N-CSRS 1 form-ncsrs_16557.txt MASSMUTUAL PARTICIPATION INVESTORS UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-5531 --------------------------------------------- MassMutual Participation Investors -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1500 Main Street, P.O. Box 15189, Springfield, MA 01115-5189 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Patricia J. Walsh, Vice President, Secretary and Chief Legal Officer 1500 Main Street, Suite 2800, P.O. Box 15189, Springfield, MA 01115-5189 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 413-226-1000 ---------------------------- Date of fiscal year end: 12/31 ------------------ Date of reporting period: 06/30/09 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 110 F Street NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. Attached hereto is the semi-annual shareholder report transmitted to shareholders pursuant to Rule 30e-1 of the Investment Company Act of 1940, as amended. MASSMUTUAL PARTICIPATION INVESTORS -------------------------------------------------------------------------------- REPORT FOR THE FOR THE SIX MONTHS ENDED JUNE 30, 2009 ADVISER Babson Capital Management LLC 1500 Main Street, P.O. 15189 Springfield, Massachusetts 01115-5189 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP Boston, Massachusetts 02110 COUNSEL TO THE TRUST Ropes & Gray LLP Boston, Massachusetts 02110 CUSTODIAN Citibank, N.A. New York, New York 10043 TRANSFER AGENT & REGISTRAR Shareholder Financial Services, Inc. P.O. Box 173673 Denver, Colorado 80217-3673 1-800-647-7374 INTERNET WEBSITE www.babsoncapital.com/mpv MassMutual Participation Investors c/o Babson Capital Management LLC [LOGO] 1500 Main Street, Suite 2200 Springfield, Massachusetts 01115 (413) 226-1516 -------------------------------------------------------------------------------- INVESTMENT OBJECTIVE AND POLICY MassMutual Participation Investors (the "Trust") is a closed-end management investment company, first offered to the public in 1988, whose shares are traded on the New York Stock Exchange under the trading symbol "MPV". The Trust's share price can be found in the financial section of most newspapers as "MassPrt" or "MassMuPrt" under the New York Stock Exchange listings or Closed-End Fund Listings. The Trust's investment objective is to maximize total return by providing a high level of current income, the potential for growth of income, and capital appreciation. The Trust's principal investments are privately placed, below-investment grade, long-term debt obligations purchased directly from their issuers, which tend to be smaller companies. At least half of these investments normally include equity features such as common stock, warrants, conversion rights, or other equity features that provide the Trust with the opportunity to realize capital gains. The Trust will also invest in publicly traded debt securities (including high yield securities), again with an emphasis on those with equity features, and in convertible preferred stocks and, subject to certain limitations, readily marketable equity securities. Below investment grade or high yield securities have predominantly speculative characteristics with respect to the capacity of the issuer to pay interest and repay principal. In addition, the Trust may temporarily invest in high quality, readily marketable securities. Babson Capital Management LLC ("Babson Capital") manages the Trust on a total return basis. The Trust distributes substantially all of its net income to shareholders each year. Accordingly, the Trust pays dividends to shareholders in January, May, August, and November. All registered shareholders are automatically enrolled in the Dividend Reinvestment and Cash Purchase Plan unless cash distributions are requested. FORM N-Q The Trust files its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. This information is available (i) on the SEC's website at http://www.sec.gov; and (ii) at the SEC's Public Reference Room in Washington, DC (which information on their operation may be obtained by calling 1-800-SEC-0330). A complete schedule of portfolio holdings as of each quarter-end is available upon request by calling, toll-free, 866-399-1516. PROXY VOTING POLICIES & PROCEDURES; PROXY VOTING RECORD The Trustees of the Trust have delegated proxy voting responsibilities relating to the voting of securities held by the Trust to Babson Capital. A description of Babson Capital's proxy voting policies and procedures is available (1) without charge, upon request, by calling, toll-free 866-399-1516; (2) on the Trust's website: http://www.babsoncapital.com/mpv; and (3) on the SEC's website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (1) on the Trust's website: http:// www.babsoncapital.com/mpv; and (2) on the SEC's website at http://www.sec.gov. MVP Listed NYSE TO OUR SHAREHOLDERS MassMutual Participation Investors July 31, 2009 We are pleased to present the June 30, 2009 Quarterly Report of MassMutual Participation Investors (the "Trust"). The Board of Trustees declared a quarterly dividend of 25 cents per share, payable on August 14, 2009 to shareholders of record on August 3, 2009. The Trust had previously paid a 25 cent per share dividend for the preceding quarter. U.S. equity markets, as approximated by the Russell 2000 Index, increased 20.69% for the quarter. U.S. fixed income markets, as approximated by the Barclays Capital U.S. Corporate High Yield Index, increased 23.07% for the quarter. Middle market buyout activity increased moderately during the second quarter as the financial markets continued to stabilize. However, senior lending capacity, one of the key drivers of buyout activity, continues to be limited as banks and other senior capital providers refrain from taking risk. Until senior lending capacity expands, we expect middle market buyout activity to remain sluggish. During the quarter, we closed on two new investments and two add-on investments in existing portfolio companies. Shortly after quarter end, we closed on two additional new investments. While we are pleased with these additions to the portfolio, as new investments continue to be more conservatively structured and attractively priced than has been the market norm for the past few years, we do not expect a sustained rebound in new investment activity for the foreseeable future. We continue to spend considerable time working with our existing portfolio companies. The current weak economic conditions and the difficult banking environment is negatively impacting the ability of many of our portfolio companies to service their debts. We expect this to continue to be the case for at least the rest of 2009. We did have one portfolio company sold during the quarter and we realized a gain on our investment. However, we expect realization activity to remain slow until credit availability improves. During the quarter, the Trust made private placement investments in two new issuers and two "follow-on" investments, totaling approximately $2.8 million. The follow-on investments purchased by the Trust were K P I Holdings, Inc. and Postle Aluminum Company LLC. The two new issuers were Apex Analytix Holding Corporation and Telecorps Holdings, Inc. The weighted average coupon of these investments was 12.64%. (A brief description of these investments can be found in the Consolidated Schedule of Investments.) During the quarter ended June 30, 2009, net assets of the Trust increased to $109,871,490 or $11.05 per share compared to $105,445,089 or $10.62 per share on March 31, 2009, which translates into a 6.49% total return for the quarter, based on the change in the Trust's net assets assuming the reinvestment of all dividends. Long term, the Trust returned -4.89%, 4.05%, 11.73%, and 11.05% for the 1-, 3-, 5-, and 10-year time periods, respectively, based on the change in the Trust's net assets assuming the reinvestment of all dividends. The Trust earned 23 cents per share of net investment income for the quarter, compared to 27 cents per share in the previous quarter. During the quarter ended June 30, 2009, the market price of the Trust increased 29.9% from $8.50 per share to $11.04 per share. The Trust's market price of $11.04 per share equates to a 0.1% discount to the June 30, 2009 net asset value per share. The Trust's average quarter-end premium for the 3, 5 and 10-year periods was 3.1%, 6.8% and 5.1%, respectively. Thank you for your continued interest in and support of MassMutual Participation Investors. Sincerely, /s/ Michael L. Klofas Michael L. Klofas President PORTFOLIO COMPOSITION AS OF 6/30/09* [PIE CHART APPEARS HERE] PRIVATE / RESTRICTED PUBLIC EQUITY EQUITY 0.4% 13.4% PRIVATE / 144A HIGH CASH & SHORT TERM YIELD DEBT INVESTMENTS 68.6% 4.8% PUBLIC HIGH YIELD DEBT 12.8% * Based on market value of total investments (including cash) Cautionary Notice: Certain statements contained in this report may be "forward looking" statements. Investors are cautioned not to place undue reliance on forward-looking statements, which speak only as of the date on which they are made and which reflect management's current estimates, projections, expectations or beliefs, and which are subject to risks and uncertainties that may cause actual results to differ materially. These statements are subject to change at any time based upon economic, market or other conditions and may not be relied upon as investment advice or an indication of the Trust's trading intent. References to specific securities are not recommendations of such securities, and may not be representative of the Trust's current or future investments. We undertake no obligation to publicly update forward looking statements, whether as a result of new information, future events, or otherwise. -------------------------------------------------------------------------------- 1 CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2009 (UNAUDITED) ASSETS: Investments (See Consolidated Schedule of Investments) Corporate restricted securities at fair value (Cost - $117,063,221) $ 99,123,247 Corporate public securities at market value (Cost - $18,828,264) 16,004,282 Short-term securities at amortized cost 4,310,000 ------------- 119,437,529 Cash 1,430,039 Interest receivable 2,994,401 Receivable for investments sold 37,508 Prepaid taxes 150,000 Other assets 12,573 ------------- TOTAL ASSETS 124,062,050 ------------- LIABILITIES: Payable for investments purchased 1,600,106 Investment advisory fee payable 247,211 Note payable 12,000,000 Interest payable 88,933 Accrued expenses 160,656 Other payables 93,654 ------------- TOTAL LIABILITIES 14,190,560 ------------- TOTAL NET ASSETS $ 109,871,490 ============= NET ASSETS: Common shares, par value $.01 per share; an unlimited number authorized $ 99,462 Additional paid-in capital 92,759,085 Retained net realized gain on investments, prior years 32,871,737 Undistributed net investment income 4,274,692 Accumulated net realized gain on investments 630,470 Net unrealized depreciation of investments (20,763,956) ------------- TOTAL NET ASSETS $ 109,871,490 ============= COMMON SHARES ISSUED AND OUTSTANDING 9,946,214 ============= NET ASSET VALUE PER SHARE $ 11.05 ============= See Notes to Consolidated Financial Statements -------------------------------------------------------------------------------- 2 CONSOLIDATED STATEMENT OF OPERATIONS MassMutual Participation Investors FOR THE SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED) INVESTMENT INCOME: Interest $ 6,074,512 Dividends 792 Other 16,909 ------------- TOTAL INVESTMENT INCOME 6,092,213 ------------- EXPENSES: Investment advisory fees 484,462 Interest 348,000 Trustees' fees and expenses 82,875 Professional fees 78,000 Reports to shareholders 54,000 Custodian fees 15,000 Transfer agent/registrar's expenses 12,000 Other 43,050 ------------- TOTAL EXPENSES 1,117,387 ------------- INVESTMENT INCOME - NET 4,974,826 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investments before taxes 1,382,313 Income tax expense (6,701) ------------- Net realized gain on investments after taxes 1,375,612 Net change in unrealized depreciation of investments (4,377,575) ------------- NET LOSS ON INVESTMENTS (3,001,963) ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,972,863 ============= See Notes to Consolidated Financial Statements -------------------------------------------------------------------------------- 3 CONSOLIDATED STATEMENT OF CASH FLOWS FOR THE SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED) NET DECREASE IN CASH: Cash flows from operating activities: Purchases/Proceeds/Maturities from short-term portfolio securities, net $ 1,424,793 Purchases of portfolio securities (12,169,971) Proceeds from disposition of portfolio securities 11,186,596 Interest, dividends and other income received 4,449,956 Interest expense paid (348,000) Operating expenses paid (768,403) Income taxes paid (29,701) ------------- NET CASH PROVIDED BY OPERATING ACTIVITIES 3,745,270 ------------- Cash flows from financing activities: Cash dividends paid from net investment income (4,963,622) Receipts for shares issued on reinvestment of dividends 204,508 ------------- NET CASH USED FOR FINANCING ACTIVITIES (4,759,114) ------------- NET DECREASE IN CASH (1,013,844) Cash - beginning of year 2,443,883 ------------- CASH - END OF PERIOD $ 1,430,039 ============= RECONCILIATION OF NET INCREASE IN NET ASSETS TO NET CASH PROVIDED BY OPERATING ACTIVITIES: NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,972,863 ------------- Decrease in investments 1,944,106 Increase in interest and dividends receivable (1,453,673) Decrease in receivable for investments sold 71,143 Increase in other assets (12,573) Increase in payable for investments purchased 1,187,330 Decrease in investment advisory fee payable (685) Increase in accrued expenses 14,242 Decrease in accrued taxes payable (23,000) Increase in other payables 45,517 ------------- TOTAL ADJUSTMENTS TO NET ASSETS FROM OPERATIONS 1,772,407 ------------- NET CASH PROVIDED BY OPERATING ACTIVITIES $ 3,745,270 ============= See Notes to Consolidated Financial Statements -------------------------------------------------------------------------------- 4 CONSOLIDATED STATEMENTS MassMutual Participation Investors OF CHANGES IN NET ASSETS

For the six months ended For the 06/30/09 year ended (Unaudited) 12/31/08 ------------- ------------- DECREASE IN NET ASSETS: Operations: Investment income - net $ 4,974,826 $ 10,671,937 Net realized gain (loss) on investments 1,375,612 (1,165,028) Net change in unrealized depreciation of investments (4,377,575) (16,888,301) ------------- ------------- Net increase (decrease) in net assets resulting from operations 1,972,863 (7,381,392) Increase from common shares issued on reinvestment of dividends Common shares issued (2009 - 18,971; 2008 - 65,632) 204,508 847,131 Dividends to shareholders from: Net investment income (2009 - $0.25; 2008 - $1.00) (2,481,811) (9,915,143) ------------- ------------- TOTAL DECREASE IN NET ASSETS (304,440) (16,449,404) NET ASSETS, BEGINNING OF YEAR 110,175,930 126,625,334 ------------- ------------- NET ASSETS, END OF PERIOD/YEAR (including undistributed net investment income of $4,274,692 and $1,781,677, respectively) $ 109,871,490 $ 110,175,930 ============= =============

See Notes to Consolidated Financial Statements 6 -------------------------------------------------------------------------------- CONSOLIDATED SELECTED FINANCIAL HIGHLIGHTS SELECTED DATA FOR EACH SHARE OF BENEFICIAL INTEREST OUTSTANDING:

For the six months For the years ended December 31, ended 06/30/2009 ----------------------------------------------------------------------- (Unaudited) 2008 2007 2006 2005 2004 ----------- ----------- ----------- ----------- ----------- ----------- Net asset value: Beginning of year $ 11.10 $ 12.84 $ 12.90 $ 12.21 $ 11.13 $ 9.84 ----------- ----------- ----------- ----------- ----------- ----------- Net investment income (a) 0.50 1.08 1.23 1.10 0.99 1.00 Net realized and unrealized gain (loss) on investments (0.30) (1.82) (0.05) 0.77 1.09(b) 1.36 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 0.20 (0.74) 1.18 1.87 2.08 2.36 ----------- ----------- ----------- ----------- ----------- ----------- Dividends from net investment income to common shareholders (0.25) (1.00) (1.23) (1.18) (1.01) (1.10) Dividends from net realized gain on investments to common shareholders -- -- (0.02) (0.01) -- -- Increase from dividends reinvested -- 0.00(c) 0.01 0.01 0.01 0.03 ----------- ----------- ----------- ----------- ----------- ----------- Total dividends (0.25) (1.00) (1.24) (1.18) (1.00) (1.07) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value: End of period/year $ 11.05 $ 11.10 $ 12.84 $ 12.90 $ 12.21 $ 11.13 ----------- ----------- ----------- ----------- ----------- ----------- Per share market value: End of period/year $ 11.04 $ 9.05 $ 13.18 $ 14.70 $ 14.05 $ 13.31 =========== =========== =========== =========== =========== =========== Total investment return Net asset value (d) 1.89% (6.01%) 9.95% 18.64% 22.51% 25.14% Market value 24.70% (25.36%) (1.30%) 16.81% 17.25% 25.77% Net assets (in millions): End of period/year $ 109.87 $ 110.18 $ 126.63 $ 126.52 $ 119.02 $ 107.61 Ratio of operating expenses to average net assets 1.43%(e) 1.33% 1.36% 1.17% 1.45% 1.63% Ratio of interest expense to average net assets 0.65%(e) 0.58% 0.56% 0.57% 0.80% 0.89% Ratio of income tax expense to average net assets (f) 0.01%(e) 0.00% 0.48% 2.68% 2.83% 0.16% Ratio of total expenses before custodian fee reduction to average net assets (f) 2.09%(e) 1.91% 2.40% 4.46% 5.12% 2.68% Ratio of net expenses after custodian fee reduction to average net assets (f) 2.09%(e) 1.91% 2.40% 4.42% 5.08% 2.68% Ratio of net investment income to average net assets 9.23%(e) 8.74% 9.32% 8.43% 8.45% 9.60% Portfolio turnover 10% 32% 33% 34% 32% 51% (a) Calculated using average shares. (b) Amount includes $0.10 per share in litigation proceeds. (c) Rounds to less than $0.01 per share. (d) Net asset value return represents portfolio returns based on change in the Trust's net asset value assuming the reinvestment of all dividends and distributions which differs from the total investment return based on the Trust's market value due to the difference between the Trust's net asset value and the market value of its shares outstanding; past performance is no guarantee of future results. (e) Annualized. (f) As additional information, this ratio is included to reflect the taxes paid on retained long-term gains. These taxes paid are netted against realized capital gains in the Statement of Operations. The taxes paid are treated as deemed distributions and a credit for the taxes paid is passed on to shareholders. Senior borrowings: Total principal amount (in millions) $ 12 $ 12 $ 12 $ 12 $ 12 $ 22.5 Asset coverage per $1,000 of indebtedness $ 10,156 $ 10,181 $ 11,552 $ 11,543 $ 10,918 $ 5,783

See Notes to Consolidated Financial Statements -------------------------------------------------------------------------------- 6 MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES - 90.22%:(A) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- PRIVATE PLACEMENT INVESTMENTS - 86.51% A H C HOLDING COMPANY, INC. A designer and manufacturer of boilers and water heaters for the commercial sector. 15% Senior Subordinated Note due 2015 $ 1,292,473 11/21/07 $ 1,264,838 $ 1,288,323 Limited Partnership Interest (B) 7.93% int. 11/21/07 119,009 105,735 ------------- ------------- 1,383,847 1,394,058 ------------- ------------- A S A P INDUSTRIES LLC A designer and manufacturer of components used on oil and natural gas wells. 12.5% Senior Subordinated Note due 2015 $ 600,667 12/31/08 521,754 618,687 Limited Liability Company Unit Class A-2 (B) 677 uts. 12/31/08 74,333 70,616 Limited Liability Company Unit Class A-3 (B) 608 uts. 12/31/08 66,899 6 ------------- ------------- 662,986 689,309 ------------- ------------- A T I ACQUISITION COMPANY A for-profit post-secondary school serving students in Texas, Florida and Arizona. 12% Senior Subordinated Note due 2012 $ 1,125,000 04/08/04 1,125,000 1,125,000 Warrant, exercisable until 2012, to purchase preferred stock at $.01 per share (B) 7 shs. 11/16/07 -- 12,064 Warrant, exercisable until 2012, to purchase common stock at $.02 per share (B) 1,230 shs. 04/08/04 -- 1,186,162 ------------- ------------- 1,125,000 2,323,226 ------------- ------------- A W X HOLDINGS CORPORATION A provider of aerial equipment rental, sales and repair services to non-residential construction and maintenance contractors operating in the State of Indiana. 10.5% Senior Secured Term Note due 2014 $ 420,000 05/15/08 411,600 394,379 13% Senior Subordinated Note due 2015 $ 420,000 05/15/08 379,700 385,001 Common Stock (B) 60,000 shs. 05/15/08 60,000 -- Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 21,099 shs. 05/15/08 35,654 -- ------------- ------------- 886,954 779,380 ------------- ------------- ADVANCED TECHNOLOGIES HOLDINGS A provider of factory maintenance services to industrial companies. 15% Senior Subordinated Note due 2013 $ 1,129,894 12/27/07 1,107,019 1,123,426 Preferred Stock (B) 546 shs. 12/27/07 270,000 274,380 ------------- ------------- 1,377,019 1,397,806 ------------- ------------- --------------------------------------------------------------------------------------------------------------------------------- 7

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- AERO HOLDINGS, INC. A provider of geospatial services to corporate and government clients. 10.5% Senior Secured Term Note due 2014 $ 930,000 03/09/07 $ 916,050 $ 946,988 14% Senior Subordinated Note due 2015 $ 720,000 03/09/07 654,635 727,200 Common Stock (B) 150,000 shs. 03/09/07 150,000 306,634 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 37,780 shs. 03/09/07 63,730 77,231 ------------- ------------- 1,784,415 2,058,053 ------------- ------------- ALL CURRENT HOLDING COMPANY A specialty re-seller of essential electrical parts and components primarily serving wholesale distributors. 12% Senior Subordinated Note due 2015 $ 603,697 09/26/08 551,275 601,881 Common Stock (B) 713 shs. 09/26/08 71,303 67,735 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 507 shs. 09/26/08 46,584 5 ------------- ------------- 669,162 669,621 ------------- ------------- AMERICAN HOSPICE MANAGEMENT HOLDING LLC A for-profit hospice care provider in the United States. 12% Senior Subordinated Note due 2013 $ 1,687,503 * 1,606,040 1,728,926 Preferred Class A Unit (B) 1,706 uts. ** 170,600 170,600 Preferred Class B Unit (B) 808 uts. 06/09/08 80,789 80,789 Common Class B Unit (B) 16,100 uts. 01/22/04 1 -- Common Class D Unit (B) 3,690 uts. 09/12/06 -- -- ------------- ------------- 1,857,430 1,980,315 ------------- ------------- APEX ANALYTIX HOLDING CORPORATION A provider of audit recovery and fraud detection services and software to commercial and retail businesses in the U.S. and Europe. 12.5% Senior Subordinated Note due 2016 $ 1,012,500 04/28/09 831,608 1,042,875 Preferred Stock Series B (B) 1.623 shs. 04/28/09 162,269 16 Common Stock (B) 723 shs. 04/28/09 723 7 ------------- ------------- 994,600 1,042,898 ------------- ------------- ARROW TRU-LINE HOLDINGS, INC. A manufacturer of hardware for residential and commercial overhead garage doors in North America. 12% Senior Subordinated Note due 2012 $ 861,702 05/18/05 830,536 732,447 Common Stock (B) 263 shs. 05/18/05 263,298 -- Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 69 shs. 05/18/05 59,362 -- ------------- ------------- 1,153,196 732,447 ------------- ------------- * 01/22/04 and 06/09/08. ** 01/22/04 and 09/12/06. --------------------------------------------------------------------------------------------------------------------------------- 8

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- BRAVO SPORTS HOLDING CORPORATION A designer and marketer of niche branded consumer products including canopies, trampolines, in-line skates, skateboards, and urethane wheels. 12.5% Senior Subordinated Note due 2014 $ 1,207,902 06/30/06 $ 1,147,557 $ 1,127,583 Preferred Stock Class A (B) 465 shs. 06/30/06 141,946 25,261 Common Stock (B) 1 sh. 06/30/06 152 -- Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 164 shs. 06/30/06 48,760 8,878 ------------- ------------- 1,338,415 1,161,722 ------------- ------------- C D N T, INC. A value-added converter and distributor of specialty pressure sensitive adhesives, foams, films, and foils. 10.5% Senior Secured Term Note due 2014 $ 429,070 08/07/08 420,489 395,557 12.5% Senior Subordinated Note due 2015 $ 429,070 08/07/08 390,575 380,200 Common Stock (B) 41,860 shs. 08/07/08 41,860 -- Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 32,914 shs. 08/07/08 32,965 -- ------------- ------------- 885,889 775,757 ------------- ------------- CAPITAL SPECIALTY PLASTICS, INC. A producer of desiccant strips used for packaging pharmaceutical products. Common Stock (B) 55 shs. * 252 139,733 ------------- ------------- CLOUGH, HARBOUR AND ASSOCIATES An engineering service firm that is located in Albany, NY. 12.25% Senior Subordinated Note due 2015 $ 1,270,588 12/02/08 1,177,994 1,308,706 Preferred Stock (B) 147 shs. 12/02/08 146,594 139,261 ------------- ------------- 1,324,588 1,447,967 ------------- ------------- COEUR, INC. A producer of proprietary, disposable power injection syringes. 12% Senior Subordinated Note due 2016 $ 642,857 10/10/08 581,786 660,008 Common Stock (B) 321 shs. 10/10/08 32,143 30,536 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 495 shs. 10/10/08 48,214 5 ------------- ------------- 662,143 690,549 ------------- ------------- CONNECTICUT ELECTRIC, INC. A supplier and distributor of electrical products sold into the retail and wholesale markets. 12% Senior Subordinated Note due 2014 $ 1,267,387 01/12/07 1,182,283 1,013,910 Limited Liability Company Unit Class A (B) 82,613 uts. 01/12/07 82,613 -- Limited Liability Company Unit Class C (B) 59,756 uts. 01/12/07 59,756 -- ------------- ------------- 1,324,652 1,013,910 ------------- ------------- * 12/30/97 and 05/29/99. --------------------------------------------------------------------------------------------------------------------------------- 9

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- CONNOR SPORT COURT INTERNATIONAL, INC. A designer and manufacturer of outdoor and indoor synthetic sports flooring and other temporary flooring products. Preferred Stock Series B-2 (B) 9,081 shs. 07/05/07 $ 370,796 $ 908,072 Preferred Stock Series C (B) 4,757 shs. 07/05/07 158,912 470,080 Common Stock (B) 380 shs. 07/05/07 4 4 Limited Partnership Interest (B) 4.43% int. * 103,135 -- ------------- ------------- 632,847 1,378,156 ------------- ------------- COREPHARMA LLC A manufacturer of oral dose generic pharmaceuticals targeted at niche applications. 12% Senior Subordinated Note due 2013 $ 1,350,000 08/04/05 1,301,180 1,350,000 Warrant, exercisable until 2013, to purchase common stock at $.001 per share (B) 10 shs. 08/04/05 72,617 84,586 ------------- ------------- 1,373,797 1,434,586 ------------- ------------- CRANE RENTAL CORPORATION A crane rental company. 13% Senior Subordinated Note due 2015 $ 1,215,000 08/21/08 1,095,830 1,239,300 Common Stock (B) 135,000 shs. 08/21/08 135,000 128,250 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 72,037 shs. 08/21/08 103,143 720 ------------- ------------- 1,333,973 1,368,270 ------------- ------------- DAVIS-STANDARD LLC A manufacturer, assembler, and installer of a broad range of capital equipment that is used in the extrusion, conversion, and processing of plastic materials. 12% Senior Subordinated Note due 2014 $ 978,261 10/30/06 925,422 964,793 Limited Partnership Interest (B) 0.97% int. 10/30/06 371,739 646,423 Warrant, exercisable until 2014, to purchase preferred stock at $.01 per share (B) 26 shs. 10/30/06 26,380 33,652 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 18 shs. 10/30/06 18,000 59,691 ------------- ------------- 1,341,541 1,704,559 ------------- ------------- DIVERSCO, INC./DHI HOLDINGS, INC. A contract provider of janitorial and equipment maintenance services and temporary production labor to industrial customers. Membership Interests of MM/Lincap Diversco Investments Ltd. LLC (B) 13.57% int. 08/27/98 366,495 -- Preferred Stock (B) 1,639 shs. 12/14/01 1,392,067 659,713 Warrants, exercisable until 2011, to purchase common stock of DHI Holdings, Inc. at $.01 per share (B) 6,676 shs. ** 201,655 -- ------------- ------------- 1,960,217 659,713 ------------- ------------- * 08/12/04 and 01/14/05. ** 10/24/96 and 08/28/98. --------------------------------------------------------------------------------------------------------------------------------- 10

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- DUNCAN SYSTEMS, INC. A distributor of windshields and side glass for the recreational vehicle market. 10% Senior Secured Term Note due 2013 $ 308,571 11/01/06 $ 303,942 $ 304,279 13% Senior Subordinated Note due 2014 $ 488,572 11/01/06 444,447 478,755 Common Stock (B) 102,857 shs. 11/01/06 102,857 77,376 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 32,294 shs. 11/01/06 44,663 24,294 ------------- ------------- 895,909 884,704 ------------- ------------- DWYER GROUP, INC. A franchiser of a variety of home repair services. Common Stock (B) 3,656 shs. * 365,600 628,405 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 185,051 ------------- ------------- 464,319 813,456 ------------- ------------- E S P HOLDCO, INC. A manufacturer of power protection technology for commercial office equipment, primarily supplying the office equipment dealer network. 14% Senior Subordinated Note due 2015 $ 1,210,600 01/08/08 1,188,250 1,151,402 Common Stock (B) 349 shs. 01/08/08 174,701 73,167 ------------- ------------- 1,362,951 1,224,569 ------------- ------------- E X C ACQUISITION CORPORATION A manufacturer of pre-filled syringes and pump systems used for intravenous drug delivery. Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 11 shs. 06/28/04 40,875 165,802 ------------- ------------- F C X HOLDINGS CORPORATION A distributor of specialty/technical valves, actuators, accessories, and process instrumentation supplying a number of industrial, high purity, and energy end markets in North America. 15% Senior Subordinated Note due 2015 $ 1,143,550 10/06/08 1,120,089 1,110,144 Preferred Stock (B) 2,298 shs. 10/06/08 229,804 218,310 Common Stock (B) 1,625 shs. 10/06/08 1,625 1,544 ------------- ------------- 1,351,518 1,329,998 ------------- ------------- F H S HOLDINGS LLC A national provider of customized disease management services to large self-insured employers. 12% Senior Subordinated Note due 2014 $ 1,265,625 06/01/06 1,175,533 632,813 Limited Liability Company Units of Linden/FHS Holdings LLC (B) 84 uts. 06/01/06 84,368 -- Common Unit Class B (B) 734 shs. 06/01/06 64,779 -- ------------- ------------- 1,324,680 632,813 ------------- ------------- * 10/30/03 and 01/02/04. --------------------------------------------------------------------------------------------------------------------------------- 11

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- FLUTES, INC. An independent manufacturer of micro fluted corrugated sheet material for the food and consumer products packaging industries. 10% Senior Secured Term Note due 2013 $ 524,791 04/13/06 $ 516,919 $ 262,396 14% Senior Subordinated Note due 2014 $ 317,177 04/13/06 290,607 -- Common Stock (B) 62,535 shs. 04/13/06 62,535 -- Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 17,680 shs. 04/13/06 27,676 -- ------------- ------------- 897,737 262,396 ------------- ------------- FOWLER HOLDING, INC. A provider of site development services to residential homebuilders and developers in the Raleigh/Durham region of North Carolina. 12% Senior Subordinated Note due 2013 (D) $ 1,252,174 02/03/06 1,123,044 -- Common Stock (B) 98 shs. 02/03/06 97,826 -- Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 135 shs. 02/03/06 110,348 -- ------------- ------------- 1,331,218 -- ------------- ------------- FUEL SYSTEMS HOLDING CORPORATION An independent North American supplier of fuel tanks for a wide variety of commercial vehicles. 12% Senior Subordinated Note due 2014 (D) $ 1,237,500 01/31/06 1,149,638 -- Preferred Stock (B) 16,792 shs. 06/12/08 16,792 -- Common Stock (B) 112,500 shs. 01/31/06 112,500 -- Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 73,275 shs. 01/31/06 63,113 -- ------------- ------------- 1,342,043 -- ------------- ------------- GOLDEN COUNTY FOODS HOLDING, INC. A manufacturer of frozen appetizers and snacks. 12% Senior Subordinated Note due 2015 $ 1,012,500 11/01/07 914,607 810,000 16% PIK Note due 2015 $ 115,500 12/31/08 95,944 92,400 8% Series A Convertible Preferred Stock, convertible into 4.25% of the fully diluted common shares (B) 77,643 shs. 11/01/07 77,643 -- ------------- ------------- 1,088,194 902,400 ------------- ------------- H M HOLDING COMPANY A designer, manufacturer, and importer of promotional and wood furniture. 12% Senior Subordinated Note due 2013 (D) $ 1,170,000 02/10/06 1,084,725 -- Preferred Stock (B) 21 shs. * 21,428 -- Common Stock (B) 180 shs. 02/10/06 180,000 -- Warrant, exercisable until 2013, to purchase common stock at $.02 per share (B) 67 shs. 02/10/06 61,875 -- ------------- ------------- 1,348,028 -- ------------- ------------- * 09/18/07 and 06/27/08. --------------------------------------------------------------------------------------------------------------------------------- 12

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- HIGHGATE CAPITAL LLC An acquirer of controlling or substantial interests in manufacturing and marketing entities. Series A Preferred Units (B) 0.30% int. 07/21/94 $ 91,867 $ -- ------------- ------------- HOME DECOR HOLDING COMPANY A designer, manufacturer and marketer of framed art and wall decor products. 12.5% Senior Subordinated Note due 2012 $ 1,081,731 * 1,019,214 1,047,834 Common Stock (B) 33 shs. * 33,216 27,392 Warrant, exercisable until 2012, to purchase common stock at $.02 per share (B) 106 shs. * 105,618 87,091 ------------- ------------- 1,158,048 1,162,317 ------------- ------------- HOSPITALITY MINTS HOLDING COMPANY A manufacturer of individually-wrapped imprinted promotional mints. 12% Senior Subordinated Note due 2016 $ 1,098,837 08/19/08 1,016,628 1,069,879 Common Stock (B) 251 shs. 08/19/08 251,163 200,928 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 65 shs. 08/19/08 60,233 1 ------------- ------------- 1,328,024 1,270,808 ------------- ------------- INSURANCE CLAIMS MANAGEMENT, INC. A third party administrator providing auto and property claim administration services for insurance companies. Common Stock (B) 37 shs. 02/27/07 1,100 58,507 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 11 shs. 02/27/07 324 17,235 ------------- ------------- 1,424 75,742 ------------- ------------- INTEGRATION TECHNOLOGY SYSTEMS, INC. A manufacturer of steel protective computer and network systems for the industrial and office environments. 12% Senior Subordinated Note due on demand $ 25,055 03/01/04 1 -- Common Stock (B) 130 shs. 06/01/00 149,500 -- ------------- ------------- 149,501 -- ------------- ------------- JASON, INC. A diversified manufacturing company serving various industrial markets. 13% Senior Subordinated Note due 2010 $ 510,187 08/04/00 496,050 306,112 Limited Partnership Interest of Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,312 -- Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 -- ------------- ------------- 1,026,463 306,112 ------------- ------------- * 06/30/04 and 08/19/04. --------------------------------------------------------------------------------------------------------------------------------- 13

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- JUSTRITE MANUFACTURING ACQUISITION CO. A manufacturer of safety products such as storage cabinets and containers. 12% Senior Subordinated Note due 2011 $ 843,750 12/15/04 $ 817,302 $ 842,860 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 104,410 ------------- ------------- 870,830 947,270 ------------- ------------- K H O F HOLDINGS, INC. A manufacturer of premium disposable tableware products serving both the foodservice and consumer channels. 14% Senior Subordinated Note due 2014 $ 1,275,999 10/15/07 1,250,287 1,257,897 Common Stock (B) 116,827 shs. 10/15/07 116,827 70,858 ------------- ------------- 1,367,114 1,328,755 ------------- ------------- K N B HOLDINGS CORPORATION A designer, manufacturer and marketer of products for the custom framing market. 13.5% Senior Subordinated Note due 2013 $ 1,339,708 05/25/06 1,287,393 1,205,737 Common Stock (B) 71,053 shs. 05/25/06 71,053 -- Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 43,600 shs. 05/25/06 37,871 -- ------------- ------------- 1,396,317 1,205,737 ------------- ------------- K P I HOLDINGS, INC. Pace Industries is the largest player in the U.S. non-automotive, non-ferrous die casting segment. 13% Senior Subordinated Note due 2014 $ 1,115,217 07/16/08 1,042,077 836,413 Convertible Preferred Stock Series C (B) 29 shs. 06/30/09 29,348 21,750 Common Stock (B) 235 shs. 07/15/08 234,783 58,695 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 51 shs. 07/16/08 50,836 1 ------------- ------------- 1,357,044 916,859 ------------- ------------- K W P I HOLDINGS CORPORATION A manufacturer and distributor of vinyl windows and patio doors throughout the northwestern United States. 12.75% Senior Subordinated Note due 2014 $ 1,323,227 03/14/07 1,213,860 1,058,582 Common Stock (B) 123 shs. 03/13/07 123,000 -- Warrant, exercisable until 2017, to purchase common stock at $.01 per share (B) 89 shs. 03/14/07 85,890 -- ------------- ------------- 1,422,750 1,058,582 ------------- ------------- K-TEK HOLDING CORPORATION A manufacturer of instrumentation for liquid and bulk solids level detection for process and storage tanks. 14% Senior Subordinated Note due 2015 $ 1,193,019 12/20/07 1,170,842 1,213,710 Preferred Stock (B) 192,314 shs. 12/20/07 192,314 212,821 Common Stock (B) 54,326 shs. 12/20/07 543 40,198 ------------- ------------- 1,363,699 1,466,729 ------------- ------------- --------------------------------------------------------------------------------------------------------------------------------- 14

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- M V I HOLDING, INC. A manufacturer of large precision machined metal components used in equipment which services a variety of industries, including the oil & gas, mining, and defense markets. 13% Senior Subordinated Note due 2016 $ 648,014 09/12/08 $ 600,221 $ 663,418 Common Stock (B) 32 shs. 09/12/08 32,143 30,533 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 35 shs. 09/12/08 34,714 -- ------------- ------------- 667,078 693,951 ------------- ------------- MAIL COMMUNICATIONS GROUP, INC. A provider of mail processing and handling services, lettershop services, and commercial printing services. 12.5% Senior Subordinated Note due 2014 $ 516,177 05/04/07 483,072 515,260 Limited Liability Company Unit (B) 12,763 uts. * 166,481 177,995 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 1,787 shs. 05/04/07 22,781 24,921 ------------- ------------- 672,334 718,176 ------------- ------------- MAVERICK ACQUISITION COMPANY A manufacturer of capsules that cover the cork and neck of wine bottles. 7.1% Senior Secured Tranche A Note due 2010 (C) $ 188,905 09/03/04 188,905 187,487 12.5% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 169,273 168,538 7.72% Senior Secured Revolver due 2009 (C) $ 29,104 09/03/04 29,104 29,034 Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 7,053 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 5,096 ------------- ------------- 443,420 397,208 ------------- ------------- MEDSYSTEMS HOLDINGS LLC A manufacturer of enteral feeding products, such as feeding tubes and other products related to assisted feeding. 13% Senior Subordinated Note due 2015 $ 612,976 08/29/08 541,577 625,235 Preferred Unit (B) 66 uts. 08/29/08 66,451 63,128 Common Unit Class A (B) 671 uts. 08/29/08 671 637 Common Unit Class B (B) 250 uts. 08/29/08 63,564 2 ------------- ------------- 672,263 689,002 ------------- ------------- MEGTEC HOLDINGS, INC. A supplier of industrial and environmental products and services to a broad array of industries. 12% Senior Subordinated Note due 2016 $ 1,144,068 09/24/08 1,048,910 1,125,267 Preferred Stock (B) 56 shs. 09/24/08 54,040 1 Limited Partnership Interest (B) 205,932 int. 09/16/08 205,932 195,635 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 18 shs. 09/24/08 18,237 -- ------------- ------------- 1,327,119 1,320,903 ------------- ------------- * 05/04/07 and 01/02/08. --------------------------------------------------------------------------------------------------------------------------------- 15

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- MICROGROUP, INC. A manufacturer of precision parts and assemblies, and a value-added supplier of metal tubing and bars. 12% Senior Subordinated Note due 2013 $ 1,421,795 * $ 1,359,589 $ 1,450,231 Common Stock (B) 238 shs. * 238,000 418,155 Warrant, exercisable until 2013, to purchase common stock at $.02 per share (B) 87 shs. * 86,281 152,521 ------------- ------------- 1,683,870 2,020,907 ------------- ------------- MILWAUKEE GEAR COMPANY A manufacturer of high-precision custom gears and gear drives used by original equipment manufacturers operating in a number of industries. 13% Senior Subordinated Note due 2014 $ 1,246,154 07/21/08 1,175,754 1,228,250 Preferred Stock (B) 139 shs. 07/21/08 138,374 131,459 Common Stock (B) 9 shs. 07/21/08 10,000 9,500 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 6 shs. 07/21/08 5,510 -- ------------- ------------- 1,329,638 1,369,209 ------------- ------------- MOMENTUM HOLDING CO. A designer and supplier of upholstery fabric to commercial furniture manufacturers and architectural and design firms. Limited Partnership Interest (B) 11.24% int. 08/04/06 56,198 125,796 Warrant, exercisable until 2014, to purchase common stock at $.02 per share (B) 586 shs. 08/04/06 56,705 131,128 ------------- ------------- 112,903 256,924 ------------- ------------- MONESSEN HOLDING CORPORATION A designer and manufacturer of a broad line of gas, wood, and electric hearth products and accessories. 14% Senior Subordinated Note due 2014 $ 1,350,000 07/25/08 1,269,407 1,080,000 14% PIK Note due 2014 $ 302,046 07/25/08 266,255 241,637 Warrant, exercisable until 2014, to purchase common stock at $.02 per share (B) 81 shs. 03/31/06 73,125 -- ------------- ------------- 1,608,787 1,321,637 ------------- ------------- MORTON INDUSTRIAL GROUP, INC. A manufacturer of highly engineered metal fabricated components. 12% Senior Subordinated Note due 2014 (D) $ 1,292,246 08/25/06 1,187,021 -- 30% Convertible Preferred Stock (B) 41,289 shs. 07/28/08 19,708 -- ------------- ------------- 1,206,729 -- ------------- ------------- * 08/12/05 and 09/11/06. --------------------------------------------------------------------------------------------------------------------------------- 16

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- NABCO, INC. A producer of explosive containment vessels in the United States. 14% Senior Subordinated Note due 2014 $ 431,692 02/24/06 $ 369,745 $ 215,846 Limited Liability Company Unit (B) 437 uts. * 436,984 -- Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 68 shs. 02/24/06 19,687 -- ------------- ------------- 826,416 215,846 ------------- ------------- NAVIS GLOBAL A designer, manufacturer, seller and servicer of finishing machinery for the knit and woven segments of the global textile industry. 12% Senior Secured Term Note Series A due 2010 $ 86,677 11/14/08 86,677 86,707 14% Senior Subordinated Note due 2014 (D) $ 764,921 05/28/04 660,453 -- 10.75% Senior Secured Note due 2011 (D) $ 348,118 05/28/04 347,086 87,030 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 116,521 shs. 05/28/04 74,736 -- ------------- ------------- 1,168,952 173,737 ------------- ------------- NESCO HOLDINGS CORPORATION A sales and leasing company that provides equipment to the electric utility, telecommunications, and various other industries. 12% Senior Secured Subordinated Note due 2015 $ 1,125,000 08/02/07 999,658 1,147,500 Common Stock (B) 225,000 shs. 08/02/07 225,000 363,377 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 63,191 shs. 08/02/07 102,842 102,054 ------------- ------------- 1,327,500 1,612,931 ------------- ------------- NETSHAPE TECHNOLOGIES, INC. A manufacturer of powder metal and metal injection molded precision components used in industrial, consumer, and other applications. 12% Senior Subordinated Note due 2014 $ 810,000 02/02/07 745,713 670,407 Limited Partnership Interest of Saw Mill PCG Partners LLC (B) 1.38% int. 02/01/07 539,978 -- Limited Liability Company Unit Class D of Saw Mill PCG Partners LLC (B) 8 uts. 12/18/08 8,147 4,075 Preferred Stock Class A (B) 1 sh. 12/18/08 726 360 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 48 shs. 02/02/07 48,087 -- ------------- ------------- 1,342,651 674,842 ------------- ------------- * 02/24/06 and 06/22/07. --------------------------------------------------------------------------------------------------------------------------------- 17

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- NYLONCRAFT, INC. A supplier of engineered plastic components for the automotive industry. 9% Senior Secured Note due 2009 $ 464,286 01/28/02 $ 464,286 $ 348,215 11.5% Senior Subordinated Note due 2012 (D) $ 857,143 01/28/02 820,159 -- Common Stock (B) 178,571 shs. 01/28/02 178,571 -- Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 138,928 shs. 01/28/02 92,597 -- ------------- ------------- 1,555,613 348,215 ------------- ------------- OAKRIVER TECHNOLOGY, INC. Designs, engineers and assembles high precision automated process equipment for the medical device industry, with a focus on defibrillators and stents. 10% Senior Secured Note due 2012 $ 192,626 01/03/06 189,737 190,114 13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 360,654 84,329 Common Stock (B) 184,176 shs. 01/03/06 184,176 103,086 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 43,073 shs. 01/03/06 35,900 24,108 ------------- ------------- 770,467 701,637 ------------- ------------- OLYMPIC SALES, INC. A boat retailer in Washington state, Oregon, California and British Columbia. 12% Senior Subordinated Note due 2009 (D) $ 511,000 08/07/98 511,000 102,200 12% Senior Subordinated Note due 2009 (D) $ 244,154 02/09/00 213,313 48,831 ------------- ------------- 724,313 151,031 ------------- ------------- ONTARIO DRIVE & GEAR LTD. A manufacturer of all-wheel drive, off-road amphibious vehicles and related accessories. Limited Liability Company Unit (B) 1,942 uts. 01/17/06 302,885 513,607 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 86,716 ------------- ------------- 393,309 600,323 ------------- ------------- P A S HOLDCO LLC An independent provider of maintenance, repair and overhaul services to the aerospace gas turbine engine and airframe markets. 14% Senior Subordinated Note due 2014 $ 1,218,269 07/03/06 1,166,708 1,230,451 Preferred Unit (B) 202 uts. 07/03/06 202,320 273,374 Preferred Unit (B) 36 uts. 07/03/06 36,420 49,211 Common Unit Class I (B) 78 uts. 07/03/06 -- 72,685 Common Unit Class L (B) 17 uts. 07/03/06 -- 15,355 ------------- ------------- 1,405,448 1,641,076 ------------- ------------- --------------------------------------------------------------------------------------------------------------------------------- 18

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- P I I HOLDING CORPORATION A manufacturer of plastic film and bags for the general industrial, medical, and food industries. 12% Senior Subordinated Note due 2013 $ 1,215,000 03/31/06 $ 1,153,406 $ 1,215,000 Preferred Stock (B) 19 shs. 03/31/06 174,492 228,255 Common Stock (B) 12 shs. 03/31/06 13,500 39,174 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 22,795 ------------- ------------- 1,347,286 1,505,224 ------------- ------------- PACIFIC CONSOLIDATED HOLDINGS LLC A manufacturer of rugged, mobile liquid and gaseous oxygen and nitrogen generating systems used in the global defense, oil & gas, and medical sectors. 14% Senior Subordinated Note due 2012 $ 704,835 04/27/07 658,013 672,976 Limited Liability Company Unit (B) 928,962 uts. 04/27/07 33,477 -- ------------- ------------- 691,490 672,976 ------------- ------------- PARADIGM PACKAGING, INC. A manufacturer of plastic bottles and closures for the nutritional, pharmaceutical, personal care, and food packaging markets. 12% Senior Subordinated Note due 2011 $ 1,125,000 12/19/00 1,076,946 1,096,863 Membership Interests of MM/Lincap PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 78,359 ------------- ------------- 1,217,571 1,175,222 ------------- ------------- PEARLMAN ENTERPRISES, INC. A developer and distributor of tools, equipment and supplies to the natural and engineered stone industry. Preferred Stock Series A (B) 1,236 shs. 05/22/09 59,034 -- Preferred Stock Series B (B) 7,059 shs. 05/22/09 290,050 -- Common Stock (B) 21.462 shs. 05/22/09 993,816 -- ------------- ------------- 1,342,900 -- ------------- ------------- POSTLE ALUMINUM COMPANY LLC A manufacturer and distributor of aluminum extruded products. 3% Senior Subordinated PIK Note due 2014 $ 1,167,870 10/02/06 1,067,397 291,967 Limited Liability Company Unit Class A 733 uts. 10/02/06 270,000 -- Limited Liability Company Unit 76 uts. 05/22/09 38,140 36,049 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 4,550 shs. 10/02/06 65,988 -- ------------- ------------- 1,441,525 328,016 ------------- ------------- --------------------------------------------------------------------------------------------------------------------------------- 19

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- POWER SERVICES HOLDING COMPANY A provider of industrial motor repair services, predictive and preventative maintenance, and performance improvement consulting, serving the petrochemical, mining, power generation, metals, and paper industries. 12% Senior Subordinated Note due 2016 $ 1,255,814 02/11/08 $ 1,151,181 $ 1,280,930 Limited Partnership Interest (B) 12.55% int. 02/11/08 94,092 48,007 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 700 shs. 02/11/08 88,723 119,844 ------------- ------------- 1,333,996 1,448,781 ------------- ------------- QUALIS AUTOMOTIVE LLC A distributor of aftermarket automotive brake and chassis products. 12% Senior Subordinated Note due 2012 $ 922,612 05/28/04 841,835 917,986 Common Stock (B) 187,500 shs. 05/28/04 187,500 -- Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 199,969 shs. 05/28/04 199,969 -- ------------- ------------- 1,229,304 917,986 ------------- ------------- R A J MANUFACTURING HOLDINGS LLC A designer and manufacturer of women's swimwear sold under a variety of licensed brand names. 12.5% Senior Subordinated Note due 2014 $ 1,200,277 12/15/06 1,106,663 1,164,690 Limited Liability Company Unit (B) 1,497 uts. 12/15/06 149,723 96,111 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 2 shs. 12/15/06 69,609 45,354 ------------- ------------- 1,325,995 1,306,155 ------------- ------------- R E I DELAWARE HOLDING, INC. An engineer and manufacturer of highly complex, close tolerance components, assemblies, tooling and custom automation equipment primarily for aerospace, medical and defense/radar markets. 12% Senior Subordinated Note due 2016 $ 1,350,000 01/18/08 1,306,541 1,305,184 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 3 shs. 01/18/08 16,459 35,826 ------------- ------------- 1,323,000 1,341,010 ------------- ------------- RADIAC ABRASIVES, INC. A manufacturer of bonded abrasive and super abrasive grinding wheels in the United States. 12% Senior Subordinated Note due 2014 $ 1,196,809 02/10/06 1,128,139 1,208,777 Common Stock (B) 153,191 shs. 02/10/06 153,191 215,717 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 69,647 shs. 02/10/06 63,421 98,074 ------------- ------------- 1,344,751 1,522,568 ------------- ------------- --------------------------------------------------------------------------------------------------------------------------------- 20

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- ROYAL BATHS MANUFACTURING COMPANY A manufacturer and distributor of acrylic and cultured marble bathroom products. 12.5% Senior Subordinated Note due 2011 $ 562,500 11/14/03 $ 535,797 $ 530,310 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 -- ------------- ------------- 600,886 530,310 ------------- ------------- SAFETY SPEED CUT MANUFACTURING COMPANY, INC. A manufacturer of vertical panel saws and routers for the wood working industry. Class B Common Stock (B) 846 shs. 06/02/99 146,456 316,185 ------------- ------------- SAVAGE SPORTS HOLDING, INC. A manufacturer of sporting firearms. 12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 781,396 795,724 Common Stock (B) 324 shs. * 340,378 513,949 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 112,212 ------------- ------------- 1,181,903 1,421,885 ------------- ------------- SENCORE HOLDING COMPANY A designer, manufacturer, and marketer of decoders, receivers and modulators sold to broadcasters, satellite, cable and telecom operators for encoding/decoding analog and digital transmission video signals. 12.5% Senior Subordinated Note due 2014 $ 1,280,769 01/15/09 1,114,146 1,319,192 Common Stock (B) 69 shs. 01/15/09 69,231 65,769 Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B) 149 shs. 01/15/09 149,084 1 ------------- ------------- 1,332,461 1,384,962 ------------- ------------- SMART SOURCE HOLDINGS LLC A short-term computer rental company. 12% Senior Subordinated Note due 2015 $ 1,176,924 ** 1,078,039 1,150,654 Limited Liability Company Unit (B) 328 uts. ** 337,762 370,554 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 83 shs. ** 87,231 93,862 ------------- ------------- 1,503,032 1,615,070 ------------- ------------- SPECIALTY COMMODITIES, INC. A distributor of specialty food ingredients. 13.25% Senior Subordinated Note due 2016 $ 1,201,421 10/23/08 1,126,247 1,233,460 Common Stock (B) 15,882 shs. 10/23/08 158,824 150,879 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 5,852 shs. 10/23/08 53,285 59 ------------- ------------- 1,338,356 1,384,398 ------------- ------------- * 09/10/04 and 10/05/07. ** 08/31/07 and 03/06/08. --------------------------------------------------------------------------------------------------------------------------------- 21

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- STANTON CARPET HOLDING CO. A designer and marketer of high and mid-priced decorative carpets and rugs. 12.13% Senior Subordinated Note due 2014 $ 1,185,366 08/01/06 $ 1,124,384 $ 1,081,390 Common Stock (B) 165 shs. 08/01/06 164,634 85,470 Warrant, exercisable until 2014, to purchase common stock at $.02 per share (B) 55 shs. 08/01/06 49,390 28,466 ------------- ------------- 1,338,408 1,195,326 ------------- ------------- SYNTERACT HOLDINGS CORPORATION A provider of outsourced clinical trial management services to pharmaceutical and biotechnology companies. 14% Senior Subordinated Note due 2016 $ 1,361,321 09/02/08 1,271,318 1,364,953 Redeemable Preferred Stock Series A (B) 678 shs. 09/02/08 6,629 7 Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 6,778 shs. 09/02/08 59,661 68 ------------- ------------- 1,337,608 1,365,028 ------------- ------------- T H I ACQUISITION, INC. A machine servicing company providing value-added steel services to long steel products. 12% Senior Subordinated Note due 2016 $ 1,350,000 01/14/08 1,276,383 1,348,201 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 5 shs. 01/14/08 46,617 39,532 ------------- ------------- 1,323,000 1,387,733 ------------- ------------- TANGENT RAIL CORPORATION A manufacturer of rail ties and provider of specialty services to the North American railroad industry. 13% Senior Subordinated Note due 2015 $ 1,173,909 10/14/05 1,033,473 1,173,909 Common Stock (B) 1,167 shs. 10/14/05 1,167 392,019 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 631 shs. 09/30/08 300,683 211,966 ------------- ------------- 1,335,323 1,777,894 ------------- ------------- TELECORPS HOLDINGS, INC. A provider of equipment and services to producers of the television shows and motion pictures. 12.75% Senior Subordinated Note due 2016 $ 1,350,000 05/20/09 1,188,241 1,390,500 Warrant, exercisable until 2019, to purchase common stock at $.01 per share (B) 3,177 shs. 05/20/09 134,759 32 ------------- ------------- 1,323,000 1,390,532 ------------- ------------- --------------------------------------------------------------------------------------------------------------------------------- 22

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- TERRA RENEWAL LLC A provider of wastewater residual management and required environmental reporting, permitting, nutrient management planning and record keeping to companies involved in poultry and food processing. 12% Senior Subordinated Note due 2014 $ 664,062 * $ 636,912 $ 531,250 6.75% Term Note due 2012 $ 862,683 * 859,475 776,414 Limited Partnership Interest of Saw Mill Capital Fund V, LLC (B) 2.27% int. ** 85,292 75,182 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 41 shs. 04/28/06 33,738 12,147 ------------- ------------- 1,615,417 1,394,993 ------------- ------------- TORRENT GROUP HOLDINGS, INC. A contractor specializing in the sales and installation of engineered drywells for the retention and filtration of stormwater and nuisance water flow. 12.5% Senior Subordinated Note due 2013 $ 1,185,366 10/26/07 1,113,016 1,066,829 Series A Preferred Stock (B) 219 shs. 10/26/07 219,203 -- ------------- ------------- 1,332,219 1,066,829 ------------- ------------- TOTAL E & S, INC. A manufacturer of a wide variety of equipment used in the oil and gas industry. 10.5% Senior Secured Term Note due 2013 $ 486,487 03/02/07 479,190 462,163 13% Senior Subordinated Note due 2014 $ 341,971 03/02/07 280,347 256,478 Common Stock (B) 71,542 shs. 03/02/07 71,542 -- Warrant, exercisable until 2014 to purchase common stock at $.01 per share (B) 19,733 shs. 03/02/07 54,784 -- ------------- ------------- 885,863 718,641 ------------- ------------- TRANSPAC HOLDING COMPANY A designer, importer, and wholesaler of home decor and seasonal gift products. 12% Senior Subordinated Note due 2015 $ 938,651 10/31/07 873,498 797,853 Common Stock (B) 110 shs. 10/31/07 110,430 -- Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 50 shs. 10/31/07 46,380 -- ------------- ------------- 1,030,308 797,853 ------------- ------------- TRANSTAR HOLDING COMPANY A distributor of aftermarket automotive transmission parts. 12% Senior Subordinated Note due 2014 $ 918,000 08/31/05 888,646 894,944 Common Stock (B) 571 shs. *** 570,944 383,726 Warrant, exercisable until 2013, to purchase common stock at $.02 per share (B) 46 shs. 08/31/05 41,021 30,580 ------------- ------------- 1,500,611 1,309,250 ------------- ------------- * 04/28/06 and 09/13/06. ** 03/01/05 and 10/10/08. *** 08/31/05 and 04/30/07. --------------------------------------------------------------------------------------------------------------------------------- 23

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- TRANZONIC COMPANIES (THE) A producer of commercial and industrial supplies, such as safety products, janitorial supplies, work apparel, washroom and restroom supplies and sanitary care products. 13% Senior Subordinated Note due 2010 $ 1,356,000 02/05/98 $ 1,320,220 $ 1,356,000 Common Stock (B) 315 shs. 02/04/98 315,000 198,790 Warrant, exercisable until 2009, to purchase common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 140,100 ------------- ------------- 1,819,636 1,694,890 ------------- ------------- TRUCK BODIES & EQUIPMENT INTERNATIONAL A designer and manufacturer of accessories for heavy and medium duty trucks, primarily dump bodies, hoists, various forms of flatbed bodies, landscape bodies and other accessories. 16% Senior Subordinated Note due 2010 (D) $ 1,222,698 * 1,133,973 305,675 16% PIK Note due 2010 $ 278,492 12/30/08 69,623 69,622 Preferred Stock Series B (B) 128 shs. 10/20/08 127,677 -- Common Stock (B) 393 shs. * 423,985 -- Warrant, exercisable until 2013, to purchase common stock at $.02 per share (B) 81 shs. * 84,650 -- Warrant, exercisable until 2018, to purchase common stock at $.01 per share (B) 558 shs. 10/20/08 -- -- ------------- ------------- 1,839,908 375,297 ------------- ------------- TRUSTILE DOORS, INC. A manufacturer and distributor of interior doors. Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 3,060 shs. 04/11/03 36,032 140,846 ------------- ------------- U M A ENTERPRISES, INC. An importer and wholesaler of home decor products. 15% Senior Subordinated Note due 2015 $ 917,987 02/08/08 898,036 862,862 Convertible Preferred Stock (B) 470 shs. 02/08/08 469,565 75,248 ------------- ------------- 1,367,601 938,110 ------------- ------------- U-LINE CORPORATION A manufacturer of high-end, built-in, undercounter ice making, wine storage and refrigeration appliances. 12.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 939,575 847,025 Common Stock (B) 96 shs. 04/30/04 96,400 -- Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 -- ------------- ------------- 1,148,081 847,025 ------------- ------------- * 07/19/05 and 12/22/05. --------------------------------------------------------------------------------------------------------------------------------- 24

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- VISIONEERING, INC. A designer and manufacturer of tooling and fixtures for the aerospace industry. 10.5% Senior Secured Term Loan due 2013 $ 458,824 05/17/07 $ 451,941 $ 460,266 13% Senior Subordinated Note due 2014 $ 370,588 05/17/07 337,768 372,173 18% PIK Convertible Preferred Stock (B) 21,361 shs. 03/13/09 41,440 39,368 Common Stock (B) 70,588 shs. 05/17/07 70,588 79,591 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 20,003 shs. 05/17/07 31,460 22,554 ------------- ------------- 933,197 973,952 ------------- ------------- VITALITY FOODSERVICE, INC. A non-carbonated beverage dispensing company focused on the foodservice industry. 13% Senior Subordinated Note due 2011 $ 999,153 09/24/04 955,640 957,065 Common Stock (B) 14,006 shs. * 140,064 129,573 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 12,593 shs. 09/24/04 98,938 116,501 ------------- ------------- 1,194,642 1,203,139 ------------- ------------- VITEX PACKAGING GROUP, INC. A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags. 12.5% Senior Subordinated Note due 2012 (D) $ 900,000 07/19/04 785,152 -- 14.5% PIK Note due 2010 $ 215,976 06/30/07 180,500 -- Limited Liability Company Unit Class A (B) 219,375 uts. 07/19/04 219,375 -- Limited Liability Company Unit Class B (B) 96,848 uts. 07/19/04 96,848 -- ------------- ------------- 1,281,875 -- ------------- ------------- WAGGIN' TRAIN HOLDINGS LLC A producer of premium quality meat dog treats. 14% Senior Subordinated Note due 2014 $ 1,163,421 11/15/07 1,139,103 1,169,458 Limited Liability Company Unit Class B (B) 224 uts. 11/15/07 223,757 249,526 Limited Liability Company Unit Class C (B) 224 uts. 11/15/07 -- 50,783 ------------- ------------- 1,362,860 1,469,767 ------------- ------------- WALLS INDUSTRIES, INC. A provider of branded workwear and sporting goods apparel. Limited Partnership Interest (B) 0.20% int. 07/12/04 1,974 -- Common Stock (B) 2,133 shs. 12/21/07 -- -- ------------- ------------- 1,974 -- ------------- ------------- * 09/24/04 and 12/22/06. --------------------------------------------------------------------------------------------------------------------------------- 25

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

PRINCIPAL AMOUNT, SHARES, UNITS, OR OWNERSHIP ACQUISITION CORPORATE RESTRICTED SECURITIES:(A)(Continued) PERCENTAGE DATE COST FAIR VALUE ------------- -------- ------------- ------------- WELLBORN FOREST HOLDING CO. A manufacturer of semi-custom kitchen and bath cabinetry. 12.13% Senior Subordinated Note due 2014 $ 911,250 11/30/06 $ 857,139 $ 774,563 Common Stock (B) 101 shs. 11/30/06 101,250 -- Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 51 shs. 11/30/06 45,790 -- ------------- ------------- 1,004,179 774,563 ------------- ------------- WORKPLACE MEDIA HOLDING CO. A direct marketer specializing in providing advertisers with access to consumers in the workplace. 13% Senior Subordinated Note due 2015 $ 613,692 05/14/07 564,301 548,807 Limited Partnership Interest (B) 12.26% int. 05/14/07 61,308 -- Warrant, exercisable until 2015, to purchase common stock at $.02 per share (B) 47 shs. 05/14/07 44,186 -- ------------- ------------- 669,795 548,807 ------------- ------------- XALOY SUPERIOR HOLDINGS, INC. A provider of melt processing components and ancillary equipment for both plastic injection molding and extrusion applications. 15% Senior Subordinated Note due 2015 $ 1,229,741 09/08/08 1,203,293 1,099,451 Common Stock (B) 150 shs. 09/08/08 150,000 -- ------------- ------------- 1,353,293 1,099,451 ------------- ------------- TOTAL PRIVATE PLACEMENT INVESTMENTS (E) 112,028,028 95,045,313 ------------- ------------- --------------------------------------------------------------------------------------------------------------------------------- 26

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

SHARES OR INTEREST DUE PRINCIPAL CORPORATE RESTRICTED SECURITIES:(A) (Continued) RATE DATE AMOUNT COST FAIR VALUE ------ -------- ------------ ------------ ------------ RULE 144A SECURITIES - 3.71%: BONDS - 3.71% Allegheny Energy Supply 8.250% 04/15/12 $ 500,000 $ 520,490 $ 520,246 Anheuser-Busch Inbev Wld, Inc. 7.720 01/15/19 500,000 499,614 546,828 Cenveo Corporation 10.500 08/15/16 45,000 45,000 33,750 Compucom Systems, Inc. 12.500 10/01/15 670,000 650,307 554,425 Douglas Dynamics LLC 7.750 01/15/12 485,000 461,885 378,300 G F S I, Inc. (C) 10.500 06/01/11 358,000 343,948 264,920 H C A, Inc. 9.875 02/15/17 15,000 14,516 15,337 MGM Mirage, Inc. 10.375 05/15/14 30,000 29,170 31,125 MGM Mirage, Inc. 11.125 11/15/17 50,000 48,683 53,000 Markwest Energy Operating Co. 6.875 11/01/14 35,000 27,399 29,050 Packaging Dynamics Corporation of America 10.000 05/01/16 975,000 969,715 321,750 Sealed Air Corporation 7.875 06/15/17 500,000 491,950 495,540 Speedway Motorsports, Inc. 8.750 06/01/16 35,000 33,901 35,438 Teck Cominco, Ltd. 9.750 05/15/14 30,000 28,480 32,400 Teck Cominco, Ltd. 10.250 05/15/16 40,000 37,891 42,000 Teck Cominco, Ltd. 10.750 05/15/19 25,000 23,844 26,125 Ticketmaster Entertainment, Inc. 10.750 08/01/16 250,000 250,000 222,500 Tunica-Biloxi Gaming Authority 9.000 11/15/15 540,000 556,127 475,200 ------------ ------------ TOTAL BONDS 5,032,920 4,077,934 ------------ ------------ CONVERTIBLE PREFERRED STOCK - 0.00% ETEX Corporation (B) 194 179 -- ------------ ------------ TOTAL CONVERTIBLE PREFERRED STOCK 179 -- ------------ ------------ PREFERRED STOCK - 0.00% TherOX, Inc. (B) 26 1,032 -- ------------ ------------ TOTAL PREFERRED STOCK 1,032 -- ------------ ------------ COMMON STOCK - 0.00% Touchstone Health Partnership (B) 292 1,062 -- ------------ ------------ TOTAL COMMON STOCK 1,062 -- ------------ ------------ TOTAL RULE 144A SECURITIES 5,035,193 4,077,934 ------------ ------------ TOTAL CORPORATE RESTRICTED SECURITIES $117,063,221 $ 99,123,247 ------------ ------------ --------------------------------------------------------------------------------------------------------------------------------- 27

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

INTEREST DUE PRINCIPAL CORPORATE PUBLIC SECURITIES - 14.57%: (A) RATE DATE AMOUNT COST MARKET VALUE ------ -------- ------------ ------------ ------------ BONDS - 13.70% Allegheny Technologies, Inc. 9.375% 06/01/19 $ 500,000 $ 522,482 $ 529,853 Allied Waste NA 7.125 05/15/16 500,000 506,250 502,500 Appleton Papers, Inc. 8.125 06/15/11 250,000 250,000 162,500 Aramark Corporation (C) 4.528 02/01/15 100,000 100,000 81,250 Bunge Limited Finance Corporation 8.500 06/15/19 500,000 512,362 522,826 C R H America, Inc. 5.300 10/15/13 500,000 418,430 465,685 C V S Caremark Corporation 5.750 06/01/17 500,000 407,380 502,584 Citigroup, Inc. 5.500 04/11/13 500,000 437,890 468,622 Comcast Corporation 6.500 01/15/15 500,000 443,545 530,343 Corrections Corporation of America 7.750 06/01/17 75,000 72,852 73,875 Cytec Industries, Inc. 8.950 07/01/17 600,000 604,197 598,332 Denbury Resources, Inc. 9.750 03/01/16 25,000 23,272 25,688 El Paso Corporation 12.000 12/12/13 25,000 22,444 27,125 Electronic Data Systems Corporation 7.125 10/15/09 500,000 500,437 509,260 Gencorp, Inc. 9.500 08/15/13 130,000 130,000 96,200 Goldman Sachs Group, Inc. 4.750 07/15/13 500,000 418,645 500,667 Goodyear Tire & Rubber Co. 10.500 05/15/16 50,000 47,950 50,500 Inergy LP/Inergy Fin 8.250 03/01/16 75,000 75,000 71,438 Intelsat Bermuda Ltd. 9.250 06/15/16 690,000 715,071 610,650 International Game Technology 7.500 06/15/19 500,000 499,720 504,490 Iron Mountain, Inc. 8.750 07/15/18 500,000 513,391 492,500 Johnson Controls, Inc. 5.500 01/15/16 500,000 398,125 463,630 Lubrizol Corporation 8.875 02/01/19 500,000 496,280 580,877 Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 73,875 Mediacom LLC/Mediacom Capital 9.500 01/15/13 750,000 585,000 714,375 N R G Energy, Inc. 8.500 06/15/19 100,000 98,348 96,500 Nortek, Inc. 10.000 12/01/13 100,000 98,957 80,250 O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 500,000 492,980 447,500 Owens Corning, Inc. 9.000 06/15/19 30,000 29,516 29,100 Pliant Corporation (C) 11.850 07/15/09 857,441 832,829 572,342 Quicksilver Resources, Inc. 7.125 04/01/16 350,000 334,250 273,000 Rental Service Corporation 9.500 12/01/14 175,000 175,762 140,437 Sheridan Acquisition Corporation 10.250 08/15/11 225,000 222,000 135,000 Stewart & Stevenson LLC 10.000 07/15/14 735,000 755,106 617,400 Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 31,412 The Valspar Corporation 7.250 06/15/19 500,000 501,589 506,223 --------------------------------------------------------------------------------------------------------------------------------- 28

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

SHARES OR INTEREST DUE PRINCIPAL CORPORATE PUBLIC SECURITIES:(A)(Continued) RATE DATE AMOUNT COST MARKET VALUE ------ -------- ------------ ------------ ------------ Titan International, Inc. 8.000% 01/15/12 $ 70,000 $ 70,000 $ 63,350 Tube City IMS Corporation 9.750 02/01/15 1,000,000 990,378 612,500 Tyco International Group SA 8.500 01/15/19 125,000 124,996 138,579 Tyco International Group SA 6.000 11/15/13 625,000 545,313 635,511 Tyco International Group SA 6.550 10/01/17 500,000 457,495 453,963 United Components, Inc. 9.375 06/15/13 535,000 535,526 339,725 United Rentals, Inc. 6.500 02/15/12 325,000 235,625 315,250 Vought Aircraft Industries 8.000 07/15/11 650,000 647,657 406,250 ------------ ------------ TOTAL BONDS 15,984,050 15,053,937 ------------ ------------ COMMON STOCK - 0.45% CKX, Inc. (B) 52,500 422,625 372,225 Directed Electronics, Inc. (B) 195,118 982,868 21,462 ITC^DeltaCom, Inc. (B) 94,588 827,645 94,588 Intrepid Potash, Inc. (B) 185 5,920 5,195 ------------ ------------ TOTAL COMMON STOCK 2,239,058 493,470 ------------ ------------ CONVERTIBLE BONDS - 0.42% Citadel Broadcasting Corporation 4.000% 02/15/11 $ 250,000 194,063 16,250 Transocean, Inc. 1.500 12/15/37 500,000 411,093 440,625 ------------ ------------ TOTAL CONVERTIBLE BONDS 605,156 456,875 ------------ ------------ TOTAL CORPORATE PUBLIC SECURITIES $ 18,828,264 $ 16,004,282 ------------ ------------ --------------------------------------------------------------------------------------------------------------------------------- 29

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

INTEREST DUE PRINCIPAL SHORT-TERM SECURITIES: RATE/YIELD^ DATE AMOUNT COST MARKET VALUE ------ -------- ------------ ------------ ------------ COMMERCIAL PAPER - 3.92% Autozone, Inc. 0.600% 07/01/09 $ 2,110,000 $ 2,110,000 $ 2,110,000 Avery Dennison Corporation 0.600 07/01/09 2,200,000 2,200,000 2,200,000 ------------ ------------ TOTAL SHORT-TERM SECURITIES $ 4,310,000 $ 4,310,000 ------------ ------------ TOTAL INVESTMENTS 108.71% $140,201,485 $119,437,529 ============ ------------ Other Assets 4.07 4,624,521 Liabilities (12.78) (14,190,560) ------ ------------ TOTAL NET ASSETS 100.00% $109,871,490 ====== ============ (A) In each of the convertible note, warrant, convertible preferred, and common stock investments, the issuer has agreed to provide certain registration rights. (B) Non-income producing security. (C) Variable rate security; rate indicated is as of 06/30/09. (D) Defaulted security; interest not accrued. (E) Illiquid security. At June 30, 2009, the values of these securities amounted to $95,045,313 or 86.51% of net assets. ^ Effective yield at purchase PIK - Payment-in-kind --------------------------------------------------------------------------------------------------------------------------------- 30

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

Fair Value/ Fair Value/ Industry Classification Market Value Market Value ------------------------------------------------------------ ------------------------------------------------------------ AEROSPACE - 2.84% BUILDINGS & REAL ESTATE - 1.15% Gencorp, Inc. $ 96,200 K W P I Holdings Corporation $ 1,058,582 P A S Holdco LLC 1,641,076 Owens Corning, Inc. 29,100 Visioneering, Inc. 973,952 Texas Industries, Inc. 31,412 Vought Aircraft Industries 406,250 TruStile Doors, Inc. 140,846 ------------ ------------ 3,117,478 1,259,940 ------------ ------------ AUTOMOBILE - 4.00% CHEMICAL, PLASTICS & RUBBER - 0.13% Goodyear Tire & Rubber Co. 50,500 Capital Specialty Plastics, Inc. 139,733 Jason, Inc. 306,112 ------------ Johnson Controls, Inc. 463,630 CONSUMER PRODUCTS - 7.72% Nyloncraft, Inc. 348,215 Aero Holdings, Inc. 2,058,053 Ontario Drive & Gear Ltd. 600,323 Bravo Sports Holding Corporation 1,161,722 Qualis Automotive LLC 917,986 G F S I, Inc. 264,920 Titan International, Inc. 63,350 K N B Holdings Corporation 1,205,737 Transtar Holding Company 1,309,250 Momentum Holding Co. 256,924 United Components, Inc. 339,725 R A J Manufacturing Holdings LLC 1,306,155 ------------ Royal Baths Manufacturing Company 530,310 4,399,091 The Tranzonic Companies 1,694,890 ------------ Walls Industries, Inc. -- BEVERAGE, DRUG & FOOD - 4.90% ------------ Anheuser-Busch 546,828 8,478,711 Aramark Corporation 81,250 ------------ Golden County Foods Holding, Inc. 902,400 CONTAINERS, PACKAGING & GLASS - 4.30% Hospitality Mints Holding Company 1,270,808 Flutes, Inc. 262,396 Specialty Commodities, Inc. 1,384,398 Maverick Acquisition Company 397,208 Vitality Foodservice, Inc. 1,203,139 P I I Holding Corporation 1,505,224 ------------ Packaging Dynamics Corporation of America 321,750 5,388,823 Paradigm Packaging, Inc. 1,175,222 ------------ Pliant Corporation 572,342 BROADCASTING & ENTERTAINMENT - 2.02% Sealed Air Corporation 495,540 Citadel Broadcasting Corporation 16,250 Vitex Packaging Group, Inc. -- CKX, Inc. 372,225 ------------ Comcast Corporation 530,343 4,729,682 Mediacom Broadband LLC 714,375 ------------ Speedway Motorsports, Inc. 35,438 DISTRIBUTION - 2.02% Workplace Media Holding Co. 548,807 Duncan Systems, Inc. 884,704 ------------ FCX Holdings Corporation 1,329,998 2,217,438 ------------ ------------ 2,214,702 ------------ ---------------------------------------------------------------------------------------------------------------------------------- 31

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

Fair Value/ Fair Value/ Industry Classification Market Value Market Value ------------------------------------------------------------ ------------------------------------------------------------ DIVERSIFIED/CONGLOMERATE, FARMING & AGRICULTURE - 1.81% MANUFACTURING - 9.37% Bunge Limited Finance Corporation $ 522,826 A H C Holdings Company, Inc. $ 1,394,058 Waggin' Train Holdings LLC 1,469,767 Arrow Tru-Line Holdings, Inc. 732,447 ------------ C D N T, Inc. 775,757 1,992,593 Douglas Dynamics LLC 378,300 ------------ K P I Holdings, Inc. 916,859 FINANCIAL SERVICES - 0.88% MEGTEC Holdings, Inc. 1,320,903 Citigroup, Inc. 468,622 Milwaukee Gear Company 1,369,209 Goldman Sachs Group, Inc. 500,667 Nortek, Inc. 80,250 Highgate Capital LLC -- Postle Aluminum Company LLC 328,016 ------------ Radiac Abrasives, Inc. 1,522,568 969,289 Truck Bodies & Equipment International 375,297 ------------ Xaloy Superior Holdings, Inc. 1,099,451 HEALTHCARE, EDUCATION & CHILDCARE - 5.75% ------------ A T I Acquisition Company 2,323,226 10,293,115 American Hospice Management Holding LLC 1,980,315 ------------ F H S Holdings LLC 632,813 DIVERSIFIED/CONGLOMERATE, SERVICE - 11.08% HCA, Inc. 15,337 A W X Holdings Corporation 779,380 Synteract Holdings Corporation 1,365,028 Advanced Technologies Holdings 1,397,806 Touchstone Health Partnership -- Apex Analytix Holding Corporation 1,042,898 ------------ C R H America, Inc. 465,685 6,316,719 Clough, Harbour and Associates 1,447,967 ------------ Corrections Corporation of America 73,875 HOME & OFFICE FURNISHINGS, HOUSEWARES, Crane Rental Corporation 1,368,270 AND DURABLE CONSUMER PRODUCTS - 11.73% Diversco, Inc./DHI Holdings, Inc. 659,713 Avery Dennison Corporation 2,200,000 Dwyer Group, Inc. 813,456 Connor Sport Court International, Inc. 1,378,156 Fowler Holding, Inc. -- H M Holding Company -- Insurance Claims Management, Inc. 75,742 Home Decor Holding Company 1,162,317 Iron Mountain, Inc. 492,500 Justrite Manufacturing Acquisition Co. 947,270 Mail Communications Group, Inc. 718,176 K H O F Holdings, Inc. 1,328,755 Nesco Holdings Corporation 1,612,931 Monessen Holding Corporation 1,321,637 Pearlman Enterprises, Inc. -- Stanton Carpet Holding Co. 1,195,326 Tyco International Group 1,228,053 Transpac Holdings Company 797,853 ------------ U M A Enterprises, Inc. 938,110 12,176,452 U-Line Corporation 847,025 ------------ Wellborn Forest Holding Co. 774,563 ELECTRONICS - 1.41% ------------ Connecticut Electric, Inc. 1,013,910 12,891,012 Directed Electronics, Inc. 21,462 ------------ Electronic Data Systems Corporation 509,260 LEISURE, AMUSEMENT, ENTERTAINMENT - 2.87% ------------ International Game Technology 504,490 1,544,632 MGM Mirage, Inc. 84,125 ------------ O E D Corp/Diamond Jo Company Guarantee 447,500 Savage Sports Holding, Inc. 1,421,885 Ticketmaster Entertainment, Inc. 222,500 Tunica-Biloxi Gaming Authority 475,200 ------------ 3,155,700 ------------ ---------------------------------------------------------------------------------------------------------------------------------- 32

MassMutual Participation Investors CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

Fair Value/ Fair Value/ Industry Classification Market Value Market Value ------------------------------------------------------------ ------------------------------------------------------------ MACHINERY - 10.10% NATURAL RESOURCES - 1.72% A S A P Industries LLC $ 689,309 Appleton Papers, Inc. $ 162,500 Davis-Standard LLC 1,704,559 Cenveo Corporation 33,750 E S P Holdco, Inc. 1,224,569 Cytec Industries, Inc. 598,332 Integration Technology Systems, Inc. -- Intrepid Potash, Inc. 5,195 K-Tek Holdings Corporation 1,466,729 Lubrizol Corporation 580,877 M V I Holding, Inc. 693,951 The Valspar Corporation 506,223 Manitowoc Company, Inc. 73,875 ------------ Morton Industrial Group, Inc. -- 1,886,877 Navis Global 173,737 ------------ NetShape Technologies, Inc. 674,842 OIL & GAS - 1.33% Pacific Consolidated Holdings LLC 672,976 Denbury Resources, Inc. 25,688 Power Services Holding Company 1,448,781 Quicksilver Resources, Inc. 273,000 R E I Delaware Holding, Inc. 1,341,010 Transocean, Inc. 440,625 Safety Speed Cut Manufacturing Company, Inc. 316,185 Total E & S, Inc. 718,641 Stewart & Stevenson LLC 617,400 ------------ ------------ 1,457,954 11,097,923 ------------ ------------ PHARMACEUTICALS - 1.31% MEDICAL DEVICES/BIOTECH - 3.88% CorePharma LLC 1,434,586 Coeur, Inc. 690,549 ------------ E X C Acquisition Corporation 165,802 PUBLISHING/PRINTING - 0.12% ETEX Corporation -- Sheridan Acquisition Corporation 135,000 MedSystems Holdings LLC 689,002 ------------ MicroGroup, Inc. 2,020,907 RETAIL STORES - 2.93% OakRiver Technology, Inc. 701,637 Ahold Finance USA, Inc. -- TherOX, Inc. -- Autozone, Inc. 2,110,000 ------------ CVS Caremark Corporation 502,584 4,267,897 Olympic Sales, Inc. 151,031 ------------ Rental Service Corporation 140,437 MINING, STEEL, IRON & NON PRECIOUS United Rentals, Inc. 315,250 METALS - 2.39% ------------ Allegheny Technology, Inc. 529,853 3,219,302 T H I Acquisition, Inc. 1,387,733 ------------ Teck Cominco, Ltd. 100,525 TECHNOLOGY - 3.24% Tube City IMS Corporation 612,500 Compucom Systems, Inc. 554,425 ------------ Sencore Holding Company 1,384,962 2,630,611 Smart Source Holdings LLC 1,615,070 ------------ ------------ 3,554,457 ------------ TELECOMMUNICATIONS - 2.52% All Current Holding Company 669,621 Intelsat Bermuda Ltd. 610,650 ITC^DeltaCom, Inc. 94,588 Telecorps Holdings, Inc. 1,390,532 ------------ 2,765,391 ------------ ---------------------------------------------------------------------------------------------------------------------------------- 33

CONSOLIDATED SCHEDULE OF INVESTMENTS(CONTINUED) June 30, 2009 (Unaudited)

Fair Value/ Fair Value/ Industry Classification Market Value Market Value ------------------------------------------------------------ ------------------------------------------------------------ TRANSPORTATION - 1.81% WASTE MANAGEMENT / POLLUTION - 2.70% NABCO, Inc. $ 215,846 Allied Waste NA $ 502,500 Tangent Rail Corporation 1,777,894 Terra Renewal LLC 1,394,993 ------------ Torrent Group Holdings, Inc. 1,066,829 1,993,740 ------------ ------------ 2,964,322 UTILITIES - 0.68% ------------ Allegheny Energy Supply 520,246 TOTAL INVESTMENTS - 108.71% $119,437,529 El Paso Corporation 27,125 ============ Inergy LP 71,438 Markwest Energy Operating Co. 29,050 N R G Energy, Inc. 96,500 ------------ 744,359 ------------ See Notes to Consolidated Financial Statements ---------------------------------------------------------------------------------------------------------------------------------- 34

MassMutual Participation Investors NOTES TO CONSOLIDATED 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 diversified closed-end management investment company. Babson Capital Management LLC ("Babson Capital"), a wholly-owned indirect subsidiary of Massachusetts Mutual Life Insurance Company ("MassMutual"), acts as its investment adviser. The Trust's investment objective is to maximize total return by providing a high level of current income, the potential for growth of income, and capital appreciation. The Trust's principal investments are privately placed, below-investment grade, long-term debt obligations purchased directly from their issuers, which tend to be smaller companies. At least half of these investments normally include equity features such as common stock, warrants, conversion rights, or other equity features that provide the Trust with the opportunity to realize capital gains. The Trust will also invest in publicly traded debt securities (including high yield securities), again with an emphasis on those with equity features, and in convertible preferred stocks and, subject to certain limitations, readily marketable equity securities. Below-investment grade or high yield securities have predominantly speculative characteristics with respect to the capacity of the issuer to pay interest and repay capital. In addition, the Trust may temporarily invest in high quality, readily marketable securities. On January 27, 1998, the Board of Trustees authorized the formation of a wholly-owned subsidiary of the Trust ("MMPI Subsidiary Trust") for the purpose of holding certain investments. The results of the MMPI Subsidiary Trust are consolidated in the accompanying financial statements. Footnote 2.D below discusses the federal tax consequences of the MMPI Subsidiary Trust. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed consistently by the Trust in the preparation of its consolidated financial statements in conformity with accounting principles generally accepted in the United States of America. A . VALUATION OF INVESTMENTS: Valuation of a security in the Trust's portfolio is made on the basis of the 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 public offering for which a registration statement is in effect under the Securities Act of 1933, as amended (the "1933 Act") or pursuant to a transaction that is exempt from registration under the 1933 Act. 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 Trust's Board of Trustees (the "Trustees"). Each restricted security is valued by the Trustees at the time of its acquisition 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 used thereafter for restricted securities in appropriate circumstances. Among the factors ordinarily considered are the existence of restrictions upon the sale of a security held 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 for purchase; 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, as amended (the "1940 Act"). 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 1933 Act and any other developments which are likely to increase the probability that the securities may be publicly sold by the Trust without restriction. The Trustees meet at least once each quarter to approve the value of 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 or of Babson Capital. In making valuations, -------------------------------------------------------------------------------- 35 NOTES TO CONSOLIDATED FINANCIAL STATEMENTS(CONTINUED) (UNAUDITED) the Trustees will consider reports by Babson Capital analyzing each portfolio security in accordance with the relevant factors referred to above. Babson Capital has agreed to provide such reports to the Trust at least quarterly. The consolidated financial statements include private placement restricted securities valued at $95,045,313 (86.51% of net assets) as of June 30, 2009 whose values have been estimated by the 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 Rule 144A restricted securities and 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, 2009, 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. Effective January 1, 2008, the Trust adopted FASB Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. FAS 157 requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations on an entity's financial performance. Various inputs are used in determining the value of the Trust's investments. Using the hierarchy established under FAS 157, these inputs are summarized in the three broad levels listed below: Level 1: quoted prices in active markets for identical securities Level 2: other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) Level 3: significant unobservable inputs (including the Trust's own assumptions in determining the fair value of investments) The inputs and methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Trust's net assets as of June 30, 2009: ASSETS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 ----------------------------------------------------------------------------- Restricted Securities $ 99,123,247 $ -- $ 4,077,934 $95,045,313 Public Securities 16,004,282 493,470 15,510,812 -- Short-term Securities 4,310,000 -- 4,310,000 -- ----------------------------------------------------------------------------- TOTAL $119,437,529 $493,470 $23,898,746 $95,045,313 Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value: RESTRICTED PUBLIC SHORT-TERM ASSETS SECURITIES SECURITIES SECURITIES TOTAL ----------------------------------------------------------------------------- Beginning balance at 12/31/2008 $ 97,424,749 $ -- $ -- $97,424,749 Total gains or losses (realized/unrealized) included in earnings* (6,203,469) -- -- (6,203,469) Purchases, sales, issuances & settlements (net) 3,824,033 -- -- 3,824,032 Transfers in and / or out of Level 3 -- -- -- -- ----------------------------------------------------------------------------- ENDING BALANCE AT 06/30/2009 $ 95,045,313 $ -- $ -- $95,045,313 *The amount of net losses for the period included in earnings attributable to the change in unrealized gains or losses relating to Level 3 assets still held at 06/30/09 is $(6,356,510). B. ACCOUNTING FOR INVESTMENTS: Investment transactions are accounted for on the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis, including the amortization of premiums and accretion of discounts on bonds held using the yield-to-maturity method. The Trust does not accrue income when payment is delinquent and when management believes payment is questionable. 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. C. USE OF ESTIMATES: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at -------------------------------------------------------------------------------- 36 MassMutual Participation Investors NOTES TO CONSOLIDATED FINANCIAL STATEMENTS(CONTINUED) (UNAUDITED) 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: 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 that Trustees either designate the net realized long-term gains as undistributed and pay the federal capital gains taxes thereon, or distribute all or a portion of such net gains. The Trust is taxed as a regulated investment company and is therefore limited as to the amount of non-qualified income that it may receive as the result of operating a trade or business, e.g. the Trust's PRO RATA share of income allocable to the Trust by a partnership operating company. The Trust's violation of this limitation could result in the loss of its status as a regulated investment company, thereby subjecting all of its net income and capital gains to corporate taxes prior to distribution to its shareholders. The Trust, from time-to-time, identifies investment opportunities in the securities of entities that could cause such trade or business income to be allocable to the Trust. The MMPI Subsidiary Trust (described in Footnote 1, above) was formed in order to allow investment in such securities without adversely affecting the Trust's status as a regulated investment company. The MMPI Subsidiary Trust is not taxed as a regulated investment company. Accordingly, prior to the Trust receiving any distributions from the MMPI Subsidiary Trust, all of the MMPI Subsidiary Trust's taxable income and realized gains, including non-qualified income and realized gains, is subject to taxation at prevailing corporate tax rates. For the six months ended June 30, 2009, the MMPI Subsidiary Trust has not accrued any income tax expense. In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES - AN INTERPRETATION OF FASB STATEMENT NO. 109 ("FIN 48"). Management has analyzed the Trust's tax positions taken on federal income tax returns for all open tax years and has concluded that as of June 30, 2009, no provision for uncertain income tax positions would be required in the Trust's financial statements. The Trust's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. E. DISTRIBUTIONS TO SHAREHOLDERS: The Trust records distributions to shareholders from net investment income and net realized gains, if any, on the ex-dividend date. The Trust's net investment income dividend is declared four times per year, in April, July, October, and December. The Trust's net realized capital gain distribution, if any, is declared in December. F. EXPENSE REDUCTION: Citibank, N.A. ("Citibank") serves as custodian to the Trust. Pursuant to the custodian agreement, Citibank receives a fee reduced by credits on cash balances the Trust maintains with Citibank. All credit balances, if any, used to reduce the Trust's custodian fees are reported as fees paid indirectly on the Statement of Operations. For the six months ended June 30, 2009, there were no credit balances used to reduce custodian fees. 3. INVESTMENT ADVISORY AND ADMINISTRATIVE SERVICES CONTRACT A. SERVICES: Under an Investment Advisory and Administrative Services Contract (the "Contract") with the Trust, Babson Capital has agreed to use its best efforts to present to the Trust a continuing and suitable investment program consistent with the investment objectives and policies of the Trust. Babson Capital represents 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 Capital also provides administration of the day-to-day operations of the Trust and provides the Trust with office space and office equipment, accounting and bookkeeping services, and necessary executive, clerical and secretarial personnel for the performance of the foregoing services. B. FEE: For its services under the Contract, Babson Capital is paid a quarterly investment advisory 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. A majority of the Trustees, including a majority of the Trustees who are not interested persons of the Trust or of Babson Capital, approve the valuation of the Trust's net assets as of such day. C. BASIS FOR BOARD RENEWAL OF CONTRACT: At a meeting of the Board of Trustees held on April 24, 2009, the Trustees (including a majority of the Trustees who are not "interested persons" of the Trust or Babson Capital) unanimously approved a one year continuance of the Contract. Prior to the meeting, the Board of Trustees requested and received from Ropes & Gray LLP, counsel to the Trust, a memorandum describing the Board of Trustees' legal responsibilities in connection with its review and reapproval of the Contract. The Board of Trustees also requested and received from Babson Capital extensive written and oral information regarding among other matters: the principal terms of the Contract; the reasons why Babson Capital was proposing the continuance of the Contract; Babson Capital and its personnel; the Trust's -------------------------------------------------------------------------------- 37 NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) investment performance, including comparative performance information; the nature and quality of the services provided by Babson Capital to the Trust; financial strength of Babson Capital; the fee arrangement between Babson Capital and the Trust; fee and expense information, including comparative fee and expense information; profitability of the advisory arrangement to Babson Capital; and "fallout" benefits to Babson Capital resulting from the Contract. Among other things, the Trustees discussed and considered with management (i) the aforementioned guidance provided by Ropes & Gray LLP and the information provided by Babson Capital prior to the meeting and (ii) the reasons Babson Capital put forth in support of the continuance of the Contract. These considerations are summarized below. NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED BY BABSON CAPITAL TO THE TRUST In evaluating the scope and quality of the services provided by Babson Capital to the Trust, the Trustees considered, among other factors: (i) the scope of services required to be provided by Babson Capital to the Trust under the Contract; (ii) Babson Capital's ability to find and negotiate private placement securities having equity features that are consistent with the stated investment objectives of the Trust; (iii) the experience and quality of Babson Capital's staff; (iv) the strength of Babson Capital's financial condition; (v) the nature of the private placement market compared to public markets (including the fact that finding, analyzing, negotiating and servicing private placement securities is more labor-intensive than buying and selling public securities and the administration of private placement securities is more extensive, expensive, and requires greater time and expertise than a portfolio of only public securities); (vi) the potential advantages afforded to the Trust by its ability to co-invest in negotiated private placements with MassMutual and its affiliates; and (vii) the expansion of the scope of services provided by Babson Capital as a result of recent regulatory and legislative initiatives that have required increased legal, compliance and business attention and diligence. Based on such considerations, the Board of Trustees concluded that, overall, it is satisfied with the nature, extent and quality of services provided by Babson Capital, and expected to be provided in the future, under the renewed Contract. INVESTMENT PERFORMANCE The Board also examined the Trust's short-term, intermediate-term, and long-term performance as compared against various benchmark indices presented at the meeting. In addition, the Trustees considered comparisons of the Trust's performance with the performance of (i) selected closed-end investment companies and funds that may invest in private placement securities and/or bank loans; (ii) selected business development companies with comparable types of investments; and (iii) investment companies included in the Lipper closed-end bond universe. It was acknowledged that, while such comparisons are helpful in judging performance, they are not directly comparable in terms of types of investments due to the fact that business development companies often report returns based on market value, which is affected by factors other than the performance of the underlying portfolio investments. Based on these considerations and the detailed performance information provided to the Trustees at the regular Board meetings each quarter, the Trustees concluded that the Trust's absolute and relative performance over time have been sufficient to warrant renewal of the Contract. ADVISORY FEE/COST OF SERVICES PROVIDED AND PROFITABILITY/ MANAGER'S "FALL-OUT" BENEFITS In connection with the Trustees' consideration of the advisory fee paid by the Trust to Babson Capital under the Contract, Babson Capital noted that it was unaware of any registered closed-end investment companies that are directly comparable to the Trust in terms of the types of investments and percentages invested in private placement securities (which require more extensive advisory and administrative services than a portfolio of publicly traded securities, as previously discussed) other than MassMutual Corporate Investors ("MMCI"), which also is advised by Babson Capital. Under the terms of MMCI Investment Services Contract, with Babson Capital, MMCI is charged a quarterly investment advisory fee of 0.3125% of net asset value as of the end of each quarter, which is approximately equal to 1.25% annually. In considering the fee rate provided in the Contract, the Trustees noted the advisory fee charged by Babson Capital to Tower Square Capital Partners, L.P., Tower Square Capital Partners II, L.P., and Tower Square Capital Partners III, L.P., each a private mezzanine fund also managed by Babson Capital. At the request of the Trustees, Babson Capital provided information concerning the profitability of Babson Capital's advisory relationship with the Trust. The Board also considered the non-economic benefits Babson Capital and its affiliates derived from its relationship with the Trust, including the reputational benefits derived from having the Trust listed on the New York Stock Exchange, and the de minimis amount of commissions resulting from the Trust's portfolio transactions used by Babson Capital for third-party soft dollar arrangements. The Trustees recognized that Babson Capital should be entitled to earn a reasonable level of profit for services provided to the Trust and, based on their review, concluded that they were satisfied that Babson Capital's historical level of profitability from its relationship with the Trust was not excessive and that the advisory fee structure under the Contract is reasonable. -------------------------------------------------------------------------------- 38 MassMutual Participation Investors NOTES TO CONSOLIDATED FINANCIAL STATEMENTS(CONTINUED) (UNAUDITED) ECONOMIES OF SCALE Finally, the Trustees considered the concept of economies of scale and possible advisory fee reductions if the Trust were to grow in assets. Given that the Trust is not continuously offering shares, such growth comes principally from retained net realized gain on investments and dividend reinvestment. The Trustees also examined the breakpoint features of selected competitive funds and noted that the minimum starting point for fee reductions was at least $200 million whereas the Trusts' current net assets are near $105 million. The Trustees concluded that the absence of breakpoints in the fee schedule under the Contract was currently acceptable given the Trust's current size and closed-end fund structure. 4. SENIOR SECURED INDEBTEDNESS MassMutual holds the Trust's $12,000,000 Senior Fixed Rate Convertible Note (the "Note") issued by the Trust in 1995. The Note, as amended, is due December 13, 2011 and accrues interest at 5.80% per annum. MassMutual, 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 the six months ended June 30, 2009, the Trust incurred total interest expense on the Note of $348,000. The Trust may redeem the Note, in whole or in part, at the principal amount proposed to be redeemed together with the accrued and unpaid interest thereon through the redemption date plus a Make Whole Premium. The Make Whole Premium equals the excess of (i) the present value of the scheduled payments of principal and interest which the Trust would have paid but for the proposed redemption, discounted at the rate of interest of U.S. Treasury obligations whose maturity approximates that of the Note plus 0.50% over (ii) the principal of the Note proposed to be redeemed. 5. PURCHASES AND SALES OF INVESTMENTS FOR THE SIX MONTHS ENDED 06/30/2009 COST OF PROCEEDS FROM INVESTMENTS SALES OR ACQUIRED MATURITIES -------- ---------- Corporate restricted securities $ 7,318,299 $ 2,981,937 Corporate public securities 6,039,002 8,133,516 The aggregate cost of investments is substantially the same for financial reporting and federal income tax purposes as of June 30, 2009. The net unrealized depreciation of investments for financial reporting and federal tax purposes as of June 30, 2009 is $20,763,956 and consists of $9,873,634 appreciation and $30,637,590 depreciation. 6. QUARTERLY RESULTS OF INVESTMENT OPERATIONS MARCH 31, 2009 AMOUNT PER SHARE ------ --------- Investment income $ 3,196,335 Net investment income 2,655,746 $ 0.27 Net realized and unrealized loss on investments (net of taxes) (7,386,587) (0.75) JUNE 30, 2009 AMOUNT PER SHARE ------ --------- Investment income $ 2,895,878 Net investment income 2,319,080 $ 0.23 Net realized and unrealized gain on investments (net of taxes) 4,384,624 0.45 7. RESULTS OF SHAREHOLDER MEETING The Annual Meeting of Shareholders was held on Friday, April 24, 2009. The Shareholders were asked to vote to elect as trustees William J. Barrett, Martin T. Hart, and Clifford M. Noreen for three year terms. The Shareholders approved the proposals. The Trust's other trustees, Donald E. Benson, Michael H. Brown, Donald Glickman, Robert E. Joyal, Corine T. Norgaard, and Maleyne M. Syracuse continued to serve their respective terms following the April 24, 2009 Annual Shareholders Meeting. The results of the Shareholder voting are set forth below. % OF SHARES SHARES FOR WITHHELD TOTAL VOTED FOR ----------------------------------------------------------------------------- William J. Barrett 8,247,181 379,674 8,626,855 95.60% Martin T. Hart 8,241,928 384,927 8,626,855 95.54% Clifford M. Noreen 8,249,957 376,898 8,626,855 95.63% -------------------------------------------------------------------------------- 39 This page is intentionally left blank MassMutual Participation Investors MEMBERS OF THE BOARD OF TRUSTEES Donald Glickman Robert E. Joyal William J. Barrett Michael H. Brown* Donald E. Benson* Dr. Corine T. Norgaard* Clifford M. Noreen Martin T. Hart Maleyne M. Syracuse *Member of the Audit Committee OFFICERS Clifford M. Noreen Chairman Michael L. Klofas President James M. Roy Vice President & Chief Financial Officer Patricia J. Walsh Vice President, Secretary & Chief Legal Officer Jill A. Fields Vice President Michael P. Hermsen Vice President Mary Wilson Kibbe Vice President Richard E. Spencer, II Vice President Daniel J. Florence Treasurer John T. Davitt, Jr. Comptroller Melissa M. LaGrant Chief Compliance Officer DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN MassMutual Participation Investors offers a Dividend Reinvestment and Cash Purchase Plan (the "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. Cash contributions must be received by the Transfer Agent at least five days (but no more then 30 days) before the payment date of a dividend or distributions. 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 anyway, 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., Transfer Agent for MassMutual Participation Investors' Dividend Reinvestment and Cash Purchase Plan, P.O. Box 173673, Denver, CO 80217-3673. [LOGO] MassMutual Participation Investors PI3555 ITEM 2. CODE OF ETHICS. Not applicable for this filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for this filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for this filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable for this filing. ITEM 6. SCHEDULE OF INVESTMENTS A schedule of investments for the Registrant is included as part of this report to shareholders under Item 1 of this Form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable for this filing. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. There have been no changes in any of the Portfolio Managers identified in the Registrant's most recent annual report on Form N-CSR. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable for this filing. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable for this filing. ITEM 11. CONTROLS AND PROCEDURES. (a) The principal executive officer and principal financial officer of the Registrant evaluated the effectiveness of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days of the filing date of this report and based on that evaluation have concluded that such disclosure controls and procedures are effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the Registrant's second fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) ANY CODE OF ETHICS, OR AMENDMENTS THERETO, THAT IS THE SUBJECT OF DISCLOSURE REQUIRED BY ITEM 2, TO THE EXTENT THAT THE REGISTRANT INTENDS TO SATISFY THE ITEM 2 REQUIREMENTS THROUGH THE FILING OF AN EXHIBIT. None. (a)(2) A SEPARATE CERTIFICATION FOR EACH PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER OF THE REGISTRANT AS REQUIRED BY RULE 30a-2 UNDER THE ACT. Attached hereto as EX-99.31.1 Attached hereto as EX-99.31.2 (a)(3) ANY WRITTEN SOLICITATION TO PURCHASE SECURITIES UNDER RULE 23c-1 UNDER THE ACT (17 CFR 270.23c-1) SENT OR GIVEN DURING THE PERIOD COVERED BY THE REPORT BY OR ON BEHALF OF THE REGISTRANT TO 10 OR MORE PERSONS. Not applicable for this filing. (b) CERTIFICATIONS PURSUANT TO RULE 302-2(b) UNDER THE ACT. Attached hereto as EX-99.32 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant): MassMutual Participation Investors ---------------------------------- By: /s/ Michael L. Klofas ---------------------------------- Michael L. Klofas, President ---------------------------------- Date: September 9, 2009 ---------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ Michael L. Klofas ---------------------------------- Michael L. Klofas, President ---------------------------------- Date: September 9, 2009 ---------------------------------- By: /s/ James M. Roy ---------------------------------- James M. Roy, Vice President and Chief Financial Officer ---------------------------------- Date: September 9, 2009 ----------------------------------