MassMutual
Participation Investors
Report for the
Three Months Ended March 31, 2010
[LOGO]
ADVISER
Babson Capital Management LLC*
1500 Main Street, P.O. Box 15189
Springfield, Massachusetts 01115-5189
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
Boston, Massachusetts 02110
COUNSEL TO THE TRUST
Ropes & Gray LLP
Boston, Massachusetts 02110
CUSTODIAN
Citibank, N.A.
New York, New York 10043
TRANSFER AGENT & REGISTRAR
Shareholder Financial Services, Inc.*
P.O. Box 173673
Denver, Colorado 802 17-3673
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
* Member of the MassMutual Financial Group
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INVESTMENT OBJECTIVE AND POLICY
MassMutual Participation Investors (the "Trust") is a closed-end management
investment company, first offered to the public in 1988, whose shares are traded
on the New York Stock Exchange under the trading symbol "MPV". The Trust's share
price can be found in the financial section of most newspapers as "MassPrt" or
"MassMuPrt" under either 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, 2010
We are pleased to present the March 31, 2010 Quarterly Report of MassMutual
Participation Investors (the "Trust").
The Board of Trustees declared a quarterly dividend of 25 cents per share,
payable on May 7, 2010 to shareholders of record on April 26, 2010. The Trust
paid a 25 cent per share dividend for the preceding quarter. The Trust earned 24
cents per share of net investment income for the first quarter of 2010, compared
to 20 cents per share in the previous quarter.
During the first quarter, the net assets of the Trust increased to $111,638,992
or $11.16 per share compared to $108,925,375 or $10.91 per share on December 31,
2009. This translates into a 2.3% total return for the quarter, based on the
change in the Trust's net assets assuming the reinvestment of all dividends.
Longer term, the Trust returned 15.0%, 3.5%, 9.9%, and 10.8% 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's share price increased 2.5% during the quarter, from $12.20 per share
as of December 31, 2009 to $12.50 per share as of March 31, 2010. The Trust's
market price of $12.50 per share equates to a 12.0% premium over the March 31,
2010 net asset value per share of $11.16. The Trust's average quarter-end
premium for the 3, 5 and 10-year periods was 0.8%, 2.0% and 6.3%, respectively.
U.S. equity markets, as approximated by the Russell 2000 Index, increased 8.9%
for the quarter. U.S. fixed income markets, as approximated by the Barclays
Capital U.S. Corporate High Yield Index, increased 4.6% for the quarter.
The Trust closed two new private placement investments during the first quarter.
The two new investments were in Manhattan Beachwear Holding Company and Eatem
Holding Company. A brief description of these investments can be found in the
Consolidated Schedule of Investments. The total amount invested by the Trust in
these two transactions was $2,000,000.
Banks and other senior debt providers have steadily increased the amount of
capital available to finance middle market buyout transactions over the past few
quarters. As a result, we have seen a significant increase in deal flow
available to the Trust over the past few months. We are hopeful that this higher
level of deal flow will translate into an increase in the number of new
investments for the Trust as we progress through the rest of 2010. On the
negative side, the trend towards lower leverage and more conservative capital
structures that we enjoyed through most of 2009 appears to be changing. Leverage
multiples have increased since the start of 2010 and we expect them to continue
to increase during the rest of the year. At the same time, we are seeing
downward pressure on pricing and return expectations. However, our approach to
investing will not change. We will continue to maintain the same discipline and
investment philosophy that has served us well for so many years.
During 2009, we spent considerable time working closely with the transaction
sponsors and management teams of many of our portfolio companies who were
struggling due to the weak economy. With the economy now improving, it is
refreshing to see many of our underperforming companies starting to show signs
of improved results. Assuming the economy continues to improve, we expect the
overall condition of the Trust's portfolio to strengthen as the rest of 2010
unfolds. We are also seeing signs of a recovery in realization activity. One of
the Trust's portfolio companies, Tangent Rail Corporation, was sold for a gain
on April 1, 2010. There are a number of portfolio companies that are in various
stages of a sale process and we are hopeful that many of these will turn into
successful realizations in the upcoming quarters.
Thank you for your continued interest in and support of MassMutual Participation
Investors.
Sincerely,
/s/ Michael L. Klofas
Michael L. Klofas
President
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PORTFOLIO COMPOSITION AS OF 3/31/10*
[PIE CHART APPEARS HERE]
PRIVATE / 144A HIGH PUBLIC HIGH YIELD
YIELD DEBT DEBT
70.2% 13.3%
PRIVATE / RESTRICTED PUBLIC EQUITY
EQUITY 0.5%
12.5%
CASH & SHORT-TERM
INVESTMENTS
3.5%
* 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, 2010
(UNAUDITED)
ASSETS:
Investments
(See Consolidated Schedule of Investments)
Corporate restricted securities at fair value
(Cost - $115,733,457) $ 97,697,290
Corporate restricted securities at market value
(Cost - $ 4,086,961) 4,202,113
Corporate public securities at market value
(Cost - $ 17,792,780) 16,952,356
Short-term securities at amortized cost 2,199,934
-------------
121,051,693
Cash 2,062,887
Interest receivable 2,654,737
Receivable for investments sold 424,920
Other assets 18,869
-------------
TOTAL ASSETS 126,213,106
-------------
LIABILITIES:
Payable for investments purchased 1,871,429
Investment advisory fee payable 251,188
Note payable 12,000,000
Interest payable 262,933
Accrued expenses 112,076
Accrued taxes payable 76,488
-------------
TOTAL LIABILITIES 14,574,114
-------------
TOTAL NET ASSETS $ 111,638,992
=============
NET ASSETS:
Common shares, par value $.01 per share; an unlimited
number authorized $ 100,009
Additional paid-in capital 93,309,916
Retained net realized gain on investments, prior years 32,871,737
Undistributed net investment income 3,633,410
Accumulated net realized gain on investments 561,847
Net unrealized depreciation of investments (18,837,927)
-------------
TOTAL NET ASSETS $ 111,638,992
=============
COMMON SHARES ISSUED AND OUTSTANDING 10,000,896
=============
NET ASSET VALUE PER SHARE $ 11.16
=============
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, 2010
(UNAUDITED)
INVESTMENT INCOME:
Interest $ 2,898,569
Dividends 493
Other 12,050
-------------
TOTAL INVESTMENT INCOME 2,911,112
-------------
EXPENSES:
Investment advisory fees 251,188
Interest 174,000
Trustees' fees and expenses 41,438
Professional fees 34,500
Reports to shareholders 27,000
Custodian fees 6,000
Transfer agent/registrar's expenses 4,500
Other 11,200
-------------
Total expenses 549,826
-------------
Investment income - net 2,361,286
-------------
Net realized and unrealized gain (loss) on investments:
Net realized gain on investments before taxes 294,891
Income tax expense (477)
-------------
Net realized gain on investments after taxes 294,414
Net change in unrealized depreciation of investments
before taxes (160,143)
Net change in deferred income tax expense 8,475
-------------
Net change in unrealized depreciation of investments
after taxes (151,668)
-------------
Net gain on investments 142,746
-------------
Net increase in net assets resulting from operations $ 2,504,032
=============
See Notes to Consolidated Financial Statements
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3
CONSOLIDATED STATEMENT OF CASH FLOWS
FOR THE THREE MONTHS ENDED MARCH 31, 2010
(UNAUDITED)
NET DECREASE IN CASH:
Cash flows from operating activities:
Purchases/Proceeds/Maturities from short-term portfolio
securities, net $ 5,324,540
Purchases of portfolio securities (7,461,818)
Proceeds from disposition of portfolio securities 2,046,792
Interest, dividends and other income received 1,648,556
Operating expenses paid (453,723)
Income taxes paid (36,477)
-------------
NET CASH PROVIDED BY OPERATING ACTIVITIES 1,067,870
-------------
Cash flows from financing activities:
Cash dividends paid from net investment income (2,495,810)
Receipts for shares issued on reinvestment of dividends 209,585
-------------
NET CASH USED FOR FINANCING ACTIVITIES (2,286,225)
-------------
NET DECREASE IN CASH (1,218,355)
Cash - beginning of year 3,281,242
-------------
CASH - END OF PERIOD $ 2,062,887
=============
RECONCILIATION OF NET INCREASE IN NET ASSETS TO NET
CASH PROVIDED BY OPERATING ACTIVITIES:
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,504,032
-------------
Increase in investments (1,809,632)
Increase in interest receivable (1,132,542)
Increase in receivable for investments sold (379,307)
Increase in other assets (18,869)
Increase in payable for investments purchased 1,871,429
Increase in investment advisory fee payable 6,106
Increase in interest payable 174,000
Decrease in accrued expenses (44,751)
Decrease in accrued taxes payable (44,475)
Decrease in other payables (58,121)
-------------
TOTAL ADJUSTMENTS TO NET ASSETS FROM OPERATIONS (1,436,162)
-------------
NET CASH PROVIDED BY OPERATING ACTIVITIES $ 1,067,870
=============
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
03/31/10 year ended
(Unaudited) 12/31/09
------------ ------------
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Investment income - net $ 2,361,286 $ 9,375,528
Net realized gain on investments 294,414 1,012,575
Net change in unrealized depreciation of investments (151,668) (2,299,878)
------------ ------------
Net increase in net assets resulting from operations 2,504,032 8,088,225
Increase from common shares issued on reinvestment of dividends
Common shares issued (2010 - 17,657; 2009 - 55,996) 209,585 616,488
Dividends to shareholders from:
Net investment income (2009 - $1.00 per share) -- (9,955,268)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 2,713,617 (1,250,555)
Net assets, beginning of year 108,925,375 110,175,930
------------ ------------
NET ASSETS, END OF PERIOD/YEAR (including undistributed net investment
income of $3,633,410 and $1,272,124, respectively) $111,638,992 $108,925,375
============ ============
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,
3/31/2010 -----------------------------------------------------------------
(Unaudited) 2009 2008 2007 2006 2005
--------- --------- --------- --------- --------- ---------
Net asset value:
Beginning of year $ 10.91 $ 11.10 $ 12.84 $ 12.90 $ 12.21 $ 11.13
Net investment income (a) 0.24 0.94 1.08 1.23 1.10 0.99
Net realized and unrealized
gain (loss) on investments 0.01 (0.13) (1.82) (0.05) 0.77 1.09(b)
Total from investment operations 0.25 0.81 (0.74) 1.18 1.87 2.08
Dividends from net investment
income to common shareholders -- (1.00) (1.00) (1.23) (1.18) (1.01)
Dividends from net realized gain
on investments to common shareholders -- -- -- (0.02) (0.01) --
Increase from dividends reinvested -- 0.00(c) 0.00(c) 0.01 0.01 0.01
Total dividends -- (1.00) (1.00) (1.24) (1.18) (1.00)
Net asset value: end of period/year $ 11.16 $ 10.91 $ 11.10 $ 12.84 $ 12.90 $ 12.21
Per share market value:
End of period/year $ 12.50 $ 12.20 $ 9.05 $ 13.18 $ 14.70 $ 14.05
Total investment return
Net asset value (d) 2.29% 7.60% (6.01%) 9.95% 18.64% 22.51%
Market value 2.46% 40.86% (25.36%) (1.30%) 16.81% 17.25%
Net assets (in millions):
End of period/year $ 111.64 $ 108.93 $ 110.18 $ 126.63 $ 126.52 $ 119.02
Ratio of operating expenses
to average net assets 1.38%(e) 1.41% 1.33% 1.36% 1.17% 1.45%
Ratio of interest expense
to average net assets 0.64%(e) 0.63% 0.58% 0.56% 0.57% 0.80%
Ratio of income tax expense
to average net assets (f) 0.00%(e) 0.00% 0.00% 0.48% 2.68% 2.83%
Ratio of total expenses
before custodian fee
reduction to average
net assets (f) 2.02%(e) 2.04% 1.91% 2.40% 4.46% 5.12%
Ratio of net expenses after
custodian fee reduction
to average net assets (f) 2.02%(e) 2.04% 1.91% 2.40% 4.42% 5.08%
Ratio of net investment
income to average net assets 8.67%(e) 8.55% 8.74% 9.32% 8.43% 8.45%
Portfolio turnover 2% 23% 32% 33% 34% 32%
(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 $ 12
Asset coverage per $1,000 of
indebtedness $ 10,303 $ 10,077 $ 10,181 $ 11,552 $ 11,543 $ 10,918
See Notes to Consolidated Financial Statements
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6
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES - 91.27%:(A) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
PRIVATE PLACEMENT INVESTMENTS - 87.51%
A E COMPANY, INC.
A designer and manufacturer of machined parts and assembly structures for the commercial and military aerospace industries.
11% Senior Secured Note due 2015 $ 807,692 * $ 791,538 $ 809,033
13% Senior Subordinated Note due 2016 $ 807,693 11/10/09 722,973 809,363
Common Stock (B) 184,615 shs. 11/10/09 184,615 175,384
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B) 92,308 shs. 11/10/09 68,566 923
------------ ------------
* 11/10/09 and 11/18/09. 1,767,692 1,794,703
------------ ------------
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 $ 1,322,210 11/21/07 1,294,958 1,335,432
Limited Partnership Interest (B) 12.26% int. 11/21/07 119,009 164,232
------------ ------------
1,413,967 1,499,664
------------ ------------
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 $ 450,500 12/31/08 391,316 459,510
Limited Liability Company Unit Class A-2 (B) 677 uts. 12/31/08 74,333 106,508
Limited Liability Company Unit Class A-3 (B) 608 uts. 12/31/08 66,899 95,858
------------ ------------
532,548 661,876
------------ ------------
A S C GROUP, INC.
A designer and manufacturer of high reliability encryption equipment, communications products, computing systems and electronic
components primarily for the military and aerospace sectors.
12.75% Senior Subordinated Note due 2016 $ 1,227,273 10/09/09 1,051,875 1,241,228
Limited Liability Company Unit Class A (B) 1,249 uts. 10/09/09 122,727 116,595
Limited Liability Company Unit Class B (B) 1,473 uts. 10/09/09 144,716 15
------------ ------------
1,319,318 1,357,838
------------ ------------
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 05/15/08 411,600 390,491
13% Senior Subordinated Note due 2015 $ 420,000 05/15/08 382,617 375,793
Common Stock (B) 60,000 shs. 05/15/08 60,000 --
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 21,099 shs. 05/15/08 35,654 --
------------ ------------
889,871 766,284
------------ ------------
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7
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
ADVANCED TECHNOLOGIES HOLDINGS
A provider of factory maintenance services to industrial companies.
15% Senior Subordinated Note due 2013 $ 1,155,508 12/27/07 $ 1,133,004 $ 1,149,722
Preferred Stock (B) 546 shs. 12/27/07 270,000 176,619
------------ ------------
1,403,004 1,326,341
------------ ------------
AERO HOLDINGS, INC.
A provider of geospatial services to corporate and government clients.
10.5% Senior Secured Term Note due 2014 $ 930,000 03/09/07 916,050 933,534
14% Senior Subordinated Note due 2015 $ 720,000 03/09/07 659,836 720,000
Common Stock (B) 150,000 shs. 03/09/07 150,000 --
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 37,780 shs. 03/09/07 63,730 --
------------ ------------
1,789,616 1,653,534
------------ ------------
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 09/26/08 554,905 590,342
Common Stock (B) 713 shs. 09/26/08 71,303 38,537
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 507 shs. 09/26/08 46,584 27,403
------------ ------------
672,792 656,282
------------ ------------
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 1,687,503
Preferred Class A Unit (B) 1,706 uts. ** 170,600 274,995
Preferred Class B Unit (B) 808 uts. 06/09/08 80,789 105,965
Common Class B Unit (B) 16,100 uts. 01/22/04 1 38,360
Common Class D Unit (B) 3,690 uts. 09/12/06 -- 8,792
------------ ------------
* 01/22/04 and 06/09/08. ** 01/22/04 and 09/12/06. 1,857,430 2,115,615
------------ ------------
APEX ANALYTIX HOLDING CORPORATION
A provider of audit recovery and fraud detection services and software to commercial and retail businesses in the U.S. and Europe.
12.5% Senior Subordinated Note due 2016 $ 1,012,500 04/28/09 849,130 1,042,875
Preferred Stock Series B (B) 1,623 shs. 04/28/09 162,269 16
Common Stock (B) 723 shs. 04/28/09 723 7
------------ ------------
1,012,122 1,042,898
------------ ------------
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8
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
ARROW TRU-LINE HOLDINGS, INC.
A manufacturer of hardware for residential and commercial overhead garage doors in North America.
14% Senior Subordinated Note due 2012 $ 984,209 05/18/05 $ 882,714 $ 787,367
Preferred Stock (B) 33 shs. 10/16/09 33,224 16,610
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 --
------------ ------------
1,238,598 803,977
------------ ------------
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 1,151,549 1,173,119
Preferred Stock Class A (B) 465 shs. 06/30/06 141,946 64,367
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 22,621
------------ ------------
1,342,407 1,260,107
------------ ------------
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 08/07/08 420,489 398,054
12.5% Senior Subordinated Note due 2015 $ 429,070 08/07/08 393,490 378,132
Common Stock (B) 41,860 shs. 08/07/08 41,860 --
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 32,914 shs. 08/07/08 32,965 --
------------ ------------
888,804 776,186
------------ ------------
CAPITAL SPECIALTY PLASTICS, INC.
A producer of desiccant strips used for packaging pharmaceutical products.
Common Stock (B) 55 shs. * 252 397,832
------------ ------------
* 12/30/97 and 05/29/99.
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 1,296,000
Preferred Stock (B) 147 shs. 12/02/08 146,594 142,990
------------ ------------
1,324,588 1,438,990
------------ ------------
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9
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
COEUR, INC.
A producer of proprietary, disposable power injection syringes.
12% Senior Subordinated Note due 2016 $ 642,857 10/10/08 $ 581,786 $ 655,714
Common Stock (B) 321 shs. 10/10/08 32,143 26,808
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 495 shs. 10/10/08 48,214 41,243
------------ ------------
662,143 723,765
------------ ------------
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 1,182,283 506,955
Limited Liability Company Unit Class A (B) 82,613 uts. 01/12/07 82,613 --
Limited Liability Company Unit Class C (B) 59,756 uts. 01/12/07 59,756 --
------------ ------------
1,324,652 506,955
------------ ------------
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. 07/05/07 158,912 475,708
Common Stock (B) 380 shs. 07/05/07 4 133
Limited Partnership Interest (B) 6.8 8% int. * 103,135 --
------------ ------------
*08/12/04 and 01/14/05. 632,847 1,383,913
------------ ------------
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 1,307,274 1,350,000
Warrant, exercisable until 2013, to purchase
common stock at $.001 per share (B) 10 shs. 08/04/05 72,617 109,111
------------ ------------
1,379,891 1,459,111
------------ ------------
CRANE RENTAL CORPORATION
A crane rental company.
13% Senior Subordinated Note due 2015 $ 1,215,000 08/21/08 1,103,928 1,239,300
Common Stock (B) 135,000 shs. 08/21/08 135,000 41,578
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 72,037 shs. 08/21/08 103,143 22,186
------------ ------------
1,342,071 1,303,064
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
10
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
CUSTOM ENGINEERED WHEELS, INC.
A manufacturer of custom engineered, non-pneumatic plastic wheels and plastic tread cap tires used primarily for lawn and garden
products and wheelchairs.
12.5% Senior Subordinated Note due 2016 $ 1,155,288 10/27/09 $ 1,002,074 $ 1,166,017
Preferred Stock PIK 156 shs. 10/27/09 156,468 148,647
Preferred Stock Series A 114 shs. 10/27/09 104,374 1
Common Stock (B) 38 shs. 10/27/09 38,244 36,328
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 28 shs. 10/27/09 25,735 --
------------ ------------
1,326,895 1,350,993
------------ ------------
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 10/30/06 929,325 957,957
Limited Partnership Interest (B) 0.97% int. 10/30/06 371,739 416,088
Warrant, exercisable until 2014, to purchase
preferred stock at $.01 per share (B) 26 shs. 10/30/06 26,380 36,240
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 18 shs. 10/30/06 18,000 16,653
------------ ------------
1,345,444 1,426,938
------------ ------------
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) 1,293 shs. 12/14/01 1,093,491 1,041,010
Warrants, exercisable until 2011, to purchase
common stock of DHI Holdings, Inc. at $.01 per share (B) 6,676 shs. * 201,655 --
------------ ------------
* 10/24/96 and 08/28/98. 1,661,641 1,041,010
------------ ------------
DUNCAN SYSTEMS, INC.
A distributor of windshields and side glass for the recreational vehicle market.
10% Senior Secured Term Note due 2013 $ 231,429 11/01/06 227,957 237,579
13% Senior Subordinated Note due 2014 $ 488,572 11/01/06 448,244 488,572
Common Stock (B) 102,857 shs. 11/01/06 102,857 99,363
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 32,294 shs. 11/01/06 44,663 31,197
------------ ------------
823,721 856,711
------------ ------------
DWYER GROUP, INC.
A franchiser of a variety of home repair services.
Common Stock (B) 3,656 shs. * 365,600 615,516
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 181,256
------------ ------------
*10/30/03 and 01/02/04. 464,319 796,772
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
11
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 1,228,850 01/08/08 $ 1,205,952 $ 1,151,153
Common Stock (B) 349 shs. 01/08/08 174,701 21,871
------------ ------------
1,380,653 1,173,024
------------ ------------
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 40,875 103,878
------------ ------------
EATEM HOLDING COMPANY
A developer and manufacturer of savory flavor systems for soups, sauces, gravies, and other products produced by food manufacturers
for retail and foodservice end products.
12.5% Senior Subordinated Note due 2018 $ 950,000 02/01/10 823,900 944,894
Common Stock 50 shs. 02/01/10 50,000 47,500
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 119 shs. 02/01/10 107,100 1
------------ ------------
981,000 992,395
------------ ------------
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 $ 1,169,376 10/06/08 1,146,124 1,180,157
Preferred Stock (B) 2,298 shs. 10/06/08 229,804 107,624
Common Stock (B) 1,625 shs. 10/06/08 1,625 --
------------ ------------
1,377,553 1,287,781
------------ ------------
F H S HOLDINGS LLC
A national provider of customized disease management services to large self-insured employers.
12% Senior Subordinated Note due 2014 (D) $ 1,265,625 06/01/06 1,175,533 316,406
Limited Liability Company Units of Linden/FHS Holdings LLC (B) 84 uts. 06/01/06 84,368 --
Common Unit Class B (B) 734 uts. 06/01/06 64,779 --
------------ ------------
1,324,680 316,406
------------ ------------
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 (D) $ 524,791 04/13/06 516,919 131,198
14% Senior Subordinated Note due 2014 (D) $ 317,177 04/13/06 283,220 --
------------ ------------
800,139 131,198
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
12
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
GOLDEN COUNTY FOODS HOLDING, INC.
A manufacturer of frozen appetizers and snacks.
16% Senior Subordinated Note due 2015 $ 1,012,500 11/01/07 $ 914,607 $ 911,250
16% PIK Note due 2015 $ 212,282 12/31/08 173,369 191,054
8% Series A Convertible Preferred Stock, convertible into
fully diluted common shares (B) 77,643 shs. 11/01/07 77,643 --
------------ ------------
1,165,619 1,102,304
------------ ------------
H M HOLDING COMPANY
A designer, manufacturer, and importer of promotional and wood furniture.
7.5% Senior Subordinated Note due 2013 (D) $ 362,700 10/15/09 271,181 181,350
Preferred Stock (B) 21 shs. * 21,428 --
Preferred Stock Series B (B) 1,088 shs. 10/15/09 813,544 --
Common Stock (B) 180 shs. 02/10/06 180,000 --
Common Stock Class C (B) 296 shs. 10/15/09 -- --
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 67 shs. 02/10/06 61,875 --
------------ ------------
* 09/18/07 and 06/27/08. 1,348,028 181,350
------------ ------------
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 * 1,028,693 1,081,731
Common Stock (B) 33 shs. * 33,216 40,781
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 106 shs. * 105,618 129,660
------------ ------------
* 06/30/04 and 08/19/04. 1,167,527 1,252,172
------------ ------------
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 1,043,895
Common Stock (B) 251 shs. 08/19/08 251,163 52,109
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 65 shs. 08/19/08 60,233 13,469
------------ ------------
1,328,024 1,109,473
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
13
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 93,048
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 11 shs. 02/27/07 324 27,411
------------ ------------
1,424 120,459
------------ ------------
INTERNATIONAL OFFSHORE SERVICES LLC
A leading provider of marine transportation services, platform decomissioning, and salvage services to oil and gas producers in the
shallow waters of the Gulf of Mexico.
14.25% Senior Subordinated Secured Note due 2017 $ 1,350,000 07/07/09 1,217,417 1,350,599
Limited Liability Company Unit (B) 1,647 uts. 07/07/09 98,833 16
------------ ------------
1,316,250 1,350,615
------------ ------------
JASON, INC.
A diversified manufacturing company serving various industrial markets.
13% Senior Subordinated Note due 2010 $ 510,187 08/04/00 449,086 25,509
Limited Partnership Interest of
Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,312 --
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 --
------------ ------------
979,499 25,509
------------ ------------
JUSTRITE MANUFACTURING ACQUISITION CO.
A manufacturer of safety products such as storage cabinets and containers.
12% Senior Subordinated Note due 2011 $ 843,750 12/15/04 823,567 843,750
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 86,666
------------ ------------
877,095 930,416
------------ ------------
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 $ 1,295,234 10/15/07 1,269,736 1,308,179
Common Stock (B) 116,827 shs. 10/15/07 116,827 124,242
------------ ------------
1,386,563 1,432,421
------------ ------------
K N B HOLDINGS CORPORATION
A designer, manufacturer and marketer of products for the custom framing market.
15.5% Senior Subordinated Note due 2013 $ 1,595,057 05/25/06 1,398,385 797,529
Common Stock (B) 71,053 shs. 05/25/06 71,053 --
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,600 shs. 05/25/06 37,871 --
------------ ------------
1,507,309 797,529
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
14
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 836,413
Convertible Preferred Stock Series C (B) 29 shs. 06/30/09 29,348 --
Convertible Preferred Stock Series D (B) 13 shs. 09/17/09 12,958 --
Common Stock (B) 235 shs. 07/15/08 234,783 --
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 388 shs. * 50,836 --
------------ ------------
* 07/16/08 and 09/17/09. 1,370,002 836,413
------------ ------------
K W P I HOLDINGS CORPORATION
A manufacturer and distributor of vinyl windows and patio doors throughout the northwestern United States.
18% Senior Subordinated Note due 2014 $ 1,488,425 03/14/07 1,354,916 1,190,740
Common Stock (B) 123 shs. 03/13/07 123,000 --
Warrant, exercisable until 2019, to purchase
preferred stock at $.01 per share (B) 71 shs. 07/07/09 -- --
Warrant, exercisable until 2017, to purchase
common stock at $.01 per share (B) 89 shs. 03/14/07 85,890 --
------------ ------------
1,563,806 1,190,740
------------ ------------
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 $ 1,211,004 12/20/07 1,189,114 1,223,114
Preferred Stock (B) 192,314 shs. 12/20/07 192,314 225,908
Common Stock (B) 54,326 shs. 12/20/07 543 15,186
------------ ------------
1,381,971 1,464,208
------------ ------------
L H D EUROPE HOLDING, INC.
A non-carbonated beverage dispensing company focused on the food service industry.
Common Stock (B) 45 shs. 12/28/09 4,191 12,825
------------ ------------
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 and gas, mining, and defense markets.
13% Senior Subordinated Note due 2016 $ 652,886 09/12/08 605,133 625,998
Common Stock (B) 32 shs. 09/12/08 32,143 --
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 35 shs. 09/12/08 34,714 --
------------ ------------
671,990 625,998
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
15
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 516,177
Limited Liability Company Unit (B) 12,763 uts. * 166,481 172,769
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 1,787 shs. 05/04/07 22,781 24,189
------------ ------------
* 05/04/07 and 01/02/08. 672,334 713,135
------------ ------------
MANHATTAN BEACHWEAR HOLDING COMPANY
A designer and distributor of women's swimwear.
12.5% Senior Subordinated Note due 2018 $ 882,353 01/15/10 771,585 882,785
Common Stock (B) 118 shs. 01/15/10 117,647 111,768
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B) 104 shs. 01/15/10 94,579 1
------------ ------------
983,811 994,554
------------ ------------
MAVERICK ACQUISITION COMPANY
A manufacturer of capsules that cover the cork and neck of wine bottles.
6.79% Senior Secured Tranche A Note due 2010 (C) $ 128,230 09/03/04 128,230 127,582
12.5% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 172,200 173,944
6.75% Senior Secured Revolver due 2011 (C) $ 29,105 09/03/04 29,105 28,641
Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 9,116
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 6,587
------------ ------------
385,673 345,870
------------ ------------
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 $ 617,585 08/29/08 550,695 629,936
Preferred Unit (B) 66 uts. 08/29/08 66,451 73,893
Common Unit Class A (B) 671 uts. 08/29/08 671 45,426
Common Unit Class B (B) 250 uts. 08/29/08 63,564 16,902
------------ ------------
681,381 766,157
------------ ------------
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 1,086,865
Preferred Stock (B) 56 shs. 09/24/08 54,040 6,298
Limited Partnership Interest (B) 0.74% int. 09/16/08 205,932 --
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 18 shs. 09/24/08 18,237 --
------------ ------------
1,327,119 1,093,163
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
16
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 (D) $ 1,421,795 * $ 1,367,708 $ 1,208,526
Common Stock (B) 238 shs. * 238,000 --
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 87 shs. * 86,281 --
------------ ------------
*08/12/05 and 09/11/06. 1,691,989 1,208,526
------------ ------------
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 1,180,575 1,121,539
Preferred Stock (B) 139 shs. 07/21/08 138,374 --
Common Stock (B) 9 shs. 07/21/08 10,000 --
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 6 shs. 07/21/08 5,510 --
------------ ------------
1,334,459 1,121,539
------------ ------------
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 56,198 137,914
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 586 shs. 08/04/06 56,705 143,759
------------ ------------
112,903 281,673
------------ ------------
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 (D) $ 1,350,000 07/25/08 1,275,187 675,000
14% PIK Note due 2014 (D) $ 419,713 07/25/08 342,435 209,856
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 81 shs. 03/31/06 73,125 --
------------ ------------
1,690,747 884,856
------------ ------------
NABCO, INC.
A producer of explosive containment vessels in the United States.
14% Senior Subordinated Note due 2014 $ 330,882 02/24/06 304,577 165,441
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 --
------------ ------------
* 02/24/06 and 06/22/07. 761,248 165,441
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
17
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 2010 $ 16,854 11/14/08 $ 16,854 $ 16,854
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
------------ ------------
1,024,393 103,884
------------ ------------
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 1,136,250
Common Stock (B) 225,000 shs. 08/02/07 225,000 246,348
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 63,191 shs. 08/02/07 102,842 69,186
------------ ------------
1,327,500 1,451,784
------------ ------------
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 02/02/07 745,713 600,380
Limited Partnership Interest of
Saw Mill PCG Partners LLC (B) 1.38% int. 02/01/07 539,990 --
Limited Liability Company Unit Class D of
Saw Mill PCG Partners LLC (B) 8 uts. * 8,147 4,075
Limited Liability Company Unit Class D- 1 of
Saw Mill PCG Partners LLC (B) 43 uts. 09/30/09 43,293 21,651
Preferred Stock Class A (B) 1 sh. 12/18/08 726 360
Preferred Stock Class A-1 (B) 4 shs. 09/30/09 3,757 1,875
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 48 shs. 02/02/07 48,087 --
------------ ------------
* 12/18/09 and 09/30/09. 1,389,713 628,341
------------ ------------
NORTHWEST MAILING SERVICES, INC.
A producer of promotional materials for companies that use direct mail as part of their customer retention and loyalty programs.
12% Senior Subordinated Note due 2016 $ 1,207,895 07/09/09 1,009,721 1,256,211
Limited Partnership Interest (B) 1,421, uts. 07/09/09 142,105 135,000
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B) 1,852 shs. 07/09/09 185,163 19
------------ ------------
1,336,989 1,391,230
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
18
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(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.
10% Senior Secured Note due 2012 $ 464,286 01/28/02 $ 464,286 $ 348,215
15% Senior Subordinated Note due 2012 (D) $ 285,714 01/28/02 270,653 --
Convertable Preferred Stock A (B) 571 shs. 01/28/02 549,507 --
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 --
------------ ------------
1,555,614 348,215
------------ ------------
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 $ 83,264 01/03/06 82,015 85,948
13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 364,097 392,709
Common Stock (B) 184,176 shs. 01/03/06 184,176 126,563
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,073 shs. 01/03/06 35,900 29,599
------------ ------------
666,188 634,819
------------ ------------
OLYMPIC SALES, INC.
A boat retailer in Washington state, Oregon, California and British Columbia.
12% Senior Subordinated Note due 2010 (D) $ 511,000 08/07/98 511,000 76,650
12% Senior Subordinated Note due 2010 (D) $ 244,154 02/09/00 213,313 36,623
------------ ------------
724,313 113,273
------------ ------------
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. 01/17/06 302,885 245,664
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 41,477
------------ ------------
393,309 287,141
------------ ------------
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 $ 1,236,634 07/03/06 1,188,058 1,249,000
Preferred Unit (B) 202 uts. 07/03/06 202,320 298,842
Preferred Unit (B) 36 uts. 07/03/06 36,420 53,795
Common Unit Class I (B) 78 uts. 07/03/06 -- 388,947
Common Unit Class L (B) 17 uts. 07/03/06 -- 82,168
------------ ------------
1,426,798 2,072,752
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
19
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(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 $ 1,159,806 $ 1,215,000
Preferred Stock (B) 19 shs. 03/31/06 174,492 238,730
Common Stock (B) 12 shs. 03/31/06 13,500 85,483
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 49,742
------------ ------------
1,353,686 1,588,955
------------ ------------
PACIFIC CONSOLIDATED HOLDINGS LLC
A manufacturer of rugged, mobile liquid and gaseous oxygen and nitrogen generating systems used in the global defense, oil and gas,
and medical sectors.
14% Senior Subordinated Note due 2012 $ 704,835 04/27/07 665,346 612,732
Limited Liability Company Unit (B) 928,962 uts. 04/27/07 33,477 --
------------ ------------
698,823 612,732
------------ ------------
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 1,091,569 1,120,195
Membership Interests of MM/Lincap
PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 153,013
------------ ------------
1,232,194 1,273,208
------------ ------------
PEARLMAN ENTERPRISES, INC.
A developer and distributor of tools, equipment and supplies to the natural and engineered stone industry.
Preferred Stock Series A (B) 1,236 shs. 05/22/09 59,034 --
Preferred Stock Series B (B) 7,059 shs. 05/22/09 290,050 --
Common Stock (B) 21.462 shs. 05/22/09 993,816 --
------------ ------------
1,342,900 --
------------ ------------
POSTLE ALUMINUM COMPANY LLC
A manufacturer and distributor of aluminum extruded products.
3% Senior Subordinated PIK Note due 2014 (D) $ 1,163,700 10/02/06 1,066,355 --
Limited Liability Company Unit Class A 733 uts. 10/02/06 270,000 --
Limited Liability Company Unit 76 uts. 05/22/09 38,140 36,049
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 4,550 shs. 10/02/06 65,988 --
------------ ------------
1,440,483 36,049
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
20
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 1,156,924 $ 1,213,755
Limited Partnership Interest (B) 12.55% int. 02/11/08 94,092 15,969
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 700 shs. 02/11/08 88,723 31,473
------------ ------------
1,339,739 1,261,197
------------ ------------
PRECISION WIRE HOLDING COMPANY
A manufacturer of specialty medical wires that are used in non-elective minimally invasive surgical procedures.
14.25% Senior Subordinated Note due 2016 $ 1,357,886 11/12/09 1,219,517 1,358,455
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B) 109 shs. 11/12/09 107,970 1
------------ ------------
1,327,487 1,358,456
------------ ------------
QUALIS AUTOMOTIVE LLC
A distributor of aftermarket automotive brake and chassis products.
13% Senior Subordinated Note due 2012 $ 922,612 05/28/04 846,452 972,132
Common Stock (B) 187,500 shs. 05/28/04 187,500 189,055
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 199,969 shs. 05/28/04 199,969 201,628
------------ ------------
1,233,921 1,362,815
------------ ------------
RAJ MANUFACTURING HOLDINGS LLC
A designer and manufacturer of women's swimwear sold under a variety of licensed brand names.
14.5% Senior Subordinated Note due 2014 $ 1,288,627 12/15/06 1,188,371 1,159,764
Limited Liability Company Unit (B) 1,497 uts. 12/15/06 149,723 3,294
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 2 shs. 12/15/06 69,609 1,554
------------ ------------
1,407,703 1,164,612
------------ ------------
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 1,349,445
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 3 shs. 01/18/08 16,459 18,564
------------ ------------
1,323,000 1,368,009
------------ ------------
ROYAL BATHS MANUFACTURING COMPANY
A manufacturer and distributor of acrylic and cultured marble bathroom products.
12.5% Senior Subordinated Note due 2011 $ 562,500 11/14/03 543,731 554,278
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 33,702
------------ ------------
608,820 587,980
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
21
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 141,337
SAVAGE SPORTS HOLDING, INC.
A manufacturer of sporting firearms.
12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 787,404 814,655
Common Stock (B) 324 shs. * 340,378 551,415
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 120,392
------------ ------------
* 09/10/04 and 10/05/07. 1,187,911 1,486,462
------------ ------------
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 $ 934,615 01/15/09 824,097 845,057
Common Stock (B) 69 shs. 01/15/09 69,231 17,308
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B) 149 shs. 01/15/09 149,084 1
------------ ------------
1,042,412 862,366
------------ ------------
SMART SOURCE HOLDINGS LLC
A short-term computer rental company.
12% Senior Subordinated Note due 2015 $ 1,176,924 * 1,083,855 1,141,812
Limited Liability Company Unit (B) 328 uts. * 334,371 211,095
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 83 shs. * 87,231 53,471
------------ ------------
* 08/31/07 and 03/06/08. 1,505,457 1,406,378
------------ ------------
SPARTAN FOODS HOLDING COMPANY
A manufacturer of branded pizza crusts and pancakes.
12.5% Senior Subordinated Note due 2017 $ 1,012,500 12/15/09 874,322 1,013,989
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 136 shs. 12/15/09 120,234 1
------------ ------------
994,556 1,013,990
------------ ------------
SPECIALTY COMMODITIES, INC.
A distributor of specialty food ingredients.
13.25% Senior Subordinated Note due 2016 $ 1,212,720 10/23/08 1,140,663 1,236,974
Common Stock (B) 15,882 shs. 10/23/08 158,824 105,102
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 5,852 shs. 10/23/08 53,285 38,727
------------ ------------
1,352,772 1,380,803
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
22
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 1,128,392 $ 1,110,254
Common Stock (B) 165 shs. 08/01/06 164,634 19,117
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 55 shs. 08/01/06 49,390 6,367
------------ ------------
1,342,416 1,135,738
------------ ------------
SUNDANCE INVESTCO LLC
A provider of post-production services to producers of movies and television shows.
Limited Liablility Company Unit Class A 3,405 shs. 03/31/10 -- --
------------ ------------
SYNTERACT HOLDINGS CORPORATION
A provider of outsourced clinical trial management services to pharmaceutical and biotechnology companies.
4% Senior Subordinated Note due 2016 $ 1,371,709 09/02/08 1,285,871 1,389,500
Redeemable Preferred Stock Series A (B) 678 shs. 09/02/08 6,629 6,675
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 6,778 shs. 09/02/08 59,661 --
------------ ------------
1,352,161 1,396,175
------------ ------------
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 1,080,000
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 5 shs. 01/14/08 46,617 --
------------ ------------
1,323,000 1,080,000
------------ ------------
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 1,173,909
Common Stock (B) 1,167 shs. 10/14/05 1,167 700,092
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 631 shs. 09/30/08 300,683 378,541
------------ ------------
1,335,323 2,252,542
------------ ------------
TELECORPS HOLDINGS, INC.
A provider of equipment and services to producers of television shows and motion pictures.
12.75% Senior Subordinated Note due 2016 $ 1,681,677 * 1,474,695 1,597,593
Common Stock (B) 143 shs. 09/02/09 5,823 4,367
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B) 4,187 shs. * 173,349 42
------------ ------------
* 05/20/09 and 09/02/09. 1,653,867 1,602,002
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
23
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 * $ 638,669 $ 541,077
6.79% Term Note due 2012 (C) $ 781,483 * 778,758 720,350
8.75% Term Note due 2012 (C) $ 826 * 826 762
Limited Partnership Interest of
Saw Mill Capital Fund V, LLC (B) 2.27% int. ** 85,245 --
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 41 shs. 04/28/06 33,738 --
------------ ------------
* 04/28/06 and 09/13/06. ** 03/01/05 and 10/10/08. 1,537,236 1,262,189
------------ ------------
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 (D) $ 1,185,366 10/26/07 1,113,016 --
Series A Preferred Stock (B) 219 shs. 10/26/07 219,203 --
------------ ------------
1,332,219 --
------------ ------------
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 03/02/07 479,190 462,163
13% Senior Subordinated Note due 2014 (D) $ 341,971 03/02/07 280,347 170,986
------------ ------------
759,537 633,149
------------ ------------
TRANSPAC HOLDING COMPANY
A designer, importer, and wholesaler of home decor and seasonal gift products.
12% Senior Subordinated Note due 2015 (D) $ 938,651 10/31/07 873,498 844,786
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 --
------------ ------------
1,030,308 844,786
------------ ------------
TRANSTAR HOLDING COMPANY
A distributor of aftermarket automotive transmission parts.
12% Senior Subordinated Note due 2014 $ 918,000 08/31/05 891,755 927,180
Common Stock (B) 571 shs. * 570,944 710,156
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 46 shs. 08/31/05 41,021 56,595
------------ ------------
* 08/31/05 and 04/30/07. 1,503,720 1,693,931
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
24
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 1,341,285 $ 1,356,000
Common Stock (B) 315 shs. 02/04/98 315,000 354,703
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 249,981
------------ ------------
1,840,701 1,960,684
------------ ------------
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
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 -- --
------------ ------------
* 07/19/05 and 12/22/05. 1,770,285 305,675
------------ ------------
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 55,750
------------ ------------
U M A ENTERPRISES, INC.
An importer and wholesaler of home decor products.
15% Senior Subordinated Note due 2015 $ 938,797 02/08/08 918,330 917,339
Convertible Preferred Stock (B) 470 shs. 02/08/08 469,565 143,512
------------ ------------
1,387,895 1,060,851
------------ ------------
U-LINE CORPORATION
A manufacturer of high-end, built-in, undercounter ice making, wine storage and refrigeration appliances.
14.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 951,560 847,025
14.5% PIK Note due 2012 $ 139,125 10/06/09 118,256 118,256
Common Stock (B) 96 shs. 04/30/04 96,400 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 --
------------ ------------
1,278,322 965,281
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
25
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
VISIONEERING, INC.
A designer and manufacturer of tooling and fixtures for the aerospace industry.
10.5% Senior Secured Term Loan due 2013 $ 458,824 05/17/07 $ 451,932 $ 449,687
13% Senior Subordinated Note due 2014 $ 370,588 05/17/07 340,377 354,964
18% PIK Convertable Preferred Stock (B) 21,361 shs. 03/13/09 41,440 33,152
Common Stock (B) 70,588 shs. 05/17/07 70,588 --
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 20,003 shs. 05/17/07 31,460 --
------------ ------------
935,797 837,803
------------ ------------
VITEX PACKAGING GROUP, INC.
A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags.
10% Senior Subordinated PIK Note due 2011 (D) $ 85,308 07/19/04 76,813 81,042
5% Senior Subordinated PIK Note due 2011 (D) $ 450,000 06/30/07 392,576 427,500
Class B Unit (B) 406,525 uts. 10/29/09 184,266 --
Class C Unit (B) 450,000 uts. 10/29/09 413,244 104,071
Limited Liability Company Unit Class A (B) 383,011 uts. * 229,353 --
Limited Liability Company Unit Class B (B) 96,848 uts. 07/19/04 96,848 --
------------ ------------
* 07/19/04 and 10/29/09. 1,393,100 612,613
------------ ------------
WAGGIN' TRAIN HOLDINGS LLC
A producer of premium quality meat dog treats.
14% Senior Subordinated Note due 2014 $ 1,180,960 11/15/07 1,156,854 1,192,769
Limited Liability Company Unit Class B (B) 224 uts. 11/15/07 223,757 264,871
Limited Liability Company Unit Class C (B) 224 uts. 11/15/07 -- 224,829
------------ ------------
1,380,611 1,682,469
------------ ------------
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.
14.13% Senior Subordinated Note due 2014 $ 911,250 11/30/06 858,237 774,563
Common Stock (B) 101 shs. 11/30/06 101,250 4,537
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 51 shs. 11/30/06 45,790 2,265
------------ ------------
1,005,277 781,365
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
26
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 05/14/07 567,390 569,242
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 --
------------ ------------
672,884 569,242
------------ ------------
XALOY SUPERIOR HOLDINGS, INC.
A provider of melt processing components and ancillary equipment for both plastic injection molding and extrusion applications.
15.5% Senior Subordinated Note due 2015 (D) $ 1,229,741 09/08/08 1,203,293 614,870
Common Stock (B) 150 shs. 09/08/08 150,000 --
------------ ------------
1,353,293 614,870
------------ ------------
TOTAL PRIVATE PLACEMENT INVESTMENTS (E) 115,733,457 97,697,290
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
27
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Shares or
Interest Due Principal Market
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
RULE 144A SECURITIES - 3.76%:
BONDS - 3.76%
ACCO Brands Corporation 10.625% 03/15/15 $ 45,000 $ 44,369 $ 49,163
Advanced Micro Devices, Inc. 8.125 12/15/17 190,000 180,510 196,888
Appleton Papers, Inc. 11.250 12/15/15 252,000 250,000 231,840
Avis Budget Car Rental LLC 9.625 03/15/18 40,000 39,454 41,800
Cenveo Corporation 10.500 08/15/16 45,000 45,000 45,844
Coffeyville Resources LLC 9.000 04/01/15 70,000 69,658 71,225
Compucom Systems, Inc. 12.500 10/01/15 670,000 651,902 710,200
CONSOL Energy, Inc. 8.250 04/01/20 15,000 15,000 15,413
Douglas Dynamics LLC 7.750 01/15/12 485,000 461,640 489,850
Eastman Kodak Co. 9.750 03/01/18 375,000 367,422 367,500
G F S I, Inc. (C) 10.500 06/01/11 358,000 343,948 266,263
Gannett Company, Inc. 9.375 11/15/17 60,000 59,149 64,200
Headwaters, Inc. 11.375 11/01/14 45,000 44,580 46,969
International Lease Finance Corporation 8.625 09/15/15 75,000 73,811 76,670
JohnsonDiversey, Inc. 8.250 11/15/19 45,000 44,627 46,575
L B I Escrow Corporation 8.000 11/01/17 100,000 100,000 103,500
New Communications Holdings, Inc. 8.250 04/15/17 500,000 500,000 505,625
Sealed Air Corporation 7.875 06/15/17 500,000 492,505 542,913
Sinclair Television Group, Inc. 9.250 11/01/17 200,000 194,727 211,000
T W Telecom Holdings, Inc. 8.000 03/01/18 10,000 9,928 10,175
ViaSystems, Inc. 12.000 01/15/15 100,000 96,458 108,500
------------ ------------
TOTAL BONDS 4,084,688 4,202,113
------------ ------------
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 4,086,961 4,202,113
------------ ------------
TOTAL CORPORATE RESTRICTED SECURITIES $119,820,418 $101,899,403
------------ ------------
----------------------------------------------------------------------------------------------------------------
28
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Interest Due Principal Market
CORPORATE PUBLIC SECURITIES - 15.19%: (A) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
BONDS - 14.62%
Affinia Group, Inc. 9.000% 11/30/14 $ 25,000 $ 24,250 $ 24,875
Allegheny Technologies, Inc. 9.375 06/12/19 500,000 521,416 581,761
Allied Waste NA 7.125 05/15/16 500,000 506,234 543,125
American General Finance Corporation 6.500 09/15/17 250,000 215,000 213,073
C R H America, Inc. 5.300 10/15/13 500,000 418,430 532,601
Centurytel, Inc. 5.000 02/15/15 500,000 516,354 509,463
Citigroup, Inc. 5.500 04/11/13 500,000 437,890 525,391
Cytec Industries, Inc. 8.950 07/01/17 600,000 603,889 722,702
Equifax, Inc. 4.450 12/01/14 500,000 518,268 513,187
Exide Corporation 10.500 03/15/13 250,000 252,683 253,750
Gencorp, Inc. 9.500 08/15/13 130,000 130,000 132,113
General Electric Capital Corporation 5.500 01/08/20 500,000 498,050 510,133
Goldman Sachs Group, Inc. 4.750 07/15/13 500,000 418,645 528,596
Goodyear Tire & Rubber Co. 10.500 05/15/16 50,000 48,108 54,000
Intelsat Jackson Holdings 9.250 06/15/16 690,000 714,194 696,900
International Game Technology 7.500 06/15/19 500,000 499,720 566,320
International Lease Finance Corporation 5.875 05/01/13 500,000 448,188 480,166
Iron Mountain, Inc. 8.750 07/15/18 500,000 512,614 523,750
Johnson Controls, Inc. 5.500 01/15/16 500,000 398,125 535,334
Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 99,750
Markwest Energy Operating Co. 6.875 11/01/14 35,000 27,789 34,300
Masco Corporation 7.125 03/15/20 350,000 349,993 352,185
Morgan Stanley 5.500 01/26/20 500,000 497,305 489,070
Nortek, Inc. 11.000 12/01/13 100,444 98,956 107,726
Owens Corning, Inc. 9.000 06/15/19 30,000 29,516 35,175
Qwest Diagnostic, Inc. 4.750 01/30/20 500,000 498,665 488,947
Rental Service Corporation 9.500 12/01/14 175,000 175,677 173,250
Sheridan Acquisition Corporation 10.250 08/15/11 225,000 222,001 223,313
Speedway Motorsports, Inc. 8.750 06/01/16 35,000 33,949 37,275
Sprint Capital Corporation 6.900 05/01/19 440,000 405,225 402,600
Stewart & Stevenson LLC 10.000 07/15/14 735,000 754,880 707,434
Teck Resources Ltd. 10.750 05/15/19 30,000 28,559 36,750
Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 34,388
The Valspar Corporation 7.250 06/15/19 500,000 501,466 564,907
Ticketmaster Entertainment, Inc. 10.750 07/28/16 250,000 250,000 278,750
Time Warner Cable, Inc. 5.000 02/01/20 500,000 489,790 492,991
Titan International, Inc. 8.000 01/15/12 70,000 70,000 70,000
Tube City IMS Corporation 9.750 02/01/15 1,000,000 989,449 983,750
----------------------------------------------------------------------------------------------------------------
29
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Shares or
Interest Due Principal Market
CORPORATE PUBLIC SECURITIES:(A)(Continued) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
Tyco International Group SA 8.500% 01/15/19 $ 500,000 $ 457,495 $ 550,093
Tyco International Group SA 6.550 10/01/17 125,000 124,996 154,897
United Components, Inc. 9.375 06/15/13 535,000 535,269 537,675
Verso Paper Holdings LLC 9.125 08/01/14 500,000 486,875 485,000
W P P Finance Corporation 5.875 06/15/14 500,000 508,096 528,698
------------ ------------
TOTAL BONDS 15,353,009 16,316,164
------------ ------------
COMMON STOCK - 0.56%
CKX, Inc. (B) 52,500 422,625 321,825
Directed Electronics, Inc. (B) 195,118 982,867 87,803
ITC^DeltaCom, Inc. (B) 94,588 827,645 191,068
Intrepid Potash, Inc. (B) 185 5,920 5,611
Nortek, Inc. (B) 100 1 4,000
Rue21, Inc. (B) 350 6,650 12,135
------------ ------------
TOTAL COMMON STOCK 2,245,708 622,442
------------ ------------
CONVERTIBLE BONDS - 0.01%
Citadel Broadcasting Corporation 4.000% 02/15/11 $ 250,000 194,063 13,750
------------ ------------
TOTAL CONVERTIBLE BONDS 194,063 13,750
------------ ------------
TOTAL CORPORATE PUBLIC SECURITIES $ 17,792,780 $ 16,952,356
------------ ------------
Interest Due Principal Market
SHORT-TERM SECURITIES: Rate/Yield^ Date Amount Cost Value
------- -------- ------------ ------------ ------------
COMMERCIAL PAPER - 1.97%
Sabmiller PLC 0.270% 04/05/10 $ 2,200,000 2,199,934 2,199,934
------------ ------------
TOTAL SHORT-TERM SECURITIES 2,199,934 2,199,934
------------ ------------
TOTAL INVESTMENTS 108.43% $139,813,132 $121,051,693
============ ------------
Other Assets 4.62 5,161,413
Liabilities (13.05) (14,574,114)
------ ------------
TOTAL NET ASSETS 100.00% $111,638,992
====== ============
(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 03/31/10.
(D) Defaulted security; interest not accrued.
(E) Illiquid security. As of March 31, 2010, the values of these securities amounted to $97,697,290 or 87.51%
of net assets.
^ Effective yield at purchase
PIK - Payment-in-kind
----------------------------------------------------------------------------------------------------------------
30
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION: Market Value Market Value
-------------- --------------
AEROSPACE - 4.33% BUILDINGS & REAL ESTATE - 1.49%
A E Company, Inc. $ 1,794,703 K W P I Holdings Corporation $ 1,190,740
Gencorp, Inc. 132,113 Masco Corporation 352,185
P A S Holdco LLC 2,072,752 Owens Corning, Inc. 35,175
Visioneering, Inc. 837,803 Texas Industries, Inc. 34,388
-------------- TruStile Doors, Inc. 55,750
4,837,371 --------------
-------------- 1,668,238
AUTOMOBILE - 4.63% --------------
Exide Corporation 253,750 CHEMICAL, PLASTICS & RUBBER - 0.35%
Goodyear Tire & Rubber Co. 54,000 Capital Specialty Plastics, Inc. 397,832
Jason, Inc. 25,509 --------------
Johnson Controls, Inc. 535,334 CONSUMER PRODUCTS - 9.61%
Nyloncraft, Inc. 348,215 Aero Holdings, Inc. 1,653,534
Ontario Drive & Gear Ltd. 287,141 Bravo Sports Holding Corporation 1,260,107
Qualis Automotive LLC 1,362,815 Custom Engineered Wheels, Inc. 1,350,993
Titan International, Inc. 70,000 Eastman Kodak Co. 367,500
Transtar Holding Company 1,693,931 G F S I, Inc. 266,263
United Components, Inc. 537,675 JohnsonDiversey, Inc. 46,575
-------------- K N B Holdings Corporation 797,529
5,168,370 Manhattan Beachwear Holding Company 994,554
-------------- Momentum Holding Co. 281,673
BEVERAGE, DRUG & FOOD - 8.51% R A J Manufacturing Holdings LLC 1,164,612
Eatem Holding Company 992,395 Royal Baths Manufacturing Company 587,980
Golden County Foods Holding, Inc. 1,102,304 The Tranzonic Companies 1,960,684
Hospitality Mints Holding Company 1,109,473 Walls Industries, Inc. --
L H D Europe Holding, Inc. 12,825 --------------
Sabmiller PLC 2,199,934 10,732,004
Spartan Foods Holding Company 1,013,990 --------------
Specialty Commodities, Inc. 1,380,803 CONTAINERS, PACKAGING & GLASS - 4.02%
Waggin' Train Holdings LLC 1,682,469 Flutes, Inc. 131,198
-------------- Maverick Acquisition Company 345,870
9,494,193 P I I Holding Corporation 1,588,955
-------------- Paradigm Packaging, Inc. 1,273,208
BROADCASTING & ENTERTAINMENT - 1.95% Sealed Air Corporation 542,913
Citadel Broadcasting Corporation 13,750 Vitex Packaging Group, Inc. 612,613
CKX, Inc. 321,825 --------------
Sinclair Television Group, Inc. 211,000 4,494,757
Speedway Motorsports, Inc. 37,275 --------------
Time Warner Cable, Inc. 492,991 DISTRIBUTION - 1.92%
WPP Finance Corporation 528,698 Duncan Systems, Inc. 856,711
Workplace Media Holding Co. 569,242 F C X Holdings Corporation 1,287,781
-------------- --------------
2,174,781 2,144,492
-------------- --------------
------------------------------------------------------------------------------------------------------------------------------------
31
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
DIVERSIFIED/CONGLOMERATE, ELECTRONICS - 0.53%
MANUFACTURING - 8.18% Connecticut Electric, Inc. $ 506,955
A H C Holdings Company, Inc. $ 1,499,664 Directed Electronics, Inc. (B) 87,803
Arrow Tru-Line Holdings, Inc. 803,977 --------------
C D N T, Inc. 776,186 594,758
Douglas Dynamics LLC 489,850 --------------
Headwaters, Inc. 46,969 FINANCIAL SERVICES - 2.62%
K P I Holdings, Inc. 836,413 American General Finance Corporation 213,073
MEGTEC Holdings, Inc. 1,093,163 Citigroup, Inc. 525,391
Milwaukee Gear Company 1,121,539 General Electric Capital Corporation 510,133
Nortek, Inc. 111,726 Goldman Sachs Group, Inc. 528,596
Northwest Mailing Services, Inc. 1,391,230 Highgate Capital LLC --
Postle Aluminum Company LLC 36,049 International Lease Finance Corporation 556,836
Truck Bodies & Equipment International 305,675 L B I Escrow Corporation 103,500
Xaloy Superior Holdings, Inc. 614,870 Morgan Stanley 489,070
-------------- --------------
9,127,311 2,926,599
-------------- --------------
DIVERSIFIED/CONGLOMERATE, SERVICE - 12.28% HEALTHCARE, EDUCATION & CHILDCARE - 3.87%
A S C Group, Inc. 1,357,838 American Hospice Management Holding LLC 2,115,615
A W X Holdings Corporation 766,284 F H S Holdings LLC 316,406
ACCO Brands Corporation 49,163 Qwest Diagnostic, Inc. 488,947
Advanced Technologies Holdings 1,326,341 Synteract Holdings Corporation 1,396,175
Affinia Group, Inc. 24,875 Touchstone Health Partnership --
Apex Analytix Holding Corporation 1,042,898 --------------
C R H America, Inc. 532,601 4,317,143
Clough, Harbour and Associates 1,438,990 --------------
Crane Rental Corporation 1,303,064 HOME & OFFICE FURNISHINGS, HOUSEWARES,
Diversco, Inc./DHI Holdings, Inc. 1,041,010 AND DURABLE CONSUMER PRODUCTS - 9.72%
Dwyer Group, Inc. 796,772 Connor Sport Court International, Inc. 1,383,913
Equifax, Inc. 513,187 H M Holding Company 181,350
Insurance Claims Management, Inc. 120,459 Home Decor Holding Company 1,252,172
Iron Mountain, Inc. 523,750 Justrite Manufacturing Acquisition Co. 930,416
Mail Communications Group, Inc. 713,135 K H O F Holdings, Inc. 1,432,421
Nesco Holdings Corporation 1,451,784 Monessen Holding Corporation 884,856
Pearlman Enterprises, Inc. -- Stanton Carpet Holding Co. 1,135,738
Tyco International Group 704,990 Transpac Holdings Company 844,786
-------------- U M A Enterprises, Inc. 1,060,851
13,707,141 U-Line Corporation 965,281
-------------- Wellborn Forest Holding Co. 781,365
--------------
10,853,149
--------------
------------------------------------------------------------------------------------------------------------------------------------
32
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
LEISURE, AMUSEMENT, ENTERTAINMENT - 2.09% NATURAL RESOURCES - 1.86%
International Game Technology $ 566,320 Appleton Papers, Inc. $ 231,840
Savage Sports Holding, Inc. 1,486,462 Cenveo Corporation 45,844
Ticketmaster Entertainment, Inc. 278,750 CONSOL Energy, Inc. 15,413
-------------- Cytec Industries, Inc. 722,702
2,331,532 Intrepid Potash, Inc. 5,611
-------------- The Valspar Corporation 564,907
MACHINERY - 9.20% Verso Paper Holdings LLC 485,000
A S A P Industries LLC 661,876 --------------
Davis-Standard LLC 1,426,938 2,071,317
E S P Holdco, Inc. 1,173,024 --------------
K-Tek Holdings Corporation 1,464,208 OIL & GAS - 1.84%
M V I Holding, Inc. 625,998 Coffeyville Resources LLC 71,225
Manitowoc Company, Inc. 99,750 International Offshore Services LLC 1,350,615
Navis Global 103,884 Total E & S, Inc. 633,149
NetShape Technologies, Inc. 628,341 --------------
Pacific Consolidated Holdings LLC 612,732 2,054,989
Power Services Holding Company 1,261,197 --------------
R E I Delaware Holding, Inc. 1,368,009 PHARMACEUTICALS - 1.31%
Safety Speed Cut Manufacturing Company, Inc. 141,337 CorePharma LLC 1,459,111
Stewart & Stevenson LLC 707,434 --------------
-------------- 1,459,111
10,274,728 --------------
-------------- PUBLISHING/PRINTING - 0.26%
MEDICAL DEVICES/BIOTECH - 4.30% Gannett Company, Inc. 64,200
Coeur, Inc. 723,765 Sheridan Acquisition Corporation 223,313
E X C Acquisition Corporation 103,878 --------------
ETEX Corporation -- 287,513
MedSystems Holdings LLC 766,157 --------------
MicroGroup, Inc. 1,208,526 RETAIL STORES - 0.27%
OakRiver Technology, Inc. 634,819 Olympic Sales, Inc. 113,273
Precision Wire Holding Company 1,358,456 Rental Service Corporation 173,250
TherOX, Inc. -- Rue21, Inc. 12,135
-------------- --------------
4,795,601 298,658
-------------- --------------
MINING, STEEL, IRON & TECHNOLOGY - 2.94%
NON-PRECIOUS METALS - 2.40% Advanced Micro Devices, Inc. 196,888
Allegheny Technology, Inc. 581,761 Compucom Systems, Inc. 710,200
T H I Acquisition, Inc. 1,080,000 Sencore Holding Company 862,366
Teck Resources, Ltd. 36,750 Smart Source Holdings LLC 1,406,378
Tube City IMS Corporation 983,750 ViaSystems, Inc. 108,500
-------------- --------------
2,682,261 3,284,332
-------------- --------------
------------------------------------------------------------------------------------------------------------------------------------
33
MassMutual Participation Investors
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2010
(Unaudited)
Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value
--------------
TELECOMMUNICATIONS - 4.10%
All Current Holding Company $ 656,282
Centurytel, Inc. 509,463
Intelsat Bermuda Ltd. 696,900
ITC^DeltaCom, Inc. 191,068
New Communications Holdings, Inc. 505,625
Spirit Capital Corporation 402,600
Sundance Investco LLC --
T W Telecom Holdings, Inc. 10,175
Telecorps Holdings, Inc. 1,602,002
--------------
4,574,115
--------------
TRANSPORTATION - 2.20%
Avis Budget Car Rental LLC 41,800
NABCO, Inc. 165,441
Tangent Rail Corporation 2,252,542
--------------
2,459,783
--------------
UTILITIES - 0.03%
Markwest Energy Operating Co. $ 34,300
--------------
WASTE MANAGEMENT / POLLUTION - 1.62%
Allied Waste NA 543,125
Terra Renewal LLC 1,262,189
Torrent Group Holdings, Inc. --
--------------
1,805,314
--------------
Total Investments - 108.43% $ 121,051,693
==============
See Notes to Consolidated Financial Statements
------------------------------------------------------------------------------------------------------------------------------------
34
MassMutual Participation Investors
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
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 the MMPI Subsidiary Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by the Trust in the preparation of its consolidated financial
statements in conformity with accounting principles generally accepted in the
United States of America.
A. Valuation of Investments:
Valuation of a security in the Trust's portfolio is made on the basis of 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 $97,697,290 (87.51% of net assets) as of March 31, 2010
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, 2010,
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.
In accordance with the authoritative guidance on fair value measurements and
disclosures under accounting principles generally accepted in the United
States of America ("U.S. GAAP"), the Trust discloses the fair value of its
investments in a hierarchy that prioritizes the inputs to valuation
techniques used to measure the fair value. The hierarchy gives the highest
priority to valuations based upon unadjusted quoted prices in active markets
for identical assets or liabilities (level 1 measurement) and the lowest
priority to valuations based upon unobservable inputs that are significant to
the valuation (level 3 measurements). The guidance establishes three levels
of the fair value hierarchy as follows:
Level 1: quoted prices in active markets for identical securities
Level 2: other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment 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, 2010:
ASSETS: TOTAL LEVEL 1 LEVEL 2 LEVEL 3
--------------------------------------------------------------------------------
Restricted Securities
Bonds $ 86,464,525 $ -- $ 4,202,113 $82,262,412
Common Stock 7,822,943 -- -- 7,822,943
Preferred Stock 3,738,173 -- -- 3,738,173
Partnerships and LLCs 3,873,762 -- -- 3,873,762
Public Securities
Bonds 16,329,914 -- 16,329,914 --
Common Stock 622,441 618,441 4,000 --
Preferred Stock -- -- -- --
Short-term Securities 2,199,934 -- 2,199,934 --
--------------------------------------------------------------------------------
Total $121,051,692 $ 618,441 $22,735,961 $97,697,290
Following is a reconciliation of Level 3 assets for which significant
unobservable inputs were used to determine fair value:
Unrealized
Total gains Purchases, gains & losses
Beginning or losses sales, issuances Transfers in Ending in net income
balance (realized/ & settlements and/or balance at from assets
Assets: at 12/31/2009 unrealized) (net) out of Level 3 03/31/2010 still held
---------------------------------------------------------------------------------------------------------------------------------
Restricted Securities
Bonds $81,465,949 $ (685,514) $1,937,878 $ (455,900) $82,262,413 $ (709,340)
Common Stock 7,767,378 (313,762) 369,326 -- 7,822,942 (313,762)
Preferred Stock 3,468,130 268,791 1,252 -- 3,738,173 268,791
Partnerships and LLCs 3,536,247 323,084 14,431 -- 3,873,762 323,084
---------------------------------------------------------------------------------------------------------------------------------
$96,237,704 $ (407,401) $2,322,887 $ (455,900) $97,697,290 $ (431,227)
--------------------------------------------------------------------------------
36
MassMutual Participation Investors
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS(CONTINUED)
(Unaudited)
B. ACCOUNTING FOR INVESTMENTS:
Investment transactions are accounted for on the trade date. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the
accrual basis, including the amortization of premiums and accretion of
discounts on bonds held using the yield-to-maturity method. The Trust does
not accrue income when payment is delinquent and when management believes
payment is questionable.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
C. USE OF ESTIMATES:
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results could differ from
those estimates.
D. FEDERAL INCOME TAXES:
The Trust has elected to be taxed as a "regulated investment company" under
the Internal Revenue Code, and intends to maintain this qualification and to
distribute substantially all of its net taxable income to its shareholders.
In any year when net long-term capital gains are realized by the Trust,
management, after evaluating the prevailing economic conditions, will
recommend that Trustees either designate the net realized long-term gains as
undistributed and pay the federal capital gains taxes thereon, or distribute
all or a portion of such net gains.
The Trust is taxed as a regulated investment company and is therefore limited
as to the amount of non-qualified income that it may receive as the result of
operating a trade or business, e.g. the Trust's pro rata share of income
allocable to the Trust by a partnership operating company. The Trust's
violation of this limitation could result in the loss of its status as a
regulated investment company, thereby subjecting all of its net income and
capital gains to corporate taxes prior to distribution to its shareholders.
The Trust, from time-to-time, identifies investment opportunities in the
securities of entities that could cause such trade or business income to be
allocable to the Trust. The MMPI Subsidiary Trust (described in Footnote 1
above) was formed in order to allow investment in such securities without
adversely affecting the Trust's status as a regulated investment company.
The MMPI Subsidiary Trust is not taxed as a regulated investment company.
Accordingly, prior to the Trust 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. As of March 31, 2010, the MMPI
Subsidiary Trust has accrued income tax expense of $477.
Deferred tax assets and liabilities are recognized for the future tax
consequences attributable to differences between the financial statement
carrying amounts of the existing assets and liabilities and their respective
tax basis. As of March 31, 2010, the MMPI Subsidiary Trust has a deferred tax
liability of $76,488.
Beginning with the 2009 annual financial statements, the Trust recognizes a
tax benefit from an uncertain position only if it is more likely than not
that the position is sustainable, based solely on its technical merits and
consideration of the relevant taxing authority's widely understood
administrative practices and precedents. If this threshold is met, the Trust
measures the tax benefit as the largest amount of benefit that is greater
than fifty percent likely of being realized upon ultimate settlement. The
Trust has evaluated and determined that the tax positions did not have a
material effect on the Trust's financial position and results of operations
for the three months ended March 31, 2010.
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, 2010, 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
--------------------------------------------------------------------------------
37
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS(CONTINUED)
(Unaudited)
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 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, 2010, 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
03/31/2010
---------------------------------
PROCEEDS
COST OF FROM
INVESTMENTS SALES OR
ACQUIRED MATURITIES
------------ ------------
Corporate restricted securities $ 4,111,054 $ 852,639
Corporate public securities 5,222,193 1,573,460
The aggregate cost of investments is substantially the same for financial
reporting and federal income tax purposes as of March 31, 2010. The net
unrealized depreciation of investments for financial reporting and federal
tax purposes as of March 31, 2010 is $18,761,439 and consists of $ 10,198,296
appreciation and $28,959,735 depreciation.
Net unrealized depreciation of investments on the Statement of Assets and
Liabilities reflects the balance net of a deferred tax accrual of $76,488 on
net unrealized gains on the MMPI Subsidiary Trust.
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MassMutual Participation Investors
MEMBERS OF THE BOARD OF DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN
TRUSTEES
MassMutual Participation Investors offers a
Donald Glickman Dividend Reinvestment and Cash Purchase Plan
(the "Plan"). The Plan provides a simple and
Robert E. Joyal automatic way for shareholders to add to
their holdings in the Trust through the
William J. Barrett receipt of dividend shares issued by the
Trust or through the reinvestment of cash
Michael H. Brown* dividends in Trust shares purchased in the
open market. The dividends of each
Donald E. Benson* shareholder will be automatically reinvested
in the Trust by Shareholder Financial
Dr. Corine T. Norgaard* Services Inc., the Transfer Agent, in
accordance with the Plan, unless such
Clifford M. Noreen shareholder elects not to participate by
providing written notice to the Transfer
Martin T. Hart Agent. A shareholder may terminate his or her
participation by notifying the Transfer Agent
Maleyne M. Syracuse in writing.
*Member of the Audit Committee Participating shareholders may also make
additional contributions to the Plan from
OFFICERS their own funds. Such contributions may be
made by personal check or other means in an
Clifford M. Noreen amount not less than $100 nor more than
chairman $5,000 per quarter. Cash contributions must
be received by the Transfer Agent at least
Michael L. Klofas five days (but no more then 30 days) before
President the payment date of a dividend or
distributions.
James M. Roy
Vice President & Chief Whenever the Trust declares a dividend
Financial Officer payable in cash or shares, the Transfer
Agent, acting on behalf of each participating
Patricia J. Walsh shareholder, will take the dividend in shares
Vice President, Secretary only if the net asset value is lower than the
& Chief Legal Officer market price plus an estimated brokerage
commission as of the close of business on the
Jill A. Fields valuation day. The valuation day is the last
Vice President day preceding the day of dividend payment.
Michael P. Hermsen When the dividend is to be taken in shares,
Vice President the number of shares to be received is
determined by dividing the cash dividend by
Mary Wilson Kibbe the net asset value as of the close of
Vice President business on the valuation date or, if greater
than net asset value, 95% of the closing
Richard E. Spencer, II share price. If the net asset value of the
Vice President shares is higher than the market value plus
an estimated commission, the Transfer Agent,
Daniel J. Florence consistent with obtaining the best price and
Treasurer execution, will buy shares on the open market
at current prices promptly after the dividend
John T. Davitt, Jr. payment date.
Comptroller
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., Transfer Agent for MassMutual
Participation Investors' Dividend
Reinvestment and Cash Purchase Plan, P.O. Box
173673, Denver, CO 80217-3673.
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MassMutual
Participation Investors
PI5075