<PAGE>
MassMutual
PARTICIPATION
INVESTORS
[LOGO]
REPORT for the SIX
MONTHS ENDED 6/30/00
<PAGE>
MassMutual Participation Investors
1295 State Street
Springfield, Massachusetts 01111
(413) 744-8480
[LOGO]
[LOGO]
Adviser
David L. Babson &
Company, Incorporated
Auditor
Deloitte & Touche, LLP
New York, New York 10281
Custodian
The Chase Manhattan Bank, N.A.
Transfer Agent & Registrar
Shareholder Financial Services, Inc.
P.O. Box 173673
Denver, Colorado 80217-3673
1-800-647-7374
Internet website: www.massmutual.com/mpv
Investment Objective and Policy
MassMutual Participation Investors, a closed-end investment company, had its
initial public offering in October 1988 and its shares are listed on the New
York Stock Exchange. The share price of Participation Investors can be found in
the financial section of most newspapers as "MasPrt" or "MassMuPrt" under the
New York Stock Exchange listings. The trading symbol is "MPV".
The investment objective of the Trust is to maximize total return by providing a
high level of current income, the potential for growth of income, and capital
appreciation, by investing primarily in a portfolio of privately placed
fixed-income securities, at least half of which normally include equity
features. The Trust will also invest in publicly-traded securities, again with
emphasis on convertible issues. Equity related issues provide the opportunity to
realize capital gains, which, if realized, will be reinvested in
income-producing securities, permitting the Trust to increase its future
dividend payments.
The Trust pays quarterly dividends from net investment income and intends to
distribute substantially all of its net income to shareholders each year. All
registered shareholders are automatically enrolled in Dividend Reinvestment and
Cash Purchase Plan unless cash distributions are requested.
Dividends are distributed in January, May, August, and November.
<PAGE>
TO OUR SHAREHOLDERS
July 31, 2000
We are pleased to present the June 30, 2000 Quarterly Report of MassMutual
Participation Investors. For the quarter ended June 30th, the Trust earned 26
cents per share compared to 24 cents per share earned in the previous quarter.
We are also pleased to announce a quarterly dividend of 24 cents per share. A
dividend of 24 cents per share was paid in the previous quarter. The dividend
was payable on August 14, 2000 to shareholders of record on July 31, 2000.
During this past quarter, net assets increased to $108,947,582 or $11.67 per
share compared to $105,515,514 or $11.31 per share on March 31, 2000. This
increase translated into a 5.38% return for the three-month period ended June
30, 2000, based on change in net asset value with reinvestment of dividends.
For comparative purposes for the same period, in the equity markets, the S&P
Industrial Index returned -2.92% and the Russell 2000 returned -3.78%. The
bond markets, as measured by the Lehman Government/Corporate Intermediate
Index and the Merrill Lynch High Yield Index, returned 1.45% and 0.63%,
respectively.
As demonstrated by these returns, the Trust performed well this quarter.
According to Lipper Inc., for the quarter ended June 30th, the Trust ranked #1
out of 392 closed-end bond funds.
The chart below shows the long-term performance of the Trust, based on change
in net
asset value with reinvestment of dividends, for the period ended June 30,
2000.
<TABLE>
<CAPTION>
6 months* 1 Year 5 Years 10 Years
--------- ------ ------- --------
<S> <C> <C> <C>
14.60% 16.77% 15.77% 13.39%
</TABLE>
* Periods less than a year are not annualized
The Trust closed on approximately $5.4 million of new and add-on private
placement securities during the quarter. Among the new securities were
Integration Technology Systems, Keepsake Quilting, Therma-Tru and TVI, Inc.
The weighted average coupon of the fixed income components of these
investments is 12.45%. (A brief description of these investments can be found
in the Schedule of Investments.)
During the second quarter we took the opportunity to realize approximately $6
million in losses which were previously carried on our books as unrealized
losses and therefore were already reflected in the Trust's net asset value.
Despite these losses, the Trust was able to take other gains, which reduced
the net realized losses to $2.7 million for the quarter. This brought our net
realized gains for the six months ended June 30, 2000 to $8.6 million ($.92
per share). Of the gains realized in the past six months, $.66 per share
represents short-term gains which, if not offset, must be distributed to
shareholders.
Thank you for your continued interest in and support of MassMutual
Participation Investors.
Sincerely,
/s/Robert E. Joyal
Robert E. Joyal
President
1
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED STATEMENT OF
ASSETS AND LIABILITIES
June 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Assets:
Investments (Notes 2A, 2B and 5)
(See Schedule of Investments)
Corporate restricted securities at fair value
(Cost 2000 - $113,516,557; 1999 - $98,861,873) $107,208,916 $ 93,031,426
Corporate public securities at market value
(Cost 2000 - $17,849,315; 1999 - $34,323,598) 15,483,864 32,786,567
Short-term securities at cost plus earned
discount which approximates market value 6,381,721 1,174,906
------------ ------------
129,074,501 126,992,899
Cash 695,636 103,074
Interest and dividends receivable, net 2,664,630 2,707,007
Receivable for investments sold 580,942 135,142
Other assets 8,085 8,085
------------ ------------
Total assets $133,023,794 $129,946,207
============ ============
Liabilities:
Payable for investments purchased $ 406,239 $ 371,197
Management fee payable (Note 3) 245,468 240,143
Note payable (Note 4) 22,500,000 22,500,000
Interest payable (Note 4) 232,470 217,738
Accrued expenses 43,118 33,519
Accounts payable 648,917 93,312
------------ ------------
Total liabilities 24,076,212 23,455,909
------------ ------------
Net Assets:
Common shares, par value $.01 per share; an
unlimited number authorized 93,328 93,328
Additional paid-in capital 86,248,491 86,248,491
Retained net realized gain on investments, prior
years 19,904,383 18,524,626
Undistributed net investment income (Note 2D) 2,798,663 2,717,654
Undistributed net realized gain on investments
(Note 2D) 8,575,809 6,273,677
Net unrealized depreciation of investments (Note
2A, 2B and 5) (8,673,092) (7,367,478)
------------ ------------
Total net assets 108,947,582 106,490,298
------------ ------------
Total liabilities and net assets $133,023,794 $129,946,207
============ ============
Common shares issued and outstanding 9,332,786 9,332,786
============ ============
Net asset value per share $ 11.67 $ 11.41
============ ============
</TABLE>
See Notes to Financial Statements.
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2
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED STATEMENT OF OPERATIONS
For the six months ended June 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Investment Income (Note 2B):
Interest $ 5,887,996 $ 5,798,650
Dividends 118,780 129,513
------------ ------------
Total income 6,006,776 5,928,163
------------ ------------
Expenses:
Management fee (Note 3) 483,489 478,650
Trustees' fees and expenses 52,186 48,542
Transfer Agent/Registrar's expenses 24,000 24,000
Interest (Note 4) 763,418 711,543
Reports to shareholders 6,000 6,000
Audit and legal 21,897 20,640
Other 23,636 42,246
------------ ------------
Total expenses 1,374,626 1,331,621
------------ ------------
Net investment income (2000 - $.50 per share;
1999 - $.49 per share) 4,632,150 4,596,542
------------ ------------
Net realized and unrealized gain (loss) on
investments (Notes 2A and 2B):
Net realized gain on investments 8,575,809 6,273,677
Net change in unrealized appreciation/depreciation
of investments 964,836 (7,853,494)
------------ ------------
Net gain (loss) on investments 9,540,645 (1,579,817)
------------ ------------
Net increase in net assets resulting from
operations $ 14,172,795 $ 3,016,725
============ ============
</TABLE>
See Notes to Financial Statements.
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3
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED STATEMENT OF CASH FLOWS
For the six months ended June 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Net increase (decrease) in cash:
Cash flows from operating activities:
Interest and dividends received $ 5,154,015 $ 5,395,247
Interest expense paid (761,092) (715,854)
Operating expenses paid (151,909) (1,286,694)
Federal income tax paid (742,946) (2,599,749)
------------ ------------
Net cash provided by operating activities 3,498,068 792,950
------------ ------------
Cash flows from investing activities:
Change in short-term portfolio securities, net 266,194 4,756,334
Purchase of portfolio securities (40,595,281) (38,358,382)
Proceeds from disposition of portfolio
securities 45,646,209 36,509,082
------------ ------------
Net cash provided by investing activities 5,317,122 2,907,034
------------ ------------
Net cash provided by operating and investing
activities 8,815,190 3,699,984
------------ ------------
Cash flows from financing activities:
Increase in receipts for shares issued on
reinvestment of dividends -- 509,557
Cash dividends paid from net investment income (4,496,899) (4,521,008)
Cash dividends paid from net realized gain on
investments (3,809,280) (1,616,070)
------------ ------------
Net cash used for financing activities (8,306,179) (5,627,521)
------------ ------------
Net increase (decrease) in cash 509,011 (1,927,537)
Cash - beginning of year 186,625 2,030,611
------------ ------------
Cash - end of period $ 695,636 $ 103,074
============ ============
Reconciliation of net increase in net assets to
net cash from operating and investing activities:
Net increase in net assets resulting from
operations $ 14,172,795 $ 3,016,725
------------ ------------
(Increase) decrease in investments (4,538,227) 3,737,935
Increase in interest and dividends receivable,
net (434,536) (275,452)
(Increase) decrease in receivable for
investments sold (501,674) 129,882
Increase in other assets (8,085) (8,085)
Increase in payable for investments purchased 406,239 371,197
Increase in management fee payable 26,693 2,961
Increase in interest payable 2,326 21,794
Decrease in accrued expenses (32,142) (643,304)
Increase (decrease) in accounts payable 464,747 (53,920)
Decrease in accrued taxes (742,946) (2,599,749)
------------ ------------
Total adjustments to net assets from operations (5,357,605) 683,259
------------ ------------
Net cash provided by operating and investing
activities $ 8,815,190 $ 3,699,984
============ ============
</TABLE>
See Notes to Financial Statements.
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4
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED STATEMENT OF
CHANGES IN NET ASSETS
For the six months ended June 30, 2000 and 1999
(Unaudited)
<TABLE>
<CAPTION>
2000 1999
------------ ------------
<S> <C> <C>
Increase in net assets:
Operations:
Net investment income $ 4,632,150 $ 4,596,542
Net realized gain on investments 8,575,809 6,273,677
Net change in unrealized
appreciation/depreciation of investments 964,836 (7,853,494)
------------ ------------
Net increase in net assets resulting from
operations 14,172,795 3,016,725
Net increase in shares of beneficial interest
transactions -- 509,557
Dividends to shareholders from:
Net investment income (2000 - $.24 per share;
1999 - $.24 per share) (2,239,869) (2,235,982)
------------ ------------
Total increase 11,932,926 1,290,300
Net Assets, beginning of year 97,014,656 105,199,998
------------ ------------
Net Assets, end of period (including
undistributed net investment
income in 2000 - $2,798,663; 1999 - $2,717,654) $108,947,582 $106,490,298
============ ============
</TABLE>
See Notes to Financial Statements.
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5
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SELECTED PER SHARE DATA
Selected data for each share of beneficial interest outstanding for the periods
ended:
<TABLE>
<CAPTION>
For the
six months For the
ended 6/30/2000 year ended
(Unaudited) 12/31/99
--------------- ------------
<S> <C> <C>
Net asset value:
Beginning of year $ 10.40 $ 11.33
------------ ------------
Net investment income 0.50 0.97
Net realized and unrealized gain on investments 1.01 (0.53)
------------ ------------
Total from investment operations 1.51 0.44
------------ ------------
Dividends from net investment income to common
shareholders (0.24) (0.96)
Distributions from net realized gain on
investments to common shareholders -- (0.41)
------------ ------------
Total distributions (0.24) (1.37)
------------ ------------
Net asset value:
End of period $ 11.67 $ 10.40
============ ============
Per share market value:
End of period $ 9.44 $ 10.25
============ ============
Total investment return:
Market value (5.66)%* (2.30)%
Net asset value 14.60%* 4.77%
Net assets (in millions):
End of period $ 108.95 $ 97.01
Ratio of operating expenses to average net
assets 0.59%* 1.25%
Ratio of interest expenses to average net
assets 0.74%* 1.38%
Ratio of expenses to average net assets 1.33%* 2.63%
Ratio of net investment income to average net
assets 4.51%* 8.70%
Portfolio turnover 34.67%* 66.17%
</TABLE>
*Percentages represent results for the period and are not annualized.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
6
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Corporate Restricted Amount Date Date (Note 2B) (Note 2A)
Securities - 98.40%: (A) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Private Placement
Investments - 90.00%
A T I Acquisition
Corporation
A manufacturer of
disposable nonwoven
protection products.
Senior Floating Rate
Revolving Credit Note
due 2003 $ 527,274 12/16/98 $ 527,274 $ 527,274 $ 524,111
10% Senior Secured Note
due 2006 $ 1,181,817 12/16/98 1,181,817 1,181,817 1,119,653
12% Subordinated Note
due 2008 $ 909,090 12/16/98 911,365 854,545 828,363
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 54,545 54,545 1,299
------------ ------------ ------------
2,856,819 2,799,999 2,618,880
------------ ------------ ------------
AccTech, LLC
A designer and marketer
of specialized cleaning
products.
Membership Interests
(B) 2.76% int. 10/31/96 131,756 62,288 --
------------ ------------ ------------
Adorn, Inc.
A manufacturer of wall
panels, cabinets,
moldings and countertops
for houses and
recreational vehicles.
12.5% Subordinated Note
due 2010 $ 1,125,000 2/29/00 964,466 964,466 1,068,525
Warrant, exercisable
until 2010, to purchase
common stock at $.02
per share (B) 192 shs. 2/29/00 1,629 162,931 2
------------ ------------ ------------
966,095 1,127,397 1,068,527
------------ ------------ ------------
Adventure Entertainment
Corporation
An owner and operator of
themed family
entertainment centers.
19% Senior Subordinated
Note due 2004 $ 102,235 12/9/99 101,918 102,235 97,645
7% Redeemable Series B
Preferred Stock 1,003 shs. 10/31/97 97,710 990,065 863,052
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
------------ ------------ ------------
199,660 1,104,795 960,729
------------ ------------ ------------
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 1,468,437 1,643,372
Common Stock (B) 561 shs. 4/30/99 505,035 561,150 332,843
Warrant, exercisable
until 2007, to purchase
common stock at $.01
per share (B) 305 shs. 4/30/99 3 235,802 180,995
------------ ------------ ------------
2,179,232 2,265,389 2,157,210
------------ ------------ ------------
</TABLE>
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7
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ------------ ------------ ------------ ------------
<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 $ 1,521,325 $ 1,739,675
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 29 shs. 11/2/98 256,667 256,667 215,672
------------ ------------ ------------
1,750,000 1,777,992 1,955,347
------------ ------------ ------------
Averstar, Inc.
A provider of software
systems, services and
products to a variety of
information and
technology users.
Class A Common Stock (B) 6,726 shs. 8/31/95 7,899 9,192 87,023
Class B Common Stock (B) 18,600 shs. 8/31/95 21,844 25,418 240,638
Class G Common Stock (B) 48,423 shs. 8/31/95 56,867 52,000 626,471
------------ ------------ ------------
86,610 86,610 954,132
------------ ------------ ------------
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 $ 332,340 12/23/97 332,340 332,340 166,170
Senior Secured Tranche A
Floating Rate Note due
2004 $ 1,147,000 * 1,136,907 1,147,000 573,500
17.75% Senior Secured
Tranche B Note due 2005 $ 353,070 12/23/97 367,193 353,070 176,535
Limited Partnership
Interests of CM Equity
Partners (B) 3.13% int. 12/22/97 3,245 391,941 3,934
Warrant, exercisable
until 2005, to purchase
common stock at $.81 per
share (B) 107,267 shs. 12/23/97 1,073 -- 1,073
------------ ------------ ------------
1,840,758 2,224,351 921,212
------------ ------------ ------------
Better Minerals &
Aggregates
A producer of high grade
industrial and specialty
silica sands.
14% Redeemable Preferred
Stock 366 shs. 9/30/99 264,678 265,848 290,208
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
Common Stock (B) 10,013 shs. 9/30/99 359,555 399,505 359,555
Warrants, exercisable
until 2005 and 2010, to
purchase Series A and B
preferred stock and
common stock at $.01 per
unit (B) 5,700 shs. ** 6,482 64,247 10,413
------------ ------------ ------------
1,068,196 1,312,900 1,214,317
------------ ------------ ------------
</TABLE>
*12/23/97 and 1/31/99.
**12/19/96 and 9/30/99.
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8
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<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 $ 326,122 8/29/96 $ 326,122 $ 326,122 $ 65,224
Senior Secured Series A
Floating Rate Term Note
due 2002 $ 1,092,158 8/29/96 1,080,472 1,092,158 218,432
12% Series B Term Note
due 2004 $ 266,000 8/29/96 261,877 257,456 53,200
Membership Interests (B) 2.81% int. 8/29/96 106,400 62,750 --
Warrant, exercisable
until 2004, to purchase
membership interests at
$.01 per interest (B) 18 int. 8/29/96 1 13,300 --
------------ ------------ ------------
1,774,872 1,751,786 336,856
------------ ------------ ------------
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 $ 291,892 9/29/95 291,892 291,892 278,056
10% Senior Secured Term
Note due 2004 $ 540,540 9/29/95 540,540 540,540 518,756
11.5% Senior
Subordinated Note due
2004 $ 472,975 9/29/95 447,855 459,670 445,590
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 43,584
Warrant, exercisable
until 2006, to purchase
partnership points at
$.01 per point (B) 19 pts. 9/29/95 25,130 25,130 --
------------ ------------ ------------
1,359,471 1,371,286 1,285,986
------------ ------------ ------------
CapeSuccess LLC
A provider of diversified
staffing services.
Preferred Membership
Interests 806 int. 3/31/98 3,598 3,598 3,238
Common Membership
Interests 10,421 int. 3/31/98 46,493 46,493 41,843
------------ ------------ ------------
50,091 50,091 45,081
------------ ------------ ------------
Capitol Specialty
Plastics, Inc.
A producer of dessicant
stripes used for
packaging pharmaceuticals
products.
Common Stock (B) 55 shs. * 219 252 201
------------ ------------ ------------
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 -- 139
------------ ------------ ------------
</TABLE>
*12/30/97 and 5/29/99.
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9
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
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 $ 240
------------ ------------ ------------
Consumer Product
Enterprises, Inc.
A manufacturer of colored
acrylic felt for consumer
use.
Senior Secured Floating
Rate Revolving Credit
Notes due 2000 $ 207,630 12/8/95 207,630 207,630 205,990
10.75% Senior Secured
Term Note due 2003 $ 406,959 12/8/95 411,171 406,959 389,460
12% Senior Subordinated
Note due 2005 $ 400,287 12/8/95 401,929 384,937 349,851
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
------------ ------------ ------------
1,090,632 1,117,232 1,015,203
------------ ------------ ------------
Contico International,
Inc.
A developer, manufacturer
and marketer of consumer,
commercial and industrial
plastic products.
12% Senior Subordinated
Note due 2003 $ 300,000 3/23/93 286,917 300,000 309,630
------------ ------------ ------------
Corvest Group, Inc.
A manufacturer and
distributor of
promotional products.
12% Senior Subordinated
Note due 2007 $ 2,045,455 * 1,978,773 1,902,204 1,949,932
Common Stock (B) 30 shs. * 46,024 51,136 6,165
Limited Partnership
Interest 10.13% 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 20,140
------------ ------------ ------------
2,139,855 2,264,092 2,091,294
------------ ------------ ------------
Directed Electronics,
Inc.
A designer and
distributor of brand name
automotive security
systems, audio products,
and installation
accessories.
12% Senior Subordinated
Note due 2007 $ 1,776,307 12/22/99 1,754,992 1,565,982 1,727,992
8% Convertible Class B
Subordinated Promissory
Note due 2008 $ 39,474 12/22/99 37,433 39,474 36,829
Class B common stock (B) 13,816 shs. 12/22/99 124,342 138,157 124,342
Limited Partnership
Interests 4.56% int. 12/22/99 248,683 276,314 248,683
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 23,958 shs. 12/22/99 240 219,078 240
------------ ------------ ------------
2,165,690 2,239,005 2,138,086
------------ ------------ ------------
</TABLE>
*3/5/99 and 3/24/99.
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10
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Discount Auto Parts
A retailer of auto parts.
9.8% Senior Secured Note
due 2003 $ 450,000 11/2/89 $ 434,745 $ 450,000 $ 457,740
------------ ------------ ------------
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 1,312,168
Membership Interests of
MM/Lincap Diversco
Invstments Ltd., LLC (B) 366,495 int. 8/27/98 293,196 366,495 293,196
Warrants, 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 1,605,382
------------ ------------ ------------
Eagle Pacific Industries,
Inc. - O.T.C.
An extruder of small and
medium diameter plastic
pipe and tubing in the
United States.
14% Senior Subordinated
Note due 2007 $ 1,725,628 9/16/99 1,725,628 1,725,628 1,786,715
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 101,505 shs. 9/16/99 -- 1 1,654,887
------------ ------------ ------------
1,725,628 1,725,629 3,441,602
------------ ------------ ------------
Enzymatic Therapy, Inc.
A manufacturer and
distributor of branded
natural medicines and
nutritional supplements.
12% Senior Note due 2009 $ 843,750 3/30/00 822,488 697,666 816,159
Limited Partnership
Interest 281,250 int. 3/30/00 253,125 281,250 253,125
Warrant, exercisable
until 2009, to purchase
common stock at $.01 per
share (B) 253 shs. 3/30/00 3 135,000 3
------------ ------------ ------------
1,075,616 1,113,916 1,069,287
------------ ------------ ------------
Evans Consoles, Inc.
A designer and
manufacturer of consoles
and control center
systems.
Senior Secured Tranche A
Floating Rate Note due
2005 $ 628,850 3/2/98 624,071 628,850 617,656
8.85% Senior Secured
Tranche A Note due 2005 $ 628,850 3/2/98 585,711 628,850 575,020
11.75% Senior Secured
Tranche B Note due 2006 $ 350,000 3/2/98 371,875 304,566 343,490
Common Stock (B) 13,524 shs. 2/11/98 38,000 47,691 38,153
Limited Partnership
Interests of CM Equity
Partners (B) 63,525 int. 2/11/98 508 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
------------ ------------ ------------
1,620,339 1,729,482 1,625,313
------------ ------------ ------------
</TABLE>
*10/24/96 and 8/28/98.
--------------------------------------------------------------------------------
11
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
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 $ 1,032,897 $ 1,050,860
Limited Partnership 1,133,133
Interest (B) int. 3/1/99 1,019,820 1,133,133 1,019,820
Warrant, 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 2,259,102 2,111,568
------------ ------------ ------------
Fasteners for Retail,
Inc.
A designer and marketer
of low-cost fasteners for
point of purchase
displays and signage in
retail environments.
12.5% Senior
Subordinated Note due
2007 $ 1,932,000 12/22/99 1,942,626 1,696,537 1,911,907
Class B Common Stock (B) 318 shs. 12/22/99 254,400 318,000 254,400
Warrant, exercisable
until 2007, to purchase
common stock at $.02 per
share (B) 312 shs. 12/22/99 3 245,034 3
------------ ------------ ------------
2,197,029 2,259,571 2,166,310
------------ ------------ ------------
Fleming Acquisition
Corporation
A supplier of high-
quality, premium printed
labels for distiller
spirits, wine, food and
household products.
Common Stock (B) 270 shs. 4/28/95 609,908 135,000 22,984
Warrant, exercisable
until 2005, to purchase
common stock at $.01 per
share (B) 190 shs. 4/28/95 49,116 85,226 16,161
Incentive Warrant,
exercisable until 2005,
to purchase common stock
at $.01 per share (B) 10 shs. 4/28/95 1,671 1,136 817
------------ ------------ ------------
660,695 221,362 39,962
------------ ------------ ------------
G C-Sun Holdings, LP
A value-added national
distributor of
maintenance, repair and
operating supplies such
as fasteners, electrical
components and tools.
12% Senior Subordinated
Note due 2008 $ 920,000 3/2/00 898,932 738,689 891,572
Warrant, exercisable
until 2008, to purchase
common stock at $.01 per
share (B) 469 shs. 3/2/00 5 185,220 5
------------ ------------ ------------
898,937 923,909 891,577
------------ ------------ ------------
Golden Bear Oil
Specialties
A manufacturer of asphalt
and specialty lubricating
and processing oils.
17% Senior Subordinated
Note due 2005 $ 1,717,950 7/18/97 1,734,442 1,691,400 1,786,668
18% Bridge Preferred
Stock 144 shs. 5/30/00 142,683 144,270 143,188
12% Preferred Stock 196 shs. 7/18/97 19,843 155,556 106,429
Common Stock (B) 13,537 shs. 7/18/97 56,448 38,920 135
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
------------ ------------ ------------
1,953,619 2,065,156 2,036,623
------------ ------------ ------------
</TABLE>
--------------------------------------------------------------------------------
12
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Grand Lyon Enterprises
LLC
A manufacturer and
marketer of Grand Lyon
Bordeaux Ketchup.
Limited Liability
Interests (B) 2.50% int. 5/15/98 $ 110,174 $ 110,174 $ --
------------ ------------ ------------
Hamilton Funeral Services
The largest privately
held owner and operator
of funeral homes in the
United States.
15% Senior Subordinated
Note due 2007 $ 1,771,169 1/25/99 1,701,916 1,743,038 1,548,002
Warrant, exercisable
until 2007, to purchase
common stock at $1 per
share (B) 196,421 shs. 1/25/99 1,964 28,131 1,964
------------ ------------ ------------
1,703,880 1,771,169 1,549,966
------------ ------------ ------------
Hanover Compressor
Company
A provider of natural gas
handling equipment and
services.
Common Stock (B) 57,241 shs. 6/5/00 1,622,425 1,622,425 1,957,642
------------ ------------ ------------
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 1,191,949 1,272,657
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 1,748,410 1,573,325
------------ ------------ ------------
Hudson River Capital, LLC
An acquirer of
controlling or
substantial interests in
manufacturing and
marketing entities.
Series A Preferred Units
(B) 25,000 uts. 7/21/94 221,826 133,474 237,500
------------ ------------ ------------
Hussey Seating Company
A manufacturer of
spectator seating
products.
Senior Secured Floating
Rate Revolving Note due
2003 $ 1,147,500 6/12/96 1,136,916 1,147,500 1,113,534
Senior Secured Floating
Rate Note due 2003 $ 787,500 ** 779,704 787,500 761,434
10% Senior Secured Note
due 2003 $ 206,250 6/12/96 200,805 206,250 197,402
12% Subordinated Secured
Note due 2006 $ 675,000 6/12/96 663,660 597,869 609,120
Warrant, exercisable
until 2006, to purchase
common stock at $.01 per
share (B) 2,570 shs. 6/12/96 26 112,500 26
------------ ------------ ------------
2,781,111 2,851,619 2,681,516
------------ ------------ ------------
</TABLE>
*4/18/97 and 10/7/98.
**6/12/96 and 6/11/99.
--------------------------------------------------------------------------------
13
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Immedient Corporation
A provider of diversified
staffing services.
Common Stock (B) 2,938 shs. 3/31/98 $ -- $ 16,156 $ 14,543
------------ ------------ ------------
Integration Technology
Systems, Inc.
A manufacturer of steel
protective computer and
network systems for the
industrial and office
environments.
Senior Secured Floating
Rate Revolving Note due
2007 $ 57,420 6/1/00 86,404 57,420 56,863
11% Senior Secured Note
due 2007 $ 1,263,251 6/1/00 1,219,543 1,263,251 1,230,280
Common Stock (B) 130 shs. 6/1/00 119,600 149,500 119,600
------------ ------------ ------------
1,425,547 1,470,171 1,406,743
------------ ------------ ------------
Jackson Products, Inc.
A manufacturer and
distributer 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 1,584,094 1,601,654
Warrant, exercisable
until 2004, to purchase
common stock at $.01 per
share (B) 28,717 shs. 12/2/96 28,717 166,700 12,147
------------ ------------ ------------
1,721,222 1,750,794 1,613,801
------------ ------------ ------------
Keepsake Quilting, Inc.
A seller of quilting
fabrics, books, patterns,
kits and notions to
consumers.
Senior Secured Floating
Rate Revolving Note due
2005 $ 41,935 6/16/00 41,348 41,935 41,352
Senior Secured Floating
Rate Tranche A Note due
2007 $ 733,855 6/16/00 724,315 733,855 724,388
12% Senior Secured
Tranche B Note
due 2008 $ 314,509 6/16/00 305,514 288,372 303,250
Limited Partnership
Interests of Riverside X
Holding Company L.P. (B) 3.46% int. 6/12/00 217,787 235,936 212,342
Warrant, exercisable
until 2008, to purchase
common stock at $.01 per
share (B) 633 shs. 6/12/00 6 26,209 6
------------ ------------ ------------
1,288,970 1,326,307 1,281,338
------------ ------------ ------------
</TABLE>
--------------------------------------------------------------------------------
14
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
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 $ 1,746,675 $ 1,777,021
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 2,279,511 1,948,793
------------ ------------ ------------
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 19,356 774,238
------------ ------------ ------------
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 1,271,681 1,135,840
Limited Partnership
Interests of MDT
Holdings LLC (B) 2.30% int. 4/9/99 585,900 651,000 488,250
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 2,280,167 1,628,035
------------ ------------ ------------
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 96,059 115,386 164,425
Warrant, exercisable
until 2005, to purchase
common stock at $.01 per
share (B) 19,795 shs. 6/28/95 49,325 85,714 84,447
------------ ------------ ------------
376,157 431,873 479,645
------------ ------------ ------------
*12/23/96 and 1/28/99.
</TABLE>
--------------------------------------------------------------------------------
15
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Merit Industries, Inc.
A designer and
manufacturer of coin-
operated video and dart
games.
12% Senior Subordinated
Note due 2006 $ 1,333,635 8/19/98 $ 1,308,696 $ 1,255,875 $ 666,818
Limited Partnership
Interests of Riverside X
Holding Company L.P. (B) 3.76% int. * 498,806 773,981 193,495
Warrant, exercisable
until 2006, to purchase
limited partnership
interests at $.01 per
share (B) 927 int. 8/19/98 9 92,706 9
------------ ------------ ------------
1,807,511 2,122,562 860,322
------------ ------------ ------------
Microfinancial, Inc.
A leasing company
specializing in the
leasing and rental of
microticket business
equipment.
12% Senior Subordinated
Note due 2001 $ 400,000 4/16/94 359,888 368,662 403,600
------------ ------------ ------------
Nexell Therapeutics
A provider of cell
therapy technology to the
medical community.
3% Cumulative
Convertible Preferred
Stock Series B, due
2008, convertible into
common stock at $11 per
share 2,250 shs. 11/24/99 219,807 2,250,000 2,738,351
Warrant, exercisable
until 2008, to purchase
common stock at $12 per
share (B) 26,786 shs. 11/24/99 1,071 -- 69,312
------------ ------------ ------------
220,878 2,250,000 2,807,663
------------ ------------ ------------
NPC, Inc.
A manufacturer of
flexible connectors and
equipment used in the
installation of sewers
and storm drain
pipelines.
Senior Secured Floating
Rate Revolving Note due
2006 $ 81,355 6/25/99 81,355 81,355 80,715
Senior Secured Floating
Rate Note due 2006 $ 1,840,678 6/25/99 1,856,271 1,840,678 1,827,977
12% Senior Secured
Tranche B Note due 2007 $ 559,322 6/25/99 477,966 483,770 532,866
Limited Partnership
Interests of Riverside
XIII Holding Company
L.P. 2.45% int. 6/11/99 194,110 194,110 155,288
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 115 shs. 6/25/99 81,358 81,356 1
------------ ------------ ------------
2,691,060 2,681,269 2,596,847
------------ ------------ ------------
*8/12/98 and 8/11/99.
</TABLE>
--------------------------------------------------------------------------------
16
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Olympic Boat Centers,
Inc.
An operator of boat
dealerships in Washington
state, Wisconsin,
Minnesota, and British
Columbia.
12% Senior Subordinated
Note due 2006 $ 1,387,000 8/7/98 $ 1,382,284 $ 1,240,253 $ 1,319,314
12% Senior Subordinated
Note due 2008 $ 244,154 2/9/00 238,636 214,154 238,587
Limited Partnership
Interest of Riverside
VIII Holding Company
L.P. (B) 4.94% int. * 480,026 528,842 475,958
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 12,896 shs. ** 1,666 206,041 65,382
------------ ------------ ------------
2,102,612 2,189,290 2,099,241
------------ ------------ ------------
PAR Acquisition Corp.
A manufacturer of fuel
handling systems for
nuclear power plants and
hazardous waste.
8% Convertible Preferred
Stock due 2001,
convertible into common
stock at $2 per share 83,333 shs. 2/5/93 166,667 166,667 270,000
Common Stock (B) 133,333 shs. 2/5/93 333,333 333,333 432,000
------------ ------------ ------------
500,000 500,000 702,000
------------ ------------ ------------
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 1,806,175
------------ ------------ ------------
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 1,741,950
------------ ------------ ------------
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 $ 293,705 11/30/95 306,070 293,705 295,203
10.5% Senior Secured
Convertible Note due
2005, convertible into
common stock at $50,000
per share $ 97,500 11/30/95 102,668 97,500 103,545
Common Stock 3 shs. 11/30/95 113,906 169,000 112,001
------------ ------------ ------------
522,644 560,205 510,749
------------ ------------ ------------
*8/7/98 and 2/23/99.
**8/7/98 and 2/28/00.
***12/20/96, 3/20/97 and
6/20/97.
</TABLE>
--------------------------------------------------------------------------------
17
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Polymer Technologies,
Inc./Poli-Twine Western,
Inc.
A leading manufacturer of
polypropylene twine for
the hay bailing
marketplace.
11% Senior Subordinated
Note due 2010 $ 956,250 3/1/00 $ 927,849 $ 903,081 $ 921,442
10% Junior Subordinated
Note due 2010 $ 126,562 3/1/00 108,844 126,562 108,021
Common Stock (B) 84,375 shs. 3/1/00 37,969 42,188 37,969
Warrant, exercisable
until 2010, to purchase
common stock at $.01 per
share (B) 84,375 shs. 3/1/00 844 54,816 844
------------ ------------ ------------
1,075,506 1,126,647 1,068,276
------------ ------------ ------------
Precision Dynamics, Inc.
A manufacturer of custom-
designed solenoid valves
and controls.
Senior Secured Floating
Rate Revolving Credit
Facility due 2003 $ 309,700 7/22/96 306,634 309,700 296,600
Senior Secured Floating
Rate Term Note
due 2003 $ 1,189,900 7/22/96 1,178,239 1,189,900 1,148,610
12% Senior Secured Term
Note due 2004 $ 244,500 7/22/96 241,273 213,364 230,784
8% Preferred Stock 156 shs. 7/22/96 148,613 115,951 89,503
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
------------ ------------ ------------
1,885,610 1,892,404 1,776,435
------------ ------------ ------------
Process Chemicals, LLC
A speciality chemical
company that manufactures
process chemicals for the
fertilizer, asphalt and
concrete industries.
6% Redeemable Preferred
Membership Interests 1,262 int. * 124,205 1,307,687 1,234,980
Common Membership
Interests 4,932 int. * 12,429 30,059 118,569
------------ ------------ ------------
136,634 1,337,746 1,353,549
------------ ------------ ------------
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 $ 173,333 8/12/94 171,045 173,333 104,000
9.8% Redeemable
Exchangeable
Preferred Stock 332 shs. 8/12/94 28,165 33,217 6,643
Common Stock (B) 497 shs. 8/12/94 5 -- 37
------------ ------------ ------------
199,215 206,550 110,680
------------ ------------ ------------
*7/31/97 and 1/4/99.
</TABLE>
--------------------------------------------------------------------------------
18
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Rent-Way, Inc. - O.T.C.
An operator 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 $ -- $ 186,362
------------ ------------ ------------
Safety Speed Cut
Manufacturing
A manufacturer of
vertical panel saws and
routers for the wood
working industry.
Senior Secured Floating
Rate Tranche A Note due
2007 $ 1,830,585 6/2/99 1,830,585 1,830,585 1,820,517
12% Senior Secured
Tranche B Note due 2007 $ 646,089 6/2/99 646,089 646,089 609,650
Class B common stock (B) 846 shs. 6/2/99 146,456 146,456 117,165
------------ ------------ ------------
2,623,130 2,623,130 2,547,332
------------ ------------ ------------
Snyder Industries, Inc.
A manufacturer of
proprietary rotationally
molded polythylene
containers.
12.5% Senior
Subordinated Note due
2007 $ 2,250,000 12/6/99 2,186,550 1,983,498 2,168,775
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 369 shs. 12/6/99 4 306,818 4
------------ ------------ ------------
2,186,554 2,290,316 2,168,779
------------ ------------ ------------
SpectaGuard Acquisition
LLC
The tenth largest
provider of security
officers in the United
States.
14% Senior Subordinated
Note due 2008 $ 1,050,000 3/1/00 1,027,845 1,031,110 1,020,285
14% Preferred Stock 69 shs. 3/1/00 58,797 69,270 58,166
Common stock (B) 33,393 shs. 3/1/00 3,958 4,948 3,957
Warrant, exercisable
until 2008, to purchase
common stock at $.01 per
share (B) 134,925 shs. 3/1/00 1,349 18,890 1,349
------------ ------------ ------------
1,091,949 1,124,218 1,083,757
------------ ------------ ------------
Star International Inc.
A manufacturer of
commercial cooking
appliances.
11% Senior Secured Note
due 2004 $ 889,700 1/25/00 854,290 837,044 852,149
9.65% Senior Secured
Note due 2004 $ 234,626 5/27/94 234,626 234,626 221,487
10.5% Subordinated Note
due 2004 $ 179,104 5/27/94 162,913 179,104 159,940
Common Stock (B) 1,077 shs. 5/27/94 58,414 64,904 65,997
Warrant, exercisable
until 2004, to purchase
common stock at $.01 per
share (B) 1,271 shs. 5/27/94 23,552 57,243 77,871
------------ ------------ ------------
1,333,795 1,372,921 1,377,444
------------ ------------ ------------
</TABLE>
--------------------------------------------------------------------------------
19
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Strategic Equipment &
Supply Partners, Inc.
A provider of kitchen and
restaurant design,
equipment fabrication and
installation services.
12% Senior Subordinated
Note due 2008 $ 2,250,000 1/14/00 $ 2,210,625 $ 1,879,474 $ 2,195,100
Warrant, exercisable
until 2008, to purchase
common stock at $.01 per
share (B) 17,588 shs. 1/14/00 176 382,500 176
------------ ------------ ------------
2,210,801 2,261,974 2,195,276
------------ ------------ ------------
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
2007 $ 1,356,000 2/5/98 1,381,086 1,198,736 1,346,372
Common Stock (B) 315 shs. 2/5/98 283,500 315,000 283,500
Warrant, exercisable
until 2006, to purchase
shares of Class B common
stock at $.01 per share
(B) 222 shs. 2/5/98 2 184,416 57,121
------------ ------------ ------------
1,664,588 1,698,152 1,686,993
------------ ------------ ------------
Therma-Tru Corporation
A manufacturer of
residential exterior
entry door systems.
12% Senior Subordinated
Note due 2009 $ 654,000 5/9/00 618,684 502,801 633,726
Limited Partnership
Interest of KT Holding
Company L.P. (B) .27% int. 5/5/00 368,190 409,100 368,190
Warrant, exercisable
until 2009, to purchase
common stock at $.01 per
share (B) 391 shs. 5/9/00 4 152,055 4
------------ ------------ ------------
986,878 1,063,956 1,001,920
------------ ------------ ------------
Tidewater Holdings, Inc.
An operator of a barge
transportation line on
the Columbia/Snake River
system.
Convertible Preferred
Stock, convertible into 560 shs. 7/25/96 504,000 560,000 401,194
common stock at $1,000
per share (B)
Warrant, exercisable
until 2008, to purchase
common stock at $.01 per
share (B) 237 shs. 7/25/96 21 24,103 169,703
------------ ------------ ------------
504,021 584,103 570,897
------------ ------------ ------------
</TABLE>
--------------------------------------------------------------------------------
20
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ------------ ------------ ------------ ------------
<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 $ 600,000 3/28/91 $ 637,140 $ 593,100 $ 608,520
Common Stock (B) 203,165 shs. * 314,108 598,597 1,057,718
Warrant, exercisable
until 2001, to purchase
common stock at $3.60
per share (B) 74,606 shs. 3/28/91 7,461 42,000 160,127
------------ ------------ ------------
958,709 1,233,697 1,826,365
------------ ------------ ------------
Trend Technologies, Inc.
A manufacturer and
assembler of plastic
injection molded parts.
Limited Partnership
Interests of Riverside V
Holding Company L.P. 4.13% int. ** 90,722 100,437 80,347
Limited Partnership
Interests of Riverside
V-A Holding Company L.P. 4.13% int. ** 262,233 274,193 205,653
------------ ------------ ------------
352,955 374,630 286,000
------------ ------------ ------------
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 1,500,000 300,000
Common Stock (B) 35,714 shs. 4/17/98 249,998 249,998 11,161
Warrant, exercisable
until 2005, to purchase
common stock at $2.03
per share (B) 109,091 shs. 5/26/98 -- 1 1,091
------------ ------------ ------------
264,998 1,749,999 312,252
------------ ------------ ------------
Tronair, Inc.
A designer, engineer and
manufacturer of ground
support equipment for the
business, commuter and
commercial aviation
markets.
Senior Secured Revolving
Credit Facility
due 2005 $ 124,545 1/20/00 124,545 124,545 124,545
10.5% Senior Secured
Term Note due 2008 $ 1,353,750 1/20/00 1,294,456 1,353,750 1,292,019
12% Senior Subordinated
Note due 2010 $ 758,100 1/20/00 725,805 703,046 724,592
Common Stock (B) 129,960 shs. 1/20/00 103,968 129,960 103,968
Warrant, exercisable
until 2010, to purchase
common stock at $.01 per
share (B) 148,912 shs. 1/20/00 1,489 56,316 1,489
------------ ------------ ------------
2,250,263 2,367,617 2,246,613
------------ ------------ ------------
</TABLE>
*3/28/91, 12/18/91, 9/30/92, 9/30/93, 9/30/94, 3/31/95 and 5/9/95.
**3/21/97, 10/16/97, 11/19/97 and 3/12/99.
--------------------------------------------------------------------------------
21
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
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 $ 1,194,095 $ 1,288,093
Limited Partnership
Interests (B) 5.02% int. 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 1,794,931 1,659,169
------------ ------------ ------------
TVI, Inc.
A retailer of used
clothing in the United
States, Canada and
Australia.
15.971% Senior
Subordinated Note due
2008 $ 984,375 5/2/00 947,953 937,935 954,844
Common Stock (B) 187,500 shs. 5/2/00 168,750 187,500 168,750
------------ ------------ ------------
1,116,703 1,125,435 1,123,594
------------ ------------ ------------
U.S. Netting, Inc.
A manufacturer of plastic
netting for a wide
variety of industries.
Senior Secured Revolving
Credit Facility due 2005 $ 125,820 5/3/95 125,820 125,820 64,860
11% Senior Secured Note
due 2005 $ 535,900 5/3/95 592,598 535,900 331,776
12% Subordinated Note
due 2005 $ 326,200 5/3/95 367,008 314,756 210,856
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
------------ ------------ ------------
1,213,093 1,190,167 609,963
------------ ------------ ------------
Unidigital, Inc.
A provider within the
digital image and digital
media services sector.
14% Senior Subordinated
Note due 2006 $ 2,270,875 9/14/99 2,157,331 2,158,375 2,167,550
Warrant, exercisable
until 2006, to purchase
limited partnership
interests at $5.425 per
unit (B) 77,640 shs. 9/14/99 112,524 112,500 776
------------ ------------ ------------
2,269,855 2,270,875 2,168,326
------------ ------------ ------------
Unipac Corporation
A manufacturer of
laminated materials which
are used to seal a
variety of packaging
containers.
Limited Partnership
Interests of Riverside
II Holding Company L.P.
(B) 25,481 uts. * 23,355 25,481 --
------------ ------------ ------------
</TABLE>
*2/9/96 and 9/25/96.
--------------------------------------------------------------------------------
22
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares,
Units
Warrants Fair Value
Ownership or at Fair Value
Principal Acquisition Acquisition Cost at 6/30/00
Amount Date Date (Note 2B) (Note 2A)
Corporate Restricted Securities: (A) (Continued) ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
US Airways Group -
N.Y.S.E.
A domestic and
international airline.
10.8% Series A Secured
Loan Certificates
due 2003 $ 260,288 6/29/94 $ 221,245 $ 244,691 $ 262,813
------------ ------------ ------------
USFlow Corporation
A distributor of
industrial pipes, valves
and fittings.
12.5% Senior
Subordinated Note due
2007 $ 1,834,000 12/14/99 1,848,672 1,598,557 1,811,442
Class B Common Stock (B) 352 shs. 12/14/99 316,440 351,600 316,440
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 299 shs. 12/14/99 3 244,533 3
------------ ------------ ------------
2,165,115 2,194,690 2,127,885
------------ ------------ ------------
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 6,849 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 $ 487,987 1/2/98 492,916 487,987 485,840
Senior Secured Floating
Rate Tranche A Note due
2005 $ 999,600 1/2/98 991,703 999,600 994,202
12% Senior Secured
Tranche B Note due 2007 $ 336,000 1/2/98 339,394 310,800 319,738
Senior Secured Floating
Rate Tranch C
Note due 2006 $ 646,000 9/17/99 636,772 636,771 646,000
Limited Partnership
Interests of Riverside
VI Holding Company L.P. 3.31% int. * 158,801 198,501 158,801
Warrant, exercisable
until 2007, to purchase
common stock at $.01 per
share (B) 59 shs. 1/2/98 1 34,430 1
------------ ------------ ------------
2,619,586 2,668,089 2,604,582
------------ ------------ ------------
Total Private Placement
Investments $ 94,470,257 103,386,862 98,054,088
============ ------------ ------------
</TABLE>
*12/30/97 and 9/9/99.
--------------------------------------------------------------------------------
23
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares or Fair Value
Corporate Restricted Interest Due Principal Cost at 6/30/00
Securities: (A) Rate Date Amount (Note 2B) (Note 2A)
(Continued) -------- -------- ------------ ------------ ------------ ---
<S> <C> <C> <C> <C> <C> <C>
Rule 144A Securities -
8.40%: (A)
---
Bonds - 3.47%
360 Networks, Inc. 13.000% 05/01/08 $ 800,000 $ 780,975 $ 800,000
Climachem, Inc. 10.750 12/01/07 100,000 96,000 25,000
Cuddy International
Corp. 10.750 12/01/07 470,000 462,978 102,225
Enserch Exploration,
Inc. 7.540 01/02/09 858,767 858,767 728,879
Flextronics
International 9.875 07/01/10 225,000 223,245 226,687
T C W Leveraged Income
Trust, LP 8.410 03/31/04 1,500,000 1,500,000 1,436,850
Tekni-Plex, Inc. 12.750 06/15/10 465,000 458,629 463,838
------------ ------------ ------------
Total Bonds $ 4,418,767 4,380,595 3,783,479
============ ------------ ------------
Convertible Bonds - 3.65%
Commscope, Inc. 4.000 12/15/06 125,000 125,000 134,976
Conexant Systems, Inc. 4.000 02/01/07 640,000 622,851 487,898
Diamond Offshore
Drilling, Inc. (B) 0.000 06/06/20 675,000 337,230 316,724
Echostar Communications,
Inc. 4.875 01/01/07 240,000 240,000 227,244
Getty Images, Inc. 5.000 03/15/07 550,000 550,000 437,250
Hyperion Solutions Corp. 4.500 03/15/05 100,000 100,000 89,672
Rational Software Corp. 5.000 02/01/07 500,000 500,000 734,585
Semtech Corp. 4.500 02/01/07 475,000 474,884 496,954
Triquint Semiconductor,
Inc. 4.000 03/01/07 470,000 439,836 420,335
Viropharma, Inc. 6.000 03/01/07 110,000 75,350 41,250
Vitesse Semiconductor
Corp. 4.000 03/15/05 640,000 478,425 590,086
------------ ------------ ------------
Total Convertible Bonds $ 4,525,000 3,943,576 3,976,974
============ ------------ ------------
Convertible Preferred
Stock - 1.25%
Alliant Energy
Resources, Inc. 2,500 805,517 859,375
D T Industries, Inc. 20,000 1,000,000 500,000
------------ ------------
Total Convertible
Preferred Stock 1,805,517 1,359,375
------------ ------------
Warrants - 0.03%
Winsloew Escrow
Corporation (B) 700 7 35,000
------------ ------------
Total Warrants 7 35,000
------------ ------------
Total Rule 144A
Securities 10,129,695 9,154,828
------------ ------------
Total Corporate
Restricted Securities 113,516,557 107,208,916
------------ ------------
</TABLE>
--------------------------------------------------------------------------------
24
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares or Market Value
Interest Due Principal Cost at 6/30/00
Corporate Public Rate Date Amount (Note 2B) (Note 2A)
Securities - 19.21%: (A) -------- -------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Bonds - 7.23%
Airplanes Pass Thru
Trust 8.150% 03/15/19 $ 1,399,350 $ 1,398,113 $ 1,259,289
Allied Waste NA, Inc. 10.000 08/01/09 500,000 395,000 422,500
Canadian Airlines
Corporation 10.000 05/01/05 230,000 230,500 239,775
Central Tractor 10.625 04/01/07 300,000 293,250 210,000
Derby Cycle Corporation 10.000 05/15/08 425,000 425,000 170,000
GFSI, Inc. 9.625 03/01/07 125,000 103,794 91,250
Grove Worldwide 9.250 05/01/08 265,000 231,175 98,050
Haynes International,
Inc. 11.625 09/01/04 580,000 522,950 406,000
Hexcel Corporation 9.750 01/15/09 450,000 450,000 400,500
Kevco, Inc. 10.375 12/01/07 225,000 123,750 67,500
LLS Corporation 11.625 08/01/09 425,000 378,250 401,625
MCMS, Inc. 9.750 03/01/08 500,000 500,000 300,000
Morris Materials
Handling 9.500 04/01/08 300,000 300,000 39,000
Neff Corporation 10.250 06/01/08 120,000 118,813 74,400
Northwest Airlines
Corporation 8.970 01/02/15 920,759 920,759 933,438
Numatics, Inc. 9.625 04/01/08 560,000 547,144 448,000
Pillotex Corporation 10.000 11/15/06 50,000 51,500 17,500
Sports Club Company 11.375 03/15/06 400,000 388,000 380,000
United Refining Company 10.750 06/15/07 980,000 980,000 539,000
W R Carpenter North
America 10.625 06/15/07 550,000 556,344 110,000
WEC Company, Inc. 12.000 09/07/15 750,000 750,000 630,000
Winsloew Escrow
Corporation 12.750 08/15/07 700,000 684,033 644,000
------------ ------------ ------------
Total Bonds $ 10,755,109 10,348,375 7,881,827
============ ------------ ------------
Common Stock - 3.51%
Accelerated Networks,
Inc. (B) 200 3,000 8,438
American Country
Holdings, Inc. (B) 13,500 188,723 33,750
Associated Materials,
Incorporated 23,512 270,423 352,680
Benson Petroleum, LTD.
(B) 100,000 77,204 114,740
BP Prudhoe Bay Royalty
Trust 13,190 174,546 157,456
Budget Group, The (B) 47,164 986,991 194,552
Charles River Lab
Int'l, Inc. (B) 3,500 56,000 77,656
Computer Horizons
Corporation (B) 11,668 139,221 156,789
Dreamlife, Inc. (B) 39,375 438,156 142,734
Excalibur Technologies
Corp. (B) 15,800 545,403 631,012
Exfo Electro-Optical
Engineering (B) 700 18,200 30,712
Florist Transworld
Delivery, Inc. (B) 9,374 13,754 56,244
Rent-Way, Inc. - O.T.C.
(B) 60,362 600,002 1,761,816
Swiss Army Brands, Inc.
(B) 21,000 212,150 107,625
------------ ------------
Total Common Stock 3,723,773 3,826,204
------------ ------------
</TABLE>
--------------------------------------------------------------------------------
25
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Shares or Market Value
Interest Due Principal Cost at 6/30/00
Corporate Public Rate Date Amount (Note 2B) (Note 2A)
Securities: (A) (Continued) ---------- -------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Convertible Bonds - 3.47%
Clear Channel
Communication, Inc. 1.500% 12/01/02 $ 250,000 $ 250,000 $ 244,512
Conexant Systems, Inc. 4.000 02/01/07 95,000 74,575 72,422
Cox Communications, Inc. 0.426 04/19/20 1,275,000 547,342 664,938
Cymer, Inc. 3.500 08/06/04 305,000 302,200 352,031
Cypress Semiconductor
Corporation 3.750 07/01/05 470,000 455,500 450,279
Cypress Semiconductor
Corporation 4.000 02/01/05 115,000 115,000 131,737
Hyperion Solutions, Inc. 4.500 03/15/05 30,000 21,300 26,902
Kellstorm Industries,
Inc. 5.500 06/15/03 500,000 427,231 212,745
LSI Logic Corporation 4.000 02/15/05 275,000 273,763 291,844
Networks Associates,
Inc. 0.000 02/13/18 1,600,000 557,007 559,888
Solectron, Inc. 0.000 05/08/20 910,000 526,999 573,300
Tower Automotive, Inc. 5.000 08/01/04 250,000 226,250 195,235
------------ ------------ ------------
Total Convertible Bonds $ 6,075,000 3,777,167 3,775,833
------------ ------------ ------------
Total Corporate Public
Securities 17,849,315 15,483,864
------------ ------------
<CAPTION>
Market Value
Interest Due Principal Cost at 6/30/00
Rate/Yield Date Amount (Note 2B) (Note 2A)
Short-Term Securities: ---------- -------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Commercial Paper - 5.86%
Conagra, Inc. 7.028 07/05/00 $ 665,000 $ 664,488 $ 664,488
Countrywide Home Loans,
Inc. 7.101 07/03/00 330,000 329,808 329,808
Houston Industries
Finance Co. 7.158 07/06/00 1,820,000 1,818,217 1,818,217
Pentair, Inc. 6.961 07/10/00 2,475,000 2,470,759 2,470,759
US West Capital Funding,
Inc. 7.361 07/07/00 1,100,000 1,098,449 1,098,449
------------ ------------ ------------
Total Short-Term
Securities $ 6,390,000 6,381,721 6,381,721
============ ------------ ------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Investments - 118.47% $137,747,593 129,074,501
============ ------------
Other Assets - 3.63 3,949,293
Liabilities - (22.10) (24,076,212)
--------- ------------
Total Net Assets - 100.00% $108,947,582
========= ============
</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.
See Notes to Financial Statements
--------------------------------------------------------------------------------
26
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
INDUSTRY CLASSIFICATION
<TABLE>
<CAPTION>
Fair Value
at 6/30/00
(Note 2A)
Corporate Restricted Securities: ------------
<S> <C>
AUTOMOBILE - 3.58%
America's Body Co./LCP Holding Co. $ 1,955,347
LIH Investors, L.P. 1,948,793
------------
3,904,140
------------
BEVERAGE, FOOD & TOBACCO - 2.03%
Beta Brands, Inc. 921,212
Cains Foods, L.P. 1,285,986
Grand Lyon Enterprises --
------------
2,207,198
------------
BROADCASTING &
ENTERTAINMENT - 0.21%
Echostar Communications, Inc. 227,244
------------
BUILDINGS & REAL ESTATE - 5.43%
Adorn, Inc. 1,068,527
Strategic Equipment & Supply Partners, Inc 2,195,276
Therma-Tru Corporation 1,001,920
Truseal Technologies, Inc. 1,659,169
------------
5,924,892
------------
CARGO TRANSPORT - 0.52%
Tidewater Holdings, Inc. 570,897
------------
CHEMICAL, PLASTICS & RUBBER - 2.35%
AccTech, LLC --
Contico International, Inc. 309,630
Process Chemicals, LLC 1,353,549
Trend Technologies, Inc. 286,000
U.S. Netting, Inc. 609,963
------------
2,559,142
------------
CONSUMER PRODUCTS - 6.83%
Alpha Shirt Company 2,157,210
Consumer Product Enterprises, Inc. 1,015,203
Corvest Promotional Products, Inc. 2,091,294
G C-Sun Holdings, LP 891,577
Keepsake Quilting, Inc. 1,281,338
------------
7,436,622
------------
</TABLE>
<TABLE>
<CAPTION>
Fair Value
at 6/30/00
(Note 2A)
Corporate Restricted Securities: (Continued) ------------
<S> <C>
CONTAINERS, PACKAGING &
GLASS - 5.15%
C & K Manufacturing and Sales Company $ 336,856
Capitol Specialty Plastics, Inc. 201
Fleming Acquisition Corporation 39,962
Snyder Industries, Inc. 2,168,779
Tekni-Plex, Inc. 463,838
Unipac Corporation --
Vitex Packaging, Inc. 2,604,582
------------
5,614,218
------------
DIVERSIFIED/CONGLOMERATE - MANUFACTURING - 20.31%
Commscope, Inc. 134,976
D T Industries, Inc. 500,000
Eagle Pacific Industries, Inc. 3,441,602
Evans Consoles, Inc. 1,625,313
Hartzell Manufacturing, Inc./CMS Holding Company 1,573,325
Hudson River Capital, LLC 237,500
Hussey Seating Company 2,681,516
Jackson Products, Inc. 499,125
Kappler Safety Group, Inc. 1,613,801
Maxtec International Corp. 479,645
NPC, Inc. 2,596,847
PAR Acquisition Corp. 702,000
Pacific Coast Feather Company 1,806,175
Safety Speed Cut Manufacturing 2,547,332
The Tranzonic Companies 1,686,993
------------
22,126,150
------------
DIVERSIFIED/CONGLOMERATE -SERVICE - 7.79%
Diversco, Inc./DHI Holdings, Inc. 1,605,382
Examination Management Services, Inc. 2,111,568
Hamilton Funeral Services 1,549,966
Magnetic Data Technologies, Inc. /MDT Holdings LLC 1,628,035
Pharmaceutical Buyers, Inc. 510,749
SpectaGuard Acquisition LLC 1,083,757
------------
8,489,457
------------
</TABLE>
--------------------------------------------------------------------------------
27
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.)
June 30, 2000
(Unaudited)
INDUSTRY CLASSIFICATION (Continued)
<TABLE>
<CAPTION>
Fair Value
at 6/30/00
(Note 2A)
Corporate Restricted Securities: (Continued) ------------
<S> <C>
ELECTRONICS - 10.29%
Averstar, Inc. $ 954,132
Conexant Systems, Inc. 487,898
Directed Electronics, Inc. 2,138,086
Flextronics International 226,687
Hyperion Solutions Corp. 89,672
Intergration Technology Systems, Inc. 1,406,743
Precision Dynamics, Inc. 1,776,435
Rational Software Corp. 734,585
Semtech Corporation 496,954
Tridex Corp. 312,252
Triquint Semiconductor, Inc. 420,335
Unidigital, Inc. 2,168,326
------------
11,212,105
------------
FARMING & AGRICULTURE - 1.18%
Cuddy International Corp. 102,225
Polymer Technologies, Inc./Poli-Twine Western, Inc. 1,068,276
Protein Genetics, Inc. 110,680
------------
1,281,181
------------
FINANCE - 1.97%
Microfinancial, Inc. 403,600
Paribas Capital Funding LLC 1,741,950
------------
2,145,550
------------
HEALTHCARE, EDUCATION & CHILDCARE - 3.60%
Enzymatic Therapy, Inc. 1,069,287
Nexell Therapeutics 2,807,663
Viropharma, Inc. 41,250
------------
3,918,200
------------
HOME & OFFICE FURNISHINGS, HOUSEWARES, AND DURABLE CONSUMER
PRODUCTS - 3.25%
Fasteners for Retail, Inc. 2,166,310
Star International Holdings, Inc. 1,377,444
------------
3,543,754
------------
LEISURE, AMUSEMENT, ENTERTAINMENT - 3.60%
Adventure Entertainment Corporation 960,729
CDnow, Inc. 139
Merit Industries, Inc. 860,322
Olympic Boat Centers, Inc. 2,099,241
------------
3,920,431
------------
</TABLE>
<TABLE>
<CAPTION>
Fair Value
at 6/30/00
(Note 2A)
Corporate Restricted Securities: (Continued) ------------
<S> <C>
MINING, STEEL, IRON & NON PRECIOUS METALS - 1.11%
Better Minerals & Aggregates $ 1,214,317
------------
MISCELLANEOUS - 4.06%
CapeSuccess LLC 45,081
Climachem, Inc. 25,000
Enserch Exploration, Inc. 728,879
Immedient Corporation 14,543
TCW Leveraged Income Trust, LP 1,436,850
USFlow Corporation 2,127,885
Victory Ventures, LLC 5,635
Winsloew Escrow Corporation 35,000
------------
4,418,873
------------
OIL AND GAS - 6.34%
Chaparral Resources, Inc. 240
Diamond Offshore Drilling, Inc. 316,724
Golden Bear Oil Specialties 2,036,623
Hanover Compressor Company 1,957,642
Louis Dreyfus Natural Gas Corporation 774,238
TransMontaigne Oil Company 1,826,365
------------
6,911,832
------------
PERSONAL TRANSPORTATION - 2.30%
Tronair, Inc. 2,246,613
U.S. Airways Group 262,813
------------
2,509,426
------------
PRINTING & PUBLISHING - 0.40%
Getty Images, Inc. 437,250
------------
RETAIL STORES - 4.03%
A T I Acquisition Corporation 2,618,880
Discount Auto Parts 457,740
Rent-Way, Inc. 186,362
TVI, Inc. 1,123,594
------------
4,386,576
------------
TELECOMMUNICATIONS - 1.28%
360 Networks, Inc. 800,000
Vitesse Semiconductor Corp. 590,086
------------
1,390,086
------------
UTILITIES - 0.79%
Alliant Energy Resources, Inc. 859,375
------------
Total Corporate Restricted
Securities - 98.40% $107,208,916
============
</TABLE>
--------------------------------------------------------------------------------
28
<PAGE>
MASSMUTUAL PARTICIPATION INVESTORS
NOTES TO FINANCIAL STATEMENTS
(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 David L. Babson and Company, Incorporated ("Babson"), the
Trust's investment adviser. In making valuations, the Trustees will consider
reports by Babson analyzing each portfolio security in accordance with the
relevant factors referred to above. Babson 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
$107,208,916 (98.40% of net assets) as of June 30, 2000 ($93,031,426 at June
30, 1999) 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, 2000, 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 an investment advisory and administrative services contract with the
Trust, Babson 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. Babson 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. Babson 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, Babson 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, Babson 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
Babson, 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 its option, can convert the principal
amount of the Note into common shares. The dollar amount of principal would
be converted into an equivalent dollar amount of common shares based upon
the average price of the common shares for ten business days prior to the
notice of conversion. For each of the periods ended June 30, 2000 and 1999,
the Trust incurred total interest expense on the Note of $415,800.
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, 2000, there were $10,500,000 in outstanding loans against the
Revolver and the average blended rate of interest charged on the Revolver
was 6.62%. For the period ended June 30, 2000, the Trust incurred total
interest expense on the Revolver of $347,619, including $4,151 related to
the undrawn portion.
5.Purchases and Sales of Investments
<TABLE>
<CAPTION>
For the six For the six
months ended months ended
6/30/2000 6/30/1999
------------ ------------
Cost of Investments
Acquired
-------------------------
<S> <C> <C>
Corporate restricted securities $ 29,672,762 $ 26,403,767
Corporate public securities 11,328,757 12,325,813
Short-term securities 217,084,544 174,147,323
<CAPTION>
Proceeds from Sales or
Maturities
-------------------------
<S> <C> <C>
Corporate restricted securities $ 26,529,261 $ 18,220,454
Corporate public securities 19,369,860 18,158,746
Short-term securities 217,350,751 178,903,656
</TABLE>
The aggregate cost of investments was the same for financial reporting and
federal income tax purposes as of June 30, 2000. The net unrealized
depreciation of investments for financial reporting and federal tax purposes
as of June 30, 2000 is $8,673,092 and consists of $11,328,469 appreciation
and $20,001,561 depreciation.
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.
-------------------------------------------------------------------------------
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6.Quarterly Results of Investment Operations
<TABLE>
<CAPTION>
Amount Per Share Amount Per Share
---------- ---------- ---------- ----------
March 31, 2000 March 31, 1999
----------------------- -----------------------
<S> <C> <C> <C> <C>
Investment income $2,913,615 $2,961,161
Net investment income 2,222,077 $0.24 2,294,359 $0.24
Net realized and
unrealized gain (loss) on
investments 6,278,781 0.67 (2,087,179) 0.26
<CAPTION>
June 30, 2000 June 30, 1999
----------------------- -----------------------
<S> <C> <C> <C> <C>
Investment income 3,093,161 2,967,002
Net investment income 2,410,073 0.26 2,302,183 0.25
Net realized and
unrealized gain on
investments 3,261,864 0.35 464,179 0.05
</TABLE>
--------------------------------------------------------------------------------
32
<PAGE>
Trustees
Donald E. Benson*
Milton Cooper
Richard G. Dooley
Donald Glickman
Martin T. Hart*
Jack A. Laughery
Corine T. Norgaard
Stuart H. Reese
[LOGO]
Officers
Stuart H. Reese, Chairman
Richard G. Dooley, Vice Chairman
Robert E. Joyal, President
Charles C. McCobb, Jr., Vice President &
Chief Financial
Officer
Stephen L. Kuhn, Vice President &
Secretary
Michael P. Hermsen, Vice President
Mary Wilson Kibbe, Vice President
Michael L. Klofas, Vice President
Richard C. Morrison, Vice President
Clifford M. Noreen, Vice President
Mark B. Ackerman, Treasurer
Victoria Fortier, Comptroller
*Member of the Audit Committee
Dividend Reinvestment and Cash Purchase Plan
MassMutual Participation Investors offers a Dividend Reinvestment and Cash
Purchase Plan. The Plan provides a simple and automatic way for shareholders to
add to their holdings in the Trust through the receipt of dividend shares issued
by the Trust or through the reinvestment of cash dividends in Trust shares
purchased in the open market. The dividends of each shareholder will be
automatically reinvested in the Trust by Shareholder Financial Services Inc.,
the Transfer Agent, in accordance with the Plan, unless such shareholder elects
not to participate by providing written notice to the Transfer Agent. A
shareholder may terminate his or her participation by notifying the Transfer
Agent in writing.
Participating shareholders may also make additional contributions to the Plan
from their own funds. Such contributions may be made by personal check or other
means in an amount not less than $100 nor more than $5,000 per quarter.
Whenever the Trust declares a dividend payable in cash or shares, the Transfer
Agent, acting on behalf of each participating shareholder, will take the
dividend in shares only if the net asset value is lower than the market price
plus an estimated brokerage commission as of the close of business on the
valuation day. The valuation day is the last day preceding the day of dividend
payment. When the dividend is to be taken in shares, the number of shares to be
received is determined by dividing the cash dividend by the net asset value as
of the close of business on the valuation date or, if greater than net asset
value, 95% of the closing share price. If the net asset value of the shares is
higher than the market value plus an estimated commission, the Transfer Agent,
consistent with obtaining the best price and execution, will buy shares on the
open market at current prices promptly after the dividend payment date.
The reinvestment of dividends does not, in any way, relieve participating
shareholders of any federal, state or local tax. For federal income tax
purposes, the amount reportable in respect of a dividend received in
newly-issued shares of the Trust will be the fair market value of the shares
received, which will be reportable as ordinary income and/or capital gains.
As compensation for its services, the Transfer Agent receives a fee of 5% of any
dividend and cash contribution (in no event in excess of $2.50 per distribution
per shareholder.)
Any questions regarding the Plan should be addressed to Shareholder Financial
Services, Inc., Agent for MassMutual Participation Investors' Dividend
Reinvestment and Cash Purchase Plan, P.O. Box 173673, Denver CO 80217-3673.
<PAGE>
[LOGO]
