<PAGE>
TO OUR SHAREHOLDERS
JULY 30, 1999
We are pleased to present MassMutual Participation Investors' report for the
second quarter of 1999, and to announce the quarterly dividend of 24 cents per
share that is payable on August 13, 1999 to shareholders of record on July 30,
1999. A quarterly dividend of 24 cents per share was paid a quarter ago.
The Trust had a good quarter with net assets increasing to $106,490,298 or
$11.41 per share at June 30, 1999 from $105,730,008 or $11.35 per share on March
31, 1999. As the table below indicates, in terms of income and gain, the Trust
is performing well.
<TABLE>
<CAPTION>
Quarter Per Quarter Per YTD Ended Per YTD Ended Per
Ended 6/30/99 Share Ended 6/30/98 Share 6/30/99 Share 6/30/98 Share
------------- ----- ------------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value 106,490,298 11.41 113,074,784 12.21 106,490,298 11.41 113,074,784 12.21
Realized Gains 1,375,638 0.15 1,071,673 0.12 6,273,677 0.67 3,603,354 0.39
Net Income 2,302,183 0.25 2,186,277 0.24 4,596,542 0.49 4,448,200 0.48
</TABLE>
The Trust's total return for the quarter was 2.64%. By comparison, the table
below shows the returns for the Russell 2000 and Merrill Lynch High Yield
indexes, indexes with similar investments to the Trust, and the S&P 500 and
Lehman Government/Corporate indexes, which are good proxies for the stock and
bond markets respectively.
Total Return for Total Return for
the quarter the YTD
ended 6/30/99 ended 6/30/99
---------------- ----------------
MassMutual Participation Investors * 2.64% 2.82%
Lehman Government/Corporate Bond Index -1.09% -2.27%
Merrill Lynch High Yield Index 0.67% 1.76%
S&P 500 Index 7.05% 12.38%
Russell 2000 Index 15.55% 9.28%
* Based on the change in net asset value with reinvestment of
dividends.
New private placement investments were made during the quarter in Alpha Shirt
Company, Magnetic Data Technologies, Inc., NPC, Inc. and Safety Speed Cut
Manufacturing Company, Inc. The fixed income component of these investments
carried a weighted average coupon of approximately 12%. (A brief description of
these investments is provided in the Schedule of Investments).
Of the gains taken in the quarter, $1.3 million were from the sale of public
securities. Of the $0.67 per share of realized gains, $.26 per share represents
net short-term gains which, if not offset, must be distributed to shareholders
each year.
During the quarter, the Trustees elected Stuart H. Reese as Trustee and Chairman
of the Board, replacing Richard G. Dooley, who was elected Vice Chairman. Mr.
Reese was the former President of the Trust. Additionally, I was elected
President of the Trust. Previously, I was Senior Vice President.
As of June 30, 1999, MassMutual's critical computer technology hardware and
software, including applications supporting the Trust, continued to be "Year
2000 Compliant" according to MassMutual Y2K certification standards. MassMutual
continues to seek assurances from vendors, customers, service providers,
governments and others, to determine their Year 2000 readiness. MassMutual will
consider the responses to these inquiries in the development of any contingency
plans needed for Year 2000.
Thank you for your continued interest in and support of Participation Investors.
Sincerely,
/s/ Robert E. Joyal
Robert E. Joyal
President
<PAGE>
CONSOLIDATED STATEMENT OF MASSMUTUAL PARTICIPATION INVESTORS
ASSETS AND LIABILITIES
June 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
Assets:
<S> <C> <C>
Investments (Notes 2A, 2B and 5)
(See Schedule of Investments)
Corporate restricted securities at fair value
(Cost 1999 - $98,861,873; 1998 - $93,117,763) $ 93,031,426 $ 98,303,910
Corporate public securities at market value
(Cost 1999 - $34,323,598; 1998 - $30,296,545) 32,786,567 32,785,630
Short-term securities at cost plus earned discount which
approximates market value 1,174,906 3,097,763
------------ ------------
126,992,899 134,187,303
Cash 103,074 249,187
Interest and dividends receivable, net 2,707,007 2,367,715
Receivable for investments sold 135,142 429,202
Other assets 8,085 8,085
------------- -------------
Total assets $ 129,946,207 $ 137,241,492
============= =============
Liabilities:
Payable for investments purchased $ 371,197 $ 1,058,606
Management fee payable (Note 3) 240,143 254,418
Note payable (Note 4A) 12,000,000 12,000,000
Revolving Credit Agreement (Note 4B) 10,500,000 10,500,000
Interest payable (Note 4) 217,738 251,348
Accounts payable 33,519 --
Accrued expenses 93,312 102,336
------------ ------------
Total liabilities 23,455,909 24,166,708
------------ ------------
Net Assets:
Shares of beneficial interest, par value $.01 per share;
an unlimited number authorized 93,328 92,572
Additional paid-in capital 86,248,491 85,371,053
Retained net realized gain on investments, prior years 18,524,626 13,703,839
Undistributed net investment income (Note 2D) 2,717,654 2,632,773
Undistributed net realized gain on investments (Note 2D) 6,273,677 3,599,315
Net unrealized appreciation of investments (Notes 2A, 2B and 5) (7,367,478) 7,675,232
------------ ------------
Total net assets 106,490,298 113,074,784
------------ ------------
Total liabilities and net assets $129,946,207 $137,241,492
============ ============
Shares of beneficial interest issued and outstanding 9,332,786 9,257,181
============ ============
Net asset value per share $ 11.41 $ 12.21
============ ============
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
CONSOLIDATED STATEMENT OF OPERATIONS MASSMUTUAL PARTICIPATION INVESTORS
For the six months ended June 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
1999 1998
----------- -----------
<S> <C> <C>
Investment Income (Note 2B):
Interest $ 5,798,650 $ 5,615,099
Dividends 129,513 188,956
----------- -----------
Total income 5,928,163 5,804,055
----------- -----------
Expenses:
Management fee (Note 3) 478,650 504,471
Trustees' fees and expenses 48,542 41,595
Transfer Agent/Registrar's expenses 24,000 28,755
Custodian's fees 6,000 3,000
Interest (Note 4) 711,543 738,951
Reports to shareholders 6,000 6,000
Audit and legal 20,640 20,640
Other 36,246 12,443
----------- -----------
Total expenses 1,331,621 1,355,855
----------- -----------
Net investment income (1999 - $.49 per share; 1998 - $.48 per share) 4,596,542 4,448,200
----------- -----------
Net realized and unrealized gain (loss) on investments (Notes 2A and 2B):
Net realized gain on investments 6,273,677 3,603,354
Net change in unrealized appreciation/depreciation of investments (7,853,494) 610,138
----------- -----------
Net gain (loss) on investments (1,579,817) 4,213,492
----------- -----------
Net increase in net assets resulting from operations $ 3,016,725 $ 8,661,692
=========== ===========
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED STATEMENT OF CASH FLOWS
For the six months ended June 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
1999 1998
------------ ------------
<S> <C> <C>
Net increase (decrease) in cash: Cash flows from operating activities:
Interest and dividends received $ 5,395,247 $ 5,614,553
Interest expense paid (715,854) (710,424)
Operating expenses paid (1,286,694) (710,353)
Federal income tax paid (2,599,749) (4,458,639)
------------ ------------
Net cash provided by (used for) operating activities 792,950 (264,863)
------------ ------------
Cash flows from investing activities:
Change in short-term portfolio securities, net 4,756,334 (1,647,184)
Purchase of portfolio securities (38,358,382) (31,523,938)
Proceeds from disposition of portfolio securities 36,509,082 38,959,323
------------ ------------
Net cash provided by investing activities 2,907,034 5,788,201
------------ ------------
Net cash provided by operating and investing activities 3,699,984 5,523,338
------------ ------------
Cash flows from financing activities:
Increase in receipts for shares issued on reinvestment of dividends 509,557 475,637
Cash dividends paid from net investment income (4,521,008) (4,067,914)
Cash dividends paid from net realized gain on investments (1,616,070) (1,744,715)
------------ ------------
Net cash used for financing activities (5,627,521) (5,336,992)
------------ ------------
Net increase (decrease) in cash (1,927,537) 186,346
Cash - beginning of year 2,030,611 62,841
------------ ------------
Cash - end of period $ 103,074 $ 249,187
------------ ------------
Reconciliation of net increase (decrease) in net assets to net cash from
operating and investing activities:
Net increase in net assets resulting from operations $ 3,016,725 $ 8,661,692
------------ ------------
Decrease in investments 3,737,935 756,917
(Increase) decrease in interest and dividends receivable, net (275,452) 22,639
(Increase) decrease in receivable for investments sold 129,882 (344,870)
Increase in other assets (8,085) (8,085)
Decrease in payable for investments purchased 371,197 958,606
Increase in management fee payable 2,961 15,568
Increase in interest payable 21,794 28,527
Decrease in accounts payable (643,304) --
Decrease in accrued expenses (53,920) (109,017)
Decrease in accrued taxes (2,599,749) (4,458,639)
------------ ------------
Total adjustments to net assets from operations 683,259 (3,138,354)
------------ ------------
Net cash provided by operating and investing activities $ 3,699,984 $ 5,523,338
------------ ------------
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
CONSOLIDATED STATEMENT OF MASSMUTUAL PARTICIPATION INVESTORS
CHANGES IN NET ASSETS
For the six months ended June 30, 1999 and 1998
(Unaudited)
<TABLE>
<CAPTION>
1999 1998
------------- --------------
Increase (decrease) in net assets:
<S> <C> <C>
Operations:
Net investment income $ 4,596,542 $ 4,448,200
Net realized gain on investments 6,273,677 3,603,354
Net change in unrealized appreciation/depreciation of investments (7,853,494) 610,138
------------- ---------------
Net increase in net assets resulting from operations 3,016,725 8,661,692
Net increase in shares of beneficial interest transactions 509,557 475,637
Dividends to shareholders from:
Net investment income (1999 - $.24 per share; 1998 - $.24 per share) (2,235,982) (2,218,130)
------------- --------------
Total increase 1,290,300 6,919,199
Net Assets, beginning of year 105,199,998 106,155,585
------------- --------------
Net Assets, end of period (including undistributed net investment
income in 1999 - $2,717,751; 1998 - $2,632,773) $ 106,490,298 $ 113,074,784
============= ==============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
CONSOLIDATED SELECTED PER SHARE DATA MASSMUTUAL PARTICIPATION INVESTORS
Selected data for each share of beneficial interest outstanding for the periods
ended:
<TABLE>
<CAPTION>
For the
six months For the
ended 6/30/99 year ended
(Unaudited) 12/31/98
---------- ----------
<S> <C> <C>
Net asset value:
Beginning of year $ 11.33 $ 11.52
---------- ----------
Net investment income .49 .97
Net realized and unrealized loss on investments (.17) (02)
---------- ----------
Total from investment operations .32 .95
---------- ----------
Dividends from net investment income to common shareholders (.24) (.96)
Distributions from net realized gain on investments to common shareholders -- (.18)
Total distributions (.24) (1.14)
Net asset value:
End of period $ 11.41 $ 11.33
---------- ----------
Per share market value:
End of period $ 11.56 $ 12.00
---------- ----------
Total investment return:
Market value (1.69)%* 15.82%
Net asset value 2.82%* 10.91%
Net assets (in millions):
End of period $ 106.50 $ 105.20
Ratio of operating expenses to average net assets .58%* 1.16%
Ratio of interest expenses to average net assets .67%* 1.35%
Ratio of expenses to average net assets 1.25%* 2.51%
Ratio of net investment income to average net assets 4.33%* 8.16%
Portfolio turnover 29.35%* 54.53%
</TABLE>
*Percentages represent results for the period and are not annualized.
See Notes to Financial Statements.
6
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities - 87.36%: (A) Amount Date Date (Note 2B) (Note 2A)
-------------- -------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C>
Private Placement Investments - 79.40%
A T I Acquisition Corporation
A manufacturer of disposable nonwoven protection
products.
Senior Floating Rate Revolving Credit
Note due 2003 $ 281,817 12/16/98 $ 281,817 $ 281,817 $ 281,817
10% Senior Secured Note due 2006 $ 1,181,817 12/16/98 1,181,817 1,181,817 1,141,162
12% Subordinated Note due 2008 $ 909,090 12/16/98 911,635 854,545 866,181
Common Stock (B) 181,818 shs. 12/16/98 181,818 181,818 145,454
Warrant, exercisable until 2008, to
purchase common stock at $1 per share (B) 129,870 shs. 12/16/98 54,544 54,545 1,299
----------- ---------- ------------
2,611,631 2,554,542 2,435,913
----------- ---------- ------------
AccTech, LLC
A designer and marketer of specialized cleaning
products.
Senior Floating Rate Revolving Credit
Note due 2002 (B) $ 406,260 10/31/96 406,260 406,260 20,313
Senior Secured Series A Floating Rate
Note due 2002 (B) $ 346,722 10/31/96 341,525 346,722 17,336
10.1% Senior Secured Series A Note
due 2002 (B) $ 520,536 10/31/96 507,210 520,536 26,027
12% Senior Secured Series B Note
due 2004 (B) $ 549,000 10/31/96 577,603 494,100 27,450
Membership Interests (B) 2 int. 10/31/96 131,756 73,511 --
Warrant, exercisable until 2004, to purchase
membership interests at $.01 per interest (B) 1 int. 10/31/96 -- 54,900 --
----------- ---------- ------------
1,964,354 1,896,029 91,126
----------- ---------- ------------
Adventure Entertainment Corporation
An owner and operator of themed family
entertainment centers.
7% Redeemable Series B Preferred Stock 935 shs. 10/31/97 91,159 922,852 852,161
Warrant, exercisable until 2005, to purchase
Class A common stock at $.01 per share (B) 3,222 shs. 10/31/97 32 12,495 32
----------- ---------- ------------
91,191 935,347 852,193
----------- ---------- ------------
Alpha Shirt Company
A domestic distributor of imprintable
apparel and other related items.
12% Senior Subordinated Note due 2007 $ 1,684,300 4/30/99 1,674,194 1,434,537 1,641,351
Common Stock (B) 561 shs. 4/30/99 505,035 561,150 505,035
Warrants, exercisable until 2007, to purchase
common stock at $.01 per share (B) 305 shs. 4/30/99 3 252,645 3
----------- ---------- ------------
2,179,232 2,248,332 2,146,389
----------- ---------- ------------
</TABLE>
7
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
------------- ----------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
America's Body Co./LCP Holding Co.
A designer and manufacturer of commercial work
vehicles.
12% Senior Subordinated Note due 2007 $ 1,750,000 11/2/98 $1,493,333 $1,503,166 $1,677,025
Warrant, exercisable until 2007, to purchase
common stock at $.01 per share (B) 29 shs. 11/2/98 256,667 256,667 --
---------- ---------- ----------
1,750,000 1,759,833 1,677,025
---------- ---------- ----------
Applied Process Solutions, Inc.
An engineer and manufacturer of process systems
for the oil and gas industry.
Common Stock (B) 148 shs. 10/26/95 -- -- 24,009
Limited Partnership Interests of
Maloney Industries, Inc. (B) 284 uts. 10/20/95 253,125 334,343 42,954
Limited Partnership Interests of APS
Growth LLC (B) 400,000 uts. 9/28/98 341,292 400,000 320,000
---------- ---------- ----------
594,417 734,343 386,963
---------- ---------- ----------
Ardent Software, Inc. - O.T.C.
A manufacturer and distributor of database
management software.
Common Stock (B) 21,449 shs. 12/14/95 64,347 192,223 410,212
---------- ---------- ----------
Associated Vintage Group, Inc.
A provider of custom wine production services in
the United States.
11% Senior Subordinated Note due 2005 $ 1,667,500 3/19/97 1,637,318 1,602,536 1,000,500
Common Stock (B) 15,675 shs. 3/19/97 61,875 82,500 41,250
Warrant, exercisable until 2005, to purchase
common stock at $.01 per share (B) 47,044 shs. 3/19/97 47,044 86,673 470
---------- ---------- ----------
1,746,237 1,771,709 1,042,220
---------- ---------- ----------
Automatic Data Processing
A vertical application software company.
Common Stock (B) 5,817 5/12/98 250,000 250,000 243,399
---------- ---------- ----------
Averstar, Inc.
A provider of software systems, services and
products to a variety of information technology
users.
13% Senior Subordinated Note due 2002 $ 399,659 8/31/95 406,800 369,365 408,491
Class A Common Stock (B) 6,726 shs. 8/31/95 6,895 9,192 16,950
Class B Common Stock (B) 18,600 shs. 8/31/95 19,087 25,418 46,872
Class G Common Stock (B) 48,423 shs. 8/31/95 1,059 52,000 122,026
Class A Common Stock of I E S Holdings (B) 1,471 shs. 2/27/98 -- -- --
Class B Common Stock of I E S Holdings (B) 4,067 shs. 2/27/98 -- -- --
Warrants, exercisable until 2002, to purchase
common stock of I E S Holdings at $.01 per
share (B) 10,588 shs. 2/27/98 -- -- --
---------- ---------- ----------
433,841 455,975 594,339
---------- ---------- ----------
</TABLE>
8
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities - 87.36%: (A) Amount Date Date (Note 2B) (Note 2A)
------------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Berkshire Medical Center, Inc.
A non-profit, regional acute care hospital.
10.5% Senior Note due 1999 $ 226,364 5/15/89 $ 226,364 $ 226,364 $ 227,495
---------- ---------- ----------
Beta Brands, Inc. - T.S.E.
A manufacturer of hard candy and chocolate-coated
products sold primarily to the Canadian market.
Senior Secured Revolving Credit note due 2005 $ 285,533 12/23/97 285,533 285,533 285,533
Senior Secured Tranche A Floating Rate Note
due 2004 $ 1,147,000 12/23/97 1,136,906 1,147,000 1,147,000
14.75% Senior Secured Tranche B Note
due 2005 $ 334,802 12/23/97 348,194 334,802 326,432
Senior Secured Tranche C Floating Rate Note $ 563,000 1/13/99 563,000 563,000 563,000
due 2004
Limited Partnership Interests of CM Equity $405,584 int. 12/23/97 324,467 398,325 318,667
Partners (B)
Warrant, exercisable until 2005, to purchase
common stock at $.81 per share (B) 107,267 shs. 12/23/97 1,073 -- 1,073
---------- ---------- ----------
2,659,173 2,728,660 2,641,705
---------- ---------- ----------
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 $ 325,850 8/29/96 325,850 325,850 162,925
Senior Secured Series A Floating Rate
Term Note due 2002 $ 1,118,796 8/29/96 1,106,825 1,118,796 559,398
12% Series B Term Note due 2004 $ 266,000 8/29/96 261,877 255,979 133,000
Membership Interests (B) 133 int. 8/29/96 106,400 67,245 6,434
Warrant, exercisable until 2004, to purchase
membership interests at $.01 per interest (B) 8 int. 8/29/96 -- 13,300 --
---------- ---------- ----------
1,800,952 1,781,170 861,757
---------- ---------- ----------
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 2005 $ 108,108 9/29/95 108,108 108,108 106,854
10% Senior Secured Term Note due 2004 $ 648,648 9/29/95 648,648 648,648 639,891
11.5% Senior Subordinated Note due 2004 $ 472,975 9/29/95 447,855 456,530 464,982
8% Junior Subordinated Convertible Note
due 2004, convertible into partnership
points at $1,388.89 per point $ 54,054 9/29/95 54,054 54,054 83,232
Warrant, exercisable until 2006, to purchase
partnership points at $.01 per point (B) 19 pts. 9/29/95 25,130 25,130 31,428
---------- ---------- ----------
1,283,795 1,292,470 1,326,387
---------- ---------- ----------
</TABLE>
9
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- -------------- --------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
Capitol Specialty Plastics, Inc.
A producer of dessicant stripes used for packaging
pharmaceutical products.
Common Stock (B) 55 shs. * $ 219 $ 252 $ 201
--------------- ---------------- ----------------
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 common stock at $7.31 per share $ 375,000 3/31/94 355,012 375,000 353,662
--------------- ---------------- ----------------
CDnow, Inc. - O.T.C.
A music entertainment company which uses the
internet as a global platform for the promoting and
merchandising of music and related merchandise.
Warrant, exercisable until 2004, to purchase
common stock at $14.46 per share (B) 13,889 shs. 8/6/97 139 -- 39,563
--------------- ---------------- ----------------
Chaparral Resources, Inc. - O.T.C.
An international oil and gas exploration and
production company.
Common Stock (B) 41 shs. 12/3/97 27 1,599 1,458
--------------- ---------------- ----------------
Cirrus Logic, Inc. - O.T.C.
A designer and manufacturer of integrated circuits.
10.14% Secured Leverage Lease Notes
due 2004 $ 586,652 11/1/96 569,345 586,652 557,142
10.22% Secured Leverage Lease Notes
due 2002 $ 511,294 11/1/96 499,943 511,294 493,245
--------------- ---------------- ----------------
1,069,288 1,097,946 1,050,387
--------------- ---------------- ----------------
Consumer Product Enterprises, Inc.
A manufacturer of colored acrylic felt for
consumer use.
Senior Secured Floating Rate
Revolving Credit Notes due 2000 $ 207,630 12/8/95 $ 207,630 $ 207,630 $ 205,616
10.75% Senior Secured Term Note due 2003 $ 507,031 12/8/95 512,278 507,031 496,535
12% Senior Subordinated Note due 2005 $ 400,287 12/8/95 401,929 383,079 375,269
Common Stock (B) 92,280 shs. 12/8/95 69,210 92,280 69,210
Warrant, exercisable until 2005, to purchase
common stock at $.01 per share (B) 69,210 shs. 12/8/95 692 25,426 692
--------------- ---------------- ----------------
1,191,739 1,215,446 1,147,322
--------------- ---------------- ----------------
</TABLE>
* 12/30/97 and 5/29/99.
10
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- ------------ -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Contico International, Inc.
A developer, manufacturer and marketer of consumer,
Commercial and industrial plastic products.
12% Senior Subordinated Note due 2003 $ 400,000 3/23/93 $ 418,240 $ 400,000 $ 420,440
-------------- -------------- --------------
Corvest Group, Inc.
A manufacturer and distributor of promotional
products.
12% Senior Subordinated Note due 2007 $ 2,045,455 * 1,978,773 1,890,360 1,943,387
Common Stock (B) 30 shs. * 46,024 51,136 46,024
Limited Partnership Interest 153,409 int. * 115,057 153,409 115,057
Warrant, exercisable until 2007, to purchase
common stock at $.01 per share (B) 97 shs. * 1 157,343 1
-------------- -------------- --------------
2,139,855 2,252,248 2,104,469
-------------- -------------- --------------
Discount Auto Parts
A retailer of auto parts.
9.8% Senior Secured Note due 2003 $ 600,000 11/2/89 579,660 600,000 621,180
-------------- -------------- --------------
Diversco, Inc./DHI Holdings, Inc.
A contract provider of janitorial and equipment
maintenance services and temporary production labor
to industrial customers.
12% Senior Subordinated Note due 2006 $ 1,407,000 8/28/98 1,399,543 1,279,091 1,361,695
Membership Interests of MM/Lincap
Diversco Investments Ltd., LLC (B) 3,665 int. 8/27/98 293,196 366,495 293,196
Warrant, exercisable until 2003 & 2006, to
purchase common stock of DHI Holdings, Inc.
at $.01 per share (B) 1,814 shs. ** 18 201,655 18
-------------- -------------- --------------
1,692,757 1,847,241 1,654,909
-------------- -------------- --------------
Eagle Pacific Industries, Inc. - O.T.C.
An extruder of small and medium diameter plastic pipe
and tubing in the United States.
8% Redeemable Convertible Preferred Stock,
convertible into common stock at $4.26 per share 1,700 shs. 5/9/97 1,692,860 1,700,000 1,679,430
-------------- -------------- --------------
</TABLE>
* 3/5/99 and 3/24/99.
** 10/24/96 and 8/28/98.
11
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Evans Consoles, Inc.
A designer and manufacturer of consoles and
control systems.
Senior Secured Tranche A Floating
Rate Note due 2005 $ 640,000 3/2/98 $ 635,136 $ 640,000 $ 636,096
8.85% Senior Secured Tranche A
Note due 2005 $ 640,000 3/2/98 596,096 640,000 591,680
11.75% Senior Secured Tranche B
Note due 2006 $ 350,000 3/2/98 371,875 299,543 358,505
Common Stock (B) 13,524 shs. 2/11/98 38,000 47,691 38,153
Limited Partnership Interests of CM
Equity Partners (B) 635 int. 2/11/98 50,820 63,525 50,820
Warrant, exercisable until 2006, to purchase
common stock at $.01 per share (B) 17,391 shs. 3/2/98 174 56,000 174
-------------- -------------- --------------
1,692,101 1,746,759 1,675,428
-------------- -------------- --------------
Examination Management Services, Inc.
A national full-service evidence provider to the
insurance industry and a provider of occupational
health testing.
12% Senior Subordinated Note due 2007 $ 1,116,867 3/16/99 1,073,421 1,025,930 1,046,058
Limited Partnership Interest (B) 1,133,133 int. 3/2/99 1,019,820 1,133,133 1,019,820
Warrants, exercisable until 2007, to purchase
common stock at $.01 per share (B) 40,888 shs. 3/16/99 40,888 93,072 40,888
-------------- -------------- --------------
2,134,129 2,252,135 2,106,766
-------------- -------------- --------------
Fleming Acquisition Corporation
A supplier of high-quality, premium printed labels for
distilled spirits, wine, food and household products.
Common Stock (B) 270 shs. 4/28/95 609,908 135,000 12,887
Warrant, exercisable until 2005, to purchase
common stock at $.01 per share (B) 190 shs. 4/28/95 49,116 85,226 9,061
Incentive Warrant, exercisable until 2000,
to purchase common stock at $.01
per share (B) 10 shs. 4/28/95 1,671 1,136 458
-------------- -------------- --------------
660,695 221,362 22,406
-------------- -------------- --------------
</TABLE>
12
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- -------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Golden Bear Oil Specialties
A manufacturer of asphalt and specialty lubricating
and processing oils.
17% Senior Subordinated Note due 2005 $ 1,651,240 7/18/97 $1,667,092 $ 1,621,153 $ 1,674,027
12% Series A Convertible Preferred Stock 63 shs. 6/19/98 62,940 62,942 61,712
12% Preferred Stock 174 shs. 7/18/97 17,657 155,556 99,255
Common Stock (B) 10,400 shs. 7/18/97 43,369 38,920 104
Warrant, exercisable until 2005, to
purchase common stock at $.001 per share (B) 11,670 shs. 7/18/97 117 35,010 117
Warrant, exercisable until 2010, to
purchase common stock at $.001 per share (B) 8,556 shs. 7/18/97 86 -- 86
-------------- --------------- ---------------
1,791,261 1,913,581 1,835,301
-------------- --------------- ---------------
Grand Lyon Enterprises LLC
A manufacturer and marketer of Grand Lyon
Bordeaux Ketchup.
Limited Liability Interests (B) 110,174 int. 5/15/98 110,174 110,174 --
-------------- --------------- ---------------
Hamilton Funeral Service Centers, Inc.
The largest privately held owner and operator of
funeral homes in the United States.
15% Senior Subordinated Note due 2007 $ 946,094 1/25/99 909,101 930,466 881,759
Warrant, exercisable until 2007, to
purchase common stock at $1 per share (B) 109,123 shs. 1/25/99 1,091 15,628 1,091
-------------- --------------- ---------------
910,192 946,094 882,850
-------------- --------------- ---------------
Hartzell Manufacturing, Inc./CMS Holding
Company
A provider of contract engineering, manufacturing,
and assembly services for a variety of industrial
manufacturing companies.
12.5% Senior Subordinated note due 2007 $ 1,313,100 * 1,329,514 1,180,865 1,284,606
Common Stock (B) 31,769 shs. * 269,075 398,889 299,167
Warrant, exercisable until 2007, to purchase
common stock at $.01 per share (B) 15,010 shs. * 1,501 157,572 1,501
-------------- --------------- ---------------
1,600,090 1,737,326 1,585,274
-------------- --------------- ---------------
Hudson River Capital, LLC
An acquirer of controlling or substantial interests
in manufacturing and marketing entities.
Series A Preferred Units (B) 22,183 uts. 7/21/94 196,827 143,122 210,735
-------------- --------------- ---------------
Hunton & Williams
A major law firm in Richmond, Virginia.
9.84% Senior Secured Note due 2000 $ 44,125 12/21/90 43,387 44,125 44,778
-------------- --------------- ---------------
</TABLE>
*4/18/97 and 10/7/98.
13
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- -------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Hussey Seating Company
A manufacturer of spectator seating products.
Senior Secured Floating Rate
Revolving Note due 2003 $ 787,500 6/12/96 $ 779,782 $ 787,500 $ 787,500
Senior Secured Floating Rate Note due 2003 $ 300,000 6/12/96 297,030 300,000 300,000
10% Senior Secured Note due 2003 $ 281,250 6/12/96 273,825 281,250 281,250
12% Subordinated Secured Note due 2006 $ 675,000 6/12/96 663,660 587,045 704,092
Warrant, exercisable until 2006, to purchase
common stock at $.01 per share (B) 1,776 shs. 6/12/96 18 112,500 155,828
---------------- --------------- --------------
2,014,315 2,068,295 2,228,670
---------------- --------------- --------------
Jackson Products, Inc.
A manufacturer and distributor of a variety of
industrial and highway safety products.
Common Stock (B) 217 shs. 8/16/95 21,702 21,702 89,065
Warrant, exercisable until 2005, to purchase
common stock at $.01 per share (B) 999 shs. 8/16/95 99,838 99,866 410,060
---------------- --------------- --------------
121,540 121,568 499,125
---------------- --------------- --------------
Kappler Safety Group, Inc.
A manufacturer of protective apparel for the
industrial/safety, clean room and healthcare
markets.
13% Senior Subordinated Note due 2004 $ 1,667,000 12/2/96 1,692,505 1,555,820 1,602,654
Warrant, exercisable until 2004, to
purchase common stock at $.01 per
share (B) 28,717 shs. 12/2/96 28,717 166,700 287
---------------- --------------- --------------
1,721,222 1,722,520 1,602,941
---------------- --------------- --------------
Latin Communications Group
An operator of Spanish-language media in North
America.
5% Subordinated Note due 2005 (B) $ 23,297 2/4/98 16,308 17,308 16,709
Common Stock (B) 49,295 shs. * 350,569 413,242 462,137
---------------- --------------- --------------
366,877 430,550 478,846
---------------- --------------- --------------
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 2006 $ 2,036,000 ** 1,771,320 1,726,597 1,926,260
Common Stock (B) 30,571 shs. ** 213,997 213,998 171,198
Warrant, exercisable until 2006, to purchase
common stock at $.11 per share (B) 57,402 shs. ** 286,597 318,838 574
---------------- --------------- --------------
2,271,914 2,259,433 2,098,032
---------------- --------------- --------------
</TABLE>
*2/14/95, 12/1/95, 2/27/96 and 2/4/98.
**12/23/96 and 1/28/99.
14
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Louis Dreyfus Natural Gas Corporation - A.S.E.
An independent oil and gas company engaged
principally in the acquisition, development and
management of oil and gas properties.
Warrant, exercisable until 2004, to purchase
common stock at $17.81 per share (B) 51,671 shs. 12/27/91 $ 24,857 $ 19,356 $ 274,688
-------------- -------------- --------------
Magnetic Data Technologies, Inc./MDT Holdings
LLC
A provider of post-sales services to electronic
component manufacturers.
12% Senior Subordinated Note due 2007 $ 1,600,000 4/9/99 1,561,760 1,247,501 1,516,480
Limited Partnership Interests of MDT Holdings,
LLC (B) 651,000 int. 4/8/99 585,900 651,000 585,900
Warrant, exercisable until 2007, to
purchase common stock at $.01 per share (B) 394,534 shs. 4/9/99 3,945 357,486 3,945
-------------- -------------- --------------
2,151,605 2,255,987 2,106,325
-------------- -------------- --------------
Maxtec International Corp.
A manufacturer and distributor of remote control
operating systems for overhead cranes.
Senior Floating Rate Revolving Credit
Facility due 2001 $ 230,773 6/28/95 230,773 230,773 230,773
Common Stock (B) 38,462 shs. 6/28/95 96,059 115,386 110,771
Warrant, exercisable until 2005, to purchase
common stock at $.01 per share (B) 19,795 shs. 6/28/95 49,325 85,714 56,833
-------------- -------------- --------------
376,157 431,873 398,377
-------------- -------------- --------------
Merit Industries, Inc.
A designer and manufacturer of coin-operated video
and dart games.
12% Senior Subordinated Note due 2006 $ 1,258,146 8/19/98 1,234,619 1,171,624 1,163,785
Limited Partnership Interest (B) 93,620 int. 8/12/98 444,257 459,735 413,753
Warrants, exercisable until 2006, to purchase
limited partnership interests at $.01
per share (B) 927 int. 8/19/98 9 92,706 9
-------------- -------------- --------------
1,678,885 1,724,065 1,577,547
-------------- -------------- --------------
Microfinancial, Inc.
A leasing company specializing in the leasing and
rental of microticket business equipment.
12% Senior Subordinated Note due 2001 $ 600,000 8/16/94 539,832 583,618 607,380
-------------- -------------- --------------
MW Investors I LLC
A structured investment relying on Tenneco, Inc.,
whose business includes natural gas, auto parts
and packaging.
Floating Rate Subordinated Note due 2007 $ 1,685,250 12/29/97 1,685,250 1,685,250 1,687,778
Common Stock 2,590 shs. 12/29/97 28,208 62,280 64,750
-------------- -------------- --------------
1,713,458 1,747,530 1,752,528
-------------- -------------- --------------
</TABLE>
15
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
--------------- -------------- --------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
NPC, Inc.
A manufacturer of flexible connectors and equipment
used in the installation of sewers and storm drain
pipelines.
Senior Secured Floating Rate Note due 2006 $ 1,932,203 6/25/99 $ 1,915,973 $ 1,932,203 $ 1,915,973
12% Senior Secured Tranche B Note due 2007 $ 559,322 6/25/99 534,600 478,038 544,612
Limited Partnership Interests of
Riverside XIII Holding Company L.P. 203,390 int. 6/11/99 162,712 203,390 162,712
Warrant, exercisable until 2007, to purchase
common stock at $.01 per unit (B) 115 shs. 6/25/99 1 81,356 1
--------------- -------------- --------------
2,613,286 2,694,987 2,623,298
--------------- -------------- --------------
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 common stock at
$9 per share $ 705,900 8/31/94 712,959 705,900 705,900
--------------- -------------- --------------
Olympic Boat Centers, Inc.
An operator of boat dealerships in Washington state
and British Columbia.
12% Senior Subordinated Note due 2006 $ 1,387,000 8/7/98 1,382,284 1,224,613 1,327,498
Limited Partnership Interest of Riverside VIII
Holding Company L.P. (B) 520,278 int. * 468,250 452,641 407,378
Warrant, exercisable until 2007, to purchase
limited partnership interests at $.01 per
interest (B) 12,896 int. 8/7/98 129 175,200 129
--------------- -------------- --------------
1,850,663 1,852,454 1,735,005
--------------- -------------- --------------
Pacific Coast Feather Company
A manufacturer and marketer of natural fill and
synthetic fill bed pillows and comforters.
15.5% Senior Subordinated Note due 2004 $ 1,750,000 6/27/97 1,768,025 1,750,000 1,808,800
--------------- -------------- --------------
PAR Acquisition Corp./Par Systems, Inc.
A manufacturer of robotic systems.
14.5% Senior Subordinated Note due 2000 $ 212,500 2/5/93 212,160 212,500 212,500
8% Convertible Preferred Stock due 2001,
convertible into common stock at $2
per share 83,333 shs. 2/5/93 166,667 166,667 183,333
Common Stock (B) 133,333 shs. 2/5/93 333,333 333,333 293,333
--------------- -------------- --------------
712,160 712,500 689,166
--------------- -------------- --------------
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 $ 1,750,000 ** 1,743,472 1,750,000 1,740,900
--------------- -------------- --------------
</TABLE>
*8/7/98 and 2/23/99.
**12/20/96 and 6/20/97.
16
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
PG&E Gas Transmission
An owner and operator of natural gas pipeline
systems principally serving Texas intrastate
markets.
10.58% Senior Note due 2000 $ 142,857 12/20/90 $ 145,239 $ 142,857 $ 145,057
--------------- --------------- --------------
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 $ 362,812 11/30/95 378,087 362,813 369,271
10.5% Senior Secured Convertible Note
due 2005, convertible into common stock
at $50,000 per share $ 97,500 11/30/95 102,668 97,500 106,226
Common Stock 3 shs. 11/30/95 113,906 169,000 106,393
--------------- --------------- --------------
594,661 629,313 581,890
--------------- --------------- --------------
Plastipak Packaging, Inc.
A manufacturer of plastic containers.
10.64% Senior Subordinated Note due 2006 $ 1,750,000 10/25/96 1,701,875 1,715,448 1,725,500
Warrant, exercisable until 2006, to purchase
common stock at $.01 per share (B) 49 shs. 10/25/96 27,799 46,812 26,762
--------------- --------------- --------------
1,729,674 1,762,260 1,752,262
--------------- --------------- --------------
Playcore, Inc. - A.S.E
A manufacturer and distributor of home playground
equipment and accessories.
12% Subordinated Note due 2005 $ 1,562,500 3/13/97 1,292,500 1,282,792 1,456,719
Limited Partnership Interests of Green Grass
Capital II, LLC (B) 40,774 uts. 3/13/97 146,786 216,956 187,560
Warrant, exercisable until 2005, to purchase
limited partnership interests of Green Grass
Capital II, LLC at $.01 per unit (B) 74,022 uts. 3/13/97 265,887 340,361 339,909
--------------- --------------- --------------
1,705,173 1,840,109 1,984,188
--------------- --------------- --------------
Precision Dynamics, Inc.
A manufacturer of custom-designed solenoid valves
and controls.
Senior Secured Floating Rate
Revolving Credit Facility due 2003 $ 407,500 7/22/96 403,465 407,500 388,348
Senior Secured Floating Rate Term
Note due 2003 $ 1,287,700 7/22/96 1,275,081 1,287,700 1,227,178
12% Senior Secured Term Note due 2004 $ 244,500 7/22/96 241,273 207,719 234,280
8% Preferred Stock 142 shs. 7/22/96 134,658 115,937 89,144
Common Stock (B) 299 shs. 7/22/96 10,849 14,489 7,106
Warrant, exercisable until 2004, to purchase
common stock at $.01 per share (B) 162 shs. 7/22/96 2 49,000 3,832
--------------- --------------- --------------
2,065,328 2,082,345 1,949,888
--------------- --------------- --------------
</TABLE>
17
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
Process Chemicals, LLC
A specialty chemical company that manufactures
process chemicals for the
fertilizer, asphalt and concrete industries
6% Redeemable Preferred
Membership Interests 1,262 int. * $ 124,205 $ 1,326,782 $ 1,273,811
Common Membership Interests 4,932 int. * 12,429 30,060 118,569
-------------- -------------- ---------------
136,634 1,356,842 1,392,380
-------------- -------------- ---------------
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 8/12/94 394,720 400,000 240,000
11.51% Junior Secured Note due 1999 $ 200,000 8/12/94 195,760 200,000 100,000
9.8% Redeemable Exchangeable
Preferred Stock 3,333 shs. 8/12/94 282,633 333,333 66,667
Common Stock (B) 497 shs. 8/12/94 5 -- 37
-------------- -------------- ---------------
873,118 933,333 406,704
-------------- -------------- ---------------
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 2/16/93 799,575 750,000 785,175
Common Stock (B) 17,750 shs. 2/16/93 170,400 170,400 233,966
-------------- -------------- ---------------
969,975 920,400 1,019,141
-------------- -------------- ---------------
Rent-Way, Inc. - O.T.C.
An operator of rent-to-own stores across the
United States.
Warrant, exercisable until 2002, to purchase
common stock at $9.94 per share (B) 10,000 shs. 7/18/95 100 -- 143,247
-------------- -------------- ---------------
Safety Speed Cut Manufacturing, Inc.
A manufacturer of vertical panel saws and routers
for the woodworking industry.
Senior Secured Floating Rate Tranche A Note
due 2007 $ 2,045,948 6/2/99 2,045,948 2,045,948 2,033,059
12% Senior Secured Tranche B Note due 2007 $ 646,089 6/2/99 646,089 646,089 622,378
Class B Common Stock (B) 846 shs. 6/2/99 146,456 146,456 117,165
-------------- -------------- ---------------
2,838,493 2,838,493 2,772,602
-------------- -------------- ---------------
Sharp International Corporation
A designer and distributor of wrist watches, clocks,
pens and mechanical pencils.
11% Subordinated Debenture due 2006 $ 1,100,000 7/10/98 1,054,130 1,084,914 1,029,380
11% Subordinated Note due 2008 $ 1,150,000 3/26/99 1,136,890 1,132,290 1,112,050
Warrants, exercisable until 2006 and 2008,
to purchase common stock at $.01 per share (B) 39,860 shs. ** 398 32,796 398
-------------- -------------- ---------------
2,191,418 2,250,000 2,141,828
-------------- -------------- ---------------
</TABLE>
* 7/31/97 and 1/4/99.
** 7/10/98 and 3/26/99.
18
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- -------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Star International, Inc.
A manufacturer of commercial cooking appliances.
9.65% Senior Secured Note due 2004 $ 293,283 5/27/94 $ 293,283 $ 293,283 $ 291,025
10.5% Subordinated Note due 2004 $ 179,104 5/27/94 179,104 179,104 173,892
Common Stock (B) 1,077 shs. 5/27/94 64,904 64,904 37,280
Warrant, exercisable until 2004, to purchase
common stock at $.01 per share (B) 806 shs. 5/27/94 8 -- 27,892
--------------- --------------- --------------
537,299 537,291 530,089
--------------- --------------- --------------
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.
12.5% Senior Subordinated Note due 2006 $ 1,356,000 2/5/98 1,381,086 1,191,572 1,362,373
Common Stock (B) 315 shs. 2/4/98 283,500 315,000 283,500
Warrants, exercisable until 2006, to purchase
shares of Class B common stock at $.01 per
share (B) 222 shs. 2/5/98 2 184,416 2
--------------- --------------- --------------
1,664,588 1,690,988 1,645,875
--------------- --------------- --------------
Tidewater Holdings, Inc.
An operator of a barge transportation line on the
Columbia/Snake River system.
Convertible Preferred Stock, convertible into
common stock at $1,000 per share (B) 560 shs. 7/25/96 504,000 560,000 583,934
Warrant, exercisable until 2008, to purchase
common stock at $.01 per share (B) 237 shs. 7/25/96 21 24,103 247,002
--------------- --------------- --------------
504,021 584,103 830,936
--------------- --------------- --------------
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 1,183,792 1,227,720
Common Stock (B) 203,165 shs. * 314,108 598,597 2,169,416
Warrant, exercisable until 2001, to purchase
common stock at $3.60 per share (B) 74,606 shs. 3/28/91 7,461 42,000 568,356
--------------- --------------- --------------
1,595,849 1,824,389 3,965,492
--------------- --------------- --------------
</TABLE>
* 3/28/91, 12/18/91, 9/30/92, 9/30/93, 9/30/94, 3/31/95 and 5/9/95.
19
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
Corporate Restricted Securities: (A) (Continued) Amount Date Date (Note 2B) (Note 2A)
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Trend Technologies, Inc.
A manufacturer and assembler of plastic injection
molded parts.
12% Subordinated Note due 2005 $ 1,256,800 3/21/97 $ 1,296,389 $ 1,255,236 $ 1,139,038
Limited Partnership Interests of
Riverside V Holding Company L.P. 360,358 uts. * 440,874 387,923 290,953
Limited Partnership Interests of
Riverside V-A Holding Company L.P. 775,164 uts. * 1,004,156 834,146 667,339
Warrant, exercisable until 2005, to purchase
common stock at $.01 per share (B) 1,565 uts. 3/21/97 1,565 1,565 157
------------ ----------- ------------
2,742,984 2,478,870 2,097,487
Tridex Corp. - O.T.C. ------------ ----------- ------------
A designer and manufacturer of point-of-sale
monitors and keyboards used by retailers and
restaurants.
12% Senior Subordinated Note due 2005 $1,500,000 4/17/98 15,000 1,500,000 450,000
Common Stock (B) 35,714 shs. 4/17/98 249,998 249,998 82,364
Warrant, exercisable until 2005, to purchase
common stock at $2.03 per share (B) 109,091 shs. 5/26/98 -- 1 52,167
----------- ----------- ------------
264,998 1,749,999 584,531
Truseal Technologies, Inc. ----------- ----------- ------------
A manufacturer of sealant systems for the North
American window and door market.
12.25% Senior Subordinated Note due 2006 $ 1,338,000 6/23/97 1,367,168 1,177,027 1,310,303
Limited Partnership Interests (B) 4,123 uts. 6/17/97 371,070 412,300 371,070
Warrant, exercisable until 2006, to purchase
limited partnership interests at $.01
per unit (B) 630 uts. 6/23/97 6 188,536 6
----------- ----------- ------------
1,738,244 1,777,863 1,681,379
U.S. Netting, Inc. ----------- ----------- ------------
A manufacturer of plastic netting for a wide variety
of industries.
Senior Secured Floating Rate Revolving Note
due 2000 $ 27,960 5/3/95 27,960 27,960 27,960
11% Senior Secured Note due 2005 $ 629,100 5/3/95 695,659 629,100 630,862
12% Subordinated Note due 2005 $ 326,200 5/3/95 367,008 313,139 327,961
Common Stock (B) 2,457 shs. 5/3/95 81,376 195,720 2,457
Warrant, exercisable until 2005, to purchase
common stock at $.01 per share (B) 1,398 shs. 5/3/95 46,291 17,971 14
----------- ----------- ------------
1,218,294 1,183,890 989,254
----------- ----------- ------------
</TABLE>
*3/21/97, 10/16/97, 11/19/97 and 3/12/99.
20
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Fair Value Fair Value
Principal Acquisition at Acquisition Cost at 6/30/99
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.
Redeemable Preferred Stock Series A (B) 20,999 shs. 12/19/96 $ 145,826 $ 194,435 $ 184,714
Convertible Preferred Stock Series B,
convertible into Series B common stock at
$9.26 per share (B) 41,998 shs. 12/19/96 291,655 388,865 369,427
Warrant, exercisable until 2005, to purchase
Series A preferred stock and Series B
preferred stock at $.01 per unit (B) 3,241 uts. 12/19/96 6,482 65 2,071
------------- ----------- -------------
443,963 583,365 556,212
USAirways Group - N.Y.S.E ------------- ----------- -------------
A domestic and international airline.
10.8% Series A Secured Loan Certificates
due 2003 $ 320,209 6/29/94 272,177 296,877 327,862
------------- ----------- -------------
Victory Ventures LLC
An acquirer of controlling or substantial interests in
other entities.
Series A Preferred Units (B) 2,817 uts. 12/2/96 3,175 6,687 5,635
------------- ----------- -------------
Vitex Packaging, Inc.
A manufacturer of specialty packaging, primarily
envelopes and tags used on tea bags.
Senior Secured Floating Rate Revolving
Credit Facility due 2003 $ 244,838 1/02/98 242,879 244,838 243,369
Senior Secured Floating Rate Tranche A
Note due 2005 $ 1,066,800 1/2/98 1,058,372 1,066,800 1,060,506
12% Senior Secured Tranche B Note due 2007 $ 336,000 1/2/98 339,394 310,800 325,819
Limited Partnership Interests of
Riverside VI Holding Company L.P. 161,891 int. 12/30/97 1,295 150,222 120,172
Warrant, exercisable until 2007, to purchase
common stock at $.01 per share (B) 44 shs. 1/2/98 -- 25,201 --
------------- ----------- ------------
1,641,940 1,797,861 1,749,866
------------- ----------- ------------
Sub-Total Private Placement Investments $ 84,192,758 89,530,178 84,555,015
============= =========== ============
</TABLE>
- --------------------------------------------------------------------------------
21
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
March 31, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares, Units,
Warrants or Market Value
Interest Due Principal Cost at 6/30/99
Rule 144A Securities - 7.96%: (A) Rate Date Amount (Note 2B) (Note 2A)
---------- ---------- -------------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Bonds - 6.18%
ADV Accessory & AAS CAP 9.750% 10/1/07 $ 575,000 $ 574,996 $ 518,989
ADV Glassifiber 9.875 1/15/09 450,000 441,000 434,250
Atlantic Coast Airlines, Inc. 8.750 1/1/07 706,928 707,891 670,267
Climachem, Inc. 10.750 12/1/07 100,000 96,000 95,625
Cuddy International Corp. 10.750 12/1/07 470,000 462,978 413,600
Enserch Exploration, Inc. 7.540 1/2/09 909,267 909,267 834,252
Hexcel Corporation 9.750 1/15/09 450,000 450,000 441,000
McLeodUSA Incorporated (B) 8.375 3/15/08 275,000 284,281 257,125
Mrs. Fields Original Cookies, Inc. 10.125 12/1/04 700,000 679,007 616,000
Oxford Health Plans (B) 11.000 5/15/05 85,000 85,000 85,850
T C W Leveraged Income Trust, LP 8.410 3/31/04 1,500,000 1,500,000 1,472,550
Von Hoffman Press, Inc. 10.875 5/15/07 735,000 736,150 735,000
----------- ----------- ------------
Total Bonds $ 6,956,195 6,926,570 6,574,508
=========== =========== ============
Convertible Bonds - 0.76%
Antec Corp. 4.500 5/15/03 $ 50,000 50,000 71,375
Arbor Software Corporation 4.500 3/15/05 100,000 100,000 72,875
Key Energy Group 5.000 9/15/04 225,000 225,000 142,382
Mark IV Industries 4.750 11/1/04 450,000 427,125 399,708
Oak Industries 4.875 3/1/08 100,000 103,000 129,625
----------- ----------- -----------
Total Convertible Bonds $ 925,000 905,125 815,965
=========== =========== ===========
Convertible Preferred Stock - 0.99%
D T Industries 20,000 1,000,000 500,000
Newell Financial Trust 10,000 500,000 557,500
----------- -----------
Total Convertible Preferred Stock 1,500,000 1,057,500
----------- -----------
Warrants - 0.03%
Energy Conversion Devices, Inc. (B) 17,500 -- 28,438
----------- ------------
Total Warrants -- 28,438
----------- ------------
Total Rule 144A Securities 9,331,695 8,476,411
----------- ------------
Total Corporate Restricted Securities 98,861,873 93,031,426
----------- ------------
</TABLE>
- --------------------------------------------------------------------------------
22
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares or Market Value
Interest Due Principal Cost at 6/30/99
Corporate Public Securities - 30.79%: (A) Rate Date Amount (Note 2B) (Note 2A)
--------- -------- ------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Bonds - 19.15%
Airplanes Pass Thru Trust 8.150% 3/15/19 $ 1,466,100 $ 1,464,804 $ 1,471,363
Amtran, Inc. 10.500 8/1/04 500,000 500,000 505,000
Anchor Advanced Products 11.750 4/1/04 560,000 581,750 574,000
Archibald Candy Corp. 10.250 7/1/04 520,000 529,750 520,000
Bell Sports, Inc. 11.000 8/15/08 350,000 350,000 348,250
Callon Petroleum Company 10.125 9/15/02 250,000 248,560 242,813
Canadian Airlines Corporation 10.000 5/1/05 230,000 230,500 170,200
Central Tractor Farm & Country, Inc. 10.625 4/1/07 300,000 293,250 298,500
Contifinancial Corporation 8.125 4/1/08 850,000 625,813 731,000
Continental Airlines, Inc. 11.500 4/2/08 249,011 266,442 283,335
Cross Timbers Oil Company 9.250 4/1/07 160,000 158,200 156,000
DecisionOne Corporation 9.750 8/1/07 75,000 75,000 3,000
Derby Cycle Corp. 10.000 5/15/08 425,000 425,000 342,125
Doe Run Resources Corp. 11.250 3/15/05 140,000 122,500 126,000
Doe Run Resources Corp. 11.354 3/15/03 150,000 127,125 129,000
Great Lakes Dredge & Dock Corp. 11.250 8/15/08 350,000 350,000 360,500
Grove Worldwide 9.250 5/1/08 265,000 231,175 196,100
Haynes International, Inc. 11.625 9/1/04 580,000 522,950 541,575
Hosiery Corporation of America 13.750 8/1/02 500,000 493,900 540,000
Integrated Health Services 9.500 9/15/07 400,000 289,750 292,000
Integrated Health Services 10.250 4/30/06 300,000 226,500 228,000
International Wire Group, Inc. 11.750 6/1/05 450,000 489,375 466,875
J H Haefner Company 10.000 5/15/08 100,000 88,750 101,750
Jordan Industries, Inc. 10.375 8/1/07 300,000 300,000 303,750
Jordan Telecom Products 9.875 8/1/07 1,050,000 1,040,798 1,039,500
Kevco, Inc. 10.375 12/1/07 225,000 123,750 155,250
Keystone Consolidated Ind., Inc. 9.625 8/1/07 50,000 45,250 48,500
Kitty Hawk Inc. 9.950 11/15/04 500,000 500,000 500,000
Loewen Group, Inc. 8.250 10/15/03 75,000 71,250 46,500
Loewen Group, Inc. 8.250 4/15/03 100,000 93,750 62,000
Loewen Group, Inc. 7.500 4/15/01 175,000 131,250 109,375
M J D Communications, Inc. 9.500 5/1/08 75,000 75,000 74,250
M J D Communications, Inc. 9.247 5/1/08 200,000 200,000 199,750
Magnum Hunter RE 10.000 6/1/07 450,000 409,750 423,000
McLeod, Inc. 9.500 11/1/08 175,000 175,000 175,000
MCMS, Inc. 9.750 3/1/08 500,000 500,000 275,000
Mediacom LLC 8.500 4/15/08 375,000 373,125 352,500
Mohegan Tribal Gaming Authority 8.750 1/1/09 115,000 115,000 114,281
Morris Materials Handling 9.500 4/1/08 300,000 300,000 120,000
Mrs Fields Original Cookies, Inc. 10.125 12/1/04 150,000 132,000 135,000
NE Restaurant Company, Inc. 10.750 7/15/08 465,000 461,625 423,150
Neenah Corporation 11.125 5/1/07 400,000 403,750 392,000
Neff Corp. 10.250 6/1/08 120,000 118,812 122,400
Northwest Airlines Corp. 8.970 1/2/15 951,821 951,821 993,054
Numatics Inc. 9.625 4/1/08 560,000 547,144 453,600
</TABLE>
- --------------------------------------------------------------------------------
23
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares or Market Value
Interest Due Principal Cost at 6/30/99
Corporate Public Securities: (Continued) Rate Date Amount (Note 2B) (Note 2A)
---------- ----------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
Bonds (Continued)
Philipp Brothers Chemicals, Inc. 9.875 6/1/08 $ 325,000 $ 307,219 $ 297,375
Pillotex Corporation 10.000 11/15/06 50,000 51,500 47,250
Rent-A-Center, Inc. 11.000 8/15/08 350,000 350,000 350,875
Scovill Fastener, Inc. 11.250 11/30/07 350,000 350,000 178,500
Sun Media Corporation 9.500 2/15/07 100,000 100,500 103,750
Sun Media Corporation 9.500 5/15/07 200,000 208,500 207,500
Telex Communications, Inc. 10.500 5/1/07 1,250,000 1,261,250 950,000
Therma-Wave, Inc. 10.620 5/15/04 510,000 480,625 409,275
Triton Energy 8.750 4/15/02 250,000 239,375 243,750
United Refining Company 10.750 6/15/07 1,400,000 1,400,000 910,000
Vintage Petroleum 8.620 2/1/09 325,000 316,062 316,062
W R Carpenter North America 10.620 6/15/07 550,000 556,344 522,500
Wavetek Corporation 10.120 6/15/07 110,000 110,000 97,350
Windmere Durable Holdings, Inc. 10.000 7/31/08 180,000 174,713 171,900
Worldtex, Inc. 9.620 12/15/07 500,000 500,000 437,500
------------ ----------- ------------
Total Bonds $ 22,931,932 22,166,257 20,388,833
============ =========== ============
Common Stock - 6.88%
A M R Corporation (B) 2,600 188,953 177,450
American Country Holdings, Inc. (B) 54,000 188,722 64,125
Amerisource Health Corporation (B) 4,374 167,305 111,537
Ariba Inc. (B) 875 20,125 85,094
Associated Materials, Incorporated 22,200 249,431 296,925
Benson Petroleum, LTD. (B) 100,000 77,204 50,670
BP Prudhoe Bay Royalty Trust 13,190 187,571 98,925
Budget Group, The (B) 47,164 986,991 580,707
Career Blazers, Inc. (B) 45,000 247,500 225,000
Collins & Aikman Corporation 17,400 104,238 132,675
Complete Business Solutions (B) 2,917 90,427 52,324
Computer Horizons Corporation (B) 11,668 139,221 161,164
Cybersource Corporation (B) 1,050 11,550 15,488
Donaldson, Lufkin & Jenrette, Inc.-DLJdirect (B) 8,750 175,000 258,125
E-Loan, Inc. (B) 875 12,250 33,742
Excalibur Technologies Corp. (B) 7,499 77,241 106,861
Florida Panthers Holdings, Inc. (B) 19,500 373,004 208,406
Florist Transworld Delivery, Inc. (B) 9,374 13,754 65,618
General Chemical Group, Inc. 4,400 64,410 13,750
GenTek, Inc. 4,400 48,362 61,050
GlobeSpan Inc. (B) 700 10,500 27,825
Goto.com, Inc. (B) 3,500 52,500 98,000
Hosiery Corporation of America (B) 500 -- 20,125
Irwin Naturals (B) 6,000 33,375 11,250
Juniper Networks Inc. 875 29,750 130,375
Midway Airlines Corp. (B) 14,586 271,956 149,506
Network Access Solutions Corporation (B) 13,125 315,000 349,453
</TABLE>
- --------------------------------------------------------------------------------
24
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Shares or Market Value
Interest Due Principal Cost at 6/30/99
Corporate Public Securities: (Continued) Rate Date Amount (Note 2B) (Note 2A)
--------- ------- ----------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Common Stock (Continued)
Network Plus Corp. (B) $ 1,750 $ 28,000 $ 36,531
Oxford Health Plans (B) 13,125 247,639 204,258
Pathways Group, Inc. (B) 15,435 344,964 102,257
Persistence Software, Inc. (B) 700 7,700 9,538
Phone.com, Inc. (B) 525 8,400 29,400
Princeton Video Image, Inc. (B) 5,250 36,750 23,789
R&B Falcon Corporation (B) 21,900 235,712 205,313
Rent-Way, Inc. 60,362 600,002 1,486,414
Republic Services, Inc. (B) 15,230 257,006 376,943
Software.com, Inc. (B) 1,750 26,250 40,578
Swiss Army Brands, Inc. (B) 21,000 212,150 186,375
TSR, Inc. (B) 3,500 22,960 29,750
Viant Corporation (B) 350 5,600 12,250
Women First Healthcare, Inc. (B) 15,050 165,550 199,412
Young & Rubicam, Inc. 17,500 651,875 795,156
------------ -------------
Total Common Stock 6,986,898 7,324,134
------------ -------------
Convertible Bonds - 4.36%
<S> <C> <C> <C> <C> <C>
Arbor Software Corporation 4.500 3/15/05 30,000 21,300 21,863
Concentra Managed Care, Inc. 4.500 3/15/03 620,000 578,825 582,626
Conexant Systems, Inc. 4.250 5/1/06 225,000 225,000 319,219
Cymer, Inc. 3.500 8/6/04 300,000 240,000 258,195
Diamond Offshore Drilling 3.750 2/15/07 450,000 448,453 443,462
Dura Pharmaceuticals 3.500 7/15/02 315,000 319,219 237,038
Family Golf Centers, Inc. 5.750 10/15/04 965,000 843,538 607,525
Kellstorm Industries, Inc. 5.500 6/15/03 500,000 427,231 414,355
Magna International, Inc. 4.875 2/15/05 400,000 395,500 392,000
Mindspring Enterprises, Inc 5.000 4/15/06 385,000 349,602 364,306
Oak Industries 4.875 3/1/08 125,000 112,750 162,031
Savoy Pictures Entertainment 7.000 7/1/03 470,000 365,425 460,600
World Color Press, Inc. 6.000 10/1/07 400,000 369,850 380,452
----------- ------------ -------------
Total Convertible Bonds 5,185,000 4,696,693 4,643,672
----------- ------------ -------------
Convertible Preferred Stock - 0.4%
PSINet, Inc. 9,475 473,750 429,928
------------ -------------
Total Convertible Preferred Stock 473,750 429,928
------------ -------------
Total Corporate Public Securities 34,323,598 32,786,567
------------ -------------
</TABLE>
- --------------------------------------------------------------------------------
25
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Due Principal Cost at 6/30/99
Short-Term Securities: Yield Date Amount (Note 2B) (Note 2A)
---------- -------- ----------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Commercial Paper - 1.10%
Lockheed Martin Corporation 5.552% 7/1/99 $ 560,000 $ 560,000 $ 560,000
Lockheed Martin Corporation 5.500% 7/2/99 615,000 614,906 614,906
----------- -------------- --------------
Total Short-Term Securities $ 1,175,000 1,174,906 1,174,906
=========== -------------- --------------
Total Investments -- 119.25% $ 134,360,377 126,992,899
-------------- --------------
Other Assets -- 2.77 2,953,308
Liabilities -- (22.03) (23,455,909)
-------------
Total Net Assets -- 100.00% $ 106,490,298
========== =============
</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 Fair Value
at 6/30/99 at 6/30/99
Corporate Restricted Securities: (Note 2A) Corporate Restricted Securities: (Continued) (Note 2A)
---------- -----------
<S> <C> <C> <C>
AUTOMOBILE - 4.41% CHEMICAL, PLASTICS & RUBBER - 4.69%
ADV Accessory & AAS CAP $ 518,989 AccTech, LLC $ 91,126
America's Body Co./LCP Holding Co. 1,677,025 Contico International, Inc. 420,440
LIH Investors, L.P. 2,098,032 Process Chemicals, LLC 1,392,380
Mark IV Industries 399,708 Trend Technologies, Inc. 2,097,487
---------- U.S. Netting, Inc. 989,254
4,693,754 -----------
---------- 4,990,687
-----------
BEVERAGE, FOOD & TOBACCO - 5.28% CONSUMER PRODUCTS - 5.63%
Associated Vintage Group, Inc. 1,042,220 Alpha Shirt Company 2,146,389
Beta Brands, Inc. 2,641,705 Consumer Product Enterprises, Inc. 1,147,322
Cains Foods, L.P. 1,326,387 Newell Financial Trust 557,500
Grand Lyon Enterprises LLC -- Sharp International Corp. 2,141,828
-----------
5,993,039
-----------
Mrs Fields Original Cookies, Inc. 616,000 CONTAINERS, PACKAGING & GLASS - 4.10%
---------- C & K Manufacturing and Sales Company 861,757
5,626,312 Capitol Specialty Plastics, Inc. 201
---------- Plastipak Packaging, Inc. 1,752,262
Vitex Packaging, Inc. 1,749,866
BROADCASTING & ENTERTAINMENT - .45% -----------
Latin Communications Group 478,846 4,364,086
---------- -----------
BUILDINGS & REAL ESTATE - 1.58%
Truseal Technologies, Inc. 1,681,379
----------
CARGO TRANSPORT - 1.74%
RailTex, Inc. 1,019,141
Tidewater Holdings, Inc. 830,936
----------
1,850,077
----------
</TABLE>
- --------------------------------------------------------------------------------
26
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
INDUSTRY CLASSIFICATION (Continued)
<TABLE>
<CAPTION>
Fair Value Fair Value
at 6/30/99 at 6/30/99
Corporate Restricted Securities: (Continued) (Note 2A) Corporate Restricted Securities: (Continued) (Note 2A)
----------- ----------
<S> <C> <C> <C>
DIVERSIFIED/CONGLOMERATE - FARMING & AGRICULTURE - .77%
MANUFACTURING - 23.80% Cuddy International Corp. $ 413,600
ADV Glassifiber $ 434,250 Protein Genetics, Inc. 406,704
Corvest Promotional Products, Inc. 2,104,469 ----------
D T Industries 500,000 820,304
Eagle Pacific Industries, Inc. 1,679,430 ----------
Energy Conversion Devices Inc. 28,438 FINANCE - 3.85%
Evans Consoles, Inc. 1,675,428 Boyle Leasing Technologies, Inc. 607,380
Fleming Acquisition Corporation 22,406 MW Investors I LLC 1,752,528
Golden Bear Oil Specialties 1,835,301 Paribas Capital Funding LLC 1,740,900
Hartzell Manufacturing, Inc./CMS Holding 1,585,274 ----------
Company 4,100,808
Hexcel Corporation 441,000 ----------
Hudson River Capital, LLC 210,735 HEALTHCARE, EDUCATION &
Hussey Seating Company 2,228,670 CHILDCARE - .29%
Jackson Products, Inc. 499,125 Berkshire Medical Center, Inc. 227,495
Kappler Safety Group, Inc. 1,602,941 Oxford Health Plans 85,850
Maxtec International Corp. 398,377 ----------
NPC, Inc. 2,623,298 313,345
Pacific Coast Feather Company 1,808,800 ----------
PAR Acquisition Corp. 689,166 HOME & OFFICE FURNISHINGS,
Safety Speed Cut Manufacturing 2,772,602 HOUSEWARES, AND DURABLE
The Tranzonic Companies 1,645,875 CONSUMER PRODUCTS - .83%
U.S. Silica Company 556,212 Catalina Lighting, Inc. 353,662
----------- Star International Holdings, Inc. 530,089
25,341,797 ----------
----------- 883,751
DIVERSIFIED/CONGLOMERATE - ----------
SERVICE - 6.93% LEISURE, AMUSEMENT,
Diversco, Inc./DHI Holdings, Inc. 1,654,909 ENTERTAINMENT - 5.81%
Examination Management Services, Inc. 2,106,766 Adventure Entertainment Corporation 852,193
Hamilton Funeral Services 882,850 CDnow, Inc. 39,563
Hunton & Williams 44,778 Merit Industries, Inc. 1,577,547
Magnetic Data Technologies, LLC 2,106,325 Olympic Boat Centers, Inc. 1,735,005
Pharmaceutical Buyers, Inc. 581,890 Playcore, Inc. 1,984,188
---------- ----------
7,377,518 6,188,496
---------- ----------
ELECTRONICS - 5.27% MISCELLANEOUS - 2.26%
Arbor Software Corporation 72,875 Climachem, Inc. 95,625
Ardent Software, Inc. 410,212 Enserch Exploration, Inc. 834,252
Automatic Data Processing 243,399 T C W Leveraged Income Trust, LP 1,472,550
Averstar, Inc. 594,339 Victory Ventures, LLC 5,635
Cirrus Logic, Inc. 1,050,387 ----------
Control Devices, Inc. -- 2,408,062
Nu Horizons Electronics Corp. 705,900 ----------
Precision Dynamics, Inc. 1,949,888 OIL AND GAS - 4.61%
Tridex Corp. 584,531 Applied Process Solutions, Inc. 386,963
---------- Chaparral Resources, Inc. 1,458
5,611,531 Key Energy Group 142,382
---------- Louis Dreyfus Natural Gas Corporation 274,688
PG&E Gas Transmission 145,057
TransMontaigne Oil Company 3,965,492
----------
4,916,040
----------
</TABLE>
27
<PAGE>
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS
June 30, 1999
(Unaudited)
INDUSTRY CLASSIFICATION (Continued)
Fair Value
at 6/30/99
Corporate Restricted Securities: (Continued) (Note 2A)
------------
PERSONAL TRANSPORTATION - .94%
Atlantic Coast Airlines Inc. $ 670,267
US Airways Group 327,862
------------
998,129
------------
PRINTING & PUBLISHING - .69%
Von Hoffman Press, Inc. 735,000
------------
RETAIL STORES - 3.00%
A T I Acquisition Corporation 2,435,913
Discount Auto Parts 621,180
Rent-Way, Inc. 143,247
------------
3,200,340
TELECOMMUNICATIONS - .43% ------------
Antec Corp. 71,375
McLeodUSA Incorporated 257,125
Oak Industries 129,625
------------
458,125
------------
Total Corporate Restricted
Securities - 87.36% $ 93,031,426
============
<PAGE>
NOTES TO FINANCIAL STATEMENTS MASSMUTUAL PARTICIPATION INVESTORS
(Unaudited)
1. History
MassMutual Participation Investors (the "Trust") was organized as a
Massachusetts business trust under the laws of the Commonwealth of
Massachusetts pursuant to a Declaration of Trust dated April 7, 1988.
The Trust is a 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.
On January 27, 1998, the Board of Trustees authorized the formation of a
totally held subsidiary ("MMPI Subsidiary Trust") for the purpose of
holding certain investments. The results of MMPI Subsidiary Trust have been
consolidated in the accompanying financial statements.
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.
Nearly all securities which are acquired by the Trust directly from the
issuers and shares into which such securities may be converted or which may
be purchased on the exercise of warrants attached to such securities will
be subject to legal or contractual delays in or restrictions on resale and
will therefore be "restricted securities". Generally speaking, as
contrasted with open-market sales of unrestricted securities which may be
effected immediately if the market is adequate, restricted securities can
be sold only in a directly negotiated transaction to a limited number of
purchasers or in a public offering for which a registration statement is in
effect under the Securities Act of 1933.
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 (the "Trustees"). Each
restricted security is valued by the Trustees as of the time of the
acquisition 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 at the time of
acquisition by 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; in the case of a debt obligation
which would trade independently of any equity equivalent, the current
yields on comparable securities; the estimated amount of the floating
supply of such securities available; the proportion of the issue held by
the Trust; changes in the financial condition and prospects of the issuer;
the existence of merger proposals or tender offers affecting the issuer;
and any other factors affecting fair value, all in accordance with the
Investment Company Act of 1940. In making valuations, opinions of counsel
may be relied upon as to whether or not securities are restricted
securities and as to the legal requirements for public sale.
When market quotations are readily available for unrestricted securities of
an issuer, restricted securities of the same class are generally valued at
a discount from the market price of such unrestricted securities. The
Trustees, however, consider all factors in fixing any discount, including
the filing of a registration statement for such securities under the
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. 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.
- --------------------------------------------------------------------------------
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The financial statements include restricted securities valued at
$93,031,426 (87.36% of net assets) as of June 30, 1999 ($93,303,910 at June
30, 1998) 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 June 30, 1999, subject to discount where appropriate, and are
approved by the Trustees.
Short-term securities with more than sixty days to maturity are valued at
fair value and short-term securities having a maturity of sixty days or
less are valued at amortized cost, which approximates market value.
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 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 and 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 revenues 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 all or a portion of such net gains.
3. Investment Advisory and Administrative Services Fee
Under the 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 to 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.
- --------------------------------------------------------------------------------
30
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. Senior Secured Indebtedness
A. 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 is option, can convert the principal
amount of the Note into common shares. The dollar amount of principal would
be converted into an equivalent dollar amount of common shares based upon
the average price of the common shares for ten business days prior to the
notice of conversion. For each of the periods ended June 30, 1999 and 1998,
the Trust incurred total interest expense on the Note of $420,420.
B. Revolving Credit Agreement
The Trust entered into a $15,000,000 senior secured, floating rate,
revolving credit agreement (the "Revolver") with Fleet National Bank (the
"Agent Bank"), pursuant to a credit agreement dated May 29, 1997, with a
maturity date of May 31, 2004.
The Revolver bears interest at a variable per annum rate equal to the
three-month Eurodollar rate plus a margin of .40 percent per annum or the
most recent Federal Funds rate plus a margin of .50 percent per annum.
Interest is paid to the Agent Bank as it becomes due. The Trust also incurs
expense on the undrawn portion of the total approved credit agreement at a
rate of .185 percent per annum.
As of June 30, 1999, there were $10,500,000 in outstanding loans against
the Revolver and the average blended rate of interest charged on the
Revolver was 5.43%. For the period ended June 30, 1999, the Trust incurred
total interest expense on the Revolver of $287,017, including $4,105
related to the undrawn portion.
5. Purchases and Sales of Investments
<TABLE>
<CAPTION>
For the For the
six months six months
ended 6/30/99 ended 6/30/98
------------- ----------------
Cost of Investments Acquired
--------------------------------
<S> <C> <C>
Corporate restricted securities $ 26,403,767 $ 23,226,856
Corporate public securities 12,325,813 9,416,833
Short-term securities 174,147,323 121,566,453
<CAPTION>
Proceeds from Sales or Maturities
---------------------------------
Corporate restricted securities $ 18,220,454 $ 22,306,519
Corporate public securities 18,158,746 17,005,579
Short-term securities 178,903,656 119,919,269
</TABLE>
The aggregate cost of investments was the same for financial reporting and
federal income tax purposes as of June 30, 1999. The net unrealized
depreciation of investments for financial reporting and federal tax
purposes as of June 30, 1999 is $7,367,478 and consists of $8,958,195
appreciation and $16,325,673 depreciation.
The aggregate cost of investments was the same for financial reporting and
federal income tax purposes as of June 30, 1998. The net unrealized
appreciation of investments for financial reporting and federal tax
purposes as of June 30, 1998 was $7,675,232 and consisted of $15,210,894
appreciation and $7,535,662 depreciation.
- --------------------------------------------------------------------------------
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. Quarterly Results of Investment Operations
<TABLE>
<CAPTION>
Amount Per Share Amount Per Share
------------ ------------ ----------- ------------
March 31, 1999 March 31, 1998
------------------------- ------------------------
<S> <C> <C> <C> <C>
Investment income $ 2,961,161 $ 2,934,166
Net investment income 2,294,359 0.24 2,261,923 0.24
Net realized and unrealized
gain (loss) on investments (2,087,179) 0.26 2,420,485 0.26
<CAPTION>
June 30, 1999 June 30, 1998
------------------------ --------------------------
Investment income 2,967,002 2,869,889
Net investment income 2,302,183 0.25 2,186,277 0.24
Net realized and unrealized
gain (loss) on investments 464,179 0.05 1,793,007 0.19
</TABLE>
7. Semi-Annual Report Disclosure
The Annual Meeting of Shareholders was held on Friday, April 23, 1999. The
Shareholders were asked to vote (1) to re-elect Marshall D. Butler as a
Trustee for a one-year term and to re-elect Jack A. Laughery and Corine T.
Norgaard as Trustees for three-year terms; (2) to ratify the selection of
PricewaterhouseCoopers LLP as auditors for the fiscal year ending December
31, 1999; (3) and to approve the continuance of the Trust's current
Investment Services Contract with Massachusetts Mutual Life Insurance
Company. The Shareholders approved all of the proposals. The results of the
votes were as follows:
<TABLE>
<CAPTION>
1. Election of Trustees:
--------------------------------------------------------------------------
SHARES: % of SHARES
TRUSTEE: FOR AGAINST TOTAL VOTED FOR
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
M. BUTLER 6,514,442.909 52,604.552 6,567,047.461 99.20%
J. LAUGHERY 6,514,193.904 52,853.557 6,567,047.461 99.20%
C. NORGAARD 6,514,214.490 52,832.971 6,567,047.461 99.20%
--------------------------------------------------------------------------
</TABLE>
The Directors whose term of office continued after the meeting are Richard
G. Dooley, Donald E. Benson, Milton Cooper, Donald Glickman and Martin T.
Hart.
2. Ratification of the selection of PricewaterhouseCoopers LLP as
Auditors for the fiscal year ending December 31, 1999.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
SHARES: % OF SHARES
FOR AGAINST ABSTAINED TOTAL VOTED FOR
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6,484,550.980 31,408.530 51,087.951 6,567,047.461 98.74%
--------------------------------------------------------------------------
</TABLE>
3. Approval of continuance of the Trust's Investment Advisory and
Administrative Services Contract with Massachusetts Mutual Life
Insurance Company.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
SHARES: % OF SHARES
FOR AGAINST ABSTAINED TOTAL VOTED FOR
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6,471,118.414 28,888.451 67,040.596 6,567,047.461 98.54%
--------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
32
