================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company Investment Company Act file number 811-05531 MassMutual Participation Investors -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1500 Main Street, Suite 600, Springfield, MA 01115 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Stephen L. Kuhn, Vice President and Secretary, 1295 State Street, Springfield, MA 01111 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 413-226-1000 ___________________ Date of fiscal year end: 12/31 ___________________ Date of reporting period: 03/31/06 ___________________ ================================================================================ ITEM 1. SCHEDULE OF INVESTMENTS. CONSOLIDATED SCHEDULE OF INVESTMENTS MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES - 72.67%:(A) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ PRIVATE PLACEMENT INVESTMENTS - 66.37% A T I ACQUISITION COMPANY A for-profit post-secondary school serving students in Texas, Florida and Arizona. 12% Senior Subordinated Note due 2012 $ 1,125,000 04/08/04 $ 1,125,000 $ 1,002,932 Warrant, exercisable until 2012, to purchase common stock at $.02 per share (B) 1,230 shs. 04/08/04 -- 12 Warrant, exercisable until 2012, to purchase preferred stock at $.01 per share (B) 33,505 shs. 03/23/06 33,860 335 ------------ ------------ 1,158,860 1,003,279 ------------ ------------ ADORN, INC. A manufacturer of wall panels, cabinets, moldings and countertops for houses and recreational vehicles. 12.5% Subordinated Note due 2010 $ 1,125,000 02/29/00 1,047,620 1,125,000 Warrant, exercisable until 2010, to purchase common stock at $.02 per share (B) 192 shs. 02/29/00 162,931 277,171 ------------ ------------ 1,210,551 1,402,171 ------------ ------------ AMERCABLE, INC. A manufacturer of electric power, instrumentation and control cables, primarily for the mining and oil and gas industries. 12% Senior Subordinated Note due 2013 $ 583,333 04/08/05 550,976 579,008 Limited Partnership Interest (B) 0.19% int. 04/07/05 41,667 64,093 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 66 shs. 04/08/05 64,833 101,668 ------------ ------------ 657,476 744,769 ------------ ------------ AMERICAN HOSPICE MANAGEMENT HOLDING LLC A for-profit hospice care provider in the United States. 12% Senior Subordinated Note due 2010 $ 1,125,000 01/22/04 1,018,265 1,140,276 Preferred Class A Unit (B) 1,337 uts. 01/22/04 133,700 120,330 Common Class B Unit (B) 1,610 uts. 01/22/04 1 154,458 ------------ ------------ 1,151,966 1,415,064 ------------ ------------ ARROW TRU-LINE HOLDINGS, INC. A manufacturer of hardware for residential and commercial overhead garage doors in North America. 12% Senior Subordinated Note due 2012 $ 861,702 05/18/05 807,057 866,487 Common Stock (B) 263 shs. 05/18/05 263,298 236,970 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 69 shs. 05/18/05 59,362 1 ------------ ------------ 1,129,717 1,103,458 ------------ ------------ AUGUSTA SPORTSWEAR HOLDING CO. A manufacturer and distributor of athletic apparel, activewear and team uniforms. 12% Senior Subordinated Note due 2012 $ 893,000 12/31/04 835,799 896,495 Common Stock (B) 261 shs. * 261,000 234,900 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 73 shs. 12/31/04 63,254 1 ------------ ------------ 1,160,053 1,131,396 ------------ ------------ *12/31/04 and 03/31/05. ---------------------------------------------------------------------------------------------------------------------------------- 7 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ BEACON MEDICAL PRODUCTS, INC. A designer, manufacturer and marketer of medical air and gas distribution systems. 8.54% Senior Secured Revolving Credit Facility due 2007 (C) $ 131,792 04/09/02 $ 131,792 $ 131,792 8.54% Senior Secured Tranche A Note due 2008 (C) $ 339,148 04/09/02 339,148 339,148 12% Senior Secured Note due 2010 $ 412,112 04/09/02 364,564 425,439 Limited Partnership Interest of Riverside Capital Appreciation Fund IV, L.P. (B) 5.09% int. 04/09/02 87,045 261,618 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 794 shs. 04/09/02 72,856 238,665 ------------ ------------ 995,405 1,396,662 ------------ ------------ BETA BRANDS LTD. A manufacturer of hard candy and chocolate-coated products sold primarily to the Canadian market. 5% Promissory Note due 2009 (B) $ 96,698 03/31/04 96,698 -- Warrant, exercisable until 2009, to purchase common stock at $.01 per share (B) 2,421 shs. 03/31/04 1 -- ------------ ------------ 96,699 -- ------------ ------------ C & J SPEC-RENT SERVICES, INC. A provider of coiled tubing and pressure pumping services to the oil and gas industry in Texas and Louisiana. 10% Senior Secured Term Note due 2012 $ 886,597 08/12/05 886,567 897,894 14% Senior Subordinated Note due 2013 $ 649,755 08/12/05 591,610 651,453 Common Stock (B) 268,657 shs. 08/12/05 268,657 241,791 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 49,552 shs. 08/12/05 60,910 496 ------------ ------------ 1,807,744 1,791,634 ------------ ------------ C & M CONVEYOR, INC. A manufacturer and supplier of material handling systems to the corrugated sheet and container industry. 9.5% Senior Secured Term Note due 2007 $ 433,735 09/13/02 433,735 433,452 11% Senior Subordinated Note due 2010 $ 478,916 09/13/02 462,021 478,814 Common Stock (B) 180,723 shs. 09/13/02 180,723 346,988 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 78,386 shs. 09/13/02 34,428 150,501 ------------ ------------ 1,110,907 1,409,755 ------------ ------------ CAINS FOODS, L.P. A producer of mayonnaise and sauce products for both the retail and food service markets. Limited Partnership Interest 1.81% int. 09/29/95 22,519 178,408 ------------ ------------ ---------------------------------------------------------------------------------------------------------------------------------- 8 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ CAPESUCCESS LLC A provider of diversified staffing services. Preferred Membership Interests (B) 806 uts. 04/29/00 $ 3,598 $ 180 Common Membership Interests (B) 10,421 uts. 04/29/00 46,706 2,332 ------------ ------------ 50,304 2,512 ------------ ------------ CAPITAL SPECIALTY PLASTICS, INC. A producer of desiccant strips used for packaging pharmaceutical products. Common Stock (B) 55 shs. * 252 22,973 ------------ ------------ COEUR, INC. A producer of proprietary, disposable power injection syringes. 8.75% Senior Secured Term Note due 2010 $ 326,087 04/30/03 326,087 326,151 11.5% Senior Subordinated Note due 2011 $ 242,754 04/30/03 225,258 243,029 Common Stock (B) 72,463 shs. 04/30/03 72,463 81,738 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 50,099 shs. 04/30/03 23,317 56,512 ------------ ------------ 647,125 707,430 ------------ ------------ COINING CORPORATION OF AMERICA LLC A manufacturer of close tolerance parts and metal stampings. 9.77% Senior Secured Revolving Credit Facility due 2006 (C) $ 86,420 01/07/02 86,420 85,957 9.77 % Senior Secured Tranche A Note due 2007 (C) $ 458,913 06/26/01 458,913 445,488 13% Senior Secured Tranche B Note due 2008 $ 370,370 06/26/01 370,370 363,015 Limited Partnership Interest (B) 3.65% int. 06/26/01 185,185 166,667 Warrant, exercisable until 2008, to purchase common stock at $.01 per share (B) 61,163 shs. 06/26/01 45,370 51,744 ------------ ------------ 1,146,258 1,112,871 ------------ ------------ CONNOR SPORT COURT INTERNATIONAL, INC. A designer and manufacturer of outdoor and indoor synthetic sports flooring and other temporary flooring products. 12% Senior Subordinated Note due 2012 (D) $ 1,059,417 ** 974,588 953,475 Limited Partnership Interest (B) 4.43% int. *** 103,135 1,031 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 92 shs. ** 84,829 1 ------------ ------------ 1,162,552 954,507 ------------ ------------ *12/30/97 and 05/29/99. **08/12/04 and 01/18/05. ***08/12/04 and 01/14/05. ---------------------------------------------------------------------------------------------------------------------------------- 9 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ CONSOLIDATED FOUNDRIES HOLDINGS A manufacturer of engineered cast metal components for the global aerospace and defense industries. 12% Senior Subordinated Note due 2013 $ 1,157,143 06/15/05 $ 1,107,117 $ 1,143,551 Common Stock (B) 193 shs. 06/15/05 192,857 173,574 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 54 shs. 06/15/05 53,295 1 ------------ ------------ 1,353,269 1,317,126 ------------ ------------ COREPHARMA LLC A manufacturer of oral dose generic pharmaceuticals targeted at niche applications. 12% Senior Subordinated Note due 2013 $ 1,350,000 08/04/05 1,280,605 1,329,865 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 10 shs. 08/04/05 72,617 -- ------------ ------------ 1,353,222 1,329,865 ------------ ------------ CORVEST GROUP, INC. A manufacturer and distributor of promotional products. 12% Senior Subordinated Note due 2007 $ 2,045,455 * 1,977,176 1,022,728 Common Stock (B) 30 shs. * 51,136 5,114 Limited Partnership Interest (B) 10.23% int. * 150,377 15,182 Warrant, exercisable until 2007, to purchase common stock at $.01 per share (B) 171 shs. * 157,343 29,489 ------------ ------------ 2,336,032 1,072,513 ------------ ------------ DEXTER MAGNETICS TECHNOLOGIES, INC. A designer, fabricator, assembler and distributor of industrial magnets and subassemblies in North America and Europe. Common Stock (B) 310 shs. 07/19/01 309,783 367,858 Warrant, exercisable until 2006, to purchase common stock at $.01 per share (B) 157 shs. 07/19/01 132,677 186,446 ------------ ------------ 442,460 554,304 ------------ ------------ DIRECTED ELECTRONICS, INC. A designer and distributor of brand name automotive security systems, audio products and installation accessories. Common Stock (B) 126,817 shs. 12/19/05 40,518 1,911,763 Limited Partnership Interest (B) 4.61% int. ** 26,223 825,363 ------------ ------------ 66,741 2,737,126 ------------ ------------ *03/05/99 and 03/24/99. **12/22/99 and 09/14/05. ---------------------------------------------------------------------------------------------------------------------------------- 10 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ DIVERSCO, INC./DHI HOLDINGS, INC. A contract provider of janitorial and equipment maintenance services and temporary production labor to industrial customers. Membership Interests of MM/Lincap Diversco Investments Ltd. LLC (B) 13.57% int. 08/27/98 $ 366,495 $ -- Preferred Stock (B) 1,639 shs. 12/14/01 1,392,067 1,252,858 Warrants, exercisable until 2011, to purchase common stock of DHI Holdings, Inc. at $.01 per share (B) 6,676 shs. * 201,655 -- ------------ ------------ 1,960,217 1,252,858 ------------ ------------ DWYER GROUP, INC. A franchiser of a variety of home repair services. 14% Senior Subordinated Note due 2011 $ 984,375 10/30/03 903,494 1,004,063 Common Stock (B) 3,656 shs. ** 365,600 380,224 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 1,077 shs. 10/30/03 98,719 111,967 ------------ ------------ 1,367,813 1,496,254 ------------ ------------ E X C ACQUISITION CORPORATION A manufacturer of pre-filled syringes and pump systems used for intravenous drug delivery. Warrant, exercisable until 2014, to purchase common stock at $.01 per share 11 shs. 06/28/04 40,875 71,718 ------------ ------------ EAGLE PACK PET FOODS, INC. A manufacturer of premium pet food sold through independent pet stores. 14% Senior Subordinated Note due 2011 $ 562,500 09/24/04 544,502 573,750 Warrant, exercisable until 2011, to purchase common stock at $.02 per share (B) 2,163 shs. 09/24/04 20,893 38,069 ------------ ------------ 565,395 611,819 ------------ ------------ EAST RIVER VENTURES I, L.P. An acquirer of controlling or substantial interests in other entities. Limited Partnership Interest (B) 0.03% int. 01/01/01 6,710 5,423 ------------ ------------ ENZYMATIC THERAPY, INC. A manufacturer and distributor of branded natural medicines and nutritional supplements. Limited Partnership Interest (B) 0.70% int. 03/30/00 281,250 33,750 Warrant, exercisable until 2009, to purchase common stock at $.01 per share (B) 15,415 shs. 03/30/00 135,000 22,500 ------------ ------------ 416,250 56,250 ------------ ------------ *10/24/96 and 08/28/98. **10/30/03 and 01/02/04. ---------------------------------------------------------------------------------------------------------------------------------- 11 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ EURO-PRO CORPORATION A designer, marketer and distributor of floor care, steam cleaning and small kitchen products and appliances. 13.25% Senior Subordinated Note due 2011 $ 1,125,000 09/09/03 $ 1,106,131 $ 562,500 16.03% Overdue Interest Secured Note due 2008 (C) $ 75,952 01/13/06 68,357 68,357 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 23,229 shs. 09/09/03 18,869 -- ------------ ------------ 1,193,357 630,857 ------------ ------------ EVANS CONSOLES, INC. A designer and manufacturer of consoles and control center systems. Common Stock (B) 45,000 shs. 05/06/04 6 -- ------------ ------------ FOWLER HOLDING, INC. A provider of site development services to residential homebuilders and developers in the Raleigh/Durham region of North Carolina. 12% Senior Subordinated Note due 2013 $ 1,252,174 02/03/06 1,124,176 1,223,937 Common Stock (B) 98 shs. 02/03/06 97,826 88,047 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 135 shs. 02/03/06 110,348 1 ------------ ------------ 1,332,350 1,311,985 ------------ ------------ FUEL SYSTEMS HOLDING CORPORATION An independent North American supplier of fuel tanks for a wide variety of commercial vehicles. 12% Senior Subordinated Note due 2014 $ 1,237,500 01/31/06 1,150,271 1,216,749 Common Stock (B) 112,500 shs. 01/31/06 112,500 101,250 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 73,275 shs. 01/31/06 63,113 733 ------------ ------------ 1,325,884 1,318,732 ------------ ------------ H M HOLDING COMPANY A designer, manufacturer, and importer of promotional and wood furniture. 12% Senior Subordinated Note due 2013 $ 1,170,000 02/10/06 1,085,213 1,148,809 Common Stock (B) 180 shs. 02/10/06 180,000 162,000 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 67 shs. 02/10/06 61,875 1 ------------ ------------ 1,327,088 1,310,810 ------------ ------------ HIGHGATE CAPITAL LLC An acquirer of controlling or substantial interests in manufacturing and marketing entities. Series A Preferred Units (B) 0.30% int. 07/21/94 91,867 737 ------------ ------------ ---------------------------------------------------------------------------------------------------------------------------------- 12 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ HOME DECOR HOLDING COMPANY A designer, manufacturer and marketer of framed art and wall decor products. 12.5% Senior Subordinated Note due 2012 $ 1,081,731 * $ 987,616 $ 1,086,804 Common Stock (B) 33 shs. * 33,216 38,120 Warrant, exercisable until 2012, to purchase common stock at $.02 per share (B) 106 shs. * 105,618 121,199 ------------ ------------ 1,126,450 1,246,123 ------------ ------------ INTEGRATION TECHNOLOGY SYSTEMS, INC. A manufacturer of steel protective computer and network systems for the industrial and office environments. 12% Senior Secured Note due 2006 $ 949,004 03/01/04 938,546 711,753 Common Stock (B) 130 shs. 06/01/00 149,500 -- ------------ ------------ 1,088,046 711,753 ------------ ------------ ITC^DELTACOM, INC. A provider of integrated communications services in the southeastern United States. 13.19% Senior Secured Note due 2009 (C) $ 1,171,432 07/26/05 1,148,047 1,161,096 16.69% Senior Secured Note due 2009 (C) $ 185,163 07/26/05 162,443 184,143 Warrant, exercisable until 2009, to purchase convertible preferred stock at $.01 per share (B) 54,468 shs. 07/26/05 18,156 57,736 ------------ ------------ 1,328,646 1,402,975 ------------ ------------ JASON, INC. A diversified manufacturing company serving various industrial markets. 13% Senior Subordinated Note due 2008 $ 510,187 08/04/00 482,340 502,303 14% Cumulative Redeemable Preferred Stock Series A (B) 153 shs. 08/04/00 153,119 149,239 Limited Partnership Interest of Saw Mill Capital Fund II, L.P. (B) 1.30% int. 08/03/00 469,250 375,461 Warrants, exercisable until 2008 and 2009, to purchase common stock at $.01 per share (B) 26,931 shs. 08/04/00 61,101 21,544 ------------ ------------ 1,165,810 1,048,547 ------------ ------------ JUSTRITE MANUFACTURING ACQUISITION CO. A manufacturer of safety products such as storage cabinets and containers. 12% Senior Subordinated Note due 2011 $ 843,750 12/15/04 796,342 822,475 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 594 shs. 12/15/04 53,528 6 ------------ ------------ 849,870 822,481 ------------ ------------ *06/30/04 and 08/19/04. ---------------------------------------------------------------------------------------------------------------------------------- 13 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ KEEPSAKE QUILTING, INC. A seller of quilting fabrics, books, patterns, kits and notions to consumers. 8.33% Senior Secured Revolving Note due 2006 (C) $ 20,967 06/16/00 $ 20,967 $ 20,917 8.33% Senior Secured Tranche A Note due 2007 (C) $ 196,568 06/16/00 196,568 194,718 12% Senior Secured Tranche B Note due 2008 $ 314,509 06/16/00 304,423 317,807 Limited Partnership Interest of Riverside XVI Holding Company, L.P. (B) 3.02% int. 06/12/00 190,563 136,016 Warrant, exercisable until 2008, to purchase common stock at $.01 per share (B) 633 shs. 06/12/00 26,209 45,182 ------------ ------------ 738,730 714,640 ------------ ------------ KELE AND ASSOCIATES, INC. A distributor of building automation control products. 12% Senior Subordinated Note due 2012 $ 969,643 02/27/04 891,357 979,463 Preferred Stock (B) 12 shs. 11/24/04 237,794 241,915 Common Stock (B) 6 shs. 02/27/04 6,814 93,122 Warrant, exercisable until 2012, to purchase common stock at $.02 per share (B) 6 shs. 02/27/04 4,124 85,169 ------------ ------------ 1,140,089 1,399,669 ------------ ------------ KEYSTONE NORTH AMERICA, INC. An operator of funeral homes in North America. Common Stock (B) 28,577 shs. 02/08/05 137,444 181,978 ------------ ------------ LIH INVESTORS, L.P. A manufacturer and marketer of a broad line of external accessories for new and used sport utility vehicles, trucks and vans. 12.5% Senior Subordinated Note due 2008 $ 2,036,000 * 1,883,869 2,022,448 Common Stock (B) 3,057 shs. * 213,998 117,695 Warrant, exercisable until 2006, to purchase common stock at $.11 per share (B) 8,245 shs. * 318,838 317,433 ------------ ------------ 2,416,705 2,457,576 ------------ ------------ MAVERICK ACQUISITION COMPANY A manufacturer of capsules that cover the cork and neck of wine bottles. 9.27% Senior Secured Revolving Note due 2009 (C) $ 21,269 09/03/04 21,269 21,120 9.03% Senior Secured Tranche A Note due 2010 (C) $ 414,180 09/03/04 414,180 414,273 12% Senior Secured Tranche B Note due 2011 $ 179,104 09/03/04 159,745 178,822 Limited Partnership Interest (B) 4.48% int. 09/03/04 33,582 30,224 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 243 shs. 09/03/04 22,556 2 ------------ ------------ 651,332 644,441 ------------ ------------ *12/23/98 and 01/28/99. ---------------------------------------------------------------------------------------------------------------------------------- 14 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ MAXON CORPORATION A manufacturer of industrial combustion equipment and related shut-off valves and control valves. 12% Senior Subordinated Note due 2012 $ 549,837 09/30/04 $ 504,171 $ 557,278 8.75% Senior Subordinated Note due 2012 $ 732,065 09/30/04 732,065 746,417 Common Stock (B) 218,099 shs. 09/30/04 218,099 315,807 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 87,755 shs. 09/30/04 51,941 127,069 ------------ ------------ 1,506,276 1,746,571 ------------ ------------ MEDASSIST, INC. A provider of patient eligibility and accounts receivable management services to hospitals and physician practices. 8% Preferred Stock 44 shs. 10/28/04 44,289 44,153 Common Stock 13,863 shs. 10/28/04 18,576 21,459 Warrant, exercisable until 2013, to purchase common stock at $.01 per share 47,090 shs. 05/01/03 21,534 72,472 ------------ ------------ 84,399 138,084 ------------ ------------ MICROGROUP, INC. A manufacturer of precision parts and assemblies, and a value-added supplier of metal tubing and bars. 12% Senior Subordinated Note due 2013 $ 1,134,000 08/12/05 1,064,575 1,119,041 Common Stock (B) 216 shs. 08/12/05 216,000 194,400 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 73 shs. 08/12/05 72,576 1 ------------ ------------ 1,353,151 1,313,442 ------------ ------------ MONESSEN HOLDING CORPORATION A designer and manufacturer of a broad line of gas, wood and electric hearth products and accessories. 12% Senior Subordinated Note due 2014 $ 1,350,000 03/31/06 1,249,875 1,333,125 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 81 shs. 03/31/06 73,125 1 ------------ ------------ 1,323,000 1,333,126 ------------ ------------ MOSS, INC. A manufacturer and distributor of large display and exhibit structures. 8.54% Senior Secured Revolving Note due 2010 (C) $ 52,941 12/21/05 51,765 52,461 8.54% Senior Secured Tranche A Note due 2010 (C) $ 582,353 12/21/05 576,529 577,401 12% Senior Secured Tranche B Note due 2010 $ 200,000 12/21/05 177,059 198,029 Limited Partnership Interest of Riverside Capital Appreciation Fund I, L.P. (B) 0.01% int. * 29 86,097 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 122 shs. 12/21/05 20,941 1 ------------ ------------ 826,323 913,989 ------------ ------------ MUSTANG VENTURES COMPANY A natural gas gathering and processing operation located in Oklahoma and Texas. Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 8,752 shs. 12/11/02 261,264 1,837,891 ------------ ------------ *09/20/00 and 05/23/02. ---------------------------------------------------------------------------------------------------------------------------------- 15 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ NABCO, INC. A producer of explosive containment vessels in the United States. 12% Senior Subordinated Note due 2014 $ 330,882 02/24/06 $ 304,697 $ 324,173 Limited Partnership Interest (B) 344 uts. 02/24/06 344,120 326,914 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 26 shs. 02/24/06 19,687 -- ------------ ------------ 668,504 651,087 ------------ ------------ NEFF MOTIVATION, INC. A manufacturer and distributor of customized awards and sportswear to schools. 12.5% Senior Subordinated Note due 2011 $ 562,500 01/31/03 490,334 577,482 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 112 shs. 01/31/03 95,625 109,087 ------------ ------------ 585,959 686,569 ------------ ------------ NONNI'S FOOD COMPANY A producer and distributor of premium biscotti and bagel chips in North America. 12.25% Senior Subordinated Note due 2012 $ 986,538 03/29/04 982,661 985,840 10% Preferred Stock (B) 135 shs. 03/29/04 135,044 134,621 Common Stock (B) 3,418 shs. 03/29/04 3,418 26,209 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 4,565 shs. 03/29/04 3,877 34,961 ------------ ------------ 1,125,000 1,181,631 ------------ ------------ NYLONCRAFT, INC. A supplier of engineered plastic components for the automotive industry. 9% Senior Secured Note due 2009 $ 464,286 01/28/02 464,286 450,214 11.5% Senior Subordinated Note due 2012 $ 857,143 01/28/02 791,793 802,268 Common Stock (B) 178,571 shs. 01/28/02 178,571 142,857 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 138,928 shs. 01/28/02 92,597 1,389 ------------ ------------ 1,527,247 1,396,728 ------------ ------------ O R S NASCO HOLDING, INC. A wholesale distributor of industrial supplies in North America. 13% Senior Subordinated Note due 2013 $ 1,256,152 12/20/05 1,179,539 1,223,825 Common Stock (B) 93,848 shs. 12/20/05 93,848 84,463 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 52,820 shs. 12/20/05 52,292 528 ------------ ------------ 1,325,679 1,308,816 ------------ ------------ OAKRIVER TECHNOLOGY, INC. Designs, engineers and assembles high precision automated process equipment for the medical device industry, with a focus on defibrillators and stents. 10% Senior Secured Note due 2012 $ 323,115 01/03/06 318,268 319,003 13% Senior Subordinated Note due 2013 $ 392,709 01/03/06 349,456 387,511 Common Stock (B) 184,176 shs. 01/03/06 184,176 165,758 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 41,249 shs. 01/03/06 35,900 412 ------------ ------------ 887,800 872,684 ------------ ------------ ---------------------------------------------------------------------------------------------------------------------------------- 16 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ OLYMPIC SALES, INC. A boat retailer in Washington state, Oregon, California and British Columbia. 14% Senior Subordinated Note due 2006 $ 1,241,000 08/07/98 $ 1,241,000 $ 1,229,530 12% Senior Subordinated Note due 2008 $ 244,154 02/09/00 235,693 237,039 Limited Partnership Interest of Riverside VIII, VIII-A and VIII-B Holding Company, L.P. 10.66% int. * 808,300 694,818 Warrants, exercisable until 2007 and 2008, to purchase common stock at $.01 per share (B) 15,166 shs. ** 206,041 46,955 ------------ ------------ 2,491,034 2,208,342 ------------ ------------ ONTARIO DRIVE & GEAR LTD. A manufacturer of all-wheel drive, off-road amphibious vehicles and related accessories. 13% Senior Subordinated Note due 2013 $ 1,047,115 01/17/06 937,405 1,033,127 Limited Partnership Interest (B) 1,942 uts. 01/17/06 302,885 272,597 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 328 shs. 01/17/06 90,424 3 ------------ ------------ 1,330,714 1,305,727 ------------ ------------ P I I HOLDING CORPORATION A manufacturer of plastic film and bags for the general industrial, medical, and food industries. 12% Senior Subordinated Note due 2013 $ 1,215,000 03/31/06 1,131,820 1,191,551 Preferred Stock (B) 19 shs. 03/31/06 174,492 165,788 Common Stock (B) 12 shs. 03/31/06 13,500 12,150 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 7 shs. 03/31/06 5,888 -- ------------ ------------ 1,325,700 1,369,489 ------------ ------------ PARADIGM PACKAGING, INC. A manufacturer of plastic bottles and closures for the nutritional, pharmaceutical, personal care and food packaging markets. 12% Senior Subordinated Note due 2008 $ 1,125,000 12/19/00 1,058,338 1,121,153 Membership Interests of MM/Lincap PPI Investments, Inc., LLC (B) 1.28% int. 12/21/00 140,625 79,804 ------------ ------------ 1,198,963 1,200,957 ------------ ------------ PROTEIN GENETICS, INC. A producer of bovine artificial insemination products, related breeding and healthcare products and specialty genetics sold to the dairy and beef industries. 9.8% Redeemable Exchangeable Preferred Stock (B) 332 shs. 08/12/94 33,217 -- Common Stock (B) 867 shs. *** 42,365 -- ------------ ------------ 75,582 -- ------------ ------------ *08/07/98, 02/23/99, 12/22/99 and 02/25/03. **08/07/98 and 02/29/00. ***11/14/01 and 08/12/94. ---------------------------------------------------------------------------------------------------------------------------------- 17 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ QUALIS AUTOMOTIVE LLC A distributor of aftermarket automotive brake and chassis products. 12% Senior Subordinated Note due 2012 $ 937,500 05/28/04 $ 769,320 $ 942,163 Common Stock (B) 187,500 shs. 05/28/04 187,500 247,500 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 199,969 shs. 05/28/04 199,969 262,359 ------------ ------------ 1,156,789 1,452,022 ------------ ------------ QUALSERV CORPORATION A provider of foodservice equipment and supplies to major restaurant chains and their franchisees. 14% Senior Subordinated Note due 2012 (D) $ 1,002,475 07/09/04 976,254 601,485 Limited Partnership Interest (B) 4.90% int. 07/09/04 137,195 -- Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 280 shs. 07/09/04 25,973 -- ------------ ------------ 1,139,422 601,485 ------------ ------------ RADIAC ABRASIVES, INC. A manufacturer of bonded abrasive and super abrasive grinding wheels in the United States. 12% Senior Subordinated Note due 2014 $ 1,196,809 02/10/06 1,109,922 1,179,044 Common Stock (B) 153,191 02/10/06 153,191 137,871 Warrant, exercisable until 2016, to purchase common stock at $.01 per share (B) 69,647 02/10/06 63,421 1 ------------ ------------ 1,326,534 1,316,916 ------------ ------------ RIVER RANCH FRESH FOODS LLC A supplier of fresh produce to the retail and foodservice channels. 13% Senior Subordinated Note due 2011 (D) $ 975,000 09/29/04 891,404 877,500 Limited Partnership Interest (B) 21,500 uts. 09/29/04 150,000 -- Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 12,481 shs. 09/29/04 83,596 -- ------------ ------------ 1,125,000 877,500 ------------ ------------ ROYAL BATHS MANUFACTURING COMPANY A manufacturer and distributor of acrylic and cultured marble bathroom products. 12.5% Senior Subordinated Note due 2011 $ 562,500 11/14/03 509,770 558,359 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 74 shs. 11/14/03 65,089 37,756 ------------ ------------ 574,859 596,115 ------------ ------------ SAFETY SPEED CUT MANUFACTURING COMPANY, INC. A manufacturer of vertical panel saws and routers for the wood working industry. 7.91% Senior Secured Tranche A Note due 2007 (C) $ 390,345 06/02/99 390,345 390,345 12% Senior Secured Tranche B Note due 2007 $ 646,089 06/02/99 646,089 646,089 Class B Common Stock (B) 846 shs. 06/02/99 146,456 279,952 ------------ ------------ 1,182,890 1,316,386 ------------ ------------ ---------------------------------------------------------------------------------------------------------------------------------- 18 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ SAVAGE SPORTS HOLDING, INC. A manufacturer of sporting firearms. 12% Senior Subordinated Note due 2012 $ 814,655 09/10/04 $ 761,271 $ 806,110 Common Stock (B) 310 shs. 09/10/04 310,345 253,171 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 71 shs. 09/10/04 60,129 57,706 ------------ ------------ 1,131,745 1,116,987 ------------ ------------ SPECIALTY FOODS GROUP, INC. A manufacturer and distributor of branded meat products. Limited Partnership Interest of MHD Holdings LLC (B) 0.76% int. 08/29/00 307,860 -- ------------ ------------ STRATEGIC EQUIPMENT & SUPPLY CORPORATION, INC. A provider of kitchen and restaurant design, equipment fabrication and installation services. Warrant, exercisable until 2008, to purchase common stock at $.01 per share (B) 61,862 shs. 01/14/00 382,501 -- ------------ ------------ SYNVENTIVE EQUITY LLC A manufacturer of hot runner systems used in the plastic injection molding process. Limited Partnership Interest (B) 1.05% int. 08/20/03 33,463 7,465 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 45,942 shs. 08/21/03 10,249 10,249 ------------ ------------ 43,712 17,714 ------------ ------------ TANGENT RAIL CORPORATION A manufacturer of rail ties and provides specialty services to the North American railroad industry. 13% Senior Subordinated Note due 2013 $ 1,173,909 10/14/05 999,679 1,187,240 Preferred Stock (B) 1,749 shs. 10/14/05 174,924 176,397 Common Stock (B) 1,167 shs. 10/14/05 1,167 1,050 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 618 shs. 10/14/05 155,860 6 ------------ ------------ 1,331,630 1,364,693 ------------ ------------ TERRA RENEWAL SERVICES, INC. A provider of wastewater residual management and required environmental reporting, permitting, nutrient management planning and record keeping to companies involved in poultry and food processing. 7.78% Senior Secured Term A Note due 2010 (C) $ 116,797 03/01/05 116,797 117,495 8.28% Senior Secured Term B Note due 2012 (C) $ 207,421 03/01/05 207,421 208,648 12% Senior Subordinated Note due 2013 $ 585,937 03/01/05 556,445 579,232 Limited Partnership Interest of Saw Mill Capital Fund V, L.P. (B) 2.30% int. 03/01/05 235,547 211,995 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 37 shs. 03/01/05 32,098 -- ------------ ------------ 1,148,308 1,117,370 ------------ ------------ ---------------------------------------------------------------------------------------------------------------------------------- 19 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ THE TRANZONIC COMPANIES A producer of commercial and industrial supplies, such as safety products, janitorial supplies, work apparel, washroom and restroom supplies and sanitary care products. 13% Senior Subordinated Note due 2009 $ 1,356,000 02/05/98 $ 1,269,237 $ 1,356,000 Common Stock (B) 315 shs. 02/04/98 315,000 318,371 Warrant, exercisable until 2006, to purchase common stock at $.01 per share (B) 222 shs. 02/05/98 184,416 224,375 ------------ ------------ 1,768,653 1,898,746 ------------ ------------ TRANSTAR HOLDING COMPANY A distributor of aftermarket automotive transmission parts. 12% Senior Subordinated Note due 2013 $ 918,000 08/31/05 878,320 915,822 Common Stock (B) 432 shs. 08/31/05 432,000 410,400 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 46 shs. 08/31/05 41,021 -- ------------ ------------ 1,351,341 1,326,222 ------------ ------------ TRONAIR, INC. A designer, engineer and manufacturer of ground support equipment for the business, commuter and commercial aviation markets. 10.5% Senior Secured Term Note due 2008 $ 451,394 01/20/00 451,394 450,428 12% Senior Subordinated Note due 2010 $ 758,100 01/20/00 730,113 756,486 Common Stock (B) 129,960 shs. 01/20/00 129,960 116,964 Warrant, exercisable until 2010, to purchase common stock at $1 per share (B) 148,912 shs. 01/20/00 56,316 1,489 ------------ ------------ 1,367,783 1,325,367 ------------ ------------ TRUCK BODIES & EQUIPMENT INTERNATIONAL A designer and manufacturer of accessories for heavy and medium duty trucks, primarily dump bodies, hoists, various forms of flat-bed bodies, landscape bodies and other accessories. 12% Senior Subordinated Note due 2013 $ 1,222,698 * 1,137,373 1,243,268 Common Stock (B) 393 shs. * 423,985 531,803 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 81 shs. * 84,650 109,826 ------------ ------------ 1,646,008 1,884,897 ------------ ------------ TRUSTILE DOORS, INC. A manufacturer and distributor of interior doors. 12.5% Senior Subordinated Note due 2010 $ 562,500 04/11/03 527,532 554,956 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 3,060 shs. 04/11/03 50,625 23,688 ------------ ------------ 578,157 578,644 ------------ ------------ *07/19/05 and 12/22/05. ---------------------------------------------------------------------------------------------------------------------------------- 20 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ TUBULAR TEXTILE MACHINERY A designer, manufacturer, sale and servicer of finishing machinery for the knit and woven segments of the global textile industry. 12% Senior Subordinated Note due 2014 $ 705,457 05/28/04 $ 639,527 $ 677,074 8.75% Senior Secured Note due 2011 $ 409,310 05/28/04 409,310 401,117 Common Stock (B) 385,233 shs. 05/28/04 385,233 327,448 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 116,521 shs. 05/28/04 74,736 1,165 ------------ ------------ 1,508,806 1,406,804 ------------ ------------ TVI, INC. A retailer of used clothing in the United States, Canada and Australia. Common Stock (B) 187,500 shs. 05/02/00 187,500 294,375 ------------ ------------ U S M HOLDINGS CORPORATION A provider of facility maintenance services to retail and corporate clients with multiple locations. 12% Senior Subordinated Note due 2011 $ 473,684 08/06/03 411,269 486,890 Preferred Stock (B) 1,361 shs. 08/06/03 136,089 136,098 Common Stock (B) 546 shs. 08/06/03 546 1,365 Warrant, exercisable until 2011, to purchase common stock at $.01 per share 502 shs. 08/06/03 157,869 1,255 ------------ ------------ 705,773 625,608 ------------ ------------ U S S HOLDINGS, INC. A producer of high grade industrial and specialty silica sands. 14% Redeemable Preferred Stock (B) 499 shs. 09/30/99 272,912 54,525 Convertible Preferred Stock Series A and B, convertible into common stock at $9.26 per share (B) 72,720 shs. 12/19/96 583,365 -- Common Stock (B) 10,013 shs. 09/30/99 399,505 -- Warrants, exercisable until 2010, to purchase common stock at $.01 per share (B) 2,459 shs. * 64,182 -- ------------ ------------ 1,319,964 54,525 ------------ ------------ U-LINE CORPORATION A manufacturer of high-end, built-in, undercounter icemaking, wine storage and refrigeration appliances. 12.5% Senior Subordinated Note due 2012 $ 996,500 04/30/04 900,077 1,020,810 Common Stock (B) 96 shs. 04/30/04 96,400 121,464 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 122 shs. 04/30/04 112,106 153,720 ------------ ------------ 1,108,583 1,295,994 ------------ ------------ VICTORY VENTURES LLC An acquirer of controlling or substantial interests in other entities. Series A Preferred Units (B) 0.04% int. 12/02/96 1 2 ------------ ------------ *12/19/96 and 09/30/99 ---------------------------------------------------------------------------------------------------------------------------------- 21 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares, Units, Warrants, Ownership or Acquisition CORPORATE RESTRICTED SECURITIES(A)(Continued) Principal Amount Date Cost Fair Value -------------- -------- ------------ ------------ VITALITY FOODSERVICE, INC. A non-carbonated beverage dispensing company focused on the foodservice industry. 13% Senior Subordinated Note due 2011 $ 999,153 09/24/04 $ 913,829 $ 988,850 Common Stock (B) 12,585 shs. 09/24/04 125,850 172,767 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 12,593 shs. 09/24/04 98,938 172,877 ------------ ------------ 1,138,617 1,334,494 ------------ ------------ VITEX PACKAGING GROUP, INC. A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags. 12.5% Senior Subordinated Note due 2012 $ 900,000 07/19/04 785,152 856,320 Limited Partnership Interest Class A (B) 0.93% int. 07/19/04 219,375 197,438 Limited Partnership Interest Class B (B) 0.41% int. 07/19/04 96,848 87,163 ------------ ------------ 1,101,375 1,140,921 ------------ ------------ WALLS INDUSTRIES, INC. A provider of branded workwear and sporting goods apparel. 10% Senior Subordinated Lien Note due 2009 $ 444,079 07/12/04 444,079 450,030 14% Senior Subordinated Note due 2012 $ 563,346 07/12/04 561,862 580,245 Limited Partnership Interest (B) 0.20% int. 07/12/04 19,737 53,290 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 2,133 shs. 07/12/04 1,500 5,741 ------------ ------------ 1,027,178 1,089,306 ------------ ------------ TOTAL PRIVATE PLACEMENT INVESTMENTS $ 82,888,630 $ 83,583,675 ------------ ------------ ---------------------------------------------------------------------------------------------------------------------------------- 22 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares or Interest Due Principal CORPORATE RESTRICTED SECURITIES(A)(Continued) Rate Date Amount Cost Fair Value -------- -------- ------------ ------------ ------------ RULE 144A SECURITIES - 6.30%: (A) BONDS - 5.72% A E S Corporation 8.750% 05/15/13 $ 425,000 $ 472,198 $ 459,000 A E S Corporation 9.000 05/15/15 175,000 175,000 189,875 Activant Solutions, Inc. (C) 10.530 04/01/10 400,000 400,000 408,000 Atlas Pipeline Partners 8.125 12/15/15 100,000 100,000 104,250 Blockbuster, Inc. 9.000 09/01/12 275,000 276,931 240,625 Bombardier Capital, Inc. 6.125 06/29/06 500,000 501,876 500,000 Bombardier, Inc. 6.300 05/01/14 500,000 440,315 458,750 Charter Communications Op LLC 8.000 04/30/12 500,000 498,750 497,500 Douglas Dynamics LLC 7.750 01/15/12 325,000 326,801 315,250 Dynegy Holdings, Inc. 8.375 05/01/16 165,000 165,000 165,000 G F S I, Inc. 11.000 06/01/11 375,000 340,343 363,750 Inergy LP 8.250 03/01/16 75,000 75,000 76,688 Interactive Health LLC 7.250 04/01/11 500,000 422,962 390,000 Neiman Marcus Group, Inc. 10.375 10/15/15 600,000 600,000 637,500 P Q Corporation 7.500 02/15/13 685,000 677,350 657,600 Service Corporation International (C) 7.500 06/15/17 500,000 495,015 508,750 Siebe PLC 6.500 01/15/10 350,000 308,000 330,750 Sierra Pacific Resources 6.750 08/15/17 330,000 331,629 331,238 Sungard Data Systems 9.125 08/15/13 75,000 75,000 79,313 T C W Lev Income Trust LP 8.410 11/30/06 560,002 560,002 302,401 Tenaska Alabama Partners LP 7.000 06/30/21 182,273 182,273 182,864 ------------ ------------ TOTAL BONDS 7,424,445 7,199,104 ------------ ------------ CONVERTIBLE BONDS - 0.58% Cymer, Inc. 3.500% 02/15/09 $ 450,000 $ 450,000 $ 456,750 QLT, Inc. 3.000 09/15/23 305,000 277,410 278,694 ------------ ------------ TOTAL CONVERTIBLE BONDS 727,410 735,444 ------------ ------------ WARRANTS - 0.00% Winsloew Furniture, Inc. (B) 700 $ 7 $ -- ------------ ------------ TOTAL WARRANTS 7 -- ------------ ------------ TOTAL RULE 144A SECURITIES 8,151,862 7,934,548 ------------ ------------ TOTAL CORPORATE RESTRICTED SECURITIES $ 91,040,492 $ 91,518,223 ------------ ------------ ------------------------------------------------------------------------------------------------------------------------ 23 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Interest Due Principal CORPORATE PUBLIC SECURITIES -- 26.46%:(A) Rate Date Amount Cost Fair Value -------- -------- ------------ ------------ ------------ BONDS - 23.82% Abitibi-Consolidated, Inc. 7.750% 06/15/11 $ 500,000 $ 515,394 $ 482,500 Activant Solutions, Inc. (C) 10.500 06/15/11 325,000 325,730 359,938 Allied Waste NA 7.875 04/15/13 500,000 513,617 521,875 Appleton Papers, Inc. 8.125 06/15/11 250,000 250,000 251,250 Argo Tech Corporation 9.250 06/01/11 425,000 425,000 448,375 Arrow Electronics, Inc. 7.000 01/15/07 500,000 510,436 505,935 BCP Crystal US Holdings Corporation 9.625 06/15/14 355,000 355,000 393,163 C S C Holdings, Inc. 7.625 04/01/11 250,000 250,909 251,250 Cablevision Systems Corporation (C) 8.716 04/01/09 450,000 450,000 471,938 Cadmus Communications Corporation 8.375 06/15/14 350,000 350,000 351,750 Chemed Corporation 8.750 02/24/11 600,000 600,000 636,000 Chesapeake Energy Corporation 7.000 08/15/14 650,000 675,870 664,625 Cincinnati Bell, Inc. 8.375 01/15/14 550,000 503,750 558,938 Clayton Williams Energy, Inc. 7.750 08/01/13 375,000 375,000 352,500 Del Monte Corporation 8.625 12/15/12 200,000 200,000 211,250 Dollar Financial Group 9.750 11/15/11 325,000 325,000 341,250 Dominos, Inc. 8.250 07/01/11 109,000 108,213 111,725 Electronic Data Systems Corporation 7.125 10/15/09 500,000 504,832 525,232 Esterline Technologies 7.750 06/15/13 175,000 175,000 179,812 Ford Motor Credit Co. 7.375 01/12/09 750,000 748,125 705,100 Ford Motor Credit Co. 5.800 10/28/09 500,000 499,070 456,628 Gencorp, Inc. 9.500 08/15/13 130,000 130,000 140,400 General Motors Acceptance Corporation 5.850 01/14/09 750,000 742,982 701,415 Goodyear Tire & Rubber Co. 7.857 08/15/11 350,000 327,250 342,125 GulfMark Offshore, Inc. 7.750 07/15/14 300,000 298,725 306,000 Houghton Mifflin Co. 9.875 02/01/13 500,000 526,977 537,500 Huntsman LLC 11.625 10/15/10 163,000 161,068 184,597 Imax Corporation 9.625 12/01/10 500,000 516,008 530,000 Intelsat Subsidiary Holding Company Ltd. 9.614 01/15/12 225,000 224,998 228,656 Intelsat Subsidiary Holding Company Ltd. 8.250 01/15/13 250,000 250,955 254,375 Intrawest Corporation 7.500 10/15/13 250,000 250,000 253,438 K 2, Inc. 7.375 07/01/14 150,000 150,567 149,625 Koppers, Inc. 9.875 10/15/13 170,000 170,000 186,150 Lazard LLC 7.125 05/15/15 375,000 374,704 389,583 Leucadia National Corporation 7.000 08/15/13 350,000 356,461 350,875 Liberty Media Corporation 5.700 05/15/13 500,000 475,805 464,955 Lodgenet Entertainment Corporation 9.500 06/15/13 375,000 375,000 405,000 Lyondell Chemical Co. 9.500 12/15/08 265,000 258,834 275,600 M G M Mirage, Inc. 6.000 10/01/09 225,000 227,461 221,625 M S X International, Inc. 11.000 10/15/07 175,000 173,502 166,250 Mac-Gray Corporation 7.625 08/15/15 300,000 300,000 306,000 Magnachip Semiconductor 8.000 12/15/14 50,000 50,000 46,750 Majestic Star Casino LLC 9.500 10/15/10 250,000 250,000 265,000 Manitowoc Company, Inc. 7.125 11/01/13 100,000 100,000 102,000 Markwest Energy Operating Co. 6.875 11/01/14 250,000 250,000 236,250 Mediacom LLC 9.500 01/15/13 750,000 745,806 742,500 Metaldyne Corporation 10.000 11/01/13 340,000 341,993 317,900 Moog, Inc. 6.250 01/15/15 60,000 60,000 59,100 ------------------------------------------------------------------------------------------------------------------------ 24 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Interest Due Principal CORPORATE PUBLIC SECURITIES(A)(Continued) Rate Date Amount Cost Market Value -------- -------- ------------ ------------ ------------ BONDS, CONTINUED N R G Energy, Inc. 7.375% 02/01/16 $ 100,000 $ 100,000 $ 102,125 Nalco Co. 7.750 11/15/11 250,000 250,000 253,125 National Wine & Spirits, Inc. 10.125 01/15/09 25,000 25,307 25,188 Nextel Communications, Inc. 7.375 08/01/15 400,000 409,645 419,495 North American Energy Partners 8.750 12/01/11 200,000 200,000 195,000 Nova Chemicals Corporation (C) 7.561 11/15/13 215,000 215,000 216,075 O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 500,000 492,980 500,000 Offshore Logistics, Inc. 6.125 06/15/13 350,000 350,000 329,000 Pacific Energy Partners 7.125 06/15/14 250,000 251,999 254,375 Pacific Energy Partners 6.250 09/15/15 100,000 99,544 97,500 Pinnacle Foods Group 8.250 12/01/13 225,000 225,000 222,750 Pliant Corporation 11.625 06/15/09 607,802 620,599 680,738 Pogo Producing Co. 6.875 10/01/17 250,000 250,000 246,875 Primedia, Inc. 8.000 05/15/13 500,000 513,715 457,500 Quicksilver Resources, Inc 7.125 04/01/16 225,000 225,000 222,188 Quintiles Transnational Corporation 10.000 10/01/13 250,000 250,000 288,125 Rayovac Corporation 8.500 10/01/13 175,000 175,000 161,875 Rent-A-Center, Inc. 7.500 05/01/10 250,000 250,000 250,000 Rent-Way, Inc. 11.875 06/15/10 450,000 467,603 470,250 Rhodia SA 10.250 06/01/11 163,000 164,463 182,763 Rhodia SA 8.875 06/01/10 196,000 195,870 201,880 Rock-Tenn Co. 8.200 08/15/11 500,000 503,678 496,250 Rogers Wireless, Inc. 7.250 12/15/12 90,000 90,000 94,838 Rogers Wireless, Inc. 7.500 03/15/15 560,000 601,190 600,600 Rogers Wireless, Inc. 8.000 06/01/11 90,000 90,000 95,512 Samsonite Corporation 8.875 12/15/12 500,000 523,374 528,750 Sheridan Acquisition Corporation 10.250 08/15/11 225,000 222,001 231,468 Tekni-Plex, Inc. 12.750 06/15/10 500,000 483,500 322,500 Telex Communications, Inc. 11.500 10/15/08 250,000 250,000 266,875 Tenet Healthcare Corporation 6.375 12/01/11 250,000 241,250 225,625 Tenet Healthcare Corporation 9.875 07/01/14 350,000 341,859 354,375 Texas Industries, Inc. 7.250 07/15/13 35,000 35,000 36,050 Transmontaigne, Inc. 9.125 06/01/10 275,000 270,287 292,187 Triton P C S, Inc. 8.500 06/01/13 500,000 500,000 475,000 Tyco International Group SA 6.375 10/15/11 150,000 148,500 153,986 Unisys Corporation 8.000 10/15/12 90,000 90,000 88,425 United Components, Inc. 9.375 06/15/13 535,000 536,425 516,275 United Rentals, Inc. 7.750 11/15/13 325,000 325,000 325,000 Universal City Florida (C) 9.000 05/01/10 100,000 100,000 101,500 Universal City Florida 8.375 05/01/10 100,000 100,000 100,750 Utilicorp United, Inc. (C) 9.950 02/01/11 500,000 544,532 553,750 Vicorp Restaurants, Inc. 10.500 04/15/11 350,000 343,622 326,375 Vought Aircraft Industries 8.000 07/15/11 650,000 648,981 611,000 Warner Music Group 7.375 04/15/14 125,000 125,000 123,750 Wornick Co. 10.875 07/15/11 350,000 350,000 360,500 ------------ ------------ TOTAL BONDS 29,945,966 30,002,871 ------------ ------------ ------------------------------------------------------------------------------------------------------------------------ 25 CONSOLIDATED SCHEDULE OF INVESTMENTS(CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Shares or Interest Due Principal CORPORATE PUBLIC SECURITIES(A)(Continued) Rate Date Amount Cost Market Value -------- -------- ------------ ------------ ------------ COMMON STOCK - 1.93% Distributed Energy Systems Corporation (B) 14,000 $ 177,078 $ 99,400 H C I Direct, Inc. (B) 500 -- -- Rent-Way, Inc. (B) 46,432 458,123 334,775 Transmontaigne, Inc. (B) 203,165 598,597 1,993,049 ------------ ------------ TOTAL COMMON STOCK 1,233,798 2,427,224 ------------ ------------ CONVERTIBLE BONDS - 0.71% Citadel Broadcasting Corporation 1.875% 02/15/11 $ 300,000 $ 232,875 $ 244,500 ICOS Corporation 2.000 07/01/23 375,000 298,125 296,719 Leucadia National Corporation 3.750 04/15/14 250,000 250,000 352,813 ------------ ------------ TOTAL CONVERTIBLE BONDS 781,000 894,032 ------------ ------------ TOTAL CORPORATE PUBLIC SECURITIES $ 31,960,764 $ 33,324,127 ------------ ------------ Interest Due Principal SHORT-TERM SECURITIES: Rate/Yield Date Amount Cost Market Value -------- -------- ------------ ------------ ------------ COMMERCIAL PAPER - 5.73% Alltel Corporation 4.860% 04/06/06 760,000 759,488 759,488 Dow Jones & Company, Inc. 4.860 04/04/06 2,286,000 2,285,076 2,285,076 Newell Rubbermaid, Inc. 4.824 04/05/06 1,819,000 1,818,026 1,818,026 V F Corporation 4.550 04/03/06 2,347,000 2,346,369 2,346,369 ------------ ------------ TOTAL SHORT-TERM SECURITIES $ 7,208,959 $ 7,208,959 ------------ ------------ TOTAL INVESTMENTS 104.86% $130,210,215 $132,051,309 ============ ------------ Other Assets 5.90 7,427,638 Liabilities (10.76) (13,549,368) ------- ------------ TOTAL NET ASSETS 100.00% $125,929,579 ====== ============ (A) In each of the convertible note, warrant, convertible preferred and common stock investments, the issuer has agreed to provide certain registration rights. (B) Non-income producing security. (C) Variable rate security; rate indicated is as of 03/31/06. (D) Defaulted security; interest not accrued. -------------------------------------------------------------------------------- 26 CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Fair Value/ Fair Value/ INDUSTRY CLASSIFICATION: Market Value INDUSTRY CLASSIFICATION: (Cont.) Market Value -------------- -------------- AEROSPACE - 2.39% BUILDINGS & REAL ESTATE - 1.60% Argo Tech Corporation $ 448,375 Adorn, Inc. $ 1,402,171 Bombardier, Inc. 458,750 Texas Industries, Inc. 36,050 Consolidated Foundries Holdings 1,317,126 TruStile Doors, Inc. 578,644 Esterline Technologies 179,812 -------------- Vought Aircraft Industries 611,000 2,016,865 -------------- -------------- 3,015,063 CHEMICAL, PLASTICS & RUBBER - 1.53% -------------- Capital Specialty Plastics, Inc. 22,973 AUTOMOBILE - 8.18% Huntsman LLC 184,597 Gencorp, Inc. 140,400 Koppers, Inc. 186,150 Goodyear Tire & Rubber Co. 342,125 Lyondell Chemical Co. 275,600 Jason, Inc. 1,048,547 Nova Chemicals Corporation 216,075 LIH Investors, L.P. 2,457,576 P Q Corporation 657,600 Metaldyne Corporation 317,900 Rhodia SA 384,643 Nyloncraft, Inc. 1,396,728 -------------- Ontario Drive & Gear Ltd. 1,305,727 1,927,638 Qualis Automotive LLC 1,452,022 -------------- Transtar Holding Company 1,326,222 CONSUMER PRODUCTS - 6.38% United Components, Inc. 516,275 Appleton Papers, Inc. 251,250 -------------- Augusta Sportswear Holding Co. 1,131,396 10,303,522 Euro-Pro Corporation 630,857 -------------- G F S I, Inc. 363,750 BEVERAGE, DRUG & FOOD - 4.32% H C I Direct, Inc. -- Beta Brands Ltd. -- K 2, Inc. 149,625 Cains Foods, L.P. 178,408 Maverick Acquisition Company 644,441 Del Monte Corporation 211,250 Rayovac Corporation 161,875 Dominos, Inc. 111,725 Royal Baths Manufacturing Company 596,115 Eagle Pack Pet Foods, Inc. 611,819 Savage Sports Holding, Inc. 1,116,987 National Wine & Spirits, Inc. 25,188 The Tranzonic Companies 1,898,746 Nonni's Food Company 1,181,631 Walls Industries, Inc. 1,089,306 Pinnacle Foods Group 222,750 Winsloew Furniture, Inc. -- River Ranch Fresh Foods LLC 877,500 -------------- Specialty Foods Group, Inc. -- 8,034,348 Vicorp Restaurants, Inc. 326,375 -------------- Vitality Foodservice, Inc. 1,334,494 CONTAINERS, PACKAGING & GLASS - 4.26% Wornick Co. 360,500 NABCO, Inc. 651,087 -------------- P I I Holding Corporation 1,369,489 5,441,640 Paradigm Packaging, Inc. 1,200,957 -------------- Pliant Corporation 680,738 BROADCASTING & Tekni-Plex, Inc. 322,500 ENTERTAINMENT- 2.44% Vitex Packaging, Inc. 1,140,921 C S C Holdings, Inc. 251,250 -------------- Cablevision Systems Corporation 471,938 5,365,692 Charter Communications Op LLC 497,500 -------------- Citadel Broadcasting Corporation 244,500 DISTRIBUTION - 3.48% Liberty Media Corporation 464,955 Corvest Group, Inc. 1,072,513 Lodgenet Entertainment Corporation 405,000 Kele and Associates, Inc. 1,399,669 Mediacom LLC 742,500 O R S Nasco Holding, Inc. 1,308,816 -------------- QualServ Corporation 601,485 3,077,643 Strategic Equipment & Supply Corporation, Inc. -- -------------- -------------- 4,382,483 -------------- ------------------------------------------------------------------------------------------------------------------------------------ 27 CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Fair Value/ Fair Value/ INDUSTRY CLASSIFICATION:(Cont.) Market Value INDUSTRY CLASSIFICATION: (Cont.) Market Value -------------- -------------- DIVERSIFIED/CONGLOMERATE, FINANCIAL SERVICES - 3.57% MANUFACTURING - 8.41% BCP Crystal US Holding Corporation $ 393,163 Activant Solutions, Inc. $ 767,938 Bombardier Capital, Inc. 500,000 AmerCable, Inc. 744,769 Dollar Financial Group 341,250 Arrow Tru-Line Holdings, Inc. 1,103,458 East River Ventures I, L.P. 5,423 Coining Corporation of America LLC 1,112,871 Ford Motor Credit Co. 1,161,728 Dexter Magnetics Technologies, Inc. 554,304 General Motors Acceptance Corporation 701,415 Douglas Dynamics LLC 315,250 Highgate Capital LLC 737 Evans Consoles, Inc. -- Lazard LLC 389,583 H M Holding Company 1,310,810 Leucadia National Corporation 703,688 Justrite Manufacturing Acquisition Co. 822,481 T C W Leveraged Income Trust, L.P. 302,401 Radiac Abrasives, Inc. 1,316,916 Victory Ventures LLC 2 Rock-Tenn Co. 496,250 -------------- Truck Bodies & Equipment International 1,884,897 4,499,390 Tyco International Group SA 153,986 -------------- -------------- HEALTHCARE, EDUCATION & 10,583,930 CHILDCARE - 3.49% -------------- A T I Acquisition Company 1,003,279 DIVERSIFIED/CONGLOMERATE, American Hospice Management Holding LLC 1,415,064 SERVICE - 6.84% ICOS Corporation 296,719 Abitibi-Consolidated, Inc. 482,500 Interactive Health LLC 390,000 Allied Waste NA 521,875 MedAssist, Inc. 138,084 CapeSuccess LLC 2,512 Q L T, Inc. 278,694 Chemed Corporation 636,000 Quintiles Transnational Corporation 288,125 Diversco, Inc./DHI Holdings, Inc. 1,252,858 Tenet Healthcare Corporation 580,000 Dwyer Group, Inc. 1,496,254 -------------- Fowler Holding, Inc. 1,311,985 4,389,965 Keystone North America, Inc. 181,978 -------------- Mac-Gray Corporation 306,000 HOME & OFFICE FURNISHINGS, Moss, Inc. 913,989 HOUSEWARES, AND DURABLE CONSUMER M S X International, Inc. 166,250 PRODUCTS - 4.26% Service Corporation International 508,750 Connor Sport Court International, Inc. 954,507 U S M Holdings Corporation 625,608 Home Decor Holding Company 1,246,123 Universal City Florida 202,250 Monessen Holding Corporation 1,333,126 -------------- Samsonite Corporation 528,750 8,608,809 U-Line Corporation 1,295,994 -------------- -------------- ELECTRONICS - 3.85% 5,358,500 A E S Corporation 648,875 -------------- Arrow Electronics, Inc. 505,935 LEISURE, AMUSEMENT, Directed Electronics, Inc. 2,737,126 ENTERTAINMENT - 2.07% Distributed Energy Systems 99,400 IMAX Corporation 530,000 Electronic Data Systems Corporation 525,232 Intrawest Corporation 253,438 Siebe PLC 330,750 Keepsake Quilting, Inc. 714,640 -------------- M G M Mirage, Inc. 221,625 4,847,318 Majestic Star Casino LLC 265,000 -------------- O E D Corp/Diamond Jo Company Guarantee 500,000 FARMING & AGRICULTURE - 0.00% Warner Music Group 123,750 Protein Genetics, Inc. -- -------------- -------------- 2,608,453 -------------- ------------------------------------------------------------------------------------------------------------------------------------ 28 CONSOLIDATED SCHEDULE OF INVESTMENTS (CONT.) MASSMUTUAL PARTICIPATION INVESTORS March 31, 2006 (Unaudited) Fair Value/ Fair Value/ INDUSTRY CLASSIFICATION:(Cont.) Market Value INDUSTRY CLASSIFICATION: (Cont.) Market Value -------------- -------------- MACHINERY - 6.38% RETAIL STORES - 4.33% C & M Conveyor, Inc. $ 1,409,755 Blockbuster, Inc. $ 240,625 Integration Technology Systems, Inc. 711,753 Neff Motivation, Inc. 686,569 Manitowoc Company, Inc. 102,000 Neiman Marcus Group, Inc. 637,500 Maxon Corporation 1,746,571 Olympic Sales, Inc. 2,208,342 Safety Speed Cut Manufacturing Company, Inc. 1,316,386 Rent-A-Center, Inc. 250,000 Synventive Equity LLC 17,714 Rent-Way, Inc. 805,025 Tronair, Inc. 1,325,367 TVI, Inc. 294,375 Tubular Textile Machinery 1,406,804 United Rentals, Inc. 325,000 -------------- -------------- 8,036,350 5,447,436 -------------- -------------- MEDICAL DEVICES/BIOTECH - 3.47% TECHNOLOGY - 0.53% Beacon Medical Products, Inc. 1,396,662 Cymer, Inc. 456,750 Coeur, Inc. 707,430 Magnachip Semiconductor 46,750 E X C Acquisition Corporation 71,718 Sungard Data Systems 79,313 MicroGroup, Inc. 1,313,442 Unisys Corporation 88,425 OakRiver Technology, Inc. 872,684 -------------- -------------- 671,238 4,361,936 -------------- -------------- TELECOMMUNICATIONS - 3.49% MINING, STEEL, IRON & Cincinnati Bell, Inc. 558,938 NON PRECIOUS METALS - 0.04% Intelsat Subsidiary Holding Company Ltd. 483,031 U S S Holdings, Inc. 54,525 ITC^DeltaCom, Inc. 1,402,975 -------------- Nextel Communications, Inc. 419,495 OIL AND GAS - 7.86% Rogers Wireless, Inc. 790,950 C & J Spec-Rent Services, Inc. 1,791,634 Telex Communications, Inc. 266,875 Chesapeake Energy Corporation 664,625 Triton P C S, Inc. 475,000 Clayton Williams Energy, Inc. 352,500 -------------- Fuel Systems Holding Corporation 1,318,732 4,397,264 GulfMark Offshore, Inc. 306,000 -------------- Mustang Ventures Company 1,837,891 TRANSPORTATION - 1.08% North American Energy Partners 195,000 Tangent Rail Corporation 1,364,693 Offshore Logistics, Inc. 329,000 -------------- Pacific Energy Partners 351,875 UTILITIES - 1.64% Pogo Producing Co. 246,875 Atlas Pipeline Partners 104,250 Quicksilver Resources, Inc. 222,188 Dynegy Holdings, Inc. 165,000 Transmontaigne, Inc. 2,285,236 Inergy LP 76,688 -------------- Markwest Energy Operating Co. 236,250 9,901,556 Moog, Inc. 59,100 -------------- N R G Energy, Inc. 102,125 PHARMACEUTICALS - 1.10% Nalco Co. 253,125 CorePharma LLC 1,329,865 Sierra Pacific Resources 331,238 Enzymatic Therapy, Inc. 56,250 Tenaska Alabama Partners L.P. 182,864 -------------- Utilicorp United, Inc. 553,750 1,386,115 -------------- -------------- 2,064,390 PUBLISHING/PRINTING - 1.25% -------------- Cadmus Communications Corporation 351,750 WASTE MANAGEMENT / Houghton Mifflin Co. 537,500 POLLUTION - 0.89% Primedia, Inc. 457,500 Terra Renewal Services, Inc. 1,117,370 Sheridan Acquisition Corporation 231,468 -------------- -------------- TOTAL CORPORATE RESTRICTED AND 1,578,218 PUBLIC SECURITIES - 99.13% $ 124,842,350 -------------- ============== INCOME TAX INFORMATION The aggregate cost of investments is substantially the same for financial reporting and federal income tax purposes as of March 31, 2006. The net unrealized appreciation of investments for financial reporting and federal tax purposes as of March 31, 2006 is $1,841,094 and consists of $12,731,135 appreciation and $10,890,041 depreciation. ------------------------------------------------------------------------------------------------------------------------------------ 29 ITEM 2. CONTROLS AND PROCEDURES. (a) The principal executive officer and principal financial officer of the Registrant evaluated the effectiveness of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days of the filing date of this report and based on that evaluation have concluded that such disclosure controls and procedures are effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant's last fiscal quarter that has materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) are attached hereto as an exhibit. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) MassMutual Participation Investors ---------------------------------- By (Signature and Title)* /s/ Clifford M. Noreen --------------------------------------------- Clifford M. Noreen, President Date May 30, 2006 ------------------------------------------------------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Clifford M. Noreen --------------------------------------------- Clifford M. Noreen, President Date May 30, 2006 ------------------------------------------------------------------ By (Signature and Title)* /s/ James M. Roy --------------------------------------------- James M. Roy, Vice President and Chief Financial Officer Date May 30, 2006 ------------------------------------------------------------------ * PRINT THE NAME AND TITLE OF EACH SIGNING OFFICER UNDER HIS OR HER SIGNATURE.