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
---------------------------------------------
MassMutual Participation Investors
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(Exact name of registrant as specified in charter)
1500 Main Street, Suite 600, Springfield, MA 01115
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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
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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: 6/30/06
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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 FOR THE
SIX MONTHS ENDED JUNE 30, 2006
[LOGO]
ADVISER
Babson Capital Management LLC
1500 Main Street
Springfield, Massachusetts 01115
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/MPV
MassMutual Participation Investors
c/o Babson Capital Management LLC
[LOGO] 1500 Main Street, Suite 600
Springfield, Massachusetts 01115
(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, which tend to be smaller companies. At least half of these
investments normally include equity features such as 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 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
at 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 at http://www.sec.gov.
MPV
Listed
NYSE
TO OUR SHAREHOLDERS
August 9, 2006
We are pleased to present the June 30, 2006 Semi-Annual Report of MassMutual
Participation Investors (the "Trust"). At the Trust's Quarterly Board of
Trustees Meeting, which was held on July 18, 2006, the Trustees appointed
William J. Barrett as a Trustee, thereby increasing the size of the Board from
eight to nine. Mr. Barrett is currently President of Barrett-Gardner Associates,
Inc., an investment banking firm.
The Trust's Board of Trustees declared a quarterly dividend of 24 cents per
share, payable on August 14, 2006 to shareholders of record on July 28, 2006. A
dividend of 24 cents per share was paid in the previous quarter. U.S. equity
markets, as measured by several broad market indices, posted mixed returns.
During the quarter ended June 30, 2006, large company stocks, as approximated by
the Dow Jones Industrial Average, increased 0.94%, while smaller company stocks,
as approximated by the Russell 2000 Index, decreased 5.02%. For the six months
ended June 30, 2006, returns were 5.22% and 8.21%, respectively. U.S. fixed
income markets, as measured by selected indices, were also mixed during the
quarter. The Lehman Brothers Government/Credit Index and the Lehman Brothers
U.S. Corporate High Yield Index decreased 0.14% and increased 0.25%,
respectively, for the quarter. For the six months ended June 30, 2005, returns
were -1.15% and 3.14%, respectively.
For the quarter ended June 30, 2006, the Trust earned 26 cents per share, of
which 2 cents per share was from nonrecurring items. The Trust earned 27 cents
per share in the previous quarter, of which 3 cents per share was from
nonrecurring items. The Trust's net assets as of June 30, 2006 totaled
$129,932,933 or $13.29 per share compared to $125,929,579 or $12.90 per share on
March 31, 2006. This translated into a net portfolio return of 4.97% for the
quarter, and 10.90% for the six months ended June 30, 2006, based on the change
in the Trust's net assets assuming the reinvestment of all dividends. Long term,
the Trust's portfolio had average annualized returns of 24.11%, 17.37%, 14.52%,
and 13.94% for the 1-, 5-, 10- and 15- year time periods ended June 30, 2006,
respectively, based on change in net assets with the reinvestment of all
dividends.
During the quarter, the Trust made private placement investments in six new
issuers and closed two "follow-on" investments, totaling approximately $6.9
million. The follow-on investments purchased by the Trust were in Eagle Pack Pet
Foods, Inc. and Terra Renewal Services, Inc. The six new issuers the Trust
invested in were Bravo Sports Holding Corporation, F H S Holdings LLC, Flutes,
Inc., K N B Holdings Corporation, Magnatech International, Inc. and Overton's
Holding Company. The weighted average coupon of the bond portion of these
investments was 11.91%. (A brief description of these investments can be found
in the consolidated schedule of investments.)
Thank you for your continued interest in and support of MassMutual Participation
Investors.
Sincerely, PORTFOLIO COMPOSITION AS OF 06/30/06*
/s/ Clifford M. Noreen [PIE CHART APPEARS HERE]
--------------------------
Clifford M. Noreen Public Equity 0.4%
President Private High Yield Debt 46.2%
Private Investment Grade Debt 6.3%
Private/Restricted Equity 16.9%
Cash & Short Term Investments 9.3%
Public High Yield Debt 20.9%
*Based on market value of total investments
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1
CONSOLIDATED STATEMENT OF MASSMUTUAL PARTICIPATION INVESTORS
ASSETS AND LIABILITIES
June 30, 2006
(Unaudited)
ASSETS:
Investments
(See Consolidated Schedule of Investments)
Corporate restricted securities at fair value
(Cost - $96,023,050) $ 97,532,125
Corporate public securities at market value
(Cost - $30,589,499) 29,834,071
Short-term securities at amortized cost 9,198,378
------------
136,564,574
Cash 3,826,997
Interest receivable 1,874,094
Receivable for investments sold 867,920
Other assets 12,635
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TOTAL ASSETS 143,146,220
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LIABILITIES:
Payable for investments purchased $ 425,171
Investment advisory fee payable 292,349
Note payable 12,000,000
Interest payable 88,933
Accrued expenses 173,164
Accrued taxes payable 233,670
------------
TOTAL LIABILITIES 13,213,287
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TOTAL NET ASSETS $129,932,933
============
NET ASSETS:
Common shares, par value $.01 per share; an unlimited number authorized $ 97,780
Additional paid-in capital 90,566,298
Retained net realized gain on investments, prior years 25,860,274
Undistributed net investment income 3,601,979
Accumulated net realized gain on investments 9,169,288
Net unrealized appreciation of investments 637,314
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TOTAL NET ASSETS $129,932,933
============
COMMON SHARES ISSUED AND OUTSTANDING 9,777,975
============
NET ASSET VALUE PER SHARE $ 13.29
============
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, 2006
(Unaudited)
INVESTMENT INCOME:
Interest $ 5,833,544
Dividends 490,238
------------
TOTAL INVESTMENT INCOME 6,323,782
------------
EXPENSES:
Investment advisory fees 575,691
Interest 366,596
Trustees' fees and expenses 61,200
Reports to shareholders 51,000
Professional fees 48,000
Transfer agent/registrar's expenses 8,400
Other 13,666
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TOTAL EXPENSES 1,124,553
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INVESTMENT INCOME - NET 5,199,229
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments before taxes 8,470,874
Income tax expense (177,888)
------------
Net realized gain on investments 8,292,986
Net change in unrealized appreciation of investments before taxes (753,264)
Net change in deferred income tax expense 59,081
------------
Net change in unrealized appreciation of investments (694,183)
NET GAIN ON INVESTMENTS 7,598,803
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,798,032
============
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, 2006
(Unaudited)
NET INCREASE IN CASH:
Cash flows from operating activities:
Interest and dividends received $ 6,482,631
Interest expense paid (366,596)
Operating expenses paid (760,479)
Income taxes paid (3,599,079)
------------
NET CASH PROVIDED BY OPERATING ACTIVITIES 1,756,477
------------
Cash flows from investing activities:
Purchases/Proceeds/Maturities from short-term portfolio securities, net 5,439,584
Purchases of portfolio securities (22,426,509)
Proceeds from disposition of portfolio securities 21,001,461
------------
NET CASH PROVIDED BY INVESTING ACTIVITIES 4,014,536
------------
NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES 5,771,013
------------
Cash flows from financing activities:
Cash dividends paid from net investment income (5,169,026)
Receipts for shares issued on reinvestment of dividends 459,134
------------
NET CASH USED FOR FINANCING ACTIVITIES (4,709,892)
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NET INCREASE IN CASH 1,061,121
Cash - beginning of year 2,765,876
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CASH - END OF PERIOD $ 3,826,997
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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 $ 12,798,032
------------
Increase in investments (4,144,678)
Decrease in interest and dividends receivable 570,425
Increase in receivable for investments sold (382,653)
Decrease in other assets 145
Increase in payable for investments purchased 425,171
Increase in investment advisory fee payable 24,556
Decrease in accrued expenses (39,713)
Decrease in accrued taxes payable (3,480,272)
------------
TOTAL ADJUSTMENTS TO NET ASSETS FROM OPERATIONS (7,027,019)
------------
NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES $ 5,771,013
============
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
06/30/2006 year ended
(Unaudited) 12/31/2005
------------ ------------
INCREASE IN NET ASSETS:
OPERATIONS:
Investment income - net $ 5,199,229 $ 9,643,282
Net realized gain on investments 8,292,986 8,306,079
Net change in unrealized appreciation (depreciation) of investments (694,183) 2,350,516
------------ ------------
Net increase in net assets resulting from operations 12,798,032 20,299,877
Increase from common shares issued on reinvestment of dividends
Common shares issued (2006 - 33,745; 2005 - 71,671) 459,134 927,722
Dividends to shareholders from:
Net investment income (2006 - $0.24 per share; 2005 - $1.01 per share) (2,343,199) (9,818,640)
------------ ------------
TOTAL INCREASE IN NET ASSETS 10,913,967 11,408,959
NET ASSETS, BEGINNING OF YEAR 119,018,966 107,610,007
------------ ------------
NET ASSETS, END OF PERIOD/YEAR (including undistributed net
investment income of $3,601,979 and $923,836, respectively) $129,932,933 $119,018,966
============ ============
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,
06/30/2006 ----------------------------------------------------------------------
(Unaudited) 2005 2004 2003 2002 2001
---------- ---------- ---------- ---------- ---------- ----------
Net asset value:
Beginning of year $ 12.21 $ 11.13 $ 9.84 $ 8.78 $ 9.12 $ 9.75
---------- ---------- ---------- ---------- ---------- ----------
Net investment income (a) 0.53 0.99 1.00 0.80 0.87 0.93
Net realized and unrealized
gain (loss) on investments 0.78 1.09 (b) 1.36 1.21 (0.35) (0.61)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 1.31 2.08 2.36 2.01 0.52 0.32
---------- ---------- ---------- ---------- ---------- ----------
Dividends from net investment
income to common shareholders (0.24) (1.01) (1.10) (0.96) (0.86) (0.96)
Change from issuance of shares 0.01 0.01 0.03 0.01 -- 0.01
---------- ---------- ---------- ---------- ---------- ----------
Total distributions (0.23) (1.00) (1.07) (0.95) (0.86) (0.95)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value:
End of period/year $ 13.29 $ 12.21 $ 11.13 $ 9.84 $ 8.78 $ 9.12
---------- ---------- ---------- ---------- ---------- ----------
Per share market value:
End of period/year $ 14.85 $ 14.05 $ 13.31 $ 11.65 $ 9.40 $ 9.10
========== ========== ========== ========== ========== ==========
Total investment return
Market value 7.50% 17.25% 25.77% 35.50% 12.58% (8.02)%
Net asset value (c) 10.90% 22.51% 25.14% 23.72% 5.70% 3.41%
Net assets (in millions):
End of period/year $ 129.93 $ 119.02 $ 107.61 $ 94.40 $ 83.59 $ 86.09
Ratio of operating expenses
to average net assets 1.23%(d) 1.45% 1.63% 1.65% 1.27% 1.22%
Ratio of interest expense
to average net assets 0.60%(d) 0.80% 0.89% 0.97% 1.08% 1.47%
Ratio of total expenses
to average net assets 1.83%(d) 2.25% 2.52% 2.62% 2.35% 2.69%
Ratio of net investment income
to average net assets 8.44%(d) 8.45% 9.60% 8.55% 9.42% 9.70%
Portfolio turnover 17.39% 31.50% 51.25% 55.08% 35.32% 21.58%
(a) Calculated using average shares.
(b) Amount includes $0.10 per share in litigation proceeds.
(c) 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.
(d) Annualized.
Senior securities:
Total principal amount (in millions) $ 12 $ 12 $ 22.5 $ 22.5 $ 22.5 $ 22.5
Asset coverage per $1,000
of indebtedness $ 11,828 $ 10,918 $ 5,783 $ 5,195 $ 4,715 $ 4,826
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
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6
CONSOLIDATED SCHEDULE OF INVESTMENTS MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES - 75.06%: (A) Amount Date Cost Fair Value
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PRIVATE PLACEMENT INVESTMENTS - 70.46%
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 $ 995,602
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 (B) 33,505 shs. 03/23/06 33,860 335
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1,158,860 995,949
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ADORN, INC.
A manufacturer of wall panels, cabinets, moldings
and countertops for houses and recreational vehicles.
12.5% Subordinated Note due 2010 $ 1,125,000 02/29/00 1,052,875 1,125,000
Warrant, exercisable until 2010, to purchase
common stock at $.02 per share (B) 192 shs. 02/29/00 162,931 277,171
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1,215,806 1,402,171
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AMERCABLE, INC.
A manufacturer of electric power, instrumentation
and control cables, primarily for the mining and oil
and gas industries.
12% Senior Subordinated Note due 2013 $ 583,333 04/08/05 551,685 585,194
Limited Partnership Interest (B) 0.19% int. 04/07/05 41,667 64,093
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 66 shs. 04/08/05 64,833 101,668
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658,185 750,955
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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 1,021,859 1,129,219
Preferred Class A Unit (B) 1,337 uts. 01/22/04 133,700 120,330
Common Class B Unit 1,610 uts. 01/22/04 1 154,458
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1,155,560 1,404,007
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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 05/18/05 808,524 865,633
Common Stock (B) 263 shs. 05/18/05 263,298 345,976
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 69 shs. 05/18/05 59,362 90,705
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1,131,184 1,302,314
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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 12/31/04 837,112 895,614
Common Stock (B) 275 shs. * 275,108 494,950
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 73 shs. 12/31/04 63,254 130,956
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1,175,474 1,521,520
------------- -------------
*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, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
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BEACON MEDICAL PRODUCTS, INC.
A designer, manufacturer and marketer of medical air and
gas distribution systems.
9% Senior Secured Revolving Credit Facility due 2007 (C) $ 131,792 04/09/02 $ 131,792 $ 131,792
9% Senior Secured Tranche A Note due 2008 (C) $ 309,746 04/09/02 309,746 309,746
12% Senior Secured Note due 2010 $ 412,112 04/09/02 366,744 412,112
Limited Partnership Interest of Riverside Capital
Appreciation Fund IV, L.P. (B) 5.09% int. 04/09/02 87,045 342,609
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 794 shs. 04/09/02 72,856 312,550
------------- -------------
968,183 1,508,809
------------- -------------
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 --
------------- -------------
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 1,134,984 1,177,825
Preferred Stock Class A (B) 465 shs. 06/30/06 141,946 134,850
Common Stock (B) 1 shs. 06/30/06 152 145
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 164 shs. 06/30/06 48,760 2
------------- -------------
1,325,842 1,312,822
------------- -------------
C & J SPEC-RENT SERVICES, INC.
A provider of coiled tubing and pressure pumping services
to the oil and gas industry in Texas and Louisiana.
10% Senior Secured Term Note due 2012 $ 886,597 08/12/05 886,567 905,121
14% Senior Subordinated Note due 2013 $ 653,153 08/12/05 596,138 661,274
Common Stock (B) 268,657 shs. 08/12/05 268,657 515,015
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 49,552 shs. 08/12/05 60,910 94,992
------------- -------------
1,812,272 2,176,402
------------- -------------
C & M CONVEYOR, INC.
A manufacturer and supplier of material handling systems
to the corrugated sheet and container industry.
9.5% Senior Secured Term Note due 2007 $ 433,735 09/13/02 433,735 434,226
11% Senior Subordinated Note due 2010 $ 478,916 09/13/02 463,374 480,972
Common Stock (B) 180,723 shs. 09/13/02 180,723 406,627
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 78,386 shs. 09/13/02 34,428 176,369
------------- -------------
1,112,260 1,498,194
------------- -------------
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8
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
CAINS FOODS, L.P.
A producer of mayonnaise and sauce products for both the
retail and food service markets.
Limited Partnership Interest 1.81% int. 09/29/95 $ 22,519 $ 161,905
------------- -------------
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 27,704
------------- -------------
COEUR, INC.
A producer of proprietary, disposable power
injection syringes.
8.75% Senior Secured Term Note due 2010 $ 264,493 04/30/03 264,493 264,436
11.5% Senior Subordinated Note due 2011 $ 242,754 04/30/03 225,870 242,842
Common Stock (B) 72,463 shs. 04/30/03 72,463 127,825
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 50,099 shs. 04/30/03 23,317 88,375
------------- -------------
586,143 723,478
------------- -------------
COINING CORPORATION OF AMERICA LLC
A manufacturer of close tolerance parts and
metal stampings.
10.74% Senior Secured Revolving
Credit Facility due 2007 (C) $ 61,728 01/07/02 61,728 61,728
10.21% Senior Secured Tranche A Note due 2007 (C) $ 434,222 06/26/01 434,222 424,678
13% Senior Secured Tranche B Note due 2008 $ 370,370 06/26/01 370,370 365,154
Limited Partnership Interest (B) 3.65% int. 06/26/01 185,185 166,667
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 61,163 shs. 06/26/01 45,370 86,974
------------- -------------
1,096,875 1,105,201
------------- -------------
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 ** 974,588 953,475
Limited Partnership Interest (B) 4.43% int. *** 103,135 1,031
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 92 shs. ** 84,829 1
------------- -------------
1,162,552 954,507
------------- -------------
*12/30/97 and 05/29/99.
**08/12/04 and 01/18/05.
***08/12/04 and 01/14/05.
---------------------------------------------------------------------------------------------------------------------------------
9
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 1,108,178 $ 1,129,727
Common Stock (B) 269 shs. * 278,521 242,388
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 54 shs. 06/15/05 53,295 1
------------- -------------
1,439,994 1,372,116
------------- -------------
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 1,281,897 1,313,435
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 10 shs. 08/04/05 72,617 --
------------- -------------
1,354,514 1,313,435
------------- -------------
CORVEST GROUP, INC.
A manufacturer and distributor of promotional products.
12% Senior Subordinated Note due 2009 (D) $ 2,045,455 ** 1,982,045 511,359
Common Stock (B) 30 shs. ** 51,136 --
Limited Partnership Interest (B) 10.23% int. ** 150,377 --
Warrant, exercisable until 2007, to purchase
common stock at $.01 per share (B) 171 shs. ** 157,343 --
------------- -------------
2,340,901 511,359
------------- -------------
DEXTER MAGNETICS TECHNOLOGIES, INC.
A designer, fabricator, assembler and distributor of
industrial magnets and subassemblies in North America
and Europe.
Common Stock 310 shs. 07/19/01 309,783 426,449
Warrant, exercisable until 2006, to purchase
common stock at $.01 per share 157 shs. 07/19/01 132,677 216,143
------------- -------------
442,460 642,592
------------- -------------
DIRECTED ELECTRONICS, INC.
A designer and distributor of brand name automotive security
systems, audio products and installation accessories.
Common Stock (B) 126,817 shs. 12/19/05 40,518 1,497,453
Limited Partnership Interest (B) 4.61% int. *** 26,223 300,428
------------- -------------
66,741 1,797,881
------------- -------------
*06/15/05 and 05/22/06.
**03/05/99 and 03/24/99.
***12/22/99 and 09/14/05.
---------------------------------------------------------------------------------------------------------------------------------
10
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 1,252,858
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 1,252,858
------------- -------------
DWYER GROUP, INC.
A franchiser of a variety of home repair services.
14% Senior Subordinated Note due 2011 $ 984,375 10/30/03 905,756 995,665
Common Stock (B) 3,656 shs. ** 365,600 380,224
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 111,967
------------- -------------
1,370,075 1,487,856
------------- -------------
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 78,808
------------- -------------
EAGLE PACK PET FOODS, INC.
A manufacturer of premium pet food sold through
independent pet stores.
12% Senior Subordinated Note due 2011 $ 803,572 *** 781,636 802,959
Warrant, exercisable until 2011, to purchase
common stock at $.02 per share (B) 2,163 shs. 09/24/04 20,893 44,465
------------- -------------
802,529 847,424
------------- -------------
EAST RIVER VENTURES I, L.P.
An acquirer of controlling or substantial interests in
other entities.
Limited Partnership Interest (B) 0.03% int. 01/01/01 6,609 2,027
------------- -------------
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
------------- -------------
*10/24/96 and 08/28/98.
**10/30/03 and 01/02/04.
***09/24/04 and 4/20/06.
---------------------------------------------------------------------------------------------------------------------------------
11
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
EURO-PRO CORPORATION
A designer, marketer and distributor of floor care, steam
cleaning and small kitchen products and appliances.
13.25% Senior Subordinated Note due 2011 $ 1,125,000 09/09/03 $ 1,106,131 $ 112,500
16.03% Overdue Interest Secured Note due 2008 (C) $ 75,952 01/13/06 68,357 68,357
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 23,229 shs. 09/09/03 18,869 --
------------- -------------
1,193,357 180,857
------------- -------------
EVANS CONSOLES, INC.
A designer and manufacturer of consoles and control
center systems.
Common Stock (B) 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 1,175,806 1,257,724
Preferred Unit (B) 84 uts. 06/01/06 83,530 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
------------- -------------
1,324,959 1,391,961
------------- -------------
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 04/13/06 516,919 510,804
14% Senior Subordinated Note due 2014 $ 312,674 04/13/06 279,148 305,095
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
------------- -------------
886,278 872,358
------------- -------------
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 1,126,673 1,210,059
Common Stock (B) 98 shs. 02/03/06 97,826 88,047
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 135 shs. 02/03/06 110,348 1
------------- -------------
1,334,847 1,298,107
------------- -------------
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 1,151,428 1,201,319
Common Stock (B) 112,500 shs. 01/31/06 112,500 101,250
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 73,275 shs. 01/31/06 63,113 733
------------- -------------
1,327,041 1,303,302
------------- -------------
---------------------------------------------------------------------------------------------------------------------------------
12
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) 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 $ 1,086,105 $ 1,134,386
Common Stock (B) 180 shs. 02/10/06 180,000 162,000
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 67 shs. 02/10/06 61,875 1
------------- -------------
1,327,980 1,296,387
------------- -------------
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 91,867 737
------------- -------------
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 * 989,598 1,074,605
Common Stock (B) 33 shs. * 33,216 38,120
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 106 shs. * 105,618 121,199
------------- -------------
1,128,432 1,233,924
------------- -------------
INTEGRATION TECHNOLOGY SYSTEMS, INC.
A manufacturer of steel protective computer and network
systems for the industrial and office environments.
12% Senior Secured Note due 2006 $ 949,004 03/01/04 938,546 711,753
Common Stock (B) 130 shs. 06/01/00 149,500 --
------------- -------------
1,088,046 711,753
------------- -------------
ITC^DELTACOM, INC.
A provider of integrated communications services in the
southeastern United States.
13.19% Senior Secured Note due 2009 (C) $ 1,174,631 07/26/05 1,151,218 1,164,352
16.69% Senior Secured Note due 2009 (C) $ 187,317 07/26/05 164,572 185,104
Warrant, exercisable until 2009, to purchase
convertible preferred stock at $.01 per share (B) 54,468 shs. 07/26/05 18,156 73,532
------------- -------------
1,333,946 1,422,988
------------- -------------
JASON, INC.
A diversified manufacturing company serving various
industrial markets.
13% Senior Subordinated Note due 2008 $ 510,187 08/04/00 484,580 502,935
14% Cumulative Redeemable Preferred Stock Series A (B) 153 shs. 08/04/00 153,119 149,468
Limited Partnership Interest of
Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,250 375,461
Warrants, exercisable until 2008 and 2009, to purchase
common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 21,544
------------- -------------
1,168,050 1,049,408
------------- -------------
*06/30/04 and 08/19/04.
---------------------------------------------------------------------------------------------------------------------------------
13
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 797,649 $ 814,482
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 6
------------- -------------
851,177 814,488
------------- -------------
K N B HOLDINGS CORPORATION
A designer, manufacturer and marketer of products for the
custom framing market.
13.5% Senior Subordinated Note due 2013 $ 1,278,947 05/25/06 1,215,793 1,250,127
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
------------- -------------
1,324,717 1,314,511
------------- -------------
KEEPSAKE QUILTING, INC.
A seller of quilting fabrics, books, patterns, kits and
notions to consumers.
8.77% Senior Secured Revolving Note due 2006 (C) $ 20,967 06/16/00 20,967 20,950
8.77% Senior Secured Tranche A Note due 2007 (C) $ 157,255 06/16/00 157,255 155,747
12% Senior Secured Tranche B Note due 2008 $ 314,509 06/16/00 305,433 314,719
Limited Partnership Interest of
Riverside XVI Holding Company, L.P. (B) 3.02% int. 06/12/00 190,563 123,761
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 633 shs. 06/12/00 26,209 41,110
------------- -------------
700,427 656,287
------------- -------------
KELE AND ASSOCIATES, INC.
A distributor of building automation control products.
12% Senior Subordinated Note due 2012 $ 969,643 02/27/04 893,467 988,422
Preferred Stock (B) 12 shs. 11/24/04 237,794 241,915
Common Stock (B) 6 shs. 02/27/04 6,814 93,122
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 6 shs. 02/27/04 4,124 85,169
------------- -------------
1,142,199 1,408,628
------------- -------------
KEYSTONE NORTH AMERICA, INC.
An operator of funeral homes in North America.
Common Stock 28,577 shs. 02/08/05 137,444 172,376
------------- -------------
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 $ 2,036,000 * 1,893,287 1,980,215
Common Stock (B) 3,057 shs. * 213,998 117,695
Warrant, exercisable until 2006, to purchase
common stock at $.11 per share (B) 8,245 shs. * 318,838 317,433
------------- -------------
2,426,123 2,415,343
------------- -------------
*12/23/98 and 01/28/99.
---------------------------------------------------------------------------------------------------------------------------------
14
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 675,000 04/05/06 $ 627,243 $ 663,755
13% Preferred Stock (B) 299 shs. 04/05/06 299,295 284,335
Common Stock (B) 66 shs. 04/05/06 66,202 62,890
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 7 shs. 04/05/06 6,832 --
------------- -------------
999,572 1,010,980
------------- -------------
MAVERICK ACQUISITION COMPANY
A manufacturer of capsules that cover the cork and neck of
wine bottles.
9.50% Senior Secured Tranche A Note due 2010 (C) $ 393,837 09/03/04 393,837 393,922
12% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 160,327 177,003
Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 30,224
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 2
------------- -------------
610,302 601,151
------------- -------------
MAXON CORPORATION
A manufacturer of industrial combustion equipment and
related shut-off valves and control valves.
12% Senior Subordinated Note due 2012 $ 549,837 09/30/04 505,354 556,603
8.75% Senior Subordinated Note due 2012 $ 732,065 09/30/04 732,065 745,227
Common Stock (B) 218,099 shs. 09/30/04 218,099 394,323
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 87,755 shs. 09/30/04 51,941 158,661
------------- -------------
1,507,459 1,854,814
------------- -------------
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 43,449
Common Stock (B) 13,863 shs. 10/28/04 18,576 38,370
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 47,090 shs. 05/01/03 21,534 130,339
------------- -------------
84,399 212,158
------------- -------------
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 $ 1,134,000 08/12/05 1,065,942 1,131,369
Common Stock (B) 216 shs. 08/12/05 216,000 194,400
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 73 shs. 08/12/05 72,576 1
------------- -------------
1,354,518 1,325,770
------------- -------------
---------------------------------------------------------------------------------------------------------------------------------
15
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 1,251,105 $ 1,315,807
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 81 shs. 03/31/06 73,125 1
------------- -------------
1,324,230 1,315,808
------------- -------------
MOSS, INC.
A manufacturer and distributor of large display and
exhibit structures.
9% Senior Secured Tranche A Note due 2010 (C) $ 550,000 12/21/05 544,500 553,318
12% Senior Secured Tranche B Note due 2010 $ 200,000 12/21/05 177,059 199,660
Limited Partnership Interest of
Riverside Capital Appreciation Fund I, L.P. (B) 0.01% int. * 29 217,272
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 122 shs. 12/21/05 20,941 1
------------- -------------
742,529 970,251
------------- -------------
NABCO, INC.
A producer of explosive containment vessels in the
United States.
12% Senior Subordinated Note due 2014 $ 330,882 02/24/06 305,002 320,065
Limited Partnership Interest (B) 344 uts. 02/24/06 344,120 326,914
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 26 shs. 02/24/06 19,687 --
------------- -------------
668,809 646,979
------------- -------------
NEFF MOTIVATION, INC.
A manufacturer and distributor of customized awards and
sportswear to schools.
12.5% Senior Subordinated Note due 2011 $ 562,500 01/31/03 492,779 573,750
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 112 shs. 01/31/03 95,625 113,859
------------- -------------
588,404 687,609
------------- -------------
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 03/29/04 982,661 965,429
10% Preferred Stock (B) 135 shs. 03/29/04 135,044 131,670
Common Stock (B) 3,418 shs. 03/29/04 3,418 26,235
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 4,565 shs. 03/29/04 3,877 34,997
------------- -------------
1,125,000 1,158,331
------------- -------------
*09/20/00 and 05/23/02.
---------------------------------------------------------------------------------------------------------------------------------
16
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 453,489
11.5% Senior Subordinated Note due 2012 $ 857,143 01/28/02 793,964 810,952
Common Stock (B) 178,571 shs. 01/28/02 178,571 142,857
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 138,928 shs. 01/28/02 92,597 1,389
------------- -------------
1,529,418 1,408,687
------------- -------------
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 1,180,473 1,223,315
Common Stock (B) 93,848 shs. 12/20/05 93,848 84,463
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 52,820 shs. 12/20/05 52,292 528
------------- -------------
1,326,613 1,308,306
------------- -------------
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 01/03/06 318,268 315,859
13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 350,137 382,964
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) 41,249 shs. 01/03/06 35,900 412
------------- -------------
888,481 864,993
------------- -------------
OLYMPIC SALES, INC.
A boat retailer in Washington state, Oregon, California
and British Columbia.
14% Senior Subordinated Note due 2006 $ 1,241,000 08/07/98 1,241,000 1,236,731
12% Senior Subordinated Note due 2008 $ 244,154 02/09/00 237,103 238,771
Limited Partnership Interest of Riverside VIII, VIII-A
and VIII-B Holding Company, L.P. 10.66% int. * 808,300 808,347
Warrants, exercisable until 2007 and 2008, to purchase
common stock at $.01 per share (B) 15,166 shs. ** 206,041 204,198
------------- -------------
2,492,444 2,488,047
------------- -------------
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 01/17/06 939,648 1,022,182
Limited Partnership Interest (B) 1,942 uts. 01/17/06 302,885 272,597
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 3
------------- -------------
1,332,957 1,294,782
------------- -------------
*08/07/98, 02/23/99, 12/22/99 and 02/25/03.
**08/07/98 and 02/29/00.
---------------------------------------------------------------------------------------------------------------------------------
17
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 899,081 $ 943,749
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 --
------------- -------------
993,403 988,749
------------- -------------
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 1,133,188 1,177,707
Preferred Stock (B) 19 shs. 03/31/06 174,492 165,788
Common Stock (B) 12 shs. 03/31/06 13,500 12,150
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 --
------------- -------------
1,327,068 1,355,645
------------- -------------
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 1,063,333 1,091,994
Membership Interests of MM/Lincap
PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 148,258
------------- -------------
1,203,958 1,240,252
------------- -------------
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 05/28/04 774,396 950,027
Common Stock 187,500 shs. 05/28/04 187,500 345,938
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share 199,969 shs. 05/28/04 199,969 368,943
------------- -------------
1,161,865 1,664,908
------------- -------------
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 07/09/04 976,254 601,485
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 --
------------- -------------
1,139,422 601,485
------------- -------------
*11/14/01 and 08/12/94.
---------------------------------------------------------------------------------------------------------------------------------
18
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 1,112,138 $ 1,164,004
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
------------- -------------
1,328,750 1,302,572
------------- -------------
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 09/29/04 891,404 877,500
Limited Partnership Interest (B) 21,500 uts. 09/29/04 150,000 --
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,481 shs. 09/29/04 83,596 --
------------- -------------
1,125,000 877,500
------------- -------------
ROYAL BATHS MANUFACTURING COMPANY
A manufacturer and distributor of acrylic and cultured
marble bathroom products.
12.5% Senior Subordinated Note due 2011 $ 562,500 11/14/03 511,381 558,073
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 37,756
------------- -------------
576,470 595,829
------------- -------------
SAFETY SPEED CUT MANUFACTURING COMPANY, INC.
A manufacturer of vertical panel saws and routers for the
wood working industry.
8.73% Senior Secured Tranche A Note due 2007 (C) $ 323,044 06/02/99 323,044 323,044
12% Senior Secured Tranche B Note due 2007 $ 646,089 06/02/99 646,089 646,089
Class B Common Stock (B) 846 shs. 06/02/99 146,456 284,391
------------- -------------
1,115,589 1,253,524
------------- -------------
SAVAGE SPORTS HOLDING, INC.
A manufacturer of sporting firearms.
12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 762,530 797,106
Common Stock (B) 310 shs. 09/10/04 310,345 253,171
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 57,706
------------- -------------
1,133,004 1,107,983
------------- -------------
SPECIALTY FOODS GROUP, INC.
A manufacturer and distributor of branded meat products.
Limited Partnership Interest of MHD Holdings LLC (B) 0.76% int. 08/29/00 307,860 --
------------- -------------
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 --
------------- -------------
---------------------------------------------------------------------------------------------------------------------------------
19
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
SYNVENTIVE EQUITY LLC
A manufacturer of hot runner systems used in the plastic
injection molding process.
Limited Partnership Interest (B) 1.05% int. 08/20/03 $ 33,463 $ 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
------------- -------------
43,712 17,714
------------- -------------
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 1,002,642 1,185,887
Preferred Stock (B) 1,749 shs. 10/14/05 174,924 176,168
Common Stock (B) 1,167 shs. 10/14/05 1,167 1,050
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 618 shs. 10/14/05 155,860 6
------------- -------------
1,334,593 1,363,111
------------- -------------
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
10% Senior Secured Tranche A Note due 2011 (C) $ 281,250 04/28/06 280,428 277,237
10.25% Senior Secured Tranche B Note due 2012 (C) $ 421,874 04/28/06 420,802 411,663
12% Senior Subordinated Note due 2014 $ 664,062 04/28/06 631,316 651,792
Limited Partnership Interest of
Saw Mill Capital Fund V, L.P. 2.30% int. 03/01/05 123,284 110,955
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 41 shs. 04/28/06 34,627 --
------------- -------------
1,490,457 1,451,647
------------- -------------
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 1,274,401 1,356,000
Common Stock (B) 315 shs. 02/04/98 315,000 313,713
Warrant, exercisable until 2006, to purchase
common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 221,093
------------- -------------
1,773,817 1,890,806
------------- -------------
TRANSTAR HOLDING COMPANY
A distributor of aftermarket automotive transmission parts.
12% Senior Subordinated Note due 2013 $ 918,000 08/31/05 879,077 915,020
Common Stock (B) 432 shs. 08/31/05 432,000 410,400
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 46 shs. 08/31/05 41,021 --
------------- -------------
1,352,098 1,325,420
------------- -------------
---------------------------------------------------------------------------------------------------------------------------------
20
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) 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 $ 451,394 01/20/00 $ 451,394 $ 451,615
12% Senior Subordinated Note due 2010 $ 758,100 01/20/00 732,202 759,616
Common Stock (B) 129,960 shs. 01/20/00 129,960 298,258
Warrant, exercisable until 2010, to purchase
common stock at $1 per share (B) 148,912 shs. 01/20/00 56,316 341,751
------------- -------------
1,369,872 1,851,240
------------- -------------
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 * 1,138,840 1,241,643
Common Stock (B) 393 shs. * 423,985 531,803
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 81 shs. * 84,650 109,826
------------- -------------
1,647,475 1,883,272
------------- -------------
TRUSTILE DOORS, INC.
A manufacturer and distributor of interior doors.
12.5% Senior Subordinated Note due 2010 $ 562,500 04/11/03 529,182 559,061
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 3,060 shs. 04/11/03 50,625 37,984
------------- -------------
579,807 597,045
------------- -------------
TUBULAR TEXTILE MACHINERY
A designer, manufacturer, sale and servicer of finishing
machinery for the knit and woven segments of the global
textile industry.
12% Senior Subordinated Note due 2014 $ 705,457 05/28/04 640,876 684,884
8.75% Senior Secured Note due 2011 $ 409,310 05/28/04 409,310 404,053
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
------------- -------------
1,510,155 1,417,550
------------- -------------
TVI, INC.
A retailer of used clothing in the United States, Canada
and Australia.
Common Stock (B) 187,500 shs. 05/02/00 187,500 579,375
------------- -------------
U S M HOLDINGS CORPORATION
A provider of facility maintenance services to retail and
corporate clients with multiple locations.
12% Senior Subordinated Note due 2011 $ 473,684 08/06/03 413,196 473,684
Preferred Stock (B) 1,361 shs. 08/06/03 136,089 139,398
Common Stock (B) 546 shs. 08/06/03 546 821,916
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 502 shs. 08/06/03 157,869 516,922
------------- -------------
707,700 1,951,920
------------- -------------
*07/19/05 and 12/22/05.
---------------------------------------------------------------------------------------------------------------------------------
21
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership
or Principal Acquisition
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Amount Date Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
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 $ 54,525
Convertible Preferred Stock Series A and B, convertible
into common stock at $9.26 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 54,525
------------- -------------
U-LINE CORPORATION
A manufacturer of high-end, built-in, undercounter
icemaking, wine storage and refrigeration appliances.
12.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 902,533 1,008,844
Common Stock (B) 96 shs. 04/30/04 96,400 121,464
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 153,720
------------- -------------
1,111,039 1,284,028
------------- -------------
VICTORY VENTURES LLC
An acquirer of controlling or substantial interests in
other entities.
Series A Preferred Units (B) 0.04% int. 12/02/96 1 2
------------- -------------
VITALITY FOODSERVICE, INC.
A non-carbonated beverage dispensing company focused
on the foodservice industry.
13% Senior Subordinated Note due 2011 $ 999,153 09/24/04 916,370 979,337
Common Stock (B) 12,585 shs. 09/24/04 125,850 172,767
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,593 shs. 09/24/04 98,938 172,877
------------- -------------
1,141,158 1,324,981
------------- -------------
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 07/19/04 785,153 839,562
Limited Partnership Interest Class A (B) 0.93% int. 07/19/04 219,375 197,438
Limited Partnership Interest Class B (B) 0.41% int. 07/19/04 96,848 87,163
------------- -------------
1,101,376 1,124,163
------------- -------------
WALLS INDUSTRIES, INC.
A provider of branded workwear and sporting goods apparel.
10% Senior Subordinated Lien Note due 2009 $ 444,079 07/12/04 444,079 449,272
14% Senior Subordinated Note due 2012 $ 563,346 07/12/04 561,860 579,449
Limited Partnership Interest (B) 0.20% int. 07/12/04 19,737 461,846
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 2,133 shs. 07/12/04 1,500 49,918
------------- -------------
1,027,176 1,540,485
------------- -------------
TOTAL PRIVATE PLACEMENT INVESTMENTS $ 89,900,538 $ 91,548,868
------------- -------------
*12/19/96 and 09/30/99.
---------------------------------------------------------------------------------------------------------------------------------
22
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares or
Interest Due Principal
CORPORATE RESTRICTED SECURITIES (A) (CONTINUED) Rate Date Amount Cost Fair Value
---------------------------------------------------------------------------------------------------------------------------------
RULE 144A SECURITIES - 4.60%: (A)
BONDS - 4.60%
A E S Corporation 8.750% 05/15/13 $ 425,000 $ 470,893 $ 454,750
A E S Corporation 9.000 05/15/15 175,000 175,000 188,125
Atlas Pipeline Partners 8.125 12/15/15 100,000 100,000 99,625
Basic Energy Services 7.125 04/15/16 125,000 125,000 116,250
Bombardier, Inc. 6.300 05/01/14 500,000 440,315 435,000
Charter Communications Op LLC 8.000 04/30/12 500,000 498,750 497,500
Douglas Dynamics LLC 7.750 01/15/12 325,000 326,738 308,750
Dynegy Holdings, Inc. 8.375 05/01/16 165,000 165,000 162,525
Edison Mission Energy 7.750 06/15/16 235,000 235,000 230,888
G F S I, Inc. 11.000 06/01/11 375,000 340,343 354,375
Interactive Health LLC 7.250 04/01/11 484,000 412,282 397,485
Neiman Marcus Group, Inc. 10.375 10/15/15 600,000 600,000 637,500
Packaging Corporation of America 10.000 05/01/16 350,000 350,000 350,000
Petrohawk Energy Corporation 9.125 07/15/13 275,000 271,521 271,521
Service Corporation International (C) 8.000 06/15/17 500,000 495,015 467,500
Siebe PLC 6.500 01/15/10 350,000 308,000 358,552
Stewart & Stevenson LLC 10.000 07/15/14 100,000 100,000 100,375
Sungard Data Systems 9.125 08/15/13 75,000 75,000 77,813
T C W Lev Income Trust LP 8.410 11/30/06 452,859 452,859 298,524
Tenaska Alabama Partners LP 7.000 06/30/21 180,789 180,789 176,199
------------ ------------
TOTAL BONDS 6,122,505 5,983,257
------------ ------------
WARRANTS - 0.00%
Winsloew Furniture, Inc. (B) 700 $ 7 $ --
------------ ------------
TOTAL WARRANTS 7 --
------------ ------------
TOTAL RULE 144A SECURITIES 6,122,512 5,983,257
------------ ------------
TOTAL CORPORATE RESTRICTED SECURITIES $ 96,023,050 $ 97,532,125
------------ ------------
---------------------------------------------------------------------------------------------------------------------------------
23
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Interest Due Principal
CORPORATE PUBLIC SECURITIES - 22.96%: (A) Rate Date Amount Cost Market Value
---------------------------------------------------------------------------------------------------------------------------------
BONDS - 21.91%
Abitibi-Consolidated, Inc. 7.750% 06/15/11 $ 500,000 $ 514,778 $ 458,750
Allied Waste NA 7.875 04/15/13 500,000 513,581 500,000
Appleton Papers, Inc. 8.125 06/15/11 250,000 250,000 252,500
Argo Tech Corporation 9.250 06/01/11 425,000 425,000 437,750
Arrow Electronics, Inc. 7.000 01/15/07 500,000 507,160 503,020
BCP Crystal US Holdings Corporation 9.625 06/15/14 355,000 355,000 385,175
Blockbuster, Inc. 10.000 09/01/12 275,000 276,398 256,438
C S C Holdings, Inc. 7.625 04/01/11 250,000 250,871 250,000
Cablevision Systems Corporation (C) 9.620 04/01/09 450,000 450,000 477,000
Cadmus Communications Corporation 8.375 06/15/14 350,000 350,000 346,500
Chemed Corporation 8.750 02/24/11 600,000 600,000 630,000
Chesapeake Energy Corporation 7.000 08/15/14 650,000 675,304 628,875
Cincinnati Bell, Inc. 8.375 01/15/14 550,000 503,750 541,750
Clayton Williams Energy, Inc. 7.750 08/01/13 375,000 375,000 345,000
Del Monte Corporation 8.625 12/15/12 200,000 200,000 206,000
Dollar Financial Group 9.750 11/15/11 325,000 325,000 349,375
Dominos Pizza, Inc. 8.250 07/01/11 109,000 108,213 113,088
Electronic Data Systems Corporation 7.125 10/15/09 500,000 504,526 516,375
Esterline Technologies 7.750 06/15/13 175,000 175,000 177,188
Ford Motor Credit Co. 5.800 01/12/09 500,000 499,070 456,784
Ford Motor Credit Co. 7.375 10/28/09 750,000 748,125 693,404
Gencorp, Inc. 9.500 08/15/13 130,000 130,000 138,125
General Motors Acceptance Corporation 5.850 01/14/09 750,000 742,759 718,953
Goodyear Tire & Rubber Co. 7.857 08/15/11 350,000 327,250 324,625
GulfMark Offshore, Inc. 7.750 07/15/14 300,000 298,725 292,500
Houghton Mifflin Co. 9.875 02/01/13 500,000 526,686 518,750
Huntsman LLC 11.625 10/15/10 163,000 161,068 180,115
Imax Corporation 9.625 12/01/10 500,000 515,710 512,500
Inergy LP 8.250 03/01/16 75,000 75,000 75,750
Intelsat Subsidiary Holding Company Ltd. (C) 9.614 01/15/12 225,000 224,998 227,250
Interline Brands, Inc. 8.125 06/15/14 150,000 148,925 149,625
Intrawest Corporation 7.500 10/15/13 250,000 250,000 248,750
K 2, Inc. 7.375 07/01/14 150,000 150,554 144,000
Koppers Inc. 9.875 10/15/13 170,000 170,000 182,325
Lazard LLC 7.125 05/15/15 375,000 374,704 378,994
Leucadia National Corporation 7.000 08/15/13 350,000 356,288 339,500
Liberty Media Corporation 5.700 05/15/13 500,000 475,805 454,066
Lodgenet Entertainment Corporation 9.500 06/15/13 375,000 375,000 399,375
Lyondell Chemical Co. 9.500 12/15/08 265,000 258,511 272,288
M G M Mirage, Inc. 6.000 10/01/09 225,000 227,300 218,813
Mac-Gray Corporation 7.625 08/15/15 300,000 300,000 303,000
Magnachip Semiconductor 8.000 12/15/14 50,000 50,000 41,500
Majestic Star Casino LLC 9.500 10/15/10 250,000 250,000 261,875
Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 98,000
Markwest Energy Operating Co. 6.875 11/01/14 250,000 250,000 230,000
Mediacom LLC 9.500 01/15/13 750,000 745,723 746,250
Metaldyne Corporation 10.000 11/01/13 340,000 341,977 328,950
Moog, Inc. 6.250 01/15/15 60,000 60,000 56,400
N R G Energy, Inc. 7.375 02/01/16 100,000 100,000 97,500
Nalco Co. 7.750 11/15/11 250,000 250,000 249,375
---------------------------------------------------------------------------------------------------------------------------------
24
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Interest Due Principal
CORPORATE PUBLIC SECURITIES (A) (CONTINUED) Rate Date Amount Cost Market Value
---------------------------------------------------------------------------------------------------------------------------------
BONDS, CONTINUED
National Wine & Spirits, Inc. 10.125 01/15/09 $ 25,000 $ 25,283 $ 25,000
Nextel Communications, Inc. 7.375 08/01/15 400,000 409,377 407,151
North American Energy Partners 8.750 12/01/11 200,000 200,000 192,000
Nova Chemicals Corporation (C) 8.405 11/15/13 215,000 215,000 213,388
O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 500,000 492,980 503,125
Offshore Logistics, Inc. 6.125 06/15/13 350,000 350,000 322,875
P Q Corporation 7.750 02/15/13 685,000 677,350 643,900
Pacific Energy Partners 7.125 06/15/14 250,000 251,953 252,500
Pacific Energy Partners 6.250 09/15/15 100,000 99,544 97,000
Pinnacle Foods Group 8.250 12/01/13 225,000 225,000 221,063
Pliant Corporation 11.625 06/15/09 607,802 619,825 657,946
Primedia, Inc. 8.000 05/15/13 500,000 513,690 447,500
Quicksilver Resources, Inc. 7.125 04/01/16 225,000 225,000 210,938
Rent-A-Center, Inc. 7.500 05/01/10 250,000 250,000 248,750
Rent-Way, Inc. 11.875 06/15/10 450,000 466,571 462,931
Rock-Tenn Co. 8.200 08/15/11 500,000 503,539 500,000
Rogers Wireless, Inc. 7.250 12/15/12 90,000 90,000 90,675
Rogers Wireless, Inc. 7.500 03/15/15 560,000 600,328 565,600
Rogers Wireless, Inc. 8.000 12/15/12 90,000 90,000 92,025
Samsonite Corporation 8.875 06/01/11 500,000 523,249 518,750
Sheridan Acquisition Corporation 10.250 08/15/11 225,000 222,001 228,656
Sierra Pacific Resources 6.750 08/15/17 330,000 331,618 311,791
Tekni-Plex, Inc. 12.750 06/15/10 500,000 483,500 352,500
Telex Communications, Inc. 11.500 10/15/08 250,000 250,000 263,750
Tenet Healthcare Corporation 6.375 12/01/11 250,000 241,250 223,125
Tenet Healthcare Corporation 9.875 07/01/14 350,000 341,859 350,000
Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 34,650
Transmontaigne, Inc. 9.125 06/01/10 275,000 270,288 292,875
Triton P C S, Inc. 8.500 06/01/13 500,000 500,000 458,750
Tyco International Group SA 6.375 10/15/11 150,000 148,500 153,057
Unisys Corporation 8.000 10/15/12 90,000 90,000 83,700
United Components, Inc. 9.375 06/15/13 535,000 536,395 526,975
United Rentals, Inc. 7.750 11/15/13 325,000 325,000 308,750
Universal City Florida (C) 9.899 05/01/10 100,000 100,000 103,250
Universal City Florida 8.375 05/01/10 100,000 100,000 100,500
Utilicorp United, Inc. (C) 9.950 02/01/11 25,000 27,130 28,140
Vicorp Restaurants, Inc. 10.500 04/15/11 225,000 220,135 200,250
Vought Aircraft Industries 8.000 07/15/11 650,000 648,891 588,250
Warner Music Group 7.375 04/15/14 125,000 125,000 121,250
Wornick Co. 10.875 07/15/11 350,000 350,000 352,625
------------ ------------
TOTAL BONDS 29,019,015 28,470,087
------------ ------------
---------------------------------------------------------------------------------------------------------------------------------
25
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Shares or
Interest Due Principal
CORPORATE PUBLIC SECURITIES (A) (CONTINUED) Rate Date Amount Cost Market Value
---------------------------------------------------------------------------------------------------------------------------------
COMMON STOCK - 0.41%
Aventine Renewable Energy (B) 200 $ 8,600 $ 7,780
Basin Water, Inc. (B) 1,100 13,200 11,022
Distributed Energy Systems Corporation (B) 14,000 177,078 72,380
Dyncorp International, Inc. (B) 4,000 60,000 41,520
Gmarket, Inc. (B) 200 3,050 3,074
J Crew Group, Inc. (B) 2,100 42,000 57,645
Rent-Way, Inc. (B) 46,432 458,123 342,668
Theravance, Inc. (B) 3 23 69
------------ ------------
TOTAL COMMON STOCK 762,074 536,158
------------ ------------
CONVERTIBLE BONDS - 0.64%
Citadel Broadcasting Corporation 1.875% 02/15/11 $ 300,000 $ 232,875 $ 246,000
ICOS Corporation 2.000 07/01/23 375,000 298,125 306,563
Q L T, Inc. 3.000 09/15/23 305,000 277,410 275,263
------------ ------------
TOTAL CONVERTIBLE BONDS 808,410 827,826
------------ ------------
TOTAL CORPORATE PUBLIC SECURITIES $ 30,589,499 $ 29,834,071
------------ ------------
Interest Due Principal
Short-Term Securities: Rate/Yield Date Amount Cost Market Value
---------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER - 7.08%
Cadbury Schweppes Finance PLC 5.356% 07/03/06 $ 1,569,000 $ 1,568,534 $ 1,568,534
Centex Corporation 5.743 07/11/06 1,380,000 1,377,922 1,377,922
DaimlerChrysler NA Holding Corporation 5.406 07/06/06 1,222,000 1,221,084 1,221,084
Dow Jones & Company, Inc. 5.408 07/10/06 535,000 534,278 534,278
General Mills, Inc. 5.406 07/07/06 2,500,000 2,497,750 2,497,750
Textron Financial Corporation 5.356 07/05/06 2,000,000 1,998,810 1,998,810
------------ ------------
TOTAL SHORT-TERM SECURITIES $ 9,198,378 $ 9,198,378
------------ ------------
TOTAL INVESTMENTS 105.10% $135,810,927 $136,564,574
============ ------------
Other Assets 5.07 6,581,646
Liabilities (10.17) (13,213,287)
------ ------------
TOTAL NET ASSETS 100.00% $129,932,933
====== ============
(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 06/30/06.
(D) Defaulted security; interest not accrued.
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
---------------------------------------------------------------------------------------------------------------------------------
26
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Fair Value/ Fair Value/
Industry Classification: Market Value Market Value
------------------------------------------------------------ ------------------------------------------------------------
AEROSPACE - 2.35% BUILDINGS & REAL ESTATE - 1.57%
Argo Tech Corporation $ 437,750 Adorn, Inc. $ 1,402,171
Bombardier, Inc. 435,000 Texas Industries, Inc. 34,650
Consolidated Foundries Holdings 1,372,116 TruStile Doors, Inc. 597,045
Dyncorp International, Inc. 41,520 ------------
Esterline Technologies 177,188 2,033,866
Vought Aircraft Industries 588,250 ------------
------------ CHEMICAL, PLASTICS & RUBBER - 1.17%
3,051,824 Capital Specialty Plastics, Inc. 27,704
------------ Huntsman LLC 180,115
AUTOMOBILE - 8.06% Koppers, Inc. 182,325
Gencorp, Inc. 138,125 Lyondell Chemical Co. 272,288
Goodyear Tire & Rubber Co. 324,625 Nova Chemicals Corporation 213,388
Jason, Inc. 1,049,408 P Q Corporation 643,900
LIH Investors, L.P. 2,415,343 ------------
Metaldyne Corporation 328,950 1,519,720
Nyloncraft, Inc. 1,408,687 ------------
Ontario Drive & Gear Ltd. 1,294,782 CONSUMER PRODUCTS - 9.00%
Qualis Automotive LLC 1,664,908 Appleton Papers, Inc. 252,500
Transtar Holding Company 1,325,420 Augusta Sportswear Holding Co. 1,521,520
United Components, Inc. 526,975 Bravo Sports Holding Corporation 1,312,822
------------ Euro-Pro Corporation 180,857
10,477,223 Flutes, Inc. 872,358
------------ G F S I, Inc. 354,375
BEVERAGE, DRUG & FOOD - 4.22% K 2, Inc. 144,000
Beta Brands Ltd. -- K N B Holdings Corporation 1,314,511
Cains Foods, L.P. 161,905 Maverick Acquisition Company 601,151
Del Monte Corporation 206,000 Royal Baths Manufacturing Company 595,829
Dominos Pizza, Inc. 113,088 Savage Sports Holding, Inc. 1,107,983
Eagle Pack Pet Foods, Inc. 847,424 The Tranzonic Companies 1,890,806
National Wine & Spirits, Inc. 25,000 Walls Industries, Inc. 1,540,485
Nonni's Food Company 1,158,331 Winsloew Furniture, Inc. --
Pinnacle Foods Group 221,063 ------------
River Ranch Fresh Foods LLC 877,500 11,689,197
Specialty Foods Group, Inc. -- ------------
Vicorp Restaurants, Inc. 200,250 CONTAINERS, PACKAGING & GLASS - 4.41%
Vitality Foodservice, Inc. 1,324,981 NABCO, Inc. 646,979
Wornick Co. 352,625 P I I Holding Corporation 1,355,645
------------ Packaging Corporation of America 350,000
5,488,167 Paradigm Packaging, Inc. 1,240,252
------------ Pliant Corporation 657,946
BROADCASTING & Tekni-Plex, Inc. 352,500
ENTERTAINMENT - 2.36% Vitex Packaging, Inc. 1,124,163
C S C Holdings, Inc. 250,000 ------------
Cablevision Systems Corporation 477,000 5,727,485
Charter Communications Op LLC 497,500 ------------
Citadel Broadcasting Corporation 246,000 DISTRIBUTION - 2.95%
Liberty Media Corporation 454,066 Corvest Group, Inc. 511,359
Lodgenet Entertainment Corporation 399,375 Kele and Associates, Inc. 1,408,628
Mediacom LLC 746,250 O R S Nasco Holding, Inc. 1,308,306
------------ QualServ Corporation 601,485
3,070,191 Strategic Equipment & Supply Corporation, Inc. --
------------ ------------
3,829,778
------------
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27
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Fair Value/ Fair Value/
Industry Classification: (Cont.) Market Value Market Value
------------------------------------------------------------ ------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE, FINANCIAL SERVICES - 2.79%
MANUFACTURING - 8.52% BCP Crystal US Holding Corporation $ 385,175
AmerCable, Inc. $ 750,955 Dollar Financial Group 349,375
Arrow Tru-Line Holdings, Inc. 1,302,314 East River Ventures I, L.P. 2,027
Coining Corporation of America LLC 1,105,201 Ford Motor Credit Co. 1,150,188
Dexter Magnetics Technologies, Inc. 642,592 General Motors Acceptance Corporation 718,953
Douglas Dynamics LLC 308,750 Highgate Capital LLC 737
Evans Consoles, Inc. -- Lazard LLC 378,994
H M Holding Company 1,296,387 Leucadia National Corporation 339,500
Justrite Manufacturing Acquisition Co. 814,488 T C W Leveraged Income Trust, L.P. 298,524
Magnatech International, Inc. 1,010,980 Victory Ventures LLC 2
Radiac Abrasives, Inc. 1,302,572 ------------
Rock-Tenn Co. 500,000 3,623,475
Truck Bodies & Equipment International 1,883,272 ------------
Tyco International Group SA 153,057 HEALTHCARE, EDUCATION
------------ & CHILDCARE - 4.28%
11,070,568 A T I Acquisition Company 995,949
------------ American Hospice Management Holding LLC 1,404,007
DIVERSIFIED/CONGLOMERATE, F H S Holdings LLC 1,391,961
SERVICE - 7.58% ICOS Corporation 306,563
Abitibi-Consolidated, Inc. 458,750 Interactive Health LLC 397,485
Allied Waste NA 500,000 MedAssist, Inc. 212,158
CapeSuccess LLC 2,512 Q L T, Inc. 275,263
Chemed Corporation 630,000 Tenet Healthcare Corporation 573,125
Diversco, Inc./DHI Holdings, Inc. 1,252,858 Theravance, Inc. 69
Dwyer Group, Inc. 1,487,856 ------------
Fowler Holding, Inc. 1,298,107 5,556,580
Gmarket, Inc. 3,074 ------------
Interline Brands, Inc. 149,625 HOME & OFFICE FURNISHINGS,
Keystone North America, Inc. 172,376 HOUSEWARES, AND DURABLE
Mac-Gray Corporation 303,000 CONSUMER PRODUCTS - 4.08%
Moss, Inc. 970,251 Connor Sport Court International, Inc. 954,507
Service Corporation International 467,500 Home Decor Holding Company 1,233,924
U S M Holdings Corporation 1,951,920 Monessen Holding Corporation 1,315,808
Universal City Florida 203,750 Samsonite Corporation 518,750
------------ U-Line Corporation 1,284,028
9,851,579 ------------
------------ 5,307,017
ELECTRONICS - 3.00% ------------
A E S Corporation 642,875 LEISURE, AMUSEMENT,
Arrow Electronics, Inc. 503,020 ENTERTAINMENT - 2.70%
Directed Electronics, Inc. 1,797,881 IMAX Corporation 512,500
Distributed Energy Systems 72,380 Intrawest Corporation 248,750
Electronic Data Systems Corporation 516,375 Keepsake Quilting, Inc. 656,287
Siebe PLC 358,552 M G M Mirage, Inc. 218,813
------------ Majestic Star Casino LLC 261,875
3,891,083 O E D Corp/Diamond Jo Company Guarantee 503,125
------------ Overton's Holding Company 988,749
FARMING & AGRICULTURE - 0.00% Warner Music Group 121,250
Protein Genetics, Inc. -- ------------
------------ 3,511,349
------------
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28
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Fair Value/ Fair Value/
Industry Classification: (Cont.) Market Value Market Value
------------------------------------------------------------ ------------------------------------------------------------
MACHINERY - 6.78% PHARMACEUTICALS - 1.05%
Basin Water, Inc. $ 11,022 CorePharma LLC $ 1,313,435
C & M Conveyor, Inc. 1,498,194 Enzymatic Therapy, Inc. 56,250
Integration Technology Systems, Inc. 711,753 ------------
Manitowoc Company, Inc. 98,000 1,369,685
Maxon Corporation 1,854,814 ------------
Safety Speed Cut Manufacturing Company, Inc. 1,253,524 PUBLISHING/PRINTING - 1.19%
Stewart & Stevenson LLC 100,375 Cadmus Communications Corporation 346,500
Synventive Equity LLC 17,714 Houghton Mifflin Co. 518,750
Tronair, Inc. 1,851,240 Primedia, Inc. 447,500
Tubular Textile Machinery 1,417,550 Sheridan Acquisition Corporation 228,656
------------ ------------
8,814,186 1,541,406
------------ ------------
MEDICAL DEVICES/BIOTECH - 3.46% RETAIL STORES - 4.67%
Beacon Medical Products, Inc. 1,508,809 Blockbuster, Inc. 256,438
Coeur, Inc. 723,478 J Crew Group, Inc. 57,645
E X C Acquisition Corporation 78,808 Neff Motivation, Inc. 687,609
MicroGroup, Inc. 1,325,770 Neiman Marcus Group, Inc. 637,500
OakRiver Technology, Inc. 864,993 Olympic Sales, Inc. 2,488,047
------------ Rent-A-Center, Inc. 248,750
4,501,858 Rent-Way, Inc. 805,599
------------ TVI, Inc. 579,375
MINING, STEEL, IRON & United Rentals, Inc. 308,750
NON PRECIOUS METALS - 0.04% ------------
U S S Holdings, Inc. 54,525 6,069,713
------------ ------------
OIL AND GAS - 4.80% TECHNOLOGY - 0.16%
Aventine Renewable Energy 7,780 Magnachip Semiconductor 41,500
Basic Energy Services 116,250 Sungard Data Systems 77,813
C & J Spec-Rent Services, Inc. 2,176,402 Unisys Corporation 83,700
Chesapeake Energy Corporation 628,875 ------------
Clayton Williams Energy, Inc. 345,000 203,013
Fuel Systems Holding Corporation 1,303,302 ------------
GulfMark Offshore, Inc. 292,500 TELECOMMUNICATIONS - 3.13%
North American Energy Partners 192,000 Cincinnati Bell, Inc. 541,750
Offshore Logistics, Inc. 322,875 Intelsat Subsidiary Holding Company Ltd. 227,250
Pacific Energy Partners 349,500 ITC^DeltaCom, Inc. 1,422,988
Quicksilver Resources, Inc. 210,938 Nextel Communications, Inc. 407,151
Transmontaigne, Inc. 292,875 Rogers Wireless, Inc. 748,300
------------ Telex Communications, Inc. 263,750
6,238,297 Triton P C S, Inc. 458,750
------------ ------------
4,069,939
------------
TRANSPORTATION - 1.05%
Tangent Rail Corporation 1,363,111
------------
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29
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 2006
(Unaudited)
Fair Value/
Industry Classification: (Cont.) Market Value
------------------------------------------------------------
UTILITIES - 1.53%
Atlas Pipeline Partners $ 99,625
Dynegy Holdings, Inc. 162,525
Edison Mission Energy 230,888
Inergy LP 75,750
Markwest Energy Operating Co. 230,000
Moog, Inc. 56,400
N R G Energy, Inc. 97,500
Nalco Co. 249,375
Petrohawk Energy Corporation 271,521
Sierra Pacific Resources 311,791
Tenaska Alabama Partners L.P. 176,199
Utilicorp United, Inc. 28,140
------------
1,989,714
------------
WASTE MANAGEMENT /
POLLUTION - 1.12%
Terra Renewal Services, Inc. 1,451,647
------------
TOTAL CORPORATE RESTRICTED AND
PUBLIC SECURITIES - 98.02% $127,366,196
============
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
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30
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, absent an exemption from registration,
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").
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 thereafter used 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 each quarter to value 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, the Trust's investment
adviser. In making valuations, the Trustees will consider Babson Capital's
reports analyzing each portfolio security in accordance with the relevant
factors referred to above. Babson Capital has agreed to provide such reports
to the Trust at least quarterly.
The consolidated financial statements include private placement restricted
securities valued at $91,548,868 (70.46% of net assets) as of June 30, 2006
whose values have been determined by the Trustees in the absence of readily
ascertainable
--------------------------------------------------------------------------------
31
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(UNAUDITED)
market values. Due to the inherent uncertainty of valuation, those 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 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, 2006, 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
discount on bonds held. 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 longterm 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, 2006, the MMPI Subsidiary Trust has accrued tax expense on net realized
gains of $177,888 and reduced accrued deferred tax expenses on net unrealized
gains by $59,081.
E. DISTRIBUTIONS TO SHAREHOLDERS:
The Trust records distributions to shareholders from net investment income
and net realized gains, if any, on the ex-dividend 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.
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 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.
--------------------------------------------------------------------------------
32
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
C. BASIS FOR BOARD RENEWAL OF CONTRACT:
At a meeting of the Board of Trustees of the Trust held on April 21, 2006,
the Board of 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, dated October 7, 1988.
Prior to the meeting, the Board of Trustees requested and received from Ropes
& Gray LLP ("Ropes & Gray"), counsel to the Trust, a memorandum describing
the Board of Trustees' legal responsibilities in connection with its review
and reapproval of the Contract. The Board of Trustees also requested and
received from Babson Capital extensive written and oral information
regarding: 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; 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
as well as certain possible conflicts.
Among other things, the Trustees discussed and considered with management i)
the aforementioned guidance provided by Ropes & Gray 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 reasons are summarized below.
NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED BY BABSON CAPITAL
In evaluating the scope and quality of the services provided by Babson
Capital, 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; (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 Trust's ability to co-invest in negotiated
private placements with MassMutual; 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 Board of
Trustees concluded that, overall, they are satisfied with the nature, extent
and quality of services provided, and expected to be provided in the future,
under the renewed Contract.
INVESTMENT PERFORMANCE
The Board also examined the Trust's short-term, intermediate-term, and
long-term performance as compared against appropriate 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 performance 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 and due to
the fact that the business development companies often reported 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
re-approval 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 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 ("Corporate Investors"), which also is advised by Babson Capital.
Under the terms of a new investment services contract, effective October 1,
2005, 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, with no performance adjustment. The
new Corporate Investors' contract provides that for its first eighteen
months, the investment advisory fee cannot exceed the amount that Corporate
Investors would have paid under its prior contract. Under the prior contract
Corporate Investors paid Babson Capital a quarterly advisory fee equal to
5/16 of 1% of Corporate Investors' NAV (an amount equivalent to 1.25% on an
annual basis) subject to a quarterly performance adjustment of 1/16 of 1%
(approximately equal to .25% on an annual basis). In considering the fee rate
provided in the Contract, the Trustees noted the Trust's different investment
objectives between the Trust and Corporate Investors and the advisory fee
charged by Tower Square Capital Partners, L.P and Tower Square Capital
Partners II, L.P., both private mez-
--------------------------------------------------------------------------------
33
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
zanine funds managed by Babson Capital. At the request of the Trustees,
Babson Capital also provided information concerning the profitability of
Babson Capital's advisory relationship with the Trust. The Board 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 $1,000). 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 scale down 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
$100 million. The Trustees concluded that the absence of breakpoints in the
fee schedule under the Contract was acceptable given the Trust's size and
circumstances.
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, 2006, 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 (formerly Fleet National Bank) (the "Agent Bank") dated May 29, 1997,
which had a stated maturity date of May 31, 2004. The maturity date of this
loan was extended to May 31, 2007, and its terms amended and restated
pursuant to the First Amended and Restated Revolving Credit Agreement (the
"Revolver") dated May 27, 2004, 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
LIBOR 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 LIBOR Rate Loans equals .60% plus the London Inter Bank Offered Rate
("LIBOR") rate, divided by 1 minus LIBOR Reserve Rate. The Trust also incurs
expense on the undrawn portion of the total Revolver at a rate of .25% per
annum.
As of June 30, 2006, there were no outstanding loans against the Revolver.
For the six months ended June 30, 2006, the Trust incurred expense on the
Revolver of $18,596 related to the undrawn portion.
5. PURCHASES AND SALES OF INVESTMENTS
FOR THE SIX MONTHS
ENDED 6/30/2006
COST OF PROCEEDS FROM
INVESTMENTS SALES OR
ACQUIRED MATURITIES
------------ ------------
Corporate restricted securities $ 20,860,404 $ 12,085,858
Corporate public securities 1,991,276 9,298,255
The aggregate cost of investments is substantially the same for financial
reporting and federal income tax purposes as of June 30, 2006. The net
unrealized appreciation of investments for financial reporting and federal
tax purposes as of June 30, 2006 is $753,647 and consists of $12,313,037
appreciation and $11,559,390 depreciation.
Net unrealized appreciation of investments on the Statement of Assets and
Liabilities reflects the balance net of a deferred tax accrual of $116,333 on
net unrealized gains in the MMPI Subsidiary Trust.
--------------------------------------------------------------------------------
34
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(CONTINUED)
6. QUARTERLY RESULTS OF INVESTMENT OPERATIONS
MARCH 31, 2006
AMOUNT PER SHARE
----------- -----------
Investment income $ 3,229,245
Net investment income $ 2,668,897 $ 0.27
Net realized and unrealized gain $ 3,988,640 $ 0.41
on investments (net of taxes)
JUNE 30, 2006
AMOUNT PER SHARE
----------- -----------
Investment income $ 3,094,537
Net investment income $ 2,530,332 $ 0.26
Net realized and unrealized gain $ 3,610,163 $ 0.37
on investments (net of taxes)
7. AGGREGATE REMUNERATION PAID TO OFFICERS, TRUSTEES AND THEIR AFFILIATED
PERSONS
For the six months ended June 30, 2006, the Trust paid its Trustees aggregate
remuneration of $57,375. During the period 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 currently classifies Messrs.
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 Investment Advisory and Administrative Services Contract, the
Trust does not compensate its officers who are employees of Babson Capital or
MassMutual.
Mr. Crandall, one of the Trust's Trustees was 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, 2006,
other than amounts payable to Babson Capital pursuant to the Contract. For
the six months ended June 30, 2006, 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 $ 7,078
Preparation of Certain of the
Trust's Shareholder Communications 208
Preparation of the Trust's
Annual Proxy Statements 241
-------
$ 7,527
=======
8. RESULTS OF SHAREHOLDER MEETING
The Annual Meeting of Shareholders was held on Friday, April 21, 2006. The
Shareholders voted to elect Roger W. Crandall and Martin T. Hart as trustees,
each for a three-year term. The Trust's other trustees (Donald E. Benson,
Michael H. Brown, Donald Glickman, Robert E. Joyal, Jack A. Laughery and
Corine T. Norgaard) continued to serve their respective terms following the
April 21, 2006 Annual Shareholders Meeting. The results of the Shareholders'
votes are set forth below.
TRUSTEE
ROGER W. MARTIN T.
CRANDALL HART
--------- ---------
Shares for 8,497,142 8,507,659
Withheld 163,267 152,750
Total 8,660,409 8,660,409
% of Shares Voted for 98.11% 98.24%
9. SUBSEQUENT EVENT
At the Board of Trustees' July 18, 2006 quarterly meeting, the Board voted to
expand the Board from eight to nine Trustees and appointed William J. Barrett
as a Trustee for a three-year term of office.
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35
THIS PAGE INTENTIONALLY LEFT BLANK.
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
Martin T. Hart* Jill A. Fricchione Vice President
Robert E. Joyal Michael P. Hermsen Vice President
Jack A. Laughery Mary Wilson Kibbe Vice President
Corine T. Norgaard* Michael L. Klofas Vice President
Richard E. Spencer, II Vice President
Ronald S. Talaia Treasurer
John T. Davitt, Jr. Comptroller
Melissa M. LaGrant Chief Compliance
Officer
*MEMBER OF THE AUDIT COMMITTEE
--------------------------------------------------------------------------------
DIVIDEND REINVESTMENT AND SHARE 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.
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 newlyissued
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.
[LOGO] MASSMUTUAL
PARTICIPATION INVESTORS
DB1040 806
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
Not applicable for this filing.
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) CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE ACT.
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 5, 2006
----------------------------------
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 5, 2006
----------------------------------
By: /s/ James M. Roy
----------------------------------
James M. Roy, Vice President, and
Chief Financial Officer
----------------------------------
Date: September 5, 2006
----------------------------------