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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)
Stephen L. Kuhn, Vice President and Secretary,
1295 State Street, Springfield, MA 01111
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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: 03/31/06
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ITEM 1. SCHEDULE OF INVESTMENTS.
CONSOLIDATED SCHEDULE OF INVESTMENTS MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES - 72.67%:(A) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
PRIVATE PLACEMENT INVESTMENTS - 66.37%
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 $ 1,002,932
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 1,230 shs. 04/08/04 -- 12
Warrant, exercisable until 2012, to purchase
preferred stock at $.01 per share (B) 33,505 shs. 03/23/06 33,860 335
------------ ------------
1,158,860 1,003,279
------------ ------------
ADORN, INC.
A manufacturer of wall panels, cabinets, moldings and
countertops for houses and recreational vehicles.
12.5% Subordinated Note due 2010 $ 1,125,000 02/29/00 1,047,620 1,125,000
Warrant, exercisable until 2010, to purchase
common stock at $.02 per share (B) 192 shs. 02/29/00 162,931 277,171
------------ ------------
1,210,551 1,402,171
------------ ------------
AMERCABLE, INC.
A manufacturer of electric power, instrumentation
and control cables, primarily for the mining and oil and
gas industries.
12% Senior Subordinated Note due 2013 $ 583,333 04/08/05 550,976 579,008
Limited Partnership Interest (B) 0.19% int. 04/07/05 41,667 64,093
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 66 shs. 04/08/05 64,833 101,668
------------ ------------
657,476 744,769
------------ ------------
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 1,018,265 1,140,276
Preferred Class A Unit (B) 1,337 uts. 01/22/04 133,700 120,330
Common Class B Unit (B) 1,610 uts. 01/22/04 1 154,458
------------ ------------
1,151,966 1,415,064
------------ ------------
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 05/18/05 807,057 866,487
Common Stock (B) 263 shs. 05/18/05 263,298 236,970
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 69 shs. 05/18/05 59,362 1
------------ ------------
1,129,717 1,103,458
------------ ------------
AUGUSTA SPORTSWEAR HOLDING CO.
A manufacturer and distributor of athletic apparel,
activewear and team uniforms.
12% Senior Subordinated Note due 2012 $ 893,000 12/31/04 835,799 896,495
Common Stock (B) 261 shs. * 261,000 234,900
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 73 shs. 12/31/04 63,254 1
------------ ------------
1,160,053 1,131,396
------------ ------------
*12/31/04 and 03/31/05.
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7
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
BEACON MEDICAL PRODUCTS, INC.
A designer, manufacturer and marketer of medical air and
gas distribution systems.
8.54% Senior Secured Revolving Credit
Facility due 2007 (C) $ 131,792 04/09/02 $ 131,792 $ 131,792
8.54% Senior Secured Tranche A Note due 2008 (C) $ 339,148 04/09/02 339,148 339,148
12% Senior Secured Note due 2010 $ 412,112 04/09/02 364,564 425,439
Limited Partnership Interest of Riverside Capital
Appreciation Fund IV, L.P. (B) 5.09% int. 04/09/02 87,045 261,618
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 794 shs. 04/09/02 72,856 238,665
------------ ------------
995,405 1,396,662
------------ ------------
BETA BRANDS LTD.
A manufacturer of hard candy and chocolate-coated
products sold primarily to the Canadian market.
5% Promissory Note due 2009 (B) $ 96,698 03/31/04 96,698 --
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 2,421 shs. 03/31/04 1 --
------------ ------------
96,699 --
------------ ------------
C & J SPEC-RENT SERVICES, INC.
A provider of coiled tubing and pressure pumping services
to the oil and gas industry in Texas and Louisiana.
10% Senior Secured Term Note due 2012 $ 886,597 08/12/05 886,567 897,894
14% Senior Subordinated Note due 2013 $ 649,755 08/12/05 591,610 651,453
Common Stock (B) 268,657 shs. 08/12/05 268,657 241,791
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 49,552 shs. 08/12/05 60,910 496
------------ ------------
1,807,744 1,791,634
------------ ------------
C & M CONVEYOR, INC.
A manufacturer and supplier of material handling systems
to the corrugated sheet and container industry.
9.5% Senior Secured Term Note due 2007 $ 433,735 09/13/02 433,735 433,452
11% Senior Subordinated Note due 2010 $ 478,916 09/13/02 462,021 478,814
Common Stock (B) 180,723 shs. 09/13/02 180,723 346,988
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 78,386 shs. 09/13/02 34,428 150,501
------------ ------------
1,110,907 1,409,755
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CAINS FOODS, L.P.
A producer of mayonnaise and sauce products for both the
retail and food service markets.
Limited Partnership Interest 1.81% int. 09/29/95 22,519 178,408
------------ ------------
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8
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
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 22,973
------------ ------------
COEUR, INC.
A producer of proprietary, disposable power
injection syringes.
8.75% Senior Secured Term Note due 2010 $ 326,087 04/30/03 326,087 326,151
11.5% Senior Subordinated Note due 2011 $ 242,754 04/30/03 225,258 243,029
Common Stock (B) 72,463 shs. 04/30/03 72,463 81,738
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 50,099 shs. 04/30/03 23,317 56,512
------------ ------------
647,125 707,430
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COINING CORPORATION OF AMERICA LLC
A manufacturer of close tolerance parts and
metal stampings.
9.77% Senior Secured Revolving Credit
Facility due 2006 (C) $ 86,420 01/07/02 86,420 85,957
9.77 % Senior Secured Tranche A Note due 2007 (C) $ 458,913 06/26/01 458,913 445,488
13% Senior Secured Tranche B Note due 2008 $ 370,370 06/26/01 370,370 363,015
Limited Partnership Interest (B) 3.65% int. 06/26/01 185,185 166,667
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 61,163 shs. 06/26/01 45,370 51,744
------------ ------------
1,146,258 1,112,871
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CONNOR SPORT COURT INTERNATIONAL, INC.
A designer and manufacturer of outdoor and
indoor synthetic sports flooring and other temporary
flooring products.
12% Senior Subordinated Note due 2012 (D) $ 1,059,417 ** 974,588 953,475
Limited Partnership Interest (B) 4.43% int. *** 103,135 1,031
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 92 shs. ** 84,829 1
------------ ------------
1,162,552 954,507
------------ ------------
*12/30/97 and 05/29/99.
**08/12/04 and 01/18/05.
***08/12/04 and 01/14/05.
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9
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
CONSOLIDATED FOUNDRIES HOLDINGS
A manufacturer of engineered cast metal components for
the global aerospace and defense industries.
12% Senior Subordinated Note due 2013 $ 1,157,143 06/15/05 $ 1,107,117 $ 1,143,551
Common Stock (B) 193 shs. 06/15/05 192,857 173,574
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 54 shs. 06/15/05 53,295 1
------------ ------------
1,353,269 1,317,126
------------ ------------
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 1,280,605 1,329,865
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 10 shs. 08/04/05 72,617 --
------------ ------------
1,353,222 1,329,865
------------ ------------
CORVEST GROUP, INC.
A manufacturer and distributor of promotional products.
12% Senior Subordinated Note due 2007 $ 2,045,455 * 1,977,176 1,022,728
Common Stock (B) 30 shs. * 51,136 5,114
Limited Partnership Interest (B) 10.23% int. * 150,377 15,182
Warrant, exercisable until 2007, to purchase
common stock at $.01 per share (B) 171 shs. * 157,343 29,489
------------ ------------
2,336,032 1,072,513
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DEXTER MAGNETICS TECHNOLOGIES, INC.
A designer, fabricator, assembler and distributor of
industrial magnets and subassemblies in North America
and Europe.
Common Stock (B) 310 shs. 07/19/01 309,783 367,858
Warrant, exercisable until 2006, to purchase
common stock at $.01 per share (B) 157 shs. 07/19/01 132,677 186,446
------------ ------------
442,460 554,304
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DIRECTED ELECTRONICS, INC.
A designer and distributor of brand name
automotive security systems, audio products
and installation accessories.
Common Stock (B) 126,817 shs. 12/19/05 40,518 1,911,763
Limited Partnership Interest (B) 4.61% int. ** 26,223 825,363
------------ ------------
66,741 2,737,126
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*03/05/99 and 03/24/99.
**12/22/99 and 09/14/05.
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10
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
DIVERSCO, INC./DHI HOLDINGS, INC.
A contract provider of janitorial and equipment
maintenance services and temporary production labor to
industrial customers.
Membership Interests of MM/Lincap
Diversco Investments Ltd. LLC (B) 13.57% int. 08/27/98 $ 366,495 $ --
Preferred Stock (B) 1,639 shs. 12/14/01 1,392,067 1,252,858
Warrants, exercisable until 2011, to purchase
common stock of DHI Holdings, Inc.
at $.01 per share (B) 6,676 shs. * 201,655 --
------------ ------------
1,960,217 1,252,858
------------ ------------
DWYER GROUP, INC.
A franchiser of a variety of home repair services.
14% Senior Subordinated Note due 2011 $ 984,375 10/30/03 903,494 1,004,063
Common Stock (B) 3,656 shs. ** 365,600 380,224
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 111,967
------------ ------------
1,367,813 1,496,254
------------ ------------
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 11 shs. 06/28/04 40,875 71,718
------------ ------------
EAGLE PACK PET FOODS, INC.
A manufacturer of premium pet food sold through
independent pet stores.
14% Senior Subordinated Note due 2011 $ 562,500 09/24/04 544,502 573,750
Warrant, exercisable until 2011, to purchase
common stock at $.02 per share (B) 2,163 shs. 09/24/04 20,893 38,069
------------ ------------
565,395 611,819
------------ ------------
EAST RIVER VENTURES I, L.P.
An acquirer of controlling or substantial interests in
other entities.
Limited Partnership Interest (B) 0.03% int. 01/01/01 6,710 5,423
------------ ------------
ENZYMATIC THERAPY, INC.
A manufacturer and distributor of branded natural
medicines and nutritional supplements.
Limited Partnership Interest (B) 0.70% int. 03/30/00 281,250 33,750
Warrant, exercisable until 2009, to purchase
common stock at $.01 per share (B) 15,415 shs. 03/30/00 135,000 22,500
------------ ------------
416,250 56,250
------------ ------------
*10/24/96 and 08/28/98.
**10/30/03 and 01/02/04.
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11
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
EURO-PRO CORPORATION
A designer, marketer and distributor of floor care, steam
cleaning and small kitchen products and appliances.
13.25% Senior Subordinated Note due 2011 $ 1,125,000 09/09/03 $ 1,106,131 $ 562,500
16.03% Overdue Interest Secured Note due 2008 (C) $ 75,952 01/13/06 68,357 68,357
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 23,229 shs. 09/09/03 18,869 --
------------ ------------
1,193,357 630,857
------------ ------------
EVANS CONSOLES, INC.
A designer and manufacturer of consoles and control
center systems.
Common Stock (B) 45,000 shs. 05/06/04 6 --
------------ ------------
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 1,124,176 1,223,937
Common Stock (B) 98 shs. 02/03/06 97,826 88,047
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 135 shs. 02/03/06 110,348 1
------------ ------------
1,332,350 1,311,985
------------ ------------
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 1,150,271 1,216,749
Common Stock (B) 112,500 shs. 01/31/06 112,500 101,250
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 73,275 shs. 01/31/06 63,113 733
------------ ------------
1,325,884 1,318,732
------------ ------------
H M HOLDING COMPANY
A designer, manufacturer, and importer of promotional and
wood furniture.
12% Senior Subordinated Note due 2013 $ 1,170,000 02/10/06 1,085,213 1,148,809
Common Stock (B) 180 shs. 02/10/06 180,000 162,000
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 67 shs. 02/10/06 61,875 1
------------ ------------
1,327,088 1,310,810
------------ ------------
HIGHGATE CAPITAL LLC
An acquirer of controlling or substantial interests in
manufacturing and marketing entities.
Series A Preferred Units (B) 0.30% int. 07/21/94 91,867 737
------------ ------------
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12
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
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 * $ 987,616 $ 1,086,804
Common Stock (B) 33 shs. * 33,216 38,120
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 106 shs. * 105,618 121,199
------------ ------------
1,126,450 1,246,123
------------ ------------
INTEGRATION TECHNOLOGY SYSTEMS, INC.
A manufacturer of steel protective computer and network
systems for the industrial and office environments.
12% Senior Secured Note due 2006 $ 949,004 03/01/04 938,546 711,753
Common Stock (B) 130 shs. 06/01/00 149,500 --
------------ ------------
1,088,046 711,753
------------ ------------
ITC^DELTACOM, INC.
A provider of integrated communications services in the
southeastern United States.
13.19% Senior Secured Note due 2009 (C) $ 1,171,432 07/26/05 1,148,047 1,161,096
16.69% Senior Secured Note due 2009 (C) $ 185,163 07/26/05 162,443 184,143
Warrant, exercisable until 2009, to purchase
convertible preferred stock at $.01 per share (B) 54,468 shs. 07/26/05 18,156 57,736
------------ ------------
1,328,646 1,402,975
------------ ------------
JASON, INC.
A diversified manufacturing company serving various
industrial markets.
13% Senior Subordinated Note due 2008 $ 510,187 08/04/00 482,340 502,303
14% Cumulative Redeemable Preferred Stock Series A (B) 153 shs. 08/04/00 153,119 149,239
Limited Partnership Interest of
Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,250 375,461
Warrants, exercisable until 2008 and 2009, to purchase
common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 21,544
------------ ------------
1,165,810 1,048,547
------------ ------------
JUSTRITE MANUFACTURING ACQUISITION CO.
A manufacturer of safety products such as storage cabinets
and containers.
12% Senior Subordinated Note due 2011 $ 843,750 12/15/04 796,342 822,475
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 6
------------ ------------
849,870 822,481
------------ ------------
*06/30/04 and 08/19/04.
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13
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
KEEPSAKE QUILTING, INC.
A seller of quilting fabrics, books, patterns, kits and
notions to consumers.
8.33% Senior Secured Revolving Note due 2006 (C) $ 20,967 06/16/00 $ 20,967 $ 20,917
8.33% Senior Secured Tranche A Note due 2007 (C) $ 196,568 06/16/00 196,568 194,718
12% Senior Secured Tranche B Note due 2008 $ 314,509 06/16/00 304,423 317,807
Limited Partnership Interest of
Riverside XVI Holding Company, L.P. (B) 3.02% int. 06/12/00 190,563 136,016
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 633 shs. 06/12/00 26,209 45,182
------------ ------------
738,730 714,640
------------ ------------
KELE AND ASSOCIATES, INC.
A distributor of building automation control products.
12% Senior Subordinated Note due 2012 $ 969,643 02/27/04 891,357 979,463
Preferred Stock (B) 12 shs. 11/24/04 237,794 241,915
Common Stock (B) 6 shs. 02/27/04 6,814 93,122
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B) 6 shs. 02/27/04 4,124 85,169
------------ ------------
1,140,089 1,399,669
------------ ------------
KEYSTONE NORTH AMERICA, INC.
An operator of funeral homes in North America.
Common Stock (B) 28,577 shs. 02/08/05 137,444 181,978
------------ ------------
LIH INVESTORS, L.P.
A manufacturer and marketer of a broad line of external
accessories for new and used sport utility vehicles, trucks
and vans.
12.5% Senior Subordinated Note due 2008 $ 2,036,000 * 1,883,869 2,022,448
Common Stock (B) 3,057 shs. * 213,998 117,695
Warrant, exercisable until 2006, to purchase
common stock at $.11 per share (B) 8,245 shs. * 318,838 317,433
------------ ------------
2,416,705 2,457,576
------------ ------------
MAVERICK ACQUISITION COMPANY
A manufacturer of capsules that cover the cork and neck of
wine bottles.
9.27% Senior Secured Revolving Note due 2009 (C) $ 21,269 09/03/04 21,269 21,120
9.03% Senior Secured Tranche A Note due 2010 (C) $ 414,180 09/03/04 414,180 414,273
12% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 159,745 178,822
Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 30,224
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 2
------------ ------------
651,332 644,441
------------ ------------
*12/23/98 and 01/28/99.
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14
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
MAXON CORPORATION
A manufacturer of industrial combustion equipment and
related shut-off valves and control valves.
12% Senior Subordinated Note due 2012 $ 549,837 09/30/04 $ 504,171 $ 557,278
8.75% Senior Subordinated Note due 2012 $ 732,065 09/30/04 732,065 746,417
Common Stock (B) 218,099 shs. 09/30/04 218,099 315,807
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 87,755 shs. 09/30/04 51,941 127,069
------------ ------------
1,506,276 1,746,571
------------ ------------
MEDASSIST, INC.
A provider of patient eligibility and accounts receivable
management services to hospitals and physician practices.
8% Preferred Stock 44 shs. 10/28/04 44,289 44,153
Common Stock 13,863 shs. 10/28/04 18,576 21,459
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share 47,090 shs. 05/01/03 21,534 72,472
------------ ------------
84,399 138,084
------------ ------------
MICROGROUP, INC.
A manufacturer of precision parts and assemblies, and a
value-added supplier of metal tubing and bars.
12% Senior Subordinated Note due 2013 $ 1,134,000 08/12/05 1,064,575 1,119,041
Common Stock (B) 216 shs. 08/12/05 216,000 194,400
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 73 shs. 08/12/05 72,576 1
------------ ------------
1,353,151 1,313,442
------------ ------------
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 1,249,875 1,333,125
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 81 shs. 03/31/06 73,125 1
------------ ------------
1,323,000 1,333,126
------------ ------------
MOSS, INC.
A manufacturer and distributor of large display and
exhibit structures.
8.54% Senior Secured Revolving Note due 2010 (C) $ 52,941 12/21/05 51,765 52,461
8.54% Senior Secured Tranche A Note due 2010 (C) $ 582,353 12/21/05 576,529 577,401
12% Senior Secured Tranche B Note due 2010 $ 200,000 12/21/05 177,059 198,029
Limited Partnership Interest of
Riverside Capital Appreciation Fund I, L.P. (B) 0.01% int. * 29 86,097
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 122 shs. 12/21/05 20,941 1
------------ ------------
826,323 913,989
------------ ------------
MUSTANG VENTURES COMPANY
A natural gas gathering and processing operation located in
Oklahoma and Texas.
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 8,752 shs. 12/11/02 261,264 1,837,891
------------ ------------
*09/20/00 and 05/23/02.
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15
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
NABCO, INC.
A producer of explosive containment vessels in the
United States.
12% Senior Subordinated Note due 2014 $ 330,882 02/24/06 $ 304,697 $ 324,173
Limited Partnership Interest (B) 344 uts. 02/24/06 344,120 326,914
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 26 shs. 02/24/06 19,687 --
------------ ------------
668,504 651,087
------------ ------------
NEFF MOTIVATION, INC.
A manufacturer and distributor of customized awards and
sportswear to schools.
12.5% Senior Subordinated Note due 2011 $ 562,500 01/31/03 490,334 577,482
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 112 shs. 01/31/03 95,625 109,087
------------ ------------
585,959 686,569
------------ ------------
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 03/29/04 982,661 985,840
10% Preferred Stock (B) 135 shs. 03/29/04 135,044 134,621
Common Stock (B) 3,418 shs. 03/29/04 3,418 26,209
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 4,565 shs. 03/29/04 3,877 34,961
------------ ------------
1,125,000 1,181,631
------------ ------------
NYLONCRAFT, INC.
A supplier of engineered plastic components for the
automotive industry.
9% Senior Secured Note due 2009 $ 464,286 01/28/02 464,286 450,214
11.5% Senior Subordinated Note due 2012 $ 857,143 01/28/02 791,793 802,268
Common Stock (B) 178,571 shs. 01/28/02 178,571 142,857
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 138,928 shs. 01/28/02 92,597 1,389
------------ ------------
1,527,247 1,396,728
------------ ------------
O R S NASCO HOLDING, INC.
A wholesale distributor of industrial supplies in North America.
13% Senior Subordinated Note due 2013 $ 1,256,152 12/20/05 1,179,539 1,223,825
Common Stock (B) 93,848 shs. 12/20/05 93,848 84,463
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 52,820 shs. 12/20/05 52,292 528
------------ ------------
1,325,679 1,308,816
------------ ------------
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 01/03/06 318,268 319,003
13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 349,456 387,511
Common Stock (B) 184,176 shs. 01/03/06 184,176 165,758
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 41,249 shs. 01/03/06 35,900 412
------------ ------------
887,800 872,684
------------ ------------
----------------------------------------------------------------------------------------------------------------------------------
16
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
OLYMPIC SALES, INC.
A boat retailer in Washington state, Oregon, California and
British Columbia.
14% Senior Subordinated Note due 2006 $ 1,241,000 08/07/98 $ 1,241,000 $ 1,229,530
12% Senior Subordinated Note due 2008 $ 244,154 02/09/00 235,693 237,039
Limited Partnership Interest of Riverside VIII, VIII-A
and VIII-B Holding Company, L.P. 10.66% int. * 808,300 694,818
Warrants, exercisable until 2007 and 2008, to purchase
common stock at $.01 per share (B) 15,166 shs. ** 206,041 46,955
------------ ------------
2,491,034 2,208,342
------------ ------------
ONTARIO DRIVE & GEAR LTD.
A manufacturer of all-wheel drive, off-road amphibious
vehicles and related accessories.
13% Senior Subordinated Note due 2013 $ 1,047,115 01/17/06 937,405 1,033,127
Limited Partnership Interest (B) 1,942 uts. 01/17/06 302,885 272,597
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 3
------------ ------------
1,330,714 1,305,727
------------ ------------
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 1,131,820 1,191,551
Preferred Stock (B) 19 shs. 03/31/06 174,492 165,788
Common Stock (B) 12 shs. 03/31/06 13,500 12,150
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 --
------------ ------------
1,325,700 1,369,489
------------ ------------
PARADIGM PACKAGING, INC.
A manufacturer of plastic bottles and closures for the
nutritional, pharmaceutical, personal care and food
packaging markets.
12% Senior Subordinated Note due 2008 $ 1,125,000 12/19/00 1,058,338 1,121,153
Membership Interests of MM/Lincap
PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 79,804
------------ ------------
1,198,963 1,200,957
------------ ------------
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 --
------------ ------------
*08/07/98, 02/23/99, 12/22/99 and 02/25/03.
**08/07/98 and 02/29/00.
***11/14/01 and 08/12/94.
----------------------------------------------------------------------------------------------------------------------------------
17
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount 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 $ 769,320 $ 942,163
Common Stock (B) 187,500 shs. 05/28/04 187,500 247,500
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 199,969 shs. 05/28/04 199,969 262,359
------------ ------------
1,156,789 1,452,022
------------ ------------
QUALSERV CORPORATION
A provider of foodservice equipment and supplies to major
restaurant chains and their franchisees.
14% Senior Subordinated Note due 2012 (D) $ 1,002,475 07/09/04 976,254 601,485
Limited Partnership Interest (B) 4.90% int. 07/09/04 137,195 --
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 280 shs. 07/09/04 25,973 --
------------ ------------
1,139,422 601,485
------------ ------------
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 1,109,922 1,179,044
Common Stock (B) 153,191 02/10/06 153,191 137,871
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B) 69,647 02/10/06 63,421 1
------------ ------------
1,326,534 1,316,916
------------ ------------
RIVER RANCH FRESH FOODS LLC
A supplier of fresh produce to the retail and
foodservice channels.
13% Senior Subordinated Note due 2011 (D) $ 975,000 09/29/04 891,404 877,500
Limited Partnership Interest (B) 21,500 uts. 09/29/04 150,000 --
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,481 shs. 09/29/04 83,596 --
------------ ------------
1,125,000 877,500
------------ ------------
ROYAL BATHS MANUFACTURING COMPANY
A manufacturer and distributor of acrylic and
cultured marble bathroom products.
12.5% Senior Subordinated Note due 2011 $ 562,500 11/14/03 509,770 558,359
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 37,756
------------ ------------
574,859 596,115
------------ ------------
SAFETY SPEED CUT MANUFACTURING COMPANY, INC.
A manufacturer of vertical panel saws and routers for the
wood working industry.
7.91% Senior Secured Tranche A Note due 2007 (C) $ 390,345 06/02/99 390,345 390,345
12% Senior Secured Tranche B Note due 2007 $ 646,089 06/02/99 646,089 646,089
Class B Common Stock (B) 846 shs. 06/02/99 146,456 279,952
------------ ------------
1,182,890 1,316,386
------------ ------------
----------------------------------------------------------------------------------------------------------------------------------
18
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
SAVAGE SPORTS HOLDING, INC.
A manufacturer of sporting firearms.
12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 $ 761,271 $ 806,110
Common Stock (B) 310 shs. 09/10/04 310,345 253,171
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 57,706
------------ ------------
1,131,745 1,116,987
------------ ------------
SPECIALTY FOODS GROUP, INC.
A manufacturer and distributor of branded meat products.
Limited Partnership Interest of MHD Holdings LLC (B) 0.76% int. 08/29/00 307,860 --
------------ ------------
STRATEGIC EQUIPMENT & SUPPLY CORPORATION, INC.
A provider of kitchen and restaurant design, equipment
fabrication and installation services.
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 61,862 shs. 01/14/00 382,501 --
------------ ------------
SYNVENTIVE EQUITY LLC
A manufacturer of hot runner systems used in the plastic
injection molding process.
Limited Partnership Interest (B) 1.05% int. 08/20/03 33,463 7,465
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 45,942 shs. 08/21/03 10,249 10,249
------------ ------------
43,712 17,714
------------ ------------
TANGENT RAIL CORPORATION
A manufacturer of rail ties and provides specialty services
to the North American railroad industry.
13% Senior Subordinated Note due 2013 $ 1,173,909 10/14/05 999,679 1,187,240
Preferred Stock (B) 1,749 shs. 10/14/05 174,924 176,397
Common Stock (B) 1,167 shs. 10/14/05 1,167 1,050
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 618 shs. 10/14/05 155,860 6
------------ ------------
1,331,630 1,364,693
------------ ------------
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.
7.78% Senior Secured Term A Note due 2010 (C) $ 116,797 03/01/05 116,797 117,495
8.28% Senior Secured Term B Note due 2012 (C) $ 207,421 03/01/05 207,421 208,648
12% Senior Subordinated Note due 2013 $ 585,937 03/01/05 556,445 579,232
Limited Partnership Interest of
Saw Mill Capital Fund V, L.P. (B) 2.30% int. 03/01/05 235,547 211,995
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B) 37 shs. 03/01/05 32,098 --
------------ ------------
1,148,308 1,117,370
------------ ------------
----------------------------------------------------------------------------------------------------------------------------------
19
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
THE TRANZONIC COMPANIES
A producer of commercial and industrial supplies, such as
safety products, janitorial supplies, work apparel, washroom
and restroom supplies and sanitary care products.
13% Senior Subordinated Note due 2009 $ 1,356,000 02/05/98 $ 1,269,237 $ 1,356,000
Common Stock (B) 315 shs. 02/04/98 315,000 318,371
Warrant, exercisable until 2006, to purchase
common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 224,375
------------ ------------
1,768,653 1,898,746
------------ ------------
TRANSTAR HOLDING COMPANY
A distributor of aftermarket automotive transmission parts.
12% Senior Subordinated Note due 2013 $ 918,000 08/31/05 878,320 915,822
Common Stock (B) 432 shs. 08/31/05 432,000 410,400
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 46 shs. 08/31/05 41,021 --
------------ ------------
1,351,341 1,326,222
------------ ------------
TRONAIR, INC.
A designer, engineer and manufacturer of ground support
equipment for the business, commuter and commercial
aviation markets.
10.5% Senior Secured Term Note due 2008 $ 451,394 01/20/00 451,394 450,428
12% Senior Subordinated Note due 2010 $ 758,100 01/20/00 730,113 756,486
Common Stock (B) 129,960 shs. 01/20/00 129,960 116,964
Warrant, exercisable until 2010, to purchase
common stock at $1 per share (B) 148,912 shs. 01/20/00 56,316 1,489
------------ ------------
1,367,783 1,325,367
------------ ------------
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 * 1,137,373 1,243,268
Common Stock (B) 393 shs. * 423,985 531,803
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B) 81 shs. * 84,650 109,826
------------ ------------
1,646,008 1,884,897
------------ ------------
TRUSTILE DOORS, INC.
A manufacturer and distributor of interior doors.
12.5% Senior Subordinated Note due 2010 $ 562,500 04/11/03 527,532 554,956
Warrant, exercisable until 2010, to purchase
common stock at $.01 per share (B) 3,060 shs. 04/11/03 50,625 23,688
------------ ------------
578,157 578,644
------------ ------------
*07/19/05 and 12/22/05.
----------------------------------------------------------------------------------------------------------------------------------
20
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
TUBULAR TEXTILE MACHINERY
A designer, manufacturer, sale and servicer of finishing
machinery for the knit and woven segments of the global
textile industry.
12% Senior Subordinated Note due 2014 $ 705,457 05/28/04 $ 639,527 $ 677,074
8.75% Senior Secured Note due 2011 $ 409,310 05/28/04 409,310 401,117
Common Stock (B) 385,233 shs. 05/28/04 385,233 327,448
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 116,521 shs. 05/28/04 74,736 1,165
------------ ------------
1,508,806 1,406,804
------------ ------------
TVI, INC.
A retailer of used clothing in the United States, Canada
and Australia.
Common Stock (B) 187,500 shs. 05/02/00 187,500 294,375
------------ ------------
U S M HOLDINGS CORPORATION
A provider of facility maintenance services to retail and
corporate clients with multiple locations.
12% Senior Subordinated Note due 2011 $ 473,684 08/06/03 411,269 486,890
Preferred Stock (B) 1,361 shs. 08/06/03 136,089 136,098
Common Stock (B) 546 shs. 08/06/03 546 1,365
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share 502 shs. 08/06/03 157,869 1,255
------------ ------------
705,773 625,608
------------ ------------
U S S HOLDINGS, INC.
A producer of high grade industrial and specialty
silica sands.
14% Redeemable Preferred Stock (B) 499 shs. 09/30/99 272,912 54,525
Convertible Preferred Stock Series A and B, convertible
into common stock at $9.26 per share (B) 72,720 shs. 12/19/96 583,365 --
Common Stock (B) 10,013 shs. 09/30/99 399,505 --
Warrants, exercisable until 2010, to
purchase common stock at $.01 per share (B) 2,459 shs. * 64,182 --
------------ ------------
1,319,964 54,525
------------ ------------
U-LINE CORPORATION
A manufacturer of high-end, built-in, undercounter
icemaking, wine storage and refrigeration appliances.
12.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 900,077 1,020,810
Common Stock (B) 96 shs. 04/30/04 96,400 121,464
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 153,720
------------ ------------
1,108,583 1,295,994
------------ ------------
VICTORY VENTURES LLC
An acquirer of controlling or substantial interests in
other entities.
Series A Preferred Units (B) 0.04% int. 12/02/96 1 2
------------ ------------
*12/19/96 and 09/30/99
----------------------------------------------------------------------------------------------------------------------------------
21
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares, Units,
Warrants,
Ownership or Acquisition
CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value
-------------- -------- ------------ ------------
VITALITY FOODSERVICE, INC.
A non-carbonated beverage dispensing company focused
on the foodservice industry.
13% Senior Subordinated Note due 2011 $ 999,153 09/24/04 $ 913,829 $ 988,850
Common Stock (B) 12,585 shs. 09/24/04 125,850 172,767
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B) 12,593 shs. 09/24/04 98,938 172,877
------------ ------------
1,138,617 1,334,494
------------ ------------
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 07/19/04 785,152 856,320
Limited Partnership Interest Class A (B) 0.93% int. 07/19/04 219,375 197,438
Limited Partnership Interest Class B (B) 0.41% int. 07/19/04 96,848 87,163
------------ ------------
1,101,375 1,140,921
------------ ------------
WALLS INDUSTRIES, INC.
A provider of branded workwear and sporting
goods apparel.
10% Senior Subordinated Lien Note due 2009 $ 444,079 07/12/04 444,079 450,030
14% Senior Subordinated Note due 2012 $ 563,346 07/12/04 561,862 580,245
Limited Partnership Interest (B) 0.20% int. 07/12/04 19,737 53,290
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B) 2,133 shs. 07/12/04 1,500 5,741
------------ ------------
1,027,178 1,089,306
------------ ------------
TOTAL PRIVATE PLACEMENT INVESTMENTS $ 82,888,630 $ 83,583,675
------------ ------------
----------------------------------------------------------------------------------------------------------------------------------
22
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares or
Interest Due Principal
CORPORATE RESTRICTED SECURITIES(A)(Continued) Rate Date Amount Cost Fair Value
-------- -------- ------------ ------------ ------------
RULE 144A SECURITIES - 6.30%: (A)
BONDS - 5.72%
A E S Corporation 8.750% 05/15/13 $ 425,000 $ 472,198 $ 459,000
A E S Corporation 9.000 05/15/15 175,000 175,000 189,875
Activant Solutions, Inc. (C) 10.530 04/01/10 400,000 400,000 408,000
Atlas Pipeline Partners 8.125 12/15/15 100,000 100,000 104,250
Blockbuster, Inc. 9.000 09/01/12 275,000 276,931 240,625
Bombardier Capital, Inc. 6.125 06/29/06 500,000 501,876 500,000
Bombardier, Inc. 6.300 05/01/14 500,000 440,315 458,750
Charter Communications Op LLC 8.000 04/30/12 500,000 498,750 497,500
Douglas Dynamics LLC 7.750 01/15/12 325,000 326,801 315,250
Dynegy Holdings, Inc. 8.375 05/01/16 165,000 165,000 165,000
G F S I, Inc. 11.000 06/01/11 375,000 340,343 363,750
Inergy LP 8.250 03/01/16 75,000 75,000 76,688
Interactive Health LLC 7.250 04/01/11 500,000 422,962 390,000
Neiman Marcus Group, Inc. 10.375 10/15/15 600,000 600,000 637,500
P Q Corporation 7.500 02/15/13 685,000 677,350 657,600
Service Corporation International (C) 7.500 06/15/17 500,000 495,015 508,750
Siebe PLC 6.500 01/15/10 350,000 308,000 330,750
Sierra Pacific Resources 6.750 08/15/17 330,000 331,629 331,238
Sungard Data Systems 9.125 08/15/13 75,000 75,000 79,313
T C W Lev Income Trust LP 8.410 11/30/06 560,002 560,002 302,401
Tenaska Alabama Partners LP 7.000 06/30/21 182,273 182,273 182,864
------------ ------------
TOTAL BONDS 7,424,445 7,199,104
------------ ------------
CONVERTIBLE BONDS - 0.58%
Cymer, Inc. 3.500% 02/15/09 $ 450,000 $ 450,000 $ 456,750
QLT, Inc. 3.000 09/15/23 305,000 277,410 278,694
------------ ------------
TOTAL CONVERTIBLE BONDS 727,410 735,444
------------ ------------
WARRANTS - 0.00%
Winsloew Furniture, Inc. (B) 700 $ 7 $ --
------------ ------------
TOTAL WARRANTS 7 --
------------ ------------
TOTAL RULE 144A SECURITIES 8,151,862 7,934,548
------------ ------------
TOTAL CORPORATE RESTRICTED SECURITIES $ 91,040,492 $ 91,518,223
------------ ------------
------------------------------------------------------------------------------------------------------------------------
23
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Interest Due Principal
CORPORATE PUBLIC SECURITIES -- 26.46%:(A) Rate Date Amount Cost Fair Value
-------- -------- ------------ ------------ ------------
BONDS - 23.82%
Abitibi-Consolidated, Inc. 7.750% 06/15/11 $ 500,000 $ 515,394 $ 482,500
Activant Solutions, Inc. (C) 10.500 06/15/11 325,000 325,730 359,938
Allied Waste NA 7.875 04/15/13 500,000 513,617 521,875
Appleton Papers, Inc. 8.125 06/15/11 250,000 250,000 251,250
Argo Tech Corporation 9.250 06/01/11 425,000 425,000 448,375
Arrow Electronics, Inc. 7.000 01/15/07 500,000 510,436 505,935
BCP Crystal US Holdings Corporation 9.625 06/15/14 355,000 355,000 393,163
C S C Holdings, Inc. 7.625 04/01/11 250,000 250,909 251,250
Cablevision Systems Corporation (C) 8.716 04/01/09 450,000 450,000 471,938
Cadmus Communications Corporation 8.375 06/15/14 350,000 350,000 351,750
Chemed Corporation 8.750 02/24/11 600,000 600,000 636,000
Chesapeake Energy Corporation 7.000 08/15/14 650,000 675,870 664,625
Cincinnati Bell, Inc. 8.375 01/15/14 550,000 503,750 558,938
Clayton Williams Energy, Inc. 7.750 08/01/13 375,000 375,000 352,500
Del Monte Corporation 8.625 12/15/12 200,000 200,000 211,250
Dollar Financial Group 9.750 11/15/11 325,000 325,000 341,250
Dominos, Inc. 8.250 07/01/11 109,000 108,213 111,725
Electronic Data Systems Corporation 7.125 10/15/09 500,000 504,832 525,232
Esterline Technologies 7.750 06/15/13 175,000 175,000 179,812
Ford Motor Credit Co. 7.375 01/12/09 750,000 748,125 705,100
Ford Motor Credit Co. 5.800 10/28/09 500,000 499,070 456,628
Gencorp, Inc. 9.500 08/15/13 130,000 130,000 140,400
General Motors Acceptance Corporation 5.850 01/14/09 750,000 742,982 701,415
Goodyear Tire & Rubber Co. 7.857 08/15/11 350,000 327,250 342,125
GulfMark Offshore, Inc. 7.750 07/15/14 300,000 298,725 306,000
Houghton Mifflin Co. 9.875 02/01/13 500,000 526,977 537,500
Huntsman LLC 11.625 10/15/10 163,000 161,068 184,597
Imax Corporation 9.625 12/01/10 500,000 516,008 530,000
Intelsat Subsidiary Holding Company Ltd. 9.614 01/15/12 225,000 224,998 228,656
Intelsat Subsidiary Holding Company Ltd. 8.250 01/15/13 250,000 250,955 254,375
Intrawest Corporation 7.500 10/15/13 250,000 250,000 253,438
K 2, Inc. 7.375 07/01/14 150,000 150,567 149,625
Koppers, Inc. 9.875 10/15/13 170,000 170,000 186,150
Lazard LLC 7.125 05/15/15 375,000 374,704 389,583
Leucadia National Corporation 7.000 08/15/13 350,000 356,461 350,875
Liberty Media Corporation 5.700 05/15/13 500,000 475,805 464,955
Lodgenet Entertainment Corporation 9.500 06/15/13 375,000 375,000 405,000
Lyondell Chemical Co. 9.500 12/15/08 265,000 258,834 275,600
M G M Mirage, Inc. 6.000 10/01/09 225,000 227,461 221,625
M S X International, Inc. 11.000 10/15/07 175,000 173,502 166,250
Mac-Gray Corporation 7.625 08/15/15 300,000 300,000 306,000
Magnachip Semiconductor 8.000 12/15/14 50,000 50,000 46,750
Majestic Star Casino LLC 9.500 10/15/10 250,000 250,000 265,000
Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 102,000
Markwest Energy Operating Co. 6.875 11/01/14 250,000 250,000 236,250
Mediacom LLC 9.500 01/15/13 750,000 745,806 742,500
Metaldyne Corporation 10.000 11/01/13 340,000 341,993 317,900
Moog, Inc. 6.250 01/15/15 60,000 60,000 59,100
------------------------------------------------------------------------------------------------------------------------
24
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Interest Due Principal
CORPORATE PUBLIC SECURITIES(A)(Continued) Rate Date Amount Cost Market Value
-------- -------- ------------ ------------ ------------
BONDS, CONTINUED
N R G Energy, Inc. 7.375% 02/01/16 $ 100,000 $ 100,000 $ 102,125
Nalco Co. 7.750 11/15/11 250,000 250,000 253,125
National Wine & Spirits, Inc. 10.125 01/15/09 25,000 25,307 25,188
Nextel Communications, Inc. 7.375 08/01/15 400,000 409,645 419,495
North American Energy Partners 8.750 12/01/11 200,000 200,000 195,000
Nova Chemicals Corporation (C) 7.561 11/15/13 215,000 215,000 216,075
O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 500,000 492,980 500,000
Offshore Logistics, Inc. 6.125 06/15/13 350,000 350,000 329,000
Pacific Energy Partners 7.125 06/15/14 250,000 251,999 254,375
Pacific Energy Partners 6.250 09/15/15 100,000 99,544 97,500
Pinnacle Foods Group 8.250 12/01/13 225,000 225,000 222,750
Pliant Corporation 11.625 06/15/09 607,802 620,599 680,738
Pogo Producing Co. 6.875 10/01/17 250,000 250,000 246,875
Primedia, Inc. 8.000 05/15/13 500,000 513,715 457,500
Quicksilver Resources, Inc 7.125 04/01/16 225,000 225,000 222,188
Quintiles Transnational Corporation 10.000 10/01/13 250,000 250,000 288,125
Rayovac Corporation 8.500 10/01/13 175,000 175,000 161,875
Rent-A-Center, Inc. 7.500 05/01/10 250,000 250,000 250,000
Rent-Way, Inc. 11.875 06/15/10 450,000 467,603 470,250
Rhodia SA 10.250 06/01/11 163,000 164,463 182,763
Rhodia SA 8.875 06/01/10 196,000 195,870 201,880
Rock-Tenn Co. 8.200 08/15/11 500,000 503,678 496,250
Rogers Wireless, Inc. 7.250 12/15/12 90,000 90,000 94,838
Rogers Wireless, Inc. 7.500 03/15/15 560,000 601,190 600,600
Rogers Wireless, Inc. 8.000 06/01/11 90,000 90,000 95,512
Samsonite Corporation 8.875 12/15/12 500,000 523,374 528,750
Sheridan Acquisition Corporation 10.250 08/15/11 225,000 222,001 231,468
Tekni-Plex, Inc. 12.750 06/15/10 500,000 483,500 322,500
Telex Communications, Inc. 11.500 10/15/08 250,000 250,000 266,875
Tenet Healthcare Corporation 6.375 12/01/11 250,000 241,250 225,625
Tenet Healthcare Corporation 9.875 07/01/14 350,000 341,859 354,375
Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 36,050
Transmontaigne, Inc. 9.125 06/01/10 275,000 270,287 292,187
Triton P C S, Inc. 8.500 06/01/13 500,000 500,000 475,000
Tyco International Group SA 6.375 10/15/11 150,000 148,500 153,986
Unisys Corporation 8.000 10/15/12 90,000 90,000 88,425
United Components, Inc. 9.375 06/15/13 535,000 536,425 516,275
United Rentals, Inc. 7.750 11/15/13 325,000 325,000 325,000
Universal City Florida (C) 9.000 05/01/10 100,000 100,000 101,500
Universal City Florida 8.375 05/01/10 100,000 100,000 100,750
Utilicorp United, Inc. (C) 9.950 02/01/11 500,000 544,532 553,750
Vicorp Restaurants, Inc. 10.500 04/15/11 350,000 343,622 326,375
Vought Aircraft Industries 8.000 07/15/11 650,000 648,981 611,000
Warner Music Group 7.375 04/15/14 125,000 125,000 123,750
Wornick Co. 10.875 07/15/11 350,000 350,000 360,500
------------ ------------
TOTAL BONDS 29,945,966 30,002,871
------------ ------------
------------------------------------------------------------------------------------------------------------------------
25
CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Shares or
Interest Due Principal
CORPORATE PUBLIC SECURITIES(A)(Continued) Rate Date Amount Cost Market Value
-------- -------- ------------ ------------ ------------
COMMON STOCK - 1.93%
Distributed Energy Systems Corporation (B) 14,000 $ 177,078 $ 99,400
H C I Direct, Inc. (B) 500 -- --
Rent-Way, Inc. (B) 46,432 458,123 334,775
Transmontaigne, Inc. (B) 203,165 598,597 1,993,049
------------ ------------
TOTAL COMMON STOCK 1,233,798 2,427,224
------------ ------------
CONVERTIBLE BONDS - 0.71%
Citadel Broadcasting Corporation 1.875% 02/15/11 $ 300,000 $ 232,875 $ 244,500
ICOS Corporation 2.000 07/01/23 375,000 298,125 296,719
Leucadia National Corporation 3.750 04/15/14 250,000 250,000 352,813
------------ ------------
TOTAL CONVERTIBLE BONDS 781,000 894,032
------------ ------------
TOTAL CORPORATE PUBLIC SECURITIES $ 31,960,764 $ 33,324,127
------------ ------------
Interest Due Principal
SHORT-TERM SECURITIES: Rate/Yield Date Amount Cost Market Value
-------- -------- ------------ ------------ ------------
COMMERCIAL PAPER - 5.73%
Alltel Corporation 4.860% 04/06/06 760,000 759,488 759,488
Dow Jones & Company, Inc. 4.860 04/04/06 2,286,000 2,285,076 2,285,076
Newell Rubbermaid, Inc. 4.824 04/05/06 1,819,000 1,818,026 1,818,026
V F Corporation 4.550 04/03/06 2,347,000 2,346,369 2,346,369
------------ ------------
TOTAL SHORT-TERM SECURITIES $ 7,208,959 $ 7,208,959
------------ ------------
TOTAL INVESTMENTS 104.86% $130,210,215 $132,051,309
============ ------------
Other Assets 5.90 7,427,638
Liabilities (10.76) (13,549,368)
------- ------------
TOTAL NET ASSETS 100.00% $125,929,579
====== ============
(A) In each of the convertible note, warrant, convertible preferred and common
stock investments, the issuer has agreed to provide certain registration
rights.
(B) Non-income producing security.
(C) Variable rate security; rate indicated is as of 03/31/06.
(D) Defaulted security; interest not accrued.
--------------------------------------------------------------------------------
26
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION: Market Value INDUSTRY CLASSIFICATION: (Cont.) Market Value
-------------- --------------
AEROSPACE - 2.39% BUILDINGS & REAL ESTATE - 1.60%
Argo Tech Corporation $ 448,375 Adorn, Inc. $ 1,402,171
Bombardier, Inc. 458,750 Texas Industries, Inc. 36,050
Consolidated Foundries Holdings 1,317,126 TruStile Doors, Inc. 578,644
Esterline Technologies 179,812 --------------
Vought Aircraft Industries 611,000 2,016,865
-------------- --------------
3,015,063 CHEMICAL, PLASTICS & RUBBER - 1.53%
-------------- Capital Specialty Plastics, Inc. 22,973
AUTOMOBILE - 8.18% Huntsman LLC 184,597
Gencorp, Inc. 140,400 Koppers, Inc. 186,150
Goodyear Tire & Rubber Co. 342,125 Lyondell Chemical Co. 275,600
Jason, Inc. 1,048,547 Nova Chemicals Corporation 216,075
LIH Investors, L.P. 2,457,576 P Q Corporation 657,600
Metaldyne Corporation 317,900 Rhodia SA 384,643
Nyloncraft, Inc. 1,396,728 --------------
Ontario Drive & Gear Ltd. 1,305,727 1,927,638
Qualis Automotive LLC 1,452,022 --------------
Transtar Holding Company 1,326,222 CONSUMER PRODUCTS - 6.38%
United Components, Inc. 516,275 Appleton Papers, Inc. 251,250
-------------- Augusta Sportswear Holding Co. 1,131,396
10,303,522 Euro-Pro Corporation 630,857
-------------- G F S I, Inc. 363,750
BEVERAGE, DRUG & FOOD - 4.32% H C I Direct, Inc. --
Beta Brands Ltd. -- K 2, Inc. 149,625
Cains Foods, L.P. 178,408 Maverick Acquisition Company 644,441
Del Monte Corporation 211,250 Rayovac Corporation 161,875
Dominos, Inc. 111,725 Royal Baths Manufacturing Company 596,115
Eagle Pack Pet Foods, Inc. 611,819 Savage Sports Holding, Inc. 1,116,987
National Wine & Spirits, Inc. 25,188 The Tranzonic Companies 1,898,746
Nonni's Food Company 1,181,631 Walls Industries, Inc. 1,089,306
Pinnacle Foods Group 222,750 Winsloew Furniture, Inc. --
River Ranch Fresh Foods LLC 877,500 --------------
Specialty Foods Group, Inc. -- 8,034,348
Vicorp Restaurants, Inc. 326,375 --------------
Vitality Foodservice, Inc. 1,334,494 CONTAINERS, PACKAGING & GLASS - 4.26%
Wornick Co. 360,500 NABCO, Inc. 651,087
-------------- P I I Holding Corporation 1,369,489
5,441,640 Paradigm Packaging, Inc. 1,200,957
-------------- Pliant Corporation 680,738
BROADCASTING & Tekni-Plex, Inc. 322,500
ENTERTAINMENT- 2.44% Vitex Packaging, Inc. 1,140,921
C S C Holdings, Inc. 251,250 --------------
Cablevision Systems Corporation 471,938 5,365,692
Charter Communications Op LLC 497,500 --------------
Citadel Broadcasting Corporation 244,500 DISTRIBUTION - 3.48%
Liberty Media Corporation 464,955 Corvest Group, Inc. 1,072,513
Lodgenet Entertainment Corporation 405,000 Kele and Associates, Inc. 1,399,669
Mediacom LLC 742,500 O R S Nasco Holding, Inc. 1,308,816
-------------- QualServ Corporation 601,485
3,077,643 Strategic Equipment & Supply Corporation, Inc. --
-------------- --------------
4,382,483
--------------
------------------------------------------------------------------------------------------------------------------------------------
27
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Cont.) Market Value INDUSTRY CLASSIFICATION: (Cont.) Market Value
-------------- --------------
DIVERSIFIED/CONGLOMERATE, FINANCIAL SERVICES - 3.57%
MANUFACTURING - 8.41% BCP Crystal US Holding Corporation $ 393,163
Activant Solutions, Inc. $ 767,938 Bombardier Capital, Inc. 500,000
AmerCable, Inc. 744,769 Dollar Financial Group 341,250
Arrow Tru-Line Holdings, Inc. 1,103,458 East River Ventures I, L.P. 5,423
Coining Corporation of America LLC 1,112,871 Ford Motor Credit Co. 1,161,728
Dexter Magnetics Technologies, Inc. 554,304 General Motors Acceptance Corporation 701,415
Douglas Dynamics LLC 315,250 Highgate Capital LLC 737
Evans Consoles, Inc. -- Lazard LLC 389,583
H M Holding Company 1,310,810 Leucadia National Corporation 703,688
Justrite Manufacturing Acquisition Co. 822,481 T C W Leveraged Income Trust, L.P. 302,401
Radiac Abrasives, Inc. 1,316,916 Victory Ventures LLC 2
Rock-Tenn Co. 496,250 --------------
Truck Bodies & Equipment International 1,884,897 4,499,390
Tyco International Group SA 153,986 --------------
-------------- HEALTHCARE, EDUCATION &
10,583,930 CHILDCARE - 3.49%
-------------- A T I Acquisition Company 1,003,279
DIVERSIFIED/CONGLOMERATE, American Hospice Management Holding LLC 1,415,064
SERVICE - 6.84% ICOS Corporation 296,719
Abitibi-Consolidated, Inc. 482,500 Interactive Health LLC 390,000
Allied Waste NA 521,875 MedAssist, Inc. 138,084
CapeSuccess LLC 2,512 Q L T, Inc. 278,694
Chemed Corporation 636,000 Quintiles Transnational Corporation 288,125
Diversco, Inc./DHI Holdings, Inc. 1,252,858 Tenet Healthcare Corporation 580,000
Dwyer Group, Inc. 1,496,254 --------------
Fowler Holding, Inc. 1,311,985 4,389,965
Keystone North America, Inc. 181,978 --------------
Mac-Gray Corporation 306,000 HOME & OFFICE FURNISHINGS,
Moss, Inc. 913,989 HOUSEWARES, AND DURABLE CONSUMER
M S X International, Inc. 166,250 PRODUCTS - 4.26%
Service Corporation International 508,750 Connor Sport Court International, Inc. 954,507
U S M Holdings Corporation 625,608 Home Decor Holding Company 1,246,123
Universal City Florida 202,250 Monessen Holding Corporation 1,333,126
-------------- Samsonite Corporation 528,750
8,608,809 U-Line Corporation 1,295,994
-------------- --------------
ELECTRONICS - 3.85% 5,358,500
A E S Corporation 648,875 --------------
Arrow Electronics, Inc. 505,935 LEISURE, AMUSEMENT,
Directed Electronics, Inc. 2,737,126 ENTERTAINMENT - 2.07%
Distributed Energy Systems 99,400 IMAX Corporation 530,000
Electronic Data Systems Corporation 525,232 Intrawest Corporation 253,438
Siebe PLC 330,750 Keepsake Quilting, Inc. 714,640
-------------- M G M Mirage, Inc. 221,625
4,847,318 Majestic Star Casino LLC 265,000
-------------- O E D Corp/Diamond Jo Company Guarantee 500,000
FARMING & AGRICULTURE - 0.00% Warner Music Group 123,750
Protein Genetics, Inc. -- --------------
-------------- 2,608,453
--------------
------------------------------------------------------------------------------------------------------------------------------------
28
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 2006
(Unaudited)
Fair Value/ Fair Value/
INDUSTRY CLASSIFICATION:(Cont.) Market Value INDUSTRY CLASSIFICATION: (Cont.) Market Value
-------------- --------------
MACHINERY - 6.38% RETAIL STORES - 4.33%
C & M Conveyor, Inc. $ 1,409,755 Blockbuster, Inc. $ 240,625
Integration Technology Systems, Inc. 711,753 Neff Motivation, Inc. 686,569
Manitowoc Company, Inc. 102,000 Neiman Marcus Group, Inc. 637,500
Maxon Corporation 1,746,571 Olympic Sales, Inc. 2,208,342
Safety Speed Cut Manufacturing Company, Inc. 1,316,386 Rent-A-Center, Inc. 250,000
Synventive Equity LLC 17,714 Rent-Way, Inc. 805,025
Tronair, Inc. 1,325,367 TVI, Inc. 294,375
Tubular Textile Machinery 1,406,804 United Rentals, Inc. 325,000
-------------- --------------
8,036,350 5,447,436
-------------- --------------
MEDICAL DEVICES/BIOTECH - 3.47% TECHNOLOGY - 0.53%
Beacon Medical Products, Inc. 1,396,662 Cymer, Inc. 456,750
Coeur, Inc. 707,430 Magnachip Semiconductor 46,750
E X C Acquisition Corporation 71,718 Sungard Data Systems 79,313
MicroGroup, Inc. 1,313,442 Unisys Corporation 88,425
OakRiver Technology, Inc. 872,684 --------------
-------------- 671,238
4,361,936 --------------
-------------- TELECOMMUNICATIONS - 3.49%
MINING, STEEL, IRON & Cincinnati Bell, Inc. 558,938
NON PRECIOUS METALS - 0.04% Intelsat Subsidiary Holding Company Ltd. 483,031
U S S Holdings, Inc. 54,525 ITC^DeltaCom, Inc. 1,402,975
-------------- Nextel Communications, Inc. 419,495
OIL AND GAS - 7.86% Rogers Wireless, Inc. 790,950
C & J Spec-Rent Services, Inc. 1,791,634 Telex Communications, Inc. 266,875
Chesapeake Energy Corporation 664,625 Triton P C S, Inc. 475,000
Clayton Williams Energy, Inc. 352,500 --------------
Fuel Systems Holding Corporation 1,318,732 4,397,264
GulfMark Offshore, Inc. 306,000 --------------
Mustang Ventures Company 1,837,891 TRANSPORTATION - 1.08%
North American Energy Partners 195,000 Tangent Rail Corporation 1,364,693
Offshore Logistics, Inc. 329,000 --------------
Pacific Energy Partners 351,875 UTILITIES - 1.64%
Pogo Producing Co. 246,875 Atlas Pipeline Partners 104,250
Quicksilver Resources, Inc. 222,188 Dynegy Holdings, Inc. 165,000
Transmontaigne, Inc. 2,285,236 Inergy LP 76,688
-------------- Markwest Energy Operating Co. 236,250
9,901,556 Moog, Inc. 59,100
-------------- N R G Energy, Inc. 102,125
PHARMACEUTICALS - 1.10% Nalco Co. 253,125
CorePharma LLC 1,329,865 Sierra Pacific Resources 331,238
Enzymatic Therapy, Inc. 56,250 Tenaska Alabama Partners L.P. 182,864
-------------- Utilicorp United, Inc. 553,750
1,386,115 --------------
-------------- 2,064,390
PUBLISHING/PRINTING - 1.25% --------------
Cadmus Communications Corporation 351,750 WASTE MANAGEMENT /
Houghton Mifflin Co. 537,500 POLLUTION - 0.89%
Primedia, Inc. 457,500 Terra Renewal Services, Inc. 1,117,370
Sheridan Acquisition Corporation 231,468 --------------
-------------- TOTAL CORPORATE RESTRICTED AND
1,578,218 PUBLIC SECURITIES - 99.13% $ 124,842,350
-------------- ==============
INCOME TAX INFORMATION
The aggregate cost of investments is substantially the same for financial reporting and federal income tax purposes as of March 31,
2006. The net unrealized appreciation of investments for financial reporting and federal tax purposes as of March 31, 2006 is
$1,841,094 and consists of $12,731,135 appreciation and $10,890,041 depreciation.
------------------------------------------------------------------------------------------------------------------------------------
29
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, 2006
------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Clifford M. Noreen
---------------------------------------------
Clifford M. Noreen, President
Date May 30, 2006
------------------------------------------------------------------
By (Signature and Title)* /s/ James M. Roy
---------------------------------------------
James M. Roy, Vice President and
Chief Financial Officer
Date May 30, 2006
------------------------------------------------------------------
* PRINT THE NAME AND TITLE OF EACH SIGNING OFFICER UNDER HIS OR HER SIGNATURE.