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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-Q
Quarterly Schedule of Portfolio Holdings of
Registered Management Investment Company
Investment Company Act file number 811-05531
MassMutual Participation Investors
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(Exact name of registrant as specified in charter)
1500 Main Street, Suite 600, Springfield, MA 01115
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(Address of principal executive offices) (Zip code)
Rodney J. Dillman, Vice President and Secretary,
1500 Main Street, Suite 2800, Springfield, MA 01115
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(Name and address of agent for service)
Registrant's telephone number, including area code: 413-226-1000
___________________
Date of fiscal year end: 12/31
___________________
Date of reporting period: 03/31/08
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ITEM 1. SCHEDULE OF INVESTMENTS.
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 31, 2008
(unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES - 78.07%:(A) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
PRIVATE PLACEMENT INVESTMENTS - 74.48%
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 $ 1,235,094 11/21/07 $ 1,210,449 $ 1,206,907
Limited Partnership Interest (B) 7.93% int. 11/21/07 119,009 113,060
------------ ------------
1,329,458 1,319,967
------------ ------------
A T I ACQUISITION COMPANY
A for-profit post-secondary school serving students in Texas, Florida and Arizona.
12% Senior Subordinated Note due 2012 $ 1,125,000 04/08/04 1,125,000 1,125,000
Warrant, exercisable until 2012, to purchase
preferred stock at $.01 per share (B) 7 shs. 11/16/07 -- 8,979
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 1,230 shs. 04/08/04 -- 13,213
------------ ------------
1,125,000 1,147,192
------------ ------------
ADVANCED TECHNOLOGIES HOLDINGS
A provider of factory maintenance services to industrial companies.
15% Senior Subordinated Note due 2013 $ 1,080,000 12/27/07 1,058,400 1,065,084
Preferred Stock (B) 546 shs. 12/27/07 270,000 256,501
------------ ------------
1,328,400 1,321,585
------------ ------------
AERO HOLDINGS, INC.
A provider of geospatial services to corporate and government clients.
10.5% Senior Secured Term Note due 2014 $ 930,000 03/09/07 916,050 913,667
14% Senior Subordinated Note due 2015 $ 720,000 03/09/07 647,237 705,241
Common Stock (B) 150,000 shs. 03/09/07 150,000 350,780
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 37,780 shs. 03/09/07 63,730 88,350
------------ ------------
1,777,017 2,058,038
------------ ------------
AMERICAN HOSPICE MANAGEMENT HOLDING LLC
A for-profit hospice care provider in the United States.
12% Senior Subordinated Note due 2010 $ 1,125,000 01/22/04 1,051,148 1,063,349
Preferred Class A Unit (B) 1,706 uts. * 170,600 --
Common Class B Unit (B) 16,100 uts. 01/22/04 1 --
Common Class D Unit (B) 3,690 uts. 09/12/06 -- --
------------ ------------
1,221,749 1,063,349
------------ ------------
* 01/22/04 and 09/12/06. MassMutual Participation Investors
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7
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(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.
12% Senior Subordinated Note due 2012 $ 861,702 05/18/05 $ 820,285 $ 815,793
Common Stock (B) 263 shs. 05/18/05 263,298 39,198
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 69 shs. 05/18/05 59,362 10,277
------------ ------------
1,142,945 865,268
------------ ------------
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 1,141,724 1,228,695
Preferred Stock Class A (B) 465 shs. 06/30/06 141,946 131,814
Common Stock (B) 1 sh. 06/30/06 152 12,720
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 164 shs. 06/30/06 48,760 46,325
------------ ------------
1,332,582 1,419,554
------------ ------------
CAPESUCCESS LLC
A provider of diversified staffing services.
Preferred Membership Interests (B) 806 uts. 04/29/00 3,598 180
Common Membership Interests (B) 10,421 uts. 04/29/00 46,706 2,332
------------ ------------
50,304 2,512
------------ ------------
CAPITAL SPECIALTY PLASTICS, INC.
A producer of desiccant strips used for packaging pharmaceutical products.
Common Stock (B) 55 shs. * 252 279,466
------------ ------------
COEUR, INC.
A producer of proprietary, disposable power injection syringes.
8.75% Senior Secured Term Note due 2010 $ 202,899 04/30/03 202,899 203,792
11.5% Senior Subordinated Note due 2011 $ 242,754 04/30/03 230,779 241,158
Common Stock (B) 72,464 shs. 04/30/03 72,463 208,588
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 50,099 shs. 04/30/03 23,317 144,210
------------ ------------
529,458 797,748
------------ ------------
*12/30/97 and 05/29/99.
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8
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
CONNECTICUT ELECTRIC, INC.
A supplier and distributor of electrical products sold into the retail and wholesale markets.
12% Senior Subordinated Note due 2014 $ 1,267,387 01/12/07 $ 1,182,283 $ 1,144,176
Limited Liability Company Unit Class A (B) 82,613 uts. 01/12/07 82,613 34,648
Limited Liability Company Unit Class C (B) 59,756 uts. 01/12/07 59,756 25,062
------------ ------------
1,324,652 1,203,886
------------ ------------
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. 07/05/07 370,796 370,796
Preferred Stock Series C (B) 4,757 shs. 07/05/07 158,912 158,913
Common Stock (B) 380 shs. 07/05/07 4 4
Limited Partnership Interest (B) 4.43% int. * 103,135 --
------------ ------------
632,847 529,713
------------ ------------
CONSOLIDATED FOUNDRIES HOLDINGS
A manufacturer of engineered cast metal components for the global aerospace and defense industries.
12% Senior Subordinated Note due 2013 $ 1,157,143 06/15/05 1,116,719 1,163,311
Common Stock (B) 269 shs. ** 278,521 916,303
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 54 shs. 06/15/05 53,295 185,322
------------ ------------
1,448,535 2,264,936
------------ ------------
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 1,292,250 1,340,975
Warrant, exercisable until 2013, to purchase
common stock at $.001 per share (B) 10 shs. 08/04/05 72,617 54,738
------------ ------------
1,364,867 1,395,713
------------ ------------
* 08/12/04 and 01/14/05.
** 06/15/05 and 05/22/06. MassMutual Participation Investors
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9
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 919,695 $ 1,006,762
Limited Partnership Interest (B) 0.97% int. 10/30/06 371,739 609,670
Warrant, exercisable until 2014, to purchase
preferred stock at $.01 per share (B) 26 shs. 10/30/06 26,380 29,018
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 18 shs. 10/30/06 18,000 58,884
------------ ------------
1,335,814 1,704,334
------------ ------------
DIRECTED ELECTRONICS, INC.
A designer and distributor of brand name automotive security systems, audio products and installation accessories.
Common Stock (B) (E) 195,118 shs. * 982,868 407,797
------------ ------------
DIVERSCO, INC./DHI HOLDINGS, INC.
A contract provider of janitorial and equipment maintenance services and temporary production labor to industrial customers.
Membership Interests of MM/Lincap
Diversco Investments Ltd. LLC (B) 13.57% int. 08/27/98 366,495 --
Preferred Stock (B) 1,639 shs. 12/14/01 1,392,067 389,263
Warrants, exercisable until 2011, to purchase
common stock of DHI Holdings, Inc. at $.01 per share (B) 6,676 shs. ** 201,655 --
------------ ------------
1,960,217 389,263
------------ ------------
DUNCAN SYSTEMS, INC.
A distributor of windshields and side glass for the recreational vehicle market.
10% Senior Secured Term Note due 2013 $ 308,571 11/01/06 303,942 303,345
13% Senior Subordinated Note due 2014 $ 488,572 11/01/06 438,989 478,250
Common Stock (B) 102,857 shs. 11/01/06 102,857 135,800
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 32,294 shs. 11/01/06 44,663 42,637
------------ ------------
890,451 960,032
------------ ------------
* 12/19/05 and 06/17/06.
** 10/24/96 and 08/28/98.
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10
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
DWYER GROUP, INC.
A franchiser of a variety of home repair services.
Common Stock (B) 3,656 shs. * $ 365,600 $ 561,541
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 165,361
------------ ------------
464,319 726,902
------------ ------------
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 $ 1,175,299 01/08/08 1,154,731 1,167,153
Common Stock (B) 349 shs. 01/08/08 174,701 165,775
------------ ------------
1,329,432 1,332,928
------------ ------------
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 88,019
------------ ------------
ELECTRA BICYCLE COMPANY LLC
A designer and marketer of branded leisure bicycles.
10.5% Senior Secured Term Note A due 2009 $ 72,875 04/12/07 71,417 72,491
10.5% Senior Secured Term Note B due 2012 $ 393,522 04/12/07 387,195 389,156
12% Senior Secured Term Note C due 2012 $ 291,498 04/12/07 271,410 285,557
Limited Liability Company Unit Series F 36,913 uts. 04/12/07 36,913 35,068
Limited Liability Company Unit Series G (B) 2,852 uts. 04/12/07 2,852 2,709
------------ ------------
769,787 784,981
------------ ------------
ENZYMATIC THERAPY, INC.
A manufacturer and distributor of branded natural medicines and nutritional supplements.
Limited Partnership Interest (B) 0.70% int. 03/30/00 281,250 151,761
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 15,415 shs. 03/30/00 135,000 95,250
------------ ------------
416,250 247,011
------------ ------------
EVANS CONSOLES, INC.
A designer and manufacturer of consoles and control center systems.
Common Stock (B) 45,000 shs. 05/06/04 6 650,655
------------ ------------
* 10/30/03 and 01/02/04. MassMutual Participation Investors
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11
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
F H S HOLDINGS LLC
A national provider of customized disease management services to large self-insured employers.
12% Senior Subordinated Note due 2014 $ 1,265,625 06/01/06 $ 1,185,793 $ 1,254,463
Preferred Unit (B) 84 uts. 06/01/06 84,368 91,812
Common Unit Class B (B) 734 shs. 06/01/06 64,779 59,340
------------ ------------
1,334,940 1,405,615
------------ ------------
FLUTES, INC.
An independent manufacturer of micro fluted corrugated sheet material for the food and consumer products
packaging industries.
10% Senior Secured Term Note due 2013 $ 524,791 04/13/06 516,919 516,713
14% Senior Subordinated Note due 2014 $ 317,177 04/13/06 287,294 312,542
Common Stock (B) 62,535 shs. 04/13/06 62,535 8,377
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 17,680 shs. 04/13/06 27,676 2,368
------------ ------------
894,424 840,000
------------ ------------
FOWLER HOLDING, INC.
A provider of site development services to residential homebuilders and developers in the Raleigh/Durham region of
North Carolina.
12% Senior Subordinated Note due 2013 $ 1,252,174 02/03/06 1,146,792 1,151,416
Common Stock (B) 98 shs. 02/03/06 97,826 26,045
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 135 shs. 02/03/06 110,348 35,829
------------ ------------
1,354,966 1,213,290
------------ ------------
FUEL SYSTEMS HOLDING CORPORATION
An independent North American supplier of fuel tanks for a wide variety of commercial vehicles.
12% Senior Subordinated Note due 2014 $ 1,237,500 01/31/06 1,160,650 1,131,803
Common Stock (B) 112,500 shs. 01/31/06 112,500 --
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 73,275 shs. 01/31/06 63,113 --
------------ ------------
1,336,263 1,131,803
------------ ------------
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12
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(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.
12% Senior Subordinated Note due 2015 $ 1,012,500 11/01/07 $ 914,607 $ 987,174
8% Series A Convertible Preferred Stock, convertible into
4.25% of the fully diluted common shares (B) 77,643 shs. 11/01/07 77,643 73,761
------------ ------------
992,250 1,060,935
------------ ------------
H M HOLDING COMPANY
A designer, manufacturer, and importer of promotional and wood furniture.
12% Senior Subordinated Note due 2013 (D) $ 1,170,000 02/10/06 1,084,725 --
Preferred Stock (B) 11 shs. 09/18/07 10,714 --
Common Stock (B) 180 shs. 02/10/06 180,000 --
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 67 shs. 02/10/06 61,875 --
------------ ------------
1,337,314 --
------------ ------------
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 * 1,005,349 1,073,055
Common Stock (B) 33 shs. * 33,216 43,147
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 106 shs. * 105,618 137,181
------------ ------------
1,144,183 1,253,383
------------ ------------
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 22,326
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 11 shs. 02/27/07 324 6,577
------------ ------------
1,424 28,903
------------ ------------
* 06/30/04 and 08/19/04. MassMutual Participation Investors
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13
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
INTEGRATION TECHNOLOGY SYSTEMS, INC.
A manufacturer of steel protective computer and network systems for the industrial and office environments.
12% Senior Secured Note due on demand (D) $ 25,055 03/01/04 $ 1 $ --
Common Stock (B) 130 shs. 06/01/00 149,500 --
------------ ------------
149,501 --
------------ ------------
JASON, INC.
A diversified manufacturing company serving various industrial markets.
13% Senior Subordinated Note due 2010 $ 510,187 08/04/00 485,147 498,134
Limited Partnership Interest of
Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,245 313,272
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 62,914
------------ ------------
1,015,493 874,320
------------ ------------
JUSTRITE MANUFACTURING ACQUISITION CO.
A manufacturer of safety products such as storage cabinets and containers.
12% Senior Subordinated Note due 2011 $ 843,750 12/15/04 808,166 843,999
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 138,371
------------ ------------
861,694 982,370
------------ ------------
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 $ 1,238,380 10/15/07 1,213,720 1,220,755
Common Stock (B) 116,827 shs. 10/15/07 116,827 110,986
------------ ------------
1,330,547 1,331,741
------------ ------------
K N B HOLDINGS CORPORATION
A designer, manufacturer and marketer of products for the custom framing market.
13.5% Senior Subordinated Note due 2013 $ 1,309,956 05/25/06 1,253,267 1,304,737
Common Stock (B) 71,053 shs. 05/25/06 71,053 72,730
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,600 shs. 05/25/06 37,871 44,629
------------ ------------
1,362,191 1,422,096
------------ ------------
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14
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
K W P I HOLDINGS CORPORATION
A manufacturer and distributor of vinyl windows and patio doors throughout the northwestern United States.
12% Senior Subordinated Note due 2014 $ 1,227,000 03/14/07 $ 1,125,133 $ 1,185,936
Common Stock (B) 123 shs. 03/13/07 123,000 85,115
Warrant, exercisable until 2017, to purchase
common stock at $.01 per share (B) 89 shs. 03/14/07 85,890 61,588
------------ ------------
1,334,023 1,332,639
------------ ------------
K-TEK HOLDING CORPORATION
A manufacturer of instrumentation for liquid and bulk solids level detection for process and storage tanks.
14% Senior Secured Note due 2015 $ 1,157,143 12/20/07 1,136,314 1,129,151
Preferred Stock (B) 192,314 shs. 12/20/07 192,314 182,698
Common Stock (B) 54,326 shs. 12/20/07 543 543
------------ ------------
1,329,171 1,312,392
------------ ------------
MAGNATECH INTERNATIONAL, INC.
A supplier of process equipment and related parts used in the manufacturing of medium and high-pressure reinforced hoses.
12% Senior Subordinated Note due 2014 $ 562,500 04/05/06 526,795 562,500
13% Preferred Stock (B) 299 shs. 04/05/06 299,295 382,206
Common Stock (B) 66 shs. 04/05/06 66,202 481,804
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 7 shs. 04/05/06 6,832 49,709
------------ ------------
899,124 1,476,219
------------ ------------
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 05/04/07 483,072 500,525
Limited Liability Company Unit (B) 12,763 uts. * 166,481 158,157
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 1,787 shs. 05/04/07 22,781 18
------------ ------------
672,334 658,700
------------ ------------
* 05/04/07 and 01/02/08. MassMutual Participation Investors
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15
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
MAVERICK ACQUISITION COMPANY
A manufacturer of capsules that cover the cork and neck of wine bottles.
9.2% Senior Secured Tranche A Note due 2010 (C) $ 262,074 09/03/04 $ 262,074 $ 258,133
12% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 165,061 169,898
Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 19,246
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 13,906
------------ ------------
483,273 461,183
------------ ------------
MICROGROUP, INC.
A manufacturer of precision parts and assemblies, and a value-added supplier of metal tubing and bars.
12% Senior Subordinated Note due 2013 $ 1,421,795 * 1,347,701 1,400,834
Common Stock (B) 238 shs. * 238,000 224,365
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 87 shs. * 86,281 81,837
------------ ------------
1,671,982 1,707,036
------------ ------------
MOMENTUM HOLDING CO.
A designer and supplier of upholstery fabric to commercial furniture manufacturers and architectural and design firms.
12% Senior Subordinated Note due 2014 $ 618,802 08/04/06 556,766 624,499
Limited Partnership Interest (B) 11.24% int. 08/04/06 56,198 96,315
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 586 shs. 08/04/06 56,705 100,397
------------ ------------
669,669 821,211
------------ ------------
MONESSEN HOLDING CORPORATION
A designer and manufacturer of a broad line of gas, wood, and electric hearth products and accessories.
12% Senior Subordinated Note due 2014 $ 1,350,000 03/31/06 1,260,864 1,215,000
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 81 shs. 03/31/06 73,125 --
------------ ------------
1,333,989 1,215,000
------------ ------------
MORTON INDUSTRIAL GROUP, INC.
A manufacturer of highly engineered metal fabricated components.
12% Senior Subordinated Note due 2014 $ 1,292,246 08/25/06 1,196,501 1,163,021
30% Series A Preferred Stock (B) 9,027 shs. 03/03/08 9,027 --
Common Stock (B) 57,754 shs. 08/25/06 57,754 --
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 91,923 shs. 08/25/06 79,380 --
------------ ------------
1,342,662 1,163,021
------------ ------------
* 08/12/05 and 09/11/06.
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16
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
MOSS, INC.
A manufacturer and distributor of large display and exhibit structures.
Limited Partnership Interest of
Riverside Capital Appreciation Fund I, L.P. (B) 21.37% int. * $ 199,301 $ 394,731
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 122 shs. 12/21/05 20,941 24,166
------------ ------------
220,242 418,897
------------ ------------
NABCO, INC.
A producer of explosive containment vessels in the United States.
14% Senior Subordinated Note due 2014 $ 377,057 02/24/06 339,267 188,528
Limited Liability Company Unit (B) 437 uts. ** 436,984 --
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 26 shs. 02/24/06 19,687 --
------------ ------------
795,938 188,528
------------ ------------
NAVIS GLOBAL
A designer, manufacturer, seller and servicer of finishing machinery for the knit and woven segments of the global textile
industry.
12% Senior Subordinated Note due 2014 $ 705,457 05/28/04 651,796 673,322
8.75% Senior Secured Note due 2011 $ 327,478 05/28/04 327,478 321,849
Common Stock (B) 385,233 shs. 05/28/04 385,233 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 116,521 shs. 05/28/04 74,736 --
------------ ------------
1,439,243 995,171
------------ ------------
NESCO HOLDINGS CORPORATION
A sales and leasing company that provides equipment to the electric utility, telecommunications, and various other industries.
12% Senior Subordinated Note due 2015 $ 1,125,000 08/02/07 999,658 1,110,568
Common Stock (B) 225,000 shs. 08/02/07 225,000 213,750
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 63,191 shs. 08/02/07 102,842 632
------------ ------------
1,327,500 1,324,950
------------ ------------
* 09/20/00, 05/23/02 and 02/21/07.
** 02/24/06 and 06/22/07. MassMutual Participation Investors
--------------------------------------------------------------------------------------------------------------------------------
17
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 744,663
Limited Partnership Interest of
Saw Mill PCG Partners LLC (B) 540 uts. 02/01/07 540,000 78,754
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 48 shs. 02/02/07 48,087 7,013
------------ ------------
1,333,800 830,430
------------ ------------
NONNI'S FOOD COMPANY
A producer and distributor of premium biscotti and bagel chips in North America.
12.25% Senior Subordinated Note due 2012 $ 986,538 03/29/04 982,661 986,538
10% Preferred Stock (B) 135 shs. 03/29/04 135,044 176,801
Common Stock (B) 3,418 shs. 03/29/04 3,418 260,400
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 4,565 shs. 03/29/04 3,877 347,759
------------ ------------
1,125,000 1,771,498
------------ ------------
NYLONCRAFT, INC.
A supplier of engineered plastic components for the automotive industry.
9% Senior Secured Note due 2009 $ 464,286 01/28/02 464,286 441,072
11.5% Senior Subordinated Note due 2012 $ 857,143 01/28/02 811,366 642,857
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 --
------------ ------------
1,546,820 1,083,929
------------ ------------
OAKRIVER TECHNOLOGY, INC.
Designs, engineers and assembles high precision automated process equipment for the medical device industry,
with a focus on defibrillators and stents.
10% Senior Secured Note due 2012 $ 323,115 01/03/06 318,268 310,827
13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 355,704 372,902
Common Stock (B) 184,176 shs. 01/03/06 184,176 11,763
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 43,073 shs. 01/03/06 35,900 2,751
------------ ------------
894,048 698,243
------------ ------------
--------------------------------------------------------------------------------------------------------------------------------
18
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
OLYMPIC SALES, INC.
A boat retailer in Washington state, Oregon, California and British Columbia.
12% Senior Subordinated Note due 2008 $ 511,000 08/07/98 $ 511,000 $ 503,308
12% Senior Subordinated Note due 2008 $ 244,154 02/09/00 241,154 240,442
Limited Partnership Interest of Riverside VIII, VIII-A and
VIII-B Holding Company, L.P. (B) 10.66% int. * 808,386 --
Warrants, exercisable until 2008, to purchase
common stock at $.01 per share (B) 15,166 shs. ** 206,041 --
------------ ------------
1,766,581 743,750
------------ ------------
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. 01/17/06 302,885 539,056
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 91,012
------------ ------------
393,309 630,068
------------ ------------
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 $ 1,182,352 07/03/06 1,127,884 1,178,982
Preferred Unit (B) 202 uts. 07/03/06 202,320 209,604
Preferred Unit (B) 36 uts. 07/03/06 36,420 37,731
Common Unit Class I (B) 78 uts. 07/03/06 -- --
Common Unit Class L (B) 17 uts. 07/03/06 -- --
------------ ------------
1,366,624 1,426,317
------------ ------------
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 1,144,036 1,227,150
Preferred Stock (B) 19 shs. 03/31/06 174,492 201,294
Common Stock (B) 12 shs. 03/31/06 13,500 29,487
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 17,158
------------ ------------
1,337,916 1,475,089
------------ ------------
* 08/07/98, 02/23/99, 12/22/99 and 02/25/03.
** 08/07/98 and 02/29/00. MassMutual Participation Investors
--------------------------------------------------------------------------------------------------------------------------------
19
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
PACIFIC CONSOLIDATED HOLDINGS LLC
A manufacturer of rugged, mobile liquid and gaseous oxygen and nitrogen generating systems used in the global defense,
oil & gas and medical sectors.
12% Senior Subordinated Note due 2012 $ 690,683 04/27/07 $ 634,621 $ 645,216
Limited Liability Company Unit (B) 928,962 uts. 04/27/07 33,477 31,771
------------ ------------
668,098 676,987
------------ ------------
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 1,104,324 1,117,039
Membership Interests of MM/Lincap
PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 85,916
------------ ------------
1,244,949 1,202,955
------------ ------------
POSTLE ALUMINUM COMPANY LLC
A manufacturer and distributor of aluminum extruded products.
12% Senior Subordinated Note due 2014 $ 1,080,000 10/02/06 1,005,435 1,084,797
Limited Liability Company Unit (B) 733 uts. 10/02/06 270,000 223,919
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 182 shs. 10/02/06 65,988 55,693
------------ ------------
1,341,423 1,364,409
------------ ------------
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 1,142,668 1,239,006
Limited Partnership Interest 94,092 uts. 02/11/08 94,092 89,387
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 700 shs. 02/11/08 88,723 7
------------ ------------
1,325,483 1,328,400
------------ ------------
PROTEIN GENETICS, INC.
A producer of bovine artificial insemination products, related breeding and healthcare products and specialty genetics
sold to the dairy and beef industries.
9.8% Redeemable Exchangeable Preferred Stock (B) 332 shs. 08/12/94 33,217 --
Common Stock (B) 867 shs. * 42,365 --
------------ ------------
75,582 --
------------ ------------
* 08/12/94 and 11/14/01.
--------------------------------------------------------------------------------------------------------------------------------
20
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
QUALIS AUTOMOTIVE LLC
A distributor of aftermarket automotive brake and chassis products.
12% Senior Subordinated Note due 2012 $ 937,500 05/28/04 $ 816,650 $ 919,712
Common Stock (B) 187,500 shs. 05/28/04 187,500 104,832
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 199,969 shs. 05/28/04 199,969 111,803
------------ ------------
1,204,119 1,136,347
------------ ------------
QUALSERV CORPORATION
A provider of foodservice equipment and supplies to major restaurant chains and their franchisees.
Limited Partnership Interest (B) 4.90% int. 07/09/04 1 --
------------ ------------
1 --
------------ ------------
R A J MANUFACTURING HOLDINGS LLC
A designer and manufacturer of women's swimwear sold under a variety of licensed brand names.
12.5% Senior Subordinated Note due 2014 $ 1,200,277 12/15/06 1,106,663 1,201,884
Limited Liability Company Unit (B) 1,497 uts. 12/15/06 149,723 82,032
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 2 shs. 12/15/06 69,609 38,711
------------ ------------
1,325,995 1,322,627
------------ ------------
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 1,336,613
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B) 3 shs. 01/18/08 16,459 --
------------ ------------
1,323,000 1,336,613
------------ ------------
RADIAC ABRASIVES, INC.
A manufacturer of bonded abrasive and super abrasive grinding wheels in the United States.
12% Senior Subordinated Note due 2014 $ 1,196,809 02/10/06 1,120,542 1,220,745
Common Stock (B) 153,191 shs. 02/10/06 153,191 197,132
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 69,647 shs. 02/10/06 63,421 89,624
------------ ------------
1,337,154 1,507,501
------------ ------------
MassMutual Participation Investors
--------------------------------------------------------------------------------------------------------------------------------
21
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
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 $ 524,285 $ 557,850
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 69,677
------------ ------------
589,374 627,527
------------ ------------
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. 06/02/99 146,456 728,566
------------ ------------
SAVAGE SPORTS HOLDING, INC.
A manufacturer of sporting firearms.
12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 772,625 825,739
Common Stock (B) 324 shs. * 340,378 580,741
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 126,795
------------ ------------
1,173,132 1,533,275
------------ ------------
SMART SOURCE HOLDINGS LLC
A short-term computer rental company.
12% Senior Subordinated Note due 2015 $ 1,176,924 ** 1,069,539 1,150,633
Limited Liability Company Unit (B) 328 uts. ** 337,796 311,553
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 83 shs. ** 87,231 1
------------ ------------
1,494,566 1,462,187
------------ ------------
SPECIALTY FOODS GROUP, INC.
A manufacturer and distributor of branded meat products.
Limited Partnership Interest of MHD Holdings LLC (B) 0.76% int. 08/29/00 363,576 --
------------ ------------
STANTON CARPET HOLDING CO.
A designer and marketer of high and mid-priced decorative carpets and rugs.
12.13% Senior Subordinated Note due 2014 $ 1,185,366 08/01/06 1,118,525 1,173,975
Common Stock (B) 165 shs. 08/01/06 164,634 194,793
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B) 55 shs. 08/01/06 49,390 64,876
------------ ------------
1,332,549 1,433,644
------------ ------------
* 09/10/04 and 10/05/07.
** 08/31/07 and 03/06/08.
--------------------------------------------------------------------------------------------------------------------------------
22
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
STRATEGIC EQUIPMENT & SUPPLY CORPORATION, INC.
A provider of kitchen and restaurant design, equipment fabrication and installation services.
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 61,862 shs. 01/14/00 $ 382,501 $ --
------------ ------------
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 1,335,338
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 5 shs. 01/14/08 46,617 --
------------ ------------
1,323,000 1,335,338
------------ ------------
TANGENT RAIL CORPORATION
A manufacturer of rail ties and provides specialty services to the North American railroad industry.
13% Senior Subordinated Note due 2013 $ 1,173,909 10/14/05 1,026,986 1,173,909
Common Stock (B) 1,167 shs. 10/14/05 1,167 858,655
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 618 shs. 10/14/05 155,860 454,712
------------ ------------
1,184,013 2,487,276
------------ ------------
TERRA RENEWAL SERVICES, INC.
A provider of wastewater residual management and required environmental reporting, permitting,
nutrient management planning and record keeping to companies involved in poultry and food processing.
8.7% Senior Secured Tranche B Note due 2012 (C) $ 868,863 * 865,646 835,740
12% Senior Subordinated Note due 2014 $ 664,062 ** 634,325 658,027
Limited Partnership Interest of
Saw Mill Capital Fund V, L.P. (B) 2.30% int. 03/01/05 66,448 416,008
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 41 shs. 04/28/06 33,738 72,323
------------ ------------
1,600,157 1,982,098
------------ ------------
TORRENT GROUP HOLDINGS, INC.
A contractor specializing in the sales and installation of engineered drywells for the retention and filtration of stormwater and
nuisance water flow.
12.5% Senior Subordinated Note due 2013 $ 1,185,366 10/26/07 1,113,016 1,170,115
Series A Preferred Stock (B) 219 shs. 10/26/07 219,203 208,240
------------ ------------
1,332,219 1,378,355
------------ ------------
* 04/28/06 and 12/21/06.
** 04/28/06 and 09/13/06. MassMutual Participation Investors
--------------------------------------------------------------------------------------------------------------------------------
23
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
TOTAL E & S, INC.
A manufacturer of a wide variety of equipment used in the oil and gas industry.
10.5% Senior Secured Term Note due 2013 $ 486,487 03/02/07 $ 479,190 $ 480,502
13% Senior Subordinated Note due 2014 $ 341,971 03/02/07 280,347 336,174
Common Stock (B) 71,542 shs. 03/02/07 71,542 28,992
Warrant, exercisable until 2014 to purchase
common stock at $.01 per share (B) 19,733 shs. 03/02/07 54,784 7,997
------------ ------------
885,863 853,665
------------ ------------
THE TRANZONIC COMPANIES
A producer of commercial and industrial supplies, such as safety products, janitorial supplies, work apparel, washroom and
restroom supplies and sanitary care products.
13% Senior Subordinated Note due 2010 $ 1,356,000 02/05/98 1,289,882 1,356,000
Common Stock (B) 315 shs. 02/04/98 315,000 345,548
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 243,529
------------ ------------
1,789,298 1,945,077
------------ ------------
TRANSPAC HOLDING COMPANY
A designer, importer, and wholesaler of home decor and seasonal gift products.
12% Senior Subordinated Note due 2015 $ 938,651 10/31/07 874,613 920,072
Common Stock (B) 110 shs. 10/31/07 110,430 104,909
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 50 shs. 10/31/07 46,380 1
------------ ------------
1,031,423 1,024,982
------------ ------------
TRANSTAR HOLDING COMPANY
A distributor of aftermarket automotive transmission parts.
12% Senior Subordinated Note due 2014 $ 918,000 08/31/05 884,095 941,099
Common Stock (B) 571 shs. * 570,944 48,267
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 46 shs. 08/31/05 41,021 59,632
------------ ------------
1,496,060 1,748,998
------------ ------------
* 08/31/05 and 04/30/07.
--------------------------------------------------------------------------------------------------------------------------------
24
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
TRUCK BODIES & EQUIPMENT INTERNATIONAL
A designer and manufacturer of accessories for heavy and medium duty trucks, primarily dump bodies, hoists,
various forms of flat-bed bodies, landscape bodies and other accessories.
12% Senior Subordinated Note due 2013 $ 1,222,698 * $ 1,150,566 $ 1,100,428
Common Stock (B) 393 shs. * 423,985 74,654
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B) 81 shs. * 84,650 15,417
------------ ------------
1,659,201 1,190,499
------------ ------------
TRUSTILE DOORS, INC.
A manufacturer and distributor of interior doors.
12.5% Senior Subordinated Note due 2010 $ 450,000 04/11/03 434,035 453,519
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 3,060 shs. 04/11/03 44,432 114,534
------------ ------------
478,467 568,053
------------ ------------
U M A ENTERPRISES, INC.
An importer and wholesaler of home decor products.
15% Senior Subordinated Note due 2015 $ 880,435 02/08/08 862,826 875,651
Convertible Preferred Stock (B) 470 shs. 02/08/08 469,565 446,082
------------ ------------
1,332,391 1,321,733
------------ ------------
U-LINE CORPORATION
A manufacturer of high-end, built-in, undercounter ice making, wine storage and refrigeration appliances.
12.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 922,146 979,896
Common Stock (B) 96 shs. 04/30/04 96,400 72,578
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 91,852
------------ ------------
1,130,652 1,144,326
------------ ------------
VICTORY VENTURES LLC
An acquirer of controlling or substantial interests in other entities.
Series A Preferred Units (B) 1 ut. 12/02/96 236 --
------------ ------------
* 09/24/04 and 12/22/06. MassMutual Participation Investors
--------------------------------------------------------------------------------------------------------------------------------
25
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(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 $ 451,942 $ 458,277
13% Senior Subordinated Note due 2014 $ 370,588 05/17/07 334,006 369,511
Common Stock (B) 70,588 shs. 05/17/07 70,588 67,059
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 20,003 shs. 05/17/07 31,460 200
------------ ------------
887,996 895,047
------------ ------------
VITALITY FOODSERVICE, INC.
A non-carbonated beverage dispensing company focused on the foodservice industry.
13% Senior Subordinated Note due 2011 $ 999,153 09/24/04 937,103 903,373
Common Stock (B) 14,006 shs. * 140,064 104,563
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,593 shs. 09/24/04 98,938 94,014
------------ ------------
1,176,105 1,101,950
------------ ------------
VITEX PACKAGING GROUP, INC.
A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags.
12.5% Senior Subordinated Note due 2012 $ 900,000 07/19/04 785,152 810,000
14.5% PIK Note due 2010 $ 112,500 06/30/07 102,027 101,250
Limited Liability Company Unit Class A (B) 219,375 uts. 07/19/04 219,375 --
Limited Liability Company Unit Class B (B) 96,848 uts. 07/19/04 96,848 --
------------ ------------
1,203,402 911,250
------------ ------------
WAGGIN' TRAIN HOLDINGS LLC
A producer of premium quality meat dog treats.
14% Senior Subordinated Note due 2014 $ 1,129,121 11/15/07 1,106,575 1,103,258
Limited Liability Company Unit Class B (B) 224 uts. 11/15/07 223,757 212,572
Limited Liability Company Unit Class C (B) 224 uts. 11/15/07 -- 2
------------ ------------
1,330,332 1,315,832
------------ ------------
WALLS INDUSTRIES, INC.
A provider of branded workwear and sporting goods apparel.
Limited Partnership Interest (B) 0.20% int. 07/12/04 1,974 3,584
Common Stock (B) 2,133 shs. 12/21/07 -- 3,873
------------ ------------
1,974 7,457
------------ ------------
* 07/19/05 and 12/22/05.
--------------------------------------------------------------------------------------------------------------------------------
26
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Principal Amount
Shares, Units
or Ownership Acquisition
CORPORATE RESTRICTED SECURITIES:(A)(Continued) Percentage Date Cost Fair Value
------------ -------- ------------ ------------
WELLBORN FOREST HOLDING CO.
A manufacturer of semi-custom kitchen and bath cabinetry.
12.13% Senior Subordinated Note due 2014 $ 911,250 11/30/06 $ 851,833 $ 862,557
Common Stock (B) 101 shs. 11/30/06 101,250 59,797
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 51 shs. 11/30/06 45,790 29,854
------------ ------------
998,873 952,208
------------ ------------
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 05/14/07 559,850 571,062
Limited Partnership Interest (B) 12.26% int. 05/14/07 61,308 52,112
Warrant, exercisable until 2015, to purchase
common stock at $.02 per share (B) 47 shs. 05/14/07 44,186 --
------------ ------------
665,344 623,174
------------ ------------
TOTAL PRIVATE PLACEMENT INVESTMENTS (F) 96,123,354 94,687,932
------------ ------------
MassMutual Participation Investors
--------------------------------------------------------------------------------------------------------------------------------
27
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Shares or
Interest Due Principal
CORPORATE RESTRICTED SECURITIES: (A) (Continued) Rate Date Amount Cost Fair Value
------- -------- ------------ ------------ ------------
RULE 144A SECURITIES - 3.59%:
BONDS - 3.59%
Charter Communications Op LLC 8.000% 04/30/12 $ 750,000 $ 736,875 $ 688,125
Compucom Systems, Inc. 12.500 10/01/15 670,000 647,962 624,775
Douglas Dynamics LLC 7.750 01/15/12 325,000 326,263 243,750
G F S I, Inc. (C) 10.500 06/01/11 375,000 360,505 348,750
Intergen NV 9.000 06/30/17 375,000 371,959 391,875
Packaging Dynamics Corporation of America 10.000 05/01/16 975,000 969,875 726,375
Penhall International 12.000 08/01/14 325,000 332,912 274,625
Ryerson, Inc. 12.000 11/01/15 30,000 30,000 28,350
Snoqualmie Entertainment Authority 9.125 02/01/15 250,000 244,063 212,500
Tenneco, Inc. 8.125 11/15/15 50,000 50,000 49,625
TRW Automotive, Inc. 7.250 03/15/17 500,000 440,000 455,000
Tunica-Biloxi Gaming Authority 9.000 11/15/15 540,000 556,529 523,800
------------ ------------
TOTAL BONDS 5,066,943 4,567,550
------------ ------------
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 PREFERRED STOCK 1,062 --
------------ ------------
TOTAL RULE 144A SECURITIES 5,069,216 4,567,550
------------ ------------
TOTAL CORPORATE RESTRICTED SECURITIES $101,192,570 $ 99,255,482
------------ ------------
----------------------------------------------------------------------------------------------------------------
28
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Interest Due Principal Market
CORPORATE PUBLIC SECURITIES - 22.15%: (A) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
BONDS - 21.12%
Allied Waste NA 7.375% 04/15/14 $ 140,000 $ 141,530 $ 137,725
Appleton Papers, Inc. 8.125 06/15/11 250,000 250,000 240,625
Aramark Corporation (C) 6.739 02/01/15 100,000 100,000 88,250
Atlas Pipeline Partners 8.125 12/15/15 600,000 611,429 610,500
Basic Energy Services 7.125 04/15/16 625,000 610,043 595,313
Blockbuster, Inc. (C) 9.000 09/01/12 275,000 276,035 224,125
Boyd Gaming Corporation 7.125 02/01/16 150,000 146,625 120,750
Bristow Group, Inc. 7.500 09/15/17 75,000 75,000 75,375
Cablevision Systems Corporation 8.000 04/15/12 500,000 505,476 486,250
Cincinnati Bell, Inc. 8.375 01/15/14 550,000 503,750 515,625
Clayton Williams Energy, Inc. 7.750 08/01/13 575,000 557,000 497,375
Community Health Systems, Inc. 8.875 07/15/15 475,000 464,276 476,781
Countrywide Alternative Loan Trust (C) 2.856 11/20/35 1,021,438 746,926 738,050
Del Monte Corporation 8.625 12/15/12 200,000 200,000 203,500
Dynegy Holdings, Inc. 7.500 06/01/15 250,000 223,274 234,375
Dynegy Holdings, Inc. 8.375 05/01/16 665,000 675,615 658,350
Edison Mission Energy 7.750 06/15/16 35,000 35,000 36,050
Electronic Data Systems Corporation 7.125 10/15/09 500,000 502,241 509,957
Esterline Technologies 7.750 06/15/13 175,000 175,000 177,625
Ford Motor Credit Co. 7.375 10/28/09 750,000 748,125 683,350
Gencorp, Inc. 9.500 08/15/13 130,000 130,000 129,025
General Motors Acceptance Corporation 5.850 01/14/09 750,000 741,106 699,371
Goodyear Tire & Rubber Co. 7.857 08/15/11 350,000 327,250 358,313
Goodyear Tire & Rubber Co. 8.625 12/01/11 250,000 261,777 262,188
Goodyear Tire & Rubber Co. 9.000 07/01/15 64,000 65,222 67,680
GulfMark Offshore, Inc. 7.750 07/15/14 300,000 298,725 304,500
H C A, Inc. 9.250 11/15/16 500,000 508,573 518,750
Hughes Network Systems 9.500 04/15/14 525,000 535,551 522,375
Inergy LP 8.250 03/01/16 75,000 75,000 76,688
Intelsat Bermuda Ltd. 9.250 06/15/16 690,000 716,406 695,175
Interline Brands, Inc. 8.125 06/15/14 830,000 824,237 792,650
Iron Mountain, Inc. 8.750 07/15/18 500,000 514,582 518,750
Koppers, Inc. 9.875 10/15/13 170,000 170,000 178,500
Leucadia National Corporation 7.000 08/15/13 350,000 355,004 347,375
Majestic Star Casino LLC 9.500 10/15/10 250,000 250,000 220,625
Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 99,000
MassMutual Participation Investors
----------------------------------------------------------------------------------------------------------------
29
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Interest Due Principal Market
CORPORATE PUBLIC SECURITIES:(A)(Continued) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
Mariner Energy, Inc. 8.000% 05/15/17 $ 400,000 $ 402,594 $ 382,000
Markwest Energy Operating Co. 6.875 11/01/14 550,000 532,750 519,750
Mediacom Broadband LLC 8.500 10/15/15 750,000 765,664 630,000
N R G Energy, Inc. 7.375 02/01/16 600,000 598,750 588,000
N T L Cable PLC 9.125 08/15/16 790,000 813,296 707,050
Neiman Marcus Group, Inc. 10.375 10/15/15 600,000 600,000 600,000
Nextel Communications, Inc. 7.375 08/01/15 400,000 407,382 308,000
North American Energy Partners 8.750 12/01/11 200,000 200,000 198,000
NOVA Chemicals Corporation (C) 7.863 11/15/13 515,000 511,538 431,313
O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 500,000 492,980 440,000
Offshore Logistics, Inc. 6.125 06/15/13 350,000 350,000 336,000
Petrohawk Energy Corporation 9.125 07/15/13 750,000 762,024 770,625
Pliant Corporation (C) 11.850 06/15/09 764,203 773,442 748,917
Quebecor Media, Inc. 7.750 03/15/16 575,000 551,385 524,687
Quicksilver Resources, Inc. 7.125 04/01/16 600,000 583,125 579,000
Rental Service Corporation 9.500 12/01/14 500,000 506,683 417,500
Rock-Tenn Co. 8.200 08/15/11 430,000 440,516 440,750
Rogers Wireless, Inc. 7.500 03/15/15 560,000 593,857 588,340
Sheridan Acquisition Corporation 10.250 08/15/11 225,000 222,001 198,280
Steel Dynamics, Inc. 6.750 04/01/15 100,000 100,000 98,000
Stewart & Stevenson LLC 10.000 07/15/14 750,000 770,907 720,000
Tenet Healthcare Corporation 6.375 12/01/11 250,000 241,250 225,625
Tenneco, Inc. 8.625 11/15/14 500,000 501,159 491,250
Tesoro Petroleum Corporation 6.500 06/01/17 250,000 250,000 223,750
Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 34,037
Titan International, Inc. 8.000 01/15/12 70,000 70,000 68,600
Transdigm, Inc. 7.750 07/15/14 150,000 151,345 150,000
Tube City IMS Corporation 9.750 02/01/15 1,000,000 991,796 880,000
United Components, Inc. 9.375 06/15/13 535,000 535,916 490,194
United Rentals, Inc. 7.750 11/15/13 325,000 325,000 264,875
Vought Aircraft Industries 8.000 07/15/11 650,000 648,205 596,375
Warner Music Group Corporation 7.375 04/15/14 125,000 125,000 96,250
------------ ------------
TOTAL BONDS 28,274,343 26,848,084
------------ ------------
----------------------------------------------------------------------------------------------------------------
30
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Share or
Interest Due Principal Market
CORPORATE PUBLIC SECURITIES:(A)(Continued) Rate Date Amount Cost Value
------- -------- ------------ ------------ ------------
COMMON STOCK - 0.83%
Comcast Corporation $ 16,800 $ 310,632 $ 324,912
Distributed Energy Systems Corporation (B) 14,000 177,078 6,300
EnerNOC, Inc. (B) 23,500 648,410 267,900
ITC^DeltaCom, Inc. (B) 94,588 827,645 349,976
Visa, Inc. (B) 1,676 73,744 104,515
------------ ------------
TOTAL COMMON STOCK 2,037,509 1,053,603
------------ ------------
CONVERTIBLE BONDS - 0.20%
Citadel Broadcasting Corporation 1.875% 02/15/11 $ 300,000 232,875 254,625
------------ ------------
TOTAL CONVERTIBLE BONDS 232,875 254,625
------------ ------------
TOTAL CORPORATE PUBLIC SECURITIES $ 30,544,727 $ 28,156,312
------------ ------------
Interest Due Principal
SHORT-TERM SECURITIES: Rate/Yield* Date Amount Cost Market Value
------- -------- ------------ ------------ ------------
COMMERCIAL PAPER - 6.53%
Dominion Resources, Inc. 3.072% 04/02/08 $ 2,056,000 $ 2,055,815 $ 2,055,815
Dow Chemical Co. 3.304 04/11/08 1,868,000 1,866,288 1,866,288
P P G Industries, Inc. 3.101 04/04/08 1,953,000 1,952,495 1,952,495
UnitedHealth Group, Inc. 3.102 04/01/08 2,427,000 2,427,000 2,427,000
------------ ------------
TOTAL SHORT-TERM SECURITIES $ 8,301,598 $ 8,301,598
------------ ------------
TOTAL INVESTMENTS 106.75% $140,038,895 $135,713,392
------------ ------------
Other Assets 3.24 4,121,994
Liabilities (9.99) (12,707,874)
------ ------------
TOTAL NET ASSETS 100.00% $127,127,512
====== ============
(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 03/31/08.
(D) Defaulted security; interest not accrued.
(E) Security publicly priced.
(F) Illiquid security. At March 31, 2008, the values of these securities amounted to $94,687,932 or 74.48% of
net assets.
* Effective yield at purchase
PIK - Payment-in-kind
MassMutual Participation Investors
----------------------------------------------------------------------------------------------------------------
31
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 31, 2008
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
AEROSPACE - 4.85% BROADCASTING & ENTERTAINMENT- 2.36%
Consolidated Foundries Holdings $ 2,264,936 Cablevision Systems Corporation $ 486,250
Esterline Technologies 177,625 Charter Communications Op LLC 688,125
Gencorp, Inc. 129,025 Citadel Broadcasting Corporation 254,625
Hughes Network Systems 522,375 Comcast Corporation 324,912
P A S Holdco LLC 1,426,317 Mediacom Broadband LLC 630,000
Transdigm, Inc. 150,000 Workplace Media Holdings Co. 623,174
Visioneering, Inc. 895,047 --------------
Vought Aircraft Industries 596,375 3,007,086
-------------- --------------
6,161,700 BUILDINGS & REAL ESTATE - 1.52%
-------------- K W P I Holdings Corporation 1,332,639
AUTOMOBILE - 8.05% Texas Industries, Inc. 34,037
Ford Motor Credit Co. 683,350 TruStile Doors, Inc. 568,053
Fuel Systems Holding Corporation 1,131,803 --------------
General Motors Acceptance Corporation 699,371 1,934,729
Goodyear Tire & Rubber Co. 688,181 --------------
Jason, Inc. 874,320 CHEMICAL, PLASTICS & RUBBER - 0.70%
Nyloncraft, Inc. 1,083,929 Capital Specialty Plastics, Inc. 279,466
Ontario Drive & Gear Ltd. 630,068 Koppers, Inc. 178,500
Qualis Automotive LLC 1,136,347 NOVA Chemicals Corporation 431,313
Tenneco, Inc. 540,875 --------------
Titan International, Inc. 68,600 889,279
Transtar Holding Company 1,748,998 --------------
TRW Automotive, Inc. 455,000 CONSUMER PRODUCTS - 8.90%
United Components, Inc. 490,194 Aero Holdings, Inc. 2,058,038
-------------- Bravo Sports Holding Corporation 1,419,554
10,231,036 G F S I, Inc. 348,750
-------------- K N B Holdings Corporation 1,422,096
BEVERAGE, DRUG & FOOD - 3.32% Momentum Holding Co. 821,211
Aramark Corporation 88,250 R A J Manufacturing Holdings LLC 1,322,627
Del Monte Corporation 203,500 R E I Delaware Holding, Inc. 1,336,613
Golden County Foods Holding, Inc. 1,060,935 Royal Baths Manufacturing Company 627,527
Nonni's Food Company 1,771,498 The Tranzonic Companies 1,945,077
Specialty Foods Group, Inc. -- Walls Industries, Inc. 7,457
Vitality Foodservice, Inc. 1,101,950 --------------
-------------- 11,308,950
4,226,133 --------------
-------------- CONTAINERS, PACKAGING & GLASS - 5.01%
Flutes, Inc. 840,000
Maverick Acquisition Company 461,183
P I I Holding Corporation 1,475,089
Packaging Dynamics Corporation of America 726,375
Paradigm Packaging, Inc. 1,202,955
Pliant Corporation 748,917
Vitex Packaging Group, Inc. 911,250
--------------
6,365,769
--------------
------------------------------------------------------------------------------------------------------------------------------------
32
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION: Market Value Market Value
-------------- --------------
DISTRIBUTION - 1.92% FINANCIAL SERVICES - 1.53%
Duncan Systems, Inc. $ 960,032 Highgate Capital LLC $ --
Magnatech International, Inc. 1,476,219 Leucadia National Corporation 347,375
QualServ Corporation -- Nesco Holdings Corporation 1,324,950
Strategic Equipment & Supply Corporation, Inc. -- Penhall International 274,625
-------------- Victory Ventures LLC --
2,436,251 --------------
-------------- 1,946,950
DIVERSIFIED/CONGLOMERATE, --------------
MANUFACTURING - 5.62% HEALTHCARE, EDUCATION &
A H C Holdings Company, Inc. 1,319,967 CHILDCARE - 3.81%
Arrow Tru-Line Holdings, Inc. 865,268 A T I Acquisition Company 1,147,192
Douglas Dynamics LLC 243,750 American Hospice Management Holding LLC 1,063,349
Evans Consoles, Inc. 650,655 Community Health Systems, Inc. 476,781
Postle Aluminum Company LLC 1,364,409 F H S Holdings LLC 1,405,615
Radiac Abrasives, Inc. 1,507,501 H C A, Inc. 518,750
Truck Bodies & Equipment International 1,190,499 Tenet Healthcare Corporation 225,625
-------------- Touchstone Health Partnership --
7,142,049 --------------
-------------- 4,837,312
DIVERSIFIED/CONGLOMERATE, SERVICE - 4.88% --------------
Advanced Technologies Holdings 1,321,585 HOME & OFFICE FURNISHINGS,
Allied Waste NA 137,725 HOUSEWARES, AND DURABLE
CapeSuccess LLC 2,512 CONSUMER PRODUCTS - 8.80%
Diversco, Inc./DHI Holdings, Inc. 389,263 Connor Sport Court International, Inc. 529,713
Dwyer Group, Inc. 726,902 H M Holding Company --
Fowler Holding, Inc. 1,213,290 Home Decor Holding Company 1,253,383
Insurance Claims Management, Inc. 28,903 Justrite Manufacturing Acquisition Co. 982,370
Interline Brands, Inc. 792,650 K H O F Holdings, Inc. 1,331,741
Iron Mountain, Inc. 518,750 Monessen Holding Corporation 1,215,000
Mail Communications Group, Inc. 658,700 Stanton Carpet Holding Co. 1,433,644
Moss, Inc. 418,897 Transpac Holdings Company 1,024,982
-------------- U M A Enterprises, Inc. 1,321,733
6,209,177 U-Line Corporation 1,144,326
-------------- Wellborn Forest Holding Co. 952,208
ELECTRONICS - 1.67% --------------
Connecticut Electric, Inc. 1,203,886 11,189,100
Directed Electronics, Inc. 407,797 --------------
Distributed Energy Systems Corporation 6,300
Electronic Data Systems Corporation 509,957
--------------
2,127,940
--------------
FARMING & AGRICULTURE - 1.04%
Protein Genetics, Inc. --
Waggin' Train Holdings LLC 1,315,832
--------------
1,315,832
--------------
MassMutual Participation Investors
------------------------------------------------------------------------------------------------------------------------------------
33
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 31, 2008
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
LEISURE, AMUSEMENT, ENTERTAINMENT - 3.09% MORTGAGE-BACKED SECURITIES - 0.58%
Boyd Gaming Corporation $ 120,750 Countrywide Alternative Loan Trust $ 738,050
Electra Bicycle Company LLC 784,981 --------------
Majestic Star Casino LLC 220,625 NATURAL RESOURCES - 0.54%
O E D Corp/Diamond Jo Company Guarantee 440,000 Appleton Papers, Inc. 240,625
Savage Sports Holding, Inc. 1,533,275 Rock-Tenn Co. 440,750
Snoqualmie Entertainment Authority 212,500 --------------
Tunica-Biloxi Gaming Authority 523,800 681,375
Warner Music Group Corporation 96,250 --------------
-------------- OIL & GAS - 3.66%
3,932,181 Atlas Pipeline Partners 610,500
-------------- Basic Energy Services 595,313
MACHINERY - 8.57% Bristow Group, Inc. 75,375
Davis-Standard LLC 1,704,334 Clayton Williams Energy, Inc. 497,375
E S P Holdco, Inc. 1,332,928 GulfMark Offshore, Inc. 304,500
Integration Technology Systems, Inc. -- Mariner Energy, Inc. 382,000
K-Tek Holdings Corporation 1,312,392 North American Energy Partners 198,000
Manitowoc Company, Inc. 99,000 Offshore Logistics, Inc. 336,000
Morton Industrial Group, Inc. 1,163,021 Quicksilver Resources, Inc. 579,000
Navis Global 995,171 Tesoro Petroleum Corporation 223,750
NetShape Technologies, Inc. 830,430 Total E & S, Inc. 853,665
Pacific Consolidated Holdings LLC 676,987 --------------
Power Services Holding Company 1,328,400 4,655,478
Safety Speed Cut Manufacturing Company, Inc. 728,566 --------------
Stewart & Stevenson LLC 720,000 PHARMACEUTICALS - 1.29%
-------------- CorePharma LLC 1,395,713
10,891,229 Enzymatic Therapy, Inc. 247,011
-------------- --------------
MEDICAL DEVICES/BIOTECH - 2.59% 1,642,724
Coeur, Inc. 797,748 --------------
ETEX Corporation -- PUBLISHING/PRINTING - 0.57%
E X C Acquisition Corporation 88,019 Quebecor Media, Inc. 524,687
MicroGroup, Inc. 1,707,036 Sheridan Acquisition Corporation 198,280
OakRiver Technology, Inc. 698,243 --------------
TherOX, Inc. -- 722,967
-------------- --------------
3,291,046 RETAIL STORES - 1.77%
-------------- Blockbuster, Inc. 224,125
MINING, STEEL, IRON & NON Neiman Marcus Group, Inc. 600,000
PRECIOUS METALS - 1.84% Olympic Sales, Inc. 743,750
Ryerson, Inc. 28,350 Rental Service Corporation 417,500
Steel Dynamics, Inc. 98,000 United Rentals, Inc. 264,875
T H I Acquisition, Inc. 1,335,338 --------------
Tube City IMS Corporation 880,000 2,250,250
-------------- --------------
2,341,688
--------------
------------------------------------------------------------------------------------------------------------------------------------
34
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED)
March 31, 2008
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Continued) Market Value Market Value
-------------- --------------
TECHNOLOGY - 1.93% UTILITIES - 2.58%
Compucom Systems, Inc. $ 624,775 Dynegy Holdings, Inc. $ 892,725
EnerNOC, Inc. 267,900 Edison Mission Energy 36,050
Smart Source Holdings, Inc. 1,462,187 Inergy LP 76,688
Visa, inc. 104,515 Intergen NV 391,875
-------------- Markwest Energy Operating Co. 519,750
2,459,377 N R G Energy, Inc. 588,000
-------------- Petrohawk Energy Corporation 770,625
TELECOMMUNICATIONS - 2.49% --------------
Cincinnati Bell, Inc. 515,625 3,275,713
Intelsat Bermuda Ltd. 695,175 --------------
ITC^DeltaCom, Inc. 349,976 WASTE MANAGEMENT / POLLUTION - 2.64%
Nextel Communications, Inc. 308,000 Terra Renewal Services, Inc. 1,982,098
N T L Cable PLC 707,050 Torrent Group Holdings, Inc. 1,378,355
Rogers Wireless, Inc. 588,340 --------------
-------------- 3,360,453
3,164,166 --------------
-------------- Total Corporate Restricted and
TRANSPORTATION - 2.10% Public Securities - 100.22% $ 127,411,794
NABCO, Inc. 188,528 ==============
Tangent Rail Corporation 2,487,276
--------------
2,675,804
--------------
See Notes to Consolidated Financial Statements MassMutual Participation Investors
------------------------------------------------------------------------------------------------------------------------------------
35
INCOME TAX INFORMATION
The aggregate cost of investments is substantially the same for financial
reporting and federal income tax purposes as of March 31, 2008. The net
unrealized depreciation of investments for financial reporting and federal tax
purposes as of March 31, 2008 is $4,325,503 and consists of $10,885,400
appreciation and $15,210,903 depreciation.
FAIR VALUE MEASUREMENTS
Effective January 1, 2008, the Trust adopted FASB Statement of Financial
Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157
clarifies the definition of fair value, establishes a framework for measuring
fair values and requires additional disclosures about the use of fair value
measurements. FAS 157 requires companies to provide expanded information about
the assets and liabilities measured at fair value and the potential effect of
these fair valuations of an entity's financial performance.
Various inputs are used in determining the value of the Trust's investments.
Using the hierarchy established under FAS 157, these inputs are summarized in
the three broad levels listed below:
Level 1: quoted prices in active markets for identical securities
Level 2: other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayments speeds, credit risk,
etc.)
Level 3: significant unobservable inputs (including the Trust's own assumptions
in determining the fair value of investments)
MassMutual Participation Investors
--------------------------------------------------------------------------------
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, 2008:
ASSETS TOTAL LEVEL 1 LEVEL 2 LEVEL 3
-----------------------------------------------------------------------------
Private Securities $ 99,255,482 $ 407,797 $ 4,567,550 $94,280,135
Public Securities 28,156,312 1,053,603 27,102,709 --
Short-term Securities 8,301,598 -- 8,301,598 --
-----------------------------------------------------------------------------
TOTAL $135,713,392 $1,461,400 $39,971,857 $94,280,135
Following is a reconciliation of Level 3 assets for which significant
unobservable inputs were used to determine fair value:
PRIVATE PUBLIC SHORT-TERM
ASSETS SECURITIES SECURITIES SECURITIES TOTAL
-----------------------------------------------------------------------------
Beginning balance
at 12/31/2007 $ 94,083,138 $ -- $ -- $ 94,083,138
Total Gains or Losses
(realized/unrealized)
included in earnings* (242,584) -- -- (242,584)
Purchases, sales,
issuances & settlements
(net) 439,581 -- -- 439,581
-----------------------------------------------------------------------------
ENDING BALANCE
AT 3/31/08 $ 94,280,135 $ -- $ -- $ 94,280,135
* The amount of total gains or losses for the period included in earnings
attributable to the change in unrealized gains or losses relating to level 3
assets still held at 3/31/08 is $(638,981).
ITEM 2. CONTROLS AND PROCEDURES.
(a) The principal executive officer and principal financial officer of
the Registrant evaluated the effectiveness of the Registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940 (the "Act") as of a date within 90 days of the filing date
of this report and based on that evaluation have concluded that such disclosure
controls and procedures are effective to provide reasonable assurance that
material information required to be disclosed by the Registrant on Form N-Q is
recorded, processed, summarized and reported within the time periods specified
in the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred
during the Registrant's last fiscal quarter that has materially affected, or are
reasonably likely to materially affect, the Registrant's internal control over
financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the Investment Company
Act of 1940 (17 CFR 270.30a-2(a)) are attached hereto as an exhibit.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MassMutual Participation Investors
----------------------------------
By (Signature and Title)* /s/ Clifford M. Noreen
---------------------------------------------
Clifford M. Noreen, President
Date May 30, 2008
------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Clifford M. Noreen
---------------------------------------------
Clifford M. Noreen, President
Date May 30, 2008
------------------------------------------------------------------
By (Signature and Title)* /s/ James M. Roy
---------------------------------------------
James M. Roy, Vice President and
Chief Financial Officer
Date May 30, 2008
------------------------------------------------------------------
* PRINT THE NAME AND TITLE OF EACH SIGNING OFFICER UNDER HIS OR HER SIGNATURE.