UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5531
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MassMutual Participation Investors
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(Exact name of registrant as specified in charter)
1500 Main Street, Suite 600, Springfield, MA 01115-5189
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(Address of principal executive offices) (Zip code)
Rodney J. Dillman, Vice President and Secretary
1500 Main Street, Suite 2800, Springfield, MA 01115-5189
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(Name and address of agent for service)
Registrant's telephone number, including area code: 413-226-1000
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Date of fiscal year end: 12/31
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Date of reporting period: 6/30/07
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
Attached hereto is the semi-annual shareholder report transmitted to
shareholders pursuant to Rule 30e-1 of the Investment Company Act of
1940, as amended.
MASSMUTUAL
PARTICIPATION INVESTORS
Report fot the
Six Months Ended June 30, 2007
[LOGO]
ADVISER
Babson Capital Management LLC
1500 Main Street, PO Box 15189
Springfield, Massachusetts 01115-5189
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
Boston, Massachusetts 02110
COUNSEL TO THE TRUST
Ropes & Gray LLP
Boston, Massachusetts 02110
CUSTODIAN
Citibank, N.A.
New York, New York 10043
TRANSFER AGENT & REGISTRAR
Shareholder Financial Services, Inc.
P.O. Box 173673
Denver, Colorado 80217-3673
1-800-647-7374
INTERNET WEBSITE
www.babsoncapital.com/mpi
[LOGO] MassMutual Participation Investors
c/o Babson Capital Management LLC
1500 Main Street, PO Box 15189
Springfield, Massachusetts 01115-5189
(413) 226-1516
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INVESTMENT OBJECTIVE AND POLICY
MassMutual Participation Investors (the "Trust") is a closed-end management
investment company, first offered to the public in 1988, whose shares are traded
on the New York Stock Exchange under the trading symbol "MPV" The Trust's share
price can be found in the financial section of most newspapers as "MassPrt" or
"MassMuPrt" under the New York Stock Exchange listings.
The Trust's investment objective is to maximize total return by providing a high
level of current income, the potential for growth of income, and capital
appreciation. The Trust's principal investments are privately placed,
below-investment grade, long-term corporate debt obligations purchased directly
from their issuers, in private placement transactions. These investments are
typically mezzanine debt investments with accompanying private equity securities
made to small or middle market companies. At least half of these investments
normally include equity features such as common stocks, warrants, conversion
rights, or other equity features that provide the Trust with the opportunity to
realize capital gains. The Trust will also invest in publicly traded debt
securities (including high yield securities), again with an emphasis on those
with equity features, and in convertible preferred stocks and, subject to
certain limitations, readily marketable equity securities. In addition, the
Trust may temporarily invest in high quality, readily marketable securities.
Babson Capital Management LLC ("Babson Capital") manages the Trust on a total
return basis. The Trust distributes substantially all of its net taxable income
to shareholders each year. Accordingly, the Trust pays dividends to shareholders
quarterly in January, May, August, and November. All registered shareholders are
automatically enrolled in the Dividend Reinvestment and Cash Purchase Plan
unless cash distributions are requested.
FORM N-Q
The Trust files its complete schedule of portfolio holdings with the U.S.
Securities and Exchange Commission ("SEC") for the first and third quarters of
each fiscal year on Form N-Q. This information is available (i) on the SEC's
website at http://www.sec.gov; and (ii) at the SEC's Public Reference Room in
Washington, DC (which information on their operation may be obtained by calling
1-800-SEC-0330). A complete schedule of portfolio holdings as of each
quarter-end is available upon request by calling, toll-free, 866-399-1516.
PROXY VOTING POLICIES & PROCEDURES; PROXY VOTING RECORD
The Trustees of the Trust have delegated proxy voting responsibilities relating
to the voting of securities held by the Trust to Babson Capital. A description
of Babson Capital's proxy voting policies and procedures is available (1)
without charge, upon request, by calling, toll-free 866-399-1516; (2) on the
Trust's website: http:// www.babsoncapital.com/mpv; and (3) on the SEC's
website: http://www.sec.gov. Information regarding how the Trust voted proxies
relating to portfolio securities during the most recent 12-month period ended
June 30 is available (1) on the Trust's website:
http://www.babsoncapital.com/mpv and (2) on the SEC's website:
http://www.sec.gov.
MPV
Listed
NYSE
TO OUR SHAREHOLDERS
July 31, 2007
We are pleased to present the June 30, 2007 Semi-Annual Report of MassMutual
Participation Investors (the "Trust").
The Board of Trustees declared a quarterly dividend of 25 cents per share,
payable on August 10, 2007 to shareholders of record on July 27, 2007. The Trust
had previously paid a 25 cent per share dividend for the preceding quarter.
U.S. equity markets, as measured by several broad market indices, posted robust
returns for the quarter ended June 30, 2007. Large stocks, as approximated by
the Dow Jones Industrial Average, increased 9.11%. Smaller stocks, as
approximated by the Russell 2000 Index, increased 4.41%. For the six months
ended June 30, 2007, returns were 8.75% and 6.45% for the Dow Jones Industrial
Average and Russell 2000 Index, respectively. U.S. fixed income markets, as
measured by several broad market indices posted weak results during the quarter.
The Lehman Brothers Government/Credit Index decreased 0.49% for the quarter
while the Lehman Brothers U.S. Corporate High Yield Index increased 0.22% for
the quarter ended June 30, 2007. For the six months ended June 30, 2007, returns
were 0.97% and 2.87% for the Lehman Brothers Government/Credit Index and the
Lehman Brothers U.S. Corporate High Yield Index, respectively.
The mezzanine and private equity markets in which the Trust invests continue to
be competitive. Valuations and leverage levels have been at or near their
highest levels since the late 1980's. Merger and acquisition activity has been
very robust and fundraising efforts in the private equity fund space continue to
break records. All of this adds up to a challenging market for providers of
mezzanine and private equity capital, such as the Trust. We have been through
these cycles before and we believe that it is particularly important to continue
to employ the same disciplined investment strategy that has served us well over
the years.
During the quarter ended June 30, 2007, the Trust made private placement
investments in five new issuers and two "follow-on" investments, totaling
approximately $4.1 million. The follow-on investments purchased by the Trust
were Transtar Holding Company and NABCO, Inc. The five new issuers were Electra
Bicycle Company, Inc., Mail Communications Group, Inc., Pacific Consolidated
Holdings LLC, Visioneering, Inc. and Workplace Media Holding Co. The weighted
average coupon of these investments was 11.91%. (A brief description of these
investments can be found in the Consolidated Schedule of Investments.)
During the quarter ended June 30, 2007, net assets of the Trust increased to
$130,184,597 or $13.22 per share compared to $130,015,397 or $13.22 per share on
March 31, 2007, which translates into a 1.90% total return for the quarter,
based on the change in the Trust's net assets assuming the reinvestment of all
dividends. Long term, the Trust returned 11.71%, 18.11% and 13.53% for the 1-,
5- and 10-year time periods ended June 30, 2007, respectively, based on the
change in the Trust's net assets assuming the reinvestment of all dividends. The
Trust earned 32 cents per share of net investment income for the quarter, of
which 5 cents per share was from nonrecurring items, compared to 25 cents per
share in the previous quarter.
During the quarter ended June 30, 2007, the market price of the trust declined
9.0% from $16.21 per share to $14.75 per share, which translates into a -7.51%
total return for the quarter, based on the change in the Trust's market value
assuming reinvestment of all dividends. Long term, the Trust returned 10.83%,
18.03% and 15.89% for the 1-, 5- and 10-year time periods ended June 30, 2007,
respectively, based on a change in the Trust's market value assuming the
reinvestment of all dividends. The Trust's market price of $14.75 per share
equates to an 11.6% premium over the June 30, 2007 NAV per share. The Trust's
average quarter-end premium for the 1-, 5- and 10-year periods ended June 30,
2007 was 15.4%, 11.8% and 6.1%, respectively.
Thank you for your continued interest in and support of MassMutual Participation
Investors.
Sincerely,
Clifford M. Noreen
President
Portfolio Composition as of 06/30/07*
*Based on market value of total investments
Public Equity 0.7%
Public High Yield Debt 20.3%
Private Investment Grade Debt 4.7%
Private/Restricted Equity 17.7%
Cash & Short Term Investments 4.3%
Private High Yield Debt 52.3%
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1
CONSOLIDATED STATEMENT OF MASSMUTUAL PARTICIPATION INVESTORS
ASSETS AND LIABILITIES
June 30, 2007
(Unaudited)
Assets:
Investments
(See Consolidated Schedule of Investments)
Corporate restricted securities at fair value
(Cost - $104,411,324) $ 103,962,869
Corporate public securities at market value
(Cost -$28,867,523) 29,174,130
Short-term securities at amortized cost 5,522,320
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Cash 503,910
Interest receivable 3,036,902
Receivable for investments sold 1,260,355
Other assets 12,598
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TOTAL ASSETS $ 143,473,084
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Liabilities:
Payable for investments purchased $ 466,874
Investment advisory fee payable 292,915
Note payable 12,000,000
Interest payable 96,495
Accrued expenses 104,249
Accounts payable 24,243
Accrued taxes payable 303,711
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TOTAL LIABILITIES 13,288,487
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TOTAL NET ASSETS $ 130,184,597
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NET ASSETS:
Common shares, par value $.01 per share; an unlimited number authorized $ 98,458
Additional paid-in capital 91,558,536
Retained net realized gain on investments, prior years 32,187,872
Undistributed net investment income 4,121,460
Accumulated net realized gain on investments 2,545,072
Net unrealized depreciation of investments (326,801)
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TOTAL NET ASSETS $ 130,184,597
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COMMON SHARES ISSUED AND OUTSTANDING 9,845,812
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NET ASSET VALUE PER SHARE $ 13.22
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SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
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2
CONSOLIDATED STATEMENT OF OPERATIONS MASSMUTUAL PARTICIPATION INVESTORS
For the six months ended June 30, 2007
(Unaudited)
Investment Income:
Interest $ 6,275,849
Dividends 449,725
Other 29,343
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TOTAL INVESTMENT INCOME 6,754,917
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Expenses:
Investment advisory fees 585,450
Interest 364,914
Professional fees 64,800
Trustees' fees and expenses 60,000
Reports to shareholders 45,000
Transfer agent/registrar's expenses 8,000
Other 76,018
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TOTAL EXPENSES 1,204,182
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INVESTMENT INCOME - net 5,550,735
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Net realized and unrealized gain (loss) on investments:
Net realized gain on investments before taxes 2,500,552
Income tax expense (62,851)
Net realized gain on investments 2,437,701
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Net change in unrealized appreciation of investments before taxes (2,672,135)
Net change in deferred income tax expense 199,273
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Net change in unrealized appreciation of investments (2,472,862)
NET LOSS ON INVESTMENTS (35,161)
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NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 5,515,574
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SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
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3
CONSOLIDATED STATEMENT OF CASH FLOWS MASSMUTUAL PARTICIPATION INVESTORS
For the six months ended June 30, 2007
(Unaudited)
NET DECREASE IN CASH:
Cash flows from operating activities:
Interest, dividends, and other received $ 6,358,124
Interest expense paid (357,352)
Operating expenses paid (832,657)
Income taxes paid (3,519,168)
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NET CASH PROVIDED BY OPERATING ACTIVITIES 1,648,947
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Cash flows from investing activities:
Purchases/Proceeds/Maturities from short-term portfolio securities, net 1,482,462
Purchases of portfolio securities (16,585,826)
Proceeds from disposition of portfolio securities 17,769,069
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NET CASH PROVIDED BY INVESTING ACTIVITIES 2,665,705
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NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES 4,314,652
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Cash flows from financing activities:
Cash dividends paid from net investment income (6,969,848)
Cash dividends paid from net realized gain on investments (96,562)
Receipts for shares issued on reinvestment of dividends 611,933
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NET CASH USED FOR FINANCING ACTIVITIES (6,454,477)
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NET DECREASE IN CASH (2,139,825)
Cash - beginning of year 2,643,735
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CASH - END OF PERIOD $ 503,910
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RECONCILIATION OF NET INCREASE IN NET ASSETS TO NET
CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES:
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 5,515,574
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Decrease in investments 3,038,758
Increase in interest receivable (36,076)
Increase in receivable for investments sold (1,003,863)
Increase in other assets (12,598)
Increase in payable for investments purchased 466,874
Increase in investment advisory fee payable 8,256
Increase in interest payable 7,562
Decrease in accrued expenses (38,488)
Increase in accounts payable 24,243
Decrease in accrued taxes payable (3,655,590)
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Total adjustments to net assets from operations (1,200,922)
--------------
Net cash provided by operating and investing activities $ 4,314,652
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SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
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4
CONSOLIDATED STATEMENTS OF MASSMUTUAL PARTICIPATION INVESTORS
CHANGES IN NET ASSETS
For the six
months ended For the
06/30/2007 year ended
(Unaudited) 12/31/2006
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INCREASE IN NET ASSETS:
OPERATIONS:
Investment income - net $ 5,550,735 $ 10,728,662
Net realized gain on investments 2,437,701 6,733,116
Net change in unrealized appreciation of investments (2,472,862) 814,564
-------------- --------------
Net increase in net assets resulting from operations 5,515,574 18,276,342
Increase from common shares issued on reinvestment of dividends
Common shares issued (2007 - 40,530; 2006 - 61,052) 611,933 867,979
Dividends to shareholders from:
Net investment income (2007 - $0.25 per share; 2006 - $1.18 per share) (2,457,923) (11,551,712)
Net realized gains on investments (2006 - $0.01 per share) -- (96,562)
-------------- --------------
TOTAL INCREASE IN NET ASSETS 3,669,584 7,496,047
NET ASSETS, BEGINNING OF YEAR 126,515,013 119,018,966
-------------- --------------
NET ASSETS, END OF PERIOD (including undistributed net
investment income of $4,121,460 and $1,028,648, respectively) $ 130,184,597 $ 126,515,013
============== ==============
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
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5
CONSOLIDATED SELECTED FINANCIAL HIGHLIGHTS MASSMUTUAL PARTICIPATION INVESTORS
Selected data for each share of beneficial interest outstanding:
For the six
months ended For the years ended December 31,
06/30/2007 --------------------------------------------------------------------------
(Unaudited) 2006 2005 2004 2003 2002
---------- ---------- ---------- ---------- ---------- ----------
Net asset value:
Beginning of year $ 12.90 $ 12.21 $ 11.13 $ 9.84 $ 8.78 $ 9.12
---------- ---------- ---------- ---------- ---------- ----------
Net investment income (a) 0.57 1.10 0.99 1.00 0.80 0.87
Net realized and unrealized
gain (loss) on investments (0.00)(b) 0.77 1.09(c) 1.36 1.21 (0.35)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.57 1.87 2.08 2.36 2.01 0.52
---------- ---------- ---------- ---------- ---------- ----------
Dividends from net investment
income to common shareholders (0.25) (1.18) (1.01) (1.10) (0.96) (0.86)
Dividends from net realized gain on
investments to common shareholders -- (0.01) -- -- -- --
Increase from dividends reinvested -- 0.01 0.01 0.03 0.01 --
---------- ---------- ---------- ---------- ---------- ----------
Total dividends (0.25) (1.18) (1.00) (1.07) (0.95) (0.86)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value:
End of period/year $ 13.22 $ 12.90 $ 12.21 $ 11.13 $ 9.84 $ 8.78
---------- ---------- ---------- ---------- ---------- ----------
Per share market value:
End of period/year $ 14.75 $ 14.70 $ 14.05 $ 13.31 $ 11.65 $ 9.40
========== ========== ========== ========== ========== ==========
Total investment return
Market value 1.99% 16.81% 17.25% 25.77% 35.50% 12.58%
Net asset value (d) 4.43% 18.64% 22.51% 25.14% 23.72% 5.70%
Net assets (in millions):
End of period/year $ 130.18 $ 126.52 $ 119.02 $ 107.61 $ 94.40 $ 83.59
Ratio of operating expenses
to average net assets 1.31%(e) 1.17% 1.45% 1.63% 1.65% 1.27%
Ratio of interest expense
to average net assets 0.57%(e) 0.57% 0.80% 0.89% 0.97% 1.08%
Ratio of total expenses before custodian
reduction to average net assets 1.88%(e) 1.78% 2.28% 2.52% 2.62% 2.35%
Ratio of net expenses after custodian
reduction to average net assets 1.88%(e) 1.74% 2.25% 2.52% 2.62% 2.35%
Ratio of net investment income
to average net assets 8.67%(e) 8.43% 8.45% 9.60% 8.55% 9.42%
Portfolio turnover 12.68% 34.14% 31.50% 51.25% 55.08% 35.32%
(a) Calculated using average shares.
(b) Net realized and unrealized loss rounds to $(0.00) per share.
(c) Amount includes $0.10 per share in litigation proceeds.
(d) Net asset value return represents portfolio returns based on change in the
Trust's net asset value assuming the reinvestment of all dividends and
distributions which differs from the total investment return based on the
Trust's market value due to the difference between the Trust's net asset
value and the market value of its shares outstanding; past performance is
no guarantee of future results.
(e) Annualized.
Senior securities:
Total principal amount (in millions) $ 12 $ 12 $ 12 $ 22.5 $ 22.5 $ 22.5
Asset coverage per $1,000
of indebtedness $ 11,849 $ 11,543 $ 10,918 $ 5,783 $ 5,195 $ 4,715
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
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6
CONSOLIDATED SCHEDULE OF INVESTMENTS MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES - 79.86%:(A) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
PRIVATE PLACEMENT INVESTMENTS - 74.67%
A T I ACQUISITION COMPANY
A for-profit post-secondary school serving students in
Texas, Florida and Arizona.
12% Senior Subordinated Note due 2012 $ 1,125,000 04/08/04 $ 1,125,000 $ 1,130,204
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 1,230 shs. 04/08/04 -- 12
Warrant, exercisable until 2012, to purchase
preferred stock at $.01 per share 33,505 shs. 03/23/06 33,860 33,860
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1,158,860 1,164,076
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AERO HOLDINGS, INC.
A provider of geospatial services to corporate and
government clients.
10.5% Senior Secured Term Note due 2014 $ 930,000 03/09/07 916,050 903,808
14% Senior Subordinated Note due 2015 $ 720,000 03/09/07 643,525 697,453
Common Stock (B) 150,000 shs. 03/09/07 150,000 142,500
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 37,780 shs. 03/09/07 63,730 378
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1,773,305 1,744,139
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AMERICAN HOSPICE MANAGEMENT HOLDING LLC
A for-profit hospice care provider in the United States.
12% Senior Subordinated Note due 2010 $ 1,125,000 01/22/04 1,037,603 1,126,574
Preferred Class A Unit (B) 1,706 uts. * 170,600 187,660
Common Class B Unit (B) 16,100 uts. 01/22/04 1 47,533
Common Class D Unit (B) 3,690 uts. 09/12/06 -- 10,894
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1,208,204 1,372,661
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ARROW TRU-LINE HOLDINGS, INC.
A manufacturer of hardware for residential and
commercial overhead garage doors in North America.
12% Senior Subordinated Note due 2012 $ 861,702 05/18/05 814,888 863,263
Common Stock (B) 263 shs. 05/18/05 263,298 137,400
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 69 shs. 05/18/05 59,362 36,022
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1,137,548 1,036,685
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AUGUSTA SPORTSWEAR HOLDING CO.
A manufacturer and distributor of athletic apparel,
activewear and team uniforms.
12% Senior Subordinated Note due 2012 $ 893,000 12/31/04 842,860 919,790
Common Stock (B) 275 shs. ** 275,108 632,798
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 73 shs. 12/31/04 63,254 167,429
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1,181,222 1,720,017
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BETA BRANDS LTD.
A manufacturer of hard candy and chocolate-coated
products sold primarily to the Canadian market.
5% Promissory Note due 2009 (B) $ 96,698 03/31/04 96,698 --
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 2,421 shs. 03/31/04 1 --
------------- -------------
96,699 --
------------- -------------
*01/22/04 and 09/12/06.
**12/31/04, 03/31/05 and 05/02/06.
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7
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
BRAVO SPORTS HOLDING CORPORATION
A designer and marketer of niche branded consumer
products including canopies, trampolines, in-line skates,
skateboards, and urethane wheels.
12.5% Senior Subordinated Note due 2014 $ 1,207,902 06/30/06 $ 1,138,635 $ 1,163,672
Preferred Stock Class A (B) 465 shs. 06/30/06 141,946 127,752
Common Stock (B) 1 sh. 06/30/06 152 137
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 164 shs. 06/30/06 48,760 2
------------- -------------
1,329,493 1,291,563
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CAPESUCCESS LLC
A provider of diversified staffing services.
Preferred Membership Interests (B) 806 uts. 04/29/00 3,598 180
Common Membership Interests (B) 10,421 uts. 04/29/00 46,706 2,332
------------- -------------
50,304 2,512
------------- -------------
CAPITAL SPECIALTY PLASTICS, INC.
A producer of desiccant strips used for packaging
pharmaceutical products.
Common Stock (B) 55 shs. * 252 223,573
------------- -------------
COEUR, INC.
A producer of proprietary, disposable power
injection syringes.
8.75% Senior Secured Term Note due 2010 $ 202,899 04/30/03 202,899 205,317
11.5% Senior Subordinated Note due 2011 $ 242,754 04/30/03 228,525 242,901
Common Stock (B) 72,464 shs. 04/30/03 72,463 198,857
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 50,099 shs. 04/30/03 23,317 137,483
------------- -------------
527,204 784,558
------------- -------------
COINING CORPORATION OF AMERICA LLC
A manufacturer of close tolerance parts and
metal stampings.
10.6% Senior Secured Revolving Credit
Facility due 2007 (C) $ 49,383 01/07/02 49,383 49,383
10.6% Senior Secured Tranche A Note due 2007 (C) $ 319,286 06/26/01 319,286 318,385
13% Senior Secured Tranche B Note due 2008 $ 370,370 06/26/01 370,370 370,370
Limited Liability Company Unit 185,185 uts. 06/26/01 185,185 556,629
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 61,163 shs. 06/26/01 45,370 183,844
------------- -------------
969,594 1,478,611
------------- -------------
CONNECTICUT ELECTRIC, INC.
A supplier and distributor of electrical products sold into
the retail and wholesale markets.
12% Senior Subordinated Note due 2014 $ 1,267,387 01/12/07 1,182,283 1,236,494
Limited Liability Company Unit Class A (B) 82,616 uts. 01/12/07 82,613 78,482
Limited Liability Company Unit Class C (B) 59,756 uts. 01/12/07 59,756 56,769
------------- -------------
1,324,652 1,371,745
------------- -------------
*12/30/97 and 05/29/99.
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8
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
CONNOR SPORT COURT INTERNATIONAL, INC.
A designer and manufacturer of outdoor and
indoor synthetic sports flooring and other temporary
flooring products.
12% Senior Subordinated Note due 2012 (D) $ 1,059,417 * $ 974,588 $ 529,709
Limited Partnership Interest (B) 4.43% int. ** 103,135 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 92 shs. * 84,829 --
------------- -------------
1,162,552 529,709
------------- -------------
CONSOLIDATED FOUNDRIES HOLDINGS
A manufacturer of engineered cast metal components for
the global aerospace and defense industries.
12% Senior Subordinated Note due 2013 $ 1,157,143 06/15/05 1,112,792 1,168,714
Common Stock (B) 269 shs. *** 278,521 393,383
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 54 shs. 06/15/05 53,295 79,562
------------- -------------
1,444,608 1,641,659
------------- -------------
COREPHARMA LLC
A manufacturer of oral dose generic pharmaceuticals
targeted at niche applications.
12% Senior Subordinated Note due 2013 $ 1,350,000 08/04/05 1,287,499 1,356,431
Warrant, exercisable until 2013, to purchase
common stock at $.001 per share (B) 10 shs. 08/04/05 72,617 31,549
------------- -------------
1,360,116 1,387,980
------------- -------------
DAVIS-STANDARD LLC
A manufacturer, assembler, and installer of a broad range
of capital equipment that is used in the extrusion,
conversion, and processing of plastic materials.
12% Senior Subordinated Note due 2014 $ 978,261 10/30/06 916,664 986,271
Limited Partnership Interest (B) 371,739 uts. 10/30/06 371,739 353,152
Warrant, exercisable until 2014, to purchase
preferred stock at $.01 per share (B) 26 shs. 10/30/06 26,380 --
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 18 shs. 10/30/06 18,000 --
------------- -------------
1,332,783 1,339,423
------------- -------------
DELTACOM
A provider of integrated communications services in the
southeastern United States.
13.88% Senior Secured Note due 2009 (C) $ 1,196,190 07/26/05 1,172,771 1,220,114
17.38% Senior Secured Note due 2009 (C) $ 197,602 07/26/05 174,770 196,614
Warrant, exercisable until 2009, to purchase
convertible preferred stock at $.03 per share (B) 54,468 shs. 07/26/05 18,156 303,387
------------- -------------
1,365,697 1,720,115
------------- -------------
DEXTER MAGNETICS TECHNOLOGIES, INC.
A designer, fabricator, assembler and distributor of
industrial magnets and subassemblies in North America
and Europe.
Common Stock (B) 310 shs. 07/19/01 185,869 901,924
Warrant, exercisable until 2007, to purchase
common stock at $.01 per share 157 shs. 07/19/01 69,872 457,135
------------- -------------
255,741 1,359,059
------------- -------------
*08/12/04 and 01/18/05.
**08/12/04 and 01/14/05.
***06/15/05 and 05/22/06.
---------------------------------------------------------------------------------------------------------------------------------
9
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
DIRECTED ELECTRONICS, INC.
A designer and distributor of brand name automotive security
systems, audio products and installation accessories.
Common Stock (B) 195,118 shs. * $ 982,868 $ 1,724,842
------------- -------------
DIVERSCO, INC./DHI HOLDINGS, INC.
A contract provider of janitorial and equipment maintenance
services and temporary production labor to industrial customers.
Membership Interests of MM/Lincap
Diversco Investments Ltd. LLC (B) 13.57% int. 08/27/98 366,495 --
Preferred Stock (B) 1,639 shs. 12/14/01 1,392,067 --
Warrants, exercisable until 2011, to purchase
common stock of DHI Holdings, Inc. at $.01 per share (B) 6,676 shs. ** 201,655 --
------------- -------------
1,960,217 --
------------- -------------
DUNCAN SYSTEMS, INC.
A distributor of windshields and side glass for the
recreational vehicle market.
10% Senior Secured Term Note due 2013 $ 308,571 11/01/06 303,942 305,798
13% Senior Subordinated Note due 2014 $ 488,572 11/01/06 436,282 483,400
Common Stock (B) 102,857 shs. 11/01/06 102,857 97,714
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 32,294 shs. 11/01/06 44,663 323
------------- -------------
887,744 887,235
------------- -------------
DWYER GROUP, INC.
A franchiser of a variety of home repair services.
Common Stock (B) 3,656 shs. *** 365,600 431,035
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 126,930
------------- -------------
464,319 557,965
------------- -------------
E X C ACQUISITION CORPORATION
A manufacturer of pre-filled syringes and pump systems
used for intravenous drug delivery.
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 11 shs. 06/28/04 40,875 83,546
------------- -------------
EAGLE PACK PET FOODS, INC.
A manufacturer of premium pet food sold through
independent pet stores.
12% Senior Subordinated Note due 2011 $ 803,572 **** 784,761 811,608
Warrant, exercisable until 2011, to purchase
common stock at $.02 per share (B) 2,163 shs. 09/24/04 20,893 53,528
------------- -------------
805,654 865,136
------------- -------------
ELECTRA BICYCLE COMPANY, INC.
A designer and marketer of branded leisure bicycles.
10.5% Senior Secured Term Note A due 2009 $ 145,749 04/12/07 142,834 144,548
10.5% Senior Secured Term Note B due 2012 $ 437,247 04/12/07 428,502 431,760
12% Senior Secured Term Note C due 2012 $ 291,498 04/12/07 271,410 285,046
Limited Liability Company Unit Series F (B) 36,913 uts. 04/12/07 36,913 35,068
Limited Liability Company Unit Series G (B) 2,852 uts. 04/12/07 2,852 2,709
------------- -------------
882,511 899,131
------------- -------------
*12/19/05 and 06/17/06.
**10/24/96 and 08/28/98.
***10/30/03 and 01/02/04.
****09/24/04 and 04/20/06.
---------------------------------------------------------------------------------------------------------------------------------
10
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
ENZYMATIC THERAPY, INC.
A manufacturer and distributor of branded natural
medicines and nutritional supplements.
Limited Partnership Interest (B) 0.70% int. 03/30/00 $ 281,250 $ 33,750
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 15,415 shs. 03/30/00 135,000 22,500
------------- -------------
416,250 56,250
------------- -------------
EVANS CONSOLES, INC.
A designer and manufacturer of consoles and control
center systems.
Common Stock 45,000 shs. 05/06/04 6 --
------------- -------------
F H S HOLDINGS LLC
A national provider of customized disease management
services to large self-insured employers.
12% Senior Subordinated Note due 2014 $ 1,265,625 06/01/06 1,181,208 1,268,966
Preferred Unit (B) 84 uts. 06/01/06 83,524 75,177
Common Unit (B) 844 uts. 06/01/06 844 759
Common Unit Class B (B) 734 shs. 06/01/06 64,779 58,301
------------- -------------
1,330,355 1,403,203
------------- -------------
FLUTES, INC.
An independent manufacturer of micro fluted corrugated
sheet material for the food and consumer products
packaging industries.
10% Senior Secured Term Note due 2013 $ 524,791 04/13/06 516,919 522,081
14% Senior Subordinated Note due 2014 $ 317,177 04/13/06 285,591 315,955
Common Stock (B) 62,535 shs. 04/13/06 62,535 56,282
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 17,680 shs. 04/13/06 27,676 177
------------- -------------
892,721 894,495
------------- -------------
FOWLER HOLDING, INC.
A provider of site development services to residential
homebuilders and developers in the Raleigh/Durham
region of North Carolina.
12% Senior Subordinated Note due 2013 $ 1,252,174 02/03/06 1,137,539 1,223,606
Common Stock (B) 98 shs. 02/03/06 97,826 35,019
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 135 shs. 02/03/06 110,348 48,143
------------- -------------
1,345,713 1,306,768
------------- -------------
FUEL SYSTEMS HOLDING CORPORATION
An independent North American supplier of fuel tanks for
a wide variety of commercial vehicles.
12% Senior Subordinated Note due 2014 $ 1,237,500 01/31/06 1,156,429 1,214,564
Common Stock (B) 112,500 shs. 01/31/06 112,500 145,234
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 73,275 shs. 01/31/06 63,113 94,596
------------- -------------
1,332,042 1,454,394
------------- -------------
---------------------------------------------------------------------------------------------------------------------------------
11
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
H M HOLDING COMPANY
A designer, manufacturer, and importer of promotional and
wood furniture.
12% Senior Subordinated Note due 2013 $ 1,170,000 02/10/06 $ 1,090,964 $ 1,074,448
Common Stock (B) 180 shs. 02/10/06 180,000 144,000
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 67 shs. 02/10/06 61,875 1
------------- -------------
1,332,839 1,218,449
------------- -------------
HIGHGATE CAPITAL LLC
An acquirer of controlling or substantial interests in
manufacturing and marketing entities.
Series A Preferred Units (B) 0.30% int. 07/21/94 91,867 --
------------- -------------
HOME DECOR HOLDING COMPANY
A designer, manufacturer and marketer of framed art and
wall decor products.
12.5% Senior Subordinated Note due 2012 $ 1,081,731 * 998,123 1,082,913
Common Stock (B) 33 shs. * 33,216 46,554
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 106 shs. * 105,618 148,013
------------- -------------
1,136,957 1,277,480
------------- -------------
INTEGRATION TECHNOLOGY SYSTEMS, INC.
A manufacturer of steel protective computer and network
systems for the industrial and office environments.
12% Senior Secured Note due 2008 $ 949,004 03/01/04 938,546 474,502
Common Stock (B) 130 shs. 06/01/00 149,500 --
------------- -------------
1,088,046 474,502
------------- -------------
JASON, INC.
A diversified manufacturing company serving various
industrial markets.
13% Senior Subordinated Note due 2008 $ 510,187 08/04/00 494,419 505,085
Limited Partnership Interest of
Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,245 325,646
Warrants, exercisable until 2008 and 2009, to purchase
common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 65,399
------------- -------------
1,024,765 896,130
------------- -------------
JUSTRITE MANUFACTURING ACQUISITION CO.
A manufacturer of safety products such as storage cabinets
and containers.
12% Senior Subordinated Note due 2011 $ 843,750 12/15/04 803,329 852,136
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 102,680
------------- -------------
856,857 954,816
------------- -------------
K N B HOLDINGS CORPORATION
A designer, manufacturer and marketer of products for the
custom framing market.
13.5% Senior Subordinated Note due 2013 $ 1,295,329 05/25/06 1,235,639 1,278,447
Common Stock (B) 71,053 shs. 05/25/06 71,053 63,948
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,600 shs. 05/25/06 37,871 436
------------- -------------
1,344,563 1,342,831
------------- -------------
*06/30/04 and 08/19/04.
---------------------------------------------------------------------------------------------------------------------------------
12
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
K W P I HOLDINGS CORPORATION
A manufacturer and distributor of vinyl windows and patio
doors throughout the northwestern United States.
12% Senior Subordinated Note due 2014 $ 1,227,000 03/14/07 $ 1,119,031 $ 1,197,522
Common Stock (B) 123 shs. 03/13/07 123,000 116,850
Warrant, exercisable until 2017, to purchase
common stock at $.01 per share (B) 89 shs. 03/14/07 85,890 1
------------- -------------
1,327,921 1,314,373
------------- -------------
KEEPSAKE QUILTING, INC.
A seller of quilting fabrics, books, patterns, kits and
notions to consumers.
8.86% Senior Secured Revolving Note due 2008 (C) $ 136,287 06/16/00 136,287 135,112
12% Senior Secured Tranche B Note due 2008 $ 314,509 06/16/00 309,867 314,509
Limited Partnership Interest of
Riverside XVI Holding Company, L.P. (B) 3.02% int. 06/12/00 190,563 301,428
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 633 shs. 06/12/00 26,209 101,041
------------- -------------
662,926 852,090
------------- -------------
KELE AND ASSOCIATES, INC.
A distributor of building automation control products.
12% Senior Subordinated Note due 2012 $ 969,643 02/27/04 902,683 979,339
Common Stock 6 shs. 02/27/04 6,814 166,746
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share 6 shs. 02/27/04 4,124 152,505
------------- -------------
913,621 1,298,590
------------- -------------
LIH INVESTORS, L.P.
A manufacturer and marketer of a broad line of external
accessories for new and used sport utility vehicles, trucks
and vans.
12.5% Senior Subordinated Note due 2008 (D) $ 2,036,000 * 1,899,714 --
Common Stock (B) 3,057 shs. * 213,998 --
Warrant, exercisable until 2008, to purchase
common stock at $.11 per share (B) 8,245 shs. * 318,838 --
------------- -------------
2,432,550 --
------------- -------------
MAGNATECH INTERNATIONAL, INC.
A supplier of process equipment and related parts used
in the manufacturing of medium and high-pressure
reinforced hoses.
12% Senior Subordinated Note due 2014 $ 618,750 04/05/06 577,414 623,552
13% Preferred Stock (B) 299 shs. 04/05/06 299,295 338,209
Common Stock (B) 66 shs. 04/05/06 66,202 228,291
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 7 shs. 04/05/06 6,832 23,553
------------- -------------
949,743 1,213,605
------------- -------------
MAIL COMMUNICATIONS GROUP, INC.
A provider of mail processing and handling services,
lettershop services, and commercial printing services.
12.5% Senior Subordinated Note due 2014 $ 516,177 05/04/07 483,072 499,984
Limited Liability Company Unit (B) 12,176 uts. 05/04/07 158,824 150,883
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 1,787 shs. 05/04/07 22,781 18
------------- -------------
664,677 650,885
------------- -------------
*12/23/98 and 01/28/99.
---------------------------------------------------------------------------------------------------------------------------------
13
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
MAVERICK ACQUISITION COMPANY
A manufacturer of capsules that cover the cork and neck of
wine bottles.
9.85% Senior Secured Tranche A Note due 2010 (C) $ 346,362 09/03/04 $ 346,362 $ 347,786
12% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 162,874 178,405
Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 27,753
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 20,052
------------- -------------
565,374 573,996
------------- -------------
MAXON CORPORATION
A manufacturer of industrial combustion equipment and
related shut-off valves and control valves.
12% Senior Subordinated Note due 2012 $ 549,837 09/30/04 510,555 559,497
8.75% Senior Subordinated Note due 2012 $ 660,322 09/30/04 660,322 673,332
Common Stock (B) 218,099 shs. 09/30/04 218,099 754,421
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 87,755 shs. 09/30/04 51,941 303,552
------------- -------------
1,440,917 2,290,802
------------- -------------
MEDASSIST, INC.
A provider of patient eligibility and accounts receivable
management services to hospitals and physician practices.
8% Preferred Stock (B) 44 shs. 10/28/04 44,289 43,975
Common Stock (B) 13,863 shs. 10/28/04 18,576 62,030
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 44,808 shs. 05/01/03 21,534 200,498
------------- -------------
84,399 306,503
------------- -------------
MICROGROUP, INC.
A manufacturer of precision parts and assemblies, and a
value-added supplier of metal tubing and bars.
12% Senior Subordinated Note due 2013 $ 1,421,795 * 1,341,421 1,430,177
Common Stock (B) 238 shs. * 238,000 206,716
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 87 shs. * 86,281 75,399
------------- -------------
1,665,702 1,712,292
------------- -------------
MOMENTUM HOLDING CO.
A designer and supplier of upholstery fabric to commercial
furniture manufacturers and architectural and design firms.
12% Senior Subordinated Note due 2014 $ 618,802 08/04/06 553,324 618,512
Limited Partnership Interest (B) 56,198 uts. 08/04/06 56,198 50,578
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 586 shs. 08/04/06 56,705 6
------------- -------------
666,227 669,096
------------- -------------
MONESSEN HOLDING CORPORATION
A designer and manufacturer of a broad line of gas, wood
and electric hearth products and accessories.
12% Senior Subordinated Note due 2014 $ 1,350,000 03/31/06 1,256,382 1,271,615
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 81 shs. 03/31/06 73,125 1
------------- -------------
1,329,507 1,271,616
------------- -------------
*08/12/05 and 09/11/06.
---------------------------------------------------------------------------------------------------------------------------------
14
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
MORTON INDUSTRIAL GROUP, INC.
A manufacturer of highly engineered metal
fabricated components.
12% Senior Subordinated Note due 2014 $ 1,292,246 08/25/06 $ 1,191,721 $ 1,250,759
Common Stock (B) 57,754 shs. 08/25/06 57,754 46,203
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 91,923 shs. 08/25/06 79,380 919
------------- -------------
1,328,855 1,297,881
------------- -------------
MOSS, INC.
A manufacturer and distributor of large display and
exhibit structures.
Limited Partnership Interest of
Riverside Capital Appreciation Fund I, L.P. (B) 19.20% int. * 199,301 232,238
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 122 shs. 12/21/05 20,941 14,218
------------- -------------
220,242 246,456
------------- -------------
NABCO, INC.
A producer of explosive containment vessels in the
United States.
12% Senior Subordinated Note due 2014 $ 330,882 02/24/06 306,603 289,960
Limited Liability Company Unit (B) 437 uts. ** 436,984 349,584
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 26 shs. 02/24/06 19,687 --
------------- -------------
763,274 639,544
------------- -------------
NAVIS GLOBAL
A designer, manufacturer, seller and servicer of finishing
machinery for the knit and woven segments of the global
textile industry.
12% Senior Subordinated Note due 2014 $ 705,457 05/28/04 646,836 692,304
8.75% Senior Secured Note due 2011 $ 409,310 05/28/04 409,310 407,030
Common Stock (B) 385,233 shs. 05/28/04 385,233 327,448
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 116,521 shs. 05/28/04 74,736 1,165
------------- -------------
1,516,115 1,427,947
------------- -------------
NETSHAPE TECHNOLOGIES, INC.
A manufacturer of powder metal and metal injection
molded precision components used in industrial, consumer,
and other applications.
12% Senior Subordinated Note due 2014 $ 810,000 02/02/07 745,713 782,058
Limited Partnership Interest of
Saw Mill PCG Partners LLC (B) 540 uts. 02/01/07 540,000 513,000
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 48 shs. 02/02/07 48,087 --
------------- -------------
1,333,800 1,295,058
------------- -------------
*09/20/00, 05/23/02 and 02/21/07.
**02/24/06 and 06/22/07.
---------------------------------------------------------------------------------------------------------------------------------
15
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
NONNI'S FOOD COMPANY
A producer and distributor of premium biscotti and bagel
chips in North America.
12.25% Senior Subordinated Note due 2012 $ 986,538 03/29/04 $ 982,661 $ 991,876
10% Preferred Stock (B) 135 shs. 03/29/04 135,044 135,542
Common Stock (B) 3,418 shs. 03/29/04 3,418 77,380
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 4,565 shs. 03/29/04 3,877 103,339
------------- -------------
1,125,000 1,308,137
------------- -------------
NYLONCRAFT, INC.
A supplier of engineered plastic components for the
automotive industry.
9% Senior Secured Note due 2009 $ 464,286 01/28/02 464,286 441,072
11.5% Senior Subordinated Note due 2012 $ 857,143 01/28/02 803,378 428,572
Common Stock (B) 178,571 shs. 01/28/02 178,571 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 138,928 shs. 01/28/02 92,597 --
------------- -------------
1,538,832 869,644
------------- -------------
O R S NASCO HOLDING, INC.
A wholesale distributor of industrial supplies in
North America.
13% Senior Subordinated Note due 2013 $ 1,256,152 12/20/05 1,184,532 1,281,275
Common Stock (B) 93,848 shs. 12/20/05 93,848 171,714
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 52,820 shs. 12/20/05 52,292 96,645
------------- -------------
1,330,672 1,549,634
------------- -------------
OAKRIVER TECHNOLOGY, INC.
Designs, engineers and assembles high precision
automated process equipment for the medical device
industry, with a focus on defibrillators and stents.
10% Senior Secured Note due 2012 $ 323,115 01/03/06 318,268 321,551
13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 353,241 390,791
Common Stock (B) 184,176 shs. 01/03/06 184,176 165,758
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,073 shs. 01/03/06 35,900 431
------------- -------------
891,585 878,531
------------- -------------
OLYMPIC SALES, INC.
A boat retailer in Washington state, Oregon, California and
British Columbia.
12% Senior Subordinated Note due 2008 $ 620,500 08/07/98 620,500 606,977
12% Senior Subordinated Note due 2008 $ 244,154 02/09/00 240,037 241,236
Limited Partnership Interest of Riverside VIII, VIII-A and
VIII-B Holding Company, L.P. 10.66% int. * 808,386 808,347
Warrants, exercisable until 2007 and 2008, to purchase
common stock at $.01 per share (B) 15,166 shs. ** 206,041 31,394
------------- -------------
1,874,964 1,687,954
------------- -------------
*08/07/98, 02/23/99, 12/22/99 and 02/25/03.
**08/07/98 and 02/29/00.
---------------------------------------------------------------------------------------------------------------------------------
16
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
ONTARIO DRIVE & GEAR LTD.
A manufacturer of all-wheel drive, off-road amphibious
vehicles and related accessories.
13% Senior Subordinated Note due 2013 $ 1,047,115 01/17/06 $ 949,533 $ 1,050,917
Limited Liability Company Unit (B) 1,942 uts. 01/17/06 302,885 379,359
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 64,050
------------- -------------
1,342,842 1,494,326
------------- -------------
OVERTON'S HOLDING COMPANY
A marketer of marine and water sports accessories in the
United States.
12% Senior Subordinated Note due 2014 $ 962,104 04/28/06 902,807 953,416
Common Stock (B) 50 shs. 04/28/06 50,000 45,000
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 49 shs. 04/28/06 44,322 --
------------- -------------
997,129 998,416
------------- -------------
P A S Holdco LLC
An independent provider of maintenance, repair and
overhaul services to the aerospace gas turbine engine and
airframe markets.
14% Senior Subordinated Note due 2014 $ 1,164,792 07/03/06 1,107,882 1,188,560
Preferred Unit (B) 202 uts. 07/03/06 202,320 192,204
Preferred Unit (B) 36 uts. 07/03/06 36,420 34,599
Common Unit Class I (B) 78 uts. 07/03/06 -- 1
Common Unit Class L (B) 17 uts. 07/03/06 -- --
------------- -------------
1,346,622 1,415,364
------------- -------------
P I I HOLDING CORPORATION
A manufacturer of plastic film and bags for the general
industrial, medical, and food industries.
12% Senior Subordinated Note due 2013 $ 1,215,000 03/31/06 1,139,056 1,227,461
Preferred Stock (B) 19 shs. 03/31/06 174,492 187,187
Common Stock (B) 12 shs. 03/31/06 13,500 19,854
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 11,553
------------- -------------
1,332,936 1,446,055
------------- -------------
PACIFIC CONSOLIDATED HOLDINGS LLC
A manufacturer of rugged, mobile liquid and gaseous
oxygen and nitrogen generating systems used in the
global defense, oil & gas and medical sectors.
12% Senior Subordinated Note due 2012 $ 690,683 04/27/07 629,139 680,863
Limited Liability Company Unit (B) 928,962 uts. 04/27/07 33,477 31,771
------------- -------------
662,616 712,634
------------- -------------
PARADIGM PACKAGING, INC.
A manufacturer of plastic bottles and closures for the
nutritional, pharmaceutical, personal care and food
packaging markets.
12% Senior Subordinated Note due 2008 $ 1,125,000 12/19/00 1,085,379 1,121,532
Membership Interests of MM/Lincap
PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 223,152
------------- -------------
1,226,004 1,344,684
------------- -------------
---------------------------------------------------------------------------------------------------------------------------------
17
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
POSTLE ALUMINUM COMPANY LLC
A manufacturer and distributor of aluminum
extruded products.
12% Senior Subordinated Note due 2014 $ 1,080,000 10/02/06 $ 1,001,420 $ 1,086,705
Limited Liability Company Unit (B) 733 uts. 10/02/06 270,000 256,499
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 182 shs. 10/02/06 65,988 2
------------- -------------
1,337,408 1,343,206
------------- -------------
PROTEIN GENETICS, INC.
A producer of bovine artificial insemination products,
related breeding and healthcare products and specialty
genetics sold to the dairy and beef industries.
9.8% Redeemable Exchangeable Preferred Stock (B) 332 shs. 08/12/94 33,217 --
Common Stock (B) 867 shs. * 42,365 --
------------- -------------
75,582 --
------------- -------------
QUALIS AUTOMOTIVE LLC
A distributor of aftermarket automotive brake and
chassis products.
12% Senior Subordinated Note due 2012 $ 937,500 05/28/04 797,018 924,503
Common Stock 187,500 shs. 05/28/04 187,500 64,525
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share 199,969 shs. 05/28/04 199,969 68,816
------------- -------------
1,184,487 1,057,844
------------- -------------
QUALSERV CORPORATION
A provider of foodservice equipment and supplies to major
restaurant chains and their franchisees.
14% Senior Subordinated Note due 2012 (D) $ 1,002,475 07/09/04 976,254 --
Limited Partnership Interest (B) 4.90% int. 07/09/04 137,195 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 280 shs. 07/09/04 25,973 --
------------- -------------
1,139,422 --
------------- -------------
R A J Manufacturing Holdings LLC
A designer and manufacturer of women's swimwear sold
under a variety of licensed brand names.
12.5% Senior Subordinated Note due 2014 $ 1,200,277 12/15/06 1,106,663 1,218,191
Limited Liability Company Unit (B) 1,497 uts. 12/15/06 149,723 142,237
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 2 shs. 12/15/06 69,609 --
------------- -------------
1,325,995 1,360,428
------------- -------------
Radiac Abrasives, Inc.
A manufacturer of bonded abrasive and super abrasive
grinding wheels in the United States.
12% Senior Subordinated Note due 2014 $ 1,196,809 02/10/06 1,116,520 1,232,713
Common Stock (B) 153,191 shs. 02/10/06 153,191 137,872
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 69,647 shs. 02/10/06 63,421 696
------------- -------------
1,333,132 1,371,281
------------- -------------
*08/12/94 and 11/14/01.
---------------------------------------------------------------------------------------------------------------------------------
18
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
RIVER RANCH FRESH FOODS LLC
A supplier of fresh produce to the retail and
foodservice channels.
13% Senior Subordinated Note due 2011 (D) $ 975,000 09/29/04 $ 891,404 $ 780,000
Limited Liability Company Unit (B) 248,916 uts. * 377,417 --
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,481 shs. 09/29/04 83,596 --
------------- -------------
1,352,417 780,000
------------- -------------
ROYAL BATHS MANUFACTURING COMPANY
A manufacturer and distributor of acrylic and cultured
marble bathroom products.
12.5% Senior Subordinated Note due 2011 $ 562,500 11/14/03 518,342 573,750
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 85,198
------------- -------------
583,431 658,948
------------- -------------
SAFETY SPEED CUT MANUFACTURING COMPANY, INC.
A manufacturer of vertical panel saws and routers for the
wood working industry.
Class B Common Stock (B) 846 shs. 06/02/99 146,456 662,596
------------- -------------
Savage Sports Holding, Inc.
A manufacturer of sporting firearms.
12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 767,992 835,988
Common Stock (B) 310 shs. 09/10/04 310,345 430,392
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 98,102
------------- -------------
1,138,466 1,364,482
------------- -------------
SPECIALTY FOODS GROUP, INC.
A manufacturer and distributor of branded meat products.
Limited Partnership Interest of MHD Holdings LLC 0.76% int. 08/29/00 363,576 --
------------- -------------
STANTON CARPET HOLDING CO.
A designer and marketer of high and mid-priced decorative
carpets and rugs.
12.13% Senior Subordinated Note due 2014 $ 1,185,366 08/01/06 1,115,390 1,174,724
Common Stock (B) 165 shs. 08/01/06 164,634 148,167
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 55 shs. 08/01/06 49,390 1
------------- -------------
1,329,414 1,322,892
------------- -------------
STRATEGIC EQUIPMENT & SUPPLY CORPORATION, INC.
A provider of kitchen and restaurant design, equipment
fabrication and installation services.
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 61,862 shs. 01/14/00 382,501 --
------------- -------------
SYNVENTIVE EQUITY LLC
A manufacturer of hot runner systems used in the plastic
injection molding process.
Limited Liability Company Unit (B) 1.05% int. 08/20/03 33,462 7,465
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 45,942 shs. 08/21/03 10,249 10,249
------------- -------------
43,711 17,714
------------- -------------
*09/29/04, 06/04/07 and 06/14/07.
---------------------------------------------------------------------------------------------------------------------------------
19
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
TANGENT RAIL CORPORATION
A manufacturer of rail ties and provides specialty services
to the North American railroad industry.
13% Senior Subordinated Note due 2013 $ 1,173,909 10/14/05 $ 1,015,682 $ 1,197,387
Common Stock (B) 1,167 shs. 10/14/05 1,167 373,268
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 618 shs. 10/14/05 155,860 197,669
------------- -------------
1,172,709 1,768,324
------------- -------------
TERRA RENEWAL SERVICES, INC.
A provider of wastewater residual management and
required environmental reporting, permitting, nutrient
management planning and record keeping to companies
involved in poultry and food processing.
8.61% Senior Secured Tranche B Note due 2012 (C) $ 828,594 * 825,377 820,719
10.5% Senior Secured Tranche B Note due 2012 (C) $ 43,421 * 43,421 43,008
12% Senior Subordinated Note due 2014 $ 664,062 ** 632,950 658,410
Limited Partnership Interest of
Saw Mill Capital Fund V, L.P. 2.30% int. 03/01/05 66,448 75,335
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 41 shs. 04/28/06 34,627 18,832
------------- -------------
1,602,823 1,616,304
------------- -------------
TOTAL EQUIPMENT & SERVICE, INC.
A manufacturer of a wide variety of equipment used in the
oil and gas industry.
10.5% Senior Secured Term Note due 2013 $ 486,487 03/02/07 479,190 475,994
13% Senior Subordinated Note due 2014 $ 341,971 03/02/07 280,347 332,615
Common Stock (B) 71,542 shs. 03/02/07 71,542 67,965
Warrant, exercisable until 2014 to purchase
common stock at $.01 per share (B) 19,733 shs. 03/02/07 54,784 197
------------- -------------
885,863 876,771
------------- -------------
THE TRANZONIC COMPANIES
A producer of commercial and industrial supplies,
such as safety products, janitorial supplies, work
apparel, washroom and restroom supplies and sanitary
care products.
13% Senior Subordinated Note due 2009 $ 1,356,000 02/05/98 1,297,089 1,356,000
Common Stock (B) 315 shs. 02/04/98 315,000 108,755
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 76,647
------------- -------------
1,796,505 1,541,402
------------- -------------
TRANSTAR HOLDING COMPANY
A distributor of aftermarket automotive transmission parts.
12% Senior Subordinated Note due 2013 $ 918,000 08/31/05 882,371 932,393
Common Stock (B) 571 shs. *** 570,944 569,295
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 46 shs. 08/31/05 41,021 45,369
------------- -------------
1,494,336 1,547,057
------------- -------------
*04/28/06 and 12/21/06.
**04/28/06 and 09/13/06.
***08/31/05 and 04/30/07.
---------------------------------------------------------------------------------------------------------------------------------
20
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
TRONAIR, INC.
A designer, engineer and manufacturer of ground support
equipment for the business, commuter and commercial
aviation markets.
10.5% Senior Secured Term Note due 2008 $ 225,806 01/20/00 $ 225,806 $ 227,000
12% Senior Subordinated Note due 2010 $ 758,100 01/20/00 739,641 773,686
Common Stock (B) 129,960 shs. 01/20/00 129,960 538,306
Warrant, exercisable until 2010, to purchase
common stock at $1 per share (B) 148,911 shs. 01/20/00 56,316 616,803
------------- -------------
1,151,723 2,155,795
------------- -------------
TRUCK BODIES & EQUIPMENT INTERNATIONAL
A designer and manufacturer of accessories for heavy and
medium duty trucks, primarily dump bodies, hoists,
various forms of flat-bed bodies, landscape bodies and
other accessories.
12% Senior Subordinated Note due 2013 $ 1,222,698 * 1,145,193 1,223,724
Common Stock (B) 393 shs. * 423,985 671,774
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 81 shs. * 84,650 138,732
------------- -------------
1,653,828 2,034,230
------------- -------------
TRUSTILE DOORS, INC.
A manufacturer and distributor of interior doors.
12.5% Senior Subordinated Note due 2010 $ 562,500 04/11/03 536,384 568,125
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 3,060 shs. 04/11/03 46,291 145,363
------------- -------------
582,675 713,488
------------- -------------
U S S HOLDINGS, INC.
A producer of high grade industrial and specialty
silica sands.
14% Redeemable Preferred Stock (B) 499 shs. 09/30/99 272,912 466,871
Convertible Preferred Stock Series A and B, convertible
into common stock at $8.02 per share (B) 72,720 shs. 12/19/96 583,365 --
Common Stock (B) 10,013 shs. 09/30/99 399,505 --
Warrants, exercisable until 2010, to
purchase common stock at $.01 per share (B) 2,459 shs. ** 64,182 --
------------- -------------
1,319,964 466,871
------------- -------------
U-LINE CORPORATION
A manufacturer of high-end, built-in, undercounter ice
making, wine storage and refrigeration appliances.
12.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 913,123 996,500
Common Stock (B) 96 shs. 04/30/04 96,400 105,851
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 133,961
------------- -------------
1,121,629 1,236,312
------------- -------------
VICTORY VENTURES LLC
An acquirer of controlling or substantial interests in
other entities.
Series A Preferred Units 0.04% int. 12/02/96 1 --
------------- -------------
*07/19/05 and 12/22/05.
**12/19/96 and 09/30/99.
---------------------------------------------------------------------------------------------------------------------------------
21
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Principal Amount Date Cost Fair Value
------------- -------- ------------- -------------
VISIONEERING, INC.
A designer and manufacturer of tooling and fixtures for the
aerospace industry.
10.5% Senior Secured Term Loan due 2013 $ 458,824 05/17/07 $ 451,942 $ 450,798
13% Senior Subordinated Note due 2014 $ 370,588 05/17/07 332,050 365,819
Common Stock (B) 70,588 shs. 05/17/07 70,588 67,059
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 20,003 shs. 05/17/07 31,460 200
------------- -------------
886,040 883,876
------------- -------------
VITALITY FOODSERVICE, INC.
A non-carbonated beverage dispensing company focused
on the foodservice industry.
15% Senior Subordinated Note due 2011 $ 1,074,090 09/24/04 994,954 966,682
Common Stock (B) 14,006 shs. * 140,064 112,048
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,593 shs. 09/24/04 98,938 100,744
------------- -------------
1,233,956 1,179,474
------------- -------------
VITEX PACKAGING GROUP, INC.
A manufacturer of specialty packaging, primarily
envelopes and tags used on tea bags.
12.5% Senior Subordinated Note due 2012 $ 900,000 07/19/04 785,148 822,421
Limited Liability Company Unit Class A (B) 0.93% int. 07/19/04 219,375 119,100
Limited Liability Company Unit Class B (B) 0.41% int. 07/19/04 96,848 52,580
------------- -------------
1,101,371 994,101
------------- -------------
WALLS INDUSTRIES, INC.
A provider of branded workwear and sporting
goods apparel.
12.36% Senior Subordinated Lien Note due 2009 (C) $ 345,395 07/12/04 345,395 345,843
14% Senior Subordinated Note due 2012 $ 574,613 07/12/04 573,271 586,105
Limited Partnership Interest (B) 0.20% int. 07/12/04 19,737 416,705
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 2,133 shs. 07/12/04 1,500 45,039
------------- -------------
939,903 1,393,692
------------- -------------
WELLBORN FOREST HOLDING CO.
A manufacturer of semi-custom kitchen and bath cabinetry.
12.13% Senior Subordinated Note due 2014 $ 911,250 11/30/06 849,000 881,073
Common Stock (B) 101 shs. 11/30/06 101,250 96,188
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 51 shs. 11/30/06 45,790 1
------------- -------------
996,040 977,262
------------- -------------
WORKPLACE MEDIA HOLDING CO.
A direct marketer specializing in providing advertisers with
access to consumers in the workplace.
13% Senior Subordinated Note due 2015 $ 613,692 05/14/07 557,515 597,078
Limited Partnership Interest (B) 61,308 uts. 05/14/07 61,308 58,243
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 47 shs. 05/14/07 44,186 --
------------- -------------
663,009 655,321
------------- -------------
TOTAL PRIVATE PLACEMENT INVESTMENTS $ 97,769,428 $ 97,211,042
============= =============
*09/24/04 and 12/22/06.
---------------------------------------------------------------------------------------------------------------------------------
22
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares or
Interest Due Principal
CORPORATE RESTRICTED SECURITIES(A)(Continued) Rate Date Amount Cost Fair Value
------- -------- ------------ ------------ ------------
RULE 144A SECURITIES - 5.19%: (A)
BONDS - 5.19%
Aramark Corporation 8.500% 02/01/15 $ 100,000 $ 100,000 $ 101,500
Aramark Corporation (C) 8.856 02/01/15 100,000 100,000 101,500
Bombardier, Inc. 6.300 05/01/14 500,000 440,315 475,000
Bristow Group Inc. 7.500 09/15/17 75,000 75,000 75,188
Charter Communications Op LLC 8.000 04/30/12 250,000 249,375 253,125
Community Health Systems 8.875 07/15/15 450,000 446,823 456,188
Douglas Dynamics LLC 7.750 01/15/12 325,000 326,475 308,750
G F S I, Inc. (C) 11.500 06/01/11 375,000 340,343 386,250
H C A, Inc. 9.250 11/15/16 500,000 508,663 532,500
Packaging Dynamics Corporation of America 10.000 05/01/16 850,000 859,933 854,250
Rental Service Corporation 9.500 12/01/14 500,000 507,119 510,000
Steel Dynamics, Inc. 6.750 04/01/15 100,000 100,000 97,250
Stewart & Stevenson LLC 10.000 07/15/14 750,000 771,056 783,750
Tenaska Alabama Partners LP 7.000 06/30/21 176,110 176,110 180,201
Tesoro Petroleum Corporation 6.500 06/01/17 250,000 250,000 244,375
Transdigm, Inc. 7.750 07/15/14 150,000 151,449 151,500
Tube City IMS Corporation 9.750 02/01/15 320,000 332,590 328,000
Tunica-Biloxi Gaming Authority 9.000 11/15/15 500,000 516,338 522,500
Valassis Communications, Inc. 8.250 03/01/15 400,000 390,300 390,000
------------ ------------
TOTAL BONDS $ 6,641,889 6,751,827
------------ ------------
WARRANTS - 0.00%
WINSLOEW FURNITURE, INC. (B) 700 $ 7 $ --
------------ ------------
TOTAL WARRANTS 7 --
------------ ------------
TOTAL RULE 144A SECURITIES 6,641,896 6,751,827
------------ ------------
TOTAL CORPORATE RESTRICTED SECURITIES $104,411,324 $103,962,869
------------ ------------
---------------------------------------------------------------------------------------------------------------------------------
23
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Interest Due Principal
CORPORATE PUBLIC SECURITIES - 22.41%: (A) Rate Date Amount Cost Market Value
------- -------- ------------ ------------ ------------
BONDS - 21.51%
Allied Waste NA 7.875% 04/15/13 $ 500,000 $ 513,428 $ 505,625
Appleton Papers, Inc. 8.125 06/15/11 250,000 250,000 257,500
Atlas Pipeline Partners 8.125 12/15/15 600,000 612,034 598,500
Basic Energy Services 7.125 04/15/16 625,000 610,043 596,875
Blockbuster, Inc. (C) 9.000 09/01/12 275,000 276,208 254,375
Cablevision Systems Corporation 8.000 04/15/12 500,000 506,325 493,750
Chesapeake Energy Corporation 7.000 08/15/14 650,000 672,973 645,125
Cincinnati Bell, Inc. 8.375 01/15/14 550,000 503,750 555,500
Clayton Williams Energy, Inc. 7.750 08/01/13 575,000 557,000 529,000
Del Monte Corporation 8.625 12/15/12 200,000 200,000 206,500
Dynegy Holdings, Inc. 8.375 05/01/16 665,000 676,303 650,038
Edison Mission Energy 7.750 06/15/16 35,000 35,000 34,825
Electronic Data Systems Corporation 7.125 10/15/09 500,000 503,257 514,573
Esterline Technologies 7.750 06/15/13 175,000 175,000 176,750
Exco Resources, Inc. 7.250 01/15/11 500,000 488,750 497,500
Ford Motor Credit Co. 7.375 10/28/09 750,000 748,125 744,492
Ford Motor Credit Co. 8.000 12/15/16 150,000 147,483 143,274
Freeport-McMoran Copper & Gold 8.375 04/01/17 190,000 190,000 202,825
Gencorp, Inc. 9.500 08/15/13 130,000 130,000 139,100
General Motors Acceptance Corporation 5.850 01/14/09 750,000 741,838 739,153
Goodyear Tire & Rubber Co. 7.857 08/15/11 350,000 327,250 357,000
Goodyear Tire & Rubber Co. 9.000 07/01/15 64,000 65,259 68,960
GulfMark Offshore, Inc. 7.750 07/15/14 300,000 298,725 303,000
Idearc, Inc. 8.000 11/15/16 300,000 300,000 303,000
Inergy LP 8.250 03/01/16 75,000 75,000 77,063
Interline Brands, Inc. 8.125 06/15/14 150,000 148,925 151,125
Iron Mountain, Inc. 8.750 07/15/18 500,000 515,246 515,000
K 2, Inc. 7.375 07/01/14 150,000 150,501 157,875
Koppers, Inc. 9.875 10/15/13 170,000 170,000 181,475
Lazard LLC 7.125 05/15/15 375,000 374,704 386,822
Leucadia National Corporation 7.000 08/15/13 350,000 355,575 343,000
Liberty Media Corporation 5.700 05/15/13 500,000 475,805 469,958
Mac-Gray Corporation 7.625 08/15/15 300,000 300,000 301,500
Majestic Star Casino LLC 9.500 10/15/10 250,000 250,000 260,000
Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 100,250
Mariner Energy, Inc. 8.000 05/15/17 400,000 402,714 397,000
Markwest Energy Operating Co. 6.875 11/01/14 550,000 532,750 519,750
Mediacom Broadband LLC 8.500 10/15/15 750,000 766,319 753,750
Metaldyne Corporation (C) 10.000 11/01/13 340,000 341,782 360,400
N R G Energy, Inc. 7.375 02/01/16 600,000 598,750 601,500
N T L Cable PLC 9.125 08/15/16 690,000 709,621 722,775
Nalco Co. 7.750 11/15/11 250,000 250,000 251,875
Neiman Marcus Group, Inc. 10.375 10/15/15 600,000 600,000 660,000
Nextel Communications, Inc. 7.375 08/01/15 400,000 408,268 399,828
North American Energy Partners 8.750 12/01/11 200,000 200,000 202,000
NOVA Chemicals Corporation (C) 8.484 11/15/13 215,000 215,000 215,000
O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 500,000 492,980 500,000
Offshore Logistics, Inc. 6.125 06/15/13 350,000 350,000 329,875
P Q Corporation 7.500 02/15/13 685,000 677,350 726,100
Pacific Energy Partners 7.125 06/15/14 250,000 251,763 258,655
Pacific Energy Partners 6.250 09/15/15 100,000 99,544 98,233
Petrohawk Energy Corporation 9.125 07/15/13 500,000 498,860 528,750
Pliant Corporation (C) 11.850 06/15/09 681,101 686,165 732,184
Primedia, Inc. 8.000 05/15/13 500,000 513,575 526,250
Quicksilver Resources, Inc. 7.125 04/01/16 600,000 583,125 579,000
R H Donnelley, Inc. 8.875 01/15/16 325,000 346,114 338,000
Rent-A-Center, Inc. 7.500 05/01/10 250,000 250,000 253,750
Rock-Tenn Co. 8.200 08/15/11 80,000 80,473 82,400
Rogers Wireless, Inc. 7.500 03/15/15 560,000 596,731 599,877
Sheridan Acquisition Corporation 10.250 08/15/11 225,000 222,001 236,250
---------------------------------------------------------------------------------------------------------------------------------
24
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Shares or
Interest Due Principal
CORPORATE PUBLIC SECURITIES:(A)(Continued) Rate Date Amount Cost Market Value
------- -------- ------------ ------------ ------------
BONDS, CONTINUED
Sierra Pacific Resources 6.750% 08/15/17 $ 330,000 $ 331,525 $ 324,410
Tekni-Plex, Inc. 12.750 06/15/10 500,000 483,500 445,000
Tenet Healthcare Corporation 6.375 12/01/11 250,000 241,250 228,438
Tenet Healthcare Corporation 9.875 07/01/14 350,000 341,859 346,500
Tenneco, Inc. 8.625 11/15/14 500,000 501,240 515,000
Tennessee Gas Pipeline Co. 7.000 03/15/27 250,000 261,753 257,189
Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 35,088
Titan International, Inc. 8.000 01/15/12 70,000 70,000 71,925
Triton P C S, Inc. 8.500 06/01/13 500,000 500,000 511,250
Unisys Corporation 8.000 10/15/12 90,000 90,000 87,525
United Components, Inc. 9.375 06/15/13 535,000 536,130 552,384
United Rentals, Inc. 7.750 11/15/13 325,000 325,000 325,406
Universal City Florida (C) 10.106 05/01/10 100,000 100,000 102,000
Universal City Florida 8.375 05/01/10 100,000 100,000 102,250
Vought Aircraft Industries 8.000 07/15/11 650,000 648,511 646,750
Warner Music Group Corporation 7.375 04/15/14 125,000 125,000 116,250
------------ ------------
TOTAL BONDS $ 27,809,160 $ 28,001,875
------------ ------------
COMMON STOCK - 0.70%
Distributed Energy Systems Corporation (B) 14,000 $ 177,078 $ 18,200
EnerNOC, Inc. (B) 23,500 648,410 896,055
------------ ------------
TOTAL COMMON STOCK 825,488 914,255
------------ ------------
CONVERTIBLE BONDS - 0.20%
Citadel Broadcasting Corporation 1.875% 02/15/11 $ 300,000 $ 232,875 $ 258,000
------------ ------------
TOTAL CONVERTIBLE BONDS 232,875 258,000
------------ ------------
TOTAL CORPORATE PUBLIC SECURITIES $ 28,867,523 $ 29,174,130
------------ ------------
Interest Due Principal
SHORT-TERM SECURITIES: Rate/Yield* Date Amount Cost Market Value
------- -------- ------------ ------------ ------------
COMMERCIAL PAPER - 4.24%
Lennar Corporation 5.455% 07/05/07 $ 1,816,000 $ 1,814,625 $ 1,814,625
Walt Disney Co. 5.424 07/03/07 1,259,000 1,258,431 1,258,431
Wellpoint, Inc. 5.414 07/02/07 2,450,000 2,449,264 2,449,264
------------ ------------
TOTAL SHORT-TERM SECURITIES $ 5,522,320 $ 5,522,320
------------ ------------
TOTAL INVESTMENTS 106.51% $138,801,167 $138,659,319
============ ------------
Other Assets 3.70 4,813,765
Liabilities (10.21) (13,288,487)
------ ------------
TOTAL NET ASSETS 100.00% $130,184,597
====== ============
(A) In each of the convertible note, warrant, convertible preferred and common stock investments, the issuer has agreed to
provide certain registration rights.
(B) Non-income producing security.
(C) Variable rate security; rate indicated is as of 06/30/07.
(D) Defaulted security; interest not accrued.
* Effective yield at purchase.
---------------------------------------------------------------------------------------------------------------------------------
25
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION: Market Value Market Value
------------ ------------
AEROSPACE - 3.88% BUILDINGS & REAL ESTATE - 1.58%
Consolidated Foundries Holdings $ 1,641,659 K W P I Holdings Corporation $ 1,314,373
Esterline Technologies 176,750 Texas Industries, Inc. 35,088
Gencorp, Inc. 139,100 TruStile Doors, Inc. 713,488
P A S Holdco LLC 1,415,364 ------------
Transdigm, Inc. 151,500 2,062,949
Visioneering, Inc. 883,876 ------------
Vought Aircraft Industries 646,750 CHEMICAL, PLASTICS & RUBBER - 1.23%
------------ Capital Specialty Plastics, Inc. 223,573
5,054,999 Koppers, Inc. 181,475
------------ Nalco Co. 251,875
AUTOMOBILE - 8.35% NOVA Chemicals Corporation 215,000
Ford Motor Credit Co. 887,766 P Q Corporation 726,100
Fuel Systems Holding Corporation 1,454,394 ------------
General Motors Acceptance Corporation 739,153 1,598,023
Goodyear Tire & Rubber Co. 425,960 ------------
Jason, Inc. 896,130 CONSUMER PRODUCTS - 9.30%
LIH Investors, L.P. -- Aero Holdings, Inc. 1,744,139
Metaldyne Corporation 360,400 Augusta Sportswear Holding Co. 1,720,017
Nyloncraft, Inc. 869,644 Bravo Sports Holding Corporation 1,291,563
Ontario Drive & Gear Ltd. 1,494,326 G F S I, Inc. 386,250
Qualis Automotive LLC 1,057,844 K N B Holdings Corporation 1,342,831
Tenneco, Inc. 515,000 Momentum Holding Co. 669,096
Titan International, Inc. 71,925 R A J Manufacturing Holdings LLC 1,360,428
Transtar Holding Company 1,547,057 Royal Baths Manufacturing Company 658,948
United Components, Inc. 552,384 The Tranzonic Companies 1,541,402
------------ Walls Industries, Inc. 1,393,692
10,871,983 Winsloew Furniture, Inc. --
------------ ------------
BEVERAGE, DRUG & FOOD - 3.49% 12,108,366
Aramark Corporation 203,000 ------------
Beta Brands Ltd. -- CONTAINERS, PACKAGING & GLASS - 5.60%
Del Monte Corporation 206,500 Flutes, Inc. 894,495
Eagle Pack Pet Foods, Inc. 865,136 Maverick Acquisition Company 573,996
Nonni's Food Company 1,308,137 P I I Holding Corporation 1,446,055
River Ranch Fresh Foods LLC 780,000 Packaging Dynamics Corporation of America 854,250
Specialty Foods Group, Inc. -- Paradigm Packaging, Inc. 1,344,684
Vitality Foodservice, Inc. 1,179,474 Pliant Corporation 732,184
------------ Tekni-Plex, Inc. 445,000
4,542,247 Vitex Packaging Group, Inc. 994,101
------------ ------------
BROADCASTING & ENTERTAINMENT - 2.22% 7,284,765
Cablevision Systems Corporation 493,750 ------------
Charter Communications Op LLC 253,125 DISTRIBUTION - 3.80%
Citadel Broadcasting Corporation 258,000 Duncan Systems, Inc. 887,235
Liberty Media Corporation 469,958 Kele and Associates, Inc. 1,298,590
Mediacom Broadband LLC 753,750 Magnatech International, Inc. 1,213,605
Workplace Media Holdings Co. 655,321 O R S Nasco Holding, Inc. 1,549,634
------------ QualServ Corporation --
2,883,904 Strategic Equipment & Supply Corporation, Inc. --
------------ ------------
4,949,064
------------
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26
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION: Market Value Market Value
------------ ------------
DIVERSIFIED/CONGLOMERATE, HEALTHCARE, EDUCATION &
MANUFACTURING - 7.23% CHILDCARE - 4.46%
Arrow Tru-Line Holdings, Inc. $ 1,036,685 A T I Acquisition Company $ 1,164,076
Bombardier, Inc. 475,000 American Hospice Management Holding LLC 1,372,661
Coining Corporation of America LLC 1,478,611 Community Health Systems 456,188
Dexter Magnetics Technologies, Inc. 1,359,059 F H S Holdings LLC 1,403,203
Douglas Dynamics LLC 308,750 H C A, Inc. 532,500
Evans Consoles, Inc. -- MedAssist, Inc. 306,503
Postle Aluminum Company LLC 1,343,206 Tenet Healthcare Corporation 574,938
Radiac Abrasives, Inc. 1,371,281 ------------
Truck Bodies & Equipment International 2,034,230 5,810,069
------------ ------------
9,406,822 HOME & OFFICE FURNISHINGS,
------------ HOUSEWARES, AND DURABLE
DIVERSIFIED/CONGLOMERATE, CONSUMER PRODUCTS - 6.75%
SERVICE - 3.26% Connor Sport Court International, Inc. 529,709
Allied Waste NA 505,625 H M Holding Company 1,218,449
CapeSuccess LLC 2,512 Home Decor Holding Company 1,277,480
Diversco, Inc./DHI Holdings, Inc. -- Justrite Manufacturing Acquisition Co. 954,816
Dwyer Group, Inc. 557,965 Monessen Holding Corporation 1,271,616
Fowler Holding, Inc. 1,306,768 Stanton Carpet Holding Co. 1,322,892
Interline Brands, Inc. 151,125 U-Line Corporation 1,236,312
Iron Mountain, Inc. 515,000 Wellborn Forest Holding Co. 977,262
Mac-Gray Corporation 301,500 ------------
Mail Communications Group, Inc. 650,885 8,788,536
Moss, Inc. 246,456 ------------
------------ LEISURE, AMUSEMENT,
4,237,836 ENTERTAINMENT - 4.51%
------------ Electra Bicycle Company, Inc. 899,131
ELECTRONICS - 2.79% K 2, Inc. 157,875
Connecticut Electric, Inc. 1,371,745 Keepsake Quilting, Inc. 852,090
Directed Electronics, Inc. 1,724,842 Majestic Star Casino LLC 260,000
Distributed Energy Systems Corporation 18,200 O E D Corp/Diamond Jo Company Guarantee 500,000
Electronic Data Systems Corporation 514,573 Overton's Holding Company 998,416
------------ Savage Sports Holding, Inc. 1,364,482
3,629,360 Tunica-Biloxi Gaming Authority 522,500
------------ Universal City Florida 204,250
FARMING & AGRICULTURE - 0.00% Warner Music Group Corporation 116,250
Protein Genetics, Inc. -- ------------
------------ 5,874,994
FINANCIAL SERVICES - 0.56% ------------
Highgate Capital LLC -- MACHINERY - 9.65%
Lazard LLC 386,822 Davis-Standard LLC 1,339,423
Leucadia National Corporation 343,000 Integration Technology Systems, Inc. 474,502
Victory Ventures LLC -- Manitowoc Company, Inc. 100,250
------------ Maxon Corporation 2,290,802
729,822 Morton Industrial Group, Inc. 1,297,881
------------ Navis Global 1,427,947
NetShape Technologies, Inc. 1,295,058
Pacific Consolidated Holdings LLC 712,634
Safety Speed Cut Manufacturing Company, Inc. 662,596
Stewart & Stevenson LLC 783,750
Synventive Equity LLC 17,714
Tronair, Inc. 2,155,795
------------
12,558,352
------------
----------------------------------------------------------------------------------------------------------------------------------
27
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2007
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION: Market Value Market Value
------------ ------------
MEDICAL DEVICES/BIOTECH - 2.66% RETAIL STORES - 2.83%
Coeur, Inc. $ 784,558 Blockbuster, Inc. $ 254,375
E X C Acquisition Corporation 83,546 Neiman Marcus Group, Inc. 660,000
MicroGroup, Inc. 1,712,292 Olympic Sales, Inc. 1,687,954
OakRiver Technology, Inc. 878,531 Rent-A-Center, Inc. 253,750
------------ Rental Service Corporation 510,000
3,458,927 United Rentals, Inc. 325,406
------------ ------------
MINING, STEEL, IRON & NON PRECIOUS 3,691,485
METALS - 0.84% ------------
Freeport-McMoran Copper & Gold 202,825 TECHNOLOGY - 0.76%
Steel Dynamics, Inc. 97,250 EnerNOC, Inc. 896,055
Tube City IMS Corporation 328,000 Unisys Corporation 87,525
U S S Holdings, Inc. 466,871 ------------
------------ 983,580
1,094,946 ------------
------------ TELECOMMUNICATIONS - 3.46%
NATURAL RESOURCES - 0.26% Cincinnati Bell, Inc. 555,500
Appleton Papers, Inc. 257,500 DeltaCom 1,720,115
Rock-Tenn Co. 82,400 Nextel Communications, Inc. 399,828
------------ N T L Cable PLC 722,775
339,900 Rogers Wireless, Inc. 599,877
------------ Triton P C S, Inc. 511,250
OIL AND GAS - 4.71% ------------
Atlas Pipeline Partners 598,500 4,509,345
Basic Energy Services 596,875 ------------
Bristow Group, Inc. 75,188 TRANSPORTATION - 1.85%
Chesapeake Energy Corporation 645,125 NABCO, Inc. 639,544
Clayton Williams Energy, Inc. 529,000 Tangent Rail Corporation 1,768,324
Exco Resources, Inc. 497,500 ------------
GulfMark Offshore, Inc. 303,000 2,407,868
Mariner Energy, Inc. 397,000 ------------
North American Energy Partners 202,000 UTILITIES - 2.51%
Offshore Logistics, Inc. 329,875 Dynegy Holdings, Inc. 650,038
Quicksilver Resources, Inc. 579,000 Edison Mission Energy 34,825
Tennessee Gas Pipeline Co. 257,189 Inergy LP 77,063
Tesoro Petroleum Corporation 244,375 Markwest Energy Operating Co. 519,750
Total Equipment & Service, Inc. 876,771 N R G Energy, Inc. 601,500
------------ Pacific Energy Partners 356,888
6,131,398 Petrohawk Energy Corporation 528,750
------------ Sierra Pacific Resources 324,410
PHARMACEUTICALS - 1.11% Tenaska Alabama Partners LP 180,201
CorePharma LLC 1,387,980 ------------
Enzymatic Therapy, Inc. 56,250 3,273,425
------------ ------------
1,444,230 WASTE MANAGEMENT/
------------ POLLUTION - 1.24%
PUBLISHING/PRINTING - 1.38% Terra Renewal Services, Inc. 1,616,304
Idearc, Inc. 303,000 ------------
Primedia, Inc. 526,250 TOTAL CORPORATE RESTRICTED AND
R H Donnelley, Inc. 338,000 PUBLIC SECURITIES - 102.27% $133,136,999
Sheridan Acquisition Corporation 236,250 ============
Valassis Communications, Inc. 390,000
------------
1,793,500
------------
----------------------------------------------------------------------------------------------------------------------------------
28
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(Unaudited)
1. HISTORY
MassMutual Participation Investors (the "Trust") was organized as a
Massachusetts business trust under the laws of the Commonwealth of
Massachusetts pursuant to a Declaration of Trust dated April 7, 1988.
The Trust is a diversified closed-end management investment company. Babson
Capital Management LLC ("Babson Capital"), a wholly-owned indirect subsidiary
of Massachusetts Mutual Life Insurance Company ("MassMutual"), acts as its
investment adviser. The Trust's investment objective is to maximize total
return by providing a high level of current income, the potential for growth
of such income, and capital appreciation, by investing primarily in a
portfolio of privately placed, below investment grade, long-term corporate
debt obligations purchased directly from their issuers, at least half of
which normally will include equity features.
On January 27, 1998, the Board of Trustees authorized the formation of a
wholly owned subsidiary of the Trust ("MMPI Subsidiary Trust") for the
purpose of holding certain investments. The results of the MMPI Subsidiary
Trust are consolidated in the accompanying financial statements. Footnote 2.D
below discusses the federal tax consequences of the MMPI Subsidiary Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by the Trust in the preparation of its consolidated financial
statements in conformity with accounting principles generally accepted in the
United States of America.
A. VALUATION OF INVESTMENTS:
Valuation of a security in the Trust's portfolio is made on the basis of
market price whenever market quotations are readily available and all
securities of the same class held by the Trust can be readily sold in such
market.
Nearly all securities which are acquired by the Trust directly from the
issuers and shares into which such securities may be converted or which may
be purchased on the exercise of warrants attached to such securities will be
subject to legal or contractual delays in, or restrictions on, resale and
will therefore be "restricted securities." Generally speaking, as contrasted
with open-market sales of unrestricted securities, which may be effected
immediately if the market is adequate, restricted securities can be sold only
in a public offering for which a registration statement is in effect under
the Securities Act of 1933, as amended (the "1933 Act") or pursuant to a
transaction that is exempt from registration under the 1933 Act.
The value of restricted securities, and of any other assets for which there
are no reliable market quotations, is the fair value as determined in good
faith by the Trust's Board of Trustees (the "Trustees"). Each restricted
security is valued by the Trustees as of the time of its acquisition and at
least quarterly thereafter. The Trustees have established guidelines to aid
in the valuation of each security. Generally, restricted securities are
initially valued at cost or less at the time of acquisition by the Trust.
Values greater or less than cost are used thereafter for restricted
securities in appropriate circumstances. Among the factors ordinarily
considered are the existence of restrictions upon the sale of a security held
by the Trust; an estimate of the existence and the extent of a market for the
security; the extent of any discount at which the security was acquired; the
estimated period of time during which the security will not be freely
marketable; the estimated expenses of registering or otherwise qualifying the
security for public sale; estimated underwriting commissions if underwriting
would be required to effect a sale; in the case of a convertible security,
whether or not it would trade on the basis of its stock equivalent; in the
case of a debt obligation which would trade independently of any equity
equivalent, the current yields on comparable securities; the estimated amount
of the floating supply of such securities available for purchase; the
proportion of the issue held by the Trust; changes in the financial condition
and prospects of the issuer; the existence of merger proposals or tender
offers affecting the issuer; and any other factors affecting fair value, all
in accordance with the Investment Company Act of 1940, as amended (the "1940
Act"). In making valuations, opinions of counsel may be relied upon as to
whether or not securities are restricted securities and as to the legal
requirements for public sale.
When market quotations are readily available for unrestricted securities of
an issuer, restricted securities of the same class are generally valued at a
discount from the market price of such unrestricted securities. The Trustees,
however, consider all factors in fixing any discount, including the filing of
a registration statement for such securities under the 1933 Act and any other
developments which are likely to increase the probability that the securities
may be publicly sold by the Trust without restriction.
The Trustees meet at least once in each quarter to approve the value of the
Trust's portfolio securities as of the close of business on the last business
day of the preceding quarter. This valuation requires the approval of a
majority of the Trustees of the Trust, including a majority of the Trustees
who are not interested persons of the Trust or of Babson Capital. In making
valuations, the Trustees will consider reports by Babson Capital analyzing
each portfolio security in accordance with the relevant factors referred to
above. Babson
--------------------------------------------------------------------------------
29
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
Capital has agreed to provide such reports to the Trust at least quarterly.
The consolidated financial statements include private placement restricted
securities valued at $97,211,042 (74.67% of net assets) as of June 30, 2007
whose values have been estimated by the Trustees in the absence of readily
ascertainable market values. Due to the inherent uncertainty of valuation,
those estimated values may differ significantly from the values that would
have been used had a ready market for the securities existed, and the
differences could be material.
The values for Rule 144A restricted securities and corporate public
securities are stated at the last reported sales price or at prices based
upon quotations obtained from brokers and dealers as of June 30, 2007,
subject to discount where appropriate, and are approved by the Trustees.
Short-term securities with more than sixty days to maturity are valued at
fair value and short-term securities having a maturity of sixty days or less
are valued at amortized cost, which approximates market value.
B. ACCOUNTING FOR INVESTMENTS:
Investment transactions are accounted for on the trade date. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the
accrual basis, including the amortization of premiums and accretion of
discounts on bonds held using the yield-to-maturity method. The Trust does
not accrue income when payment is delinquent and when management believes
payment is questionable.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
C. USE OF ESTIMATES:
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ from
those estimates.
D. FEDERAL INCOME TAXES:
The Trust has elected to be taxed as a "regulated investment company" under
the Internal Revenue Code, and intends to maintain this qualification and to
distribute substantially all of its net taxable income to its shareholders.
In any year when net long-term capital gains are realized by the Trust,
management, after evaluating the prevailing economic conditions, will
recommend that Trustees either designate the net realized long-term gains as
undistributed and pay the federal capital gains taxes thereon, or distribute
all or a portion of such net gains.
The Trust is taxed as a regulated investment company and is therefore limited
as to the amount of non-qualified income that it may receive as the result of
operating a trade or business, e.g. the Trust's pro rata share of income
allocable to the Trust by a partnership operating company. The Trust's
violation of this limitation could result in the loss of its status as a
regulated investment company, thereby subjecting all of its net income and
capital gains to corporate taxes prior to distribution to its shareholders.
The Trust, from time-to-time, identifies investment opportunities in the
securities of entities that could cause such trade or business income to be
allocable to the Trust. The MMPI Subsidiary Trust (described in Footnote 1,
above) was formed in order to allow investment in such securities without
adversely affecting the Trust's status as a regulated investment company.
The MMPI Subsidiary Trust is not taxed as a regulated investment company.
Accordingly, prior to the Trust's receiving any distributions from the MMPI
Subsidiary Trust, all of the MMPI Subsidiary Trust's taxable income and
realized gains, including non-qualified income and realized gains, is subject
to taxation at prevailing corporate tax rates. For the six months ended June
30, 2007, the MMPI Subsidiary Trust has accrued income tax expense of $62,851
on net realized gains and decreased accrued deferred tax income expenses on
net unrealized gains by $199,273.
In, June 2006, the Financial Accounting Standards Board ("FASB") issued FASB
Interpretation No. 48, Accounting for Uncertainly in Income Taxes - an
interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 supplements FASB
109 by prescribing a recognition threshold and measurement attribute for the
financial statement recognition and measurement of a tax position taken or
expected to be taken in a tax return. The adoption of FIN 48 requires
financial statements to be adjusted to reflect only those tax positions that
are more likely than not to be sustained as of the adoption date. As of June
30, 2007, the Trust has properly recorded all tax liabilities.
E. DISTRIBUTIONS TO SHAREHOLDERS:
The Trust records distributions to shareholders from net investment income
and net realized gains, if any, on the exdividend date. The Trust's net
investment income dividend is declared four times per year, in April, July,
October and December. The Trust's net realized capital gain distribution, if
any, is declared in December.
30
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
F. EXPENSE REDUCTION:
Citibank, N.A. ("Citibank") serves as custodian to the Trust. Pursuant to the
custodian agreement, Citibank receives a fee reduced by credits on cash
balances the Trust maintains with Citibank. All credit balances, if any, used
to reduce the Trust's custodian fees are reported as fees paid indirectly on
the Statement of Operations. For the six months ended June 30, 2007, there
were no credit balances used to reduce custodian fees.
3. INVESTMENT ADVISORY AND ADMINISTRATIVE SERVICES FEE
A. SERVICES:
Under an Investment Advisory and Administrative Services Contract (the
"Contract") with the Trust, Babson Capital has agreed to use its best efforts
to present to the Trust a continuing and suitable investment program
consistent with the investment objectives and policies of the Trust. Babson
Capital represents the Trust in any negotiations with issuers, investment
banking firms, securities brokers or dealers and other institutions or
investors relating to the Trust's investments. Under the Contract, Babson
Capital also provides administration of the day-to-day operations of the
Trust and provides the Trust with office space and office equipment,
accounting and bookkeeping services, and necessary executive, clerical and
secretarial personnel for the performance of the foregoing services.
B. FEE:
For its services under the Contract, Babson Capital is paid a quarterly
investment advisory fee equal to .225% of the value of the Trust's net assets
as of the last business day of each fiscal quarter, an amount approximately
equivalent to .90% on an annual basis. A majority of the Trustees, including
a majority of the Trustees who are not interested persons of the Trust or of
Babson Capital, approve the valuation of the Trust's net assets as of such
day.
C. BASIS FOR BOARD RENEWAL OF CONTRACT:
At a meeting of the Trustees held on April 27, 2007, the Trustees (including
a majority of the Trustees who are not "interested persons" of the Trust or
Babson Capital) unanimously approved a one-year continuance of the Contract.
Prior to the meeting, the Trustees requested and received from Ropes & Gray
LLP, counsel to the Trust, a memorandum describing the Trustees' legal
responsibilities in connection with its review and reapproval of the
Contract. The Trustees also requested and received from Babson Capital
extensive written and oral information regarding other matters including: the
principal terms of the Contract; the reasons why Babson Capital was proposing
the continuance of the Contract; Babson Capital and its personnel; the
Trust's investment performance, including comparative performance
information; the nature and quality of the services provided by Babson
Capital to the Trust; financial strength of Babson Capital; the fee
arrangements between Babson Capital and the Trust; fee and expense
information, including comparative fee and expense information; profitability
of the advisory arrangement to Babson Capital; and "fallout" benefits to
Babson Capital resulting from the Contract.
Among other things, the Trustees discussed and considered with management (i)
the aforementioned guidance provided by Ropes & Gray LLP and the information
provided by Babson Capital prior to the meeting and (ii) the reasons Babson
Capital put forth in support of its recommendation that the Trustees approve
the continuance of the Contract. These considerations are summarized below.
NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED BY BABSON CAPITAL TO
THE TRUST
In evaluating the scope and quality of the services provided by Babson
Capital to the Trust, the Trustees considered, among other factors: (i) the
scope of services required to be provided by Babson Capital under the
Contract; (ii) Babson Capital's ability to find and negotiate private
placement securities having equity features that are consistent with the
stated investment objectives of the Trust; (iii) the experience and quality
of Babson Capital's staff; (iv) the strength of Babson Capital's financial
condition; (v) the nature of the private placement market compared to public
markets (including the fact that finding, analyzing, negotiating and
servicing private placement securities is more labor-intensive than buying
and selling public securities and the administration of private placement
securities is more extensive, expensive, and requires greater time and
expertise than a portfolio of only public securities); (vi) the potential
advantages afforded to the Trust by its ability to co-invest in negotiated
private placements with MassMutual and its affiliates; and (vii) the
expansion of the scope of services provided by Babson Capital as a result of
recent regulatory and legislative initiatives that have required increased
legal, compliance and business attention and diligence. Based on such
considerations, the Trustees concluded that, overall, they are satisfied with
the nature, extent and quality of services provided by Babson Capital, and
expected to be provided in the future, under the renewed Contract.
INVESTMENT PERFORMANCE
The Trustees also examined the Trust's short-term, intermediate- term, and
long-term performance as compared against various benchmark indices presented
at the meeting, which showed that the Trust had outperformed such indices for
the 1-, 3-, 5- and 10-year periods. In addition, the Trustees considered
comparisons of the Trust's performance with the per-
--------------------------------------------------------------------------------
31
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
formance of (i) selected closed-end investment companies and funds that may
invest in private placement securities and/or bank loans; (ii) selected
business development companies with comparable types of investments; and
(iii) investment companies included in the Lipper closed-end bond universe.
It was acknowledged that, while such comparisons are helpful in judging
performance, they are not directly comparable in terms of types of
investments due to the fact that business development companies often report
returns based on market value, which is affected by factors other than the
performance of the underlying portfolio investments. Based on these
considerations and the detailed performance information provided to the
Trustees at the regular Board meetings each quarter, the Trustees concluded
that the Trust's absolute and relative performance over time have been
sufficient to warrant renewal of the Contract.
ADVISORY FEE/COST OF SERVICES PROVIDED AND PROFITABILITY/ MANAGER'S
"FALL-OUT" BENEFITS
In connection with the Trustees' consideration of the advisory fee paid by
the Trust to Babson Capital under the Contract, Babson Capital noted that it
was unaware of any registered closed-end investment companies that are
directly comparable to the Trust in terms of the types of investments and
percentages invested in private placement securities (which require more
extensive advisory and administrative services than a portfolio of publicly
traded securities, as previously discussed) other than MassMutual Corporate
Investors, which also is advised by Babson Capital. Under the terms of its
Investment Services Contract, MassMutual Corporate Investors is charged a
quarterly investment advisory fee of 0.3125% of net asset value as of the end
of each quarter, which is approximately equal to 1.25% annually. In
considering the fee rate provided in the Contract, the Trustees noted the
advisory fee charged by Babson Capital to Tower Square Capital Partners, L.P.
and Tower Square Capital Partners II, L.P., both private mezzanine funds also
managed by Babson Capital.
At the request of the Trustees, Babson Capital provided information
concerning the profitability of Babson Capital's advisory relationship with
the Trust. The Trustees also considered the non-economic benefits Babson
Capital and its affiliates derived from its relationship with the Trust,
including the reputational benefits derived from having the Trust listed on
the New York Stock Exchange, and the de minimis amount of commissions
resulting from the Trust's portfolio transactions used by Babson Capital for
third-party soft dollar arrangements (less than $500). The Trustees
recognized that Babson Capital should be entitled to earn a reasonable level
of profit for services provided to the Trust and, based on their review,
concluded that they were satisfied that Babson Capital's historical level of
profitability from its relationship with the Trust was not excessive and that
the advisory fee structure under the Contract is reasonable.
ECONOMIES OF SCALE
The Trustees considered the concept of economies of scale and possible
advisory fee reductions if the Trust were to grow in assets. Given that the
Trust is not continuously offering shares, such growth comes principally from
retained net realized gain on investments and dividend reinvestment. The
Trustees also examined the breakpoint features of selected competitive funds
and noted that the minimum starting point for fee reductions in those funds
was at least $200 million whereas the Trust's current net assets are near
$130 million. The Trustees concluded that the absence of breakpoints in the
fee schedule under the Contract was currently acceptable given the Trust's
current size and closed-end fund structure.
4. SENIOR SECURED INDEBTEDNESS
A. NOTE PAYABLE:
MassMutual holds the Trust's $12,000,000 Senior Fixed Rate Convertible Note
(the "Note") issued by the Trust in 1995. The Note, as amended, is due
December 13, 2011 and accrues interest at 5.80% per annum. MassMutual, at its
option, can convert the principal amount of the Note into common shares. The
dollar amount of principal would be converted into an equivalent dollar
amount of common shares based upon the average price of the common shares for
ten business days prior to the notice of conversion. For the six months ended
June 30, 2007, the Trust incurred total interest expense on the Note of
$348,000.
The Trust may redeem the Note, in whole or in part, at the principal amount
proposed to be redeemed together with the accrued and unpaid interest thereon
through the redemption date plus a Make Whole Premium. The Make Whole Premium
equals the excess of (i) the present value of the scheduled payments of
principal and interest which the Trust would have paid but for the proposed
redemption, discounted at the rate of interest of U.S. Treasury obligations
whose maturity approximates that of the Note plus 0.50% over (ii) the
principal of the Note proposed to be redeemed.
B. REVOLVING CREDIT AGREEMENT:
The Trust entered into a $15,000,000 Revolving Credit Agreement with Bank of
America, N.A. (successor in interest to Fleet National Bank) (the "Agent
Bank") dated May 29, 1997, which had a stated maturity date of May 31, 2004,
(the maturity date was later extended to May 31, 2007 pursuant to the First
Amended and Restated Revolving Credit Agreement). On May 31, 2007, the
maturity date of this loan was extended to May 30, 2008, and its terms were
amended and restated pursuant to the First Amendment to the First Amended and
Restated Revolving Credit Agreement (the "Revolver"), between the Trust and
the Agent Bank.
The Revolver bears interest payable quarterly in arrears at a per annum rate
that varies depending upon whether the Trust requests a Base Rate Loan or
Eurodollar Base Rate Loan. Interest on Base Rate loans equals the higher of:
(i) the annual "Base Rate" as set periodically by the Agent Bank and (ii) the
most recent Federal Funds Effective Rate plus .50% per annum. Per annum
interest on Eurodollar Base Rate Loans equals .35% plus the British Bankers
Association
--------------------------------------------------------------------------------
32
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
LIBOR rate, divided by 1 minus the Eurodollar Reserve Percentage. The Trust
also incurs expense on the undrawn portion of the total Revolver at the
amended rate of .10% per annum.
As of June 30, 2007, there were no outstanding loans against the Revolver.
For the six months ended June 30, 2007, the Trust incurred expense on the
Revolver of $16,914 related to the undrawn portion.
5. PURCHASES AND SALES OF INVESTMENTS
For the six months
ended 6/30/2007
Cost of Proceeds from
Investments Sales or
Acquired Maturities
------------ ------------
Corporate restricted securities $ 13,856,710 $ 9,071,752
Corporate public securities 3,195,990 9,701,191
The aggregate cost of investments is substantially the same for financial
reporting and federal income tax purposes as of June 30, 2007. The net
unrealized depreciation of investments for financial reporting and federal
tax purposes as of June 30, 2007 is $141,848 and consists of $14,526,552
appreciation and $14,668,400 depreciation.
Net unrealized depreciation of investments on the Statement of Assets and
Liabilities reflects the balance and a deferred tax accrual of $184,953 on
net unrealized gains in the MMPI Subsidiary Trust.
6. QUARTERLY RESULTS OF INVESTMENT OPERATIONS
MARCH 31, 2007
AMOUNT PER SHARE
-------- ---------
Investment income $ 3,065,532
Net investment income 2,439,056 $ 0.25
Net realized and unrealized
gain on investments
(net of taxes) 663,578 0.07
JUNE 30, 2007
AMOUNT PER SHARE
-------- ---------
Investment income $ 3,689,385
Net investment income 3,111,679 $ 0.32
Net realized and unrealized
gain (loss) on investments
(net of taxes) (698,739) (0.07)
7. AGGREGATE REMUNERATION PAID TO OFFICERS, TRUSTEES AND THEIR AFFILIATED
PERSONS
For the six months ended June 30, 2007, the Trust paid its Trustees aggregate
remuneration of $68,000. The Trust did not pay any compensation to any of its
Trustees who are "interested persons" (as defined by the 1940 Act) of the
Trust. The Trust classifies Messers. Crandall and Joyal as "interested
Persons" of the Trust.
All of the Trust's officers are employees of Babson Capital or MassMutual.
Pursuant to the Contract, the Trust does not compensate its officers who are
employees of Babson Capital or MassMutual (except for the Chief Compliance
Officer of the trust unless assumed by Babson Capital). For the six months
ended June 30, 2007, Babson Capital paid the compensation of the Chief
Complance Officer of the Trust.
Mr. Crandall, one of the Trust's Trustees is an "affiliated person" (as
defined by the 1940 Act) of MassMutual and Babson Capital. The Trust did not
make any payments to Babson Capital for the six months ended June 30 2007,
other than amounts payable to Babson Capital pursuant to the Contract. For
the six months ended June 30, 2007, the Trust paid the following amounts to
MassMutual, exclusive of interest expense on the Note explained in Footnote
4.A:
Preparation of the Trust's
Quarterly and Annual Reports
to Shareholders $ 6,358
Preparation of Certain of
the Trust's Shareholder
Communications 1,089
Preparation of the Trust's
Annual Proxy Statements 675
-------
$ 8,122
--------------------------------------------------------------------------------
33
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
8. RESULTS OF SHAREHOLDER MEETING
The Annual Meeting of Shareholders was held on Friday, April 27, 2007. The
Shareholders were asked to vote to reelect Donald E. Benson, Donald Glickman
and Robert E. Joyal as trustees, each for a three-year term; William J.
Barrett as trustee, for a two-year term; and Michael H. Brown as trustee, for
a one-year term. The Shareholders approved all of the proposals. The Trust's
other trustees (Roger W. Crandall, Martin T. Hart and Corine T. Norgaard)
continued to serve their respective terms following the April 27, 2007 Annual
Shareholders Meeting. The results of the Shareholders votes are set forth
below.
% of Shares
Shares for Withheld Total Voted for
---------- -------- ----- ---------
Donald E. Benson
8,552,191 168,711 8,720,902 98.07%
Donald Glickman
8,540,666 180,236 8,720,902 97.93%
Robert E. Joyal
8,560,245 160,657 8,720,902 98.16%
William J. Barrett
8,571,844 149,058 8,720,902 98.29%
Michael H. Brown
8,571,942 148,960 8,720,902 98.29%
9. NEW ACCOUNTING PRONOUNCEMENTS
In September 2006, FASB issued Statement of Financial Accounting Standards
No. 157, Fair Value Measurements ("FAS 157"). FAS 157 establishes a single
authoritative definition of fair value, establishes a framework for measuring
fair value and expands disclosures about fair value measurements. FAS 157
applies to fair value measurements already required or permitted by existing
standards. The change to current generally accepted accounting principles
from the application of FAS 157 relates to the definition of fair value, the
methods used to measure fair value, and the expanded disclosures about fair
value measurements. Management of the Trust does not believe the adoption of
FAS 157 will materially impact the financial statement amounts, however,
additional disclosures may be required about the inputs used to develop the
measurements and the effect of certain of the measurements on changes in net
assets for the period. FAS 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years.
--------------------------------------------------------------------------------
34
TRUSTEES OFFICERS
William J. Barrett Roger W. Crandall Chairman
Donald E. Benson* Clifford M. Noreen President
Michael H. Brown James M. Roy Vice President &
Chief Financial Officer
Roger W. Crandall
Rodney J. Dillman Vice President &
Donald Glickman Secretary & Chief Legal
Officer
Martin T. Hart*
Jill A. Fields Vice President
Robert E. Joyal
Michael P. Hermsen Vice President
Corine T. Norgaard*
Mary Wilson Kibbe Vice President
Michael L. Klofas Vice President
Richard E. Spencer, II Vice President
* MEMBER OF THE AUDIT Ronald S. Talala Treasurer
COMMITTEE
John T. Davitt, Jr. Comptroller
Melissa M. LaGrant Chief Compliance Officer
--------------------------------------------------------------------------------
DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN
MassMutual Participation Investors offers a Dividend Reinvestment and Cash
Purchase Plan. The Plan provides a simple and automatic way for shareholders to
add to their holdings in the Trust through the receipt of dividend shares issued
by the Trust or through the reinvestment of cash dividends in Trust shares
purchased in the open market. The dividends of each shareholder will be
automatically reinvested in the Trust by Shareholder Financial Services Inc.,
the Transfer Agent, in accordance with the Plan, unless such shareholder elects
not to participate by providing written notice to the Transfer Agent. A
shareholder may terminate his or her participation by notifying the Transfer
Agent in writing.
Participating shareholders may also make additional contributions to the Plan
from their own funds. Such contributions may be made by personal check or other
means in an amount not less than $100 nor more than $5,000 per quarter. Cash
contributions must be received by the Transfer Agent at least five days (but no
more then 30 days) before the payment date of a dividend or distributions.
Whenever the Trust declares a dividend payable in cash or shares, the Transfer
Agent, acting on behalf of each participating shareholder, will take the
dividend in shares only if the net asset value is lower than the market price
plus an estimated brokerage commission as of the close of business on the
valuation day. The valuation day is the last day preceding the day of dividend
payment. When the dividend is to be taken in shares, the number of shares to be
received is determined by dividing the cash dividend by the net asset value as
of the close of business on the valuation date or, if greater than net asset
value, 95% of the closing share price. If the net asset value of the shares is
higher than the market value plus an estimated commission, the Transfer Agent,
consistent with obtaining the best price and execution, will buy shares on the
open market at current prices promptly after the dividend payment date.
The reinvestment of dividends does not, in any way, relieve participating
shareholders of any federal, state or local tax. For federal income tax
purposes, the amount reportable in respect of a dividend received in
newly-issued shares of the Trust will be the fair market value of the shares
received, which will be reportable as ordinary income and/or capital gains.
As compensation for its services, the Transfer Agent receives a fee of 5% of any
dividend and cash contribution (in no event in excess of $2.50 per distribution
per shareholder.)
Any questions regarding the Plan should be addressed to Shareholder Financial
Services, Inc., Agent for MassMutual Participation Investors' Dividend
Reinvestment and Cash Purchase Plan, P.O. Box 173673, Denver CO 80217-3673.
MassMutual
Participation Investors
DB1040 707
ITEM 2. CODE OF ETHICS.
Not applicable for this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
A schedule of investments for the Registrant is included as part of
this report to shareholders under item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable for this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable for this filing. There have been no changes in any of
the Portfolio Managers identified in the Registrant's most recent
annual report on Form N-CSR.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not Applicable for this filing.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not Applicable for this filing.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The principal executive officer and principal financial officer
of the Registrant evaluated the effectiveness of the Registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940 (the "Act")) as of a
date within 90 days of the filing date of this report and based
on that evaluation have concluded that such disclosure controls
and procedures are effective to provide reasonable assurance that
material information required to be disclosed by the Registrant
on Form N-CSR is recorded, processed, summarized and reported
within the time periods specified in the Securities and Exchange
Commission's rules and forms.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act)
during the Registrant's second fiscal quarter that have
materially affected, or are reasonably likely to materially
affect, the Registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(1) ANY CODE OF ETHICS, OR AMENDMENTS THERETO, THAT IS THE SUBJECT OF
DISCLOSURE REQUIRED BY ITEM 2, TO THE EXTENT THAT THE REGISTRANT
INTENDS TO SATISFY THE ITEM 2 REQUIREMENTS THROUGH THE FILING OF
AN EXHIBIT.
None.
(a)(2) A SEPARATE CERTIFICATION FOR EACH PRINCIPAL EXECUTIVE OFFICER AND
PRINCIPAL FINANCIAL OFFICER OF THE REGISTRANT AS REQUIRED BY RULE
30a-2 UNDER THE ACT.
Attached hereto as EX-99.31.1
Attached hereto as EX-99.31.2
(a)(3) ANY WRITTEN SOLICITATION TO PURCHASE SECURITIES UNDER RULE 23c-1
UNDER THE ACT (17 CFR 270.23c-1) SENT OR GIVEN DURING THE PERIOD
COVERED BY THE REPORT BY OR ON BEHALF OF THE REGISTRANT TO 10 OR
MORE PERSONS.
Not Applicable for this filing.
(b) If the report is filed under Section 13(a) or 15(d) of the
Exchange Act, provide the certifications required by Rule
30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or
Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or
240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the
United States Code (18 U.S.C. 1350) as an exhibit. A
certification furnished pursuant to this paragraph will not be
deemed "filed" for purposes of Section 18 of the Exchange Act (15
U.S.C. 78r), or otherwise subject to the liability of that
section. Such certification will not be deemed to be incorporated
by reference into any filing under the Securities Act of 1933 or
the Exchange Act, except to the extent that the registrant
specifically incorporates it by reference.
Attached hereto as EX-99.32
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the Registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): MassMutual Participation Investors
----------------------------------
By: /s/ Clifford M Noreen
----------------------------------
Clifford M Noreen, President
----------------------------------
Date: September 4, 2007
----------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ Clifford M Noreen
----------------------------------
Clifford M Noreen, President
----------------------------------
Date: September 4, 2007
----------------------------------
By: /s/ James M. Roy
----------------------------------
James M. Roy, Vice President, and
Chief Financial Officer
----------------------------------
Date: September 4, 2007
----------------------------------