MassMutual
Participation Investors
Report for the
Three Months Ended March 31, 2009
[LOGO]
ADVISER
Babson Capital Management LLC
1500 Main Street, P.O. 15189
Springfield, Massachusetts 01115-5189
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
Boston, Massachusetts 02110
COUNSEL TO THE TRUST
Ropes & Gray LLP
Boston, Massachusetts 02110
CUSTODIAN
Citibank, N.A.
New York, New York 10043
TRANSFER AGENT & REGISTRAR
Shareholder Financial Services, Inc.
P.O. Box 173673
Denver, Colorado 80217-3673
1-800-647-7374
INTERNET WEBSITE
www.babsoncapital.com/mpv
MassMutual Participation Investors
c/o Babson Capital Management LLC
[LOGO] 1500 Main Street, Suite 2200
Springfield, Massachusetts 01115
(413) 226-1516
--------------------------------------------------------------------------------
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 or Closed-End Fund
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 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 common stock, 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. Below-investment
grade or high yield securities have predominantly speculative characteristics
with respect to the capacity of the issuer to pay interest and repay principal.
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 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
MassMutual Participation Investors
TO OUR SHAREHOLDERS
April 30, 2009
We are pleased to present the March 31, 2009 Quarterly Report of MassMutual
Participation Investors (the "Trust"). At the Trust's Quarterly Board of
Trustees Meeting, which was held on January 23, 2009, the Trustees announced
that Roger W. Crandall had stepped down as Trustee and Chairman of the Board of
Trustees as a result of his new position as President and Chief Operating
Officer of Massachusetts Mutual Life Insurance Company ("MassMutual").
Subsequently, Clifford M. Noreen, former President of the Trust, was appointed
as a Trustee and elected to succeed Mr. Crandall as Chairman of the Board of
Trustees. Mr. Noreen is considered an "Interested Person" of the Trust as
defined by the Investment Company Act of 1940. Mr. Noreen currently serves as
President of Babson Capital Management LLC ("Babson"), the Trust's investment
advisor.
The Board of Trustees elected me to succeed Mr. Noreen as President of the Trust
at their January 23, 2009 meeting. I was previously a Vice President of the
Trust, and am currently the co-head of the Mezzanine & Private Equity Group at
Babson, where I jointly oversee all of the group's activities. I have been with
Babson and its predecessor organization since 1988. I look forward to serving as
President of the Trust.
The Board of Trustees declared a quarterly dividend of 25 cents per share,
payable on May 18, 2009 to shareholders of record on May 4, 2009. The Trust had
paid a 25 cent per share dividend for the preceding quarter.
U.S. equity markets, as approximated by the Russell 2000 Index, decreased 14.95%
for the quarter. U.S. fixed income markets, as approximated by the Barclays
Capital U.S. Corporate High Yield Index increased 5.98% for the quarter.
The ongoing turmoil in the financial markets continues to have an adverse effect
on middle market buyout activity. Leveraged loan volume in the first quarter of
2009 was as low as it has been in recorded history. With senior lending capacity
so limited, our deal flow has been sluggish. During the quarter, we closed on
one new investment and have a few transactions that are nearing completion.
Beyond that, however, our transaction backlog is very low and we do not expect a
significant pickup in investment activity for the foreseeable future. On the
positive side, the few transactions we have completed or are about to complete
have been more conservatively structured and attractively priced than has been
the market norm for the past few years. We continue to spend considerable time
working with our portfolio companies as the current economic conditions and the
difficult banking environment negatively impact the ability of some of our
borrowers to pay their obligations.
During the quarter, the Trust made a private placement investment in one new
issuer totaling approximately $1.3 million. The new issuer was Sencore Holding
Company. (A brief description of this investment can be found in the
Consolidated Schedule of Investments.)
During the quarter ended March 31, 2009, net assets of the Trust decreased to
$105,445,089 or $10.62 per share compared to $110,175,930 or $11.10 per share on
December 31, 2008, which translates into a -4.32% total return for the quarter,
based on the change in the Trust's net assets assuming the reinvestment of all
dividends. Long term, the Trust returned -10.15%, 3.55%, 11.52% and 10.66% for
the 1-, 3-, 5- and 10-year time periods, respectively, based on the change in
the Trust's net assets assuming the reinvestment of all dividends. The Trust
earned 27 cents per share of net investment income for the quarter, compared to
26 cents per share in the previous quarter.
During the quarter ended March 31, 2009, the market price of the Trust decreased
6.08% from $9.05 per share to $8.50 per share. The Trust's market price of $8.50
per share equates to a 19.96% discount to the March 31, 2009 net asset value per
share. The Trust's average quarter-end premium for the 3, 5 and 10-year periods
was 11.6%, 10.9% and 6.5%, respectively.
Thank you for your continued interest in and support of MassMutual Participation
Investors
Sincerely,
/s/ Michael L. Klofas
Michael L. Klofas
President
--------------------------------------------------------------------------------
PORTFOLIO COMPOSITION AS OF 3/31/09 *
[PIE CHART APPEARS HERE]
PRIVATE / RESTRICTED PUBLIC EQUITY
EQUITY 0.3%
14.8%
PRIVATE / 144A HIGH
CASH & SHORT TERM YIELD DEBT
INVESTMENTS 68.0%
2.5%
PUBLIC HIGH YIELD
DEBT
14.4%
* Based on market value of total investments (including cash)
Cautionary Notice: Certain statements contained in this report may be "forward
looking" statements. Investors are cautioned not to place undue reliance on
forward-looking statements, which speak only as of the date on which they are
made and which reflect management's current estimates, projections, expectations
or beliefs, and which are subject to risks and uncertainties that may cause
actual results to differ materially. These statements are subject to change at
any time based upon economic, market or other conditions and may not be relied
upon as investment advice or an indication of the Trust's trading intent.
References to specific securities are not recommendations of such securities,
and may not be representative of the Trust's current or future investments. We
undertake no obligation to publicly update forward looking statements, whether
as a result of new information, future events, or otherwise.
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1
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2009
(UNAUDITED)
ASSETS:
Investments
(See Consolidated Schedule of Investments)
Corporate restricted securities at fair value
(Cost - $114,153,996) $ 95,043,121
Corporate public securities at market value
(Cost - $21,520,908) 16,827,587
Short-term securities at amortized cost 1,980,000
------------
113,850,708
Cash 875,994
Interest receivable 3,154,143
Receivable for investments sold 58,947
Prepaid taxes 178,866
Other assets 18,874
------------
TOTAL ASSETS 118,137,532
------------
LIABILITIES:
Investment advisory fee payable 237,251
Note payable 12,000,000
Interest payable 262,933
Accrued expenses 126,273
Other payables 65,986
------------
TOTAL LIABILITIES 12,692,443
------------
TOTAL NET ASSETS $105,445,089
============
NET ASSETS:
Common shares, par value $.01 per share; an unlimited
number authorized $ 99,272
Additional paid-in capital 92,554,767
Retained net realized gain on investments, prior years 32,871,737
Undistributed net investment income 4,437,423
Accumulated net realized loss on investments (713,914)
Net unrealized depreciation of investments (23,804,196)
------------
TOTAL NET ASSETS $105,445,089
============
COMMON SHARES ISSUED AND OUTSTANDING 9,927,243
============
NET ASSET VALUE PER SHARE $ 10.62
============
See Notes to Consolidated Financial Statements
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2
CONSOLIDATED STATEMENT OF OPERATIONS MassMutual Participation Investors
FOR THE THREE MONTHS ENDED MARCH 31, 2009
(UNAUDITED)
INVESTMENT INCOME:
Interest $ 3,195,609
Dividends 626
Other 100
------------
TOTAL INVESTMENT INCOME 3,196,335
------------
EXPENSES:
Investment advisory fee 237,251
Interest 174,000
Trustees' fees and expenses 41,438
Professional fees 39,900
Reports to shareholders 27,000
Custodian fees 7,800
Transfer agent/registrar's expenses 6,000
Other 7,200
------------
TOTAL EXPENSES 540,589
------------
INVESTMENT INCOME - NET 2,655,746
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments 31,228
Net change in unrealized depreciation of investments (7,417,815)
------------
NET LOSS ON INVESTMENTS (7,386,587)
------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (4,730,841)
============
See Notes to Consolidated Financial Statements
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3
CONSOLIDATED STATEMENT OF CASH FLOWS
FOR THE THREE MONTHS ENDED MARCH 31, 2009
(UNAUDITED)
NET DECREASE IN CASH:
Cash flows from operating activities:
Purchases/Proceeds/Maturities from short-term portfolio
securities, net $ 3,747,438
Purchases of portfolio securities (5,828,122)
Proceeds from disposition of portfolio securities 1,972,442
Interest, dividends and other received 1,584,683
Operating expenses paid (360,653)
Income taxes paid (201,866)
------------
NET CASH PROVIDED BY OPERATING ACTIVITIES 913,922
------------
Cash flows from financing activities:
Cash dividends paid from net investment income (2,481,811)
------------
NET CASH USED FOR FINANCING ACTIVITIES (2,481,811)
------------
NET DECREASE IN CASH (1,567,889)
Cash - beginning of year 2,443,883
------------
CASH - END OF PERIOD $ 875,994
============
RECONCILIATION OF NET DECREASE IN NET ASSETS TO NET
CASH PROVIDED BY OPERATING ACTIVITIES:
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (4,730,841)
------------
Decrease in investments 7,530,927
Increase in interest and dividends receivable (1,613,415)
Decrease in receivable for investments sold 49,704
Increase in prepaid taxes (28,866)
Increase in other assets (18,874)
Decrease in payable for investments purchased (412,776)
Decrease in investment advisory fee payable (10,645)
Increase in interest payable 174,000
Decrease in accrued expenses (20,141)
Decrease in accrued taxes payable (23,000)
Increase in other payables 17,849
------------
TOTAL ADJUSTMENTS TO NET ASSETS FROM OPERATIONS 5,644,763
------------
NET CASH PROVIDED BY OPERATING ACTIVITIES $ 913,922
============
See Notes to Consolidated Financial Statements
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4
CONSOLIDATED STATEMENTS MassMutual Participation Investors
OF CHANGES IN NET ASSETS
For the three
months ended For the
03/31/09 year ended
(Unaudited) 12/31/08
------------- -------------
DECREASE IN NET ASSETS:
Operations:
Investment income - net $ 2,655,746 $ 10,671,937
Net realized gain (loss) on investments 31,228 (1,165,028)
Net change in unrealized depreciation of investments (7,417,815) (16,888,301)
------------- -------------
Net decrease in net assets resulting from operations (4,730,841) (7,381,392)
Increase from common shares issued on reinvestment of dividends
Common shares issued (2008 - 65,632) -- 847,131
Dividends to shareholders from:
Net investment income (2008 - $1.00 per share) -- (9,915,143)
------------- -------------
TOTAL DECREASE IN NET ASSETS (4,730,841) (16,449,404)
NET ASSETS, BEGINNING OF YEAR 110,175,930 126,625,334
------------- -------------
NET ASSETS, END OF PERIOD/YEAR (including undistributed net investment
income of $4,437,423 and $1,781,677, respectively) $ 105,445,089 $ 110,175,930
============= =============
See Notes to Consolidated Financial Statements
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5
CONSOLIDATED SELECTED FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF BENEFICIAL INTEREST OUTSTANDING:
For the
three months
ended For the years ended December 31,
03/31/2009 -----------------------------------------------------------------
(Unaudited) 2008 2007 2006 2005 2004
--------- --------- --------- --------- --------- ---------
Net asset value:
Beginning of year $ 11.10 $ 12.84 $ 12.90 $ 12.21 $ 11.13 $ 9.84
--------- --------- --------- --------- --------- ---------
Net investment income(a) 0.27 1.08 1.23 1.10 0.99 1.00
Net realized and unrealized
gain (loss) on investments (0.75) (1.82) (0.05) 0.77 1.09(b) 1.36
--------- --------- --------- --------- --------- ---------
Total from investment operations (0.48) (0.74) 1.18 1.87 2.08 2.36
--------- --------- --------- --------- --------- ---------
Dividends from net investment
income to common shareholders -- (1.00) (1.23) (1.18) (1.01) (1.10)
Dividends from net realized gain
on investments to common shareholders -- -- (0.02) (0.01) -- --
Increase from dividends reinvested -- 0.00(c) 0.01 0.01 0.01 0.03
--------- --------- --------- --------- --------- ---------
Total dividends -- (1.00) (1.24) (1.18) (1.00) (1.07)
--------- --------- --------- --------- --------- ---------
Net asset value: End of period/year $ 10.62 $ 11.10 $ 12.84 $ 12.90 $ 12.21 $ 11.13
--------- --------- --------- --------- --------- ---------
Per share market value:
End of period/year $ 8.50 $ 9.05 $ 13.18 $ 14.70 $ 14.05 $ 13.31
========= ========= ========= ========= ========= =========
Total investment return
Net asset value(d) (4.32%) (6.01%) 9.95% 18.64% 22.51% 25.14%
Market value (6.08%) (25.36%) (1.30%) 16.81% 17.25% 25.77%
Net assets (in millions):
End of period/year $ 105.45 $ 110.18 $ 126.63 $ 126.52 $ 119.02 $ 107.61
Ratio of operating expenses
to average net assets 1.36%(e) 1.33% 1.36% 1.17% 1.45% 1.63%
Ratio of interest expense
to average net assets 0.65%(e) 0.58% 0.56% 0.57% 0.80% 0.89%
Ratio of income tax expense
to average net assets(f) 0.00%(e) 0.00% 0.48% 2.68% 2.83% 0.16%
Ratio of total expenses before custodian fee
reduction to average net assets(f) 2.01%(e) 1.91% 2.40% 4.46% 5.12% 2.68%
Ratio of net expenses after custodian fee
reduction to average net assets(f) 1.95%(e) 1.91% 2.40% 4.42% 5.08% 2.68%
Ratio of net investment income
to average net assets 9.88%(e) 8.74% 9.32% 8.43% 8.45% 9.60%
Portfolio turnover 2% 32% 33% 34% 32% 51%
(a) Calculated using average shares.
(b) Amount includes $0.10 per share in litigation proceeds.
(c) Rounds to less than $0.01 per share.
(d) Net asset value return represents portfolio returns based on change in the Trust's net asset value assuming the reinvestment of
all dividends and distributions which differs from the total investment return based on the Trust's market value due to the
difference between the Trust's net asset value and the market value of its shares outstanding; past performance is no guarantee
of future results.
(e) Annualized.
(f) As additional information, this ratio is included to reflect the taxes paid on retained long-term gains. These taxes paid are
netted against realized capital gains in the Statement of Operations. The taxes paid are treated as deemed distributions and a
credit for the taxes paid is passed on to shareholders.
Senior borrowings:
Total principal amount (in millions) $ 12 $ 12 $ 12 $ 12 $ 12 $ 22.5
Asset coverage per $1,000
of indebtedness $ 9,787 $ 10,181 $ 11,552 $ 11,543 $ 10,918 $ 5,783
See Notes to Consolidated Financial Statements
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6
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES - 90.13%:(A) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
PRIVATE PLACEMENT INVESTMENTS - 86.98%
A H C HOLDING COMPANY, INC.
A designer and manufacturer of boilers and water heaters for the commercial sector.
15% Senior Subordinated Note due 2015 $ 1,282,746 11/21/07 $ 1,255,239 $ 1,191,908
Limited Partnership Interest (B) 12.26% int. 11/21/07 119,009 102,266
------------ ------------
1,374,248 1,294,174
------------ ------------
A S A P INDUSTRIES LLC
A designer and manufacturer of components used on oil and natural gas wells.
12.5% Senior Subordinated Note due 2015 $ 600,667 12/31/08 521,754 594,268
Limited Liability Company Unit Class A-2 (B) 677 uts. 12/31/08 74,333 70,616
Limited Liability Company Unit Class A-3 (B) 608 uts. 12/31/08 66,899 6
------------ ------------
662,986 664,890
------------ ------------
A T I ACQUISITION COMPANY
A for-profit post-secondary school serving students in Texas, Florida and Arizona.
12% Senior Subordinated Note due 2012 $ 1,125,000 04/08/04 1,125,000 1,125,000
Warrant, exercisable until 2012, to purchase
preferred stock at $.01 per share (B) 7 shs. 11/16/07 -- 11,189
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 1,230 shs. 04/08/04 -- 747,895
------------ ------------
1,125,000 1,884,084
------------ ------------
A W X HOLDINGS CORPORATION
A provider of aerial equipment rental, sales and repair services to non-residential construction and maintenance contractors
operating in the State of Indiana.
10.5% Senior Secured Term Note due 2014 $ 420,000 05/15/08 411,600 387,433
13% Senior Subordinated Note due 2015 $ 420,000 05/15/08 378,800 377,045
Common Stock (B) 60,000 shs. 05/15/08 60,000 48,000
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 21,099 shs. 05/15/08 35,654 211
------------ ------------
886,054 812,689
------------ ------------
ADVANCED TECHNOLOGIES HOLDINGS
A provider of factory maintenance services to industrial companies.
15% Senior Subordinated Note due 2013 $ 1,121,483 12/27/07 1,098,522 1,079,460
Preferred Stock (B) 546 shs. 12/27/07 270,000 301,205
------------ ------------
1,368,522 1,380,665
------------ ------------
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7
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
AERO HOLDINGS, INC.
A provider of geospatial services to corporate and government clients.
10.5% Senior Secured Term Note due 2014 $ 930,000 03/09/07 $ 916,050 $ 909,261
14% Senior Subordinated Note due 2015 $ 720,000 03/09/07 653,041 699,234
Common Stock (B) 150,000 shs. 03/09/07 150,000 295,478
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 37,780 shs. 03/09/07 63,730 74,421
------------ ------------
1,782,821 1,978,394
------------ ------------
ALL CURRENT HOLDING COMPANY
A specialty re-seller of essential electrical parts and components primarily serving wholesale distributors.
12% Senior Subordinated Note due 2015 $ 603,697 09/26/08 550,146 564,134
Common Stock (B) 713 shs. 09/26/08 71,303 67,735
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 507 shs. 09/26/08 46,584 5
------------ ------------
668,033 631,874
------------ ------------
AMERICAN HOSPICE MANAGEMENT HOLDING LLC
A for-profit hospice care provider in the United States.
12% Senior Subordinated Note due 2013 $ 1,687,503 * 1,606,040 1,642,268
Preferred Class A Unit (B) 1,706 uts. ** 170,600 136,480
Preferred Class B Unit (B) 808 uts. 06/09/08 80,789 76,750
Common Class B Unit (B) 16,100 uts. 01/22/04 1 --
Common Class D Unit (B) 3,690 uts. 09/12/06 -- --
------------ ------------
1,857,430 1,855,498
------------ ------------
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 05/18/05 828,347 778,887
Common Stock (B) 263 shs. 05/18/05 263,298 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 69 shs. 05/18/05 59,362 --
------------ ------------
1,151,007 778,887
------------ ------------
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 1,146,315 1,065,595
Preferred Stock Class A (B) 465 shs. 06/30/06 141,946 21,829
Common Stock (B) 1 sh. 06/30/06 152 --
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 164 shs. 06/30/06 48,760 7,671
------------ ------------
1,337,173 1,095,095
------------ ------------
* 01/22/04 and 06/09/08.
** 01/22/04 and 09/12/06.
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8
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
C D N T, INC.
A value-added converter and distributor of specialty pressure sensitive adhesives, foams, films, and foils.
10.5% Senior Secured Term Note due 2014 $ 429,070 08/07/08 $ 420,489 $ 388,321
12.5% Senior Subordinated Note due 2015 $ 429,070 08/07/08 389,674 371,884
Common Stock (B) 41,860 shs. 08/07/08 41,860 20,930
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 32,914 shs. 08/07/08 32,965 329
------------ ------------
884,988 781,464
------------ ------------
CAPITAL SPECIALTY PLASTICS, INC.
A producer of desiccant strips used for packaging pharmaceutical products.
Common Stock (B) 55 shs. * 252 139,733
------------ ------------
CLOUGH, HARBOUR AND ASSOCIATES
An engineering service firm that is located in Albany, NY.
12.25% Senior Subordinated Note due 2015 $ 1,270,588 12/02/08 1,177,994 1,244,812
Preferred Stock (B) 147 shs. 12/02/08 146,594 139,261
------------ ------------
1,324,588 1,384,073
------------ ------------
COEUR, INC.
A producer of proprietary, disposable power injection syringes.
12% Senior Subordinated Note due 2016 $ 642,857 10/10/08 581,786 607,321
Common Stock (B) 321 shs. 10/10/08 32,143 30,536
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 495 shs. 10/10/08 48,214 5
------------ ------------
662,143 637,862
------------ ------------
CONNECTICUT ELECTRIC, INC.
A supplier and distributor of electrical products sold into the retail and wholesale markets.
12% Senior Subordinated Note due 2014 $ 1,267,387 01/12/07 1,182,283 1,037,329
Limited Liability Company Unit Class A (B) 82,613 uts. 01/12/07 82,613 42,556
Limited Liability Company Unit Class C (B) 59,756 uts. 01/12/07 59,756 30,782
------------ ------------
1,324,652 1,110,667
------------ ------------
CONNOR SPORT COURT INTERNATIONAL, INC.
A designer and manufacturer of outdoor and indoor synthetic sports flooring and other temporary flooring products.
Preferred Stock Series B-2 (B) 9,081 shs. 07/05/07 370,796 908,072
Preferred Stock Series C (B) 4,757 shs. 07/05/07 158,912 340,131
Common Stock (B) 380 shs. 07/05/07 4 4
Limited Partnership Interest (B) 6.88% int. ** 103,135 --
------------ ------------
632,847 1,248,207
------------ ------------
* 12/30/97 and 05/29/99.
** 08/12/04 and 01/14/05.
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9
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 1,299,282 $ 1,263,635
Warrant, exercisable until 2013, to purchase
common stock at $.001 per share (B) 10 shs. 08/04/05 72,617 78,027
------------ ------------
1,371,899 1,341,662
------------ ------------
CRANE RENTAL CORPORATION
A crane rental company.
13% Senior Subordinated Note due 2015 $ 1,215,000 08/21/08 1,093,333 1,166,853
Common Stock (B) 135,000 shs. 08/21/08 135,000 128,250
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 72,037 shs. 08/21/08 103,143 720
------------ ------------
1,331,476 1,295,823
------------ ------------
DAVIS-STANDARD LLC
A manufacturer, assembler, and installer of a broad range of capital equipment that is used in the extrusion, conversion, and
processing of plastic materials.
12% Senior Subordinated Note due 2014 $ 978,261 10/30/06 924,202 927,777
Limited Partnership Interest (B) 0.97% int. 10/30/06 371,739 677,791
Warrant, exercisable until 2014, to purchase
preferred stock at $.01 per share (B) 26 shs. 10/30/06 26,380 32,831
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 18 shs. 10/30/06 18,000 64,920
------------ ------------
1,340,321 1,703,319
------------ ------------
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 1,392,067 659,713
Warrants, exercisable until 2011, to purchase
common stock of DHI Holdings, Inc. at $.01 per share (B) 6,676 shs. * 201,655 --
------------ ------------
1,960,217 659,713
------------ ------------
DUNCAN SYSTEMS, INC.
A distributor of windshields and side glass for the recreational vehicle market.
10% Senior Secured Term Note due 2013 $ 308,571 11/01/06 303,942 285,218
13% Senior Subordinated Note due 2014 $ 488,572 11/01/06 443,275 437,931
Common Stock (B) 102,857 shs. 11/01/06 102,857 73,867
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 32,294 shs. 11/01/06 44,663 23,192
------------ ------------
894,737 820,208
------------ ------------
* 10/24/96 and 08/28/98.
--------------------------------------------------------------------------------------------------------------------------------
10
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
DWYER GROUP, INC.
A franchiser of a variety of home repair services.
Common Stock (B) 3,656 shs. * $ 365,600 $ 605,922
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 178,431
------------ ------------
464,319 784,353
------------ ------------
E S P HOLDCO, INC.
A manufacturer of power protection technology for commercial office equipment, primarily supplying the office equipment dealer
network.
14% Senior Subordinated Note due 2015 $ 1,204,577 01/08/08 1,182,535 1,098,607
Common Stock (B) 349 shs. 01/08/08 174,701 88,754
------------ ------------
1,357,236 1,187,361
------------ ------------
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 40,875 111,970
------------ ------------
ELECTRA BICYCLE COMPANY LLC
A designer and marketer of branded leisure bicycles.
Limited Liability Company Unit Series F 36,913 uts. 04/12/07 36,913 56,890
Limited Liability Company Unit Series G 2,852 uts. 04/12/07 2,852 4,396
------------ ------------
39,765 61,286
------------ ------------
EVANS CONSOLES, INC.
A designer and manufacturer of consoles and control center systems.
Common Stock (B) 45,000 shs. 05/06/04 6 635,574
------------ ------------
F C X HOLDINGS CORPORATION
A distributor of specialty/technical valves, actuators, accessories, and process instrumentation supplying a number of industrial,
high purity, and energy end markets in North America.
15% Senior Subordinated Note due 2015 $ 1,134,943 10/06/08 1,111,567 1,058,773
Preferred Stock (B) 2,298 shs. 10/06/08 229,804 218,310
Common Stock (B) 1,625 shs. 10/06/08 1,625 1,544
------------ ------------
1,342,996 1,278,627
------------ ------------
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 1,192,592 949,219
Limited Liability Company Units of
Linden/FHS Holdings LLC (B) 84 uts. 06/01/06 84,368 --
Common Unit Class B (B) 734 shs. 06/01/06 64,779 --
------------ ------------
1,341,739 949,219
------------ ------------
* 10/30/03 and 01/02/04.
--------------------------------------------------------------------------------------------------------------------------------
11
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 393,593
14% Senior Subordinated Note due 2014 $ 317,177 04/13/06 289,892 --
Common Stock (B) 62,535 shs. 04/13/06 62,535 --
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 17,680 shs. 04/13/06 27,676 --
------------ ------------
897,022 393,593
------------ ------------
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 (D) $ 1,252,174 02/03/06 1,123,044 --
Common Stock (B) 98 shs. 02/03/06 97,826 --
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 135 shs. 02/03/06 110,348 --
------------ ------------
1,331,218 --
------------ ------------
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 (D) $ 1,237,500 01/31/06 1,149,638 --
Preferred Stock (B) 16,792 shs. 06/12/08 16,792 --
Common Stock (B) 112,500 shs. 01/31/06 112,500 --
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 73,275 shs. 01/31/06 63,113 --
------------ ------------
1,342,043 --
------------ ------------
GOLDEN COUNTY FOODS HOLDING, INC.
A manufacturer of frozen appetizers and snacks.
12% Senior Subordinated Note due 2015 $ 1,012,500 11/01/07 914,607 810,000
16% PIK Note due 2015 $ 72,115 * 61,236 57,692
8% Series A Convertible Preferred Stock, convertible into
4.25% of the fully diluted common shares (B) 77,643 shs. 11/01/07 77,643 --
------------ ------------
1,053,486 867,692
------------ ------------
GQ HOLDINGS LLC
A developer and distributor of tools, equipment, and supplies to the natural and engineered stone industry.
15% Senior Subordinated Note due 2015 (D) $ 1,245,060 06/27/08 1,210,058 --
Common Stock (B) 3,867 shs. 06/27/08 132,841 --
------------ ------------
1,342,899 --
------------ ------------
* 09/30/08, 12/31/08 and 03/31/09.
--------------------------------------------------------------------------------------------------------------------------------
12
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
H M HOLDING COMPANY
A designer, manufacturer, and importer of promotional and wood furniture.
12% Senior Subordinated Note due 2013 (D) $ 1,170,000 02/10/06 $ 1,084,725 $ --
Preferred Stock (B) 21 shs. * 21,428 --
Common Stock (B) 180 shs. 02/10/06 180,000 --
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 67 shs. 02/10/06 61,875 --
------------ ------------
1,348,028 --
------------ ------------
HIGHGATE CAPITAL LLC
An acquirer of controlling or substantial interests in manufacturing and marketing entities.
Series A Preferred Units (B) 0.30% int. 07/21/94 91,867 --
------------ ------------
HOME DECOR HOLDING COMPANY
A designer, manufacturer and marketer of framed art and wall decor products.
12.5% Senior Subordinated Note due 2012 $ 1,081,731 ** 1,016,220 1,006,625
Common Stock (B) 33 shs. ** 33,216 22,780
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 106 shs. ** 105,618 72,425
------------ ------------
1,155,054 1,101,830
------------ ------------
HOSPITALITY MINTS HOLDING COMPANY
A manufacturer of individually-wrapped imprinted promotional mints.
12% Senior Subordinated Note due 2016 $ 1,098,837 08/19/08 1,016,628 1,008,999
Common Stock (B) 251 shs. 08/19/08 251,163 238,602
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 65 shs. 08/19/08 60,233 1
------------ ------------
1,328,024 1,247,602
------------ ------------
INSURANCE CLAIMS MANAGEMENT, INC.
A third party administrator providing auto and property claim administration services for insurance companies.
Common Stock (B) 37 shs. 02/27/07 1,100 53,880
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 11 shs. 02/27/07 324 15,872
------------ ------------
1,424 69,752
------------ ------------
INTEGRATION TECHNOLOGY SYSTEMS, INC.
A manufacturer of steel protective computer and network systems for the industrial and office environments.
12% Senior Subordinated Note due on demand $ 25,055 03/01/04 1 --
Common Stock (B) 130 shs. 06/01/00 149,500 --
------------ ------------
149,501 --
------------ ------------
* 09/18/07 and 06/27/08.
** 06/30/04 and 08/19/04.
--------------------------------------------------------------------------------------------------------------------------------
13
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
JASON, INC.
A diversified manufacturing company serving various industrial markets.
13% Senior Subordinated Note due 2010 $ 510,187 08/04/00 $ 493,701 $ 483,351
Limited Partnership Interest of
Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,312 12,341
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 2,478
------------ ------------
1,024,114 498,170
------------ ------------
JUSTRITE MANUFACTURING ACQUISITION CO.
A manufacturer of safety products such as storage cabinets and containers.
12% Senior Subordinated Note due 2011 $ 843,750 12/15/04 815,356 819,528
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 124,250
------------ ------------
868,884 943,778
------------ ------------
K H O F HOLDINGS, INC.
A manufacturer of premium disposable tableware products serving both the foodservice and consumer channels.
14% Senior Subordinated Note due 2014 $ 1,269,650 10/15/07 1,244,033 1,198,412
Common Stock (B) 116,827 shs. 10/15/07 116,827 78,926
------------ ------------
1,360,860 1,277,338
------------ ------------
K N B HOLDINGS CORPORATION
A designer, manufacturer and marketer of products for the custom framing market.
13.5% Senior Subordinated Note due 2013 $ 1,334,703 05/25/06 1,281,637 1,201,233
Common Stock (B) 71,053 shs. 05/25/06 71,053 14,537
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,600 shs. 05/25/06 37,871 8,920
------------ ------------
1,390,561 1,224,690
------------ ------------
K P I HOLDINGS, INC.
Pace Industries is the largest player in the U.S. non-automotive, non-ferrous die casting segment.
13% Senior Subordinated Note due 2014 $ 1,115,217 07/16/08 1,042,077 947,934
Common Stock (B) 235 shs. 07/15/08 234,783 176,085
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 51 shs. 07/16/08 50,836 1
------------ ------------
1,327,696 1,124,020
------------ ------------
K W P I HOLDINGS CORPORATION
A manufacturer and distributor of vinyl windows and patio doors throughout the northwestern United States.
12.75% Senior Subordinated Note due 2014 $ 1,231,606 03/14/07 1,137,989 985,284
Common Stock (B) 123 shs. 03/13/07 123,000 --
Warrant, exercisable until 2017, to purchase
common stock at $.01 per share (B) 89 shs. 03/14/07 85,890 --
------------ ------------
1,346,879 985,284
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
14
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
K-TEK HOLDING CORPORATION
A manufacturer of instrumentation for liquid and bulk solids level detection for process and storage tanks.
14% Senior Subordinated Note due 2015 $ 1,187,084 12/20/07 $ 1,164,874 $ 1,110,891
Preferred Stock (B) 192,314 shs. 12/20/07 192,314 185,538
Common Stock (B) 54,326 shs. 12/20/07 543 --
------------ ------------
1,357,731 1,296,429
------------ ------------
M V I HOLDING, INC.
A manufacturer of large precision machined metal components used in equipment which services a variety of industries, including
the oil & gas, mining, and defense markets.
13% Senior Subordinated Note due 2016 $ 646,398 09/12/08 598,585 610,869
Common Stock (B) 32 shs. 09/12/08 32,143 30,533
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 35 shs. 09/12/08 34,714 --
------------ ------------
665,442 641,402
------------ ------------
MAIL COMMUNICATIONS GROUP, INC.
A provider of mail processing and handling services, lettershop services, and commercial printing services.
12.5% Senior Subordinated Note due 2014 $ 516,177 05/04/07 483,072 488,098
Limited Liability Company Unit (B) 12,763 uts. * 166,481 200,272
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 1,787 shs. 05/04/07 22,781 28,040
------------ ------------
672,334 716,410
------------ ------------
MAVERICK ACQUISITION COMPANY
A manufacturer of capsules that cover the cork and neck of wine bottles.
8.26% Senior Secured Tranche A Note due 2010 (C) $ 183,481 09/03/04 183,481 180,673
12% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 168,368 162,486
Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 9,159
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 6,618
------------ ------------
407,987 358,936
------------ ------------
MEDSYSTEMS HOLDINGS LLC
A manufacturer of enteral feeding products, such as feeding tubes and other products related to assisted feeding.
13% Senior Subordinated Note due 2015 $ 611,447 08/29/08 538,554 585,862
Preferred Unit (B) 66 uts. 08/29/08 66,451 63,128
Common Unit Class A (B) 671 uts. 08/29/08 671 637
Common Unit Class B (B) 250 uts. 08/29/08 63,564 3
------------ ------------
669,240 649,630
------------ ------------
* 05/04/07 and 01/02/08.
--------------------------------------------------------------------------------------------------------------------------------
15
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
MEGTEC HOLDINGS, INC.
A supplier of industrial and environmental products and services to a broad array of industries.
12% Senior Subordinated Note due 2016 $ 1,144,068 09/24/08 $ 1,048,910 $ 1,048,334
Preferred Stock (B) 56 shs. 09/24/08 54,040 1
Limited Partnership Interest (B) 205,932 int. 09/16/08 205,932 195,635
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 18 shs. 09/24/08 18,237 --
------------ ------------
1,327,119 1,243,970
------------ ------------
MICROGROUP, INC.
A manufacturer of precision parts and assemblies, and a value-added supplier of metal tubing and bars.
12% Senior Subordinated Note due 2013 $ 1,421,795 * 1,357,054 1,379,574
Common Stock (B) 238 shs. * 238,000 445,385
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 87 shs. * 86,281 162,453
------------ ------------
1,681,335 1,987,412
------------ ------------
MILWAUKEE GEAR COMPANY
A manufacturer of high-precision custom gears and gear drives used by original equipment manufacturers operating in a number of
industries.
13% Senior Subordinated Note due 2014 $ 1,246,154 07/21/08 1,174,254 1,183,786
Preferred Stock (B) 139 shs. 07/21/08 138,374 131,459
Common Stock (B) 9 shs. 07/21/08 10,000 9,500
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 6 shs. 07/21/08 5,510 --
------------ ------------
1,328,138 1,324,745
------------ ------------
MOMENTUM HOLDING CO.
A designer and supplier of upholstery fabric to commercial furniture manufacturers and architectural and design firms.
Limited Partnership Interest (B) 11.24% int. 08/04/06 56,198 131,531
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 586 shs. 08/04/06 56,705 137,106
------------ ------------
112,903 268,637
------------ ------------
MONESSEN HOLDING CORPORATION
A designer and manufacturer of a broad line of gas, wood, and electric hearth products and accessories.
14% Senior Subordinated Note due 2014 $ 1,350,000 07/25/08 1,267,600 1,215,000
14% PIK Note due 2014 $ 246,180 ** 221,562 221,562
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 81 shs. 03/31/06 73,125 --
------------ ------------
1,562,287 1,436,562
------------ ------------
* 08/12/05 and 09/11/06.
** 07/25/08, 09/30/08, 12/31/08 and 03/31/09.
--------------------------------------------------------------------------------------------------------------------------------
16
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
MORTON INDUSTRIAL GROUP, INC.
A manufacturer of highly engineered metal fabricated components.
12% Senior Subordinated Note due 2014 (D) $ 1,292,246 08/25/06 $ 1,187,021 $ 129,225
30% Convertible Preferred Stock (B) 41,289 shs. 07/28/08 19,708 --
------------ ------------
1,206,729 129,225
------------ ------------
NABCO, INC.
A producer of explosive containment vessels in the United States.
14% Senior Subordinated Note due 2014 $ 431,692 02/24/06 369,043 215,846
Limited Liability Company Unit (B) 437 uts. * 436,984 --
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 68 shs. 02/24/06 19,687 --
------------ ------------
825,714 215,846
------------ ------------
NAVIS GLOBAL
A designer, manufacturer, seller and servicer of finishing machinery for the knit and woven segments of the global textile industry.
12% Senior Secured Term Note Series A due 2009 $ 96,308 11/14/08 96,308 96,086
14% Senior Subordinated Note due 2014 (D) $ 764,921 05/28/04 660,453 --
10.75% Senior Secured Note due 2011 (D) $ 348,118 05/28/04 347,086 87,030
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 116,521 shs. 05/28/04 74,736 --
------------ ------------
1,178,583 183,116
------------ ------------
NESCO HOLDINGS CORPORATION
A sales and leasing company that provides equipment to the electric utility, telecommunications, and various other industries.
12% Senior Secured Subordinated Note due 2015 $ 1,125,000 08/02/07 999,658 1,098,015
Common Stock (B) 225,000 shs. 08/02/07 225,000 311,472
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 63,191 shs. 08/02/07 102,842 87,476
------------ ------------
1,327,500 1,496,963
------------ ------------
NETSHAPE TECHNOLOGIES, INC.
A manufacturer of powder metal and metal injection molded precision components used in industrial, consumer, and other applications.
12% Senior Subordinated Note due 2014 $ 810,000 02/02/07 745,713 677,375
Limited Partnership Interest of
Saw Mill PCG Partners LLC (B) 1.38% int. 02/01/07 539,978 --
Limited Liability Company Unit Class D of
Saw Mill PCG Partners LLC (B) 8 uts. 12/18/08 8,147 6,520
Preferred Stock Class A (B) 1 sh. 12/18/08 726 576
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 48 shs. 02/02/07 48,087 --
------------ ------------
1,342,651 684,471
------------ ------------
* 02/24/06 and 06/22/07.
--------------------------------------------------------------------------------------------------------------------------------
17
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage 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 $ 348,215
11.5% Senior Subordinated Note due 2012 (D) $ 857,143 01/28/02 820,159 --
Common Stock (B) 178,571 shs. 01/28/02 178,571 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 138,928 shs. 01/28/02 92,597 --
------------ ------------
1,555,613 348,215
------------ ------------
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 $ 257,249 01/03/06 253,391 241,568
13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 359,592 355,259
Common Stock (B) 184,176 shs. 01/03/06 184,176 --
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,073 shs. 01/03/06 35,900 --
------------ ------------
833,059 596,827
------------ ------------
OLYMPIC SALES, INC.
A boat retailer in Washington state, Oregon, California and British Columbia.
12% Senior Subordinated Note due 2009 (D) $ 511,000 08/07/98 511,000 102,200
12% Senior Subordinated Note due 2009 (D) $ 244,154 02/09/00 213,313 48,831
------------ ------------
724,313 151,031
------------ ------------
ONTARIO DRIVE & GEAR LTD.
A manufacturer of all-wheel drive, off-road amphibious vehicles and related accessories.
Limited Liability Company Unit (B) 1,942 uts. 01/17/06 302,885 740,522
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 125,027
------------ ------------
393,309 865,549
------------ ------------
P A S HOLDCO LLC
An independent provider of maintenance, repair and overhaul services to the aerospace gas turbine engine and airframe markets.
14% Senior Subordinated Note due 2014 $ 1,212,208 07/03/06 1,159,713 1,143,974
Preferred Unit (B) 202 uts. 07/03/06 202,320 265,517
Preferred Unit (B) 36 uts. 07/03/06 36,420 47,796
Common Unit Class I (B) 78 uts. 07/03/06 -- 2,505
Common Unit Class L (B) 17 uts. 07/03/06 -- 529
------------ ------------
1,398,453 1,460,321
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
18
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 1,151,413 $ 1,177,246
Preferred Stock (B) 19 shs. 03/31/06 174,492 224,927
Common Stock (B) 12 shs. 03/31/06 13,500 12,425
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 7,230
------------ ------------
1,345,293 1,421,828
------------ ------------
PACIFIC CONSOLIDATED HOLDINGS LLC
A manufacturer of rugged, mobile liquid and gaseous oxygen and nitrogen generating systems used in the global defense, oil & gas,
and medical sectors.
14% Senior Subordinated Note due 2012 $ 704,935 04/27/07 655,744 654,706
Limited Liability Company Unit (B) 928,962 uts. 04/27/07 33,477 --
------------ ------------
689,221 654,706
------------ ------------
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 2011 $ 1,125,000 12/19/00 1,072,468 1,061,049
Membership Interests of MM/Lincap
PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 --
------------ ------------
1,213,093 1,061,049
------------ ------------
POSTLE ALUMINUM COMPANY LLC
A manufacturer and distributor of aluminum extruded products.
12% Senior Subordinated Note due 2014 $ 1,164,961 10/02/06 1,066,387 291,240
Limited Liability Company Unit 733 uts. 10/02/06 270,000 --
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 4,550 uts. 10/02/06 65,988 --
------------ ------------
1,402,375 291,240
------------ ------------
POWER SERVICES HOLDING COMPANY
A provider of industrial motor repair services, predictive and preventative maintenance, and performance improvement consulting,
serving the petrochemical, mining, power generation, metals, and paper industries.
12% Senior Subordinated Note due 2016 $ 1,255,814 02/11/08 1,149,368 1,210,270
Limited Partnership Interest (B) 94,092 int. 02/11/08 94,092 49,335
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 700 shs. 02/11/08 88,723 123,158
------------ ------------
1,332,183 1,382,763
------------ ------------
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 --
------------ ------------
* 08/12/94 and 11/14/01.
--------------------------------------------------------------------------------------------------------------------------------
19
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
QUALIS AUTOMOTIVE LLC
A distributor of aftermarket automotive brake and chassis products.
12% Senior Subordinated Note due 2012 $ 937,500 05/28/04 $ 847,005 $ 897,733
Common Stock (B) 187,500 shs. 05/28/04 187,500 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 199,969 shs. 05/28/04 199,969 --
------------ ------------
1,234,474 897,733
------------ ------------
R A J MANUFACTURING HOLDINGS LLC
A designer and manufacturer of women's swimwear sold under a variety of licensed brand names.
12.5% Senior Subordinated Note due 2014 $ 1,200,277 12/15/06 1,106,663 1,119,556
Limited Liability Company Unit (B) 1,497 uts. 12/15/06 149,723 114,103
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 2 shs. 12/15/06 69,609 53,845
------------ ------------
1,325,995 1,287,504
------------ ------------
R E I DELAWARE HOLDING, INC.
An engineer and manufacturer of highly complex, close tolerance components, assemblies, tooling and custom automation
equipment primarily for aerospace, medical and defense/radar markets.
12% Senior Subordinated Note due 2016 $ 1,350,000 01/18/08 1,306,541 1,207,202
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 3 shs. 01/18/08 16,459 23,314
------------ ------------
1,323,000 1,230,516
------------ ------------
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 1,126,521 1,177,599
Common Stock (B) 153,191 shs. 02/10/06 153,191 271,682
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 69,647 shs. 02/10/06 63,421 123,518
------------ ------------
1,343,133 1,572,799
------------ ------------
ROYAL BATHS MANUFACTURING COMPANY
A manufacturer and distributor of acrylic and cultured marble bathroom products.
12.5% Senior Subordinated Note due 2011 $ 562,500 11/14/03 533,299 511,689
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 13,552
------------ ------------
598,388 525,241
------------ ------------
SAFETY SPEED CUT MANUFACTURING COMPANY, INC.
A manufacturer of vertical panel saws and routers for the wood working industry.
Class B Common Stock (B) 846 shs. 06/02/99 146,456 423,335
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
20
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
SAVAGE SPORTS HOLDING, INC.
A manufacturer of sporting firearms.
12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 $ 779,523 $ 752,952
Common Stock (B) 324 shs. * 340,378 361,315
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 78,887
------------ ------------
1,180,030 1,193,154
------------ ------------
SENCORE HOLDING COMPANY
A designer, manufacturer, and marketer of decoders, receivers and modulators sold to broadcasters, satellite, cable and telecom
operators for encoding/decoding analog and digital transmission video signals.
12.5% Senior Subordinated Note due 2014 $ 1,280,769 01/15/09 1,109,469 1,250,669
Common Stock (B) 69 shs. 01/15/09 69,231 65,769
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B) 149 shs. 01/15/09 149,084 1
------------ ------------
1,327,784 1,316,439
------------ ------------
SMART SOURCE HOLDINGS LLC
A short-term computer rental company.
12% Senior Subordinated Note due 2015 $ 1,176,924 ** 1,076,225 1,090,479
Limited Liability Company Unit (B) 328 uts. ** 337,762 377,079
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 83 shs. ** 87,231 95,514
------------ ------------
1,501,218 1,563,072
------------ ------------
SPECIALTY COMMODITIES, INC.
A distributor of specialty food ingredients.
13.25% Senior Subordinated Note due 2016 $ 1,197,678 10/23/08 1,121,564 1,161,401
Common Stock (B) 15,882 shs. 10/23/08 158,824 150,879
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 5,852 shs. 10/23/08 53,285 59
------------ ------------
1,333,673 1,312,339
------------ ------------
STANTON CARPET HOLDING CO.
A designer and marketer of high and mid-priced decorative carpets and rugs.
12.13% Senior Subordinated Note due 2014 $ 1,185,366 08/01/06 1,123,146 1,021,029
Common Stock (B) 165 shs. 08/01/06 164,634 109,164
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 55 shs. 08/01/06 49,390 36,357
------------ ------------
1,337,170 1,166,550
------------ ------------
* 09/10/04 and 10/05/07.
** 08/31/07 and 03/06/08.
--------------------------------------------------------------------------------------------------------------------------------
21
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
SYNTERACT HOLDINGS CORPORATION
A provider of outsourced clinical trial management services to pharmaceutical and biotechnology companies.
14% Senior Subordinated Note due 2016 $ 1,357,889 09/02/08 $ 1,266,659 $ 1,274,362
Series A Preferred Stock (B) 678 shs. 09/02/08 6,629 7
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 6,778 shs. 09/02/08 59,661 68
------------ ------------
1,332,949 1,274,437
------------ ------------
T H I ACQUISITION, INC.
A machine servicing company providing value-added steel services to long steel products.
12% Senior Subordinated Note due 2016 $ 1,350,000 01/14/08 1,276,383 1,233,558
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 5 shs. 01/14/08 46,617 26,428
------------ ------------
1,323,000 1,259,986
------------ ------------
TANGENT RAIL CORPORATION
A manufacturer of rail ties and provider of specialty services to the North American railroad industry.
13% Senior Subordinated Note due 2015 $ 1,173,909 10/14/05 1,033,473 1,166,755
Common Stock (B) 1,167 shs. 10/14/05 1,167 367,598
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 631 shs. 09/30/08 300,683 198,761
------------ ------------
1,335,323 1,733,114
------------ ------------
TERRA RENEWAL LLC
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.
12% Senior Subordinated Note due 2014 $ 664,062 * 636,363 628,855
5.53%Term Note due 2012 (C) $ 403,931 ** 403,103 393,972
4.76% Term Note due 2012 (C) $ 403,931 ** 401,669 393,972
4.7% Term Note due 2012 (C) $ 55,644 ** 55,525 54,272
Limited Partnership Interest of
Saw Mill Capital Fund V, LLC (B) 2.27% int. *** 85,292 210,924
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 41 shs. 04/28/06 33,738 34,078
------------ ------------
1,615,690 1,716,073
------------ ------------
TORRENT GROUP HOLDINGS, INC.
A contractor specializing in the sales and installation of engineered drywells for the retention and filtration of stormwater and
nuisance water flow.
12.5% Senior Subordinated Note due 2013 $ 1,185,366 10/26/07 1,113,016 1,067,672
Series A Preferred Stock (B) 219 shs. 10/26/07 219,203 23,061
------------ ------------
1,332,219 1,090,733
------------ ------------
* 04/28/06 and 09/13/06.
** 04/28/06 and 12/21/06.
*** 03/01/05 and 10/10/08
--------------------------------------------------------------------------------------------------------------------------------
22
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
TOTAL E & S, INC.
A manufacturer of a wide variety of equipment used in the oil and gas industry.
10.5% Senior Secured Term Note due 2013 $ 486,487 03/02/07 $ 479,190 $ 466,871
13% Senior Subordinated Note due 2014 $ 341,971 03/02/07 280,347 320,529
Common Stock (B) 71,542 shs. 03/02/07 71,542 89,465
Warrant, exercisable until 2014 to purchase
common stock at $.01 per share (B) 19,733 shs. 03/02/07 54,784 24,677
------------ ------------
885,863 901,542
------------ ------------
TRANSPAC HOLDING COMPANY
A designer, importer, and wholesaler of home decor and seasonal gift products.
12% Senior Subordinated Note due 2015 $ 938,651 10/31/07 878,486 797,853
Common Stock (B) 110 shs. 10/31/07 110,430 --
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 50 shs. 10/31/07 46,380 --
------------ ------------
1,035,296 797,853
------------ ------------
TRANSTAR HOLDING COMPANY
A distributor of aftermarket automotive transmission parts.
12% Senior Subordinated Note due 2014 $ 918,000 08/31/05 887,685 847,403
Common Stock (B) 571 shs. * 570,944 276,698
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 46 shs. 08/31/05 41,021 22,051
------------ ------------
1,499,650 1,146,152
------------ ------------
TRANZONIC COMPANIES (THE)
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 2010 $ 1,356,000 02/05/98 1,313,737 1,337,840
Common Stock (B) 315 shs. 02/04/98 315,000 228,768
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 161,227
------------ ------------
1,813,153 1,727,835
------------ ------------
* 08/31/05 and 04/30/07.
--------------------------------------------------------------------------------------------------------------------------------
23
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
TRUCK BODIES & EQUIPMENT INTERNATIONAL
A designer and manufacturer of accessories for heavy and medium duty trucks, primarily dump bodies, hoists, various forms of flatbed
bodies, landscape bodies and other accessories.
16% Senior Subordinated Note due 2010 (D) $ 1,222,698 * $ 1,133,973 $ 305,675
16% PIK Note due 2010 $ 220,754 12/30/08 83,673 55,189
Preferred Stock Series B (B) 128 shs. 10/20/08 127,677 --
Common Stock (B) 393 shs. * 423,985 --
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 81 shs. * 84,650 --
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 558 shs. 10/20/08 -- --
------------ ------------
1,853,958 360,864
------------ ------------
TRUSTILE DOORS, INC.
A manufacturer and distributor of interior doors.
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 3,060 shs. 04/11/03 36,032 147,927
------------ ------------
U M A ENTERPRISES, INC.
An importer and wholesaler of home decor products.
15% Senior Subordinated Note due 2015 $ 911,153 02/08/08 891,613 817,034
Convertible Preferred Stock (B) 470 shs. 02/08/08 469,565 95,493
------------ ------------
1,361,178 912,527
------------ ------------
U-LINE CORPORATION
A manufacturer of high-end, built-in, undercounter ice making, wine storage and refrigeration appliances.
12.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 935,798 928,007
Common Stock (B) 96 shs. 04/30/04 96,400 44,053
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 55,752
------------ ------------
1,144,304 1,027,812
------------ ------------
VISIONEERING, INC.
A designer and manufacturer of tooling and fixtures for the aerospace industry.
10.5% Senior Secured Term Loan due 2013 $ 458,824 05/17/07 451,941 450,265
13% Senior Subordinated Note due 2014 $ 370,588 05/17/07 336,960 359,100
18% PIK Convertable Preferred Stock (B) 21,361 shs. 03/13/09 41,440 39,368
Common Stock (B) 70,588 shs. 05/17/07 70,588 68,581
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 20,003 shs. 05/17/07 31,460 19,434
------------ ------------
932,389 936,748
------------ ------------
* 07/19/05 and 12/22/05.
--------------------------------------------------------------------------------------------------------------------------------
24
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 951,649 $ 924,899
Common Stock (B) 14,006 shs. * 140,064 119,998
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,593 shs. 09/24/04 98,938 107,892
------------ ------------
1,190,651 1,152,789
------------ ------------
VITEX PACKAGING GROUP, INC.
A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags.
12.5% Senior Subordinated Note due 2012 (D) $ 900,000 07/19/04 785,152 --
14.5% PIK Note due 2010 $ 289,188 06/30/07 198,477 --
Limited Liability Company Unit Class A (B) 219,375 uts. 07/19/04 219,375 --
Limited Liability Company Unit Class B (B) 96,848 uts. 07/19/04 96,848 --
------------ ------------
1,299,852 --
------------ ------------
WAGGIN' TRAIN HOLDINGS LLC
A producer of premium quality meat dog treats.
14% Senior Subordinated Note due 2014 $ 1,157,633 11/15/07 1,133,199 1,041,028
Limited Liability Company Unit Class B (B) 224 uts. 11/15/07 223,757 192,719
Limited Liability Company Unit Class C (B) 224 uts. 11/15/07 -- 192,720
------------ ------------
1,356,956 1,426,467
------------ ------------
WALLS INDUSTRIES, INC.
A provider of branded workwear and sporting goods apparel.
Limited Partnership Interest (B) 0.20% int. 07/12/04 1,974 --
Common Stock (B) 2,133 shs. 12/21/07 -- --
------------ ------------
1,974 --
------------ ------------
WELLBORN FOREST HOLDING CO.
A manufacturer of semi-custom kitchen and bath cabinetry.
12.13% Senior Subordinated Note due 2014 $ 911,250 11/30/06 856,018 774,563
Common Stock (B) 101 shs. 11/30/06 101,250 20,299
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 51 shs. 11/30/06 45,790 10,135
------------ ------------
1,003,058 804,997
------------ ------------
WORKPLACE MEDIA HOLDING CO.
A direct marketer specializing in providing advertisers with access to consumers in the workplace.
13% Senior Subordinated Note due 2015 $ 613,692 05/14/07 563,349 516,189
Limited Partnership Interest (B) 12.26% int. 05/14/07 61,308 --
Warrant, exercisable until 2015, to purchase
common stock at $.02 per share (B) 47 shs. 05/14/07 44,186 --
------------ ------------
668,843 516,189
------------ ------------
* 09/24/04 and 12/22/06.
--------------------------------------------------------------------------------------------------------------------------------
25
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
XALOY SUPERIOR HOLDINGS, INC.
A provider of melt processing components and ancillary equipment for both plastic injection molding and extrusion applications.
15% Senior Subordinated Note due 2015 $ 1,220,486 09/08/08 $ 1,194,714 $ 1,068,372
Common Stock (B) 150 shs. 09/08/08 150,000 120,000
------------ ------------
1,344,714 1,188,372
------------ ------------
TOTAL PRIVATE PLACEMENT INVESTMENTS (E) 109,534,450 91,719,502
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
26
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Shares or
Interest Due Principal
CORPORATE RESTRICTED SECURITIES: (A) (Continued) Rate Date Amount Cost Fair Value
------- -------- ------------ ------------ ------------
RULE 144A SECURITIES - 3.15%:
BONDS - 3.15%
Anheuser-Busch Inbev 7.750% 01/15/19 $ 500,000 $ 499,615 $ 498,550
Cenveo Corporation 10.500 08/15/16 45,000 45,000 25,256
Charter Communications Op LLC 8.000 04/30/12 750,000 736,875 686,250
Compucom Systems, Inc. 12.500 10/01/15 670,000 649,802 408,700
Douglas Dynamics LLC 7.750 01/15/12 485,000 461,963 315,250
Forest Oil Corporation 8.500 02/15/14 50,000 47,621 46,375
G F S I, Inc. (C) 10.500 06/01/11 358,000 343,948 264,025
H C A, Inc. 9.875 02/15/17 15,000 14,506 14,175
Packaging Dynamics Corporation of America 10.000 05/01/16 975,000 969,748 411,938
Tennessee Gas Pipeline Company 8.000 02/01/16 10,000 9,497 10,000
Ticketmaster Entertainment, Inc. 10.750 08/01/16 250,000 250,000 170,000
Tunica-Biloxi Gaming Authority 9.000 11/15/15 540,000 556,211 437,400
Tyson Foods, Inc. 10.500 03/01/14 35,000 32,487 35,700
------------ ------------
TOTAL BONDS 4,617,273 3,323,619
------------ ------------
CONVERTIBLE PREFERRED STOCK - 0.00%
ETEX Corporation (B) 194 179 --
------------ ------------
TOTAL CONVERTIBLE PREFERRED STOCK 179 --
------------ ------------
PREFERRED STOCK - 0.00%
TherOX, Inc. (B) 26 1,032 --
------------ ------------
TOTAL PREFERRED STOCK 1,032 --
------------ ------------
COMMON STOCK - 0.00%
Touchstone Health Partnership (B) 292 1,062 --
------------ ------------
TOTAL COMMON STOCK 1,062 --
------------ ------------
TOTAL RULE 144A SECURITIES 4,619,546 3,323,619
------------ ------------
TOTAL CORPORATE RESTRICTED SECURITIES $114,153,996 $ 95,043,121
------------ ------------
----------------------------------------------------------------------------------------------------------------
27
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Interest Due Principal Market
CORPORATE PUBLIC SECURITIES - 15.96%:(A) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
BONDS - 14.56%
Ahold Finance U S A, Inc. 6.250% 05/01/09 $ 500,000 $ 497,250 $ 498,750
Appleton Papers, Inc. 8.125 06/15/11 250,000 250,000 150,625
Aramark Corporation (C) 4.670 02/01/15 100,000 100,000 76,250
B E Aerospace, Inc. 8.500 07/01/18 500,000 473,125 416,875
C R H America, Inc. 5.300 10/15/13 500,000 418,430 380,627
C V S Caremark Corporation 5.750 06/01/17 500,000 407,380 487,581
Cincinnati Bell, Inc. 7.000 02/15/15 550,000 394,625 506,000
Citigroup, Inc. 5.500 04/11/13 500,000 437,890 439,286
Comcast Corporation 6.500 01/15/15 500,000 443,545 497,185
Denbury Resources, Inc. 9.750 03/01/16 25,000 23,225 24,125
Duke Energy Corporation 6.300 02/01/14 450,000 449,154 460,679
El Paso Corporation 12.000 12/12/13 25,000 22,345 26,500
Electronic Data Systems Corp. 7.125 10/15/09 500,000 500,810 515,016
Enterprise Products Operating Co. 9.750 01/31/14 375,000 375,000 412,051
Ford Motor Credit Co. 7.375 10/28/09 250,000 249,375 224,213
Gencorp, Inc. 9.500 08/15/13 130,000 130,000 93,600
Goldman Sachs Group, Inc. 4.750 07/15/13 500,000 418,645 459,269
Inergy LP/Inergy Fin 8.250 03/01/16 75,000 75,000 71,250
Intelsat Bermuda Ltd. 9.250 06/15/16 690,000 715,348 558,900
Interline Brands, Inc. 8.125 06/15/14 830,000 824,237 742,850
Iron Mountain, Inc. 8.750 07/15/18 500,000 513,639 496,250
Johnson Controls, Inc. 5.500 01/15/16 500,000 398,125 370,144
Lubrizol Corporation 8.875 02/01/19 500,000 496,280 514,218
Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 70,000
Mediacom Broadband LLC 9.500 01/15/13 750,000 585,000 701,250
Nortek, Inc. 10.000 12/01/13 100,000 98,957 41,750
O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 500,000 492,980 400,000
Pepsico, Inc. 7.900 11/01/18 500,000 517,601 614,329
Pliant Corporation (C) 11.850 06/15/09 857,441 835,202 344,048
Quicksilver Resources, Inc. 7.125 04/01/16 350,000 334,250 166,250
Rental Service Corportation 9.500 12/01/14 175,000 175,789 85,750
Rogers Wireless, Inc. 7.500 03/15/15 560,000 589,839 580,383
Sheridan Acquisition Corportation 10.250 08/15/11 225,000 222,000 131,625
Stewart & Stevenson LLC 10.000 07/15/14 735,000 755,176 554,925
Tenneco, Inc. 8.125 11/15/15 550,000 270,000 110,000
Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 26,425
----------------------------------------------------------------------------------------------------------------
28
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Interest Due Principal Market
CORPORATE PUBLIC SECURITIES: (A) (Continued) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
Titan International, Inc. 8.000% 01/15/12 $ 70,000 $ 70,000 $ 54,600
Transdigm, Inc. 7.750 07/15/14 150,000 151,171 139,875
Tube City IMS Corporation 9.750 02/01/15 1,000,000 990,675 152,500
Tyco International Group SA 8.500 01/15/19 125,000 124,996 129,062
Tyco International Group SA 6.000 11/15/13 625,000 545,312 588,037
United Components, Inc. 9.375 06/15/13 535,000 535,607 208,650
United Rentals, Inc. 6.500 02/15/12 325,000 235,625 260,000
Verizon Communications, Inc. 8.750 11/01/18 500,000 497,190 572,090
Virgin Media Finance PLC 8.750 04/15/14 790,000 592,500 746,550
Vought Aircraft Industries 8.000 07/15/11 650,000 647,771 253,500
------------ ------------
TOTAL BONDS 18,016,069 15,353,843
------------ ------------
COMMON STOCK - 0.29%
CKX, Inc. (B) 52,500 422,625 215,250
Directed Electronics, Inc. (B) 195,118 982,868 19,512
ITC^DeltaCom, Inc. (B) 94,588 827,645 64,320
Intrepid Potash, Inc. (B) 185 5,920 3,412
------------ ------------
TOTAL COMMON STOCK 2,239,058 302,494
------------ ------------
CONVERTIBLE BONDS - 1.11%
Citadel Broadcasting Corporation 4.000% 02/15/11 250,000 194,063 98,125
Nabors Industries Ltd. 0.940 05/15/11 750,000 660,625 663,750
Transocean, Inc. 1.500 12/15/37 500,000 411,093 409,375
------------ ------------
TOTAL CONVERTIBLE BONDS 1,265,781 1,171,250
------------ ------------
TOTAL CORPORATE PUBLIC SECURITIES $ 21,520,908 $ 16,827,587
------------ ------------
----------------------------------------------------------------------------------------------------------------
29
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Interest Due Principal Market
SHORT-TERM SECURITIES: Rate/Yield^ Date Amount Cost Value
------- -------- ------------ ------------ ------------
COMMERCIAL PAPER - 1.88%
Avery Dennison Corporation 0.850% 04/01/09 $ 1,980,000 $ 1,980,000 $ 1,980,000
------------ ------------
TOTAL SHORT-TERM SECURITIES $ 1,980,000 $ 1,980,000
------------ ------------
TOTAL INVESTMENTS 107.97 % $137,654,904 $113,850,708
============ ------------
Other Assets 4.07 4,286,824
Liabilities (12.04) (12,692,443)
------ ------------
TOTAL NET ASSETS 100.00 % $105,445,089
======= ============
(A) In each of the convertible note, warrant, 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 03/31/09.
(D) Defaulted security; interest not accrued.
(E) Illiquid security. At March 31, 2009, the values of these securities amounted to $91,719,502 or 86.98% of
net assets.
^ Effective yield at purchase
PIK - Payment-in-kind
----------------------------------------------------------------------------------------------------------------
30
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION: Market Value Market Value
-------------- --------------
AEROSPACE - 3.13% BUILDINGS & REAL ESTATE - 1.10%
B E Aerospace, Inc. $ 416,875 K W P I Holdings Corporation $ 985,284
Gencorp, Inc. 93,600 Texas Industries, Inc. 26,425
P A S Holdco LLC 1,460,321 TruStile Doors, Inc. 147,927
Transdigm, Inc. 139,875 --------------
Visioneering, Inc. 936,748 1,159,636
Vought Aircraft Industries 253,500 --------------
-------------- CHEMICAL, PLASTICS & RUBBER - 0.13%
3,300,919 Capital Specialty Plastics, Inc. 139,733
-------------- --------------
AUTOMOBILE - 4.27% CONSUMER PRODUCTS - 7.97%
Fuel Systems Holding Corporation -- Aero Holdings, Inc. 1,978,394
Jason, Inc. 498,170 Bravo Sports Holding Corporation 1,095,095
Johnson Controls, Inc. 370,144 G F S I, Inc. 264,025
Nyloncraft, Inc. 348,215 K N B Holdings Corporation 1,224,690
Ontario Drive & Gear Ltd. 865,549 Momentum Holding Co. 268,637
Qualis Automotive LLC 897,733 R A J Manufacturing Holdings LLC 1,287,504
Tenneco, Inc. 110,000 Royal Baths Manufacturing Company 525,241
Titan International, Inc. 54,600 The Tranzonic Companies 1,727,835
Transtar Holding Company 1,146,152 Tyson Foods, Inc. 35,700
United Components, Inc. 208,650 Walls Industries, Inc. --
-------------- --------------
4,499,213 8,407,121
-------------- --------------
BEVERAGE, DRUG & FOOD - 5.47% CONTAINERS, PACKAGING & GLASS - 3.79%
Anheuser-Busch Inbev 498,550 Flutes, Inc. 393,593
Aramark Corporation 76,250 Maverick Acquisition Company 358,936
Golden County Foods Holding, Inc. 867,692 P I I Holding Corporation 1,421,828
Hospitality Mints Holding Company 1,247,602 Packaging Dynamics Corporation of America 411,938
Pepsico, Inc. 614,329 Paradigm Packaging, Inc. 1,061,049
Specialty Commodities, Inc. 1,312,339 Pliant Corporation 344,048
Vitality Foodservice, Inc. 1,152,789 Vitex Packaging Group, Inc. --
-------------- --------------
5,769,551 3,991,392
-------------- --------------
BROADCASTING & ENTERTAINMENT - 3.28% DISTRIBUTION - 1.99%
Charter Communications Op LLC 686,250 Duncan Systems, Inc. 820,208
Citadel Broadcasting Corporation 98,125 FCX Holdings Corporation 1,278,627
CKX, Inc. 215,250 QualServ Corporation --
Comcast Corporation 497,185 --------------
Mediacom Broadband LLC 701,250 2,098,835
Virgin Media Finance PLC 746,550 --------------
Workplace Media Holding Co. 516,189
--------------
3,460,799
--------------
------------------------------------------------------------------------------------------------------------------------------------
31
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
DIVERSIFIED/CONGLOMERATE, FARMING & AGRICULTURE - 1.35%
MANUFACTURING - 10.39% Protein Genetics, Inc. $ --
A H C Holdings Company, Inc. $ 1,294,174 Waggin' Train Holdings LLC 1,426,467
Arrow Tru-Line Holdings, Inc. 778,887 --------------
C D N T, Inc. 781,464 1,426,467
Douglas Dynamics LLC 315,250 --------------
Evans Consoles, Inc. 635,574 FINANCIAL SERVICES - 1.06%
K P I Holdings, Inc. 1,124,020 Citigroup, Inc. 439,286
MEGTEC Holdings, Inc. 1,243,970 Ford Motor Credit Co. 224,213
Milwaukee Gear Company 1,324,745 Goldman Sachs Group, Inc. 459,269
Nortek, Inc. 41,750 Highgate Capital LLC --
Postle Aluminum Company LLC 291,240 --------------
Radiac Abrasives, Inc. 1,572,799 1,122,768
Truck Bodies & Equipment International 360,864 --------------
Xaloy Superior Holdings, Inc. 1,188,372 HEALTHCARE, EDUCATION & CHILDCARE - 5.67%
-------------- A T I Acquisition Company 1,884,084
10,953,109 American Hospice Management Holding LLC 1,855,498
-------------- F H S Holdings LLC 949,219
DIVERSIFIED/CONGLOMERATE, SERVICE - 10.37% HCA, Inc. 14,175
A W X Holdings Corporation 812,689 Synteract Holdings Corporation 1,274,437
Advanced Technologies Holdings 1,380,665 Touchstone Health Partnership --
C R H America, Inc. 380,627 --------------
Clough, Harbour and Associates 1,384,073 5,977,413
Crane Rental Corporation 1,295,823 --------------
Diversco, Inc./DHI Holdings, Inc. 659,713 HOME & OFFICE FURNISHINGS, HOUSEWARES,
Dwyer Group, Inc. 784,353 AND DURABLE CONSUMER PRODUCTS - 10.16%
Fowler Holding, Inc. -- Connor Sport Court International, Inc. 1,248,207
GQ Holdings LLC -- H M Holding Company --
Insurance Claims Management, Inc. 69,752 Home Decor Holding Company 1,101,830
Interline Brands, Inc. 742,850 Justrite Manufacturing Acquisition Co. 943,778
Iron Mountain, Inc. 496,250 K H O F Holdings, Inc. 1,277,338
Mail Communications Group, Inc. 716,410 Monessen Holding Corporation 1,436,562
Nesco Holdings Corporation 1,496,963 Stanton Carpet Holding Co. 1,166,550
Tyco International Group 129,062 Transpac Holdings Company 797,853
Tyco International Group 588,037 U M A Enterprises, Inc. 912,527
-------------- U-Line Corporation 1,027,812
10,937,267 Wellborn Forest Holding Co. 804,997
-------------- --------------
ELECTRONICS - 1.56% 10,717,454
Connecticut Electric, Inc. 1,110,667 --------------
Directed Electronics, Inc. 19,512
Electronic Data Systems Corporation 515,016
--------------
1,645,195
--------------
------------------------------------------------------------------------------------------------------------------------------------
32
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
LEISURE, AMUSEMENT, ENTERTAINMENT - 2.15% NATURAL RESOURCES - 0.66%
Electra Bicycle Company LLC $ 61,286 Appleton Papers, Inc. $ 150,625
O E D Corp/Diamond Jo Company Guarantee 400,000 Cenveo Corporation 25,256
Savage Sports Holding, Inc. 1,193,154 Intrepid Potash, Inc. 3,412
Ticketmaster Entertainment, Inc. 170,000 Lubrizol Corporation 514,218
Tunica-Biloxi Gaming Authority 437,400 --------------
-------------- 693,511
2,261,840 --------------
-------------- OIL & GAS - 2.50%
MACHINERY - 10.25% Enterprise Products Operating Co. 412,051
A S A P Industries LLC 664,890 Denbury Resources, Inc. 24,125
Davis-Standard LLC 1,703,319 Forest Oil Corporation 46,375
E S P Holdco, Inc. 1,187,361 Nabors Industries LTD 663,750
Integration Technology Systems, Inc. -- Quicksilver Resources, Inc. 166,250
K-Tek Holdings Corporation 1,296,429 Tennessee Gas Pipeline Company 10,000
M V I Holding, Inc. 641,402 Transocean, Inc. 409,375
Manitowoc Company, Inc. 70,000 Total E & S, Inc. 901,542
Morton Industrial Group, Inc. 129,225 --------------
Navis Global 183,116 2,633,468
NetShape Technologies, Inc. 684,471 --------------
Pacific Consolidated Holdings LLC 654,706 PHARMACEUTICALS - 1.27%
Power Services Holding Company 1,382,763 CorePharma LLC 1,341,662
R E I Delaware Holding, Inc. 1,230,516 --------------
Safety Speed Cut Manufacturing Company, Inc. 423,335 PUBLISHING/PRINTING - 0.12%
Stewart & Stevenson LLC 554,925 Sheridan Acquisition Corporation 131,625
-------------- --------------
10,806,458 RETAIL STORES - 1.41%
-------------- Ahold Finance USA, Inc. 498,750
MEDICAL DEVICES/BIOTECH - 3.78% CVS Caremark Corporation 487,581
Coeur, Inc. 637,862 Olympic Sales, Inc. 151,031
E X C Acquisition Corporation 111,970 Rental Service Corporation 85,750
ETEX Corporation - United Rentals, Inc. 260,000
MedSystems Holdings LLC 649,630 --------------
MicroGroup, Inc. 1,987,412 1,483,112
OakRiver Technology, Inc. 596,827 --------------
TherOX, Inc. -- TECHNOLOGY - 3.12%
-------------- Compucom Systems, Inc. 408,700
3,983,701 Sencore Holding Company 1,316,439
-------------- Smart Source Holdings LLC 1,563,072
MINING, STEEL, IRON & NON PRECIOUS --------------
METALS - 1.34% 3,288,211
T H I Acquisition, Inc. 1,259,986 --------------
Tube City IMS Corporation 152,500
--------------
1,412,486
--------------
------------------------------------------------------------------------------------------------------------------------------------
33
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2009
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
TELECOMMUNICATIONS - 2.76% UTILITIES - 0.53%
All Current Holding Company $ 631,874 El Paso Corporation $ 26,500
Cincinnati Bell, Inc. 506,000 Duke Energy Corporation 460,679
Intelsat Bermuda Ltd. 558,900 Inergy LP 71,250
ITC^DeltaCom, Inc. 64,320 --------------
Rogers Wireless, Inc. 580,383 558,429
Verizon Communications 572,090 --------------
-------------- WASTE MANAGEMENT / POLLUTION - 2.66%
2,913,567 Terra Renewal LLC 1,716,073
-------------- Torrent Group Holdings, Inc. 1,090,733
TRANSPORTATION - 1.85% --------------
NABCO, Inc. 215,846 2,806,806
Tangent Rail Corporation 1,733,114 --------------
-------------- TOTAL CORPORATE RESTRICTED AND
1,948,960 PUBLIC SECURITIES - 106.09% $ 111,870,708
-------------- ==============
See Notes to Consolidated Financial Statements
------------------------------------------------------------------------------------------------------------------------------------
34
MassMutual Participation Investors
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(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 income, and capital appreciation. The Trust's principal investments are
privately placed, below-investment grade, long-term 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
common stock, 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. Below-investment grade or high yield securities
have predominantly speculative characteristics with respect to the capacity
of the issuer to pay interest and repay capital. In addition, the Trust may
temporarily invest in high quality, readily marketable securities.
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 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 the
market price whenever market quotations are readily available and all
securities of the same class held by the Trust can be readily sold in such
market.
Nearly all securities which are acquired by the Trust directly from the
issuers and shares into which such securities may be converted or which may
be purchased on the exercise of warrants attached to such securities will be
subject to legal or contractual delays in, or restrictions on, resale and
will therefore be "restricted securities." Generally speaking, as contrasted
with open-market sales of unrestricted securities, which may be effected
immediately if the market is adequate, restricted securities can be sold only
in a public offering for which a registration statement is in effect under
the Securities Act of 1933, as amended (the "1933 Act") or pursuant to a
transaction that is exempt from registration under the 1933 Act.
The value of restricted securities, and of any other assets for which there
are no reliable market quotations, is the fair value as determined in good
faith by the Trust's Board of Trustees (the "Trustees"). Each restricted
security is valued by the Trustees at the time of its acquisition and at
least quarterly thereafter. The Trustees have established guidelines to aid
in the valuation of each security. Generally, restricted securities are
initially valued at cost or less at the time of acquisition by the Trust.
Values greater or less than cost are used thereafter for restricted
securities in appropriate circumstances. Among the factors ordinarily
considered are the existence of restrictions upon the sale of a security held
by the Trust; an estimate of the existence and the extent of a market for the
security; the extent of any discount at which the security was acquired; the
estimated period of time during which the security will not be freely
marketable; the estimated expenses of registering or otherwise qualifying the
security for public sale; estimated underwriting commissions if underwriting
would be required to effect a sale; in the case of a convertible security,
whether or not it would trade on the basis of its stock equivalent; in the
case of a debt obligation which would trade independently of any equity
equivalent, the current yields on comparable securities; the estimated amount
of the floating supply of such securities available for purchase; the
proportion of the issue held by the Trust; changes in the financial condition
and prospects of the issuer; the existence of merger proposals or tender
offers affecting the issuer; and any other factors affecting fair value, all
in accordance with the Investment Company Act of 1940, as amended (the "1940
Act"). In making valuations, opinions of counsel may be relied upon as to
whether or not securities are restricted securities and as to the legal
requirements for public sale.
When market quotations are readily available for unrestricted securities of
an issuer, restricted securities of the same class are generally valued at a
discount from the market price of such unrestricted securities. The Trustees,
however, consider all factors in fixing any discount, including the filing of
a registration statement for such securities under the 1933 Act and any other
developments which are likely to increase the probability that the securities
may be publicly sold by the Trust without restriction.
The Trustees meet at least once each quarter to approve the value of the
Trust's portfolio securities as of the close of business on the last business
day of the preceding quarter. This valuation requires the approval of a
majority of the Trustees of the Trust, including a majority of the Trustees
who are not interested persons of the Trust or of Babson Capital. In making
valuations,
--------------------------------------------------------------------------------
35
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Unaudited)
the Trustees will consider reports by Babson Capital 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 $91,719,502 (86.98% of net assets) as of March 31, 2009
whose values have been estimated by the Trustees in the absence of readily
ascertainable market values. Due to the inherent uncertainty of valuation,
those estimated values may differ significantly from the values that would
have been used had a ready market for the securities existed, and the
differences could be material.
The values for Rule 144A restricted securities and corporate public
securities are stated at the last reported sales price or at prices based
upon quotations obtained from brokers and dealers as of March 31, 2009,
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.
Effective January 1, 2008, the Trust adopted FASB Statement of Financial
Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157
clarifies the definition of fair value, establishes a framework for measuring
fair values and requires additional disclosures about the use of fair value
measurements. FAS 157 requires companies to provide expanded information
about the assets and liabilities measured at fair value and the potential
effect of these fair valuations on an entity's financial performance.
Various inputs are used in determining the value of the Trust's investments.
Using the hierarchy established under FAS 157, these inputs are summarized in
the three broad levels listed below:
Level 1: quoted prices in active markets for identical securities
Level 2: other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayments speeds, credit risk,
etc.)
Level 3: significant unobservable inputs (including the Trust's own
assumptions in determining the fair value of investments)
The inputs and methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Trust's net assets
as of March 31, 2009:
ASSETS TOTAL LEVEL 1 LEVEL 2 LEVEL 3
-----------------------------------------------------------------------------
Restricted Securities $95,043,121 $ -- $ 3,323,619 $91,719,502
Public Securities 16,827,587 302,494 16,525,093 --
Short-term Securities 1,980,000 -- 1,980,000 --
-----------------------------------------------------------------------------
TOTAL $113,850,708 $302,494 $21,828,712 $91,719,502
Following is a reconciliation of Level 3 assets for which significant
unobservable inputs were used to determine fair value:
RESTRICTED PUBLIC SHORT-TERM
ASSETS SECURITIES SECURITIES SECURITIES TOTAL
-----------------------------------------------------------------------------
Beginning balance
at 12/31/2008 $97,424,749 $ -- $ -- $97,424,749
Total gains or losses
(realized/unrealized)
included in earnings* (7,547,321) -- -- (7,547,321)
Purchases, sales,
issuances &
settlements (net) 1,842,074 -- -- 1,842,074
Transfers in and /
or out of Level 3 -- -- -- --
-----------------------------------------------------------------------------
ENDING BALANCE
at 3/31/09 $91,719,502 $ -- $ -- $91,719,502
*The amount of net losses for the period included in earnings attributable to
the change in unrealized gains or losses relating to Level 3 assets still
held at 03/31/09 is $(7,819,842).
B. ACCOUNTING FOR INVESTMENTS:
Investment transactions are accounted for on the trade date. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the
accrual basis, including the amortization of premiums and accretion of
discounts on bonds held using the yield-to-maturity method. The Trust does
not accrue income when payment is delinquent and when management believes
payment is questionable.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
--------------------------------------------------------------------------------
36
MassMutual Participation Investors
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Unaudited)
C. USE OF ESTIMATES:
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ from
those estimates.
D. FEDERAL INCOME TAXES:
The Trust has elected to be taxed as a "regulated investment company" under
the Internal Revenue Code, and intends to maintain this qualification and to
distribute substantially all of its net taxable income to its shareholders.
In any year when net long-term capital gains are realized by the Trust,
management, after evaluating the prevailing economic conditions, will
recommend that Trustees either designate the net realized long-term gains as
undistributed and pay the federal capital gains taxes thereon, or distribute
all or a portion of such net gains.
The Trust is taxed as a regulated investment company and is therefore limited
as to the amount of non-qualified income that it may receive as the result of
operating a trade or business, e.g. the Trust's PRO RATA share of income
allocable to the Trust by a partnership operating company. The Trust's
violation of this limitation could result in the loss of its status as a
regulated investment company, thereby subjecting all of its net income and
capital gains to corporate taxes prior to distribution to its shareholders.
The Trust, from time-to-time, identifies investment opportunities in the
securities of entities that could cause such trade or business income to be
allocable to the Trust. The MMPI Subsidiary Trust (described in Footnote 1,
above) was formed in order to allow investment in such securities without
adversely affecting the Trust's status as a regulated investment company.
The MMPI Subsidiary Trust is not taxed as a regulated investment company.
Accordingly, prior to the Trust 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 three months ended
March 31, 2009, the MMPI Subsidiary Trust has not accrued any income tax
expense.
In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB
Interpretation No. 48, ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES - AN
INTERPRETATION OF FASB STATEMENT NO. 109 ("FIN 48"). Management has analyzed
the Trust's tax positions taken on federal income tax returns for all open
tax years and has concluded that as of March 31, 2009, no provision for
uncertain income tax positions would be required in the Trust's financial
statements. The Trust's federal and state income and federal excise tax
returns for tax years for which the applicable statutes of limitations have
not expired are subject to examination by the Internal Revenue Service and
state departments of revenue.
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.
F. EXPENSE REDUCTION:
Citibank, N.A. ("Citibank") serves as custodian to the Trust. Pursuant to the
custodian agreement, Citibank receives a fee reduced by credits on cash
balances the Trust maintains with Citibank. All credit balances, if any, used
to reduce the Trust's custodian fees are reported as fees paid indirectly on
the Statement of Operations. For the three months ended March 31, 2009, there
were no credit balances used to reduce custodian fees.
3. INVESTMENT ADVISORY AND ADMINISTRATIVE SERVICES CONTRACT
A. SERVICES:
Under an Investment Advisory and Administrative Services Contract (the
"Contract") with the Trust, Babson Capital has agreed to use its best efforts
to present to the Trust a continuing and suitable investment program
consistent with the investment objectives and policies of the Trust. Babson
Capital represents the Trust in any negotiations with issuers, investment
banking firms, securities brokers or dealers and other institutions or
investors relating to the Trust's investments. Under the Contract, Babson
Capital also provides administration of the day-to-day operations of the
Trust and provides the Trust with office space and office equipment,
accounting and bookkeeping services, and necessary executive, clerical and
secretarial personnel for the performance of the foregoing services.
B. FEE:
For its services under the Contract, Babson Capital is paid a quarterly
investment advisory fee equal to 0.225% of the value of the Trust's net
assets as of the last business day of each fiscal quarter, an amount
approximately equivalent to 0.90% 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.
4. SENIOR SECURED INDEBTEDNESS
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
--------------------------------------------------------------------------------
37
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Unaudited)
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 three months ended March 31,
2009, the Trust incurred total interest expense on the Note of $174,000.
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.
5. PURCHASES AND SALES OF INVESTMENTS
FOR THE THREE
MONTHS ENDED
3/31/2009
COST OF PROCEEDS FROM
INVESTMENTS SALES OR
ACQUIRED MATURITIES
-------- ----------
Corporate restricted securities $3,273,194 $1,054,247
Corporate public securities 2,142,152 868,491
The aggregate cost of investments is substantially the same for financial
reporting and federal income tax purposes as of March 31, 2009. The net
unrealized depreciation of investments for financial reporting and federal
tax purposes as of March 31, 2009 is $23,804,196 and consists of $7,987,072
appreciation and $31,791,268 depreciation.
--------------------------------------------------------------------------------
38
MassMutual Participation Investors
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DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN
MassMutual Participation Investors offers a Dividend Reinvestment and Cash
Purchase Plan. The Plan provides a simple and automatic way for shareholders to
add to their holdings in the Trust through the receipt of dividend shares issued
by the Trust or through the reinvestment of cash dividends in Trust shares
purchased in the open market. The dividends of each shareholder will be
automatically reinvested in the Trust by Shareholder Financial Services Inc.,
the Transfer Agent, in accordance with the Plan, unless such shareholder elects
not to participate by providing written notice to the Transfer Agent. A
shareholder may terminate his or her participation by notifying the Transfer
Agent in writing.
Participating shareholders may also make additional contributions to the Plan
from their own funds. Such contributions may be made by personal check or other
means in an amount not less than $100 nor more than $5,000 per quarter. Cash
contributions must be received by the Transfer Agent at least five days (but no
more then 30 days) before the payment date of a dividend or distributions.
Whenever the Trust declares a dividend payable in cash or shares, the Transfer
Agent, acting on behalf of each participating shareholder, will take the
dividend in shares only if the net asset value is lower than the market price
plus an estimated brokerage commission as of the close of business on the
valuation day. The valuation day is the last day preceding the day of dividend
payment. When the dividend is to be taken in shares, the number of shares to be
received is determined by dividing the cash dividend by the net asset value as
of the close of business on the valuation date or, if greater than net asset
value, 95% of the closing share price. If the net asset value of the shares is
higher than the market value plus an estimated commission, the Transfer Agent,
consistent with obtaining the best price and execution, will buy shares on the
open market at current prices promptly after the dividend payment date.
The reinvestment of dividends does not, in anyway, relieve participating
shareholders of any federal, state or local tax. For federal income tax
purposes, the amount reportable in respect of a dividend received in
newly-issued shares of the Trust will be the fair market value of the shares
received, which will be reportable as ordinary income and/or capital gains.
As compensation for its services, the Transfer Agent receives a fee of 5% of any
dividend and cash contribution (in no event in excess of $2.50 per distribution
per shareholder.)
Any questions regarding the Plan should be addressed to Shareholder Financial
Services, Inc., Agent for MassMutual Participation Investors' Dividend
Reinvestment and Cash Purchase Plan, P.O. Box 173673, Denver, CO 80217-3673.
MEMBERS OF THE BOARD OFFICERS
OF TRUSTEES
Donald Glickman Clifford M. Noreen
chairman
Robert E. Joyal
Michael L. Klofas
William J. Barrett President
Michael H. Brown* James M. Roy
Vice President & Chief
Donald E. Benson* Financial Officer
Dr. Corine T. Norgaard* Patricia J. Walsh
Vice President, Secretary
Clifford M. Noreen & Chief Legal Officer
Martin T. Hart Jill A. Fields
Vice President
Maleyne M. Syracuse
Michael P. Hermsen
*Member of the Audit committee Vice President
Mary Wilson Kibbe
Vice President
Richard E. Spencer, II
Vice President
Daniel J. Florence
Treasurer
John T. Davitt, Jr.
Comptroller
Melissa M. LaGrant
Chief Compliance Officer
MassMutual
Participation Investors
PI3555