 | 91,202 | ||||||
0.500% STEP 7/31/30 (a) | 777,100 | 662,485 | ||||||
0.500% STEP 7/31/35 (a) | 1,558,550 | 1,067,607 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
0.500% STEP 7/31/40 (a) | $ | 408,900 | $ | 253,007 | ||||
2,074,301 | ||||||||
Egypt — 3.4% | ||||||||
Egypt Government Bond | ||||||||
14.051% 7/21/22 EGP (f) | 4,100,000 | 262,042 | ||||||
Egypt Government International Bond | ||||||||
5.875% 2/16/31 (a) | 200,000 | 194,200 | ||||||
6.588% 2/21/28 (a) | 500,000 | 528,500 | ||||||
7.600% 3/01/29 (a) | 500,000 | 548,850 | ||||||
7.600% 3/01/29 (a) | 400,000 | 439,080 | ||||||
8.500% 1/31/47 (a) | 1,200,000 | 1,249,500 | ||||||
8.500% 1/31/47 (a) | 550,000 | 572,688 | ||||||
3,794,860 | ||||||||
El Salvador — 1.4% | ||||||||
El Salvador Government International Bond | ||||||||
5.875% 1/30/25 (a) | 800,000 | 738,000 | ||||||
7.650% 6/15/35 (a) | 500,000 | 456,300 | ||||||
7.650% 6/15/35 (a) | 100,000 | 91,260 | ||||||
8.625% 2/28/29 (a) | 265,000 | 258,375 | ||||||
1,543,935 | ||||||||
Ghana — 2.5% | ||||||||
Ghana Government International Bond | ||||||||
6.375% 2/11/27 (a) | 1,075,000 | 1,079,751 | ||||||
7.625% 5/16/29 (a) | 400,000 | 404,245 | ||||||
8.125% 1/18/26 (a) | 600,000 | 646,500 | ||||||
8.125% 1/18/26 (a) | 600,000 | 646,500 | ||||||
2,776,996 | ||||||||
Guatemala — 0.4% | ||||||||
Guatemala Government Bond | ||||||||
4.875% 2/13/28 (a) | 400,000 | 450,000 | ||||||
India — 1.2% | ||||||||
Export Import Bank of India | ||||||||
2.250% 1/13/31 (a) | 205,000 | 189,784 | ||||||
3.250% 1/15/30 (a) | 1,150,000 | 1,168,294 | ||||||
1,358,078 | ||||||||
Indonesia — 3.8% | ||||||||
Perusahaan Penerbit SBSN Indonesia | ||||||||
3.800% 6/23/50 (a) | 200,000 | 209,004 | ||||||
4.450% 2/20/29 (a) | 1,050,000 | 1,206,398 | ||||||
4.550% 3/29/26 (a) | 2,450,000 | 2,782,244 | ||||||
4,197,646 | ||||||||
Ivory Coast — 0.2% | ||||||||
Ivory Coast Government International Bond | ||||||||
5.750% STEP 12/31/32 (a) | 102,659 | 102,717 | ||||||
5.750% STEP 12/31/32 (a) | 176,736 | 176,835 | ||||||
279,552 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Jamaica — 1.3% | ||||||||
Jamaica Government International Bond | ||||||||
8.000% 3/15/39 | $ | 500,000 | $ | 700,000 | ||||
8.000% 3/15/39 | 500,000 | 700,000 | ||||||
1,400,000 | ||||||||
Jordan — 0.9% | ||||||||
Jordan Government International Bond | ||||||||
5.850% 7/07/30 (a) | 1,000,000 | 1,040,000 | ||||||
Kenya — 0.4% | ||||||||
Kenya Government International Bond | ||||||||
8.000% 5/22/32 (a) | 400,000 | 449,980 | ||||||
Lebanon — 0.2% | ||||||||
Lebanon Government International Bond | ||||||||
6.000% 1/27/23 (a) (e) | 1,640,000 | 206,263 | ||||||
Mongolia — 1.0% | ||||||||
Development Bank of Mongolia LLC | ||||||||
7.250% 10/23/23 | 250,000 | 269,332 | ||||||
Mongolia Government International Bond | ||||||||
5.625% 5/01/23 (a) | 400,000 | 422,500 | ||||||
8.750% 3/09/24 (a) | 400,000 | 460,007 | ||||||
1,151,839 | ||||||||
Morocco — 1.1% | ||||||||
Morocco Government International Bond | ||||||||
2.375% 12/15/27 (a) | 525,000 | 515,508 | ||||||
3.000% 12/15/32 (a) | 400,000 | 385,776 | ||||||
4.000% 12/15/50 (a) | 350,000 | 323,750 | ||||||
1,225,034 | ||||||||
Nigeria — 0.5% | ||||||||
Nigeria Government International Bond | ||||||||
7.143% 2/23/30 (a) | 500,000 | 527,202 | ||||||
Oman — 3.9% | ||||||||
Oman Government International Bond | ||||||||
4.750% 6/15/26 (a) | 1,050,000 | 1,088,273 | ||||||
4.750% 6/15/26 (a) | 600,000 | 621,870 | ||||||
5.375% 3/08/27 (a) | 200,000 | 210,300 | ||||||
5.625% 1/17/28 (a) | 400,000 | 420,048 | ||||||
6.500% 3/08/47 (a) | 390,000 | 381,178 | ||||||
6.750% 10/28/27 (a) | 400,000 | 448,000 | ||||||
6.750% 10/28/27 (a) | 400,000 | 448,000 | ||||||
6.750% 1/17/48 (a) | 300,000 | 298,125 | ||||||
7.000% 1/25/51 (a) (c) | 400,000 | 406,520 | ||||||
4,322,314 | ||||||||
Pakistan — 0.5% | ||||||||
Pakistan Government International Bond | ||||||||
7.875% 3/31/36 (a) | 562,000 | 574,645 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Paraguay — 1.4% | ||||||||
Paraguay Government International Bond | ||||||||
2.739% 1/29/33 (a) | $ | 200,000 | $ | 194,500 | ||||
4.950% 4/28/31 (a) | 400,000 | 460,000 | ||||||
5.400% 3/30/50 (a) | 600,000 | 699,450 | ||||||
5.400% 3/30/50 (a) | 200,000 | 233,150 | ||||||
1,587,100 | ||||||||
Philippines — 0.5% | ||||||||
Philippine Government International Bond | ||||||||
2.650% 12/10/45 | 600,000 | 554,507 | ||||||
Qatar — 1.8% | ||||||||
Qatar Government International Bond | ||||||||
4.400% 4/16/50 (a) | 200,000 | 243,429 | ||||||
4.400% 4/16/50 (a) | 200,000 | 243,430 | ||||||
4.817% 3/14/49 (a) | 1,200,000 | 1,543,500 | ||||||
2,030,359 | ||||||||
Romania — 0.9% | ||||||||
Romanian Government International Bond | ||||||||
3.000% 2/14/31 (a) | 174,000 | 180,163 | ||||||
4.000% 2/14/51 (a) | 160,000 | 167,913 | ||||||
4.000% 2/14/51 (a) | 580,000 | 608,687 | ||||||
956,763 | ||||||||
Russia — 2.5% | ||||||||
Russian Foreign Bond | ||||||||
4.375% 3/21/29 (a) | 1,800,000 | 2,027,286 | ||||||
5.250% 6/23/47 (a) | 600,000 | 753,641 | ||||||
2,780,927 | ||||||||
Saudi Arabia — 1.3% | ||||||||
Saudi Government International Bond | ||||||||
2.750% 2/03/32 (a) | 500,000 | 513,062 | ||||||
3.750% 1/21/55 (a) | 400,000 | 422,202 | ||||||
5.000% 4/17/49 (a) | 400,000 | 504,760 | ||||||
1,440,024 | ||||||||
Senegal — 1.3% | ||||||||
Senegal Government International Bond | ||||||||
4.750% 3/13/28 EUR (a) (f) | 300,000 | 370,491 | ||||||
6.250% 5/23/33 (a) | 800,000 | 843,024 | ||||||
6.250% 5/23/33 (a) | 200,000 | 210,756 | ||||||
1,424,271 | ||||||||
Serbia — 0.5% | ||||||||
Serbia International Bond | ||||||||
2.125% 12/01/30 (a) | 400,000 | 379,000 | ||||||
2.125% 12/01/30 (a) | 200,000 | 189,500 | ||||||
568,500 | ||||||||
South Africa — 1.7% | ||||||||
Republic of South Africa Government International Bond | ||||||||
4.850% 9/27/27 | 800,000 | 859,000 | ||||||
5.650% 9/27/47 | 550,000 | 560,175 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
6.250% 3/08/41 | $ | 400,000 | $ | 439,400 | ||||
1,858,575 | ||||||||
Sri Lanka — 2.1% | ||||||||
Sri Lanka Government International Bond | ||||||||
5.750% 1/18/22 (a) | 500,000 | 455,295 | ||||||
5.750% 1/18/22 (a) | 400,000 | 364,236 | ||||||
6.125% 6/03/25 (a) | 600,000 | 396,906 | ||||||
6.125% 6/03/25 (a) | 200,000 | 132,302 | ||||||
6.250% 7/27/21 (a) | 600,000 | 585,000 | ||||||
6.825% 7/18/26 (a) | 400,000 | 254,000 | ||||||
6.825% 7/18/26 (a) | 200,000 | 127,000 | ||||||
2,314,739 | ||||||||
Trinidad And Tobago — 0.5% | ||||||||
Trinidad & Tobago Government International Bond | ||||||||
4.500% 6/26/30 (a) | 510,000 | 531,216 | ||||||
Turkey — 2.2% | ||||||||
Turkey Government International Bond | ||||||||
4.250% 4/14/26 | 600,000 | 576,060 | ||||||
4.875% 10/09/26 | 1,000,000 | 978,076 | ||||||
4.875% 4/16/43 | 650,000 | 517,036 | ||||||
6.000% 1/14/41 | 350,000 | 316,274 | ||||||
2,387,446 | ||||||||
Ukrainian Ssr — 3.3% | ||||||||
Ukraine Government International Bond | ||||||||
1.258% VRN 5/31/40 (a) (g) | 115,000 | 136,275 | ||||||
7.750% 9/01/25 (a) | 800,000 | 875,584 | ||||||
7.750% 9/01/27 (a) | 1,400,000 | 1,540,000 | ||||||
8.994% 2/01/24 (a) | 300,000 | 332,250 | ||||||
9.750% 11/01/28 (a) | 600,000 | 714,730 | ||||||
3,598,839 | ||||||||
United Arab Emirates — 0.7% | ||||||||
Abu Dhabi Government International Bond | ||||||||
3.125% 4/16/30 (a) | 250,000 | 271,658 | ||||||
Finance Department Government of Sharjah | ||||||||
4.000% 7/28/50 (a) | 600,000 | 549,768 | ||||||
821,426 | ||||||||
Uruguay — 0.2% | ||||||||
Uruguay Government International Bond | ||||||||
5.100% 6/18/50 | 150,000 | 196,422 | ||||||
Uzbekistan — 0.9% | ||||||||
National Bank of Uzbekistan | ||||||||
4.850% 10/21/25 (a) | 300,000 | 313,890 | ||||||
Republic of Uzbekistan Bond | ||||||||
5.375% 2/20/29 (a) | 200,000 | 223,500 | ||||||
5.375% 2/20/29 (a) | 400,000 | 447,000 | ||||||
984,390 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Venezuela — 0.2% | ||||||||
Venezuela Government International Bond | ||||||||
7.750% 10/13/19 (a) (e) | $ | 1,000,000 | $ | 102,500 | ||||
9.250% 9/15/27 (e) | 300,000 | 31,200 | ||||||
11.750% 10/21/26 (a) (e) | 300,000 | 31,200 | ||||||
12.750% 8/23/22 (a) (e) | 255,000 | 25,500 | ||||||
190,400 | ||||||||
Vietnam — 0.9% | ||||||||
Vietnam Government International Bond | ||||||||
4.800% 11/19/24 (a) | 850,000 | 946,920 | ||||||
Zambia — 0.3% | ||||||||
Zambia Government International Bond | ||||||||
5.375% 9/20/22 (a) (e) | 600,000 | 376,322 | ||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $68,771,465) | 70,050,557 | |||||||
U.S. TREASURY OBLIGATIONS — 0.1% | ||||||||
United States — 0.1% | ||||||||
U.S. Treasury Note | ||||||||
2.625% 12/15/21 (h) | 110,000 | 111,281 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $112,432) | 111,281 | |||||||
TOTAL BONDS & NOTES (Cost $107,301,106) | 107,394,019 | |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.5% | ||||||||
United States — 0.5% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (i) | 605,040 | 605,040 | ||||||
TOTAL MUTUAL FUNDS (Cost $605,040) | 605,040 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $107,906,146) | 107,999,059 | |||||||
SHORT-TERM INVESTMENTS — 2.3% | ||||||||
Mutual Fund — 1.2% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 1,289,838 | 1,289,838 | ||||||
Repurchase Agreement — 0.8% | Principal Amount | |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000% due 7/01/21 (j) | $ | 893,571 | 893,571 | |||||
Sovereign Debt Obligation — 0.3% | ||||||||
Egypt Treasury Bills | ||||||||
13.560% 8/17/21 EGP (f) (k) | 5,000,000 | 314,270 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,495,866) | $ | 2,497,679 | ||||||
TOTAL INVESTMENTS — 99.9% (Cost $110,402,012) (l) | 110,496,738 | |||||||
Other Assets/(Liabilities) — 0.1% | 107,797 | |||||||
NET ASSETS — 100.0% | $ | 110,604,535 |
Abbreviation Legend
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 June 30, 2021, the aggregate market value of these securities amounted to $87,945,835 or 79.51% 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 June 30, 2021, was $761,705 or 0.69% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $173,335 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) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(e) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At June 30, 2021, these securities amounted to a value of $2,302,958 or 2.08% of net assets. |
(f) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(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 June 30, 2021. |
(h) | A portion of this security is pledged/held as collateral for open derivatives. |
(i) | Represents investment of security lending cash collateral. (Note 2). |
(j) | Maturity value of $893,571. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $911,446. |
(k) | The rate shown represents yield-to-maturity. |
(l) | 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. | 10/15/21 | CNH | 890,500 | USD | 138,302 | $ | (1,610) | |||||||||
BNP Paribas SA | 7/09/21 | PEN | 1,076,000 | USD | 285,360 | (5,763) | ||||||||||
BNP Paribas SA | 7/09/21 | USD | 279,491 | PEN | 1,076,000 | (106) | ||||||||||
BNP Paribas SA | 9/02/21 | BRL | 1,113,391 | USD | 207,297 | 14,893 | ||||||||||
BNP Paribas SA | 9/02/21 | USD | 69,727 | BRL | 371,750 | (4,460) | ||||||||||
BNP Paribas SA | 10/15/21 | CNH | 445,250 | USD | 69,086 | (740) | ||||||||||
Citibank N.A. | 8/20/21 | USD | 628,708 | EUR | 519,754 | 11,798 | ||||||||||
Citibank N.A. | 9/02/21 | USD | 68,253 | BRL | 368,033 | (5,192) | ||||||||||
Goldman Sachs International | 10/15/21 | CNH | 445,250 | USD | 68,987 | (641) | ||||||||||
HSBC Bank USA | 9/17/21 | CNH | 1,782,000 | USD | 277,460 | (3,362) | ||||||||||
Morgan Stanley & Co. LLC | 8/20/21 | USD | 749,442 | EUR | 615,740 | 18,604 | ||||||||||
UBS AG | 9/02/21 | USD | 69,607 | BRL | 373,609 | (4,951) | ||||||||||
$ | 18,470 |
MassMutual Select T. Rowe Price Emerging Markets Bond Fund — Portfolio of Investments (Continued) |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
U.S. Treasury Note 10 Year | 9/21/21 | 14 | $ | 1,844,410 | $ | 10,590 | ||||||||
U.S. Treasury Ultra Bond | 9/21/21 | 7 | 1,304,491 | 44,322 | ||||||||||
$ | 54,912 |
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) | ||||||||||||||||||
Republic of Brazil | 1.000% | Quarterly | JP Morgan Chase Bank N.A. | 6/20/26 | USD | 275,000 | $ | 8,475 | $ | 15,564 | $ | (7,089 | ) |
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 Argentina | 5.000% | Quarterly | Barclays Bank PLC | CCC+* | 12/20/25 | USD | 150,000 | $ | (57,951 | ) | $ | (35,625 | ) | $ | (22,326 | ) | ||||||||||||
Republic of Argentina | 5.000% | Quarterly | Barclays Bank PLC | CCC+* | 12/20/25 | USD | 150,000 | (57,951 | ) | (35,625 | ) | (22,326 | ) | |||||||||||||||
Republic of Argentina | 5.000% | Quarterly | Morgan Stanley & Co. International | CCC+* | 12/20/25 | USD | 125,000 | (48,292 | ) | (30,937 | ) | (17,355 | ) | |||||||||||||||
Republic of Argentina | 5.000% | Quarterly | Morgan Stanley & Co. International | CCC+* | 12/20/25 | USD | 125,000 | (48,292 | ) | (31,875 | ) | (16,417 | ) | |||||||||||||||
$ | (212,486 | ) | $ | (134,062 | ) | $ | (78,424 | ) |
* | 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. |
†† | 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. |
Currency Legend
BRL | Brazilian Real |
CNH | Offshore Chinese Yuan |
EGP | Egyptian Pound |
EUR | Euro |
PEN | Peruvian New Sol |
USD | U.S. Dollar |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.3% | ||||||||
COMMON STOCK — 96.9% | ||||||||
Basic Materials — 2.8% | ||||||||
Chemicals — 1.9% | ||||||||
Eastman Chemical Co. | 18,809 | $ | 2,195,951 | |||||
International Flavors & Fragrances, Inc. | 31,481 | 4,703,261 | ||||||
Linde PLC | 82,408 | 23,824,153 | ||||||
PPG Industries, Inc. | 55,818 | 9,476,222 | ||||||
The Sherwin-Williams Co. | 19,341 | 5,269,455 | ||||||
45,469,042 | ||||||||
Forest Products & Paper — 0.9% | ||||||||
International Paper Co. | 341,910 | 20,962,502 | ||||||
66,431,544 | ||||||||
Communications — 22.1% | ||||||||
Internet — 20.5% | ||||||||
Airbnb, Inc. Class A (a) | 4,176 | 639,513 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 46,497 | 10,544,590 | ||||||
Alphabet, Inc. Class A (a) | 16,738 | 40,870,681 | ||||||
Alphabet, Inc. Class C (a) | 49,117 | 123,102,919 | ||||||
Amazon.com, Inc. (a) | 33,687 | 115,888,670 | ||||||
Booking Holdings, Inc. (a) | 3,462 | 7,575,168 | ||||||
Bright Health Group, Inc. (a) | 54,664 | 938,034 | ||||||
Coupang, Inc. (a) (b) | 76,713 | 3,208,138 | ||||||
DoorDash, Inc., Class A (a) | 27,617 | 4,924,940 | ||||||
Facebook, Inc. Class A (a) | 191,642 | 66,635,840 | ||||||
Farfetch Ltd. Class A (a) | 115,155 | 5,799,206 | ||||||
IAC/InterActiveCorp (a) | 5,814 | 896,344 | ||||||
Kuaishou Technology (a) (c) | 10,900 | 273,472 | ||||||
Marqeta, Inc. Class A (a) | 20,063 | 563,168 | ||||||
Match Group, Inc. (a) | 49,518 | 7,984,778 | ||||||
Netflix, Inc. (a) | 37,785 | 19,958,415 | ||||||
Pinterest, Inc. Class A (a) | 86,700 | 6,844,965 | ||||||
Sea Ltd. ADR (a) | 80,724 | 22,166,810 | ||||||
Shopify, Inc. Class A (a) | 3,458 | 5,052,069 | ||||||
Snap, Inc. Class A (a) | 333,944 | 22,754,944 | ||||||
Spotify Technology SA (a) | 20,708 | 5,706,918 | ||||||
Tencent Holdings Ltd. | 131,700 | 9,906,360 | ||||||
VeriSign, Inc. (a) | 5,018 | 1,142,548 | ||||||
Vimeo, Inc. (a) | 25,837 | 1,266,013 | ||||||
484,644,503 | ||||||||
Media — 1.0% | ||||||||
Charter Communications, Inc. Class A (a) | 3,756 | 2,709,766 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Comcast Corp. Class A | 96,326 | $ | 5,492,509 | |||||
The Walt Disney Co. (a) | 87,998 | 15,467,408 | ||||||
23,669,683 | ||||||||
Telecommunications — 0.6% | ||||||||
T-Mobile US, Inc. (a) | 104,747 | 15,170,508 | ||||||
523,484,694 | ||||||||
Consumer, Cyclical — 7.2% | ||||||||
Airlines — 0.3% | ||||||||
Delta Air Lines, Inc. (a) | 14,964 | 647,343 | ||||||
Southwest Airlines Co. (a) | 134,359 | 7,133,119 | ||||||
7,780,462 | ||||||||
Apparel — 0.3% | ||||||||
NIKE, Inc. Class B | 48,434 | 7,482,569 | ||||||
Auto Manufacturers — 0.9% | ||||||||
Cummins, Inc. | 17,503 | 4,267,406 | ||||||
Ferrari NV | 38,476 | 7,927,980 | ||||||
General Motors Co. (a) | 135,379 | 8,010,375 | ||||||
PACCAR, Inc. | 4,223 | 376,903 | ||||||
20,582,664 | ||||||||
Auto Parts & Equipment — 0.1% | ||||||||
Aptiv PLC (a) | 17,195 | 2,705,289 | ||||||
Distribution & Wholesale — 0.0% | ||||||||
Copart, Inc. (a) | 4,600 | 606,418 | ||||||
Entertainment — 0.2% | ||||||||
DraftKings, Inc. Class A (a) (b) | 63,246 | 3,299,544 | ||||||
Vail Resorts, Inc. (a) | 5,119 | 1,620,266 | ||||||
4,919,810 | ||||||||
Lodging — 1.3% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 68,420 | 8,252,820 | ||||||
Las Vegas Sands Corp. (a) | 88,909 | 4,684,615 | ||||||
Marriott International, Inc. Class A (a) | 50,395 | 6,879,925 | ||||||
MGM Resorts International | 63,515 | 2,708,915 | ||||||
Wynn Resorts Ltd. (a) | 65,596 | 8,022,391 | ||||||
30,548,666 | ||||||||
Retail — 4.1% | ||||||||
AutoZone, Inc. (a) | 2,734 | 4,079,729 | ||||||
Carvana Co. (a) (b) | 14,028 | 4,233,931 | ||||||
Chipotle Mexican Grill, Inc. (a) | 4,280 | 6,635,455 | ||||||
Dollar Tree, Inc. (a) | 20,080 | 1,997,960 | ||||||
The Home Depot, Inc. | 25,904 | 8,260,527 | ||||||
Lowe's Cos., Inc. | 6,378 | 1,237,141 | ||||||
Lululemon Athletica, Inc. (a) | 22,809 | 8,324,601 | ||||||
McDonald's Corp. | 16,479 | 3,806,484 | ||||||
Ross Stores, Inc. | 127,727 | 15,838,148 | ||||||
Starbucks Corp. | 97,926 | 10,949,106 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
The TJX Cos., Inc. | 129,197 | $ | 8,710,462 | |||||
Walmart, Inc. | 43,375 | 6,116,742 | ||||||
Yum! Brands, Inc. | 135,988 | 15,642,700 | ||||||
95,832,986 | ||||||||
170,458,864 | ||||||||
Consumer, Non-cyclical — 14.6% | ||||||||
Beverages — 0.1% | ||||||||
The Coca-Cola Co. | 29,810 | 1,613,019 | ||||||
PepsiCo, Inc. | 14,448 | 2,140,760 | ||||||
3,753,779 | ||||||||
Biotechnology — 0.6% | ||||||||
Argenx SE ADR (a) | 7,004 | 2,108,694 | ||||||
Incyte Corp. (a) | 37,283 | 3,136,619 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 41,399 | 8,347,280 | ||||||
13,592,593 | ||||||||
Commercial Services — 2.7% | ||||||||
Affirm Holdings, Inc. (a) (b) | 6,059 | 408,074 | ||||||
Afterpay Ltd. (a) | 58,832 | 5,206,404 | ||||||
Ant International Co. Ltd., Class C (Acquired 6/07/18, Cost $ 1,171,890) (a) (d) (e) (f) | 208,893 | 1,472,696 | ||||||
Avalara, Inc. (a) | 23,763 | 3,844,853 | ||||||
Cintas Corp. | 19,342 | 7,388,644 | ||||||
Equifax, Inc. | 5,260 | 1,259,823 | ||||||
Global Payments, Inc. | 48,819 | 9,155,515 | ||||||
MarketAxess Holdings, Inc. | 4,276 | 1,982,311 | ||||||
PayPal Holdings, Inc. (a) | 45,942 | 13,391,174 | ||||||
S&P Global, Inc. | 18,134 | 7,443,100 | ||||||
StoneCo Ltd. Class A (a) | 42,084 | 2,822,153 | ||||||
TransUnion | 56,033 | 6,152,984 | ||||||
United Rentals, Inc. (a) | 9,750 | 3,110,347 | ||||||
63,638,078 | ||||||||
Food — 0.1% | ||||||||
Mondelez International, Inc. Class A | 21,330 | 1,331,845 | ||||||
Health Care – Products — 4.9% | ||||||||
Abbott Laboratories | 65,258 | 7,565,360 | ||||||
Align Technology, Inc. (a) | 2,563 | 1,565,993 | ||||||
Avantor, Inc. (a) | 117,922 | 4,187,410 | ||||||
Boston Scientific Corp. (a) | 25,440 | 1,087,815 | ||||||
Danaher Corp. | 92,817 | 24,908,370 | ||||||
Intuitive Surgical, Inc. (a) | 16,638 | 15,300,970 | ||||||
Medtronic PLC | 130,864 | 16,244,148 | ||||||
Stryker Corp. | 77,457 | 20,117,907 | ||||||
Teleflex, Inc. | 8,410 | 3,379,054 | ||||||
Thermo Fisher Scientific, Inc. | 41,996 | 21,185,722 | ||||||
Zimmer Biomet Holdings, Inc. | 7,149 | 1,149,702 | ||||||
116,692,451 | ||||||||
Health Care – Services — 2.8% | ||||||||
Anthem, Inc. | 46,909 | 17,909,856 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Centene Corp. (a) | 71,724 | $ | 5,230,832 | |||||
HCA Healthcare, Inc. | 102,734 | 21,239,227 | ||||||
Humana, Inc. | 9,106 | 4,031,408 | ||||||
UnitedHealth Group, Inc. | 47,711 | 19,105,393 | ||||||
67,516,716 | ||||||||
Household Products & Wares — 0.2% | ||||||||
Avery Dennison Corp. | 21,334 | 4,485,260 | ||||||
Kimberly-Clark Corp. | 3,100 | 414,718 | ||||||
4,899,978 | ||||||||
Pharmaceuticals — 3.2% | ||||||||
AbbVie, Inc. | 67,802 | 7,637,217 | ||||||
AstraZeneca PLC Sponsored ADR (b) | 229,705 | 13,759,329 | ||||||
Bausch Health Cos., Inc. (a) | 120,436 | 3,531,184 | ||||||
Becton Dickinson and Co. | 4,289 | 1,043,042 | ||||||
Cigna Corp. | 31,004 | 7,350,118 | ||||||
Elanco Animal Health, Inc. (a) | 251,604 | 8,728,143 | ||||||
Eli Lilly & Co. | 132,098 | 30,319,133 | ||||||
Johnson & Johnson | 14,308 | 2,357,100 | ||||||
Zoetis, Inc. | 6,124 | 1,141,269 | ||||||
75,866,535 | ||||||||
347,291,975 | ||||||||
Energy — 0.3% | ||||||||
Oil & Gas — 0.3% | ||||||||
Devon Energy Corp. | 280,119 | 8,176,674 | ||||||
Financial — 16.2% | ||||||||
Banks — 6.0% | ||||||||
Bank of America Corp. | 909,089 | 37,481,739 | ||||||
Citigroup, Inc. | 40,203 | 2,844,362 | ||||||
The Goldman Sachs Group, Inc. | 36,811 | 13,970,879 | ||||||
JP Morgan Chase & Co. | 69,262 | 10,773,012 | ||||||
Morgan Stanley | 471,059 | 43,191,400 | ||||||
The PNC Financial Services Group, Inc. | 10,747 | 2,050,098 | ||||||
Wells Fargo & Co. | 689,828 | 31,242,310 | ||||||
141,553,800 | ||||||||
Diversified Financial Services — 4.5% | ||||||||
Apollo Global Management, Inc. (b) | 65,505 | 4,074,411 | ||||||
The Charles Schwab Corp. | 327,983 | 23,880,442 | ||||||
Intercontinental Exchange, Inc. | 6,973 | 827,695 | ||||||
Maplebear, Inc. (Non-Voting) (Acquired 8/07/20, Cost $14,781) (a) (d) (e) (f) | 319 | 39,875 | ||||||
Maplebear, Inc. (Voting) (Acquired 8/07/20, Cost $282,637) (a) (d) (e) (f) | 6,100 | 762,500 | ||||||
Mastercard, Inc. Class A | 71,263 | 26,017,409 | ||||||
SoFi Technologies, Inc., Lockup Shares (Acquired 12/30/20, Cost $1,892,577) (a) (e) (f) | 185,524 | 3,378,670 | ||||||
Tradeweb Markets, Inc. Class A | 25,969 | 2,195,938 | ||||||
Visa, Inc. Class A | 187,568 | 43,857,150 | ||||||
XP, Inc. Class A (a) | 65,436 | 2,849,738 | ||||||
107,883,828 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Insurance — 3.4% | ||||||||
American International Group, Inc. | 493,306 | $ | 23,481,366 | |||||
Chubb Ltd. | 51,068 | 8,116,748 | ||||||
Equitable Holdings, Inc. | 387,310 | 11,793,589 | ||||||
The Hartford Financial Services Group, Inc. | 150,098 | 9,301,573 | ||||||
Loews Corp. | 21,640 | 1,182,626 | ||||||
Marsh & McLennan Cos., Inc. | 48,780 | 6,862,370 | ||||||
MetLife, Inc. | 241,190 | 14,435,221 | ||||||
RenaissanceRe Holdings Ltd. | 5,700 | 848,274 | ||||||
The Travelers Cos., Inc. | 31,529 | 4,720,207 | ||||||
80,741,974 | ||||||||
Real Estate Investment Trusts (REITS) — 2.3% | ||||||||
Alexandria Real Estate Equities, Inc. | 12,664 | 2,304,088 | ||||||
American Tower Corp. | 4,537 | 1,225,625 | ||||||
Camden Property Trust | 49,167 | 6,522,986 | ||||||
Equinix, Inc. | 9,319 | 7,479,429 | ||||||
Equity LifeStyle Properties, Inc. | 29,605 | 2,199,948 | ||||||
Equity Residential | 14,372 | 1,106,644 | ||||||
Prologis, Inc. | 182,074 | 21,763,305 | ||||||
Welltower, Inc. | 126,739 | 10,532,011 | ||||||
Weyerhaeuser Co. | 18,361 | 631,986 | ||||||
53,766,022 | ||||||||
383,945,624 | ||||||||
Industrial — 10.1% | ||||||||
Aerospace & Defense — 0.7% | ||||||||
Airbus SE (a) | 58,824 | 7,575,384 | ||||||
Howmet Aerospace, Inc. (a) | 39,708 | 1,368,735 | ||||||
Teledyne Technologies, Inc. (a) | 20,799 | 8,711,245 | ||||||
17,655,364 | ||||||||
Building Materials — 0.1% | ||||||||
Martin Marietta Materials, Inc. | 6,218 | 2,187,554 | ||||||
Vulcan Materials Co. | 5,410 | 941,719 | ||||||
3,129,273 | ||||||||
Electrical Components & Equipment — 0.3% | ||||||||
Generac Holdings, Inc. (a) | 10,967 | 4,552,950 | ||||||
Schneider Electric SE | 18,188 | 2,863,056 | ||||||
7,416,006 | ||||||||
Electronics — 1.6% | ||||||||
Agilent Technologies, Inc. | 80,827 | 11,947,039 | ||||||
Amphenol Corp. Class A | 18,782 | 1,284,877 | ||||||
Fortive Corp. | 42,721 | 2,979,362 | ||||||
Honeywell International, Inc. | 66,968 | 14,689,431 | ||||||
Hubbell, Inc. | 38,349 | 7,165,127 | ||||||
TE Connectivity Ltd. | 4,811 | 650,495 | ||||||
38,716,331 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Engineering & Construction — 0.5% | ||||||||
Jacobs Engineering Group, Inc. | 86,350 | $ | 11,520,817 | |||||
Environmental Controls — 0.1% | ||||||||
Republic Services, Inc. | 578 | 63,586 | ||||||
Waste Connections, Inc. | 10,368 | 1,238,250 | ||||||
1,301,836 | ||||||||
Machinery – Construction & Mining — 0.7% | ||||||||
Caterpillar, Inc. | 74,787 | 16,275,895 | ||||||
Machinery – Diversified — 0.2% | ||||||||
Deere & Co. | 11,874 | 4,188,079 | ||||||
Miscellaneous - Manufacturing — 2.0% | ||||||||
General Electric Co. | 3,088,489 | 41,571,062 | ||||||
Siemens AG Registered | 32,388 | 5,131,876 | ||||||
46,702,938 | ||||||||
Packaging & Containers — 1.4% | ||||||||
Packaging Corp. of America | 84,585 | 11,454,501 | ||||||
WestRock Co. | 423,598 | 22,543,885 | ||||||
33,998,386 | ||||||||
Transportation — 2.5% | ||||||||
CSX Corp. | 126,570 | 4,060,366 | ||||||
Didi Global, Inc. ADR | 126,364 | 1,786,787 | ||||||
FedEx Corp. | 65,383 | 19,505,710 | ||||||
Norfolk Southern Corp. | 60,589 | 16,080,927 | ||||||
Union Pacific Corp. | 19,438 | 4,274,999 | ||||||
United Parcel Service, Inc. Class B | 61,427 | 12,774,973 | ||||||
58,483,762 | ||||||||
239,388,687 | ||||||||
Technology — 21.3% | ||||||||
Computers — 2.4% | ||||||||
Accenture PLC Class A | 3,578 | 1,054,759 | ||||||
Apple, Inc. | 401,278 | 54,959,035 | ||||||
56,013,794 | ||||||||
Office & Business Equipment — 0.1% | ||||||||
Zebra Technologies Corp. Class A (a) | 5,400 | 2,859,246 | ||||||
Semiconductors — 5.8% | ||||||||
Advanced Micro Devices, Inc. (a) | 99,820 | 9,376,093 | ||||||
Analog Devices, Inc. | 69,591 | 11,980,786 | ||||||
Applied Materials, Inc. | 197,827 | 28,170,565 | ||||||
ASML Holding NV | 32,521 | 22,466,808 | ||||||
Broadcom, Inc. | 26,346 | 12,562,827 | ||||||
KLA Corp. | 22,917 | 7,429,920 | ||||||
Microchip Technology, Inc. | 27,111 | 4,059,601 | ||||||
NVIDIA Corp. | 9,231 | 7,385,723 | ||||||
NXP Semiconductor NV | 55,526 | 11,422,809 | ||||||
QUALCOMM, Inc. | 70,702 | 10,105,437 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 64,364 | $ | 7,733,978 | |||||
Texas Instruments, Inc. | 21,141 | 4,065,414 | ||||||
136,759,961 | ||||||||
Software — 13.0% | ||||||||
Black Knight, Inc. (a) | 65,525 | 5,109,640 | ||||||
Broadridge Financial Solutions, Inc. | 6,586 | 1,063,837 | ||||||
Celonis SE (Acquired 6/17/21, Cost $435,243) (a) (d) (e) (f) | 1,177 | 435,243 | ||||||
Citrix Systems, Inc. | 22,597 | 2,649,950 | ||||||
Clarivate PLC (a) | 79,680 | 2,193,590 | ||||||
Coupa Software, Inc. (a) | 4,763 | 1,248,430 | ||||||
Datadog, Inc. Class A (a) | 39,252 | 4,085,348 | ||||||
Epic Games, Inc. (Acquired 6/18/20-3/29/21, Cost $2,419,150) (a) (d) (e) (f) | 3,660 | 3,239,100 | ||||||
Fidelity National Information Services, Inc. | 72,118 | 10,216,957 | ||||||
Fiserv, Inc. (a) | 173,766 | 18,573,848 | ||||||
Intuit, Inc. | 46,967 | 23,021,814 | ||||||
Microsoft Corp. | 561,447 | 152,095,992 | ||||||
MongoDB, Inc. (a) | 13,375 | 4,835,330 | ||||||
MSCI, Inc. | 5,106 | 2,721,907 | ||||||
Paycom Software, Inc. (a) | 5,835 | 2,120,847 | ||||||
Playtika Holding Corp. (a) | 19,047 | 454,080 | ||||||
ROBLOX Corp. Class A (a) | 11,524 | 1,036,930 | ||||||
Roper Technologies, Inc. | 28,984 | 13,628,277 | ||||||
salesforce.com, Inc. (a) | 77,817 | 19,008,359 | ||||||
ServiceNow, Inc. (a) | 22,839 | 12,551,172 | ||||||
Snowflake, Inc. Class A (a) | 2,688 | 649,958 | ||||||
Splunk, Inc. (a) | 54,181 | 7,833,489 | ||||||
Stripe, Inc., Class B (Acquired 12/17/19, Cost $295,694) (a) (d) (e) (f) | 18,846 | 756,196 | ||||||
UiPath, Inc. Class A (a) | 2,185 | 148,427 | ||||||
UiPath, Inc., Class A Lockup Shares (Acquired 4/26/19-2/02/21, Cost $1,913,927) (a) (e) (f) | 85,591 | 5,523,487 | ||||||
Workday, Inc. Class A (a) | 12,379 | 2,955,362 | ||||||
Zoom Video Communications, Inc. Class A (a) | 26,560 | 10,279,517 | ||||||
308,437,087 | ||||||||
504,070,088 | ||||||||
Utilities — 2.3% | ||||||||
Electric — 2.3% | ||||||||
AES Corp. | 102,329 | 2,667,717 | ||||||
Ameren Corp. | 9,223 | 738,209 | ||||||
CMS Energy Corp. | 8,479 | 500,939 | ||||||
Dominion Energy, Inc. | 41,110 | 3,024,463 | ||||||
Evergy, Inc. | 39,089 | 2,362,148 | ||||||
NextEra Energy, Inc. | 153,226 | 11,228,401 | ||||||
Public Service Enterprise Group, Inc. | 49,863 | 2,978,816 | ||||||
Sempra Energy | 151,852 | 20,117,353 | ||||||
The Southern Co. | 126,965 | 7,682,652 | ||||||
WEC Energy Group, Inc. | 11,356 | 1,010,116 | ||||||
Xcel Energy, Inc. | 17,196 | 1,132,873 | ||||||
53,443,687 | ||||||||
TOTAL COMMON STOCK (Cost $1,661,631,910) | 2,296,691,837 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
PREFERRED STOCK — 2.4% | ||||||||
Consumer, Cyclical — 1.9% | ||||||||
Auto Manufacturers — 1.8% | ||||||||
Aurora Innovation, Inc., Series B (Acquired 3/01/19, Cost $ 439,191) | ||||||||
(a) (d) (e) (f) | 47,530 | $ | 934,286 | |||||
Nuro, Inc., Series C (Acquired 10/30/20-3/21/21, Cost $1,236,023) | ||||||||
(a) (d) (e) (f) | 94,681 | 1,236,023 | ||||||
Rivian Automotive, Inc., Series D (Acquired 12/23/19, Cost $2,157,599) | ||||||||
(a) (d) (e) (f) | 200,819 | 14,069,379 | ||||||
Rivian Automotive, Inc., Series E (Acquired 7/10/20, Cost $4,935,331) | ||||||||
(a) (d) (e) (f) | 318,614 | 22,322,097 | ||||||
Rivian Automotive, Inc., Series F (Acquired 1/19/21, Cost $2,283,410) | ||||||||
(a) (d) (e) (f) | 61,965 | 4,341,268 | ||||||
Waymo LLC, Series A-2 (Acquired 5/08/20, Cost $748,934) | ||||||||
(a) (d) (e) (f) | 8,722 | 799,999 | ||||||
43,703,052 | ||||||||
Auto Parts & Equipment — 0.1% | ||||||||
GM Cruise Holdings, LLC, Class F (Acquired 5/07/19, Cost $ 921,625) | ||||||||
(a) (d) (e) (f) | 50,500 | 1,330,675 | ||||||
GM Cruise Holdings, LLC, Class G (Acquired 1/21/21, Cost $979,851) | ||||||||
(a) (d) (e) (f) | 37,186 | 979,851 | ||||||
2,310,526 | ||||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Commercial Services — 0.1% | ||||||||
Redwood Materials, Inc., Series C (Acquired 5/28/21, Cost $1,059,705) | ||||||||
(a) (d) (e) (f) | 22,355 | 1,059,705 | ||||||
Financial — 0.1% | ||||||||
Investment Companies — 0.1% | ||||||||
Maplebear, Inc., Series A (Acquired 11/18/20, Cost $53,081) | ||||||||
(a) (d) (e) (f) | 870 | 108,750 | ||||||
Maplebear, Inc., Series G (Acquired 7/02/20, Cost $599,129) | ||||||||
(a) (d) (e) (f) | 12,458 | 1,557,250 | ||||||
Maplebear, Inc., Series I (Acquired 2/26/21, Cost $240,750) | ||||||||
(a) (d) (e) (f) | 1,926 | 240,750 | ||||||
1,906,750 | ||||||||
Industrial — 0.0% | ||||||||
Electrical Components & Equipment — 0.0% | ||||||||
Sila Nanotechnologies, Inc., Series F (Acquired 1/07/21, Cost $760,988) (a) (d) (e) (f) | 18,438 | 760,988 | ||||||
Technology — 0.1% | ||||||||
Software — 0.1% | ||||||||
Celonis SE, Series D (Acquired 6/17/21, Cost $1,135,255) (a) (d) (e) (f) | 3,070 | 1,135,255 |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Rappi, Inc., Series E (Acquired 9/08/20-9/24/20, Cost $1,092,516) (a) (d) (e) (f) | 18,286 | $ | 1,092,516 | |||||
2,227,771 | ||||||||
Utilities — 0.2% | ||||||||
Electric — 0.2% | ||||||||
AES Corp. Convertible 6.875% (b) | 24,130 | 2,595,664 | ||||||
The Southern Co. Convertible 6.750% | 25,817 | 1,307,115 | ||||||
3,902,779 | ||||||||
TOTAL PREFERRED STOCK (Cost $22,376,171) | 55,871,571 | |||||||
TOTAL EQUITIES (Cost $1,684,008,081) | 2,352,563,408 | |||||||
MUTUAL FUNDS — 0.5% | ||||||||
Diversified Financial Services — 0.5% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (g) | 12,552,556 | 12,552,556 | ||||||
TOTAL MUTUAL FUNDS (Cost $12,552,556) | 12,552,556 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,696,560,637) | 2,365,115,964 | |||||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||||
Mutual Fund — 0.7% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 16,052,489 | 16,052,489 | ||||||
Principal Amount | ||||||||
Repurchase Agreement — 0.0% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (h) | $ | 1,000,000 | 1,000,000 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,052,489) | 17,052,489 | |||||||
TOTAL INVESTMENTS — 100.5% (Cost $1,713,613,126) (i) | 2,382,168,453 | |||||||
Other Assets/(Liabilities) — (0.5)% | (12,124,404) | |||||||
NET ASSETS — 100.0% | $ | 2,370,044,049 |
Abbreviation Legend
ADR | American Depositary Receipt |
MassMutual Select T. Rowe Price Large Cap Blend Fund — Portfolio of Investments (Continued) |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $28,544,432 or 1.20% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $16,619,906 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) | 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 June 30, 2021, the aggregate market value of these securities amounted to $273,472 or 0.01% of net assets. |
(d) | Investment was valued using significant unobservable inputs. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $67,576,559 or 2.85% of net assets. |
(f) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $67,576,559 or 2.85% 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 $1,000,000. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $1,020,092. |
(i) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 99.6% | ||||||||
CORPORATE DEBT — 3.9% | ||||||||
Auto Manufacturers — 0.5% | ||||||||
Hyundai Capital America | ||||||||
0.875% 6/14/24 (a) | $ | 535,000 | $ | 532,630 | ||||
1.150% 11/10/22 (a) | 160,000 | 161,058 | ||||||
1.250% 9/18/23 (a) | 285,000 | 287,565 | ||||||
Nissan Motor Co. Ltd. | ||||||||
3.043% 9/15/23 (a) | 200,000 | 208,568 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
0.875% 11/22/23 (a) | 260,000 | 260,654 | ||||||
1,450,475 | ||||||||
Banks — 0.5% | ||||||||
Bank of America Corp. SOFR + .410% | ||||||||
0.523% VRN 6/14/24 | 750,000 | 749,797 | ||||||
The Goldman Sachs Group, Inc. SOFR + .505% | ||||||||
0.657% VRN 9/10/24 | 750,000 | 748,703 | ||||||
1,498,500 | ||||||||
Building Materials — 0.1% | ||||||||
Martin Marietta Materials, Inc. | ||||||||
0.650% 7/15/23 (b) | 170,000 | 170,374 | ||||||
Commercial Services — 0.2% | ||||||||
HPHT Finance 17 Ltd. | ||||||||
2.750% 9/11/22 (a) | 450,000 | 459,952 | ||||||
Computers — 0.2% | ||||||||
HCL America, Inc. | ||||||||
1.375% 3/10/26 (a) | 600,000 | 596,461 | ||||||
Diversified Financial Services — 0.5% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
4.450% 12/16/21 | 350,000 | 355,312 | ||||||
Air Lease Corp. | ||||||||
3.500% 1/15/22 | 455,000 | 462,515 | ||||||
Ally Financial, Inc. | ||||||||
1.450% 10/02/23 | 160,000 | 162,356 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
4.250% 4/15/26 (a) | 115,000 | 124,674 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
5.250% 8/15/22 (a) | 425,000 | 444,699 | ||||||
1,549,556 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Electric — 0.4% | ||||||||
Abu Dhabi National Energy Co. PJSC | ||||||||
3.875% 5/06/24 (a) | $ | 200,000 | $ | 216,750 | ||||
China Huaneng Group Hong Kong Treasury Management Holding Ltd. | ||||||||
1.600% 1/20/26 (a) | 303,000 | 302,666 | ||||||
Consorcio Transmantaro SA | ||||||||
4.375% 5/07/23 (a) (c) | 300,000 | 312,378 | ||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||||||
5.500% 11/22/21 (a) | 450,000 | 457,065 | ||||||
1,288,859 | ||||||||
Insurance — 0.1% | ||||||||
Brighthouse Financial Global Funding | ||||||||
0.600% 6/28/23 (a) | 280,000 | 279,885 | ||||||
Iron & Steel — 0.1% | ||||||||
POSCO | ||||||||
2.375% 1/17/23 (a) | 200,000 | 204,384 | ||||||
4.000% 8/01/23 (a) | 230,000 | 244,466 | ||||||
448,850 | ||||||||
Oil & Gas — 0.7% | ||||||||
Bharat Petroleum Corp. Ltd. | ||||||||
4.375% 1/24/22 (a) | 400,000 | 407,306 | ||||||
Ecopetrol SA | ||||||||
5.875% 9/18/23 | 475,000 | 513,622 | ||||||
Pertamina Persero PT | ||||||||
4.300% 5/20/23 (a) | 250,000 | 265,634 | ||||||
4.875% 5/03/22 (a) | 200,000 | 207,000 | ||||||
SA Global Sukuk Ltd. | ||||||||
0.946% 6/17/24 (a) (c) | 500,000 | 499,360 | ||||||
Saudi Arabian Oil Co. | ||||||||
1.250% 11/24/23 (a) | 200,000 | 202,016 | ||||||
2,094,938 | ||||||||
Pipelines — 0.3% | ||||||||
Energy Transfer LP | ||||||||
4.250% 3/15/23 | 582,000 | 610,604 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.000% 9/15/23 (a) | 30,000 | 30,593 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
3.850% 10/15/23 | 215,000 | 227,855 | ||||||
869,052 | ||||||||
Real Estate — 0.1% | ||||||||
Vanke Real Estate Hong Kong Co. Ltd. | ||||||||
4.150% 4/18/23 (a) | 250,000 | 261,597 | ||||||
Retail — 0.0% | ||||||||
Nordstrom, Inc. | ||||||||
2.300% 4/08/24 (a) | 60,000 | 60,189 | ||||||
Trucking & Leasing — 0.2% | ||||||||
DAE Funding LLC | ||||||||
1.550% 8/01/24 (a) | 200,000 | 199,594 |
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 | $ | 378,429 | ||||
578,023 | ||||||||
TOTAL CORPORATE DEBT (Cost $10,054,054) | 11,606,711 | |||||||
MUNICIPAL OBLIGATIONS — 0.4% | ||||||||
City & County of Denver Co. Airport System Revenue | ||||||||
Revenue Bond, 0.877% 11/15/23 | 20,000 | 20,140 | ||||||
Revenue Bond, 1.115% 11/15/24 | 30,000 | 30,294 | ||||||
City of Atlanta GA Water & Wastewater Revenue | ||||||||
Revenue Bond, 0.191% 11/01/21 | 15,000 | 14,995 | ||||||
Revenue Bond, 0.271% 11/01/22 | 15,000 | 14,983 | ||||||
Revenue Bond, 0.407% 11/01/23 | 15,000 | 14,947 | ||||||
Revenue Bond, 0.616% 11/01/24 | 15,000 | 14,914 | ||||||
Dallas Area Rapid Transit | ||||||||
Revenue Bond, 0.297% 12/01/21 | 20,000 | 20,010 | ||||||
Revenue Bond, 0.397% 12/01/22 | 15,000 | 15,027 | ||||||
Revenue Bond, 0.541% 12/01/23 | 10,000 | 10,013 | ||||||
Revenue Bond, 0.761% 12/01/24 | 10,000 | 10,014 | ||||||
New York Transportation Development Corp. | ||||||||
Revenue Bond, 1.360% 12/01/21 | 20,000 | 20,073 | ||||||
Revenue Bond, 1.610% 12/01/22 | 15,000 | 15,204 | ||||||
Oklahoma Turnpike Authority, Revenue Bond | ||||||||
0.491% 1/01/22 | 30,000 | 30,028 | ||||||
State of Hawaii, General Obligation | ||||||||
0.571% 10/01/23 | 210,000 | 210,517 | ||||||
State of Illinois, General Obligation | ||||||||
2.840% 10/01/23 | 485,000 | 495,722 | ||||||
Tobacco Settlement Finance Authority | ||||||||
Revenue Bond, 0.947% 6/01/22 | 30,000 | 30,143 | ||||||
Revenue Bond, 1.193% 6/01/23 | 50,000 | 50,461 | ||||||
Revenue Bond, 1.497% 6/01/24 | 65,000 | 65,889 | ||||||
1,083,374 | ||||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $1,070,000) | 1,083,374 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.9% | ||||||||
Automobile Asset-Backed Securities — 0.4% | ||||||||
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C | ||||||||
1.060% 8/18/26 | 120,000 | 120,833 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A | ||||||||
2.970% 3/20/24 (a) | 310,000 | 321,861 | ||||||
Exeter Automobile Receivables Trust, Series 2020-1A, Class B | ||||||||
2.260% 4/15/24 (a) | 146,342 | 147,058 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-4, Class C | ||||||||
1.010% 1/15/26 | 195,000 | 196,056 | ||||||
Santander Retail Auto Lease Trust | ||||||||
Series 2019-C, Class C, 2.390% 11/20/23 (a) | 230,000 | 234,517 | ||||||
Series 2019-B, Class C, 2.770% 8/21/23 (a) | 170,000 | 173,103 | ||||||
1,193,428 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Commercial Mortgage-Backed Securities — 0.4% | ||||||||
BX Commercial Mortgage Trust, Series 2019-IMC, Class C, 1 mo. USD LIBOR + 1.600% | ||||||||
1.673% FRN 4/15/34 (a) | $ | 210,000 | $ | 209,344 | ||||
Commercial Mortgage Pass-Through Certificates | ||||||||
Series 2014-UBS4, Class AM, 3.968% 8/10/47 | 250,000 | 267,613 | ||||||
Series 2014-UBS2, Class AM, 4.199% 3/10/47 | 100,000 | 106,838 | ||||||
Extended Stay America Trust, Series 2021-ESH, Class B, 1 mo. USD LIBOR + 1.380% | ||||||||
1.455% FRN 7/15/38 (a) (b) | 260,000 | 260,893 | ||||||
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class C | ||||||||
3.750% 12/10/36 (a) | 295,000 | 310,990 | ||||||
New Orleans Hotel Trust, Series 2019-HNLA, Class C, 1 mo. USD LIBOR + 1.589% | ||||||||
1.662% FRN 4/15/32 (a) | 100,000 | 98,875 | ||||||
1,254,553 | ||||||||
Other Asset-Backed Securities — 0.9% | ||||||||
BlueMountain CLO Ltd., Series 2012-2A, Class AR2, 3 mo. USD LIBOR + 1.050% | ||||||||
1.205% FRN 11/20/28 (a) | 201,000 | 201,017 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A | ||||||||
3.280% 9/26/33 (a) | 58,278 | 61,114 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A | ||||||||
2.730% 4/25/28 (a) | 328,646 | 334,861 | ||||||
HPEFS Equipment Trust, Series 2021-2A, Class C | ||||||||
0.880% 9/20/28 (a) | 360,000 | 360,019 | ||||||
Magnetite XXV Ltd., Series 2020-25A, Class A, 3 mo. USD LIBOR + 1.200% | ||||||||
1.455% FRN 1/25/32 (a) | 250,000 | 250,099 | ||||||
MVW Owner Trust, Series 2018-1A, Class A | ||||||||
3.450% 1/21/36 (a) | 102,323 | 106,070 | ||||||
OZLM Ltd., Series 2014-8A, Class A1RR, 3 mo. USD LIBOR + 1.170% | ||||||||
1.360% FRN 10/17/29 (a) | 248,048 | 248,062 | ||||||
Reese Park CLO Ltd., Series 2020-1A, Class A1, 3 mo. USD LIBOR + 1.320% | ||||||||
1.504% FRN 10/15/32 (a) | 490,000 | 490,304 | ||||||
Sierra Receivables Funding LLC, Series 2019-3A, Class A | ||||||||
2.340% 8/20/36 (a) | 76,838 | 78,661 | ||||||
Towd Point Mortgage Trust | ||||||||
Series 2017-6, Class A1, 2.750% VRN 10/25/57 (a) (d) | 129,635 | 132,943 | ||||||
Series 2018-2, Class A1, 3.250% VRN 3/25/58 (a) (d) | 145,211 | 150,666 | ||||||
Series 2018-5, Class A1A, 3.250% VRN 7/25/58 (a) (d) | 108,239 | 111,682 | ||||||
Series 2015-6, Class A1, 3.500% VRN 4/25/55 (a) (d) | 35,711 | 35,896 | ||||||
Series 2018-3, Class A1, 3.750% VRN 5/25/58 (a) (d) | 69,844 | 73,899 | ||||||
2,635,293 | ||||||||
Student Loans Asset-Backed Securities — 0.3% | ||||||||
Navient Private Education Refi Loan Trust, Series 2019-GA, Class A | ||||||||
2.400% 10/15/68 (a) | 213,159 | 216,862 | ||||||
SMB Private Education Loan Trust | ||||||||
Series 2016-B, Class A2A, 2.430% 2/17/32 (a) | 164,489 | 167,862 | ||||||
Series 2017-B, Class A2A, 2.820% 10/15/35 (a) | 280,617 | 289,397 | ||||||
Series 2017-A, Class A2A, 2.880% 9/15/34 (a) | 96,819 | 99,228 | ||||||
773,349 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 2.9% | ||||||||
Angel Oak Mortgage Trust, Series 2019-2, Class A1, | ||||||||
3.628% VRN 3/25/49 (a) (d) | $ | 60,069 | $ | 61,017 | ||||
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A1, | ||||||||
2.720% VRN 7/25/49 (a) (d) | 105,377 | 106,315 | ||||||
Ellington Financial Mortgage Trust, Series 2019-2, Class A1, | ||||||||
2.739% VRN 11/25/59 (a) (d) | 201,695 | 204,684 | ||||||
Flagstar Mortgage Trust, Series 2021-5INV, Class A5, | ||||||||
2.500% VRN 7/25/51 (a) (d) | 465,000 | 474,759 | ||||||
FWD Securitization Trust, Series 2020-INV1, Class A3, | ||||||||
2.440% VRN 1/25/50 (a) (d) | 137,386 | 138,822 | ||||||
Galton Funding Mortgage Trust | ||||||||
Series 2020-H1, Class A3, 2.617% VRN 1/25/60 (a) (d) | 154,702 | 156,826 | ||||||
Series 2018-1, Class A33, 3.500% VRN 11/25/57 (a) (d) | 170,365 | 173,138 | ||||||
Series 2019-2, Class A42, 3.500% VRN 6/25/59 (a) (d) | 25,060 | 25,116 | ||||||
Series 2019-1, Class A42, 4.000% VRN 2/25/59 (a) (d) | 1,990 | 1,985 | ||||||
Series 2018-2, Class A31, 4.500% VRN 10/25/58 (a) (d) | 89,972 | 92,100 | ||||||
GS Mortgage-Backed Securities Trust, Series 2021-PJ6, Class A8, | ||||||||
2.500% VRN 11/25/51 (a) (d) | 770,000 | 788,739 | ||||||
Homeward Opportunities Fund I Trust | ||||||||
Series 2019-2, Class A3, 3.007% VRN 9/25/59 (a) (d) | 380,913 | 381,039 | ||||||
Series 2019-3, Class A3, 3.031% VRN 11/25/59 (a) (d) | 131,769 | 132,711 | ||||||
JP Morgan Mortgage Trust | ||||||||
Series 2019-INV2, Class A3, 3.500% VRN 2/25/50 (a) (d) | 48,227 | 49,132 | ||||||
Series 2020-LTV1, Class A4, 3.500% VRN 6/25/50 (a) (d) | 83,696 | 84,125 | ||||||
Metlife Securitization Trust, Series 2018-1A, Class A, | ||||||||
3.750% VRN 3/25/57 (a) (d) | 133,334 | 140,440 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2020-NQM1, Class A1, 2.464% VRN 1/26/60 (a) (d) | 123,810 | 125,057 | ||||||
Series 2019-NQM5, Class A3, 3.065% VRN 11/25/59 (a) (d) | 98,415 | 99,614 | ||||||
Onslow Bay Financial LLC | ||||||||
Series 2020-EXP1, Class 2A1, 1 mo. USD LIBOR + .750% 0.842% FRN 2/25/60 (a) | 54,397 | 54,474 | ||||||
Series 2019-EXP3, Class 2A1, 1 mo. USD LIBOR + .900% 0.992% FRN 10/25/59 (a) | 116,998 | 117,224 | ||||||
Series 2019-EXP3, Class 2A2, 1 mo. USD LIBOR + 1.100% 1.192% FRN 10/25/59 (a) | 65,699 | 65,826 | ||||||
Series 2020-INV1, Class A21, 3.500% VRN 12/25/49 (a) (d) | 67,593 | 68,938 | ||||||
Series 2020-EXP1, Class 1A9, 3.500% VRN 2/25/60 (a) (d) | 109,695 | 112,058 | ||||||
Series 2019-EXP1, Class 1A3, 4.000% VRN 1/25/59 (a) (d) | 176,889 | 180,757 | ||||||
Series 2019-EXP2, Class 1A3, 4.000% VRN 6/25/59 (a) (d) | 176,595 | 180,927 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (a) (d) | 79,224 | 80,287 | ||||||
Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (a) (d) | 215,398 | 218,658 | ||||||
Series 2018-CH2, Class A3, 4.000% VRN 6/25/48 (a) (d) | 26,253 | 26,770 | ||||||
Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (a) (d) | 29,745 | 30,263 | ||||||
Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (a) (d) | 21,160 | 21,499 | ||||||
SG Capital Partners | ||||||||
Series 2021-1, Class A1, 1.160% VRN 7/25/61 (a) (d) (e) | 590,000 | 589,654 | ||||||
Series 2019-3, Class A3, 3.082% VRN 9/25/59 (a) (d) | 124,106 | 124,628 | ||||||
Starwood Mortgage Residential Trust | ||||||||
Series 2021-3, Class A1, 1.127% VRN 6/25/56 (a) (d) (e) | 630,000 | 629,990 | ||||||
Series 2020-1, Class A3, 2.562% VRN 2/25/50 (a) (d) | 120,236 | 121,189 | ||||||
Series 2019-INV1, Class A1, 2.610% VRN 9/27/49 (a) (d) | 121,840 | 123,631 | ||||||
Verus Securitization Trust | ||||||||
Series 2021-3, Class A1, 1.046% VRN 6/25/66 (a) (d) | 585,000 | 584,972 | ||||||
Series 2020-1, Class A1, 2.417% STEP 1/25/60 (a) | 249,071 | 252,187 | ||||||
Series 2020-1, Class A3, 2.724% STEP 1/25/60 (a) | 199,458 | 201,518 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2019-4, Class A3, 3.000% STEP 11/25/59 (a) | $ | 431,248 | $ | 437,044 | ||||
Series 2019-3, Class A3, 3.040% STEP 7/25/59 (a) | 276,727 | 279,500 | ||||||
Series 2019-INV3, Class A3, 3.100% VRN 11/25/59 (a) (d) | 445,586 | 452,755 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3, | ||||||||
2.500% VRN 12/25/50 (a) (d) | 410,000 | 419,978 | ||||||
8,610,346 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $14,310,453) | 14,466,969 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 2.2% | ||||||||
Collateralized Mortgage Obligations — 0.0% | ||||||||
Government National Mortgage Association Series 2019-65, Class B 3.500% 5/20/49 | 104,010 | 111,516 | ||||||
Pass-Through Securities — 1.0% | ||||||||
Government National Mortgage Association II TBA 3.000% 7/01/49 (b) | 2,850,000 | 2,973,574 | ||||||
Whole Loans — 1.2% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
Series 2021-HQA2, Class M1, SOFR30A + .700% 0.717% FRN 12/25/33 (a) | 440,000 | 439,992 | ||||||
Series 2017-DNA3, Class M1, 1 mo. USD LIBOR + .750% 0.842% FRN 3/25/30 | 46,255 | 46,259 | ||||||
Series 2018-DNA3, Class M1, 1 mo. USD LIBOR + .750% 0.842% FRN 9/25/48 (a) | 531 | 531 | ||||||
Series 2020-DNA2, Class M1, 1 mo. USD LIBOR + .750% 0.842% FRN 2/25/50 (a) | 26,525 | 26,528 | ||||||
Series 2018-DNA2, Class M1, 1 mo. USD LIBOR + .800% 0.892% FRN 12/25/30 (a) | 36,104 | 36,112 | ||||||
Series 2018-DNA3, Class M2AS, 1 mo. USD LIBOR + .900% 0.992% FRN 9/25/48 (a) | 140,000 | 139,700 | ||||||
Series 2018-DNA2, Class M2AS, 1 mo. USD LIBOR + .950% 1.042% FRN 12/25/30 (a) | 80,000 | 79,867 | ||||||
Series 2020-HQA5, Class M1, SOFR30A + 1.100% 1.118% FRN 11/25/50 (a) | 91,992 | 92,050 | ||||||
Series 2020-HQA2, Class M1, 1 mo. USD LIBOR + 1.100% 1.192% FRN 3/25/50 (a) | 17,309 | 17,311 | ||||||
Series 2017-DNA2, Class M1, 1 mo. USD LIBOR + 1.200% 1.292% FRN 10/25/29 | 52,868 | 52,957 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust | ||||||||
Series 2018-C01, Class 1ED2, 1 mo. USD LIBOR + .850% 0.942% FRN 7/25/30 | 265,162 | 261,123 | ||||||
Series 2018-C03, Class 1EB2, 1 mo. USD LIBOR + .850% 0.942% FRN 10/25/30 | 440,000 | 428,858 | ||||||
Series 2018-C03, Class 1ED2, 1 mo. USD LIBOR + .850% 0.942% FRN 10/25/30 | 328,155 | 320,987 | ||||||
Series 2018-C02, Class 2EB2, 1 mo. USD LIBOR + .900% 0.992% FRN 8/25/30 | 125,335 | 122,260 | ||||||
Series 2018-C02, Class 2ED2, 1 mo. USD LIBOR + .900% 0.992% FRN 8/25/30 | 287,806 | 281,111 | ||||||
Series 2017-C04, Class 2ED2, 1 mo. USD LIBOR + 1.100% 1.192% FRN 11/25/29 | 367,012 | 358,707 | ||||||
Series 2017-C05, Class 1ED3, 1 mo. USD LIBOR + 1.200% 1.292% FRN 1/25/30 | 227,573 | 224,005 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 1.442% FRN 9/25/29 | $ | 341,682 | $ | 342,944 | ||||
Series 2017-C06, Class 1M2B, 1 mo. USD LIBOR + 2.650% 2.742% FRN 2/25/30 | 205,000 | 207,595 | ||||||
3,478,897 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $6,597,944) | 6,563,987 | |||||||
U.S. TREASURY OBLIGATIONS — 88.2% | ||||||||
U.S. Treasury Bonds & Notes — 88.2% | ||||||||
U.S. Treasury Inflation Index | ||||||||
0.125% 7/15/24 | 3,148,292 | 3,385,275 | ||||||
0.125% 10/15/24 | 12,617,275 | 13,597,085 | ||||||
0.125% 4/15/25 | 35,678,460 | 38,508,580 | ||||||
0.125% 10/15/25 | 19,482,139 | 21,202,301 | ||||||
0.125% 4/15/26 | 13,491,694 | 14,678,541 | ||||||
0.125% 7/15/26 | 1,893,477 | 2,073,505 | ||||||
0.250% 1/15/25 | 17,366,094 | 18,795,631 | ||||||
0.375% 7/15/23 | 17,805,010 | 18,944,252 | ||||||
0.375% 7/15/25 | 5,617,842 | 6,168,507 | ||||||
0.375% 1/15/27 | 5,747,248 | 6,362,159 | ||||||
0.500% 4/15/24 | 20,000,092 | 21,556,610 | ||||||
0.625% 4/15/23 | 19,400,862 | 20,522,095 | ||||||
0.625% 1/15/24 (f) | 24,557,478 | 26,446,933 | ||||||
0.625% 1/15/26 | 22,953,105 | 25,491,695 | ||||||
U.S. Treasury Note | ||||||||
0.125% 5/31/23 | 3,840,000 | 3,831,753 | ||||||
0.750% 5/31/26 | 16,970,000 | 16,881,284 | ||||||
1.250% 5/31/28 | 3,770,000 | 3,782,733 | ||||||
262,228,939 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $258,640,434) | 262,228,939 | |||||||
TOTAL BONDS & NOTES (Cost $290,672,885) | 295,949,980 | |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (g) | 201,960 | 201,960 | ||||||
TOTAL MUTUAL FUNDS (Cost $201,960) | 201,960 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $290,874,845) | 296,151,940 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||||
Mutual Fund — 1.0% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 3,069,739 | $ | 3,069,739 | |||||
Repurchase Agreement — 0.3% | Principal Amount | |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (h) | $ | 1,002,380 | 1,002,380 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,072,119) | 4,072,119 | |||||||
TOTAL INVESTMENTS — 101.0% (Cost $294,946,964) (i) | 300,224,059 | |||||||
Other Assets/(Liabilities) — (1.0)% | (2,990,071) | |||||||
NET ASSETS — 100.0% | $ | 297,233,988 |
Abbreviation Legend
CLO | Collateralized Loan Obligation |
FRN | Floating Rate Note |
STEP | Step Up Bond |
TBA | To Be Announced |
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 June 30, 2021, the aggregate market value of these securities amounted to $22,213,293 or 7.47% of net assets. |
(b) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $508,945 or 0.17% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $318,387 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) | 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 June 30, 2021. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $1,219,644 or 0.41% of net assets. |
(f) | A portion of this security is pledged/held as collateral for open derivatives. |
(g) | Represents investment of security lending cash collateral. (Note 2). |
(h) | Maturity value of $1,002,380. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $1,022,491. |
(i) | See Note 3 for aggregate cost for federal tax purposes. |
Exchange-Traded Options Written | ||||||||||||||||||||||||||||
Description | Expiration Date | Exercise Price | No. of Contracts | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 131.00 | 138 | USD | 18,285,000 | $ | (15,094) | $ | (38,487) | $ | 23,393 | |||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 131.50 | 46 | USD | 6,095,000 | (8,625) | (12,138) | 3,513 | ||||||||||||||||||||
$ | (23,719) | $ | (50,625) | $ | 26,906 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of America N.A. | 7/23/21 | USD | 405,156 | CAD | 490,000 | $ | 9,872 | |||||||||
Bank of America N.A. | 7/23/21 | USD | 438,221 | NOK | 3,790,000 | (2,004) | ||||||||||
Bank of America N.A. | 8/20/21 | USD | 454,739 | EUR | 375,000 | 9,641 | ||||||||||
Bank of America N.A. | 8/20/21 | USD | 438,256 | SEK | 3,780,000 | (3,627) | ||||||||||
Citibank N.A. | 7/23/21 | USD | 442,693 | NZD | 635,000 | (1,153) | ||||||||||
Citibank N.A. | 7/23/21 | AUD | 1,662,000 | USD | 1,274,525 | (27,975) | ||||||||||
Citibank N.A. | 8/20/21 | EUR | 232,825 | USD | 283,168 | (6,821) | ||||||||||
Citibank N.A. | 8/20/21 | GBP | 320,000 | USD | 446,386 | (3,677) | ||||||||||
Citibank N.A. | 8/20/21 | USD | 389,184 | EUR | 320,000 | 9,367 | ||||||||||
Citibank N.A. | 8/20/21 | USD | 1,297,891 | GBP | 925,000 | 18,186 | ||||||||||
Deutsche Bank AG | 8/20/21 | GBP | 605,000 | USD | 852,714 | (15,718) | ||||||||||
Deutsche Bank AG | 8/20/21 | SEK | 3,805,000 | USD | 458,101 | (13,295) | ||||||||||
Goldman Sachs International | 7/23/21 | CAD | 515,000 | USD | 409,864 | 5,588 | ||||||||||
Goldman Sachs International | 7/23/21 | NOK | 3,495,000 | USD | 415,110 | (9,151) | ||||||||||
Goldman Sachs International | 7/23/21 | USD | 454,689 | AUD | 590,000 | 12,171 | ||||||||||
Goldman Sachs International | 8/20/21 | EUR | 375,000 | USD | 448,185 | (3,087) | ||||||||||
HSBC Bank USA | 7/23/21 | NZD | 1,165,000 | USD | 832,138 | (17,837) | ||||||||||
HSBC Bank USA | 7/23/21 | CAD | 525,000 | USD | 419,027 | 4,491 | ||||||||||
HSBC Bank USA | 7/23/21 | USD | 896,930 | CAD | 1,100,000 | 9,558 | ||||||||||
HSBC Bank USA | 8/20/21 | SEK | 3,780,000 | USD | 444,048 | (2,165) | ||||||||||
JP Morgan Chase Bank N.A. | 7/23/21 | NOK | 3,790,000 | USD | 445,875 | (5,650) | ||||||||||
JP Morgan Chase Bank N.A. | 7/23/21 | USD | 441,193 | AUD | 587,000 | 925 | ||||||||||
JP Morgan Chase Bank N.A. | 8/20/21 | USD | 457,749 | SEK | 3,805,000 | 12,943 | ||||||||||
Morgan Stanley & Co. LLC | 7/23/21 | USD | 833,880 | NZD | 1,165,000 | 19,579 | ||||||||||
Morgan Stanley & Co. LLC | 7/23/21 | CAD | 550,000 | USD | 445,888 | (2,202) | ||||||||||
Morgan Stanley & Co. LLC | 7/23/21 | NZD | 635,000 | USD | 445,226 | (1,379) | ||||||||||
Morgan Stanley & Co. LLC | 7/23/21 | USD | 450,475 | NOK | 3,760,000 | 13,734 | ||||||||||
Morgan Stanley & Co. LLC | 8/20/21 | EUR | 462,175 | USD | 562,074 | (13,505) | ||||||||||
UBS AG | 7/23/21 | NOK | 3,480,000 | USD | 414,781 | (10,564) | ||||||||||
UBS AG | 7/23/21 | USD | 375,787 | AUD | 485,000 | 12,022 | ||||||||||
UBS AG | 7/23/21 | USD | 387,938 | NOK | 3,215,000 | 14,502 | ||||||||||
UBS AG | 8/20/21 | USD | 446,957 | EUR | 375,000 | 1,860 | ||||||||||
$ | 14,629 |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
U.S. Treasury Ultra Bond | 9/21/21 | 21 | $ | 3,979,005 | $ | 67,433 | ||||||||
U.S. Treasury Note 2 Year | 9/30/21 | 201 | 44,311,325 | (26,942) | ||||||||||
$ | 40,491 | |||||||||||||
Short | ||||||||||||||
U.S. Treasury Note 10 Year | 9/21/21 | 117 | $ | (15,425,660) | $ | (76,840) | ||||||||
U.S. Treasury Note 5 Year | 9/30/21 | 349 | (43,107,070) | 30,110 | ||||||||||
$ | (46,730) |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
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 2.21% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A. | 8/03/21 | USD | 1,875,000 | $ | 4,884 | $ | — | $ | 4,884 | ||||||||||||||
Fixed 1.53% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A. | 8/15/21 | USD | 2,430,324 | 56,353 | — | 56,353 | |||||||||||||||||
Fixed 1.44% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A. | 8/23/21 | USD | 666,250 | 17,787 | — | 17,787 | |||||||||||||||||
Fixed 1.44% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A. | 8/23/21 | USD | 717,500 | 19,192 | — | 19,192 | |||||||||||||||||
Fixed 1.60% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A. | 2/21/23 | USD | 3,638,000 | 127,884 | — | 127,884 | |||||||||||||||||
Fixed 1.57% | Maturity | U.S. Consumer Price Index | Maturity | Barclays Bank PLC | 7/08/21 | USD | 1,950,000 | 28,696 | — | 28,696 | |||||||||||||||||
Fixed 1.66% | Maturity | U.S. Consumer Price Index | Maturity | Barclays Bank PLC | 7/08/22 | USD | 1,250,000 | 38,475 | — | 38,475 | |||||||||||||||||
Fixed 1.74% | Maturity | U.S. Consumer Price Index | Maturity | Barclays Bank PLC | 12/16/22 | USD | 2,800,000 | 90,119 | — | 90,119 | |||||||||||||||||
Fixed 1.48% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 8/16/21 | USD | 1,619,676 | 39,448 | — | 39,448 | |||||||||||||||||
Fixed 1.44% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 8/26/21 | USD | 666,250 | 18,127 | — | 18,127 | |||||||||||||||||
Fixed 1.38% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 10/07/21 | USD | 3,416,115 | 109,678 | — | 109,678 | |||||||||||||||||
Fixed 1.41% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 10/09/21 | USD | 3,416,115 | 108,082 | — | 108,082 | |||||||||||||||||
Fixed 1.41% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 10/09/21 | USD | 3,417,770 | 108,134 | — | 108,134 | |||||||||||||||||
Fixed 1.42% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 10/07/22 | USD | 3,420,000 | 137,053 | — | 137,053 | |||||||||||||||||
Fixed 1.43% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 10/08/22 | USD | 1,710,000 | 67,961 | — | 67,961 | |||||||||||||||||
Fixed 1.44% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 10/08/22 | USD | 1,710,000 | 67,909 | — | 67,909 |
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund — Portfolio of Investments (Continued) |
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Counterparty | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Fixed 1.59% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 2/18/23 | USD | 1,311,000 | 46,164 | — | 46,164 | |||||||||||||||||
Fixed 1.60% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 2/18/23 | USD | 1,789,000 | 62,802 | — | 62,802 | |||||||||||||||||
Fixed 1.59% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 2/20/23 | USD | 2,867,000 | 101,499 | — | 101,499 | |||||||||||||||||
Fixed 1.49% | Maturity | U.S. Consumer Price Index | Maturity | Citibank N.A. | 2/26/23 | USD | 2,061,000 | 79,626 | — | 79,626 | |||||||||||||||||
Fixed 1.44% | Maturity | U.S. Consumer Price Index | Maturity | Goldman Sachs International | 8/09/21 | USD | 7,101,000 | 168,387 | — | 168,387 | |||||||||||||||||
Fixed 1.61% | Maturity | U.S. Consumer Price Index | Maturity | Goldman Sachs International | 2/21/23 | USD | 2,993,000 | 104,748 | — | 104,748 | |||||||||||||||||
Fixed 1.57% | Maturity | U.S. Consumer Price Index | Maturity | HSBC Bank USA | 2/25/23 | USD | 2,241,000 | 81,164 | — | 81,164 | |||||||||||||||||
Fixed 2.30% | Maturity | U.S. Consumer Price Index | Maturity | JP Morgan Chase Bank N.A. | 2/22/24 | USD | 5,500,000 | 141,929 | — | 141,929 | |||||||||||||||||
Fixed 2.29% | Maturity | U.S. Consumer Price Index | Maturity | UBS AG | 6/05/23 | USD | 1,700,000 | 17,396 | — | 17,396 | |||||||||||||||||
$ | 1,843,497 | $ | — | $ | 1,843,497 |
Currency Legend
AUD | Australian Dollar |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
USD | U.S. Dollar |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 92.2% | ||||||||
COMMON STOCK — 91.4% | ||||||||
Australia — 7.9% | ||||||||
ALS Ltd. | 40,570 | $ | 397,189 | |||||
BHP Group Ltd. | 174,679 | 6,336,125 | ||||||
Goodman Group | 29,933 | 472,943 | ||||||
IGO Ltd. | 91,182 | 521,330 | ||||||
Northern Star Resources Ltd. | 246,523 | 1,813,926 | ||||||
OZ Minerals Ltd. | 42,514 | 716,652 | ||||||
Perseus Mining Ltd. (a) | 1,028,546 | 1,128,353 | ||||||
Rio Tinto Ltd. | 11,911 | 1,131,343 | ||||||
Scentre Group | 195,818 | 400,489 | ||||||
Silver Lake Resources Ltd. (a) | 271,211 | 338,600 | ||||||
13,256,950 | ||||||||
Austria — 0.1% | ||||||||
Mayr Melnhof Karton AG | 1,060 | 225,745 | ||||||
Bermuda — 0.2% | ||||||||
Hongkong Land Holdings Ltd. | 77,100 | 367,279 | ||||||
Brazil — 0.8% | ||||||||
Vale SA | 58,557 | 1,333,302 | ||||||
Canada — 5.8% | ||||||||
Alamos Gold, Inc. Class A | 17,131 | 130,873 | ||||||
Canadian Apartment Properties | 6,823 | 319,904 | ||||||
Centerra Gold, Inc. | 51,606 | 391,749 | ||||||
Enbridge, Inc. | 5,145 | 206,006 | ||||||
Enerflex Ltd. | 24,000 | 162,440 | ||||||
ERO Copper Corp. (a) | 48,827 | 1,024,516 | ||||||
Franco-Nevada Corp. | 3,421 | 496,453 | ||||||
K92 Mining, Inc. (a) | 87,068 | 629,340 | ||||||
Kirkland Lake Gold Ltd. | 34,714 | 1,337,760 | ||||||
Lundin Mining Corp. | 56,473 | 509,332 | ||||||
MAG Silver Corp. (a) | 29,420 | 615,466 | ||||||
Magna International, Inc. | 1,115 | 103,294 | ||||||
Pan American Silver Corp. | 7,400 | 211,418 | ||||||
Parex Resources, Inc. (a) | 10,059 | 167,975 | ||||||
Sandstorm Gold Ltd. (a) | 62,221 | 490,924 | ||||||
Summit Industrial Income REIT | 48,248 | 691,648 | ||||||
TC Energy Corp. | 9,289 | 459,991 | ||||||
Wesdome Gold Mines Ltd. (a) | 127,196 | 1,206,700 | ||||||
West Fraser Timber Co. Ltd. | 2,423 | 173,945 | ||||||
Wheaton Precious Metals Corp. | 7,144 | 314,899 | ||||||
9,644,633 | ||||||||
Cayman Islands — 0.7% | ||||||||
Bluescape Opportunities Acquisition Corp. (a) | 11,882 | 123,573 |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
China Resources Mixc Lifestyle Services Ltd. (b) | 22,200 | $ | 151,977 | |||||
GDS Holdings Ltd. (a) | 32,696 | 321,556 | ||||||
Huazhu Group Ltd. ADR (a) | 4,200 | 221,802 | ||||||
Wharf Real Estate Investment Co. Ltd. | 67,000 | 389,620 | ||||||
1,208,528 | ||||||||
Finland — 1.6% | ||||||||
Kojamo OYJ | 24,323 | 555,806 | ||||||
Metso Outotec OYJ | 104,868 | 1,218,624 | ||||||
Stora Enso OYJ Class R | 13,773 | 251,408 | ||||||
UPM-Kymmene OYJ | 15,254 | 577,072 | ||||||
2,602,910 | ||||||||
France — 2.4% | ||||||||
Air Liquide SA | 2,618 | 458,737 | ||||||
Constellium SE (a) | 34,964 | 662,568 | ||||||
Gecina SA | 1,422 | 217,931 | ||||||
Imerys SA | 4,110 | 192,149 | ||||||
Legrand SA | 2,226 | 235,742 | ||||||
Safran SA | 654 | 90,739 | ||||||
Schneider Electric SE | 2,359 | 371,341 | ||||||
TotalEnergies SE | 32,320 | 1,466,272 | ||||||
Verallia SA (b) | 10,149 | 376,296 | ||||||
4,071,775 | ||||||||
Germany — 0.5% | ||||||||
Covestro AG (b) | 3,466 | 223,884 | ||||||
Infineon Technologies AG | 2,026 | 81,244 | ||||||
LEG Immobilien SE | 3,325 | 479,055 | ||||||
784,183 | ||||||||
Hong Kong — 0.5% | ||||||||
Sun Hung Kai Properties Ltd. | 59,000 | 879,191 | ||||||
Ireland — 0.8% | ||||||||
Linde PLC | 4,345 | 1,256,139 | ||||||
Italy — 0.1% | ||||||||
Terna SpA | 21,454 | 159,850 | ||||||
Japan — 2.7% | ||||||||
Bridgestone Corp. (c) | 2,400 | 109,159 | ||||||
Daiwa Office Investment Corp. | 53 | 368,819 | ||||||
Heiwa Real Estate Co. Ltd. | 6,500 | 245,048 | ||||||
Hoshino Resorts REIT, Inc. | 26 | 157,942 | ||||||
Industrial & Infrastructure Fund Investment Corp. | 217 | 413,961 | ||||||
Japan Metropolitan Fund Invest | 269 | 291,468 | ||||||
Kyoritsu Maintenance Co. Ltd. | 8,700 | 282,577 | ||||||
Mitsui Fudosan Co. Ltd. | 39,000 | 902,909 | ||||||
Mitsui Fudosan Logistics Park, Inc. | 71 | 378,386 | ||||||
Nippon Steel Corp. | 34,900 | 587,814 | ||||||
Recruit Holdings Co. Ltd. | 2,000 | 98,412 | ||||||
Shin-Etsu Chemical Co. Ltd. | 1,500 | 250,717 | ||||||
SUMCO Corp. (c) | 10,300 | 251,541 |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Tokyo Tatemono Co. Ltd. (c) | 15,900 | $ | 226,619 | |||||
4,565,372 | ||||||||
Kazakhstan — 0.3% | ||||||||
NAC Kazatomprom JSC | 17,098 | 496,329 | ||||||
Luxembourg — 0.3% | ||||||||
Shurgard Self Storage SA | 5,206 | 251,139 | ||||||
Tenaris SA | 20,195 | 221,138 | ||||||
472,277 | ||||||||
Netherlands — 0.8% | ||||||||
Akzo Nobel NV | 4,584 | 566,471 | ||||||
CTP NV (a) (b) | 18,576 | 374,536 | ||||||
Koninklijke DSM NV | 2,485 | 463,925 | ||||||
1,404,932 | ||||||||
Norway — 1.0% | ||||||||
Aker BP ASA | 10,417 | 332,128 | ||||||
Borregaard ASA | 9,959 | 217,515 | ||||||
Equinor ASA | 37,269 | 788,838 | ||||||
Norsk Hydro ASA | 63,196 | 403,696 | ||||||
1,742,177 | ||||||||
Portugal — 0.4% | ||||||||
Galp Energia SGPS SA | 61,564 | 669,860 | ||||||
Russia — 1.5% | ||||||||
Alrosa PJSC | 689,010 | 1,264,369 | ||||||
MMC Norilsk Nickel PJSC | 1,943 | 658,563 | ||||||
Polyus PJSC | 3,279 | 634,111 | ||||||
2,557,043 | ||||||||
Singapore — 0.5% | ||||||||
CapitaLand Ltd. | 103,400 | 285,633 | ||||||
CapitaLand Mall Trust | 256,500 | 398,580 | ||||||
Mapletree Industrial Trust | 103,745 | 218,488 | ||||||
902,701 | ||||||||
South Africa — 0.7% | ||||||||
Impala Platinum Holdings Ltd. | 21,753 | 359,490 | ||||||
Northam Platinum Ltd. (a) | 10,859 | 164,990 | ||||||
Sibanye Stillwater Ltd. | 167,464 | 700,698 | ||||||
1,225,178 | ||||||||
Spain — 0.4% | ||||||||
Cellnex Telecom SA (b) | 4,066 | 259,018 | ||||||
Iberdrola SA | 12,587 | 153,378 | ||||||
Inmobiliaria Colonial SA | 29,717 | 299,906 | ||||||
712,302 | ||||||||
Sweden — 4.8% | ||||||||
Atlas Copco AB Class B | 3,879 | 204,102 |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Boliden AB | 65,836 | $ | 2,532,194 | |||||
Epiroc AB Class A | 70,213 | 1,600,078 | ||||||
Epiroc AB Class B | 18,477 | 362,735 | ||||||
Fabege AB | 23,492 | 376,935 | ||||||
Granges AB | 22,755 | 316,192 | ||||||
Hexpol AB | 16,290 | 201,444 | ||||||
Lundin Energy AB | 14,567 | 516,854 | ||||||
Sandvik AB | 66,041 | 1,687,226 | ||||||
Svenska Cellulosa AB Class B | 15,198 | 249,107 | ||||||
8,046,867 | ||||||||
Switzerland — 0.3% | ||||||||
Bucher Industries AG | 402 | 210,294 | ||||||
PSP Swiss Property AG Registered | 1,812 | 229,802 | ||||||
440,096 | ||||||||
United Kingdom — 6.4% | ||||||||
Anglo American PLC | 18,787 | 748,641 | ||||||
Antofagasta PLC | 33,430 | 664,070 | ||||||
Atotech Ltd. (a) | 20,172 | 514,991 | ||||||
BHP Group PLC | 67,207 | 1,980,969 | ||||||
Big Yellow Group PLC | 11,563 | 209,131 | ||||||
Croda International PLC | 3,502 | 357,217 | ||||||
Derwent London PLC | 13,056 | 597,588 | ||||||
Great Portland Estates PLC | 45,896 | 450,808 | ||||||
IMI PLC | 11,067 | 263,369 | ||||||
Mondi PLC | 23,919 | 630,214 | ||||||
Polymetal International PLC | 10,373 | 223,402 | ||||||
Polymetal International PLC | 18,943 | 409,261 | ||||||
Rio Tinto PLC | 17,699 | 1,457,103 | ||||||
The UNITE Group PLC | 37,521 | 556,945 | ||||||
The Weir Group PLC (a) | 47,724 | 1,223,916 | ||||||
Whitbread PLC (a) | 8,526 | 368,978 | ||||||
10,656,603 | ||||||||
United States — 49.9% | ||||||||
3M Co. | 564 | 112,027 | ||||||
Acadia Realty Trust | 65,573 | 1,439,983 | ||||||
AGCO Corp. | 2,237 | 291,660 | ||||||
Agree Realty Corp. | 346 | 24,390 | ||||||
Air Products & Chemicals, Inc. | 2,174 | 625,416 | ||||||
Alamo Group, Inc. | 1,233 | 188,254 | ||||||
Albemarle Corp. | 4,991 | 840,784 | ||||||
Alexandria Real Estate Equities, Inc. | 12,855 | 2,338,839 | ||||||
Ameren Corp. | 4,290 | 343,372 | ||||||
American Campus Communities, Inc. | 23,316 | 1,089,323 | ||||||
Apartment Income REIT Corp. | 14,440 | 684,889 | ||||||
Apple Hospitality REIT, Inc. | 82,433 | 1,257,928 | ||||||
Array Technologies, Inc. (a) | 7,130 | 111,228 | ||||||
AvalonBay Communities, Inc. | 11,230 | 2,343,589 | ||||||
Avery Dennison Corp. | 2,278 | 478,927 | ||||||
Ball Corp. | 3,908 | 316,626 | ||||||
BWX Technologies, Inc. | 1,513 | 87,936 | ||||||
Cactus, Inc. Class A | 7,244 | 266,000 | ||||||
Camden Property Trust | 22,592 | 2,997,281 | ||||||
Caterpillar, Inc. | 10,016 | 2,179,782 |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Celanese Corp. | 1,350 | $ | 204,660 | |||||
CF Industries Holdings, Inc. | 5,623 | 289,303 | ||||||
ChampionX Corp. (a) | 10,697 | 274,378 | ||||||
Chevron Corp. | 7,648 | 801,051 | ||||||
CMS Energy Corp. | 4,280 | 252,862 | ||||||
ConocoPhillips | 22,866 | 1,392,539 | ||||||
Copart, Inc. (a) | 758 | 99,927 | ||||||
CoStar Group, Inc. (a) | 1,000 | 82,820 | ||||||
CubeSmart | 40,968 | 1,897,638 | ||||||
CyrusOne, Inc. | 6,823 | 487,981 | ||||||
Darling Ingredients, Inc. (a) | 5,056 | 341,280 | ||||||
Deere & Co. | 1,321 | 465,930 | ||||||
Devon Energy Corp. | 19,103 | 557,617 | ||||||
Digital Realty Trust, Inc. | 2,704 | 406,844 | ||||||
Dominion Energy, Inc. | 2,923 | 215,045 | ||||||
Douglas Emmett, Inc. | 40,804 | 1,371,830 | ||||||
DTE Energy Co. | 1,791 | 232,114 | ||||||
EastGroup Properties, Inc. | 4,999 | 822,086 | ||||||
Element Solutions, Inc. | 14,578 | 340,834 | ||||||
Emerson Electric Co. | 1,800 | 173,232 | ||||||
Entegris, Inc. | 3,384 | 416,130 | ||||||
EOG Resources, Inc. | 11,788 | 983,591 | ||||||
EPR Properties (a) | 2,692 | 141,815 | ||||||
Equinix, Inc. | 4,522 | 3,629,357 | ||||||
Equity LifeStyle Properties, Inc. | 31,149 | 2,314,682 | ||||||
Equity Residential | 30,633 | 2,358,741 | ||||||
Essential Properties Realty Trust, Inc. | 4,047 | 109,431 | ||||||
Essex Property Trust, Inc. | 6,836 | 2,050,868 | ||||||
Federal Realty Investment Trust | 3,227 | 378,108 | ||||||
Gores Holdings V Inc. (Acquired 3/15/21, Cost $70,900) (a) (d) (e) (f) | 7,090 | 64,448 | ||||||
Graphic Packaging Holding Co. | 11,770 | 213,508 | ||||||
Halliburton Co. | 7,152 | 165,354 | ||||||
Healthcare Realty Trust, Inc. | 22,982 | 694,056 | ||||||
Healthcare Trust of America, Inc. Class A | 20,763 | 554,372 | ||||||
Hess Corp. | 4,276 | 373,380 | ||||||
Highwoods Properties, Inc. | 7,930 | 358,198 | ||||||
Hilton Worldwide Holdings, Inc. (a) | 1,518 | 183,101 | ||||||
Host Hotels & Resorts, Inc. (a) | 8,527 | 145,726 | ||||||
The Howard Hughes Corp. (a) | 4,387 | 427,557 | ||||||
Hubbell, Inc. | 1,400 | 261,576 | ||||||
Huntsman Corp. | 9,440 | 250,349 | ||||||
IDACORP, Inc. | 1,622 | 158,145 | ||||||
Innovative Industrial Properties, Inc. (c) | 149 | 28,462 | ||||||
International Paper Co. | 11,549 | 708,069 | ||||||
JBG SMITH Properties | 4,403 | 138,739 | ||||||
Kadant, Inc. | 1,110 | 195,460 | ||||||
Kilroy Realty Corp. | 17,943 | 1,249,550 | ||||||
Knight-Swift Transportation Holdings, Inc. | 2,234 | 101,558 | ||||||
Leidos Holdings, Inc. | 863 | 87,249 | ||||||
Lexington Realty Trust | 2,158 | 25,788 | ||||||
Lindsay Corp. | 1,660 | 274,365 | ||||||
Lockheed Martin Corp. | 262 | 99,128 | ||||||
Magnolia Oil & Gas Corp. Class A (a) | 17,142 | 267,929 | ||||||
Marriott International, Inc. Class A (a) | 3,253 | 444,100 | ||||||
Martin Marietta Materials, Inc. | 3,114 | 1,095,536 | ||||||
National Retail Properties, Inc. | 3,613 | 169,377 | ||||||
NextEra Energy, Inc. | 3,419 | 250,544 | ||||||
Northrop Grumman Corp. | 328 | 119,205 |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Nucor Corp. | 9,972 | $ | 956,614 | |||||
Old Dominion Freight Line, Inc. | 417 | 105,835 | ||||||
Packaging Corp. of America | 6,033 | 816,989 | ||||||
Pebblebrook Hotel Trust | 40,265 | 948,241 | ||||||
Pioneer Natural Resources Co. | 4,007 | 651,218 | ||||||
PPG Industries, Inc. | 3,222 | 546,999 | ||||||
Prologis, Inc. | 35,588 | 4,253,834 | ||||||
PS Business Parks, Inc. | 5,496 | 813,848 | ||||||
Public Storage | 7,085 | 2,130,389 | ||||||
Quaker Chemical Corp. (c) | 1,035 | 245,492 | ||||||
Rayonier, Inc. | 5,355 | 192,405 | ||||||
Realty Income Corp. | 6,153 | 410,651 | ||||||
Regency Centers Corp. | 21,840 | 1,399,289 | ||||||
Reliance Steel & Aluminum Co. | 13,921 | 2,100,679 | ||||||
Rexford Industrial Realty, Inc. | 18,047 | 1,027,777 | ||||||
Rockwell Automation, Inc. | 397 | 113,550 | ||||||
Roper Technologies, Inc. | 252 | 118,490 | ||||||
Royal Gold, Inc. | 1,343 | 153,236 | ||||||
RPM International, Inc. | 6,415 | 568,882 | ||||||
Sanderson Farms, Inc. | 1,040 | 195,489 | ||||||
SBA Communications Corp. | 840 | 267,708 | ||||||
The Sherwin-Williams Co. | 3,564 | 971,012 | ||||||
Shoals Technologies Group, Inc. Class A (a) | 10,900 | 386,950 | ||||||
Simon Property Group, Inc. | 7,295 | 951,852 | ||||||
SL Green Realty Corp. (c) | 9,950 | 796,000 | ||||||
Southern Copper Corp. | 14,079 | 905,561 | ||||||
Spirit Realty Capital, Inc. | 1,098 | 52,528 | ||||||
Steel Dynamics, Inc. | 20,039 | 1,194,324 | ||||||
STORE Capital Corp. | 6,845 | 236,221 | ||||||
Sunstone Hotel Investors, Inc. (a) | 61,719 | 766,550 | ||||||
Terex Corp. | 4,700 | 223,814 | ||||||
Terreno Realty Corp. | 18,763 | 1,210,589 | ||||||
The Timken Co. | 2,677 | 215,739 | ||||||
The Toro Co. | 2,097 | 230,418 | ||||||
Union Pacific Corp. | 423 | 93,030 | ||||||
Urban Edge Properties | 3,946 | 75,369 | ||||||
Valmont Industries, Inc. | 899 | 212,209 | ||||||
VEREIT, Inc. | 5,970 | 274,202 | ||||||
Verisk Analytics, Inc. | 659 | 115,140 | ||||||
Vulcan Materials Co. | 6,122 | 1,065,657 | ||||||
WEC Energy Group, Inc. | 2,600 | 231,270 | ||||||
Welltower, Inc. | 42,129 | 3,500,920 | ||||||
Westlake Chemical Corp. | 4,028 | 362,882 | ||||||
WestRock Co. | 6,081 | 323,631 | ||||||
Weyerhaeuser Co. | 4,798 | 165,147 | ||||||
WP Carey, Inc. | 8,836 | 659,342 | ||||||
Xcel Energy, Inc. | 3,460 | 227,945 | ||||||
83,681,674 | ||||||||
TOTAL COMMON STOCK (Cost $128,697,951) | 153,363,896 | |||||||
PREFERRED STOCK — 0.8% | ||||||||
United States — 0.8% | ||||||||
Jetti Holdings, Inc., Series C, (Acquired 5/24/21-6/30/21, Cost $130,426) | ||||||||
(a) (d) (e) (g) | 2,253 | 130,426 |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
NextEra Energy, Inc. Convertible | ||||||||
5.279% (c) | 10,074 | $ | 493,223 | |||||
Sempra Energy Convertible | ||||||||
6.750% | 2,130 | 210,380 | ||||||
The Southern Co. Convertible | ||||||||
6.750% | 10,111 | 511,920 | ||||||
1,345,949 | ||||||||
TOTAL PREFERRED STOCK (Cost $1,224,801) | 1,345,949 | |||||||
TOTAL EQUITIES (Cost $129,922,752) | 154,709,845 | |||||||
MUTUAL FUNDS — 6.3% | ||||||||
United States — 6.3% | ||||||||
SPDR Dow Jones REIT ETF (c) | 3,475 | 364,493 | ||||||
SPDR S&P Homebuilders ETF (c) | 27,868 | 2,041,052 | ||||||
SPDR S&P Oil & Gas Exploration & Production ETF (c) | 38,420 | 3,714,830 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (h) | 3,995,249 | 3,995,249 | ||||||
VanEck Vectors Oil Services ETF | 1,758 | 384,879 | ||||||
10,500,503 | ||||||||
TOTAL MUTUAL FUNDS (Cost $8,989,853) | 10,500,503 | |||||||
TOTAL PURCHASED OPTIONS (#)— 0.0% (Cost $54,412) | 17,651 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $138,967,017) | 165,227,999 | |||||||
SHORT-TERM INVESTMENTS — 2.8% | ||||||||
Mutual Fund — 1.9% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 3,193,834 | 3,193,834 | ||||||
Principal Amount | ||||||||
Repurchase Agreement — 0.8% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (i) | $ | 1,296,706 | 1,296,706 | |||||
U.S. Treasury Bill — 0.1% | ||||||||
U.S. Treasury Bill | ||||||||
0.020% 12/30/21 (j) (k) | 10,000 | 9,997 | ||||||
0.025% 12/30/21 (j) (k) | 10,000 | 9,997 | ||||||
0.031% 12/30/21 (j) (k) | 10,000 | 9,997 | ||||||
0.069% 12/30/21 (j) (k) | 150,000 | 149,959 | ||||||
0.069% 12/30/21 (j) (k) | 40,000 | 39,989 | ||||||
219,939 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,710,472) | 4,710,479 | |||||||
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
TOTAL INVESTMENTS — 101.3% (Cost $143,677,489) (l) | $ | 169,938,478 | ||||||
Other Assets/(Liabilities) — (1.3)% | (2,228,854) | |||||||
NET ASSETS — 100.0% | $ | 167,709,624 |
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 June 30, 2021, the aggregate market value of these securities amounted to $1,385,711 or 0.83% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $6,050,147 or 3.61% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $2,291,187 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) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $194,874 or 0.12% of net assets. |
(e) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $194,874 or 0.12% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(g) | Investment was valued using significant unobservable inputs. |
(h) | Represents investment of security lending cash collateral. (Note 2). |
(i) | Maturity value of $1,296,706. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $1,322,641. |
(j) | The rate shown represents yield-to-maturity. |
(k) | A portion of this security is pledged/held as collateral for open derivatives. |
(l) | 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) | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
S&P 500 Index | Barclays Bank PLC | 9/17/21 | 3,660.00 | 4 | USD | 1,464,000 | $ | 8,123 | $ | 29,572 | $ | (21,449 | ) | |||||||||||||||||
Euro Stoxx 50 Index | Morgan Stanley & Co. LLC | 9/17/21 | 3,550.00 | 32 | EUR | 1,136,000 | 9,528 | 24,840 | (15,312 | ) | ||||||||||||||||||||
$ | 17,651 | $ | 54,412 | $ | (36,761 | ) |
Forward contracts | ||||||||||||||||
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of America N.A. | 7/15/21 | CAD | 2,335,295 | USD | 1,931,784 | $ | (47,893 | ) | ||||||||
Barclays Bank PLC | 7/15/21 | USD | 537,278 | SEK | 4,442,500 | 18,115 | ||||||||||
Deutsche Bank AG | 7/15/21 | GBP | 464,500 | USD | 658,759 | (16,191 | ) | |||||||||
Morgan Stanley & Co. LLC | 7/15/21 | JPY | 122,154,000 | USD | 1,116,184 | (16,525 | ) | |||||||||
$ | (62,494 | ) |
MassMutual Select T. Rowe Price Real Assets Fund — Portfolio of Investments (Continued) |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
S&P TSX 60 Index | 9/16/21 | 6 | $ | 1,153,694 | $ | 10,585 | ||||||||
Xae Energy Index | 9/17/21 | 30 | 1,710,646 | (32,746) | ||||||||||
$ | (22,161) |
Currency Legend
CAD | Canadian Dollar |
GBP | British Pound |
JPY | Japanese Yen |
SEK | Swedish Krona |
USD | U.S. Dollar |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 97.6% | ||||||||
COMMON STOCK — 95.2% | ||||||||
Basic Materials — 3.9% | ||||||||
Chemicals — 1.1% | ||||||||
AgroFresh Solutions, Inc. (a) | 70,331 | $ | 146,288 | |||||
American Vanguard Corp. | 15,320 | 268,252 | ||||||
Atotech Ltd. (a) | 23,972 | 612,004 | ||||||
Element Solutions, Inc. | 88,213 | 2,062,419 | ||||||
Hawkins, Inc. | 9,418 | 308,439 | ||||||
Minerals Technologies, Inc. | 16,847 | 1,325,354 | ||||||
Oil-Dri Corp. of America | 3,358 | 114,776 | ||||||
Orion Engineered Carbons SA (a) | 38,419 | 729,577 | ||||||
PPG Industries, Inc. | 5,751 | 976,347 | ||||||
Quaker Chemical Corp. (b) | 6,130 | 1,453,975 | ||||||
RPM International, Inc. | 12,000 | 1,064,160 | ||||||
Westlake Chemical Corp. | 13,501 | 1,216,305 | ||||||
10,277,896 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Clearwater Paper Corp. (a) | 16,878 | 488,955 | ||||||
West Fraser Timber Co. Ltd. | 11,106 | 797,292 | ||||||
1,286,247 | ||||||||
Iron & Steel — 0.2% | ||||||||
Carpenter Technology Corp. | 20,004 | 804,561 | ||||||
Reliance Steel & Aluminum Co. | 3,864 | 583,078 | ||||||
1,387,639 | ||||||||
Mining — 2.5% | ||||||||
Alcoa Corp. (a) | 5,285 | 194,699 | ||||||
AngloGold Ashanti Ltd. Sponsored ADR | 30,789 | 572,060 | ||||||
Cameco Corp. | 198,933 | 3,815,535 | ||||||
Centerra Gold, Inc. | 24,954 | 189,430 | ||||||
Cia de Minas Buenaventura SA Sponsored ADR (a) | 179,348 | 1,623,099 | ||||||
Constellium SE (a) | 108,266 | 2,051,641 | ||||||
ERO Copper Corp. (a) | 66,956 | 1,404,909 | ||||||
Franco-Nevada Corp. | 36,090 | 5,237,359 | ||||||
Freeport-McMoRan, Inc. | 74,046 | 2,747,847 | ||||||
Fresnillo PLC | 168,607 | 1,800,331 | ||||||
Gold Fields Ltd. Sponsored ADR | 144,326 | 1,284,501 | ||||||
Kirkland Lake Gold Ltd. | 27,000 | 1,040,310 | ||||||
NAC Kazatomprom JSC | 222 | 6,444 | ||||||
NAC Kazatomprom JSC GDR | 41,833 | 1,213,157 | ||||||
Newmont Corp. | 1,751 | 110,978 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Northern Star Resources Ltd. | 69,754 | $ | 513,253 | |||||
23,805,553 | ||||||||
36,757,335 | ||||||||
Communications — 5.3% | ||||||||
Advertising — 0.2% | ||||||||
Advantage Solutions, Inc. (a) | 65,261 | 704,166 | ||||||
Boston Omaha Corp. Class A (a) | 21,798 | 691,215 | ||||||
National CineMedia, Inc. | 37,906 | 192,183 | ||||||
1,587,564 | ||||||||
Internet — 2.5% | ||||||||
1stdibs.com, Inc., Lockup Shares (Acquired 2/07/19, Cost $143,936) (a) (c) (d) | 9,574 | 316,607 | ||||||
Bright Health Group, Inc. (a) | 14,974 | 256,954 | ||||||
Bright Health, Inc., Lockup Shares (Acquired 9/16/20, Cost $150,478) (a) (c) (d) | 22,110 | 360,437 | ||||||
Deliveroo Holdings PLC Class A (a) (b) (e) | 68,316 | 272,588 | ||||||
Deliveroo Holdings PLC., Lockup Shares (Acquired 5/16/19, Cost $21,731) (a) (c) (d) (e) | 10,400 | 39,416 | ||||||
Dragoneer Growth Opportunities Corp. (Acquired 3/15/21, Cost $80,820) (a) (c) (d) (f) | 8,082 | 72,447 | ||||||
Etsy, Inc. (a) | 9,000 | 1,852,560 | ||||||
Farfetch Ltd. Class A (a) | 14,712 | 740,896 | ||||||
Figs, Inc. Class A (a) | 3,721 | 186,422 | ||||||
FIGS, Inc., Lockup Shares (Acquired 10/23/20, Cost $209,337) (a) (c) (d) | 24,489 | 1,165,554 | ||||||
Fiverr International Ltd. (a) | 583 | 141,372 | ||||||
IAC/InterActiveCorp (a) | 8,000 | 1,233,360 | ||||||
Match Group, Inc. (a) | 15,000 | 2,418,750 | ||||||
MYT Netherlands Parent BV (a) (b) | 3,743 | 113,900 | ||||||
Okta, Inc. (a) | 18,549 | 4,538,569 | ||||||
Open Lending Corp. Class A (a) | 4,163 | 179,384 | ||||||
Opendoor Technologies, Inc. (a) | 33,926 | 601,508 | ||||||
Pinterest, Inc. Class A (a) | 9,000 | 710,550 | ||||||
Poshmark, Inc. Class A (a) | 7,349 | 350,841 | ||||||
RealReal, Inc. (a) | 17,956 | 354,811 | ||||||
Spotify Technology SA (a) | 7,000 | 1,929,130 | ||||||
Squarespace, Inc. Class A (a) | 824 | 48,954 | ||||||
Upwork, Inc. (a) | 41,774 | 2,435,006 | ||||||
Vimeo, Inc. (a) | 19,813 | 970,837 | ||||||
Zendesk, Inc. (a) | 14,757 | 2,130,025 | ||||||
23,420,878 | ||||||||
Media — 2.2% | ||||||||
Cable One, Inc. | 2,666 | 5,099,551 | ||||||
DISH Network Corp. Class A (a) | 33,336 | 1,393,445 | ||||||
Fox Corp. Class A | 38,282 | 1,421,411 | ||||||
Liberty Broadband Corp. Class C (a) | 14,182 | 2,462,846 | ||||||
Liberty Media Corp-Liberty Formula One Class C (a) | 23,000 | 1,108,830 | ||||||
News Corp. Class A | 201,024 | 5,180,389 | ||||||
Saga Communications, Inc. Class A | 5,525 | 119,616 | ||||||
Scholastic Corp. | 56,373 | 2,135,973 | ||||||
Thryv Holdings, Inc. (a) | 15,782 | 564,522 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ViacomCBS, Inc. Class B | 17,782 | $ | 803,746 | |||||
20,290,329 | ||||||||
Telecommunications — 0.4% | ||||||||
Corning, Inc. | 48,000 | 1,963,200 | ||||||
Gores Holdings V Inc. (Acquired 3/15/21, Cost $289,390) (a) (c) (d) (f) | 28,939 | 263,056 | ||||||
Harmonic, Inc. (a) | 136,452 | 1,162,571 | ||||||
HashiCorp, Inc. (Acquired 6/25/20-1/21/21, Cost $46,278) (a) (c) (d) (g) | 1,778 | 79,583 | ||||||
Infinera Corp. (a) | 5,300 | 54,060 | ||||||
Telephone & Data Systems, Inc. | 26,492 | 600,309 | ||||||
4,122,779 | ||||||||
49,421,550 | ||||||||
Consumer, Cyclical — 8.6% | ||||||||
Airlines — 0.4% | ||||||||
Alaska Air Group, Inc. (a) | 18,000 | 1,085,580 | ||||||
Allegiant Travel Co. (a) | 963 | 186,822 | ||||||
Southwest Airlines Co. (a) | 45,545 | 2,417,984 | ||||||
Sun Country Airlines Holdings, Inc. (a) | 8,820 | 326,428 | ||||||
4,016,814 | ||||||||
Apparel — 0.6% | ||||||||
Allbirds, Inc. (Acquired 10/10/18-12/21/18, Cost $139,612) (a) (c) (d) (g) | 12,730 | 147,190 | ||||||
Capri Holdings Ltd. (a) | 12,000 | 686,280 | ||||||
Hanesbrands, Inc. | 29,308 | 547,180 | ||||||
Ralph Lauren Corp. | 19,091 | 2,249,111 | ||||||
Skechers U.S.A., Inc. Class A (a) | 12,300 | 612,909 | ||||||
Steven Madden Ltd. | 23,152 | 1,013,132 | ||||||
VF Corp. | 10,000 | 820,400 | ||||||
6,076,202 | ||||||||
Auto Manufacturers — 0.4% | ||||||||
Blue Bird Corp. (a) | 14,277 | 354,926 | ||||||
PACCAR, Inc. | 33,571 | 2,996,212 | ||||||
3,351,138 | ||||||||
Auto Parts & Equipment — 0.6% | ||||||||
Aptiv PLC (a) | 17,000 | 2,674,610 | ||||||
Dorman Products, Inc. (a) | 6,798 | 704,748 | ||||||
Gentherm, Inc. (a) | 8,174 | 580,763 | ||||||
The Goodyear Tire & Rubber Co. (a) | 19,898 | 341,251 | ||||||
Meritor, Inc. (a) | 22,543 | 527,957 | ||||||
Visteon Corp. (a) | 5,121 | 619,334 | ||||||
5,448,663 | ||||||||
Distribution & Wholesale — 0.5% | ||||||||
Pool Corp. | 1,081 | 495,811 | ||||||
Resideo Technologies, Inc. (a) | 12,085 | 362,550 | ||||||
SiteOne Landscape Supply, Inc. (a) (b) | 14,080 | 2,383,181 | ||||||
thredUP, Inc. (a) | 16,274 | 473,248 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Univar Solutions, Inc. (a) | 29,755 | $ | 725,427 | |||||
4,440,217 | ||||||||
Entertainment — 0.7% | ||||||||
Bally's Corp. (a) | 6,480 | 350,633 | ||||||
Cinemark Holdings, Inc. (a) | 16,881 | 370,538 | ||||||
DraftKings, Inc. Class A (a) (b) | 15,000 | 782,550 | ||||||
Genius Sports Ltd. (a) | 17,177 | 322,412 | ||||||
Madison Square Garden Sports Corp. (a) | 2,576 | 444,540 | ||||||
Marriott Vacations Worldwide Corp. (a) | 5,038 | 802,554 | ||||||
Vail Resorts, Inc. (a) | 12,071 | 3,820,713 | ||||||
6,893,940 | ||||||||
Food Services — 0.1% | ||||||||
Compass Group PLC (a) | 54,499 | 1,149,442 | ||||||
Home Builders — 0.4% | ||||||||
Cavco Industries, Inc. (a) | 5,877 | 1,305,811 | ||||||
Horizon Global Corp. (a) | 39,691 | 336,580 | ||||||
LCI Industries | 5,463 | 717,947 | ||||||
Meritage Home Corp. (a) | 10,807 | 1,016,722 | ||||||
Skyline Champion Corp. (a) | 14,258 | 759,951 | ||||||
TRI Pointe Group, Inc. (a) | 2,295 | 49,182 | ||||||
4,186,193 | ||||||||
Leisure Time — 0.1% | ||||||||
Drive Shack, Inc. (a) | 34,510 | 114,228 | ||||||
Planet Fitness, Inc. Class A (a) | 6,520 | 490,630 | ||||||
Rad Power Bikes, Inc., Class A (Acquired 1/22/21, Cost $69,082) (a) (c) (d) (g) | 14,321 | 69,082 | ||||||
673,940 | ||||||||
Lodging — 0.5% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 24,000 | 2,894,880 | ||||||
MGM Resorts International | 35,000 | 1,492,750 | ||||||
4,387,630 | ||||||||
Retail — 4.2% | ||||||||
A Place for Rover, Inc. (Acquired 5/25/18, Cost $7,426) (a) (c) (d) (g) | 1,096 | 10,762 | ||||||
Aspen Aerogels, Inc. (a) | 4,455 | 133,293 | ||||||
Beacon Roofing Supply, Inc. (a) | 21,195 | 1,128,634 | ||||||
BJ's Restaurants, Inc. (a) | 28,156 | 1,383,586 | ||||||
Burlington Stores, Inc. (a) | 25,596 | 8,241,656 | ||||||
Casey's General Stores, Inc. | 12,000 | 2,335,680 | ||||||
Chipotle Mexican Grill, Inc. (a) | 1,450 | 2,247,993 | ||||||
Chuy's Holdings, Inc. (a) | 13,295 | 495,372 | ||||||
Denny's Corp. (a) | 19,637 | 323,814 | ||||||
Dollar General Corp. | 13,000 | 2,813,070 | ||||||
Dollar Tree, Inc. (a) | 19,000 | 1,890,500 | ||||||
Domino's Pizza, Inc. | 3,150 | 1,469,443 | ||||||
Fiesta Restaurant Group, Inc. (a) | 29,583 | 397,300 | ||||||
Five Below, Inc. (a) | 5,315 | 1,027,230 | ||||||
Framebridge Future Contingency Payments (Acquired 5/19/20-11/10/20, Cost $27,511) (a) (c) (d) (g) | 10,553 | 2,703 | ||||||
Freshpet, Inc. (a) | 2,407 | 392,245 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Hibbett, Inc. (a) | 6,111 | $ | 547,729 | |||||
Lululemon Athletica, Inc. (a) | 1,000 | 364,970 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 28,891 | 609,600 | ||||||
Nordstrom, Inc. (a) | 32,717 | 1,196,461 | ||||||
O'Reilly Automotive, Inc. (a) | 4,200 | 2,378,082 | ||||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 13,692 | 1,151,908 | ||||||
Papa John's International, Inc. | 20,562 | 2,147,495 | ||||||
Petco Health & Wellness Co., Inc. (a) | 29,941 | 670,978 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 17,175 | 568,664 | ||||||
RH (a) | 2,324 | 1,577,996 | ||||||
Ross Stores, Inc. | 10,000 | 1,240,000 | ||||||
Rush Enterprises, Inc. Class A | 17,178 | 742,777 | ||||||
Ruth's Hospitality Group, Inc. (a) | 11,965 | 275,554 | ||||||
Wingstop, Inc. | 3,618 | 570,305 | ||||||
Winmark Corp. | 3,335 | 640,587 | ||||||
38,976,387 | ||||||||
Textiles — 0.1% | ||||||||
Bombas LLC. (Acquired 2/12/21, Cost $183,470) (a) (c) (d) (g) | 41,514 | 183,470 | ||||||
Mohawk Industries, Inc. (a) | 3,456 | 664,209 | ||||||
UniFirst Corp. | 1,325 | 310,898 | ||||||
1,158,577 | ||||||||
80,759,143 | ||||||||
Consumer, Non-cyclical — 27.4% | ||||||||
Agriculture — 0.5% | ||||||||
Bunge Ltd. | 57,003 | 4,454,784 | ||||||
Pax Labs, Inc., Class A (Acquired 4/18/19, Cost $218,578) (a) (c) (d) (g) | 58,048 | 97,521 | ||||||
4,552,305 | ||||||||
Beverages — 0.8% | ||||||||
The Boston Beer Co., Inc. Class A (a) | 4,563 | 4,657,910 | ||||||
Carlsberg A/S Class B | 8,730 | 1,629,782 | ||||||
Coca-Cola Consolidated, Inc. | 1,555 | 625,312 | ||||||
6,913,004 | ||||||||
Biotechnology — 5.3% | ||||||||
Abcam PLC (a) | 35,913 | 685,286 | ||||||
Abcam PLC Sponsored ADR (a) | 7,633 | 145,332 | ||||||
ACADIA Pharmaceuticals, Inc. (a) | 54,450 | 1,328,036 | ||||||
Acceleron Pharma, Inc. (a) | 12,991 | 1,630,241 | ||||||
ADC Therapeutics SA (a) (b) | 4,594 | 111,864 | ||||||
Akero Therapeutics, Inc. (a) (b) | 2,540 | 63,017 | ||||||
Allogene Therapeutics, Inc. (a) | 7,033 | 183,421 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 12,165 | 2,062,211 | ||||||
Annexon, Inc. (a) | 2,155 | 48,509 | ||||||
Apellis Pharmaceuticals, Inc. (a) | 11,734 | 741,589 | ||||||
Arcutis Biotherapeutics, Inc. (a) | 1,459 | 39,816 | ||||||
Ardelyx, Inc. (a) | 4,480 | 33,958 | ||||||
Argenx SE ADR (a) | 11,605 | 3,493,917 | ||||||
Ascendis Pharma A/S ADR (a) | 11,860 | 1,560,183 | ||||||
Atea Pharmaceuticals, Inc. (a) | 2,251 | 48,351 | ||||||
Avidity Biosciences, Inc. (a) (b) | 10,698 | 264,348 | ||||||
BeiGene Ltd. ADR (a) | 813 | 279,013 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
BioMarin Pharmaceutical, Inc. (a) | 9,831 | $ | 820,299 | |||||
Blueprint Medicines Corp. (a) | 12,549 | 1,103,810 | ||||||
C4 Therapeutics, Inc. (a) | 10,635 | 402,428 | ||||||
Cara Therapeutics, Inc. (a) | 1,168 | 16,667 | ||||||
Cerevel Therapeutics Holdings, Inc. (a) | 8,116 | 207,932 | ||||||
Certara, Inc. (a) | 9,218 | 261,146 | ||||||
Corteva, Inc. | 68,339 | 3,030,835 | ||||||
CRISPR Therapeutics AG (a) | 2,209 | 357,615 | ||||||
Day One Biopharmaceuticals, Inc. (a) | 1,575 | 35,863 | ||||||
Day One Biopharmaceuticals, Inc., Lockup Shares (Acquired 2/02/21, Cost $20,478) (a) (c) (d) | 1,518 | 32,837 | ||||||
Denali Therapeutics, Inc. (a) | 9,783 | 767,379 | ||||||
Design Therapeutics, Inc. (a) | 1,471 | 29,258 | ||||||
Dicerna Pharmaceuticals, Inc. (a) | 3,006 | 112,184 | ||||||
Exact Sciences Corp. (a) | 33,569 | 4,172,962 | ||||||
Exelixis, Inc. (a) | 37,523 | 683,669 | ||||||
Fate Therapeutics, Inc. (a) | 5,713 | 495,831 | ||||||
Generation Bio Co., (a) | 19,988 | 537,677 | ||||||
Global Blood Therapeutics, Inc. (a) | 13,311 | 466,151 | ||||||
Guardant Health, Inc. (a) | 1,073 | 133,256 | ||||||
Homology Medicines, Inc. (a) | 7,348 | 53,420 | ||||||
IGM Biosciences, Inc. (a) | 6,544 | 544,461 | ||||||
Incyte Corp. (a) | 37,673 | 3,169,430 | ||||||
Insmed, Inc. (a) | 47,963 | 1,365,027 | ||||||
Ionis Pharmaceuticals, Inc. (a) | 34,007 | 1,356,539 | ||||||
Iovance Biotherapeutics, Inc. (a) | 7,175 | 186,694 | ||||||
Karuna Therapeutics, Inc. (a) (b) | 3,968 | 452,312 | ||||||
Kodiak Sciences, Inc. (a) (b) | 19,501 | 1,813,593 | ||||||
Kronos Bio, Inc. (a) (b) | 3,205 | 76,760 | ||||||
Kymera Therapeutics, Inc. (a) | 4,848 | 235,128 | ||||||
MeiraGTx Holdings PLC (a) (b) | 6,244 | 96,782 | ||||||
Mersana Therapeutics, Inc. (a) | 3,138 | 42,614 | ||||||
Mirati Therapeutics, Inc. (a) | 2,625 | 424,016 | ||||||
Molecular Templates, Inc. (a) (b) | 2,320 | 18,142 | ||||||
Monte Rosa Therapeutics, Inc. (a) | 6,690 | 151,863 | ||||||
Nurix Therapeutics, Inc. (a) | 12,707 | 337,117 | ||||||
Olink Holding AB (a) | 9,609 | 330,742 | ||||||
Orchard Therapeutics PLC (a) (b) | 10,017 | 43,975 | ||||||
Prothena Corp. PLC (a) | 21,531 | 1,106,909 | ||||||
PTC Therapeutics, Inc. (a) | 4,130 | 174,575 | ||||||
Radius Health, Inc. (a) | 44,926 | 819,450 | ||||||
RAPT Therapeutics, Inc. (a) | 10,614 | 337,419 | ||||||
Relay Therapeutics, Inc. (a) | 1,422 | 52,031 | ||||||
Replimune Group, Inc. (a) | 14,118 | 542,414 | ||||||
Rocket Pharmaceuticals, Inc. (a) | 8,567 | 379,432 | ||||||
Sage Therapeutics, Inc. (a) | 3,114 | 176,906 | ||||||
Sana Biotechnology, Inc. (a) (b) | 2,266 | 44,550 | ||||||
Scholar Rock Holding Corp. (a) | 16,401 | 473,989 | ||||||
Seagen, Inc. (a) | 16,036 | 2,531,764 | ||||||
Seer, Inc. (a) (b) | 12,907 | 423,091 | ||||||
Solid Biosciences, Inc. (a) | 7,807 | 28,574 | ||||||
Stoke Therapeutics, Inc. (a) | 252 | 8,482 | ||||||
TG Therapeutics, Inc. (a) | 2,570 | 99,690 | ||||||
Translate Bio, Inc. (a) | 1,472 | 40,539 | ||||||
Turning Point Therapeutics, Inc. (a) | 9,748 | 760,539 | ||||||
Twist Bioscience Corp. (a) | 1,652 | 220,129 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 25,579 | 2,438,958 | ||||||
Verve Therapeutics, Inc. (a) | 1,206 | 72,662 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Xencor, Inc. (a) | 20,629 | $ | 711,494 | |||||
Zai Lab Ltd. ADR (a) | 2,024 | 358,228 | ||||||
Zentalis Pharmaceuticals, Inc. (a) | 9,672 | 514,550 | ||||||
Zymeworks, Inc. (a) | 1,061 | 36,806 | ||||||
49,438,687 | ||||||||
Commercial Services — 5.8% | ||||||||
The Aaron's Co., Inc. | 10,172 | 325,402 | ||||||
ABM Industries, Inc. | 7,914 | 350,986 | ||||||
ADT, Inc. | 56,432 | 608,901 | ||||||
Altus Group Ltd. | 10,425 | 483,153 | ||||||
American Public Education, Inc. (a) | 15,821 | 448,367 | ||||||
ASGN, Inc. (a) | 2,303 | 223,230 | ||||||
Avalara, Inc. (a) | 4,485 | 725,673 | ||||||
Booz Allen Hamilton Holding Corp. | 52,170 | 4,443,841 | ||||||
Bright Horizons Family Solutions, Inc. (a) | 23,821 | 3,504,307 | ||||||
The Brink's Co. | 7,184 | 552,019 | ||||||
Cintas Corp. | 2,387 | 911,834 | ||||||
CoStar Group, Inc. (a) | 67,720 | 5,608,570 | ||||||
Cross Country Healthcare, Inc. (a) | 2,349 | 38,782 | ||||||
Equifax, Inc. | 13,000 | 3,113,630 | ||||||
Euronet Worldwide, Inc. (a) | 4,791 | 648,462 | ||||||
FleetCor Technologies, Inc. (a) | 10,400 | 2,663,024 | ||||||
FTI Consulting, Inc. (a) | 1,997 | 272,810 | ||||||
Green Dot Corp. Class A (a) | 12,959 | 607,129 | ||||||
Huron Consulting Group, Inc. (a) | 8,081 | 397,181 | ||||||
Kelly Services, Inc. Class A (a) | 4,207 | 100,842 | ||||||
Kforce, Inc. | 1,463 | 92,067 | ||||||
Korn Ferry | 11,915 | 864,433 | ||||||
Legalzoom.com Inc. | 5,417 | 205,033 | ||||||
MarketAxess Holdings, Inc. | 6,197 | 2,872,867 | ||||||
Monro, Inc. | 22,107 | 1,404,016 | ||||||
Multiplan Corp. (a) | 97,700 | 930,104 | ||||||
Paylocity Holding Corp. (a) | 19,541 | 3,728,423 | ||||||
Payoneer Global, Inc. (a) | 7,858 | 81,487 | ||||||
Perdoceo Education Corp. (a) | 31,928 | 391,757 | ||||||
PROG Holdings, Inc. | 32,314 | 1,555,273 | ||||||
Rentokil Initial PLC | 389,702 | 2,669,733 | ||||||
Repay Holdings Corp. (a) | 11,061 | 265,906 | ||||||
Rollins, Inc. | 25,319 | 865,910 | ||||||
SEACOR Marine Holdings Inc. (a) | 38,992 | 171,955 | ||||||
StoneCo Ltd. Class A (a) | 32,722 | 2,194,337 | ||||||
Strategic Education, Inc. | 23,631 | 1,797,374 | ||||||
Terminix Global Holdings, Inc. (a) | 43,000 | 2,051,530 | ||||||
TransUnion | 38,385 | 4,215,057 | ||||||
Verisk Analytics, Inc. | 9,000 | 1,572,480 | ||||||
53,957,885 | ||||||||
Cosmetics & Personal Care — 0.0% | ||||||||
JAND, Inc., Class A (Acquired 3/09/18-11/19/20, Cost $123,990) (a) (c) (d) (g) | 7,617 | 186,850 | ||||||
Food — 2.2% | ||||||||
BellRing Brands, Inc. Class A (a) | 7,236 | 226,776 | ||||||
Cal-Maine Foods, Inc. | 13,633 | 493,651 | ||||||
Campbell Soup Co. | 50,754 | 2,313,875 | ||||||
Flowers Foods, Inc. | 201,373 | 4,873,227 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Grocery Outlet Holding Corp. (a) | 8,439 | $ | 292,496 | |||||
The Kraft Heinz Co. | 52,754 | 2,151,308 | ||||||
Nomad Foods Ltd. (a) | 51,883 | 1,466,732 | ||||||
Post Holdings, Inc. (a) | 14,363 | 1,557,955 | ||||||
Sanderson Farms, Inc. | 3,890 | 731,203 | ||||||
The Simply Good Foods Co. (a) | 16,232 | 592,630 | ||||||
Sysco Corp. | 42,769 | 3,325,290 | ||||||
TreeHouse Foods, Inc. (a) | 37,529 | 1,670,791 | ||||||
Utz Brands, Inc. | 55,561 | 1,210,674 | ||||||
20,906,608 | ||||||||
Health Care – Products — 6.2% | ||||||||
Adaptive Biotechnologies Corp. (a) | 28,256 | 1,154,540 | ||||||
Alcon, Inc. | 20,000 | 1,405,200 | ||||||
AtriCure, Inc. (a) | 7,750 | 614,808 | ||||||
Atrion Corp. | 1,051 | 652,597 | ||||||
Avanos Medical, Inc. (a) | 15,782 | 573,991 | ||||||
Avantor, Inc. (a) | 91,000 | 3,231,410 | ||||||
Axonics Inc. (a) | 2,630 | 166,768 | ||||||
Baxter International, Inc. | 45,629 | 3,673,134 | ||||||
Bruker Corp. | 74,993 | 5,697,968 | ||||||
The Cooper Cos., Inc. | 9,800 | 3,883,446 | ||||||
Cvrx, Inc. (a) | 3,634 | 101,752 | ||||||
Dentsply Sirona, Inc. | 66,026 | 4,176,805 | ||||||
Envista Holdings Corp. (a) | 17,960 | 776,052 | ||||||
Hanger, Inc. (a) | 25,036 | 632,910 | ||||||
Hologic, Inc. (a) | 106,653 | 7,115,888 | ||||||
ICU Medical, Inc. (a) | 7,618 | 1,567,784 | ||||||
IDEXX Laboratories, Inc. (a) | 1,399 | 883,538 | ||||||
iRhythm Technologies, Inc. (a) | 2,600 | 172,510 | ||||||
Lantheus Holdings, Inc. (a) | 10,728 | 296,522 | ||||||
Nevro Corp. (a) | 13,425 | 2,225,731 | ||||||
Novocure Ltd. (a) | 1,678 | 372,214 | ||||||
NuVasive, Inc. (a) | 5,254 | 356,116 | ||||||
Penumbra, Inc. (a) | 1,612 | 441,785 | ||||||
Pulmonx Corp. (a) | 926 | 40,855 | ||||||
Quanterix Corp. (a) | 2,219 | 130,167 | ||||||
Quidel Corp. (a) | 19,373 | 2,482,069 | ||||||
Repligen Corp. (a) | 2,230 | 445,153 | ||||||
Sartorius Stedim Biotech | 1,101 | 520,845 | ||||||
Shockwave Medical, Inc. (a) | 5,295 | 1,004,620 | ||||||
Teleflex, Inc. | 13,100 | 5,263,449 | ||||||
Utah Medical Products, Inc. | 2,305 | 196,017 | ||||||
West Pharmaceutical Services, Inc. | 12,346 | 4,433,449 | ||||||
Zimmer Biomet Holdings, Inc. | 20,341 | 3,271,240 | ||||||
57,961,333 | ||||||||
Health Care – Services — 3.3% | ||||||||
Acadia Healthcare Co., Inc. (a) | 31,000 | 1,945,250 | ||||||
Accolade, Inc. (a) (b) | 5,108 | 277,416 | ||||||
Agiliti, Inc. (a) | 18,416 | 402,758 | ||||||
agilon health, Inc. (a) | 9,661 | 391,947 | ||||||
Amedisys, Inc. (a) | 3,997 | 978,985 | ||||||
Catalent, Inc. (a) | 57,164 | 6,180,572 | ||||||
Centene Corp. (a) | 11,303 | 824,328 | ||||||
dentalcorp Holdings Ltd. (a) (b) | 18,974 | 251,946 | ||||||
The Ensign Group, Inc. | 9,517 | 824,838 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Eurofins Scientific SE (a) | 19,248 | $ | 2,201,085 | |||||
Flame Biosciences, Inc. (Acquired 9/28/20, Cost $28,106) (a) (c) (d) (g) | 9,173 | 60,083 | ||||||
Fresenius Medical Care AG & Co. KGaA | 10,243 | 850,873 | ||||||
Fresenius SE & Co. KGaA | 26,763 | 1,396,506 | ||||||
Innovage Holding Corp. (a) | 7,126 | 151,855 | ||||||
ModivCare, Inc. (a) | 3,955 | 672,627 | ||||||
Molina Healthcare, Inc. (a) | 10,844 | 2,744,183 | ||||||
Oak Street Health, Inc. (a) (b) | 1,197 | 70,108 | ||||||
Ortho Clinical Diagnostics Holdings PLC Class H (a) | 48,117 | 1,030,185 | ||||||
The Pennant Group, Inc. (a) | 19,439 | 795,055 | ||||||
PPD, Inc. (a) | 19,000 | 875,710 | ||||||
Select Medical Holdings Corp. | 170,916 | 7,222,910 | ||||||
Surgery Partners, Inc. (a) | 6,878 | 458,212 | ||||||
U.S. Physical Therapy, Inc. | 4,813 | 557,682 | ||||||
31,165,114 | ||||||||
Healthcare-Products — 0.4% | ||||||||
Patterson Cos., Inc. | 122,253 | 3,715,269 | ||||||
Household Products & Wares — 0.5% | ||||||||
Avery Dennison Corp. | 10,500 | 2,207,520 | ||||||
Kimberly-Clark Corp. | 9,573 | 1,280,676 | ||||||
Reynolds Consumer Products, Inc. | 25,000 | 758,750 | ||||||
4,246,946 | ||||||||
Pharmaceuticals — 2.4% | ||||||||
Agios Pharmaceuticals, Inc. (a) (b) | 8,659 | 477,197 | ||||||
Alector, Inc. (a) (b) | 3,775 | 78,633 | ||||||
Alkermes PLC (a) | 115,998 | 2,844,271 | ||||||
Arvinas, Inc. (a) | 6,146 | 473,242 | ||||||
Cardinal Health, Inc. | 105,591 | 6,028,190 | ||||||
Centessa Pharmaceuticals PLC (a) | 2,356 | 52,327 | ||||||
Covetrus, Inc. (a) | 62,092 | 1,676,484 | ||||||
Elanco Animal Health, Inc. (a) | 53,000 | 1,838,570 | ||||||
Enanta Pharmaceuticals, Inc. (a) | 695 | 30,587 | ||||||
G1 Therapeutics, Inc. (a) (b) | 3,812 | 83,635 | ||||||
Galapagos NV (a) | 8,484 | 585,884 | ||||||
Ideaya Biosciences, Inc. (a) | 1,310 | 27,497 | ||||||
Intellia Therapeutics, Inc. (a) | 5,590 | 905,077 | ||||||
Longboard Pharmaceuticals, Inc. (a) (b) | 1,186 | 10,816 | ||||||
Longboard Pharmaceuticals, Inc., Lockup Shares (Acquired 10/27/20, Cost $25,160) (a) (c) (d) | 3,472 | 30,081 | ||||||
Lyell Immunopharma, Inc. (a) | 4,410 | 71,618 | ||||||
Morphic Holding, Inc. (a) | 1,075 | 61,694 | ||||||
Neurocrine Biosciences, Inc. (a) | 11,302 | 1,099,911 | ||||||
Option Care Health, Inc. (a) | 43,416 | 949,508 | ||||||
Perrigo Co. PLC | 100,656 | 4,615,078 | ||||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 3,516 | 497,619 | ||||||
Repare Therapeutics, Inc. (a) | 4,600 | 143,428 | ||||||
TherapeuticsMD, Inc. (a) (b) | 117,393 | 139,698 | ||||||
uniQure NV (a) | 2,180 | 67,144 | ||||||
22,788,189 | ||||||||
255,832,190 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Diversified — 0.3% | ||||||||
Holding Company – Diversified — 0.3% | ||||||||
Altimeter Growth Corp. (a) | 14,714 | $ | 180,982 | |||||
Aspirational Consumer Lifestyle Corp. (Acquired 3/15/21, Cost $182,350) (a) (c) (d) (f) | 18,235 | 163,787 | ||||||
Big Sky Growth Partners, Inc. (a) | 32,563 | 325,304 | ||||||
Bluescape Opportunities Acquisition Corp. (a) | 30,711 | 319,395 | ||||||
CM Life Sciences II, Inc. (Acquired 3/29/21, Cost $63,630) (a) (c) (d) (f) (g) | 6,363 | 75,163 | ||||||
CM Life Sciences II, Inc. (a) | 3,300 | 44,385 | ||||||
CM Life Sciences III, Inc. (a) | 5,946 | 65,109 | ||||||
CM Life Sciences, Inc. (a) | 9,400 | 153,831 | ||||||
Dragoneer Growth Opportunities Corp. (a) | 10,000 | 99,600 | ||||||
Dynamics Special Purpose Corp. (a) | 5,462 | 54,292 | ||||||
FS Development Corp. II (a) | 3,320 | 33,200 | ||||||
KKR Acquisition Holdings I Corp. (a) | 24,852 | 249,514 | ||||||
On Holding AG (Acquired 2/25/20, Cost $109,230) (a) (c) (d) (g) | 12 | 195,788 | ||||||
Post Holdings Partnering Corp. (a) | 21,493 | 223,312 | ||||||
Professional Holding Corp. Class A (a) | 13,240 | 238,585 | ||||||
Revolution Healthcare Acquisition Corp. (a) | 8,585 | 86,108 | ||||||
Soaring Eagle Acquisition Corp., Class A (Acquired 5/11/21, Cost $30,250) (a) (c) (d) (f) | 3,025 | 27,116 | ||||||
2,535,471 | ||||||||
2,535,471 | ||||||||
Energy — 4.3% | ||||||||
Energy – Alternate Sources — 0.3% | ||||||||
Array Technologies, Inc. (a) | 15,764 | 245,918 | ||||||
NextEra Energy Partners LP | 14,301 | 1,092,024 | ||||||
REX American Resources Corp. (a) | 4,403 | 397,063 | ||||||
Shoals Technologies Group, Inc. Class A (a) | 41,430 | 1,470,765 | ||||||
3,205,770 | ||||||||
Oil & Gas — 2.7% | ||||||||
Advantage Energy Ltd. (a) | 162,424 | 663,008 | ||||||
ARC Resources Ltd. (b) | 107,178 | 912,171 | ||||||
Canadian Natural Resources Ltd. | 87,243 | 3,165,176 | ||||||
Chesapeake Energy Corp. | 18,729 | 972,410 | ||||||
Devon Energy Corp. | 58,027 | 1,693,808 | ||||||
Diamondback Energy, Inc. | 12,728 | 1,195,032 | ||||||
EQT Corp. (a) | 280,489 | 6,243,685 | ||||||
Hess Corp. | 14,055 | 1,227,283 | ||||||
Imperial Oil Ltd. | 193,679 | 5,887,842 | ||||||
Kimbell Royalty Partners LP | 19,419 | 249,534 | ||||||
Magnolia Oil & Gas Corp. Class A (a) (b) | 103,297 | 1,614,532 | ||||||
Matador Resources Co. | 26,676 | 960,603 | ||||||
Venture Global LNG, Inc., Series B (Acquired 3/08/18, Cost $33,220) (a) (c) (d) (g) | 11 | 50,491 | ||||||
Venture Global LNG, Inc., Series C (Acquired 3/08/18, Cost $27,180) (a) (c) (d) (g) | 9 | 41,311 | ||||||
24,876,886 | ||||||||
Oil & Gas Services — 1.1% | ||||||||
ChampionX Corp. (a) | 39,010 | 1,000,607 | ||||||
Dril-Quip, Inc. (a) | 9,769 | 330,485 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Enerflex Ltd. | 45,628 | $ | 308,825 | |||||
Frank's International NV (a) | 416,496 | 1,261,983 | ||||||
Halliburton Co. | 31,553 | 729,505 | ||||||
Liberty Oilfield Services, Inc. Class A (a) | 79,612 | 1,127,306 | ||||||
NexTier Oilfield Solutions, Inc. (a) | 149,737 | 712,748 | ||||||
Nov, Inc. (a) | 87,169 | 1,335,429 | ||||||
Ranger Energy Services, Inc. (a) | 12,951 | 103,608 | ||||||
TechnipFMC PLC (a) | 371,415 | 3,361,306 | ||||||
TETRA Technologies, Inc. (a) | 44,239 | 191,997 | ||||||
10,463,799 | ||||||||
Pipelines — 0.2% | ||||||||
Equitrans Midstream Corp. | 195,220 | 1,661,322 | ||||||
40,207,777 | ||||||||
Financial — 16.6% | ||||||||
Banks — 6.0% | ||||||||
American Business Bank (a) | 3,418 | 144,240 | ||||||
Atlantic Capital Bancshares, Inc. (a) | 15,894 | 404,661 | ||||||
BankUnited, Inc. | 61,213 | 2,613,183 | ||||||
Burke & Herbert Bank & Trust Co. | 98 | 200,900 | ||||||
Columbia Banking System, Inc. | 24,278 | 936,160 | ||||||
CrossFirst Bankshares, Inc. (a) | 31,546 | 433,757 | ||||||
Dime Community Bancshares, Inc. | 19,525 | 656,430 | ||||||
Dogwood State Bank (Non-Voting) (Acquired 5/06/19, Cost $53,690) (a) (c) (d) (g) | 5,369 | 64,428 | ||||||
Dogwood State Bank. (Voting) (Acquired 5/06/19, Cost $26,370) (a) (c) (d) (g) | 2,637 | 31,644 | ||||||
East West Bancorp, Inc. | 19,724 | 1,414,014 | ||||||
Eastern Bankshares, Inc. | 20,251 | 416,563 | ||||||
Equity Bancshares, Inc. Class A (a) | 9,959 | 303,650 | ||||||
Farmers & Merchants Bank of Long Beach/Long Beach CA | 33 | 270,600 | ||||||
FB Financial Corp. | 31,527 | 1,176,588 | ||||||
Fifth Third Bancorp | 123,253 | 4,711,962 | ||||||
The First Bancshares, Inc. | 19,900 | 744,857 | ||||||
Five Star Bancorp (a) | 2,292 | 55,352 | ||||||
Glacier Bancorp, Inc. | 13,278 | 731,352 | ||||||
HarborOne Bancorp, Inc. | 44,393 | 636,596 | ||||||
Heritage Commerce Corp. | 35,201 | 391,787 | ||||||
Heritage Financial Corp. | 23,700 | 592,974 | ||||||
Home BancShares, Inc. | 83,505 | 2,060,903 | ||||||
Howard Bancorp, Inc. (a) | 15,553 | 250,870 | ||||||
Independent Bank Corp. | 5,271 | 397,960 | ||||||
Independent Bank Group, Inc. | 9,592 | 709,616 | ||||||
John Marshall Bancorp, Inc. (a) | 12,810 | 224,816 | ||||||
Kearny Financial Corp. | 37,758 | 451,208 | ||||||
Live Oak Bancshares, Inc. | 38,055 | 2,245,245 | ||||||
National Bank Holdings Corp. Class A | 20,382 | 769,217 | ||||||
Northern Trust Corp. | 28,856 | 3,336,331 | ||||||
Origin Bancorp, Inc. | 21,537 | 914,461 | ||||||
PCSB Financial Corp. | 13,101 | 238,045 | ||||||
Pinnacle Financial Partners, Inc. | 32,477 | 2,867,394 | ||||||
Ponce de Leon Federal Bank (a) | 12,479 | 170,463 | ||||||
Popular, Inc. | 40,620 | 3,048,531 | ||||||
Preferred Bank | 9,769 | 618,085 | ||||||
Prosperity Bancshares, Inc. | 13,300 | 954,940 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Provident Bancorp, Inc. | 14,894 | $ | 242,921 | |||||
Sandy Spring Bancorp, Inc. | 18,899 | 834,013 | ||||||
Seacoast Banking Corp. of Florida | 20,201 | 689,864 | ||||||
Signature Bank | 5,670 | 1,392,835 | ||||||
South State Corp. | 20,718 | 1,693,904 | ||||||
Southern First Bancshares, Inc. (a) | 4,113 | 210,421 | ||||||
State Street Corp. | 52,552 | 4,323,979 | ||||||
Sterling Bancorp, Inc. (a) | 16,132 | 73,401 | ||||||
SVB Financial Group (a) | 992 | 551,979 | ||||||
Texas Capital Bancshares, Inc. (a) | 9,076 | 576,235 | ||||||
Towne Bank | 29,764 | 905,421 | ||||||
Walker & Dunlop, Inc. | 3,730 | 389,337 | ||||||
Webster Financial Corp. | 43,033 | 2,295,380 | ||||||
Westamerica Bancorp. | 34,634 | 2,009,811 | ||||||
Western Alliance Bancorp | 39,226 | 3,642,134 | ||||||
56,021,418 | ||||||||
Diversified Financial Services — 2.0% | ||||||||
Air Lease Corp. | 16,975 | 708,537 | ||||||
Altimeter Growth Corp. (Acquired 4/13/21, Cost $166,460) (a) (c) (d) (f) | 16,646 | 175,282 | ||||||
Apiture, Inc. (Acquired 7/01/20, Cost $87,167) (a) (c) (d) (g) | 5,500 | 87,167 | ||||||
Assetmark Financial Holdings, Inc. (a) | 6,122 | 153,417 | ||||||
Cboe Global Markets, Inc. | 29,614 | 3,525,547 | ||||||
Columbia Financial, Inc. (a) | 10,725 | 184,685 | ||||||
Encore Capital Group, Inc. (a) | 11,847 | 561,429 | ||||||
Flywire Corp. (a) | 5,542 | 203,613 | ||||||
Grasshopper Bancorp, Inc. (Acquired 5/02/19, Cost $83,390) (a) (c) (d) (g) | 8,339 | 37,942 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b) | 25,289 | 1,419,977 | ||||||
Houlihan Lokey, Inc. | 10,732 | 877,770 | ||||||
I3 Verticals, Inc. Class A (a) | 13,235 | 399,962 | ||||||
Lazard Ltd. Class A | 37,826 | 1,711,627 | ||||||
OTC Markets Group, Inc. Class A | 5,780 | 304,606 | ||||||
PennyMac Financial Services, Inc. | 26,945 | 1,663,045 | ||||||
PRA Group, Inc. (a) | 18,720 | 720,158 | ||||||
Raymond James Financial, Inc. | 4,000 | 519,600 | ||||||
SoFi Technologies, Inc., Lockup Shares (Acquired 12/30/20, Cost $467,145) (a) (c) (d) | 45,793 | 833,959 | ||||||
Stash Financial, Inc. (Acquired 1/06/21-1/26/21, Cost $15,690) (a) (c) (d) (g) | 487 | 24,389 | ||||||
StepStone Group, Inc. Class A | 33,208 | 1,142,355 | ||||||
Tradeweb Markets, Inc. Class A | 26,000 | 2,198,560 | ||||||
Virtus Investment Partners, Inc. | 3,396 | 943,307 | ||||||
18,396,934 | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
NerdWallet, Inc., Class A (Acquired 3/18/20, Cost $120,540) (a) (c) (d) (g) | 17,220 | 187,698 | ||||||
Insurance — 3.2% | ||||||||
Assurant, Inc. | 18,669 | 2,915,724 | ||||||
Axis Capital Holdings Ltd. | 38,178 | 1,871,104 | ||||||
Brighthouse Financial, Inc. (a) | 46,398 | 2,112,965 | ||||||
Brown & Brown, Inc. | 52,344 | 2,781,560 | ||||||
BRP Group, Inc. Class A (a) | 29,095 | 775,382 | ||||||
CNA Financial Corp. | 56,666 | 2,577,736 | ||||||
Essent Group Ltd. | 14,129 | 635,099 | ||||||
GoHealth, Inc. Class A (a) | 16,200 | 181,602 | ||||||
The Hanover Insurance Group, Inc. | 5,561 | 754,294 | ||||||
James River Group Holdings Ltd. | 21,365 | 801,615 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Kemper Corp. | 29,779 | $ | 2,200,668 | |||||
Loews Corp. | 85,846 | 4,691,484 | ||||||
Marsh & McLennan Cos., Inc. | 12,239 | 1,721,782 | ||||||
Palomar Holdings, Inc. (a) | 6,378 | 481,284 | ||||||
ProAssurance Corp. | 23,149 | 526,640 | ||||||
Radian Group, Inc. | 43,881 | 976,352 | ||||||
RenaissanceRe Holdings Ltd. | 12,375 | 1,841,647 | ||||||
Safety Insurance Group, Inc. | 1,263 | 98,868 | ||||||
Selective Insurance Group, Inc. | 17,618 | 1,429,701 | ||||||
Selectquote, Inc. (a) | 23,762 | 457,656 | ||||||
State Auto Financial Corp. | 26,593 | 455,272 | ||||||
30,288,435 | ||||||||
Investment Companies — 0.3% | ||||||||
Groupe Bruxelles Lambert SA | 23,072 | 2,580,586 | ||||||
Private Equity — 0.3% | ||||||||
KKR & Co., Inc. | 43,000 | 2,547,320 | ||||||
Real Estate — 0.7% | ||||||||
FirstService Corp. | 23,994 | 4,109,212 | ||||||
IQHQ, Inc. (Acquired 10/30/19-8/21/20, Cost $204,242) (a) (c) (g) | 13,062 | 218,135 | ||||||
McGrath RentCorp | 7,915 | 645,627 | ||||||
The St. Joe Co. | 31,859 | 1,421,230 | ||||||
6,394,204 | ||||||||
Real Estate Investment Trusts (REITS) — 3.5% | ||||||||
American Campus Communities, Inc. | 26,263 | 1,227,007 | ||||||
Apartment Income REIT Corp. | 22,304 | 1,057,879 | ||||||
Apartment Investment and Management Co. Class A | 201,824 | 1,354,239 | ||||||
Blackstone Mortgage Trust, Inc. Class A | 6,619 | 211,080 | ||||||
Capstead Mortgage Corp. | 43,570 | 267,520 | ||||||
Cedar Realty Trust, Inc. | 22,173 | 373,393 | ||||||
Community Healthcare Trust, Inc. | 6,222 | 295,296 | ||||||
CubeSmart | 26,827 | 1,242,627 | ||||||
EastGroup Properties, Inc. | 13,918 | 2,288,815 | ||||||
Equity Commonwealth | 36,127 | 946,527 | ||||||
Equity Residential | 21,916 | 1,687,532 | ||||||
Essential Properties Realty Trust, Inc. | 17,370 | 469,685 | ||||||
First Industrial Realty Trust, Inc. | 7,506 | 392,038 | ||||||
Flagship Communities | 3,671 | 64,977 | ||||||
Healthcare Realty Trust, Inc. | 29,694 | 896,759 | ||||||
JBG SMITH Properties | 50,624 | 1,595,162 | ||||||
Pebblebrook Hotel Trust | 27,634 | 650,781 | ||||||
PennyMac Mortgage Investment Trust | 31,024 | 653,366 | ||||||
PotlatchDeltic Corp. | 14,170 | 753,136 | ||||||
PS Business Parks, Inc. | 12,165 | 1,801,393 | ||||||
Rayonier, Inc. | 101,359 | 3,641,829 | ||||||
Regency Centers Corp. | 36,003 | 2,306,712 | ||||||
Rexford Industrial Realty, Inc. | 14,381 | 818,998 | ||||||
Safehold, Inc. | 6,780 | 532,230 | ||||||
Saul Centers, Inc. | 15,798 | 718,019 | ||||||
Sunstone Hotel Investors, Inc. (a) | 61,783 | 767,345 | ||||||
Terreno Realty Corp. | 20,433 | 1,318,337 | ||||||
Washington Real Estate Investment Trust | 27,876 | 641,148 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Weyerhaeuser Co. | 106,234 | $ | 3,656,574 | |||||
32,630,404 | ||||||||
Savings & Loans — 0.6% | ||||||||
Capitol Federal Financial, Inc. | 130,817 | 1,541,024 | ||||||
FS Bancorp, Inc. | 3,526 | 251,298 | ||||||
Investors Bancorp, Inc. | 29,681 | 423,251 | ||||||
Meridian Bancorp, Inc. | 45,965 | 940,444 | ||||||
Pacific Premier Bancorp, Inc. | 31,539 | 1,333,785 | ||||||
WSFS Financial Corp. | 24,524 | 1,142,573 | ||||||
5,632,375 | ||||||||
154,679,374 | ||||||||
Industrial — 12.6% | ||||||||
Aerospace & Defense — 0.7% | ||||||||
Kratos Defense & Security Solutions, Inc. (a) | 22,631 | 644,757 | ||||||
Rolls-Royce Holdings PLC (a) | 844,426 | 1,158,460 | ||||||
Teledyne Technologies, Inc. (a) | 7,410 | 3,103,531 | ||||||
Triumph Group, Inc. (a) | 59,692 | 1,238,609 | ||||||
6,145,357 | ||||||||
Building Materials — 1.4% | ||||||||
Armstrong World Industries, Inc. | 14,247 | 1,528,133 | ||||||
Gibraltar Industries, Inc. (a) | 12,237 | 933,805 | ||||||
JELD-WEN Holding, Inc. (a) | 20,064 | 526,881 | ||||||
Lennox International, Inc. | 3,081 | 1,080,815 | ||||||
Martin Marietta Materials, Inc. | 3,231 | 1,136,698 | ||||||
PGT Innovations, Inc. (a) | 17,060 | 396,304 | ||||||
SPX Corp. (a) | 21,502 | 1,313,342 | ||||||
Summit Materials, Inc. Class A (a) | 78,603 | 2,739,315 | ||||||
Trex Co., Inc. (a) | 5,171 | 528,528 | ||||||
UFP Industries, Inc. | 14,572 | 1,083,282 | ||||||
Vulcan Materials Co. | 9,516 | 1,656,450 | ||||||
12,923,553 | ||||||||
Commercial Services — 0.0% | ||||||||
ZenPayroll, Inc. (Acquired 8/18/20-11/09/20, Cost $204,799) (a) (c) (d) (g) | 15,332 | 398,632 | ||||||
Electrical Components & Equipment — 0.5% | ||||||||
Belden, Inc. | 30,890 | 1,562,108 | ||||||
Insteel Industries, Inc. | 11,042 | 355,000 | ||||||
Littelfuse, Inc. | 7,928 | 2,019,975 | ||||||
Novanta, Inc. (a) | 9,270 | 1,249,225 | ||||||
5,186,308 | ||||||||
Electronics — 1.9% | ||||||||
Agilent Technologies, Inc. | 34,000 | 5,025,540 | ||||||
Amphenol Corp. Class A | 15,000 | 1,026,150 | ||||||
Brady Corp. Class A | 14,396 | 806,752 | ||||||
Fortive Corp. | 28,000 | 1,952,720 | ||||||
Keysight Technologies, Inc. (a) | 20,000 | 3,088,200 | ||||||
Knowles Corp. (a) | 18,597 | 367,105 | ||||||
Mesa Laboratories, Inc. | 1,366 | 370,418 | ||||||
National Instruments Corp. | 103,690 | 4,384,013 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Stoneridge, Inc. (a) | 10,757 | $ | 317,332 | |||||
17,338,230 | ||||||||
Engineering & Construction — 0.0% | ||||||||
Sarana Menara Nusantara Tbk PT | 1,424,100 | 121,788 | ||||||
Environmental Controls — 0.7% | ||||||||
Heritage-Crystal Clean, Inc. (a) | 11,004 | 326,599 | ||||||
Stericycle, Inc. (a) | 14,856 | 1,062,947 | ||||||
Tetra Tech, Inc. | 4,782 | 583,595 | ||||||
Waste Connections, Inc. | 36,873 | 4,403,742 | ||||||
6,376,883 | ||||||||
Hand & Machine Tools — 0.2% | ||||||||
MSA Safety, Inc. | 6,712 | 1,111,373 | ||||||
Regal Beloit Corp. | 3,372 | 450,196 | ||||||
1,561,569 | ||||||||
Machinery – Construction & Mining — 0.2% | ||||||||
BWX Technologies, Inc. | 30,516 | 1,773,590 | ||||||
Vertiv Holdings Co. | 10,267 | 280,289 | ||||||
2,053,879 | ||||||||
Machinery – Diversified — 2.2% | ||||||||
AGCO Corp. | 7,952 | 1,036,782 | ||||||
Alamo Group, Inc. | 2,749 | 419,717 | ||||||
Cactus, Inc. Class A | 25,271 | 927,951 | ||||||
Chart Industries, Inc. (a) | 4,817 | 704,824 | ||||||
CIRCOR International, Inc. (a) | 15,645 | 510,027 | ||||||
CNH Industrial NV | 29,023 | 479,539 | ||||||
Cognex Corp. | 7,000 | 588,350 | ||||||
Colfax Corp. (a) | 53,000 | 2,427,930 | ||||||
CSW Industrials, Inc. | 5,643 | 668,470 | ||||||
Graco, Inc. | 12,605 | 954,199 | ||||||
Hydrofarm Holdings Group, Inc. (a) | 1,646 | 97,295 | ||||||
IDEX Corp. | 12,000 | 2,640,600 | ||||||
Ingersoll Rand, Inc. (a) | 107,243 | 5,234,531 | ||||||
Marel HF | 27,870 | 195,606 | ||||||
Mueller Water Products, Inc. Class A | 36,189 | 521,845 | ||||||
Ranpak Holdings Corp. (a) | 6,066 | 151,832 | ||||||
Thermon Group Holdings, Inc. (a) | 26,055 | 443,977 | ||||||
The Toro Co. | 21,304 | 2,340,884 | ||||||
20,344,359 | ||||||||
Metal Fabricate & Hardware — 0.8% | ||||||||
AZZ, Inc. | 16,093 | 833,295 | ||||||
Helios Technologies, Inc. | 19,039 | 1,485,994 | ||||||
RBC Bearings, Inc. (a) | 1,065 | 212,382 | ||||||
Rexnord Corp. | 22,565 | 1,129,153 | ||||||
Strattec Security Corp. (a) | 4,332 | 192,601 | ||||||
The Timken Co. | 6,965 | 561,309 | ||||||
Valmont Industries, Inc. | 2,594 | 612,314 | ||||||
Xometry, Inc. Class A | 4,213 | 368,174 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Xometry, Inc., Lockup Shares (Acquired 7/20/20-9/04/20, Cost $235,149) (a) (c) (d) | 23,060 | $ | 1,914,453 | |||||
7,309,675 | ||||||||
Miscellaneous - Manufacturing — 1.7% | ||||||||
Enerpac Tool Group Corp. | 52,749 | 1,404,178 | ||||||
ESCO Technologies, Inc. | 16,282 | 1,527,415 | ||||||
Federal Signal Corp. | 11,966 | 481,392 | ||||||
Haynes International, Inc. | 9,808 | 347,007 | ||||||
Hillenbrand, Inc. | 7,605 | 335,228 | ||||||
John Bean Technologies Corp. | 9,385 | 1,338,489 | ||||||
Myers Industries, Inc. | 24,077 | 505,617 | ||||||
Textron, Inc. | 149,786 | 10,300,783 | ||||||
16,240,109 | ||||||||
Packaging & Containers — 0.8% | ||||||||
Ball Corp. | 57,000 | 4,618,140 | ||||||
Packaging Corp. of America | 6,000 | 812,520 | ||||||
Sealed Air Corp. | 34,000 | 2,014,500 | ||||||
7,445,160 | ||||||||
Transportation — 1.5% | ||||||||
C.H. Robinson Worldwide, Inc. | 22,128 | 2,072,730 | ||||||
International Seaways, Inc. | 16,109 | 308,971 | ||||||
J.B. Hunt Transport Services, Inc. | 27,087 | 4,413,827 | ||||||
Knight-Swift Transportation Holdings, Inc. | 10,540 | 479,148 | ||||||
Landstar System, Inc. | 8,107 | 1,281,068 | ||||||
Matson, Inc. | 16,639 | 1,064,896 | ||||||
Old Dominion Freight Line, Inc. | 9,878 | 2,507,036 | ||||||
Ryder System, Inc. | 4,698 | 349,202 | ||||||
Saia, Inc. (a) | 2,591 | 542,789 | ||||||
Tidewater, Inc. (a) | 71,143 | 857,273 | ||||||
US Xpress Enterprises, Inc. Class A (a) | 14,799 | 127,271 | ||||||
14,004,211 | ||||||||
117,449,713 | ||||||||
Technology — 12.9% | ||||||||
Computers — 0.8% | ||||||||
Cognizant Technology Solutions Corp. Class A | 13,393 | 927,599 | ||||||
Crowdstrike Holdings, Inc. Class A (a) | 5,500 | 1,382,205 | ||||||
Endava PLC Sponsored ADR (a) | 10,544 | 1,195,479 | ||||||
Fortinet, Inc. (a) | 8,000 | 1,905,520 | ||||||
Integral Ad Science Holding Corp. | 7,738 | 159,248 | ||||||
Leidos Holdings, Inc. | 6,000 | 606,600 | ||||||
PAR Technology Corp. (a) | 14,881 | 1,040,777 | ||||||
Parsons Corp. (a) | 17,519 | 689,548 | ||||||
7,906,976 | ||||||||
Semiconductors — 2.9% | ||||||||
Applied Materials, Inc. | 19,853 | 2,827,067 | ||||||
CTS Corp. | 19,550 | 726,478 | ||||||
Entegris, Inc. | 51,093 | 6,282,906 | ||||||
KLA Corp. | 8,000 | 2,593,680 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Lattice Semiconductor Corp. (a) | 46,635 | $ | 2,619,954 | |||||
Marvell Technology, Inc. | 66,000 | 3,849,780 | ||||||
MaxLinear, Inc. (a) | 14,023 | 595,837 | ||||||
Microchip Technology, Inc. | 34,500 | 5,166,030 | ||||||
Onto Innovation, Inc. (a) | 4,758 | 347,525 | ||||||
Semtech Corp. (a) | 7,994 | 549,987 | ||||||
Skyworks Solutions, Inc. | 10,500 | 2,013,375 | ||||||
27,572,619 | ||||||||
Software — 9.2% | ||||||||
Alignment Healthcare, Inc. (a) | 5,591 | 130,662 | ||||||
Alignment Healthcare, Inc., Lockup Shares (Acquired 2/28/20, Cost $199,497) (a) (c) (d) | 24,719 | 548,799 | ||||||
Atlassian Corp. PLC Class A (a) | 22,992 | 5,905,725 | ||||||
Bill.com Holdings, Inc. (a) | 10,524 | 1,927,786 | ||||||
Black Knight, Inc. (a) | 23,000 | 1,793,540 | ||||||
Broadridge Financial Solutions, Inc. | 6,000 | 969,180 | ||||||
Ceridian HCM Holding, Inc. (a) | 64,813 | 6,216,863 | ||||||
Checkr, Inc. (Acquired 6/29/18-12/02/19, Cost $116,452) (a) (c) (d) (g) | 5,148 | 126,075 | ||||||
Citrix Systems, Inc. | 11,000 | 1,289,970 | ||||||
Clarivate PLC (a) | 186,846 | 5,143,870 | ||||||
Clear Secure Inc. Class A | 3,209 | 128,360 | ||||||
Computer Modelling Group Ltd. | 18,514 | 76,320 | ||||||
Confluent, Inc. Class A (a) | 2,908 | 138,130 | ||||||
Coupa Software, Inc. (a) | 16,247 | 4,258,501 | ||||||
Databricks, Inc. (Acquired 7/24/20, Cost $16,140) (a) (c) (d) (g) | 515 | 91,346 | ||||||
Datadog, Inc. Class A (a) | 32,042 | 3,334,931 | ||||||
The Descartes Systems Group, Inc. (a) | 34,992 | 2,420,047 | ||||||
DocuSign, Inc. (a) | 18,397 | 5,143,249 | ||||||
DoubleVerify Holdings, Inc. (a) | 4,014 | 169,953 | ||||||
Doximity, Inc. Class A (a) | 17,998 | 1,047,484 | ||||||
Doximity, Inc., Class B, Lockup Shares (Acquired 3/22/18, Cost $7,616) (a) (c) (d) | 3,534 | 195,395 | ||||||
Duck Creek Technologies, Inc. (a) | 20,236 | 880,468 | ||||||
Five9, Inc. (a) | 24,758 | 4,540,370 | ||||||
HubSpot, Inc. (a) | 6,163 | 3,591,303 | ||||||
Jack Henry & Associates, Inc. | 3,000 | 490,530 | ||||||
Manhattan Associates, Inc. (a) | 3,100 | 449,004 | ||||||
ManTech International Corp. Class A | 936 | 81,001 | ||||||
Megaport Ltd. (a) (b) | 42,318 | 584,102 | ||||||
Monday.com Ltd. (a) | 310 | 69,313 | ||||||
MSCI, Inc. | 5,856 | 3,121,717 | ||||||
nCino, Inc. (a) | 36,679 | 2,197,806 | ||||||
Outset Medical, Inc. (a) | 6,256 | 312,675 | ||||||
PagerDuty, Inc. (a) (b) | 13,747 | 585,347 | ||||||
Paycom Software, Inc. (a) | 1,640 | 596,091 | ||||||
Payoneer Global, Inc., Lockup Shares (Acquired 3/15/21, Cost $89,190) (a) (c) (d) | 8,919 | 87,980 | ||||||
Phreesia, Inc. (a) | 19,530 | 1,197,189 | ||||||
Playtika Holding Corp. (a) | 18,290 | 436,034 | ||||||
Privia Health Group, Inc. (a) | 8,381 | 371,865 | ||||||
Procore Technologies, Inc. (a) | 1,575 | 149,546 | ||||||
Procore Technologies, Inc., Lockup Shares (Acquired 7/15/20-12/09/20, Cost $164,070) (a) (c) (d) | 3,043 | 274,486 | ||||||
PTC, Inc. (a) | 8,000 | 1,130,080 | ||||||
Roper Technologies, Inc. | 11,434 | 5,376,267 | ||||||
SentinelOne Inc. Class A | 3,989 | 169,533 | ||||||
ServiceTitan, Inc. (Acquired 11/09/18, Cost $12,280) (a) (c) (d) (g) | 637 | 75,778 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Splunk, Inc. (a) | 6,782 | $ | 980,542 | |||||
SS&C Technologies Holdings, Inc | 16,763 | 1,207,942 | ||||||
Tanium, Inc., Class B (Acquired 9/24/20, Cost $30,277) (a) (c) (d) (g) | 2,657 | 30,277 | ||||||
Themis Solutions, Inc. (Acquired 4/14/21, Cost $108,219) (a) (c) (d) (g) | 4,820 | 108,219 | ||||||
Toast, Inc. (Acquired 9/14/18-3/27/19, Cost $26,707) (a) (c) (d) (g) | 982 | 147,300 | ||||||
Twilio, Inc. Class A (a) | 6,845 | 2,698,025 | ||||||
Veeva Systems, Inc. Class A (a) | 24,861 | 7,730,528 | ||||||
Workiva, Inc. (a) | 6,152 | 684,902 | ||||||
Xero Ltd. (a) | 18,305 | 1,880,189 | ||||||
Zynga, Inc. Class A (a) | 212,894 | 2,263,063 | ||||||
85,555,658 | ||||||||
121,035,253 | ||||||||
Utilities — 3.3% | ||||||||
Electric — 2.3% | ||||||||
Ameren Corp. | 10,000 | 800,400 | ||||||
Ameresco, Inc. Class A (a) | 4,361 | 273,522 | ||||||
CenterPoint Energy, Inc. | 77,194 | 1,892,797 | ||||||
Consolidated Edison, Inc. | 16,020 | 1,148,954 | ||||||
Eversource Energy | 6,000 | 481,440 | ||||||
FirstEnergy Corp. | 141,585 | 5,268,378 | ||||||
IDACORP, Inc. | 13,631 | 1,329,023 | ||||||
MGE Energy, Inc. | 12,617 | 939,210 | ||||||
NorthWestern Corp. | 13,079 | 787,617 | ||||||
PG&E Corp. (a) | 362,479 | 3,686,411 | ||||||
PNM Resources, Inc. | 7,013 | 342,024 | ||||||
Portland General Electric Co. | 7,344 | 338,412 | ||||||
Sempra Energy | 13,000 | 1,722,240 | ||||||
Vistra Corp. | 153,717 | 2,851,450 | ||||||
21,861,878 | ||||||||
Gas — 0.7% | ||||||||
Chesapeake Utilities Corp. | 15,446 | 1,858,617 | ||||||
National Fuel Gas Co. | 35,046 | 1,831,153 | ||||||
ONE Gas, Inc. | 25,557 | 1,894,285 | ||||||
RGC Resources, Inc. | 5,618 | 141,630 | ||||||
Southwest Gas Holdings, Inc. | 17,832 | 1,180,300 | ||||||
6,905,985 | ||||||||
Water — 0.3% | ||||||||
California Water Service Group | 14,671 | 814,827 | ||||||
Middlesex Water Co. | 9,424 | 770,224 | ||||||
SJW Group | 11,324 | 716,809 | ||||||
2,301,860 | ||||||||
31,069,723 | ||||||||
TOTAL COMMON STOCK (Cost $646,309,474) | 889,747,529 | |||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
PREFERRED STOCK — 2.4% | ||||||||
Communications — 0.1% | ||||||||
Internet — 0.1% | ||||||||
1661, Inc., Series F (Acquired 5/28/21, Cost $288,836) (a) (c) (d) (g) | 49,629 | $ | 288,836 | |||||
Evolve Vacation Rental Network, Inc., Series 8 (Acquired 3/29/18, Cost $44,816) (a) (c) (d) (g) | 5,266 | 45,288 | ||||||
Evolve Vacation Rental Network, Inc., Series 9 (Acquired 5/29/20, Cost $20,111) (a) (c) (d) (g) | 3,470 | 29,842 | ||||||
Minted, Inc., Series E (Acquired 10/30/18, Cost $113,257) (a) (c) (d) (g) | 8,410 | 53,824 | ||||||
SecurityScorecard, Inc., Series E (Acquired 3/05/21, Cost $262,495) (a) (c) (d) (g) | 17,323 | 262,495 | ||||||
680,285 | ||||||||
680,285 | ||||||||
Consumer, Cyclical — 0.8% | ||||||||
Apparel — 0.0% | ||||||||
Allbirds, Inc., Series A, (Acquired 10/10/18, Cost $44,527) | ||||||||
(a) (c) (d) (g) | 4,060 | 46,943 | ||||||
Allbirds, Inc., Series B, (Acquired 10/10/18, Cost $7,787) | ||||||||
(a) (c) (d) (g) | 710 | 8,209 | ||||||
Allbirds, Inc., Series C, (Acquired 10/09/18, Cost $74,796) | ||||||||
(a) (c) (d) (g) | 6,820 | 78,856 | ||||||
Allbirds, Inc., Series E, (Acquired 9/22/20, Cost $87,955) | ||||||||
(a) (c) (d) (g) | 7,607 | 87,955 | ||||||
Allbirds, Inc., Series Seed, (Acquired 10/10/18, Cost $23,963) | ||||||||
(a) (c) (d) (g) | 2,185 | 25,264 | ||||||
247,227 | ||||||||
Auto Manufacturers — 0.7% | ||||||||
Aurora Innovation, Inc., Series B, (Acquired 3/01/19, Cost $32,156) | ||||||||
(a) (c) (d) (g) | 3,480 | 68,406 | ||||||
Nuro, Inc., Series C, (Acquired 10/30/20-3/02/21, Cost $282,254) | ||||||||
(a) (c) (d) (g) | 21,621 | 282,254 | ||||||
Rivian Automotive, Inc., Series D, (Acquired 12/23/19, Cost $466,859) | ||||||||
(a) (c) (d) (g) | 43,453 | 3,044,317 | ||||||
Rivian Automotive, Inc., Series E, (Acquired 7/10/20, Cost $194,539) | ||||||||
(a) (c) (d) (g) | 26,293 | 1,842,088 | ||||||
Rivian Automotive, Inc., Series F, (Acquired 1/19/21, Cost $368,389) | ||||||||
(a) (c) (d) (g) | 9,997 | 700,390 | ||||||
5,937,455 | ||||||||
Leisure Time — 0.0% | ||||||||
Rad Power Bikes, Inc., Series C, (Acquired 1/22/21, Cost $69,082) | ||||||||
(a) (c) (d) (g) | 14,321 | 69,082 | ||||||
Retail — 0.1% | ||||||||
A Place for Rover, Inc., Series G, (Acquired 5/11/18, Cost $106,965) | ||||||||
(a) (c) (d) (g) | 14,208 | 139,509 | ||||||
JAND, Inc., Series AA, (Acquired 11/19/20, Cost $24,584) | ||||||||
(a) (c) (d) (g) | 998 | 24,482 | ||||||
JAND, Inc., Series B, (Acquired 11/19/20, Cost $25) | ||||||||
(a) (c) (d) (g) | 1 | 25 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
JAND, Inc., Series E, (Acquired 3/09/18, Cost $138,341) | ||||||||
(a) (c) (d) (g) | 8,802 | $ | 215,918 | |||||
JAND, Inc., Series F, (Acquired 4/03/20, Cost $279,901) | ||||||||
(a) (c) (d) (g) | 14,359 | 352,235 | ||||||
OfferUp, Inc., Series F, (Acquired 7/01/20, Cost $9,217) | ||||||||
(a) (c) (d) (g) | 4,025 | 10,022 | ||||||
Rent the Runway, Inc., Series F, (Acquired 3/21/19, Cost $67,441) | ||||||||
(a) (c) (d) (g) | 3,017 | 44,473 | ||||||
Rent the Runway, Inc., Series G, (Acquired 4/30/20, Cost $40,744) | ||||||||
(a) (c) (d) (g) | 2,764 | 40,744 | ||||||
827,408 | ||||||||
Consumer, Non-cyclical — 0.7% | ||||||||
Agriculture — 0.1% | ||||||||
Bunge Ltd. | ||||||||
4.875% (a) | 2,962 | 344,273 | ||||||
Farmer's Business Network, Inc., Series E, (Acquired 2/11/19, Cost $191,081) | ||||||||
(a) (c) (d) (g) | 8,198 | 270,206 | ||||||
Farmer's Business Network, Inc., Series F, (Acquired 7/31/20, Cost $48,329) | ||||||||
(a) (c) (d) (g) | 5,211 | 171,755 | ||||||
786,234 | ||||||||
Biotechnology — 0.2% | ||||||||
Genesis Therapeutics, Inc., Series A, (Acquired 11/24/20, Cost $25,262) | ||||||||
(a) (c) (d) (g) | 4,946 | 25,262 | ||||||
Ginkgo Bioworks, Inc., Series E, (Acquired 7/30/19-9/09/19, Cost $88,178) | ||||||||
(a) (c) (d) (g) | 594 | 263,568 | ||||||
Imago Biosciences, Inc., Series C, (Acquired 11/12/20, Cost $31,278) | ||||||||
(a) (c) (d) (g) | 25,897 | 31,278 | ||||||
Inscripta, Inc., Series E, (Acquired 3/30/21, Cost $148,812) | ||||||||
(a) (c) (d) (g) | 16,853 | 148,812 | ||||||
Insitro, Inc., Series B, (Acquired 5/21/20, Cost $34,456) | ||||||||
(a) (c) (d) (g) | 5,530 | 101,150 | ||||||
Insitro, Inc, Series C, (Acquired 4/07/21, Cost $62,208) | ||||||||
(a) (c) (d) (g) | 3,401 | 62,208 | ||||||
Kardium, Inc., Series D-5, (Acquired 11/29/18, Cost $29,906) | ||||||||
(a) (c) (d) (g) | 30,866 | 31,355 | ||||||
Kardium, Inc., Series D-6, (Acquired 1/08/21, Cost $145,349) | ||||||||
(a) (c) (d) (g) | 143,083 | 145,349 | ||||||
National Resilience, Inc., Series B, (Acquired 10/23/20, Cost $263,720) | ||||||||
(a) (c) (d) (g) | 19,306 | 857,379 | ||||||
National Resilience, Inc., Series C, (Acquired 6/09/21, Cost $315,045) | ||||||||
(a) (c) (d) (g) | 7,094 | 315,045 | ||||||
Tenaya Therapeutics, Inc., Series C, (Acquired 12/17/20, Cost $31,389) | ||||||||
(a) (c) (d) (g) | 15,149 | 31,389 | ||||||
Treeline Biosciences, Inc., Series A, (Acquired 4/09/21, Cost $40,640) | ||||||||
(a) (c) (d) (g) | 5,192 | 40,640 | ||||||
2,053,435 | ||||||||
Commercial Services — 0.2% | ||||||||
Honor Technology, Inc., Series D, (Acquired 10/16/20, Cost $225,290) | ||||||||
(a) (c) (d) (g) | 93,556 | 225,290 | ||||||
Redwood Materials, Inc., Series C, (Acquired 5/28/21, Cost $214,074) | ||||||||
(a) (c) (d) (g) | 4,516 | 214,074 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
ZenPayroll, Inc., Series B, (Acquired 8/18/20, Cost $20,633) | ||||||||
(a) (c) (d) (g) | 3,644 | $ | 94,744 | |||||
ZenPayroll, Inc., Series B-2, (Acquired 8/18/20, Cost $11,553) | ||||||||
(a) (c) (d) (g) | 6,804 | 176,904 | ||||||
ZenPayroll, Inc., Series C, (Acquired 7/16/18, Cost $84,209) | ||||||||
(a) (c) (d) (g) | 11,076 | 287,976 | ||||||
ZenPayroll, Inc., Series D, (Acquired 7/16/19, Cost $187,638) | ||||||||
(a) (c) (d) (g) | 14,095 | 366,470 | ||||||
1,365,458 | ||||||||
Food — 0.1% | ||||||||
Cava Group, Inc., Series E, (Acquired 6/23/20-3/26/21, Cost $475,884) | ||||||||
(a) (c) (d) (g) | 18,159 | 683,323 | ||||||
Cava Group, Inc., Series F, (Acquired 3/26/21, Cost $512,596) | ||||||||
(a) (c) (d) (g) | 13,622 | 512,596 | ||||||
Sweetgreen, Inc., Series G, (Acquired 2/27/18, Cost $35,793) | ||||||||
(a) (c) (d) (g) | 3,977 | 60,371 | ||||||
Sweetgreen, Inc., Series I, (Acquired 9/13/19, Cost $67,408) | ||||||||
(a) (c) (d) (g) | 3,942 | 59,840 | ||||||
1,316,130 | ||||||||
Health Care – Products — 0.0% | ||||||||
Prime Medicine, Inc., Series B, (Acquired 4/19/21, Cost $40,943) | ||||||||
(a) (c) (d) (g) | 9,347 | 40,943 | ||||||
Ring Therapeutics, Inc., Series B, (Acquired 4/12/21, Cost $50,885) | ||||||||
(a) (c) (d) (g) | 5,531 | 50,885 | ||||||
Tempus Labs, Inc., Series D, (Acquired 3/16/18, Cost $21,326) | ||||||||
(a) (c) (d) (g) | 2,275 | 127,338 | ||||||
Tempus Labs, Inc., Series E, (Acquired 8/23/18, Cost $29,149) | ||||||||
(a) (c) (d) (g) | 1,741 | 99,391 | ||||||
Tempus Labs, Inc., Series F, (Acquired 4/30/19, Cost $17,059) | ||||||||
(a) (c) (d) (g) | 689 | 39,660 | ||||||
Tempus Labs, Inc., Series G, (Acquired 2/06/20, Cost $19,176) | ||||||||
(a) (c) (d) (g) | 500 | 28,920 | ||||||
Tempus Labs, Inc., Series G-2, (Acquired 11/19/20, Cost $26,075) | ||||||||
(a) (c) (d) (g) | 455 | 26,075 | ||||||
413,212 | ||||||||
Health Care – Services — 0.1% | ||||||||
Caris Life Sciences, Inc., Series C, (Acquired 8/14/20, Cost $71,520) | ||||||||
(a) (c) (d) (g) | 45,403 | 367,764 | ||||||
Caris Life Sciences, Inc., Series D, (Acquired 5/11/21, Cost $378,132) | ||||||||
(a) (c) (d) (g) | 46,683 | 378,132 | ||||||
Gyroscope Therapeutics, Inc., Series C-1, (Acquired 3/30/21, Cost $45,899) | ||||||||
(a) (c) (d) (g) | 19,956 | 45,899 | ||||||
791,795 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Pharmaceuticals — 0.0% | ||||||||
Capsule Corporation, Series D, (Acquired 4/07/21, Cost $144,670) | ||||||||
(a) (c) (d) (g) | 9,983 | $ | 144,670 | |||||
HashiCorp, Inc., Series E, (Acquired 3/13/20-1/21/21, Cost $60,038) | ||||||||
(a) (c) (d) (g) | 2,076 | 92,922 | ||||||
Haul Hub, Inc., Series B, (Acquired 2/14/20-3/03/21, Cost $108,854) | ||||||||
(a) (c) (d) (g) | 7,466 | 108,854 | ||||||
346,446 | ||||||||
7,072,710 | ||||||||
Financial — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
Color Health, Inc., Series D, (Acquired 12/17/20, Cost $43,490) | ||||||||
(a) (c) (d) (g) | 1,155 | 43,490 | ||||||
Color Health, Inc., Series D-1, (Acquired 1/13/20, Cost $56,632) | ||||||||
(a) (c) (d) (g) | 2,655 | 99,970 | ||||||
Convoy, Inc., Series C, (Acquired 9/14/18, Cost $127,740) | ||||||||
(a) (c) (d) (g) | 17,990 | 209,584 | ||||||
Convoy, Inc., Series D, (Acquired 10/30/19, Cost $417,858) | ||||||||
(a) (c) (d) (g) | 30,861 | 359,531 | ||||||
Stash Financial, Inc., Series F, (Acquired 4/24/20, Cost $126,801) | ||||||||
(a) (c) (d) (g) | 5,060 | 253,405 | ||||||
Stash Financial, Inc., Series G, (Acquired 1/26/21, Cost $174,908) | ||||||||
(a) (c) (d) (g) | 4,667 | 233,723 | ||||||
1,199,703 | ||||||||
Insurance — 0.0% | ||||||||
Go Maps, Inc., Series B-1, (Acquired 5/15/19, Cost $1,626) | ||||||||
(a) (c) (d) (g) | 755 | 9,665 | ||||||
Investment Companies — 0.0% | ||||||||
Maplebear, Inc., Series I, (Acquired 2/26/21, Cost $58,500) | ||||||||
(a) (c) (d) (g) | 468 | 58,500 | ||||||
1,267,868 | ||||||||
Industrial — 0.2% | ||||||||
Aerospace & Defense — 0.0% | ||||||||
ABL Space Systems Company, Series B (Acquired 3/24/21, Cost $328,985) (a) (c) (d) (g) | 7,305 | 328,985 | ||||||
Electrical Components & Equipment — 0.1% | ||||||||
Sila Nanotechnologies, Inc., Series F (Acquired 1/07/21, Cost $505,509) (a) (c) (d) (g) | 12,248 | 505,509 | ||||||
Electronics — 0.1% | ||||||||
Sartorius AG 0.150% | 1,943 | 1,011,411 | ||||||
1,845,905 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
Technology — 0.5% | ||||||||
Computers — 0.0% | ||||||||
Mesosphere, Inc., Series D (Acquired 5/04/18, Cost $72,584) (a) (c) (d) (g) | 6,566 | $ | 14,642 | |||||
Internet — 0.3% | ||||||||
Toast, Inc., Series B (Acquired 9/14/18, Cost $3,409) (a) (c) (d) (g) | 197 | 29,550 | ||||||
Toast, Inc., Series D (Acquired 6/27/18, Cost $215,697) (a) (c) (d) (g) | 12,463 | 1,869,450 | ||||||
Toast, Inc., Series E (Acquired 3/27/19, Cost $80,643) (a) (c) (d) (g) | 1,477 | 221,550 | ||||||
Toast, Inc., Series F (Acquired 2/14/20, Cost $85,991) (a) (c) (d) (g) | 1,892 | 283,800 | ||||||
2,404,350 | ||||||||
Software — 0.2% | ||||||||
Checkr, Inc., Series C (Acquired 4/10/18, Cost $106,628) (a) (c) (d) (g) | 7,811 | 191,291 | ||||||
Checkr, Inc., Series D (Acquired 9/06/19, Cost $308,786) (a) (c) (d) (g) | 10,209 | 250,018 | ||||||
Databricks, Inc., Series F (Acquired 10/22/19, Cost $104,923) (a) (c) (d) (g) | 2,443 | 433,315 | ||||||
Databricks, Inc., Series G (Acquired 2/01/21, Cost $128,414) (a) (c) (d) (g) | 724 | 128,416 | ||||||
Flexe, Inc., Series C (Acquired 11/18/20, Cost $134,849) (a) (c) (d) (g) | 11,083 | 134,849 | ||||||
JetClosing, Inc., Series A (Acquired 5/25/18, Cost $22,781) (a) (c) (d) (g) | 11,678 | 16,853 | ||||||
JetClosing, Inc., Series B-1 (Acquired 7/13/20-2/25/21, Cost $36,276) (a) (c) (d) (g) | 27,130 | 36,276 | ||||||
JetClosing, Inc., Series B-2 (Acquired 2/06/20, Cost $5,769) (a) (c) (d) (g) | 5,185 | 6,933 | ||||||
Seismic Software, Inc., Series E (Acquired 12/13/18, Cost $117,981) (a) (c) (d) (g) | 18,715 | 164,511 | ||||||
Seismic Software, Inc., Series F (Acquired 9/25/20-3/24/21, Cost $18,592) (a) (c) (d) (g) | 2,115 | 18,592 | ||||||
ServiceTitan, Inc., Series A-1 (Acquired 11/09/18, Cost $263) (a) (c) (d) (g) | 10 | 1,190 | ||||||
ServiceTitan, Inc., Series D (Acquired 11/09/18, Cost $124,743) (a) (c) (d) (g) | 4,744 | 564,351 | ||||||
ServiceTitan, Inc., Series E (Acquired 4/23/20, Cost $7,435) (a) (c) (d) (g) | 220 | 26,171 | ||||||
ServiceTitan, Inc., Series F (Acquired 3/25/21, Cost $25,650) (a) (c) (d) (g) | 239 | 28,432 | ||||||
Themis Solutions, Inc., Series AA (Acquired 4/14/21, Cost $24,473) (a) (c) (d) (g) | 1,090 | 24,473 | ||||||
Themis Solutions, Inc., Series AB (Acquired 4/14/21, Cost $2,694) (a) (c) (d) (g) | 120 | 2,694 | ||||||
Themis Solutions, Inc., Series B (Acquired 4/14/21, Cost $2,694) (a) (c) (d) (g) | 120 | 2,694 | ||||||
Themis Solutions, Inc., Series E (Acquired 4/14/21, Cost $309,164) (a) (c) (d) (g) | 13,770 | 309,164 | ||||||
2,340,223 | ||||||||
4,759,215 | ||||||||
TOTAL PREFERRED STOCK (Cost $12,214,904) | 22,707,155 | |||||||
TOTAL EQUITIES (Cost $658,524,378) | 912,454,684 | |||||||
Principal Amount | ||||||||
BONDS & NOTES — 0.1% | ||||||||
CORPORATE DEBT — 0.1% | ||||||||
Oil & Gas Services — 0.1% | ||||||||
Weatherford International Ltd. | ||||||||
11.000% 12/01/24 (e) | $ | 599,000 | 622,960 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
TOTAL CORPORATE DEBT (Cost $420,297) | $ | 622,960 | ||||||
TOTAL BONDS & NOTES (Cost $420,297) | 622,960 | |||||||
Number of Shares | ||||||||
RIGHTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Pharmaceuticals — 0.0% | ||||||||
Progenic Pharmaceuticals, Inc. (a) (d) (g) | 25,104 | — | ||||||
TOTAL RIGHTS (Cost $0) | — | |||||||
WARRANTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Commercial Services — 0.0% | ||||||||
Advantage Solutions, Inc., Expires 10/28/25 (a) | 7,777 | 19,365 | ||||||
Diversified — 0.0% | ||||||||
Holding Company - Diversified — 0.0% | ||||||||
Pershing Square Tontine Holdings Ltd., Expires 7/24/25 (a) | 2,666 | 16,796 | ||||||
Financial — 0.0% | ||||||||
Banks — 0.0% | ||||||||
Dogwood State Bank, Expires 5/01/24 (Acquired 5/06/19, Cost $0) (a) (c) (d) (g) | 800 | 3,176 | ||||||
Diversified Financial Services — 0.0% | ||||||||
Grasshopper Bancorp, Inc., Expires 12/31/99 (Acquired 10/15/18, Cost $0) (a) (c) (d) (g) | 1,432 | — | ||||||
3,176 | ||||||||
TOTAL WARRANTS (Cost $25,598) | 39,337 | |||||||
MUTUAL FUNDS — 0.2% | ||||||||
Diversified Financial Services — 0.2% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (h) | 1,713,333 | 1,713,333 | ||||||
TOTAL MUTUAL FUNDS (Cost $1,713,333) | 1,713,333 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $660,683,606) | 914,830,314 |
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund — Portfolio of Investments (Continued) |
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 2.3% | ||||||||
Mutual Fund — 2.2% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 20,776,821 | $ | 20,776,821 | |||||
Repurchase Agreement — 0.1% | Principal Amount | |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (i) | $ | 1,000,000 | 1,000,000 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $21,776,821) | 21,776,821 | |||||||
TOTAL INVESTMENTS — 100.2% (Cost $682,460,427) (j) | 936,607,135 | |||||||
Other Assets/(Liabilities) — (0.2)% | (2,297,016) | |||||||
NET ASSETS — 100.0% | $ | 934,310,119 |
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 June 30, 2021, was $9,884,267 or 1.06% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $8,484,957 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) | Restricted security. Certain securities are restricted as to resale. At June 30, 2021, these securities amounted to a value of $30,685,366 or 3.28% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2021, these securities amounted to a value of $30,467,231 or 3.26% of net assets. |
(e) | 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 June 30, 2021, the aggregate market value of these securities amounted to $934,964 or 0.10% of net assets. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(g) | Investment was valued using significant unobservable inputs. |
(h) | Represents investment of security lending cash collateral. (Note 2). |
(i) | Maturity value of $1,000,000. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $1,020,092. |
(j) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 97.6% | ||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 5.4% | ||||||||
Collateralized Mortgage Obligations — 1.4% | ||||||||
Government National Mortgage Association | ||||||||
Series 2016-121, Class JF, 1 mo. USD LIBOR + .400% 0.493% FRN 9/20/46 | $ | 264,819 | $ | 266,623 | ||||
Series 2019-78, Class FB, 1 mo. USD LIBOR + .400% 0.493% FRN 6/20/49 | 155,708 | 156,771 | ||||||
Series 2019-112, Class GF, 1 mo. USD LIBOR + .430% 0.523% FRN 9/20/49 | 160,193 | 161,156 | ||||||
Series 2019-103, Class CF, 1 mo. USD LIBOR + .450% 0.543% FRN 8/20/49 | 285,792 | 288,242 | ||||||
Series 2019-111, Class FB, 1 mo. USD LIBOR + .450% 0.543% FRN 9/20/49 | 108,970 | 110,050 | ||||||
Series 2019-125, Class DF, 1 mo. USD LIBOR + .450% 0.543% FRN 10/20/49 | 223,229 | 225,250 | ||||||
Series 2020-7, Class KE, 2.500% 1/20/50 | 356,446 | 370,866 | ||||||
1,578,958 | ||||||||
Pass-Through Securities — 4.0% | ||||||||
Government National Mortgage Association II | ||||||||
Pool #MA4484 3.000% 6/20/32 | 219,354 | 231,361 | ||||||
Pool #MA6255 3.000% 12/20/34 | 224,430 | 237,135 | ||||||
Pool #MA6381 3.000% 1/20/35 | 127,109 | 134,305 | ||||||
Pool #MA6630 3.000% 5/20/35 | 54,982 | 58,146 | ||||||
Pool #MA6209 3.000% 10/20/49 | 39,591 | 40,638 | ||||||
Pool #MA6399 3.000% 1/20/50 | 93,527 | 96,001 | ||||||
Pool #MA6464 3.000% 2/20/50 | 229,307 | 235,372 | ||||||
Pool #MA6531 3.000% 3/20/50 | 137,660 | 141,300 | ||||||
Pool #MA7313 3.000% 4/20/51 | 489,034 | 513,201 | ||||||
Pool #BQ0937 3.500% 9/20/49 | 99,450 | 106,792 | ||||||
Pool #BQ7205 3.500% 10/20/49 | 80,957 | 88,287 | ||||||
Pool #BS37G2 3.500% 1/20/50 | 200,800 | 215,655 | ||||||
Pool #BS3771 3.500% 2/20/50 | 155,328 | 166,260 | ||||||
Pool #MA4588 4.500% 7/20/47 | 205,253 | 223,115 | ||||||
Pool #MA4781 5.000% 10/20/47 | 93,027 | 101,943 | ||||||
Pool #MA4840 5.000% 11/20/47 | 68,603 | 75,050 | ||||||
Pool #MA5653 5.000% 12/20/48 | 266,942 | 287,250 | ||||||
Pool #MA5820 5.500% 3/20/49 | 32,408 | 35,652 | ||||||
Government National Mortgage Association II TBA 2.500% 7/21/51 (a) | 1,376,000 | 1,424,697 | ||||||
4,412,160 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $5,853,051) | 5,991,118 |
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
U.S. TREASURY OBLIGATIONS — 92.2% | ||||||||
U.S. Treasury Bonds & Notes — 92.2% | ||||||||
U.S. Treasury Bond | ||||||||
1.125% 5/15/40 | $ | 4,445,000 | $ | 3,840,757 | ||||
1.125% 8/15/40 | 6,710,000 | 5,777,837 | ||||||
1.250% 5/15/50 | 3,770,000 | 3,080,480 | ||||||
1.375% 11/15/40 | 2,610,000 | 2,346,484 | ||||||
1.375% 8/15/50 | 7,400,000 | 6,241,355 | ||||||
1.500% 2/15/30 | 1,225,000 | 1,238,392 | ||||||
1.625% 11/15/50 | 3,580,000 | 3,216,604 | ||||||
1.875% 2/15/41 | 7,480,000 | 7,330,347 | ||||||
1.875% 2/15/51 (b) | 6,875,000 | 6,565,031 | ||||||
2.000% 2/15/50 | 4,050,000 | 3,980,782 | ||||||
2.250% 5/15/41 | 4,410,000 | 4,593,610 | ||||||
2.250% 8/15/46 | 2,505,000 | 2,590,413 | ||||||
2.250% 8/15/49 | 2,550,000 | 2,642,925 | ||||||
2.375% 11/15/49 | 2,220,000 | 2,364,996 | ||||||
2.375% 5/15/51 | 2,585,000 | 2,762,165 | ||||||
2.500% 2/15/46 | 1,700,000 | 1,842,150 | ||||||
2.500% 5/15/46 | 3,925,000 | 4,252,565 | ||||||
2.750% 8/15/47 | 1,895,000 | 2,155,817 | ||||||
2.750% 11/15/47 | 2,660,000 | 3,028,175 | ||||||
2.875% 11/15/46 | 1,700,000 | 1,973,066 | ||||||
2.875% 5/15/49 | 2,480,000 | 2,905,238 | ||||||
3.000% 11/15/45 | 850,000 | 1,005,156 | ||||||
3.000% 2/15/47 | 1,560,000 | 1,853,482 | ||||||
3.000% 5/15/47 | 1,200,000 | 1,426,823 | ||||||
3.000% 2/15/48 | 2,020,000 | 2,408,132 | ||||||
3.000% 8/15/48 | 2,330,000 | 2,782,908 | ||||||
3.000% 2/15/49 | 2,480,000 | 2,969,942 | ||||||
3.125% 5/15/48 (c) | 4,125,000 | 5,032,272 | ||||||
3.375% 11/15/48 | 2,330,000 | 2,975,805 | ||||||
4.375% 5/15/41 | 1,100,000 | 1,545,530 | ||||||
U.S. Treasury Note | ||||||||
0.750% 5/31/26 | 1,650,000 | 1,641,374 | ||||||
0.875% 11/15/30 (b) | 3,385,000 | 3,222,664 | ||||||
1.125% 2/15/31 | 975,000 | 947,640 | ||||||
102,540,917 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $104,935,650) | 102,540,917 | |||||||
TOTAL BONDS & NOTES (Cost $110,788,701) | 108,532,035 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $110,788,701) | 108,532,035 | |||||||
SHORT-TERM INVESTMENTS — 3.2% | ||||||||
Number of Shares | ||||||||
Mutual Fund — 2.2% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 2,421,562 | 2,421,562 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund — Portfolio of Investments (Continued) |
Principal Amount | Value | |||||||
Repurchase Agreement — 1.0% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 6/30/21, 0.000%, due 7/01/21 (d) | $ | 1,069,759 | $ | 1,069,759 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,491,321) | 3,491,321 | |||||||
TOTAL INVESTMENTS — 100.8% (Cost $114,280,022) (e) | 112,023,356 | |||||||
Other Assets/(Liabilities) — (0.8)% | (849,957) | |||||||
NET ASSETS — 100.0% | $ | 111,173,399 |
Abbreviation Legend
FRN | Floating Rate Note |
TBA | To Be Announced |
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. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2021, was $9,794,170 or 8.81% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $9,993,522 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. |
(d) | Maturity value of $1,069,759. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 1/31/23, and an aggregate market value, including accrued interest, of $1,091,156. |
(e) | See Note 3 for aggregate cost for federal tax purposes. |
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 Note 10 Year Future | 7/23/21 | 133.00 | 17 | USD | 2,252,500 | $ | (5,313) | $ | (4,486) | $ | (827) | |||||||||||||||||
Put | ||||||||||||||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 131.00 | 15 | USD | 1,987,500 | $ | (1,641) | $ | (4,765) | $ | 3,124 | |||||||||||||||||
U.S. Treasury Note 10 Year Future | 7/23/21 | 131.50 | 17 | USD | 2,252,500 | (3,188) | (5,018) | 1,830 | ||||||||||||||||||||
$ | (4,829) | $ | (9,783) | $ | 4,954 | |||||||||||||||||||||||
$ | (10,142) | $ | (14,269) | $ | 4,127 |
Futures contracts | ||||||||||||||
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Long | ||||||||||||||
U.S. Treasury Long Bond | 9/21/21 | 249 | $ | 39,114,478 | $ | 912,272 | ||||||||
U.S. Treasury Note 10 Year | 9/21/21 | 8 | 1,053,948 | 6,052 | ||||||||||
$ | 918,324 | |||||||||||||
Short | ||||||||||||||
U.S. Treasury Ultra 10 Year | 9/21/21 | 165 | $ | (23,959,452) | $ | (329,064) | ||||||||
U.S. Treasury Ultra Bond | 9/21/21 | 44 | (8,113,113) | (365,137) | ||||||||||
U.S. Treasury Note 2 Year | 9/30/21 | 13 | (2,868,107) | 3,943 | ||||||||||
U.S. Treasury Note 5 Year | 9/30/21 | 15 | (1,857,949) | 6,504 | ||||||||||
$ | (683,754) |
MassMutual Select T. Rowe Price Retirement Balanced Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
Equity Funds — 39.0% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 1,903,375 | $ | 22,916,639 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 1,010,257 | 17,588,577 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 171,567 | 2,261,258 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 759,985 | 12,319,357 | ||||||
MM S&P 500 Index Fund, Class I (a) | 1,104,889 | 23,578,338 | ||||||
78,664,169 | ||||||||
Fixed Income Funds — 61.0% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 4,095,124 | 42,589,292 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 820,940 | 8,012,379 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 4,012,976 | 43,540,793 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 346,783 | 2,639,018 | ||||||
State Street Institutional U.S. Government Money Market Fund | 7,837,778 | 7,837,778 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 766,362 | 7,617,643 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 391,908 | 3,828,944 | ||||||
T. Rowe Price Institutional High Yield Fund | 798,544 | 7,107,037 | ||||||
123,172,884 | ||||||||
TOTAL MUTUAL FUNDS (Cost $181,766,047) | 201,837,053 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $181,766,047) | 201,837,053 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $181,766,047) (b) | 201,837,053 | |||||||
Other Assets/(Liabilities) — (0.0)% | (86,450) | |||||||
NET ASSETS — 100.0% | $ | 201,750,603 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2005 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
Equity Funds — 39.8% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 313,048 | $ | 3,769,093 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 159,623 | 2,779,041 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 27,317 | 360,041 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 127,344 | 2,064,245 | ||||||
MM S&P 500 Index Fund, Class I (a) | 179,082 | 3,821,609 | ||||||
12,794,029 | ||||||||
Fixed Income Funds — 60.2% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 726,987 | 7,560,660 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 146,596 | 1,430,777 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 515,660 | 5,594,906 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 60,052 | 456,998 | ||||||
State Street Institutional U.S. Government Money Market Fund | 1,021,995 | 1,021,995 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 129,968 | 1,291,883 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 67,989 | 664,251 | ||||||
T. Rowe Price Institutional High Yield Fund | 147,602 | 1,313,658 | ||||||
19,335,128 | ||||||||
TOTAL MUTUAL FUNDS (Cost $29,291,350) | 32,129,157 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $29,291,350) | 32,129,157 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $29,291,350) (b) | 32,129,157 | |||||||
Other Assets/(Liabilities) — (0.0)% | (11,107) | |||||||
NET ASSETS — 100.0% | $ | 32,118,050 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2010 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 44.6% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 1,731,217 | $ | 20,843,850 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 881,719 | 15,350,721 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 149,959 | 1,976,453 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 701,094 | 11,364,736 | ||||||
MM S&P 500 Index Fund, Class I (a) | 1,000,268 | 21,345,718 | ||||||
70,881,478 | ||||||||
Fixed Income Funds — 55.5% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 3,336,823 | 34,702,956 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 656,283 | 6,405,326 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 2,282,270 | 24,762,632 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 311,214 | 2,368,340 | ||||||
State Street Institutional U.S. Government Money Market Fund | 5,245,607 | 5,245,607 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 591,217 | 5,876,702 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 310,386 | 3,032,473 | ||||||
T. Rowe Price Institutional High Yield Fund | 663,684 | 5,906,784 | ||||||
88,300,820 | ||||||||
TOTAL MUTUAL FUNDS (Cost $140,747,850) | 159,182,298 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $140,747,850) | 159,182,298 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $140,747,850) (b) | 159,182,298 | |||||||
Other Assets/(Liabilities) — (0.1)% | (81,236) | |||||||
NET ASSETS — 100.0% | $ | 159,101,062 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2015 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.0% | ||||||||
Equity Funds — 48.7% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 1,932,249 | $ | 23,264,280 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 1,375,743 | 23,951,679 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 176,277 | 2,323,332 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 794,314 | 12,875,831 | ||||||
MM S&P 500 Index Fund, Class I (a) | 814,223 | 17,375,523 | ||||||
79,790,645 | ||||||||
Fixed Income Funds — 51.3% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 3,241,956 | 33,716,343 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 614,812 | 6,000,566 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 1,990,913 | 21,601,402 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 351,423 | 2,674,331 | ||||||
State Street Institutional U.S. Government Money Market Fund | 5,663,547 | 5,663,547 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 591,834 | 5,882,825 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 303,429 | 2,964,497 | ||||||
T. Rowe Price Institutional High Yield Fund | 627,274 | 5,582,737 | ||||||
84,086,248 | ||||||||
TOTAL MUTUAL FUNDS (Cost $143,027,007) | 163,876,893 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $143,027,007) | 163,876,893 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $143,027,007) (b) | 163,876,893 | |||||||
Other Assets/(Liabilities) — (0.0)% | (71,484) | |||||||
NET ASSETS — 100.0% | $ | 163,805,409 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2020 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 52.9% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 10,350,879 | $ | 124,624,584 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 8,796,984 | 153,155,487 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 963,958 | 12,704,962 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 4,098,519 | 66,436,988 | ||||||
MM S&P 500 Index Fund, Class I (a) | 3,626,391 | 77,387,183 | ||||||
434,309,204 | ||||||||
Fixed Income Funds — 47.2% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 15,607,462 | 162,317,602 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 2,819,330 | 27,516,659 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 8,124,336 | 88,149,045 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 1,659,165 | 12,626,248 | ||||||
State Street Institutional U.S. Government Money Market Fund | 30,847,691 | 30,847,691 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 2,759,157 | 27,426,018 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 1,435,882 | 14,028,571 | ||||||
T. Rowe Price Institutional High Yield Fund | 2,820,855 | 25,105,608 | ||||||
388,017,442 | ||||||||
TOTAL MUTUAL FUNDS (Cost $705,233,174) | 822,326,646 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $705,233,174) | 822,326,646 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $705,233,174) (b) | 822,326,646 | |||||||
Other Assets/(Liabilities) — (0.1)% | (489,352) | |||||||
NET ASSETS — 100.0% | $ | 821,837,294 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2025 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 61.7% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 10,890,055 | $ | 131,116,263 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 9,066,537 | 157,848,406 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 995,196 | 13,116,687 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 4,394,127 | 71,228,802 | ||||||
MM S&P 500 Index Fund, Class I (a) | 3,754,569 | 80,122,494 | ||||||
453,432,652 | ||||||||
Fixed Income Funds — 38.4% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 12,110,542 | 125,949,636 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 1,999,929 | 19,519,312 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 4,324,286 | 46,918,506 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 1,712,329 | 13,030,827 | ||||||
State Street Institutional U.S. Government Money Market Fund | 27,619,963 | 27,619,963 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 2,132,533 | 21,197,380 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 1,071,458 | 10,468,149 | ||||||
T. Rowe Price Institutional High Yield Fund | 2,011,116 | 17,898,929 | ||||||
282,602,702 | ||||||||
TOTAL MUTUAL FUNDS (Cost $620,566,124) | 736,035,354 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $620,566,124) | 736,035,354 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $620,566,124) (b) | 736,035,354 | |||||||
Other Assets/(Liabilities) — (0.1)% | (430,638) | |||||||
NET ASSETS — 100.0% | $ | 735,604,716 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2030 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 72.2% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 29,311,911 | $ | 352,915,403 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 25,702,167 | 447,474,731 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 2,603,574 | 34,315,106 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 11,429,567 | 185,273,276 | ||||||
MM S&P 500 Index Fund, Class I (a) | 8,982,538 | 191,687,369 | ||||||
1,211,665,885 | ||||||||
Fixed Income Funds — 27.9% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 20,729,340 | 215,585,140 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 2,863,734 | 27,950,044 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 4,368,657 | 47,399,930 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 4,469,184 | 34,010,492 | ||||||
State Street Institutional U.S. Government Money Market Fund | 63,254,430 | 63,254,430 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 3,706,464 | 36,842,255 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 1,785,853 | 17,447,781 | ||||||
T. Rowe Price Institutional High Yield Fund | 3,002,263 | 26,720,143 | ||||||
469,210,215 | ||||||||
TOTAL MUTUAL FUNDS (Cost $1,355,829,939) | 1,680,876,100 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,355,829,939) | 1,680,876,100 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $1,355,829,939) (b) | 1,680,876,100 | |||||||
Other Assets/(Liabilities) — (0.1)% | (1,120,781) | |||||||
NET ASSETS — 100.0% | $ | 1,679,755,319 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2035 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 81.8% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 15,074,961 | $ | 181,502,533 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 14,495,346 | 252,363,977 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 1,334,336 | 17,586,552 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 5,942,410 | 96,326,464 | ||||||
MM S&P 500 Index Fund, Class I (a) | 3,815,075 | 81,413,700 | ||||||
629,193,226 | ||||||||
Fixed Income Funds — 18.3% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 6,151,662 | 63,977,287 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 728,353 | 7,108,726 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 640,458 | 6,948,974 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 1,726,560 | 13,139,121 | ||||||
State Street Institutional U.S. Government Money Market Fund | 25,564,196 | 25,564,196 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 1,131,471 | 11,246,817 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 520,804 | 5,088,258 | ||||||
T. Rowe Price Institutional High Yield Fund | 830,439 | 7,390,904 | ||||||
140,464,283 | ||||||||
TOTAL MUTUAL FUNDS (Cost $608,734,187) | 769,657,509 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $608,734,187) | 769,657,509 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $608,734,187) (b) | 769,657,509 | |||||||
Other Assets/(Liabilities) — (0.1)% | (503,690) | |||||||
NET ASSETS — 100.0% | $ | 769,153,819 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2040 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 88.6% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 29,053,368 | $ | 349,802,556 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 30,371,842 | 528,773,770 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 2,569,696 | 33,868,591 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 11,765,879 | 190,724,894 | ||||||
MM S&P 500 Index Fund, Class I (a) | 5,412,469 | 115,502,090 | ||||||
1,218,671,901 | ||||||||
Fixed Income Funds — 11.5% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 6,981,163 | 72,604,098 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 528,084 | 5,154,100 | ||||||
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a) | 1,139,793 | 12,366,751 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 1,951,233 | 14,848,884 | ||||||
State Street Institutional U.S. Government Money Market Fund | 30,437,960 | 30,437,960 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 1,188,464 | 11,813,331 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 369,530 | 3,610,307 | ||||||
T. Rowe Price Institutional High Yield Fund | 763,284 | 6,793,225 | ||||||
157,628,656 | ||||||||
TOTAL MUTUAL FUNDS (Cost $1,040,920,534) | 1,376,300,557 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,040,920,534) | 1,376,300,557 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $1,040,920,534) (b) | 1,376,300,557 | |||||||
Other Assets/(Liabilities) — (0.1)% | (1,002,627) | |||||||
NET ASSETS — 100.0% | $ | 1,375,297,930 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2045 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 93.2% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 12,530,848 | $ | 150,871,407 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 13,160,544 | 229,125,072 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 1,111,539 | 14,650,090 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 5,248,992 | 85,086,157 | ||||||
MM S&P 500 Index Fund, Class I (a) | 2,180,975 | 46,542,011 | ||||||
526,274,737 | ||||||||
Fixed Income Funds — 6.9% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 1,676,488 | 17,435,475 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 40,617 | 396,422 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 630,803 | 4,800,414 | ||||||
State Street Institutional U.S. Government Money Market Fund | 12,680,836 | 12,680,836 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 299,865 | 2,980,655 | ||||||
T. Rowe Price Institutional High Yield Fund | 77,471 | 689,495 | ||||||
38,983,297 | ||||||||
TOTAL MUTUAL FUNDS (Cost $425,861,766) | 565,258,034 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $425,861,766) | 565,258,034 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $425,861,766) (b) | 565,258,034 | |||||||
Other Assets/(Liabilities) — (0.1)% | (391,782) | |||||||
NET ASSETS — 100.0% | $ | 564,866,252 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2050 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 94.2% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 20,071,223 | $ | 241,657,529 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 21,121,535 | 367,725,919 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 1,778,116 | 23,435,568 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 8,411,745 | 136,354,389 | ||||||
MM S&P 500 Index Fund, Class I (a) | 3,574,072 | 76,270,700 | ||||||
845,444,105 | ||||||||
Fixed Income Funds — 5.9% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 2,276,428 | 23,674,850 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 80,059 | 781,371 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 933,090 | 7,100,818 | ||||||
State Street Institutional U.S. Government Money Market Fund | 16,402,101 | 16,402,101 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 375,288 | 3,730,367 | ||||||
T. Rowe Price Institutional Floating Rate Fund | 28 | 272 | ||||||
T. Rowe Price Institutional High Yield Fund | 103,099 | 917,584 | ||||||
52,607,363 | ||||||||
TOTAL MUTUAL FUNDS (Cost $671,367,121) | 898,051,468 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $671,367,121) | 898,051,468 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $671,367,121) (b) | 898,051,468 | |||||||
Other Assets/(Liabilities) — (0.1)% | (668,136) | |||||||
NET ASSETS — 100.0% | $ | 897,383,332 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2055 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Equity Funds — 94.2% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 7,083,204 | $ | 85,281,774 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 7,442,413 | 129,572,417 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 628,303 | 8,281,032 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 2,971,783 | 48,172,600 | ||||||
MM S&P 500 Index Fund, Class I (a) | 1,273,111 | 27,168,199 | ||||||
298,476,022 | ||||||||
Fixed Income Funds — 5.9% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 809,895 | 8,422,912 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 23,533 | 229,685 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 341,532 | 2,599,061 | ||||||
State Street Institutional U.S. Government Money Market Fund | 5,598,039 | 5,598,039 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 135,020 | 1,342,100 | ||||||
T. Rowe Price Institutional High Yield Fund | 35,361 | 314,710 | ||||||
18,506,507 | ||||||||
TOTAL MUTUAL FUNDS (Cost $240,786,569) | 316,982,529 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $240,786,569) | 316,982,529 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $240,786,569) (b) | 316,982,529 | |||||||
Other Assets/(Liabilities) — (0.1)% | (224,338) | |||||||
NET ASSETS — 100.0% | $ | 316,758,191 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
MassMutual Select T. Rowe Price Retirement 2060 Fund — Portfolio of Investments |
June 30, 2021 (Unaudited)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 100.1% | ||||||||
Diversified Financial Services — 100.1% | ||||||||
Equity Funds — 94.2% | ||||||||
MassMutual Select T. Rowe Price International Equity Fund, Class I (a) | 2,407,980 | $ | 28,992,081 | |||||
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a) | 2,530,131 | 44,049,575 | ||||||
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a) | 212,377 | 2,799,133 | ||||||
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a) | 988,712 | 16,027,028 | ||||||
MM S&P 500 Index Fund, Class I (a) | 433,627 | 9,253,597 | ||||||
101,121,414 | ||||||||
Fixed Income Funds — 5.9% | ||||||||
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a) | 251,858 | 2,619,322 | ||||||
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a) | 9,251 | 90,286 | ||||||
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a) | 108,239 | 823,700 | ||||||
State Street Institutional U.S. Government Money Market Fund | 2,207,525 | 2,207,525 | ||||||
T. Rowe Price Dynamic Global Bond Fund, Class I | 43,959 | 436,948 | ||||||
T. Rowe Price Institutional High Yield Fund | 11,587 | 103,128 | ||||||
6,280,909 | ||||||||
TOTAL MUTUAL FUNDS (Cost $85,507,781) | 107,402,323 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $85,507,781) | 107,402,323 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $85,507,781) (b) | 107,402,323 | |||||||
Other Assets/(Liabilities) — (0.1)% | (70,619) | |||||||
NET ASSETS — 100.0% | $ | 107,331,704 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Affiliated issuer. |
(b) | See Note 3 for aggregate cost for federal tax purposes. |
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 Total Return Bond Fund (formerly known as MassMutual Select Total Return Bond Fund) (“Total Return Bond Fund”)
MassMutual Strategic Bond Fund (formerly known as MassMutual Select Strategic Bond Fund) (“Strategic Bond Fund”)
MassMutual Select BlackRock Global Allocation Fund ("MM Select BlackRock Global Allocation Fund")
MassMutual Diversified Value Fund (formerly known as MassMutual Select Diversified Value Fund) (“Diversified Value Fund”)
MassMutual Fundamental Value Fund (formerly known as MassMutual Select Fundamental Value Fund) (“Fundamental Value Fund”)
MM S&P 500® Index Fund (“S&P 500 Index Fund”)
MassMutual Equity Opportunities Fund (formerly known as MassMutual Select Equity Opportunities Fund) (“Equity Opportunities Fund”)
MassMutual Fundamental Growth Fund (formerly known as MassMutual Select Fundamental Growth Fund) (“Fundamental Growth Fund”)
MassMutual Blue Chip Growth Fund (formerly known as MassMutual Select Blue Chip Growth Fund) (“Blue Chip Growth Fund”)
MassMutual Growth Opportunities Fund (formerly known as MassMutual Select Growth Opportunities Fund) (“Growth Opportunities Fund”)
MassMutual Mid Cap Value Fund (formerly known as MassMutual Select Mid-Cap Value Fund) (“Mid Cap Value Fund”)
MassMutual Small Cap Value Equity Fund (formerly known as MassMutual Select Small Cap Value Equity Fund) (“Small Cap Value Equity Fund”)
MassMutual Small Company Value Fund (formerly known as 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”)
Notes to Portfolio of Investments (Unaudited) (Continued) |
MassMutual Mid Cap Growth Fund (formerly known as MassMutual Select Mid Cap Growth Fund) (“Mid Cap Growth Fund”)
MassMutual Small Cap Growth Equity Fund (formerly known as MassMutual Select Small Cap Growth Equity Fund) (“Small Cap Growth Equity Fund”)
MM MSCI EAFE® International Index Fund (“MSCI EAFE International Index Fund”)
MassMutual Overseas Fund (formerly known as MassMutual Select Overseas Fund) (“Overseas Fund”)
MassMutual Select T. Rowe Price International Equity Fund (“MM Select T. Rowe Price International Equity Fund”)
MassMutual 20/80 Allocation Fund (formerly known as MassMutual Select 20/80 Allocation Fund) (“20/80 Allocation Fund”)
MassMutual 40/60 Allocation Fund (formerly known as MassMutual Select 40/60 Allocation Fund) (“40/60 Allocation Fund”)
MassMutual 60/40 Allocation Fund (formerly known as MassMutual Select 60/40 Allocation Fund) (“60/40 Allocation Fund”)
MassMutual 80/20 Allocation Fund (formerly known as MassMutual Select 80/20 Allocation Fund) (“80/20 Allocation Fund”)
MassMutual RetireSMARTSM by JPMorgan In Retirement Fund ("MM RetireSMART by JPMorgan In Retirement Fund")
MassMutual RetireSMARTSM by JPMorgan 2020 Fund ("MM RetireSMART by JPMorgan 2020 Fund")
MassMutual RetireSMARTSM by JPMorgan 2025 Fund ("MM RetireSMART by JPMorgan 2025 Fund")
MassMutual RetireSMARTSM by JPMorgan 2030 Fund ("MM RetireSMART by JPMorgan 2030 Fund")
MassMutual RetireSMARTSM by JPMorgan 2035 Fund ("MM RetireSMART by JPMorgan 2035 Fund")
MassMutual RetireSMARTSM by JPMorgan 2040 Fund ("MM RetireSMART by JPMorgan 2040 Fund")
MassMutual RetireSMARTSM by JPMorgan 2045 Fund ("MM RetireSMART by JPMorgan 2045 Fund")
MassMutual RetireSMARTSM by JPMorgan 2050 Fund ("MM RetireSMART by JPMorgan 2050 Fund")
MassMutual RetireSMARTSM by JPMorgan 2055 Fund ("MM RetireSMART by JPMorgan 2055 Fund")
MassMutual RetireSMARTSM by JPMorgan 2060 Fund ("MM RetireSMART by JPMorgan 2060 Fund")
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Equity Asset Fund (formerly known as 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 Index Fund (formerly known as MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund) (“MM Select T. Rowe Price U.S. Treasury Long-Term Index 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”)
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”)
Notes to Portfolio of Investments (Unaudited) (Continued) |
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”)
The 20/80 Allocation Fund, 40/60 Allocation Fund, 60/40 Allocation Fund, and 80/20 Allocation Fund (the “MM Target Allocation 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 Target Allocation 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, 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 Target Allocation 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”).
Notes to Portfolio of Investments (Unaudited) (Continued) |
2. Significant Accounting Policies
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.
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 June 30, 2021, the MM Select BlackRock Global Allocation Fund’s net assets were approximately $723,194,963, of which approximately $6,804,503 or approximately 0.94%, 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 Target Allocation 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.
Notes to Portfolio of Investments (Unaudited) (Continued) |
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.
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.
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. |
Notes to Portfolio of Investments (Unaudited) (Continued) |
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.
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.
Notes to Portfolio of Investments (Unaudited) (Continued) |
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, Fundamental Growth Fund, and Growth Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of June 30, 2021. The MM Target Allocation Funds, MM RetireSMART by JPMorgan Funds, and the MM Select T. Rowe Price Retirement Funds characterized all investments at Level 1, as of June 30, 2021. 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.
Notes to Portfolio of Investments (Unaudited) (Continued) |
The following is the aggregate value by input level, as of June 30, 2021, for the remaining Funds' investments:
Total Return Bond Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bank Loans | $ | — | $ | 16,561,497 | $ | — | $ | 16,561,497 | ||||||||
Corporate Debt | — | 197,404,707 | — | 197,404,707 | ||||||||||||
Municipal Obligations | — | 5,556,282 | — | 5,556,282 | ||||||||||||
Non-U.S. Government Agency Obligations | — | 102,851,589 | — | 102,851,589 | ||||||||||||
Sovereign Debt Obligations | — | 8,343,541 | — | 8,343,541 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 296,817,091 | — | 296,817,091 | ||||||||||||
U.S. Treasury Obligations | — | 336,291,853 | — | 336,291,853 | ||||||||||||
Purchased Options | — | 126,363 | — | 126,363 | ||||||||||||
Mutual Funds | 731,330 | — | — | 731,330 | ||||||||||||
Short-Term Investments | — | 105,254,410 | — | 105,254,410 | ||||||||||||
Total Investments | $ | 731,330 | $ | 1,069,207,333 | $ | — | $ | 1,069,938,663 | ||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 274,293 | $ | — | $ | — | 274,293 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Strategic Bond Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bank Loans | $ | — | $ | 45,847,680 | $ | — | $ | 45,847,680 | ||||||||
Corporate Debt | — | 263,420,480 | — | 263,420,480 | ||||||||||||
Municipal Obligations | — | 182,374 | — | 182,374 | ||||||||||||
Non-U.S. Government Agency Obligations | — | 74,688,727 | — | 74,688,727 | ||||||||||||
Sovereign Debt Obligations | — | 67,275,229 | — | 67,275,229 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 120,790,678 | — | 120,790,678 | ||||||||||||
U.S. Treasury Obligations | — | 81,114,567 | — | 81,114,567 | ||||||||||||
Purchased Options | 469,297 | 33,261 | — | 502,558 | ||||||||||||
Short-Term Investments | — | 25,241,134 | — | 25,241,134 | ||||||||||||
Total Investments | $ | 469,297 | $ | 678,594,130 | $ | — | $ | 679,063,427 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 1,425,462 | $ | — | $ | 1,425,462 | ||||||||
Futures Contracts | 3,497,034 | — | — | 3,497,034 | ||||||||||||
Swap Agreements | — | 10,010,221 | — | 10,010,221 | ||||||||||||
Total | $ | 3,497,034 | $ | 11,435,683 | $ | — | $ | 14,932,717 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (457,706 | ) | $ | — | $ | (457,706 | ) | ||||||
Futures Contracts | (2,407,428 | ) | — | — | (2,407,428 | ) | ||||||||||
Swap Agreements | — | (863,102 | ) | — | (863,102 | ) | ||||||||||
Written Options | (654,476 | ) | — | — | (654,476 | ) | ||||||||||
Total | $ | (3,061,904 | ) | $ | (1,320,808 | ) | $ | — | $ | (4,382,712 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select BlackRock Global Allocation Fund
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | 12,735 | $ | 160,066 | $ | 564,289 | $ | 737,090 | ||||||||
Belgium | — | 23,112 | — | 23,112 | ||||||||||||
Bermuda | 198,887 | 20,417 | — | 219,304 | ||||||||||||
Brazil | 1,036,050 | — | — | 1,036,050 | ||||||||||||
British Virgin Islands | 818,961 | — | — | 818,961 | ||||||||||||
Canada | 7,203,603 | — | — | 7,203,603 | ||||||||||||
Cayman Islands | 6,145,024 | 7,281,863 | — | 13,426,887 | ||||||||||||
Chile | 18,506 | — | — | 18,506 | ||||||||||||
China | 670,635 | 6,141,842 | — | 6,812,477 | ||||||||||||
Denmark | — | 1,888,503 | — | 1,888,503 | ||||||||||||
Finland | — | 1,438,545 | — | 1,438,545 | ||||||||||||
France | — | 25,451,599 | — | 25,451,599 | ||||||||||||
Germany | — | 26,808,731 | — | 26,808,731 | ||||||||||||
Hong Kong | — | 3,592,803 | — | 3,592,803 | ||||||||||||
India | — | 1,680,216 | — | 1,680,216 | ||||||||||||
Indonesia | — | 180,963 | — | 180,963 | ||||||||||||
Ireland | 1,179,371 | 95,670 | — | 1,275,041 | ||||||||||||
Israel | 99,367 | — | — | 99,367 | ||||||||||||
Italy | — | 11,462,103 | — | 11,462,103 | ||||||||||||
Japan | — | 12,411,289 | — | 12,411,289 | ||||||||||||
Luxembourg | — | 748,146 | — | 748,146 | ||||||||||||
Mexico | 21,789 | — | — | 21,789 | ||||||||||||
Netherlands | 2,715,759 | 14,025,991 | — | 16,741,750 | ||||||||||||
New Zealand | — | 12,018 | — | 12,018 | ||||||||||||
Norway | — | 110,928 | — | 110,928 | ||||||||||||
Poland | 8,706 | 20,326 | — | 29,032 | ||||||||||||
Portugal | — | 127,409 | — | 127,409 | ||||||||||||
Republic of Korea | — | 5,212,823 | — | 5,212,823 | ||||||||||||
Saudi Arabia | 8,323 | — | — | 8,323 | ||||||||||||
Singapore | — | 451,344 | — | 451,344 | ||||||||||||
South Africa | 138 | 85,040 | — | 85,178 | ||||||||||||
Spain | — | 3,052,110 | — | 3,052,110 | ||||||||||||
Sweden | — | 8,736,070 | — | 8,736,070 | ||||||||||||
Switzerland | 2,927,733 | 3,553,768 | — | 6,481,501 | ||||||||||||
Taiwan | — | 7,760,529 | — | 7,760,529 | ||||||||||||
Thailand | 148,491 | 43,646 | — | 192,137 | ||||||||||||
United Kingdom | 4,300,865 | 21,063,735 | — | + | 25,364,600 | |||||||||||
United States | 318,001,336 | — | 43,233 | 318,044,569 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Brazil | 149,671 | — | — | 149,671 | ||||||||||||
Germany | — | 2,020,561 | — | 2,020,561 | ||||||||||||
United Kingdom | 636,778 | — | — | 636,778 | ||||||||||||
United States | 3,077,381 | — | 2,539,053 | 5,616,434 | ||||||||||||
Bank Loans(Less Unfunded Loan Commitments) | — | 14,510,137 | — | 14,510,137 | ||||||||||||
Corporate Debt | — | 32,495,707 | 2,334,626 | 34,830,333 | ||||||||||||
Non-U.S. Government Agency Obligations | — | 20,883,929 | 420,000 | 21,303,929 | ||||||||||||
Sovereign Debt Obligations | — | 37,195,830 | — | 37,195,830 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 496,869 | — | 496,869 | ||||||||||||
U.S. Treasury Obligations | — | 5,338,211 | — | 5,338,211 | ||||||||||||
Mutual Funds | 14,469,494 | — | — | 14,469,494 | ||||||||||||
Purchased Options | 1,869,787 | 1,142,359 | — | 3,012,146 | ||||||||||||
Warrants | 116,205 | — | — | 116,205 | ||||||||||||
Short-Term Investments | — | 58,764,638 | — | 58,764,638 | ||||||||||||
Unfunded Loan Commitments** | — | (397 | ) | — | (397 | ) | ||||||||||
Total Investments | $ | 365,835,595 | $ | 336,489,449 | $ | 5,901,201 | $ | 708,226,245 | ||||||||
Liability Investments | ||||||||||||||||
Equities Sold Short | $ | (3,679,852 | ) | $ | — | $ | — | $ | (3,679,852 | ) | ||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 498,933 | $ | — | $ | 498,933 | ||||||||
Futures Contracts | 314,937 | — | — | 314,937 | ||||||||||||
Swap Agreements | — | 4,979,016 | — | 4,979,016 | ||||||||||||
Total | $ | 314,937 | $ | 5,477,949 | $ | — | $ | 5,792,886 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (1,773,996 | ) | $ | — | $ | (1,773,996 | ) | ||||||
Futures Contracts | (2,273,230 | ) | — | — | (2,273,230 | ) | ||||||||||
Swap Agreements | — | (3,959,024 | ) | — | (3,959,024 | ) | ||||||||||
Written Options | (649,045 | ) | (949,827 | ) | — | (1,598,872 | ) | |||||||||
Total | $ | (2,922,275 | ) | $ | (6,682,847 | ) | $ | — | $ | (9,605,122 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Diversified Value Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 402,407,010 | $ | 4,968,405 | * | $ | — | $ | 407,375,415 | |||||||
Preferred Stock | 2,069,143 | 1,262,404 | * | — | 3,331,547 | |||||||||||
Mutual Funds | 3,952,123 | — | — | 3,952,123 | ||||||||||||
Short-Term Investments | 104 | 3,954,968 | — | 3,955,072 | ||||||||||||
Total Investments | $ | 408,428,380 | $ | 10,185,777 | $ | — | $ | 418,614,157 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
S&P 500 Index Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 3,578,513,298 | $ | — | $ | — | $ | 3,578,513,298 | ||||||||
Mutual Funds | 506,079 | — | — | 506,079 | ||||||||||||
Short-Term Investments | — | 16,746,256 | — | 16,746,256 | ||||||||||||
Total Investments | $ | 3,579,019,377 | $ | 16,746,256 | $ | — | $ | 3,595,765,633 | ||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 362,156 | $ | — | $ | — | $ | 362,156 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Equity Opportunities Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 713,158,799 | $ | 36,685,802 | * | $ | — | $ | 749,844,601 | |||||||
Preferred Stock | 3,087,110 | 1,956,049 | * | — | 5,043,159 | |||||||||||
Mutual Funds | 810,957 | — | — | 810,957 | ||||||||||||
Short-Term Investments | 156 | 19,429,520 | — | 19,429,676 | ||||||||||||
Total Investments | $ | 717,057,022 | $ | 58,071,371 | $ | — | $ | 775,128,393 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Blue Chip Growth Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 4,431,141,828 | $ | 46,425,251 | * | $ | 4,220,264 | $ | 4,481,787,343 | |||||||
Preferred Stock | — | — | 12,075,236 | 12,075,236 | ||||||||||||
Mutual Funds | 4,977,420 | — | — | 4,977,420 | ||||||||||||
Short-Term Investments | 100 | 37,941,498 | — | 37,941,598 | ||||||||||||
Total Investments | $ | 4,436,119,348 | $ | 84,366,749 | $ | 16,295,500 | $ | 4,536,781,597 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Mid Cap Value Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 116,286,340 | $ | 2,928,327 | * | $ | — | $ | 119,214,667 | |||||||
Mutual Funds | 77,956 | — | — | 77,956 | ||||||||||||
Short-Term Investments | — | 313,158 | — | 313,158 | ||||||||||||
Total Investments | $ | 116,364,296 | $ | 3,241,485 | $ | — | $ | 119,605,781 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 13,464 | $ | — | $ | 13,464 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (250 | ) | $ | — | $ | (250 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Small Cap Value Equity Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 78,357,041 | $ | 1,738,065 | * | $ | — | + | $ | 80,095,106 | ||||||
Short-Term Investments | — | 2,133,432 | — | 2,133,432 | ||||||||||||
Total Investments | $ | 78,357,041 | $ | 3,871,497 | $ | — | $ | 82,228,538 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Small Company Value Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 291,258,382 | $ | 746,234 | * | $ | — | + | $ | 292,004,616 | ||||||
Mutual Funds | 1,117,174 | — | — | 1,117,174 | ||||||||||||
Short-Term Investments | — | 2,672,067 | — | 2,672,067 | ||||||||||||
Total Investments | $ | 292,375,556 | $ | 3,418,301 | $ | — | $ | 295,793,857 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 2,802 | $ | — | $ | 2,802 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
S&P Mid Cap Index Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 474,448,448 | $ | — | $ | — | $ | 474,448,448 | ||||||||
Mutual Funds | 545,795 | — | — | 545,795 | ||||||||||||
Short-Term Investments | — | 4,546,171 | — | 4,546,171 | ||||||||||||
Total Investments | $ | 474,994,243 | $ | 4,546,171 | $ | — | $ | 479,540,414 | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (57,434 | ) | $ | — | $ | — | $ | (57,434 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Russell 2000 Small Cap Index Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 337,915,703 | $ | — | $ | — | + | $ | 337,915,703 | |||||||
Warrants | — | 3,260 | — | 3,260 | ||||||||||||
Rights | — | — | 10,471 | 10,471 | ||||||||||||
Corporate Debt | — | 1,206 | — | 1,206 | ||||||||||||
Mutual Funds | 6,615,854 | — | — | 6,615,854 | ||||||||||||
Short-Term Investments | — | 3,155,921 | — | 3,155,921 | ||||||||||||
Total Investments | $ | 344,531,557 | $ | 3,160,387 | $ | 10,471 | $ | 347,702,415 | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (10,802 | ) | $ | — | $ | — | $ | (10,802 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Mid Cap Growth Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 9,367,880,603 | $ | 54,274,466 | $ | 7,451,501 | $ | 9,429,606,570 | ||||||||
Preferred Stock | — | — | 124,903,052 | 124,903,052 | ||||||||||||
Warrants | 504,120 | — | — | 504,120 | ||||||||||||
Mutual Funds | 52,343,015 | — | — | 52,343,015 | ||||||||||||
Short-Term Investments | 103,877,547 | 77,918,966 | — | 181,796,513 | ||||||||||||
Total Investments | $ | 9,524,605,285 | $ | 132,193,432 | $ | 132,354,553 | $ | 9,789,153,270 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Small Cap Growth Equity Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 744,387,952 | $ | 3,953,290 | $ | 1,001 | $ | 748,342,243 | ||||||||
Rights | — | — | — | + | — | |||||||||||
Mutual Funds | 13,994,196 | — | — | 13,994,196 | ||||||||||||
Short-Term Investments | — | 5,412,716 | — | 5,412,716 | ||||||||||||
Total Investments | $ | 758,382,148 | $ | 9,366,006 | $ | 1,001 | $ | 767,749,155 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MSCI EAFE International Index Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | 71,725 | $ | 14,235,918 | $ | — | $ | 14,307,643 | ||||||||
Austria | — | 397,089 | — | 397,089 | ||||||||||||
Belgium | — | 1,776,216 | — | 1,776,216 | ||||||||||||
Bermuda | — | 281,671 | — | 281,671 | ||||||||||||
Cayman Islands | 202,571 | 1,078,074 | — | 1,280,645 | ||||||||||||
Denmark | — | 5,300,402 | — | 5,300,402 | ||||||||||||
Finland | — | 2,590,725 | — | 2,590,725 | ||||||||||||
France | — | 21,896,353 | — | 21,896,353 | ||||||||||||
Germany | 116,843 | 17,710,246 | 72,502 | 17,899,591 | ||||||||||||
Hong Kong | — | 5,168,164 | — | 5,168,164 | ||||||||||||
Ireland | — | 1,742,797 | — | 1,742,797 | ||||||||||||
Israel | 551,457 | 687,250 | — | 1,238,707 | ||||||||||||
Italy | — | 3,778,961 | — | 3,778,961 | ||||||||||||
Japan | — | 47,561,449 | — | 47,561,449 | ||||||||||||
Luxembourg | — | 664,411 | — | 664,411 | ||||||||||||
Netherlands | 529,567 | 10,922,792 | — | 11,452,359 | ||||||||||||
New Zealand | — | 644,250 | — | 644,250 | ||||||||||||
Norway | — | 1,285,361 | — | 1,285,361 | ||||||||||||
Papua New Guinea | — | 68,778 | — | 68,778 | ||||||||||||
Portugal | — | 303,814 | — | + | 303,814 | |||||||||||
Singapore | — | 2,148,078 | — | 2,148,078 | ||||||||||||
Spain | — | 5,109,133 | — | 5,109,133 | ||||||||||||
Sweden | — | 7,214,557 | — | 7,214,557 | ||||||||||||
Switzerland | — | 20,161,376 | — | 20,161,376 | ||||||||||||
United Kingdom | 148,656 | 29,379,095 | — | 29,527,751 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Germany | — | 1,255,778 | — | 1,255,778 | ||||||||||||
Italy | — | 38,969 | — | 38,969 | ||||||||||||
Mutual Funds | 3,655,392 | — | — | 3,655,392 | ||||||||||||
Rights | 4,051 | — | — | 4,051 | ||||||||||||
Short-Term Investments | — | 4,714,704 | — | 4,714,704 | ||||||||||||
Total Investments | $ | 5,280,262 | $ | 208,116,411 | $ | 72,502 | $ | 213,469,175 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 4,475 | $ | — | $ | 4,475 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (52,660 | ) | $ | — | $ | (52,660 | ) | ||||||
Futures Contracts | (51,936 | ) | — | — | (51,936 | ) | ||||||||||
Total | $ | (51,936 | ) | $ | (52,660 | ) | $ | — | $ | (104,596 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Overseas Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | — | $ | 5,998,106 | $ | — | $ | 5,998,106 | ||||||||
Belgium | — | 6,948,712 | — | 6,948,712 | ||||||||||||
Brazil | 1,574,099 | — | — | 1,574,099 | ||||||||||||
Canada | 23,821,966 | — | — | 23,821,966 | ||||||||||||
Cayman Islands | 2,154,410 | 8,768,483 | — | 10,922,893 | ||||||||||||
Denmark | — | 13,715,581 | — | 13,715,581 | ||||||||||||
Finland | — | 2,027,733 | — | 2,027,733 | ||||||||||||
France | — | 110,722,045 | — | 110,722,045 | ||||||||||||
Germany | 5,191 | 97,975,390 | — | 97,980,581 | ||||||||||||
Hong Kong | — | 12,371,508 | — | 12,371,508 | ||||||||||||
India | — | 15,067,376 | — | 15,067,376 | ||||||||||||
Indonesia | — | 1,278,020 | — | 1,278,020 | ||||||||||||
Ireland | 6,747,110 | 5,644,265 | — | 12,391,375 | ||||||||||||
Israel | 4,946,790 | — | — | 4,946,790 | ||||||||||||
Italy | — | 15,960,000 | — | 15,960,000 | ||||||||||||
Japan | — | 78,212,797 | — | 78,212,797 | ||||||||||||
Mexico | 3,648,540 | — | — | 3,648,540 | ||||||||||||
Netherlands | — | 41,169,436 | — | 41,169,436 | ||||||||||||
Portugal | — | 2,719,285 | — | 2,719,285 | ||||||||||||
Republic of Korea | — | 3,127,575 | — | 3,127,575 | ||||||||||||
Singapore | — | 5,046,226 | — | 5,046,226 | ||||||||||||
South Africa | — | 5,798,031 | — | 5,798,031 | ||||||||||||
Spain | — | 7,943,990 | — | 7,943,990 | ||||||||||||
Sweden | — | 10,479,281 | — | 10,479,281 | ||||||||||||
Switzerland | — | 86,883,699 | — | 86,883,699 | ||||||||||||
Taiwan | 7,352,350 | — | — | 7,352,350 | ||||||||||||
United Kingdom | 4,617,200 | 79,814,723 | — | 84,431,923 | ||||||||||||
United States | 3,929,022 | — | — | 3,929,022 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Germany | — | 200,601 | — | 200,601 | ||||||||||||
Corporate Debt | — | 889,093 | — | 889,093 | ||||||||||||
Mutual Funds | 5,396,216 | — | — | 5,396,216 | ||||||||||||
Short-Term Investments | — | 7,978,732 | — | 7,978,732 | ||||||||||||
Total Investments | $ | 64,192,894 | $ | 626,740,688 | $ | — | $ | 690,933,582 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 97,037 | $ | — | $ | 97,037 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price International Equity Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | — | $ | 38,639,253 | $ | — | $ | 38,639,253 | ||||||||
Austria | — | 12,593,779 | — | 12,593,779 | ||||||||||||
Belgium | — | 7,312,299 | — | 7,312,299 | ||||||||||||
Bermuda | 1,721,821 | 5,680,474 | — | 7,402,295 | ||||||||||||
Brazil | 16,879,805 | — | — | 16,879,805 | ||||||||||||
British Virgin Islands | — | 949,862 | — | 949,862 | ||||||||||||
Canada | 55,793,587 | — | — | 55,793,587 | ||||||||||||
Cayman Islands | 50,304,040 | 53,623,361 | — | 103,927,401 | ||||||||||||
Chile | 1,720,861 | — | — | 1,720,861 | ||||||||||||
China | — | 52,101,375 | — | 52,101,375 | ||||||||||||
Cyprus | 1,055,746 | — | — | 1,055,746 | ||||||||||||
Czech Republic | — | 982,617 | — | 982,617 | ||||||||||||
Denmark | — | 3,028,596 | — | 3,028,596 | ||||||||||||
Finland | — | 12,309,919 | — | 12,309,919 | ||||||||||||
France | — | 123,546,920 | — | 123,546,920 | ||||||||||||
Germany | — | 99,973,809 | — | 99,973,809 | ||||||||||||
Hong Kong | — | 29,329,810 | — | 29,329,810 | ||||||||||||
Hungary | — | 6,193,950 | — | 6,193,950 | ||||||||||||
India | 2,403,131 | 54,595,636 | — | 56,998,767 | ||||||||||||
Indonesia | — | 10,497,434 | — | 10,497,434 | ||||||||||||
Ireland | — | 6,629,836 | — | 6,629,836 | ||||||||||||
Italy | — | 17,991,229 | — | 17,991,229 | ||||||||||||
Japan | 974,743 | 255,255,491 | — | 256,230,234 | ||||||||||||
Luxembourg | 2,814,965 | 4,948,139 | — | 7,763,104 | ||||||||||||
Malaysia | — | 1,208,632 | — | 1,208,632 | ||||||||||||
Mexico | 7,998,582 | — | — | 7,998,582 | ||||||||||||
Netherlands | 13,374,971 | 95,432,223 | — | 108,807,194 | ||||||||||||
Norway | — | 11,469,351 | — | 11,469,351 | ||||||||||||
Philippines | — | 6,005,804 | — | 6,005,804 | ||||||||||||
Poland | — | 4,478,063 | — | 4,478,063 | ||||||||||||
Portugal | — | 12,976,589 | — | 12,976,589 | ||||||||||||
Republic of Korea | 2,485,458 | 76,963,501 | — | 79,448,959 | ||||||||||||
Russia | — | 14,680,761 | — | 14,680,761 | ||||||||||||
Saudi Arabia | — | 6,104,695 | — | 6,104,695 | ||||||||||||
Singapore | — | 15,710,843 | — | 15,710,843 | ||||||||||||
South Africa | — | 22,259,345 | — | 22,259,345 | ||||||||||||
Spain | — | 11,849,395 | — | 11,849,395 | ||||||||||||
Sweden | — | 23,736,962 | — | 23,736,962 | ||||||||||||
Switzerland | 669,540 | 98,246,671 | — | 98,916,211 | ||||||||||||
Taiwan | — | 68,377,807 | — | 68,377,807 | ||||||||||||
Thailand | 7,633,816 | 1,554,902 | — | 9,188,718 | ||||||||||||
Turkey | — | 528,660 | — | 528,660 | ||||||||||||
United Arab Emirates | — | 2,458,384 | — | 2,458,384 | ||||||||||||
United Kingdom | 37,843,370 | 164,912,890 | — | 202,756,260 | ||||||||||||
United States | 19,561,269 | 1,922,278 | — | 21,483,547 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Brazil | 8,875,657 | — | — | 8,875,657 | ||||||||||||
Germany | — | 5,517,631 | — | 5,517,631 | ||||||||||||
Italy | — | 1,129,929 | — | 1,129,929 | ||||||||||||
Republic of Korea | — | 1,220,830 | — | 1,220,830 | ||||||||||||
Mutual Funds | 21,879,547 | — | — | 21,879,547 | ||||||||||||
Rights | — | 195,702 | — | 195,702 | ||||||||||||
Short-Term Investments | 31,707,781 | 1,067,592 | — | 32,775,373 | ||||||||||||
Total Investments | $ | 285,698,690 | $ | 1,446,193,229 | $ | — | $ | 1,731,891,919 | ||||||||
Liability Derivatives | ||||||||||||||||
Written Options | $ | — | $ | (3,531 | ) | $ | — | $ | (3,531 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Equity Asset Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 399,038,690 | $ | 5,546 | * | $ | — | + | $ | 399,044,236 | ||||||
Warrants | — | 66 | — | + | 66 | |||||||||||
Rights | — | — | 3,843 | 3,843 | ||||||||||||
Short-Term Investments | — | 4,514,875 | — | 4,514,875 | ||||||||||||
Total Investments | $ | 399,038,690 | $ | 4,520,487 | $ | 3,843 | $ | 403,563,020 | ||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 60,510 | $ | — | $ | — | $ | 60,510 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price Bond Asset Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Preferred Stock | ||||||||||||||||
United States | $ | — | $ | 252,684 | $ | — | $ | 252,684 | ||||||||
Bank Loans | — | 20,365,653 | — | 20,365,653 | ||||||||||||
Corporate Debt | — | 269,650,908 | — | 269,650,908 | ||||||||||||
Municipal Obligations | — | 496,500 | — | 496,500 | ||||||||||||
Non-U.S. Government Agency Obligations | — | 90,538,954 | — | 90,538,954 | ||||||||||||
Sovereign Debt Obligations | — | 119,849,947 | — | 119,849,947 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 115,225,622 | — | 115,225,622 | ||||||||||||
U.S. Treasury Obligations | — | 147,800,297 | — | 147,800,297 | ||||||||||||
Purchased Options | — | 941 | — | 941 | ||||||||||||
Mutual Funds | 923,579 | — | — | 923,579 | ||||||||||||
Short-Term Investments | 76,464,126 | 4,292,286 | — | 80,756,412 | ||||||||||||
Total Investments | $ | 77,387,705 | $ | 768,473,792 | $ | — | $ | 845,861,497 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 4,287,254 | $ | — | $ | 4,287,254 | ||||||||
Futures Contracts | 2,896,732 | — | — | 2,896,732 | ||||||||||||
Swap Agreements | — | 747,710 | — | 747,710 | ||||||||||||
Total | $ | 2,896,732 | $ | 5,034,964 | $ | — | $ | 7,931,696 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (1,174,312 | ) | $ | — | $ | (1,174,312 | ) | ||||||
Futures Contracts | (131,142 | ) | — | — | (131,142 | ) | ||||||||||
Swap Agreements | — | (414,881 | ) | — | (414,881 | ) | ||||||||||
Written Options | — | (2,548 | ) | — | (2,548 | ) | ||||||||||
Total | $ | (131,142 | ) | $ | (1,591,741 | ) | $ | — | $ | (1,722,883 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price Emerging Markets Bond Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Debt | $ | — | $ | 37,232,181 | $ | — | $ | 37,232,181 | ||||||||
Sovereign Debt Obligations | — | 70,050,557 | — | 70,050,557 | ||||||||||||
U.S. Treasury Obligations | — | 111,281 | — | 111,281 | ||||||||||||
Mutual Funds | 605,040 | — | — | 605,040 | ||||||||||||
Short-Term Investments | 1,289,838 | 1,207,841 | — | 2,497,679 | ||||||||||||
Total Investments | $ | 1,894,878 | $ | 108,601,860 | $ | — | $ | 110,496,738 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 45,295 | $ | — | $ | 45,295 | ||||||||
Futures Contracts | 54,912 | — | — | 54,912 | ||||||||||||
Swap Agreements | — | 8,475 | — | 8,475 | ||||||||||||
Total | $ | 54,912 | $ | 53,770 | $ | — | $ | 108,682 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (26,825 | ) | $ | — | $ | (26,825 | ) | ||||||
Swap Agreements | — | (212,486 | ) | — | (212,486 | ) | ||||||||||
Total | $ | — | $ | (239,311 | ) | $ | — | $ | (239,311 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price Large Cap Blend Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,250,127,518 | $ | 39,858,709 | * | $ | 6,705,610 | $ | 2,296,691,837 | |||||||
Preferred Stock | 3,902,779 | — | 51,968,792 | 55,871,571 | ||||||||||||
Mutual Funds | 12,552,556 | — | — | 12,552,556 | ||||||||||||
Short-Term Investments | 16,052,489 | 1,000,000 | — | 17,052,489 | ||||||||||||
Total Investments | $ | 2,282,635,342 | $ | 40,858,709 | $ | 58,674,402 | $ | 2,382,168,453 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Debt | $ | — | $ | 11,606,711 | $ | — | $ | 11,606,711 | ||||||||
Municipal Obligations | — | 1,083,374 | — | 1,083,374 | ||||||||||||
Non-U.S. Government Agency Obligations | — | 14,466,969 | — | 14,466,969 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 6,563,987 | — | 6,563,987 | ||||||||||||
U.S. Treasury Obligations | — | 262,228,939 | — | 262,228,939 | ||||||||||||
Mutual Funds | 201,960 | — | — | 201,960 | ||||||||||||
Short-Term Investments | 3,069,739 | 1,002,380 | — | 4,072,119 | ||||||||||||
Total Investments | $ | 3,271,699 | $ | 296,952,360 | $ | — | $ | 300,224,059 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 154,439 | $ | — | $ | 154,439 | ||||||||
Futures Contracts | 97,543 | — | — | 97,543 | ||||||||||||
Swap Agreements | — | 1,843,497 | — | 1,843,497 | ||||||||||||
Total | $ | 97,543 | $ | 1,997,936 | $ | — | $ | 2,095,479 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (139,810 | ) | $ | — | $ | (139,810 | ) | ||||||
Futures Contracts | (103,782 | ) | — | — | (103,782 | ) | ||||||||||
Written Options | (23,719 | ) | — | — | (23,719 | ) | ||||||||||
Total | $ | (127,501 | ) | $ | (139,810 | ) | $ | — | $ | (267,311 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price Real Assets Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | — | $ | 13,256,950 | $ | — | $ | 13,256,950 | ||||||||
Austria | — | 225,745 | — | 225,745 | ||||||||||||
Bermuda | — | 367,279 | — | 367,279 | ||||||||||||
Brazil | 1,333,302 | — | — | 1,333,302 | ||||||||||||
Canada | 9,644,633 | — | — | 9,644,633 | ||||||||||||
Cayman Islands | 345,375 | 863,153 | — | 1,208,528 | ||||||||||||
Finland | — | 2,602,910 | — | 2,602,910 | ||||||||||||
France | 662,568 | 3,409,207 | — | 4,071,775 | ||||||||||||
Germany | — | 784,183 | — | 784,183 | ||||||||||||
Hong Kong | — | 879,191 | — | 879,191 | ||||||||||||
Ireland | 1,256,139 | — | — | 1,256,139 | ||||||||||||
Italy | — | 159,850 | — | 159,850 | ||||||||||||
Japan | — | 4,565,372 | — | 4,565,372 | ||||||||||||
Kazakhstan | — | 496,329 | — | 496,329 | ||||||||||||
Luxembourg | — | 472,277 | — | 472,277 | ||||||||||||
Netherlands | — | 1,404,932 | — | 1,404,932 | ||||||||||||
Norway | — | 1,742,177 | — | 1,742,177 | ||||||||||||
Portugal | — | 669,860 | — | 669,860 | ||||||||||||
Russia | — | 2,557,043 | — | 2,557,043 | ||||||||||||
Singapore | — | 902,701 | — | 902,701 | ||||||||||||
South Africa | — | 1,225,178 | — | 1,225,178 | ||||||||||||
Spain | — | 712,302 | — | 712,302 | ||||||||||||
Sweden | — | 8,046,867 | — | 8,046,867 | ||||||||||||
Switzerland | — | 440,096 | — | 440,096 | ||||||||||||
United Kingdom | 514,991 | 10,141,612 | — | 10,656,603 | ||||||||||||
United States | 83,617,226 | 64,448 | — | 83,681,674 | ||||||||||||
Preferred Stock | ||||||||||||||||
United States | 1,215,523 | — | 130,426 | 1,345,949 | ||||||||||||
Mutual Funds | 10,500,503 | — | — | 10,500,503 | ||||||||||||
Purchased Options | — | 17,651 | — | 17,651 | ||||||||||||
Short-Term Investments | 3,193,834 | 1,516,645 | — | 4,710,479 | ||||||||||||
Total Investments | $ | 112,284,094 | $ | 57,523,958 | $ | 130,426 | $ | 169,938,478 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 18,115 | $ | — | $ | 18,115 | ||||||||
Futures Contracts | 10,585 | — | — | 10,585 | ||||||||||||
Total | $ | 10,585 | $ | 18,115 | $ | — | $ | 28,700 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (80,609 | ) | $ | — | $ | (80,609 | ) | ||||||
Futures Contracts | (32,746 | ) | — | — | (32,746 | ) | ||||||||||
Total | $ | (32,746 | ) | $ | (80,609 | ) | $ | — | $ | (113,355 | ) |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price Small and Mid Cap Blend Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 858,460,826 | $ | 28,457,676 | * | $ | 2,829,027 | $ | 889,747,529 | |||||||
Preferred Stock | — | 1,355,684 | * | 21,351,471 | 22,707,155 | |||||||||||
Corporate Debt | — | 622,960 | — | 622,960 | ||||||||||||
Rights | — | — | — | + | — | |||||||||||
Warrants | 36,161 | — | 3,176 | 39,337 | ||||||||||||
Mutual Funds | 1,713,333 | — | — | 1,713,333 | ||||||||||||
Short-Term Investments | 20,776,821 | 1,000,000 | — | 21,776,821 | ||||||||||||
Total Investments | $ | 880,987,141 | $ | 31,436,320 | $ | 24,183,674 | $ | 936,607,135 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund | ||||||||||||||||
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | $ | — | $ | 5,991,118 | $ | — | $ | 5,991,118 | ||||||||
U.S. Treasury Obligations | — | 102,540,917 | — | 102,540,917 | ||||||||||||
Short-Term Investments | 2,421,562 | 1,069,759 | — | 3,491,321 | ||||||||||||
Total Investments | $ | 2,421,562 | $ | 109,601,794 | $ | — | $ | 112,023,356 | ||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 928,771 | $ | — | $ | — | $ | 928,771 | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (694,201 | ) | $ | — | $ | — | $ | (694,201 | ) | ||||||
Written Options | (10,142 | ) | — | — | (10,142 | ) | ||||||||||
Total | $ | (704,343 | ) | $ | — | $ | — | $ | (704,343 | ) |
* | 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. |
** | Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment. |
+ | Represents a security at $0 value as of June 30, 2021. |
Notes to Portfolio of Investments (Unaudited) (Continued) |
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. 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.
Please refer to the Funds' most recent Annual/Semiannual reports and prospectus(es) and Statement(s) of Additional Information which can be found on the Securities and Exchange Commission's ("SEC") EDGAR database on its website at http://www.sec.gov for more information regarding the derivatives and other investments held by the Fund(s).
Securities Lending
Each Fund, other than the MM Target Allocation 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 June 30, 2021, the Funds' collateral was equal to or greater than 100% of the market value of securities on loan.
Notes to Portfolio of Investments (Unaudited) (Continued) |
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.
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.
Notes to Portfolio of Investments (Unaudited) (Continued) |
Federal Income Tax
It is each Fund's intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
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.
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 June 30, 2021, 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:
Notes to Portfolio of Investments (Unaudited) (Continued) |
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Total Return Bond Fund | $ | 1,049,183,444 | $ | 23,511,297 | $ | (2,756,078 | ) | $ | 20,755,219 | |||||||
Strategic Bond Fund | 658,045,606 | 33,473,277 | (12,455,456 | ) | 21,017,821 | |||||||||||
MM Select BlackRock Global Allocation Fund | 584,801,911 | 131,870,143 | (8,445,809 | ) | 123,424,334 | |||||||||||
Diversified Value Fund | 325,205,665 | 95,779,687 | (2,371,195 | ) | 93,408,492 | |||||||||||
Fundamental Value Fund | 446,319,254 | 159,725,283 | (1,002,796 | ) | 158,722,487 | |||||||||||
S&P 500 Index Fund | 1,734,832,407 | 1,903,715,074 | (42,781,848 | ) | 1,860,933,226 | |||||||||||
Equity Opportunities Fund | 603,990,443 | 172,211,179 | (1,073,229 | ) | 171,137,950 | |||||||||||
Fundamental Growth Fund | 50,992,386 | 10,787,555 | (724,770 | ) | 10,062,785 | |||||||||||
Blue Chip Growth Fund | 2,329,551,818 | 2,217,354,297 | (10,124,518 | ) | 2,207,229,779 | |||||||||||
Growth Opportunities Fund | 308,907,773 | 219,679,733 | (540,019 | ) | 219,139,714 | |||||||||||
Mid Cap Value Fund | 110,091,795 | 10,534,555 | (1,020,569 | ) | 9,513,986 | |||||||||||
Small Cap Value Equity Fund | 58,223,556 | 24,157,622 | (152,640 | ) | 24,004,982 | |||||||||||
Small Company Value Fund | 227,865,507 | 70,588,284 | (2,659,934 | ) | 67,928,350 | |||||||||||
S&P Mid Cap Index Fund | 346,349,307 | 145,059,831 | (11,868,724 | ) | 133,191,107 | |||||||||||
Russell 2000 Small Cap Index Fund | 262,886,019 | 102,229,474 | (17,413,078 | ) | 84,816,396 | |||||||||||
Mid Cap Growth Fund | 6,521,143,769 | 3,387,478,621 | (119,469,120 | ) | 3,268,009,501 | |||||||||||
Small Cap Growth Equity Fund | 581,710,447 | 203,633,814 | (17,595,106 | ) | 186,038,708 | |||||||||||
MSCI EAFE International Index Fund | 169,423,854 | 55,467,311 | (11,421,990 | ) | 44,045,321 | |||||||||||
Overseas Fund | 529,162,399 | 173,557,618 | (11,786,435 | ) | 161,771,183 | |||||||||||
MM Select T. Rowe Price International Equity Fund | 1,412,526,736 | 361,335,780 | (41,970,597 | ) | 319,365,183 | |||||||||||
20/80 Allocation Fund | 193,650,874 | 13,367,648 | (190,312 | ) | 13,177,336 | |||||||||||
40/60 Allocation Fund | 204,803,542 | 22,625,375 | (757,933 | ) | 21,867,442 | |||||||||||
60/40 Allocation Fund | 196,700,195 | 30,673,405 | (776,383 | ) | 29,897,022 | |||||||||||
80/20 Allocation Fund | 129,251,260 | 24,801,525 | (363,096 | ) | 24,438,429 | |||||||||||
MM RetireSMART by JPMorgan In Retirement Fund | 109,406,402 | 10,778,611 | (172,929 | ) | 10,605,682 | |||||||||||
MM RetireSMART by JPMorgan 2020 Fund | 247,416,858 | 25,660,755 | (350,071 | ) | 25,310,684 | |||||||||||
MM RetireSMART by JPMorgan 2025 Fund | 189,711,774 | 26,086,828 | (334,708 | ) | 25,752,120 | |||||||||||
MM RetireSMART by JPMorgan 2030 Fund | 376,287,763 | 63,076,237 | (654,676 | ) | 62,421,561 | |||||||||||
MM RetireSMART by JPMorgan 2035 Fund | 167,177,155 | 31,560,438 | (344,299 | ) | 31,216,139 | |||||||||||
MM RetireSMART by JPMorgan 2040 Fund | 261,689,747 | 54,534,165 | (807,778 | ) | 53,726,387 | |||||||||||
MM RetireSMART by JPMorgan 2045 Fund | 114,701,550 | 26,138,747 | (142,367 | ) | 25,996,380 | |||||||||||
MM RetireSMART by JPMorgan 2050 Fund | 166,068,753 | 37,744,833 | (372,831 | ) | 37,372,002 | |||||||||||
MM RetireSMART by JPMorgan 2055 Fund | 57,811,054 | 12,631,212 | (104,679 | ) | 12,526,533 | |||||||||||
MM RetireSMART by JPMorgan 2060 Fund | 18,770,012 | 4,009,128 | (38,725 | ) | 3,970,403 | |||||||||||
Equity Asset Fund | 277,090,977 | 127,376,366 | (904,323 | ) | 126,472,043 | |||||||||||
MM Select T. Rowe Price Bond Asset Fund | 830,271,905 | 21,151,540 | (5,561,948 | ) | 15,589,592 | |||||||||||
MM Select T. Rowe Price Emerging Markets Bond Fund | 110,402,012 | 5,689,242 | (5,594,516 | ) | 94,726 | |||||||||||
MM Select T. Rowe Price Large Cap Blend Fund | 1,713,613,126 | 673,525,786 | (4,970,459 | ) | 668,555,327 | |||||||||||
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund | 294,946,964 | 5,888,275 | (611,180 | ) | 5,277,095 | |||||||||||
MM Select T. Rowe Price Real Assets Fund | 143,677,489 | 27,674,133 | (1,413,144 | ) | 26,260,989 | |||||||||||
MM Select T. Rowe Price Small and Mid Cap Blend Fund | 682,460,427 | 266,591,890 | (12,445,182 | ) | 254,146,708 | |||||||||||
MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund | 114,280,022 | 4,388,119 | (6,644,785 | ) | (2,256,666 | ) | ||||||||||
MM Select T. Rowe Price Retirement Balanced Fund | 181,766,047 | 20,919,884 | (848,878 | ) | 20,071,006 | |||||||||||
MM Select T. Rowe Price Retirement 2005 Fund | 29,291,350 | 2,932,836 | (95,029 | ) | 2,837,807 | |||||||||||
MM Select T. Rowe Price Retirement 2010 Fund | 140,747,850 | 19,248,564 | (814,116 | ) | 18,434,448 | |||||||||||
MM Select T. Rowe Price Retirement 2015 Fund | 143,027,007 | 21,605,497 | (755,611 | ) | 20,849,886 | |||||||||||
MM Select T. Rowe Price Retirement 2020 Fund | 705,233,174 | 121,218,521 | (4,125,049 | ) | 117,093,472 | |||||||||||
MM Select T. Rowe Price Retirement 2025 Fund | 620,566,124 | 118,992,938 | (3,523,708 | ) | 115,469,230 | |||||||||||
MM Select T. Rowe Price Retirement 2030 Fund | 1,355,829,939 | 334,918,540 | (9,872,379 | ) | 325,046,161 | |||||||||||
MM Select T. Rowe Price Retirement 2035 Fund | 608,734,187 | 164,330,733 | (3,407,411 | ) | 160,923,322 | |||||||||||
MM Select T. Rowe Price Retirement 2040 Fund | 1,040,920,534 | 340,493,317 | (5,113,294 | ) | 335,380,023 | |||||||||||
MM Select T. Rowe Price Retirement 2045 Fund | 425,861,766 | 141,015,154 | (1,618,886 | ) | 139,396,268 | |||||||||||
MM Select T. Rowe Price Retirement 2050 Fund | 671,367,121 | 229,330,847 | (2,646,500 | ) | 226,684,347 | |||||||||||
MM Select T. Rowe Price Retirement 2055 Fund | 240,786,569 | 77,092,343 | (896,383 | ) | 76,195,960 | |||||||||||
MM Select T. Rowe Price Retirement 2060 Fund | 85,507,781 | 22,163,270 | (268,728 | ) | 21,894,542 |
Notes to Portfolio of Investments (Unaudited) (Continued) |
4. New Accounting Pronouncements
In March 2020, FASB issued Accounting Standards Update 2020-04 — Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not believe the impact of adopting ASU 2020-04 will have a material impact on the financial statements.
In October 2020, Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) was amended by Accounting Standards Update 2020-08, Codification Improvements to Subtopic 310-20, Receivables — Nonrefundable Fees and Other Costs (“ASU 2020-08”). ASU 2020-08 requires entities to reevaluate whether callable debt securities fall within the scope of ASU 2017-08 at each reporting period. ASU 2020-08 also amends the relevant guidance to require premiums to be amortized to the “next call date” rather than the “earliest call date,” and further clarifies the definition of “next call date.” ASU 2020-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Early adoption of ASU 2020-08 is not permitted. Management is currently evaluating the impact, if any, of applying ASU 2020-08.
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Rule 18f-4 will impose limits on the amount of derivatives a fund could enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a derivatives risk management program and appoint a derivatives risk manager. While the new rule became effective February 19, 2021, funds will not be required to fully comply with the new rule until August 19, 2022. It is not currently clear what impact, if any, the new rule will have on the availability, liquidity, or performance of derivatives. When fully implemented, the new rule may require changes in how a fund will use derivatives, may adversely affect a fund’s performance, and may increase costs related to a fund’s use of derivatives.
5. 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.
Notes to Portfolio of Investments (Unaudited) (Continued) |
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.
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, these actions were 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.
6. Coronavirus (COVID-19) Pandemic
The global pandemic outbreak of the novel coronavirus known as COVID-19 has produced, and will likely continue to produce, substantial market volatility, severe market dislocations and liquidity constraints in many markets, and global business disruption, and it may result in future significant adverse effects, such as exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession throughout the world. Such factors may have a significant adverse effect on a Fund’s performance and have the potential to impair the ability of a Fund’s investment adviser, subadviser, or other service providers to serve the Fund and could lead to disruptions that negatively impact the Fund.