|
|
|
|
|
|
|
|
|
|
Previous: PIONEER AMERICA INCOME TRUST, NSAR-B, 1997-02-25 |
Next: ENTERPRISE ACCUMULATION TRUST, 24F-2NT, 1997-02-25 |
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES MASSMUTUAL PARTICIPATION INVESTORS
- --------------------------------------------------------------------------------
December 31, 1996 and 1995
<TABLE>
<CAPTION>
1996 1995
------------ ------------
<S> <C> <C>
Assets:
Investments (Notes 2A, 2B and 5)
(See Schedule of Investments)
Corporate restricted securities at fair value
(Cost 1996 - $76,225,729; 1995 - $62,704,806) $ 81,145,818 $ 69,576,592
Corporate public securities at market value
(Cost 1996 - $22,874,309; 1995 - $23,690,129) 24,650,903 26,399,294
Short-term securities at cost plus earned discount which
approximates market value 4,909,790 11,611,375
------------ ------------
110,706,511 107,587,261
Cash 4,414 28,405
Interest and dividends receivable, net 1,540,439 1,804,874
Receivable for investments sold 3,970,102 866,010
------------ ------------
Total assets $116,221,466 $110,286,550
============ ============
Liabilities:
Dividend payable $ 3,778,833 $ 1,751,166
Payable for investments purchased 135,000 500,000
Management fee payable (Note 3) 218,596 214,394
Note payable (Note 4) 12,000,000 12,000,000
Interest payable (Note 4) 170,940 170,940
Accrued expenses 157,518 160,389
Accrued taxes (Note 2D) 2,606,720 203,518
------------ ------------
Total liabilities 19,067,607 15,000,407
------------ ------------
Net Assets:
Shares of beneficial interest, par value $.01 per share;
an unlimited number authorized 92,167 92,167
Additional paid-in capital 84,895,820 84,895,820
Retained net realized gain on investments, prior years 582,457 204,495
Undistributed net investment income (Note 2D) 7,224 134,748
Accumulated net realized gain on investments 4,879,508 377,962
Net unrealized appreciation of investments (Notes 2A, 2B and 5) 6,696,683 9,580,951
------------ ------------
Total net assets 97,153,859 95,286,143
------------ ------------
Total liabilities and net assets $116,221,466 $110,286,550
============ ============
Shares of beneficial interest issued and outstanding 9,216,665 9,216,665
============ ============
Net asset value per share $ 10.54 $ 10.34
============ ============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
4
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS MASSMUTUAL PARTICIPATION INVESTORS
- --------------------------------------------------------------------------------
For the years ended December 31, 1996 and 1995
<TABLE>
<CAPTION>
1996 1995
------------ ------------
<S> <C> <C>
Investment Income (Note 2B):
Interest $ 8,784,434 $ 8,088,960
Dividends 147,618 173,463
------------ ------------
Total income 8,932,052 8,262,423
------------ ------------
Expenses:
Management fee (Note 3) 885,454 822,845
Trustees' fees and expenses 55,690 50,625
Transfer Agent/Registrar's expenses 48,500 90,187
Custodian's fees -- 18,647
Interest (Note 4) 831,600 378,840
Reports to shareholders 26,513 56,787
Audit and legal 42,935 70,731
Other 21,514 32,075
------------ ------------
Total expenses 1,912,206 1,520,737
------------ ------------
Net investment income 7,019,846 6,741,686
------------ ------------
Net realized and unrealized gain (loss) on investments (Notes 2A and 2B):
Realized gain on investments 9,371,190 2,826,602
Provision for federal income tax (Note 2D) (2,606,720) (203,518)
------------ ------------
Net realized gain on investments 6,764,470 2,623,084
Net change in unrealized appreciation of investments (2,884,268) 11,218,952
------------ ------------
Net gain on investments 3,880,202 13,842,036
------------ ------------
Net increase in net assets resulting from operations $ 10,900,048 $ 20,583,722
============ ============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
5
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS MASSMUTUAL PARTICIPATION INVESTORS
- --------------------------------------------------------------------------------
For the years ended December 31, 1996 and 1995
<TABLE>
<CAPTION>
1996 1995
------------ ------------
<S> <C> <C>
Net increase (decrease) in cash:
Cash flows from operating activities:
Interest and dividends received $ 8,260,976 $ 7,444,894
Interest expense paid (831,600) (207,900)
Operating expenses paid (1,079,275) (1,048,387)
Federal income tax paid (203,518) --
------------ ------------
Net cash provided by operating activities 6,146,583 6,188,607
------------ ------------
Cash flows from investing activities:
Change in short-term portfolio securities, net 7,420,201 (10,571,196)
Purchase of portfolio securities (69,704,405) (51,299,056)
Proceeds from disposition of portfolio securities 63,118,295 50,149,075
------------ ------------
Net cash provided by (used for) investing activities 834,091 (11,721,177)
------------ ------------
Net cash provided by (used for) operating and investing activities 6,980,674 (5,532,570)
------------ ------------
Cash flows from financing activities:
Cash dividends paid from net investment income (7,004,665) (6,451,666)
Issuance of Convertible Senior Note -- 12,000,000
------------ ------------
Net cash provided by (used for) financing activities (7,004,665) 5,548,334
------------ ------------
Net increase (decrease) in cash (23,991) 15,764
Cash - beginning of year 28,405 12,641
------------ ------------
Cash - end of year $ 4,414 $ 28,405
============ ============
Reconciliation of net increase (decrease) in net assets to net cash from
operating and investing activities:
Net increase in net assets resulting from operations $ 10,900,048 $ 20,583,722
------------ ------------
Increase in investments (3,119,250) (26,097,149)
(Increase) decrease in interest and dividends receivable, net 264,435 (200,930)
Increase in receivable for investments sold (3,104,092) (786,182)
Increase (decrease) in payable for investments purchased (365,000) 500,000
Increase in management fee payable 4,202 31,175
Increase in interest payable -- 170,940
Increase (decrease) in accrued expenses (2,871) 62,336
Increase in accrued taxes 2,403,202 203,518
------------ ------------
Total adjustments to net assets from operations (3,919,374) (26,116,292)
------------ ------------
Net cash provided by (used for) operating and investing activities $ 6,980,674 $ (5,532,570)
============ ============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
6
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS MASSMUTUAL PARTICIPATION INVESTORS
- --------------------------------------------------------------------------------
For the years ended December 31, 1996 and 1995
<TABLE>
<CAPTION>
1996 1995
------------ ------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income $ 7,019,846 $ 6,741,686
Net realized gain on investments 6,764,470 2,623,084
Net change in unrealized appreciation of investments (2,884,268) 11,218,952
------------ ------------
Net increase in net assets resulting from operations 10,900,048 20,583,722
Dividends to shareholders from:
Net investment income (1996 - $.78 per share; 1995 - $.73 per share) (7,147,370) (6,728,165)
Net realized gains on investments (1996 - $.20 per share) (1,884,962) --
------------ ------------
Total increase 1,867,716 13,855,557
Net Assets, beginning of year 95,286,143 81,430,586
------------ ------------
Net Assets, end of period (including undistributed net investment
income in 1996 - $7,224; 1995 - $134,748) $ 97,153,859 $ 95,286,143
============ ============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
7
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS MassMutual Participation Investors
- --------------------------------------------------------------------------------
Selected data for each share of beneficial interest outstanding for the periods
ended:
<TABLE>
<CAPTION>
For the
period
10/6/88
For the years ended December 31, (Inception)
------------------------------------------------------------ through
1996 1995 1994 1993 1992 1991 1990 1989 12/31/88
------ ------ ------ ------ ------ ------ ------ ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of period $10.34 $ 8.84 $ 9.13 $ 8.58 $ 8.58 $ 8.29 $ 9.14 $ 9.21 $ 9.30
------ ------ ------ ------ ------ ------ ------ ------ ------
Net investment income .76 .73 .66 .68 .69 .82 .87 .86 .12
Net realized and unrealized
gain (loss) on investments .42 1.50 (.30) .57 .07 .35 (.84) (.05) (.07)
------ ------ ------ ------ ------ ------ ------ ------ ------
Total from investment operations 1.18 2.23 .36 1.25 .76 1.17 .03 .81 .05
------ ------ ------ ------ ------ ------ ------ ------ ------
Dividends from net investment
income to common shareholders (.78) (.73) (.65) (.69) (.69) (.82) (.88) (.84) (.12)
Distributions for net realized
gain on investments to common
shareholders (.20) -- -- -- (.07) (.06) -- (.04) (.02)
Distributions from return of
capital to common shareholders -- -- -- (.01) -- -- -- -- --
------ ------ ------ ------ ------ ------ ------ ------ ------
Total distributions (.98) (.73) (.65) (.70) (.76) (.88) (.88) (.88) (.14)
------ ------ ------ ------ ------ ------ ------ ------ ------
Net asset value:
End of period $10.54 $10.34 $ 8.84 $ 9.13 $ 8.58 $ 8.58 $ 8.29 $ 9.14 $ 9.21
------ ------ ------ ------ ------ ------ ------ ------ ------
Per share market value:
End of period $ 9.25 $ 9.13 $ 7.38 $ 8.00 $ 7.38 $ 8.63 $ 6.63 $ 8.25 $ 9.88
====== ====== ====== ====== ====== ====== ====== ====== ======
Total investment return:
Market value 15.40% 34.65% .35% 17.67% (6.33)% 44.00% (9.82)% (7.77)% (1.00)%*
Net asset value 14.60% 26.11% 4.03% 15.01% 9.11% 14.34% .31% 9.10% .54 %*
Net assets (in millions):
End of period $97,154 $95,286 $81,431 $84,109 $79,046 $78,763 $75,821 $83,584 $84,149
Ratio of operating expenses
to average net assets 1.11% 1.28% -- -- -- -- -- -- --
Ratio of interest expense to
average net assets .85% .43% -- -- -- -- -- -- --
Ratio of total expenses to
average net assets 1.96% 1.71% 1.25% 1.26% 1.26% 1.28% 1.23% 1.27% .27%*
Ratio of net investment income
to average net assets 7.18% 7.56% 7.30% 7.66% 7.89% 9.50% 9.79% 9.18% 1.73%*
Portfolio turnover 68.48% 59.27% 51.42% 34.28% 36.04% 32.98% 16.25% 77.84% 27.96%*
</TABLE>
*Percentages represent results for the period and are not annualized.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
8
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MASSMUTUAL PARTICIPATION INVESTORS
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities - 75.13%: (A) Amount Date Date (Note 2B) (Note 2A)
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
AccTech, LLC
A designer and marketer of specialized cleaning
products.
Senior Floating Rate Revolving Credit Note
due 2002 $ 229,248 10/31/96 $ 229,248 $ 229,248 $ 224,640
Senior Secured Series A Floating Rate
Note due 2002 $ 395,000 10/31/96 389,078 395,000 389,391
10.10% Senior Secured Series A Note
due 2002 $ 593,000 10/31/96 577,819 593,000 582,682
12% Senior Secured Series B Note due 2004 $ 549,000 10/31/96 577,603 494,732 583,971
Membership Interest 2 int. 10/31/96 131,756 166,000 131,755
Warrant, exercisable until 2004, to purchase 1
membership interest at $.01 per interest (B) 1 int. 10/31/96 -- 54,900 1
------------- ------------- -------------
1,905,504 1,932,880 1,912,440
------------- ------------- -------------
American Exploration Company - A.S.E.
An independent oil and gas company engaged
principally in the acquisition, development and
management of oil and gas properties.
11% Senior Subordinated Note due 2004 $ 1,500,000 12/27/91 1,482,300 1,480,644 1,462,500
Warrant, exercisable until 2004, to purchase
51,671 shares of common stock at $15.53
per share (B) 51,671 shs. 12/27/91 24,857 19,356 96,263
------------- ------------- -------------
1,507,157 1,500,000 1,558,763
------------- ------------- -------------
Ammirati & Puris, Inc.
An advertising agency that specializes in
representing a limited number of large and high
quality clients.
14% Senior Secured Note due 1998 $ 166,667 11/23/93 163,267 166,667 180,734
------------- ------------- -------------
Atlantic Aviation Corporation
An operator and provider of business aircraft
services and fueling services to commercial airlines.
10.05% Senior Note due 1999 $ 706,175 1/31/90 682,044 706,175 703,350
------------- ------------- -------------
J. Baker, Inc. - O.T.C.
A wholesaler and retailer of shoes.
11.21% Senior Subordinated Note due 1999 $ 900,000 6/21/89 897,660 897,120 895,320
Warrant, exercisable until 1999, to purchase
27,355 shares of common stock at $18.80
per share (B) 27,355 shs. 6/21/89 2,736 73,285 2,736
------------- ------------- -------------
900,396 970,405 898,056
------------- ------------- -------------
Berkshire Medical Center, Inc.
A non-profit, regional acute care hospital.
10.5% Senior Note due 1999 $ 616,364 5/15/89 616,364 616,364 635,163
------------- ------------- -------------
Boyle Leasing Technologies, Inc.
A leasing company specializing in the leasing
and rental of microticket business equipment.
12% Senior Subordinated Note due 2001 $ 1,000,000 8/16/94 899,723 940,893 991,700
------------- ------------- -------------
BP Prudhoe Bay Royalty Trust - N.Y.S.E.
A trust which shares in the production
of petroleum from the Alaskan North Slope.
13,190 Units of Beneficial Interest 13,190 uts. 2/28/89 329,750 204,070 224,230
------------- ------------- -------------
</TABLE>
- --------------------------------------------------------------------------------
9
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
C&K Manufacturing and Sales Company
A manufacturer and distributor of branded
packaging and supply products.
Senior Secured Floating Rate Revolving
Credit Facility due 2002 $ 159,600 8/29/96 $ 159,600 $ 159,600 $ 158,084
Senior Secured Series A Floating Rate
Term Note due 2002 $ 1,232,021 8/29/96 1,218,839 1,232,021 1,219,701
12% Series B Term Note due 2004 $ 266,000 8/29/96 261,877 253,024 267,036
Membership Interest 133 int. 8/29/96 106,400 131,500 106,400
Warrant, exercisable until 2004, to purchase
37 Membership Interests at $.01 per interest (B) 37 int. 8/29/96 -- 13,300 1
------------- ------------- -------------
1,746,716 1,789,445 1,751,222
------------- ------------- -------------
Cains Foods, L.P.
A producer of mayonnaise, sauce and pickle products
for both the retail and food service markets.
Senior Secured Floating Rate Revolving
Credit Note due 2000 $ 129,730 9/29/95 129,730 129,730 129,730
10% Senior Secured Term Note due 2004 $ 756,756 9/29/95 750,778 756,756 749,794
11.5% Senior Subordinated Note due 2004 $ 472,975 9/29/95 471,414 450,400 469,853
8% Junior Subordinated Convertible Note
due 2004, convertible into 39 partnership
points at $1,388.89 per point $ 54,054 9/29/95 42,148 54,054 104,303
Warrant, exercisable until 2006, to purchase
19 partnership points at $.01 per point (B) 19 pts. 9/29/95 19 25,130 48,893
------------- ------------- -------------
1,394,089 1,416,070 1,502,573
------------- ------------- -------------
Catalina Lighting, Inc. - N.Y.S.E.
A designer, importer and distributor of residential
and office lighting fixtures.
8% Convertible Subordinated Note due 2002,
convertible into 50,000 shares of common
stock at $7.50 per share $ 375,000 3/31/94 355,013 375,000 356,147
------------- ------------- -------------
The Chronicle Publishing Company
A media company including newspaper publishing,
television broadcasting and cable operations.
9.5% Senior Note due 1997 $ 166,667 2/21/91 160,467 165,927 167,383
------------- ------------- -------------
Cirrus Logic, Inc.
A designer and manufacturer of integrated circuits.
10.22% Secured Leverage Lease Notes
due 2002 $ 716,154 11/1/96 700,256 716,154 705,770
10.14% Secured Leverage Lease Notes
due 2004 $ 719,092 11/1/96 697,879 719,092 704,494
------------- ------------- -------------
1,398,135 1,435,246 1,410,264
------------- ------------- -------------
Classic Sports, Inc.
A cable sports television network.
Convertible preferred stock, convertible
into 322 shares of common stock at $1,000
per share 322 shs. * 28,980 152,062 386,666
------------- ------------- -------------
The Coast Distribution System - A.S.E.
A wholesale distributor of recreational vehicle and
marine parts and accessories.
11.2% Senior Subordinated Secured Note
due 1999 $ 700,100 6/26/89 722,434 700,100 706,891
------------- ------------- -------------
</TABLE>
*4/18/95 and 6/3/96.
- --------------------------------------------------------------------------------
10
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
CompuCom Systems, Inc. - O.T.C.
A personal computer dealer specializing in
serving corporate accounts.
Common Stock (B) 208,361 shs. 9/24/92 $ 453,169 $ 458,394 $ 2,127,887
--------------- ------------- --------------
Consumer Product Enterprises, Inc.
A manufacturer of colored acrylic felt for
consumer use.
Senior Secured Floating Rate Revolving
Credit Note due 2000 $ 84,590 12/8/95 84,590 84,590 84,590
10.75% Senior Secured Term Note due 2003 $ 607,103 12/8/95 614,261 607,103 601,457
12% Senior Subordinated Note due 2005 $ 400,287 12/8/95 401,928 379,458 388,839
Common Stock (B) 92,280 shs. 12/8/95 69,210 92,280 69,210
Warrant, exercisable until 2005, to purchase
69,210 shares of common stock at $.01
per share (B) 69,210 shs. 12/8/95 692 25,426 692
--------------- ------------- --------------
1,170,681 1,188,857 1,144,788
--------------- ------------- --------------
Contico International, Inc.
A developer, manufacturer and marketer of
consumer, commercial and industrial plastic
products.
12% Senior Subordinated Note due 2003 $ 500,000 3/23/93 522,800 500,000 518,200
--------------- ------------- --------------
Control Devices, Inc. - O.T.C.
A producer of high quality electromechanical
circuit protector devices and photo-optic sensors.
Common Stock (B) 58,000 shs. 7/29/94 8,737 8,737 678,597
--------------- ------------- --------------
Corrections Corporation of America - O.T.C.
An operator of private prisons and correctional
facilities for federal, state and local governments.
11.08% Senior Secured Note due 2000 $ 258,522 12/11/90 258,373 258,199 271,914
--------------- ------------- --------------
Discount Auto Parts
A retailer of auto parts.
9.8% Senior Secured Note due 2003 $ 1,050,000 11/2/89 1,014,405 1,050,000 1,115,100
--------------- ------------- --------------
Diversco, Inc.
A contract provider of janitorial and equipment
maintenance services and temporary production
labor to industrial customers.
Senior Secured Floating Rate Revolving
Credit Facility due 2002 $ 227,200 10/24/96 225,314 227,200 225,360
Senior Floating Rate Term Note due 2002 $ 227,000 10/24/96 225,615 227,000 225,683
10.16% Senior Term Note due 2002 $ 681,000 10/24/96 681,817 681,000 686,720
12% Senior Subordinated Note due 2003 $ 624,000 10/24/96 638,414 551,598 646,152
Membership Interest 1,491 int. 10/24/96 111,821 152,095 111,821
Warrant, exercisable to 2003, to purchase 896
membership interests at $.01 per interest (B) 896 int. 10/24/96 9 73,745 9
--------------- ------------- --------------
1,882,990 1,912,638 1,895,745
--------------- ------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
11
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Elgin National Industries, Inc.
An operator in the specialty fastener, mineral
processing equipment, engineering, construction
and electrical distribution industries.
13% Senior Subordinated Note due 2001 $ 1,333,333 9/24/93 $ 1,330,578 $ 1,322,145 $ 1,350,266
10% Preferred Stock 1,559 shs. 9/24/93 117,976 155,950 126,444
Common Stock (B) 107 shs. 9/24/93 10,717 10,717 80
Warrant, exercisable from 1998 until 2001,
to purchase 112 shares of common stock at
$.01 per share (B) 112 shs. 9/24/93 11 11,188 11
---------------- ------------- --------------
1,459,282 1,500,000 1,476,801
---------------- ------------- --------------
Exide Electronics Group, Inc. - O.T.C.
A manufacturer and servicer of uninterruptible
power systems.
Common Stock (B) 114,679 shs. 9/2/92 1,486,200 1,500,000 1,606,938
---------------- ------------- --------------
Firth Rixson, Inc.
A U.S. subsidiary of Johnson & Firth Brown;
a producer of specialty metal components, steel
and iron castings, and specialty engineering.
9.82% Senior Guaranteed Note due 2001 $ 285,620 4/5/91 285,572 285,620 290,390
---------------- ------------- --------------
Fleming Acquisition Corporation
A supplier of high-quality, premium printed
labels for distilled spirits, wine, food and
household products.
15% Senior Subordinated Note due 2005 $ 1,373,845 4/28/95 1,367,669 1,300,608 1,400,635
Common Stock (B) 270 shs. 4/28/95 70,559 135,000 6,176
Warrant, exercisable until 2005, to purchase 190
shares of common stock at $.01 per share (B) 190 shs. 4/28/95 49,116 85,227 4,342
Incentive Warrant, exercisable from 1998 until
2000, to purchase 10 shares of common stock at
$.01 per share (B) 10 shs. 4/28/95 1,656 1,136 220
---------------- ------------- --------------
1,489,000 1,521,971 1,411,373
---------------- ------------- --------------
Hardy Oil & Gas USA, Inc.
Engages in the exploration and development of
oil and gas reserves.
8.46% Guaranteed Senior Note due 2004 $ 1,500,000 1/11/95 1,452,600 1,500,000 1,513,650
Warrant, exercisable until 2004, to purchase
136,245 shares of common stock at o1.57
per share (B) 136,245 shs. 1/11/95 13,500 -- 203,523
---------------- ------------- --------------
1,466,100 1,500,000 1,717,173
---------------- ------------- --------------
Hein-Werner Corp. - A.S.E.
A manufacturer of automotive service and
collision repair equipment and hydraulic
cylinders.
8% Convertible Subordinated Note due 1999,
convertible into 179,140 shares of common
stock at $6.28 per share $ 1,125,000 9/29/89 1,094,738 1,125,000 1,126,204
Warrant, exercisable until 1999, to purchase
59,713 shares of common stock at $6.28 per
share (B) 59,713 shs. 9/3/96 -- -- 16,481
---------------- ------------- --------------
1,094,738 1,125,000 1,142,685
---------------- ------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
12
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Highland Homes Holdings, Inc.
A single family homebuilder operating in the
Dallas-Fort Worth and Atlanta areas.
10.75% Senior Note due 1999 $ 562,500 11/18/93 $ 556,931 $ 554,824 $ 567,844
Warrant, exercisable until 2001, to purchase
5 shares of common stock at $17,897.31
per share (B) 5 shs. 11/18/93 1 10,235 52
---------------- ------------- --------------
556,932 565,059 567,896
---------------- ------------- --------------
Hudson River Capital
(formerly Victory Capital LLC)
Acquires controlling or substantial interests
in manufacturing and marketing entities.
3% Convertible Preferred Stock, convertible
into 25,000 shares of common stock at $10
per share (B) 25,000 shs. 7/21/94 250,000 250,000 237,500
---------------- ------------- --------------
Hunton & Williams
A major law firm in Richmond, Virginia.
10.06% Senior Secured Note due 2000 $ 184,375 12/21/90 178,696 184,375 189,206
---------------- ------------- --------------
Hussey Seating Company
A manufacturer of spectator seating products.
Senior Secured Floating Rate Revolving Note
due 2003 $ 337,500 6/12/96 334,193 337,500 334,429
Senior Secured Floating Rate Note due 2003 $ 450,000 6/12/96 445,545 450,000 446,085
10% Senior Secured Note due 2003 $ 450,000 6/12/96 438,120 450,000 445,860
12% Subordinated Secured Note due 2006 $ 675,000 6/12/96 663,660 566,221 684,585
Warrant, exercisable until 2006, to purchase
1,776 shares of common stock at $.01 per
share (B) 1,776 shs. 6/12/96 18 112,500 18
---------------- ------------- --------------
1,881,536 1,916,221 1,910,977
---------------- ------------- --------------
Intermetrics, Inc.
A provider of software systems, services
and products to a variety of information
technology users.
13% Senior Subordinated Note due 2002 $ 399,659 8/31/95 406,413 353,631 398,740
Senior Floating Rate Revolving Term Note
due 2002 $ 666,072 8/31/95 666,072 666,072 649,420
Common Stock (B) 5,538 shs. 8/31/95 25,959 34,610 25,957
Warrant, exercisable until 2007, to purchase
10,588 shares of Class D common stock at
$.01 per share (B) 10,588 shs. 8/31/95 1,059 52,000 1,059
---------------- ------------- --------------
1,099,503 1,106,313 1,075,176
---------------- ------------- --------------
Jackson Products, Inc.
Manufactures and distributes a variety of
industrial and highway safety products.
12.25% Senior Subordinated Note due 2004 $ 985,000 8/16/95 962,148 966,226 990,319
13.25% Cumulative Exchangeable Preferred
Stock 49 shs. 8/16/95 407,467 411,708 414,013
Common Stock (B) 217 shs. 8/16/95 21,702 21,702 21,702
Warrant, exercisable until 2005, to purchase
999 shares of common stock at $.01
per share (B) 999 shs. 8/16/95 999 99,866 999
---------------- ------------- --------------
1,392,316 1,499,502 1,427,033
---------------- ------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
13
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Kappler Safety Group, Inc.
Manufacturer of protective apparel for the
industrial/safety, cleanroom and healthcare
markets.
13% Senior Subordinated Note due 2004 $ 1,667,000 12/2/96 $ 1,692,505 $ 1,501,833 $ 1,674,502
Warrants, exercisable until 2004, to purchase
28,717 shares of common stock at $.01
per share (B) 28,717 shs. 12/2/96 28,717 166,700 28,717
---------------- ------------- --------------
1,721,222 1,668,533 1,703,219
---------------- ------------- --------------
Kuhlman Corporation - N.Y.S.E.
A manufacturer of non-automotive engine
components.
Warrant, exercisable until 2002, to purchase
50,000 shares of common stock at $8.32
per share (B) 50,000 shs. 4/30/92 53,000 81,000 450,890
---------------- ------------- --------------
Latin Communications Group
An operator of Spanish-language media in
North America.
Senior Secured Floating Rate Revolving
Note due 2002 $ 287,500 * 287,500 287,500 285,861
10.4% Senior Secured Note due 2001 $ 875,000 2/14/95 876,138 875,000 896,700
Common Stock (B) 44,219 shs. ** 247,170 406,252 442,190
---------------- ------------- --------------
1,410,808 1,568,752 1,624,751
---------------- ------------- --------------
Maloney Industries, Inc.
Engineers and manufactures process systems
for the oil and gas industry.
13% Subordinated Note due 2004 $ 1,012,500 10/26/95 1,070,213 1,012,500 1,114,560
Limited Partnership Interest 284 uts. 10/20/95 253,125 366,629 253,125
Warrant, exercisable until 2004, to purchase
148 units of Limited Partnership Interest at
$.01 per unit (B) 148 uts. 10/26/95 148 -- 148
---------------- ------------- --------------
1,323,486 1,379,129 1,367,833
---------------- ------------- --------------
Maxtec International Corp.
A manufacturer and distributor of precision
test and measurement equipment and overhead
crane control systems.
Senior Floating Rate Revolving Credit
Facility due 2001 $ 329,670 6/28/95 325,516 329,670 326,604
Senior Secured Floating Rate Note due 2001 $ 111,036 6/28/95 110,092 111,036 110,835
12.5% Subordinated Secured Note due 2003 $ 80,176 6/28/95 81,851 61,773 81,082
Common Stock (B) 38,462 shs. 6/28/95 96,059 115,386 86,540
Warrant, exercisable from 1998 until 2005,
to purchase 19,795 shares of common stock
at $.01 per share (B) 19,795 shs. 6/28/95 49,291 85,714 19,795
---------------- ------------- --------------
662,809 703,579 624,856
---------------- ------------- --------------
NM Holdings LLC
A company created to acquire motion picture
film rights from Twentieth Century Fox.
10% Senior Note due 2001 $ 500,000 6/28/96 490,300 500,000 495,050
12% Subordinated Note due 2001 $ 490,000 6/28/96 491,078 490,000 495,390
Membership Interest 10,000 int. 6/28/96 7,500 9,938 7,500
---------------- ------------- --------------
988,878 999,938 997,940
---------------- ------------- --------------
</TABLE>
*7/13/95 and 12/1/95.
**12/1/95, 2/27/96 and 8/5/96.
- --------------------------------------------------------------------------------
14
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Nu Horizons Electronics Corp. - O.T.C.
A distributor of high technology active and
passive electronic devices.
8.25% Convertible Subordinated Note due
2002, convertible into 78,433 shares of
common stock at $9 per share $ 705,900 8/31/94 $ 714,159 $ 705,900 $ 743,419
---------------- ------------- --------------
PanEnergy Corporation - N.Y.S.E.
An owner and operator of natural gas gathering,
transmission and processing facilities.
9% Convertible Subordinated Note due 2004,
convertible into 67,781 shares of common
stock at $22.13 per share $ 1,500,000 12/30/92 1,467,000 1,500,000 2,745,143
---------------- ------------- --------------
PAR Acquisition Corp.
A manufacturer of fuel handling systems for
nuclear power plants and hazardous waste.
14.5% Senior Subordinated Note due 2000 $ 833,333 2/5/93 832,000 833,333 858,000
8% Convertible Preferred Stock due 2001,
convertible into 83,333 shares of common
stock at $2 per share 83,333 shs. 2/5/93 166,667 166,667 152,075
Common Stock (B) 133,333 shs. 2/5/93 333,333 333,333 160,000
---------------- ------------- --------------
1,332,000 1,333,333 1,170,075
---------------- ------------- --------------
Paribas Capital Funding LLC
A collateralized loan obligation managed by
the U.S. Merchant Banking Group of Banque
Paribas.
Subordinated Floating Rate Note due 2010 $ 875,000 12/20/96 870,100 875,000 870,188
---------------- ------------- --------------
Pharmaceutical Buyers, Inc.
A group purchasing organization which
specializes in arranging and negotiating
contracts for the purchase of pharmaceutical
goods and medical equipment.
10.5% Senior Secured Note due 2005 $ 483,750 11/30/95 504,116 483,750 491,780
10.5% Senior Secured Convertible Note due
2005, convertible into 2 shares of common
stock at $50,000 per share $ 97,500 11/30/95 102,677 97,500 104,627
Common Stock (B) 3 shs. 11/30/95 126,750 169,000 126,750
---------------- ------------- --------------
733,543 750,250 723,157
---------------- ------------- --------------
Piedmont Holding, Inc.
A general aviation fixed based operator with
repair, maintenance and overhaul
certification.
12% Senior Subordinated Note due 2001 $ 1,357,151 7/15/92 1,368,280 1,357,151 1,405,194
Senior Redeemable Cumulative Preferred Stock 140,983 shs. 7/15/92 140,983 140,983 140,983
Common Stock (B) 1,887 shs. 7/15/92 1,283 1,887 42,344
Warrant, exercisable until 2001, to purchase
2,521 shares of common stock at $.05 per
share (B) 2,521 shs. 7/15/92 1,613 -- 56,470
---------------- ------------- --------------
1,512,159 1,500,021 1,644,991
---------------- ------------- --------------
Plastipak Packaging, Inc.
A manufacturer of plastic containers.
10.64% Senior Subordinated Note due 2006 $ 1,750,000 10/25/96 1,701,875 1,703,963 1,723,925
Warrant, exercisable until 2006, to purchase 45
shares of common stock at $.01 per share (B) 45 shs. 10/25/96 27,796 46,813 27,796
---------------- ------------- --------------
1,729,671 1,750,776 1,751,721
---------------- ------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
15
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Precision Dynamics, Inc.
A manufacturer of custom-designed solenoid
valves and controls.
Senior Secured Floating Rate Revolving
Credit Facility due 2003 $ 179,300 7/22/96 $ 177,525 $ 179,300 $ 177,597
Senior Secured Floating Rate Term Note
due 2003 $ 1,467,000 7/22/96 1,452,623 1,467,000 1,453,797
12% Senior Secured Term Note due 2004 $ 245,000 7/22/96 241,766 197,492 246,274
8% Preferred Stock 116 shs. 7/22/96 110,115 115,911 110,115
Common Stock (B) 300 shs. 7/22/96 10,868 14,489 10,868
Warrant, exercisable until 2004, to purchase
161 shares of common stock at $.01 per
share (B) 161 shs. 7/22/96 2 49,000 2
---------------- ------------- --------------
1,992,899 2,023,192 1,998,653
---------------- ------------- --------------
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.
11.67% Senior Secured Note due 2004 $ 400,000 8/12/94 394,720 400,000 325,240
11.51% Junior Secured Note due 1999 $ 266,667 8/12/94 261,014 266,667 204,640
9.8% Redeemable Exchangeable Preferred Stock 3,333 shs. 8/12/94 282,634 333,333 126,167
Common Stock (B) 497 shs. 8/12/94 5 -- 4
---------------- ------------- --------------
938,373 1,000,000 656,051
---------------- ------------- --------------
RailTex, Inc. - O.T.C.
An operator of short-line railroads in the
Midwest, West and Canada.
12% Senior Subordinated Note due 2002 $ 750,000 2/16/93 799,575 750,000 851,100
Common Stock (B) 35,500 shs. 2/16/93 340,908 340,800 851,556
---------------- ------------- --------------
1,140,483 1,090,800 1,702,656
---------------- ------------- --------------
Rent-Way, Inc. - O.T.C.
Operates rent-to-own stores in Ohio,
Pennsylvania and New York.
10% Convertible Subordinated Note due 2002,
convertible into 100,604 shares of common
stock at $9.94 per share $ 1,000,000 7/18/95 1,000,000 1,000,000 1,069,005
Warrant, exercisable until 2002, to purchase
10,000 shares of common stock at $9.94
per share (B) 10,000 shs. 7/18/95 -- -- 1,330
---------------- ------------- --------------
1,000,000 1,000,000 1,070,335
---------------- ------------- --------------
Rogers Cablesystems Limited
A provider of cable television service in Canada.
11.09% Senior Subordinated Note due 2000 $ 500,000 6/20/90 493,450 500,000 513,200
---------------- ------------- --------------
A.T.-Sentinel, Inc.
A leveraged lease transaction guaranteed by
E.I. Dupont, the chemical company.
9.52% First Preferred Ship Mortgage Note
due 1998 $ 690,711 8/22/89 683,251 701,072 697,757
---------------- ------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
16
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Sequentia, Inc.
A manufacturer and distributor of fiberglass
reinforced panels used in commercial, industrial
and residential applications.
12% Subordinated Note due 2004 $ 1,140,700 12/14/95 $ 1,209,142 $ 918,088 $ 570,350
Limited Partnership Interest of KS Holdings, L.P. 3,593 uts. 12/14/95 265,425 339,371 35,930
Warrant, exercisable until 2004, to purchase
2,725 units of Limited Partnership Interest of
KS Holdings, L.P. at $.01 per unit (B) 2,725 uts. 12/14/95 2,725 239,547 1,363
---------------- ------------- --------------
1,477,292 1,497,006 607,643
---------------- ------------- --------------
Star International Holdings, Inc.
A manufacturer of commercial cooking appliances.
9.65% Senior Secured Note due 2004 $ 416,417 5/27/94 397,387 416,417 413,086
10.5% Subordinated Note due 2004 $ 179,104 5/27/94 162,913 179,104 172,728
Common Stock (B) 1,077 shs. 5/27/94 58,414 64,904 11,269
Warrant, exercisable until 2004, to purchase 806
shares of common stock at $.01 per share (B) 806 shs. 5/27/94 8 -- 8,427
---------------- ------------- --------------
618,722 660,425 605,510
---------------- ------------- --------------
Stonehurst I LLC
A wholly owned subsidiary of Tenneco, Inc.,
whose business includes natural gas, auto parts
and packaging.
Floating Rate Subordinated Note due 2004 $ 1,444,500 12/29/94 1,444,500 1,444,500 1,444,500
5.05% Membership Interest 5,050 int. 12/29/94 55,000 51,237 55,500
---------------- ------------- --------------
1,499,500 1,495,737 1,500,000
---------------- ------------- --------------
Team Rental Group, Inc.
An operator of Budget Rent-A-Car franchises,
retail used car sales facilities and van pool
territories.
7% Convertible Subordinated Note due 2003,
convertible into 49,611 shares of common stock
at $20.16 per share $ 1,000,000 12/18/96 899,220 1,000,000 901,635
---------------- ------------- --------------
Telex Communications, Inc.
A producer of electronic and communications
products.
Warrant, exercisable until 2004, to purchase
5,544 shares of common stock at $.01 per
share (B) 5,544 shs. 5/30/89 55 6 70,063
---------------- ------------- --------------
Tidewater Holdings, Inc.
An operator of a barge transportation line on the
Columbia/Snake River system.
12.5% Senior Subordinated Note due 2006 $ 1,190,000 7/25/96 1,194,046 1,167,146 1,220,702
Convertible Preferred Stock, convertible into
560 shares of common stock at $1,000 per
share (B) 560 shs. 7/25/96 504,000 560,000 504,000
Warrant, exercisable until 2008, to purchase
237 shares of common stock at $.01 per
share (B) 237 shs. 7/25/96 21 24,103 21
---------------- ------------- --------------
1,698,067 1,751,249 1,724,723
---------------- ------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
17
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
TransMontaigne Oil Company - A.S.E.
An independent petroleum products marketing
company.
12.75% Senior Subordinated Debenture due 2000 $ 1,200,000 3/28/91 $ 1,274,280 $ 1,177,986 $ 1,253,040
Common Stock (B) 203,165 shs. * 490,810 598,597 1,645,637
Warrant, exercisable until 2001, to purchase
74,606 shares of common stock at $3.60
per share (B) 74,606 shs. 3/28/91 7,461 42,000 443,160
---------------- ------------- --------------
1,772,551 1,818,583 3,341,837
---------------- ------------- --------------
Unidata, Inc.
A manufacturer and distributor of database
management software.
11.5% Senior Subordinated Note due 2003 $ 1,250,000 12/14/95 1,269,250 1,196,573 1,159,000
Common Stock (B) 62,500 shs. 12/14/95 187,500 250,000 187,500
Warrant, exercisable from 1997 until 2003,
to purchase 31,250 shares of common stock
at $1 per share (B) 31,250 shs. 12/14/95 313 62,125 313
---------------- ------------- --------------
1,457,063 1,508,698 1,346,813
---------------- ------------- --------------
Unipac Corporation
A manufacturer of laminated materials which
are used to seal a variety of packaging
containers.
Senior Secured Floating Rate Note due 2002 $ 478,242 2/9/96 473,172 478,242 486,372
12% Senior Secured Note due 2004 $ 121,875 2/9/96 123,435 109,795 124,325
Acquisition Line of Credit due 2002 $ 375,000 9/30/96 375,000 375,000 381,600
Limited Partnership Interest of Riverside II
Holding Company L.P. 61 uts. ** 56,368 108,617 51,053
Warrant, exercisable from 2000 until 2004,
to purchase 21 units of Limited Partnership
Interest of Riverside II Holding Company L.P.
at $.01 per unit (B) 21 uts. 2/9/96 2 20,156 2
---------------- ------------- --------------
1,027,977 1,091,810 1,043,352
---------------- ------------- --------------
Uno-Ven Company
A partnership in an oil refinery and related
midwestern marketing operations.
10.1% Senior Secured Note due 2003 $ 771,429 12/1/89 752,299 771,429 813,009
---------------- ------------- --------------
USAir, Inc.
A domestic and international airline.
10.8% Series A Secured Loan Certificates
due 2003 $ 556,402 6/29/94 472,942 490,775 540,266
---------------- ------------- --------------
U.S. Netting, Inc.
A manufacturer of plastic netting for a wide
variety of industries.
11% Senior Secured Note due 2005 $ 838,800 5/3/95 927,545 838,800 900,787
12% Subordinated Note due 2005 $ 326,200 5/3/95 326,200 309,882 357,026
Common Stock (B) 2,457 shs. 5/3/95 81,376 195,720 2,457
Warrant, exercisable until 2005, to purchase
1,398 shares of common stock at $.01
per share (B) 1,398 shs. 5/3/95 46,291 17,971 1,398
---------------- ------------- --------------
1,381,412 1,362,373 1,261,668
---------------- ------------- --------------
</TABLE>
*3/28/91, 12/18/91, 9/30/92, 9/30/93, 9/30/94, 3/31/95 and 5/9/95.
**2/9/96 and 9/25/96.
- --------------------------------------------------------------------------------
18
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 12/31/96
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- ------------- ---------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
U.S. Silica Company
A producer of high grade industrial and specialty
ground silica sands in North America.
15% Senior Subordinated Notes due 2005 $ 1,166,700 12/19/96 $ 1,245,102 $ 1,166,635 $ 1,243,119
Convertible Preferred Stock, convertible into
20,999 shares of common stock at $27.78
per share (B) 20,999 shs. 12/19/96 437,475 583,300 437,475
Warrants, exercisable until 2005, to purchase
3,241 units of Series A Preferred Stock and
6,482 units of Series B Preferred Stock at $.01
per unit (B) 3,241 uts. 12/19/96 6,482 65 6,482
---------------- ------------- --------------
1,689,059 1,750,000 1,687,076
---------------- ------------- --------------
Valero Energy Corporation
An owner and operator of a specialized petroleum
refinery and engages in petroleum product marketing
operations.
10.58% Senior Note due 2000 $ 285,714 12/20/90 290,478 285,714 294,086
---------------- ------------- --------------
Sub-Total Corporate Restricted Securities $ 66,564,997 68,017,270 72,985,477
================ ============= ==============
</TABLE>
<TABLE>
<CAPTION>
Market Value
Interest Due Principal Cost at 12/31/96
Rule 144A Securities: (A) Rate Date Amount (Note 2B) (Note 2A)
------------- ---------------- ------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Convertible Bonds - 3.83%
Continental Airlines, Inc. 6.750% 4/15/06 $ 500,000 464,125 561,250
Grand Metropolitan PLC 6.500 1/31/00 300,000 300,000 355,125
Imax Corporation 5.750 4/1/03 400,000 387,500 361,000
Marriott International, Inc. 0.000 3/25/11 500,000 274,807 281,250
Molten Metal Technology 5.500 5/1/06 450,000 450,000 310,500
Omnicom Group 4.250 1/3/07 135,000 135,000 137,700
Renal Treatment Centers, Inc. 5.625 7/15/06 225,000 225,000 218,250
The Sports Authority, Inc. 5.250 9/15/01 70,000 70,000 65,800
Staples, Inc. 4.500 10/1/00 575,000 575,000 598,000
Sunglass Hut International, Inc. 5.250 6/15/03 380,000 352,913 273,600
Thermo Electron Corporation 4.250 1/1/03 175,000 175,000 208,250
Thermo Terratech, Inc. 4.625 5/1/03 45,000 45,000 41,400
United Waste Systems, Inc. 4.500 6/1/01 250,000 250,000 298,750
------------- ------------- --------------
Sub-Total Rule 144A Convertible Bonds $ 4,005,000 3,704,345 3,710,875
============= ------------- --------------
Bonds - 4.01%
Enserch Exploration, Inc. 7.540 1/2/09 1,000,000 1,000,000 991,870
Keystone Auto Grantor Trust 6.150 4/15/03 933,863 933,584 933,116
Paiton Energy Funding 9.340 2/15/14 1,000,000 1,000,000 1,000,000
Petroleum Enhanced Trust 6.062 2/5/03 978,880 978,880 978,880
------------- ------------- --------------
Sub-Total Rule 144A Bonds $ 3,912,743 3,912,464 3,903,866
============= ============= ==============
</TABLE>
- --------------------------------------------------------------------------------
19
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Shares, Warrants Market Value
Interest Due or Principal Cost at 12/31/96
Rule 144A Securities: (A) Rate Date Amount (Note 2B) (Note 2A)
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Convertible Preferred Stock - .56%
SFX Broadcasting, Inc. 12,400 $ 591,650 $ 545,600
------------- ------------
Sub-Total Rule 144A Convertible
Preferred Stock 591,650 545,600
------------- ------------
Total Rule 144A Securities 8,208,459 8,160,341
------------- ------------
Total Corporate Restricted Securities 76,225,729 81,145,818
------------- ------------
Corporate Public Securities:
Convertible Bonds - 2.37%
Hilton Hotels, Inc. 5.000% 5/15/06 $ 695,000 695,000 717,588
Home Depot, Inc. 3.250 10/1/01 450,000 443,500 443,250
Magna International, Inc. 5.000 10/15/02 250,000 255,625 285,000
Republic of Italy 5.000 6/28/01 345,000 345,488 345,000
Savoy Pictures Entertainment, Inc. 7.000 7/1/03 650,000 505,375 507,000
------------ ------------- -----------
Total Convertible Bonds $ 2,390,000 2,244,988 2,297,838
============ ------------- -----------
Bonds - 16.51%
Airplanes Pass Thru Trust 8.150 3/15/19 $ 1,500,000 1,498,674 1,575,000
American Airlines, Inc. 9.780 11/26/11 1,000,000 1,000,000 1,138,750
Central Rents, Inc. 12.875 12/15/03 930,000 869,288 939,300
Comdisco Inc. 7.750 9/1/99 1,500,000 1,598,265 1,541,535
Data Documents, Inc. 13.500 7/15/02 1,429,000 1,433,158 1,607,625
Decorative Home Accents, Inc. 13.000 6/30/02 350,000 350,000 175,000
Florist Transworld Delivery, Inc. 14.000 12/15/01 375,000 363,606 356,250
Hosiery Corporation of America 13.750 8/1/02 500,000 493,900 550,000
Key Plastics, Inc. 14.000 11/15/99 350,000 354,912 360,500
Northwest Airlines Corp. 12.091 12/31/00 863,345 891,403 932,412
Northwest Airlines Corp. 8.970 1/2/15 1,000,000 1,000,000 1,058,410
Telex Communications, Inc. 12.000 7/15/04 750,000 750,000 825,000
U.S. Treasury Note 5.875 11/15/99 5,000,000 4,998,047 4,980,450
------------ ------------- -----------
Total Bonds $ 15,547,345 15,601,253 16,040,232
============ ------------- -----------
Warrants - .06%
Barringer Technologies, Inc. (B) 10,000 500 13,750
Central Rents, Inc. (B) 930 33,712 46,500
------------- -----------
Total Warrants 34,212 60,250
------------- -----------
</TABLE>
- --------------------------------------------------------------------------------
20
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Market Value
Cost at 12/31/96
Corporate Public Securities: (Continued) Shares (Note 2B) (Note 2A)
------------- ------------- ------------
<S> <C> <C> <C>
Common Stock - 4.38%
America West Airlines, Inc. (B) 2,100 $ 42,126 $ 33,338
BA Merchant Services, Inc. (B) 3,000 46,500 53,625
Barringer Technologies, Inc. (B) 10,000 85,630 83,750
Benson Petroleum, Ltd. (B) 100,000 77,204 74,400
Chesapeake Energy Corporation (B) 2,500 168,125 139,063
Collins & Aikman Corporation (B) 17,400 104,238 108,750
Computer Horizons Corporation 16,650 146,925 641,025
Continental Airlines, Inc. (B) 15,000 401,250 423,750
Data Documents, Inc. (B) 15,817 24 172,010
Decorative Home Accents, Inc. (B) 350 -- --
Entremed, Inc. (B) 13,450 207,375 218,563
Florist Transworld Delivery, Inc. (B) 4,687 13,754 23,435
Foodbrands America Inc. (B) 22,500 177,187 309,375
Forrester Research, Inc. (B) 600 9,600 15,450
Hosiery Corporation of America 500 -- 22,500
Ingram Micro, Inc. (B) 1,500 27,000 34,500
LCS Industries, Inc. 15,000 234,356 217,500
Marker International (B) 30,000 187,500 161,250
Mastech Corporation (B) 1,500 22,500 28,500
Metris Companies, Inc. (B) 600 9,600 14,400
Monterey Resources, Inc. (B) 1,500 21,750 24,188
MSC Industrial Direct Co., Inc. (B) 3,900 132,113 144,300
Red Roof Inns, Inc. (B) 9,100 121,684 141,050
Staffing Resources, Inc. 45,000 247,500 675,000
Ticketmaster Group, Inc. (B) 9,900 143,550 120,038
Univision Communications, Inc. (B) 7,500 172,500 277,500
Vimpel-Communications (B) 2,250 46,125 53,156
Western Transmedia Co., Inc. (B) 54,000 188,722 47,250
------------- ------------
Total Common Stock 3,034,838 4,257,666
------------- ------------
Convertible Preferred Stock - 2.05%
Finova Finance Trust 1,350 67,500 70,200
Integon Corp. 4,900 245,000 264,600
Merrill Lynch & Co. 13,500 308,813 300,375
Microsoft Corporation 8,000 639,000 640,000
Occidental Petroleum Corporation 6,830 341,500 402,970
RXI Holdings, Inc. 107,172 107,205 107
Unocal Corporation 5,580 250,000 316,665
------------- ------------
Total Convertible Preferred Stock 1,959,018 1,994,917
------------- ------------
Total Corporate Public Securities 22,874,309 24,650,903
------------- ------------
</TABLE>
- --------------------------------------------------------------------------------
21
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
<TABLE>
<CAPTION>
Market Value
Due Principal Cost at 12/31/96
Short-Term Securities: Yield Date Amount (Note 2B) (Note 2A)
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Commercial Paper - 5.05%
Bausch & Lomb Inc. 6.861% 1/8/97 $ 1,355,000 $ 1,353,195 $ 1,353,195
Countrywide Home Loans, Inc. 5.983 1/14/97 320,000 319,310 319,310
Houston Lighting & Power Co. 6.107 1/2/97 1,435,000 1,434,757 1,434,757
Rayonier Inc. 5.713 1/16/97 305,000 304,278 304,278
Service Corporation International 7.009 1/7/97 1,500,000 1,498,250 1,498,250
------------ ------------ ------------
Total Short-Term Securities $ 4,915,000 4,909,790 4,909,790
============ ------------ ------------
Total Investments - 113.95% $104,009,828 110,706,511
============ ------------
Other Assets - 5.68 5,514,955
Liabilities - (19.63) (19,067,607)
----- ------------
Total Net Assets - 100.00% $ 97,153,859
====== ============
</TABLE>
(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.
INDUSTRY CLASSIFICATION
<TABLE>
<CAPTION>
Fair Value
at 12/31/96
Corporate Restricted Securities: (Note 2A)
------------
<S> <C>
ADVERTISING - .19%
Ammirati & Puris, Inc. $ 180,734
------------
BUILDING MATERIALS - .58%
Highland Homes Holdings, Inc. 567,896
------------
CHEMICAL - 2.69%
AccTech, LLC 1,912,440
A.T.-Sentinel, Inc. 697,757
------------
2,610,197
------------
COMMUNICATIONS - 3.23%
Classic Sports, Inc. 386,666
Latin Communications Group 1,624,751
Rogers Cablesystems Limited 513,200
SFX Broadcasting, Inc. 545,600
Telex Communications, Inc. 70,063
------------
3,140,280
------------
ELECTRICAL EQUIPMENT/
ELECTRONICS - 10.50%
Catalina Lighting, Inc. 356,147
Cirrus Logic, Inc. 1,410,264
CompuCom Systems, Inc. 2,127,887
Control Devices, Inc. 678,597
Exide Electronics Group, Inc. 1,606,938
Intermetrics, Inc. 1,075,176
</TABLE>
<TABLE>
<CAPTION>
Fair Value
at 12/31/96
Corporate Restricted Securities: (Continued) (Note 2A)
------------
<S> <C>
ELECTRICAL EQUIPMENT/
ELECTRONICS (Continued)
Nu Horizons Electronics Corp. $ 743,419
Precision Dynamics, Inc. 1,998,653
Thermo Electron Corporation 208,250
------------
10,205,331
------------
HEALTH CARE - .88%
Berkshire Medical Center, Inc. 635,163
Renal Treatment Centers, Inc. 218,250
------------
853,413
------------
LEASING - 1.02%
Boyle Leasing Technologies, Inc. 991,700
------------
MANUFACTURING-INDUSTRIAL AND
CONSUMER PRODUCTS - 24.63%
C&K Manufacturing and Sales Company 1,751,222
Consumer Product Enterprises, Inc. 1,144,788
Contico International, Inc. 518,200
Elgin National Industries, Inc. 1,476,801
Firth Rixson, Inc. 290,390
Fleming Acquisition Corporation 1,411,373
Hein-Werner Corp. 1,142,685
Hudson River Capital 237,500
Hussey Seating Company 1,910,977
Imax Corporation 361,000
</TABLE>
- --------------------------------------------------------------------------------
22
<PAGE>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
December 31, 1996
INDUSTRY CLASSIFICATION (Continued)
<TABLE>
<CAPTION>
Fair Value
at 12/31/96
Corporate Restricted Securities: (Note 2A)
------------
<S> <C>
MANUFACTURING-INDUSTRIAL AND
CONSUMER PRODUCTS (Continued)
Jackson Products, Inc. $ 1,427,033
Kappler Safety Group, Inc. 1,703,219
Kuhlman Corporation 450,890
Maxtec International Corp. 624,856
PAR Acquisition Corp. 1,170,075
Plastipak Packaging, Inc. 1,751,721
Sequentia, Inc. 607,643
Star International Holdings, Inc. 605,510
Unidata, Inc. 1,346,813
Unipac Corporation 1,043,352
U.S. Netting, Inc. 1,261,668
U.S. Silica Company 1,687,076
------------
23,924,792
------------
METAL FABRICATING - .32%
Molten Metal Technology 310,500
------------
MISCELLANEOUS - 7.89%
Enserch Exploration, Inc. 991,870
Keystone Auto Grantor Trust 933,116
Marriott International, Inc. 281,250
NM Holdings LLC 997,940
Omnicom Group 137,700
Paiton Energy Funding 1,000,000
Paribas Capital Funding LLC 870,188
Protein Genetics, Inc. 656,051
Stonehurst I LLC 1,500,000
United Waste Systems, Inc. 298,750
------------
7,666,865
------------
OIL AND GAS SERVICE - 13.42%
American Exploration Company 1,558,763
BP Prudhoe Bay Royalty Trust 224,230
Hardy Oil & Gas USA, Inc. 1,717,173
Maloney Industries, Inc. 1,367,833
PanEnergy Corporation 2,745,143
Petroleum Enhanced Trust 978,880
TransMontaigne Oil Company 3,341,837
Uno-Ven Company 813,009
Valero Energy Corporation 294,086
------------
13,040,954
------------
<CAPTION>
Fair Value
at 12/31/96
Corporate Restricted Securities: (Continued) (Note 2A)
------------
<S> <C>
PUBLISHING - .17%
The Chronicle Publishing Company $ 167,383
------------
RECREATIONAL SUPPLIES/
EQUIPMENT - .73%
The Coast Distribution System 706,891
------------
RETAILING - 6.80%
J. Baker, Inc. 898,056
Cains Foods, L.P. 1,502,573
Discount Auto Parts 1,115,100
Grand Metropolitan PLC 355,125
Pharmaceutical Buyers, Inc. 723,157
Rent-Way, Inc. 1,070,335
The Sports Authority, Inc. 65,800
Staples, Inc. 598,000
Sunglass Hut International, Inc. 273,600
------------
6,601,746
------------
SERVICES - 10.48%
Atlantic Aviation Corporation 703,350
Continental Airlines, Inc. 561,250
Corrections Corporation of America 271,914
Diversco, Inc. 1,895,745
Hunton & Williams 189,206
Piedmont Holding, Inc. 1,644,991
RailTex, Inc. 1,702,656
Team Rental Group, Inc. 901,635
Thermo Terratech, Inc. 41,400
Tidewater Holdings, Inc. 1,724,723
USAir, Inc. 540,266
------------
10,177,136
------------
Total Corporate Restricted
Securities - 83.53% $ 81,145,818
============
</TABLE>
- --------------------------------------------------------------------------------
23
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
- --------------------------------------------------------------------------------
1. History
MassMutual Participation Investors (the "Trust") was organized as a
Massachusetts business trust under the laws of the Commonwealth of
Massachusetts pursuant to a Declaration of Trust dated April 7, 1988.
The Trust is a closed-end diversified management investment company, whose
investment objective is to maximize total return by providing a high level
of current income, the potential for growth of such income, and capital
appreciation, by investing primarily in a portfolio of privately placed
fixed-income securities, at least half of which normally will include equity
features.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed
consistently by the Trust in the preparation of the financial statements in
conformity with generally accepted accounting principles.
A. Valuation of Investments:
Valuation of a security in the Trust's portfolio is made on the basis of
market price whenever market quotations are readily available and all
securities of the same class held by the Trust can be readily sold in such
market.
The value of restricted securities, and of any other assets for which there
are no reliable market quotations, is the fair value as determined in good
faith by the Board of Trustees of the Trust. Each restricted security is
valued by the Board at the time of the purchase thereof and at least
quarterly thereafter. The Trustees have established guidelines to aid in the
valuation of each security. Generally, restricted securities are initially
valued at cost or less to the Trust. Values greater or less than cost are
thereafter used for restricted securities in appropriate circumstances.
Among the factors ordinarily considered are the existence of restrictions
upon the sale of the security by the Trust; an estimate of the existence and
the extent of a market for the security; the extent of any discount at which
the security was acquired; the estimated period of time during which the
security will not be freely marketable; the estimated expenses of
registering or otherwise qualifying the security for public sale; estimated
underwriting commissions if underwriting would be required to effect a sale;
in the case of a convertible security, whether or not it would trade on the
basis of its stock equivalent; if it is a debt obligation which would trade
independently of any equity equivalent, the current yields on comparable
securities; the estimated amount of the floating supply of such securities
available; the proportion of the issue held by the Trust; changes in the
financial condition and prospects of the issuer; the existence of merger
proposals or tender offers affecting the issuer; and in addition, any other
factors affecting fair value, all in accordance with the Investment Company
Act of 1940. In making valuations, opinions of counsel are relied upon as to
whether or not securities are restricted securities and as to the legal
requirements for public sale.
When market quotations are readily available for unrestricted securities of
an issuer, restricted securities of the same class are generally valued at a
discount from the market price of such unrestricted securities. The Board,
however, considers all factors in fixing any discount, including the filing
of a registration statement for such securities under the Securities Act of
1933 and any other developments which are likely to increase the probability
that the securities may be publicly sold by the Trust without restriction.
The Board of Trustees of the Trust meets at least once in each quarter to
value the Trust's portfolio securities as of the close of business on the
last business day of the preceding quarter. This valuation requires the
approval of a majority of the Trustees of the Trust, including a majority of
the Trustees who are not interested persons of the Trust (otherwise than as
Trustees) or of Massachusetts Mutual Life Insurance Company ("MassMutual"),
the Trust's investment adviser and administrator. In making valuations, the
Trustees will consider reports by MassMutual analyzing each portfolio
security in accordance with the relevant factors referred to above.
MassMutual has agreed to provide such reports to the Trust at least
quarterly.
The financial statements include restricted securities valued at $81,145,818
(83.53% of net assets) as of December 31, 1996 ($69,576,592 at December 31,
1995) whose values have been estimated by the Board of Trustees in the
absence of readily ascertainable market values. Due to the inherent
uncertainty of valuation, those estimated values may differ significantly
from the values that would have been used had a ready market for the
securities existed, and the differences could be material.
The values for corporate public securities are stated at the last reported
sales price or at prices based upon quotations obtained from brokers and
dealers as of December 31, 1996, subject to discount where appropriate, and
are approved by the Trustees.
Short-term securities with more than sixty days to maturity are valued at
market and short-term securities having a maturity of sixty days or less are
valued at amortized cost which approximates market value.
- --------------------------------------------------------------------------------
24
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
B. Accounting for Investments:
Investment transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis.
The cost basis of debt securities is not adjusted for amortization of
premium or accrual of discount since the Trust does not generally intend to
hold such investments until maturity; however, the Trust has elected to
accrue for financial reporting purposes, certain discounts which are
required to be accrued for federal income tax purposes.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
The Trust does not accrue income when payment is delinquent or when
management believes payment is questionable.
C. Use of Estimates:
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the
reporting period. Actual results could differ from those estimates.
D. Federal Income Taxes:
No provision for federal taxes on net investment income and short-term
capital gains is considered necessary because the Trust has elected to be
taxed as a "regulated investment company" under the Internal Revenue Code,
and intends to maintain this qualification and to distribute substantially
all of its net taxable income to its shareholders. In any year when net
long-term capital gains are realized by the Trust, management, after
evaluating the prevailing economic conditions, will recommend to the
Trustees either to designate the net realized long-term gains as
undistributed and to pay the federal capital gains taxes thereon or to
distribute such net gains.
3. Investment Advisory and Administrative Services Fee
Under an investment advisory and administrative services contract with the
Trust, MassMutual has agreed to use its best efforts to present to the Trust
a continuing and suitable investment program consistent with the investment
objective and policies of the Trust. MassMutual has further agreed that it
will request each issuer of securities which MassMutual is prepared to
purchase in a private placement, and which would be consistent with the
investment policies of the Trust, to offer such securities also to the Trust
and that it will use its best efforts to insure that such request is acceded
to. MassMutual has agreed that, subject to such orders of the Securities and
Exchange Commission as may apply, it will invest concurrently with the Trust
in any such investment. MassMutual will also represent the Trust in any
negotiations with issuers, investment banking firms, securities brokers or
dealers and other institutions or investors relating to the Trust's
investments. Under the contract, MassMutual is obligated to provide
administration of the day-to-day operations of the Trust and will provide
the Trust with office space and office equipment, safekeeping facilities,
accounting and bookkeeping services, and necessary executive, clerical and
secretarial personnel for the performance of the foregoing services.
For its services under the investment advisory and administrative services
contract, MassMutual is paid a quarterly advisory and administrative
services fee equal to .225% of the value of the Trust's net assets as of the
last business day of each fiscal quarter, an amount approximately equivalent
to .90% on an annual basis, provided that a majority of the Trustees,
including a majority of the Trustees who are not interested persons of the
Trust or of MassMutual, approve the valuation of the Trust's net assets as
of such day.
4. Note Payable
On July 15, 1995, the Trust sold to MassMutual at par a $12,000,000 Senior
Fixed Rate Convertible Note due July 15, 2002 (the "Note") which accrues at
6.93% per annum. The Note holder, at its option, can convert the principal
amount of the Note into common shares. The dollar amount of principal would
be converted into an equivalent dollar amount of common shares based upon
the average price of the common shares for ten business days prior to the
notice of conversion.
- --------------------------------------------------------------------------------
25
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
5. Purchases and Sales of Investments
<TABLE>
<CAPTION>
For the For the
year ended year ended
12/31/96 12/31/95
--------------- ---------------
Cost of Investments Acquired
----------------------------
<S> <C> <C>
Corporate restricted securities $ 37,805,712 $ 29,171,853
Corporate public securities 31,761,606 22,817,004
Short-term securities 341,235,659 252,201,855
Proceeds from Sales or Maturities
---------------------------------
Corporate restricted securities $ 31,185,321 $ 21,864,023
Corporate public securities 35,043,644 29,025,083
Short-term securities 348,655,861 241,630,659
</TABLE>
The aggregate cost of investments is the same for financial reporting and
federal income tax purposes as of December 31, 1996. The net unrealized
appreciation of investments for financial reporting and federal tax purposes
as of December 31, 1996 is $6,696,683 and consists of $11,454,327
appreciation and $4,757,644 depreciation.
The aggregate cost of investments was the same for financial reporting and
federal income tax purposes as of December 31, 1995. The net unrealized
appreciation of investments for financial reporting and federal tax purposes
as of December 31, 1995 was $9,580,951 and consisted of $12,085,333
appreciation and $2,504,382 depreciation.
6. Quarterly Results of Investment Operations (Unaudited)
<TABLE>
<CAPTION>
Per Per
Amount Share Amount Share
------------- ------------- ------------- -------------
March 31, 1996 March 31, 1995
---------------------------- ----------------------------
<S> <C> <C> <C> <C>
Investment income $ 2,202,678 $ 1,961,463
Net investment income 1,734,964 $ .19 1,703,989 $ .18
Net realized and unrealized gain (loss) on investments (1,372,604) (.15) 1,976,583 .21
June 30, 1996 June 30, 1995
---------------------------- ----------------------------
Investment income 2,197,345 1,975,401
Net investment income 1,717,737 .19 1,685,907 .18
Net realized and unrealized gain on investments 3,482,897 .38 6,625,469 .72
September 30, 1996 September 30, 1995
---------------------------- ----------------------------
Investment income 2,337,018 2,128,621
Net investment income 1,850,896 .20 1,685,319 .18
Net realized and unrealized gain on investments 2,437,629 .27 1,758,056 .19
December 31, 1996 December 31, 1995
---------------------------- ----------------------------
Investment income 2,195,011 2,196,938
Net investment income 1,716,249 .19 1,666,471 .18
Net realized and unrealized gain (loss) on investments (667,720) (.07) 3,481,928 .38
</TABLE>
- --------------------------------------------------------------------------------
26
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of MassMutual Participation Investors
We have audited the accompanying statement of assets and liabilities of
MassMutual Participation Investors as of December 31, 1996 and 1995, including
the schedule of investments, as of December 31, 1996, and the related statements
of operations, cash flows and changes in net assets for each of the years then
ended, and the financial highlights for each of the eight years in the period
ended December 31, 1996 and for the period October 6, 1988 (inception) to
December 31, 1988. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996 by correspondence with the custodian and broker. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
MassMutual Participation Investors as of December 31, 1996 and 1995, the results
of its operations, its cash flows and the changes in its net assets for each of
the eight years in the period ended December 31, 1996 and for the period October
6, 1988 (inception) to December 31, 1988, in conformity with generally accepted
accounting principles.
/s/ Coopers & Lybrand L.L.P.
Springfield, Massachusetts
January 31, 1997
- --------------------------------------------------------------------------------
27
|
|