Edgar Filing: MASSMUTUAL PARTICIPATION INVESTORS

form-nq_17225.htm

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, Springfield, MA 01115

(Address of principal executive offices) (Zip code)

Christopher A. DeFrancis, Vice President and Secretary

1500 Main Street, Suite 2800, Springfield, MA 01115

(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: 09/30/11

___________________

ITEM 1. SCHEDULE OF INVESTMENTS.

CONSOLIDATED SCHEDULE OF INVESTMENTS

September 30, 2011

(Unaudited)

Corporate Restricted Securities - 89.13%: (A)	Principal Amount, Shares, Units or Ownership Percentage		Acquisition Date	Cost		Fair Value

Private Placement Investments - 87.18%

A E Company, Inc.
A designer and manufacturer of machined parts and assembly structures for the commercial and military aerospace industries.
11% Senior Secured Note due 2015	$	715,384	*	$	704,586	$	737,696
13% Senior Subordinated Note due 2016	$	807,693	11/10/09		737,874		830,512
Common Stock (B)	184,615 shs.		11/10/09		184,615		102,129
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)	92,308 shs.		11/10/09		68,566		51,065
* 11/10/09 and 11/18/09.					1,695,641		1,721,402

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	$	1,383,751	11/21/07		1,365,715		1,383,751
Limited Partnership Interest (B)	12.26% int.		11/21/07		119,009		175,683
					1,484,724		1,559,434
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	$	450,500	12/31/08		407,442		455,005
Limited Liability Company Unit Class A-2 (B)	676 uts.		12/31/08		74,333		280,749
Limited Liability Company Unit Class A-3 (B)	608 uts.		12/31/08		66,899		252,677
					548,674		988,431

A S C Group, Inc.

A designer and manufacturer of high reliability encryption equipment, communications products, computing systems and electronic components primarily for the military and aerospace sectors.

12.75% Senior Subordinated Note due 2016	$	1,227,273	10/09/09	1,083,689	1,251,818
Limited Liability Company Unit Class A (B)	2,186 uts.		*	214,793	288,287
Limited Liability Company Unit Class B (B)	1,473 uts.		10/09/09	144,716	194,257
* 10/09/09 and 10/27/10.				1,443,198	1,734,362

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 (D)	$	420,000	05/15/08	413,944	378,000
13% Senior Subordinated Note due 2015 (D)	$	420,000	05/15/08	384,627	-
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	-
				894,225	378,000

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)		Principal Amount, Shares, Units or Ownership Percentage		Acquisition Date	Cost		Fair Value

Advanced Technologies Holdings
A provider of factory maintenance services to industrial companies.
15% Senior Subordinated Note due 2013		$	1,208,491	12/27/07	$	1,197,693	$	1,208,490
Preferred Stock (B)		546 shs.		12/27/07		270,000		518,337
Preferred Stock Series B (B)		28 shs.		01/04/11		21,600		26,400
						1,489,293		1,753,227
Aero Holdings, Inc.
A provider of geospatial services to corporate and government clients.
10.5% Senior Secured Term Note due 2014		$	697,500	03/09/07		692,947		714,719
14% Senior Subordinated Note due 2015		$	720,000	03/09/07		674,128		720,000
Common Stock (B)	150,000 shs.			03/09/07		150,000		248,786
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)		37,780 shs.		03/09/07		63,730		62,661
						1,580,805		1,746,166
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		565,665		603,697
Common Stock (B)		713 shs.		09/26/08		71,303		54,564
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)		507 shs.		09/26/08		46,584		38,799
						683,552		697,060
American Hospice Management Holding LLC
A for-profit hospice care provider in the United States.
12% Senior Subordinated Note due 2013		$	1,687,503	*		1,649,773		1,687,503
Preferred Class A Unit (B)		1,706 uts.		**		170,600		310,094
Preferred Class B Unit (B)		808 uts.		06/09/08		80,789		137,390
Common Class B Unit (B)		16,100 uts.		01/22/04		1		98,288
Common Class D Unit (B)		3,690 uts.		09/12/06		-		22,527
* 01/22/04 and 06/09/08. ** 01/22/04 and 09/12/06.						1,901,163		2,255,802

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 2014	$	1,012,500	04/28/09	896,746	1,012,500
Preferred Stock Series B (B)	1,623 shs.		04/28/09	162,269	214,455
Common Stock (B)	723 shs.		04/28/09	723	95,579
				1,059,738	1,322,534

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)	Principal Amount, Shares, Units or Ownership Percentage		Acquisition Date	Cost		Fair Value

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 (D)	$	1,054,025	05/18/05	$	964,526	$	632,415
Preferred Stock (B)	33 shs.		10/16/09		33,224		-
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		-
					1,320,410		632,415
Associated Diversified Services
A provider of routine maintenance and repair services primarily to electric utility companies predominantly on electric power distribution lines.
10% Senior Secured Term Note due 2016 (C)	$	292,000	09/30/10		285,627		297,005
13% Senior Subordinated Note due 2017	$	332,000	09/30/10		299,288		335,320
Limited Liability Company Unit Class B (B)	36,000 uts.		09/30/10		36,000		30,985
Limited Liability Company Unit Class B OID (B)	27,520 uts.		09/30/10		27,520		23,686
					648,435		686,996

Barcodes Group, Inc.

A distributor and reseller of automatic identification and data capture equipment, including mobile computers, scanners, point-of-sale systems, labels, and accessories.

13.5% Senior Subordinated Note due 2016	$	645,151	07/27/10	617,397	658,054
Preferred Stock (B)	13 shs.		07/27/10	131,496	131,500
Common Stock Class A (B)	44 shs.		07/27/10	437	49,903
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	8 shs.		07/27/10	76	8,660
				749,406	848,117
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	1,173,691	1,169,786
Preferred Stock Class A (B)	465 shs.		06/30/06	141,946	32,045
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	11,262
				1,364,549	1,213,093

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

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	$	294,986	08/07/08	$	291,727	$	294,986
12.5% Senior Subordinated Note due 2015	$	429,070	08/07/08		401,290		429,070
Common Stock (B)	41,860 shs.		08/07/08		41,860		36,560
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	32,914 shs.		08/07/08		32,965		28,747
					767,842		789,363
Capital Specialty Plastics, Inc.
A producer of desiccant strips used for packaging pharmaceutical products.
Common Stock (B)	55 shs.		*		252		585,849
*12/30/97 and 05/29/99.

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		1,205,244		1,283,294
Preferred Stock (B)	147 shs.		12/02/08		146,594		169,444
					1,351,838		1,452,738

CHG Alternative Education Holding Company

A leading provider of publicly-funded, for profit pre-K-12 education services targeting special needs children at therapeutic day schools and “at risk” youth through alternative education programs.

13.5% Senior Subordinated Note due 2018	$	720,067	01/19/11	679,755	739,452
Common Stock (B)	375 shs.		01/19/11	37,500	35,625
Warrant, exercisable until 2021, to purchase
common stock at $.01 per share (B)	295 shs.		01/19/11	29,250	3
				746,505	775,080
Coeur, Inc.
A producer of proprietary, disposable power injection syringes.
12% Senior Subordinated Note due 2016	$	642,857	10/10/08	597,204	649,285
Common Stock (B)	321 shs.		10/10/08	32,143	11,806
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	495 shs.		10/10/08	48,214	18,163
				677,561	679,254
Connecticut Electric, Inc.
A supplier and distributor of electrical products sold into the retail and wholesale markets.
10% Senior Subordinated Note due 2014 (D)	$	771,051	01/12/07	719,299	578,288
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	-
Limited Liability Company Unit Class D (B)	671,525 uts.		05/03/10	-	-
Limited Liability Company Unit Class E (B)	1,102 uts.		05/03/10	-	-
				861,668	578,288

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

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	$	907,093
Preferred Stock Series C (B)	4,757 shs.		07/05/07		158,912		475,195
Common Stock (B)	380 shs.		07/05/07		4		-
Limited Partnership Interest (B)	6.88% int.		*		103,135		-
*08/12/04 and 01/14/05.					632,847		1,382,288

CorePharma LLC
A manufacturer of oral dose generic pharmaceuticals targeted at niche applications.
14.5% Senior Subordinated Note due 2016	$	1,382,089	08/04/05		1,382,090		1,382,089
Warrant, exercisable until 2013, to purchase
common stock at $.001 per share (B)	10 shs.		08/04/05		72,617		294,758
					1,454,707		1,676,847
Crane Rental Corporation
A crane rental company.
13% Senior Subordinated Note due 2015	$	1,215,000	08/21/08		1,128,225		1,191,268
Common Stock (B)	135,000 shs.		08/21/08		135,000		-
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	72,037 shs.		08/21/08		103,143		-
					1,366,368		1,191,268

Custom Engineered Wheels, Inc.

A manufacturer of custom engineered, non-pneumatic plastic wheels and plastic tread cap tires used primarily for lawn and garden products and wheelchairs.
12.5% Senior Subordinated Note due 2016	$	1,155,288	10/27/09	1,029,503	1,154,001
Preferred Stock PIK (B)	156 shs.		10/27/09	156,468	106,454
Preferred Stock Series A (B)	114 shs.		10/27/09	104,374	77,777
Common Stock (B)	38 shs.		10/27/09	38,244	-
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	28 shs.		10/27/09	25,735	-
				1,354,324	1,338,232

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	$	489,131	10/30/06	472,794	489,131
Limited Partnership Interest (B)	0.97% int.		10/30/06	371,739	882,274
Warrant, exercisable until 2014, to purchase
preferred stock at $.01 per share (B)	26 shs.		10/30/06	26,380	42,027
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	18 shs.		10/30/06	18,000	77,272
				888,913	1,490,704

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

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		$	231,429	11/01/06	$	230,130	$	234,818
13% Senior Subordinated Note due 2014		$	488,572	11/01/06		459,681		488,572
Common Stock (B)	102,857 shs.			11/01/06		102,857		47,900
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		32,294 shs.		11/01/06		44,663		15,039
						837,331		786,329

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	$	1,266,179	01/08/08	1,250,003	1,266,179
Common Stock (B)	349 shs.		01/08/08	174,701	119,095
				1,424,704	1,385,274

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	55,861

Eatem Holding Company

A developer and manufacturer of savory flavor systems for soups, sauces, gravies, and other products produced by food manufacturers for retail and foodservice end products.

12.5% Senior Subordinated Note due 2018	$	950,000	02/01/10	839,261	925,729
Common Stock (B)	50 shs.		02/01/10	50,000	42,633
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	119 shs.		02/01/10	107,100	101,655
				996,361	1,070,017

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	$	1,222,995	10/06/08	1,207,792	1,247,455
Preferred Stock Series A (B)	232 shs.		12/30/10	23,200	22,040
Preferred Stock Series B (B)	2,298 shs.		10/06/08	229,804	275,898
Common Stock (B)	1,625 shs.		10/06/08	1,625	-
				1,462,421	1,545,393

F F C Holding Corporation
A leading U.S. manufacturer of private label frozen novelty and ice cream products.
16% Senior Subordinated Note due 2017	$	859,007	09/27/10	843,759	876,187
Limited Liability Company Units Preferred (B)	171 uts.		09/27/10	153,659	163,277
Limited Liability Company Units (B)	171 uts.		09/27/10	17,073	8,412
				1,014,491	1,047,876

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

F G I Equity LLC

A manufacturer of a broad range of filters and related products that are used in commercial, light industrial, healthcare, gas turbine, nuclear, laboratory, clean room, hotel, educational system, and food processing settings.

14.25% Senior Subordinated Note due 2016	$	440,340	12/15/10	$	428,951	$	453,550
Limited Liability Company Unit Class B-1 (B)	65,789 uts.		12/15/10		65,789		62,500
Limited Liability Company Unit Class B-2 (B)	8,248 uts.		12/15/10		8,248		82
					502,988		516,132

F H Equity LLC
A designer and manufacturer of a full line of automatic transmission filters and filtration systems for passenger vehicles.
14% Senior Subordinated Note due 2017	$	507,930	12/20/10		488,484		528,776
Limited Liability Company Unit Class C (B)	1,575 uts.		12/20/10		16,009		16
					504,493		528,792

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 (D)	$	524,791	04/13/06	519,050	498,551
14% Senior Subordinated Note due 2014 (D)	$	317,177	04/13/06	290,908	-
				809,958	498,551

G C Holdings

A leading manufacturer of gaming tickets, industrial recording charts, security-enabled point-of sale receipts, and medical charts and supplies.

12.5% Senior Subordinated Note due 2017		$	1,000,000	10/19/10	938,844	1,030,000
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)		198 shs.		10/19/10	46,958	2
					985,802	1,030,002

Golden County Foods Holding, Inc.
A manufacturer of frozen appetizers and snacks.
16% Senior Subordinated PIK Note due 2015 (D)		$	1,012,500	11/01/07	938,215	-
16% PIK Note due 2015 (D)		$	250,259	12/31/08	217,699	-
8% Series A Convertible Preferred Stock, convertible into
common shares (B)	151,643 shs.			11/01/07	77,643	-
					1,233,557	-

H M Holding Company
A designer, manufacturer, and importer of promotional and wood furniture.
7.5% Senior Subordinated Note due 2013 (D)		$	362,700	10/15/09	271,181	181,350
Preferred Stock (B)		21 shs.		*	21,428	-
Preferred Stock Series B (B)		1,088 shs.		10/15/09	813,544	-
Common Stock (B)		180 shs.		02/10/06	180,000	-
Common Stock Class C (B)		296 shs.		10/15/09	-	-
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B)		67 shs.		02/10/06	61,875	-
* 09/18/07 and 06/27/08.					1,348,028	181,350

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

Home Décor Holding CompanyA designer, manufacturer and marketer of framed art and wall décor products.

12.5% Senior Subordinated Note due 2013	$	1,081,731	*	$	1,044,024	$	1,081,731
Common Stock (B)	33 shs.		*		33,216		56,977
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B)	106 shs.		*		105,618		181,153
* 06/30/04 and 08/19/04.					1,182,858		1,319,861

Hospitality Mints Holding Company

A manufacturer of individually-wrapped imprinted promotional mints.
12% Senior Subordinated Note due 2016	$	1,415,237	08/19/08	1,346,617	1,394,214
Common Stock (B)	251 shs.		08/19/08	251,163	17,400
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	65 shs.		08/19/08	60,233	4,498
				1,658,013	1,416,112
Insurance Claims Management, Inc.
A third party administrator providing auto and property claim administration services for insurance companies.
Common Stock (B)	47 shs.		02/27/07	1,424	206,730

International Offshore Services LLC

A leading provider of marine transportation services, platform decomissioning, and salvage services to oil and gas producers in the shallow waters of the Gulf of Mexico.

14.25% Senior Subordinated Secured Note due 2017	$	1,350,000	07/07/09	1,239,258	1,012,500
Limited Liability Company Unit (B)	1,647 uts.		07/07/09	98,833	-
				1,338,091	1,012,500

J A C Holding Enterprises, Inc.
A supplier of luggage racks and accessories to the original equipment manufacturers.
12.5% Senior Subordinated Note due 2017	$	833,333	12/20/10	718,972	784,277
Preferred Stock A (B)	165 shs.		12/20/10	165,000	82,500
Preferred Stock B (B)	0.06 shs.		12/20/10	-	-
Common Stock (B)	33 shs.		12/20/10	1,667	833
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	12 shs.		12/20/10	105,643	-
				991,282	867,610

Jason Partners Holdings LLC
A diversified manufacturing company serving various industrial markets.
Limited Liability Company Unit (B)	48 uts.		09/21/10	449,086	25,511

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

K H O F Holdings, Inc.
A manufacturer of premium disposable tableware products serving both the foodservice and consumer channels.
Common Stock (B)	116,827 shs.		10/15/07	$	71,515	$	146,698

K N B Holdings Corporation
A designer, manufacturer and marketer of products for the custom framing market.
15% Senior Subordinated PIK Note due 2017	$	2,153,168	04/12/11		1,970,325		2,153,168
Common Stock (B)	71,053 shs.		05/25/06		71,053		29,966
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)	43,600 shs.		05/25/06		37,871		18,388
					2,079,249		2,201,522

K P H I Holdings, Inc.

A manufactuer of highly engineered plastic and metal components for a diverse range of end-markets, including medical, consumer and industrial, automotive and defense.

15% Senior Subordinated Note due 2017		$	887,194	12/10/10	870,853	896,459
Common Stock (B)	232,826 shs.			12/10/10	232,826	221,185
					1,103,679	1,117,644

K P I Holdings, Inc.
The largest player in the U.S. non-automotive, non-ferrous die casting segment.
12.75% Senior Subordinated Note due 2015 (D)		$	1,301,869	07/16/08	1,222,125	1,301,870
Convertible Preferred Stock Series C (B)		29 shs.		06/30/09	29,348	58,000
Convertible Preferred Stock Series D (B)		13 shs.		09/17/09	12,958	38,880
Common Stock (B)		235 shs.		07/15/08	234,783	1,837
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)		51 shs.		07/16/08	50,836	398
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)		67 shs.		09/17/09	-	527
					1,550,050	1,401,512

K W P I Holdings Corporation
A manufacturer and distributor of vinyl windows and patio doors throughout the northwestern United States.
12% Senior Subordinated Note due 2015 (D)		$	1,674,246	03/14/07	1,523,455	1,339,397
Preferred Stock PIK (B)		793 shs.		02/07/11	306,750	230,000
Common Stock (B)		123 shs.		03/13/07	123,000	-
Warrant, exercisable until 2019, to purchase
preferred stock at $.01 per share (B)		71 shs.		07/07/09	-	-
Warrant, exercisable until 2017, to purchase
common stock at $.01 per share (B)		89 shs.		03/14/07	85,890	-
					2,039,095	1,569,397

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

LPC Holding Company

A designer and manufacturer of precision-molded silicone rubber components that are utilized in the medical and automotive end markets.

13.5% Senior Subordinated PIK Note due 2018	$	907,434	08/15/11	$	889,565	$	926,407
Common Stock (B)	94 shs.		08/15/11		94,340		89,623
					983,905		1,016,030

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 and gas, mining, and defense markets.

13% Senior Subordinated Note due 2016	$	662,740	09/12/08	626,565	622,499
Common Stock (B)	32 shs.		09/12/08	32,143	16,649
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	35 shs.		09/12/08	34,714	17,981
				693,422	657,129

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	500,157	516,177
Limited Liability Company Unit (B)	12,764 uts.		*	166,481	213,662
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	1,787 shs.		05/04/07	22,781	29,915
* 05/04/07 and 01/02/08.				689,419	759,754

Manhattan Beachwear Holding Company
A designer and distributor of women's swimwear.
12.5% Senior Subordinated Note due 2018	$	882,353	01/15/10	784,264	882,353
15% Senior Subordinated Note due 2018	$	219,041	10/05/10	215,242	219,041
Common Stock (B)	35 shs.		10/05/10	35,400	97,725
Common Stock Class B (B)	118 shs.		01/15/10	117,647	324,783
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)	104 shs.		01/15/10	94,579	287,433
				1,247,132	1,811,335

Marshall Physicians Services LLC

A provider of emergency department and hospital medicine services to hospitals located in the state of Kentucky. The Company was founded in 1999 and is owned by seven practicing physicians.

13% Senior Subordinated Note due 2016	$	440,000	09/20/11	431,223	445,858
Limited Liability Company Unit Class A (B)	2,900 uts.		09/20/11	60,000	57,000
Limited Liability Company Unit Class D (B)	291 uts.		09/20/11	-	1
				491,223	502,859

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

MBWS Ultimate Holdco, Inc.

A provider of services throughout North Dakota that address the fluid management and related transportaion needs of an oil well.

12% Senior Subordinated Note due 2016	$	1,117,495	*	$	1,020,877	$	1,139,845
Preferred Stock Series A (B)	1,388 shs.		09/07/10		138,797		387,010
Common Stock (B)	162 shs.		03/01/11		16,226		45,170
Common Stock (B)	153 shs.		09/07/10		15,282		42,660
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	103 shs.		03/01/11		10,325		28,719
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	386 shs.		09/07/10		38,623		107,627
* 09/07/10 and 03/01/11.					1,240,130		1,751,031

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	$	626,907	08/29/08		573,210		626,907
Preferred Unit (B)	66 uts.		08/29/08		66,451		83,188
Common Unit Class A (B)	671 uts.		08/29/08		671		18,386
Common Unit Class B (B)	250 uts.		08/29/08		63,564		6,841
					703,896		735,322

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		1,073,530		1,144,068
Preferred Stock (B)	56 shs.		09/24/08		54,040		71,007
Limited Partnership Interest (B)	0.74% int.		09/16/08		205,932		284,239
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	18 shs.		09/24/08		18,237		34,331
					1,351,739		1,533,645

Merex Holding Corporation

A provider of after-market spare parts and components, as well as Maintenance, Repair and Overhaul (“MRO”) services for “out of production” or “legacy” aerospace and defense systems that are no longer effectively supported by the OEMs.

14% Senior Subordinated Note due 2018		$	367,924	09/22/11	360,583	371,199
Limited Liability Company Unit Series B (B)	132,076 uts.			09/22/11	132,076	125,472
					492,659	496,671

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 (D)		$	1,421,795	*	1,364,411	853,077
Common Stock (B)		238 shs.		*	238,000	-
Warrant, exercisable until 2013, to purchase
common stock at $.02 per share (B)		87 shs.		*	86,281	-
*08/12/05 and 09/11/06.					1,688,692	853,077

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

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	$	1,202,721	$	1,246,154
Preferred Stock (B)	139 shs.		07/21/08		138,374		175,474
Common Stock (B)	9 shs.		07/21/08		10,000		73,871
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	6 shs.		07/21/08		5,510		49,248
					1,356,605		1,544,747
Monessen Holding Corporation
A designer and manufacturer of a broad line of gas, wood, and electric hearth products and accessories.
15% Senior Subordinated PIK Note due 2015 (D)	$	823,794	06/28/11		547,745		-
7% Senior Subordinated Note due 2014 (D)	$	1,350,000	06/28/11		1,281,479		337,500
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B)	81 shs.		03/31/06		73,125		-
					1,902,349		337,500

Motion Controls Holdings
A manufacturer of high performance mechanical motion control and linkage products.
14.25% Senior Subordinated Note due 2017	$	919,758	11/30/10		903,574		947,351
Limited Liability Company Unit Class B-1 (B)	93,750 uts.		11/30/10		-		89,063
Limited Liability Company Unit Class B-2 (B)	8,501 uts.		11/30/10		-		85
					903,574		1,036,499

NABCO, Inc.
A producer of explosive containment vessels in the United States.
14% Senior Subordinated Note due 2014 (D)	$	330,882	02/24/06		306,091		82,720
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		-
* 02/24/06 and 06/22/07.					762,762		82,720

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	1,047,660	1,125,000
Common Stock (B)	225,000 shs.			08/02/07	225,000	577,125
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)		63,191 shs.		08/02/07	102,842	162,084
					1,375,502	1,864,209

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

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	$	962,026	02/02/07	$	867,508	$	481,013
Limited Partnership Interest of
Saw Mill PCG Partners LLC (B)	1.38% int.		02/01/07		588,077		-
Limited Liability Company Unit Class D of
Saw Mill PCG Partners LLC (B)	9 uts.		*		8,873		-
Limited Liability Company Unit Class D-1 of
Saw Mill PCG Partners LLC (B)	121 uts.		09/30/09		121,160		-
Limited Liability Company Unit Class D-2 of
Saw Mill PCG Partners LLC (B)	68 uts.		04/29/11		34,547		32,820
* 12/18/08 and 09/30/09.					1,620,165		513,833

Nicoat Acquisitions LLC

A manufacturer of water-based and ultraviolet coatings for high-performance graphic arts, packaging and other specialty coating applications.

12.5% Senior Subordinated Note due 2016	$	482,759	11/05/10	441,140	488,475
Limited Liability Company Unit Series B (B)	17,241 uts.		11/05/10	17,241	16,379
Limited Liability Company Unit Series B - OID (B)	34,931 uts.		11/05/10	34,931	349
Limited Liability Company Unit Series F (B)	52,172 uts.		11/05/10	-	522
				493,312	505,725

Northwest Mailing Services, Inc.

A producer of promotional materials for companies that use direct mail as part of their customer retention and loyalty programs.

12% Senior Subordinated Note due 2016	$	1,492,105	*	1,255,041	1,506,618
Limited Partnership Interest (B)	1,740 uts.		*	174,006	87,796
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)	2,605 shs.		*	260,479	131,426
*07/09/09 and 08/09/10.				1,689,526	1,725,840

NT Holding Company
A leading developer, manufacturer and provider of medical products used primarily in interventional pain management.
13.5% Senior Subordinated Note due 2019	$	883,117	02/02/11	815,863	907,012
Common Stock (B)	126 shs.		*	125,883	119,586
Warrant, exercisable until 2021, to purchase
common stock at $.01 per share (B)	59 shs.		02/02/11	52,987	1
* 02/02/11 and 06/30/11.				994,733	1,026,599

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

Nyloncraft, Inc.

A supplier of engineered plastic components for the automotive industry.
Convertible Preferred Stock A (B)		571 shs.		01/28/02	$	549,507	$	798,309
Common Stock (B)	178,571 shs.			01/28/02		178,571		207,226
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B)	138,929 shs.			01/28/02		92,597		161,223
						820,675		1,166,758
O E C Holding Corporation
A provider of elevator maintenance, repair and modernization services.
13% Senior Subordinated Note due 2017		$	444,445	06/04/10		409,077		449,952
Preferred Stock Series A (B)		554 shs.		06/04/10		55,354		31,215
Preferred Stock Series B (B)		311 shs.		06/04/10		31,125		17,552
Common Stock (B)		344 shs.		06/04/10		344		-
						495,900		498,719
OakRiver Technology, Inc.
Designs, engineers and assembles high precision automated process equipment for the medical device industry with a focus on defibrillators and stents.
Common Stock (B)	184,176 shs.			01/03/06		184,176		266,199
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)		43,073 shs.		01/03/06		35,900		62,256
						220,076		328,455
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		712,031
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)		328 shs.		01/17/06		90,424		120,217
						393,309		832,248
P K C Holding Corporation
A manufactuer of plastic film and badges for the general industrial, medical, and food industries.
14% Senior Subordinated Note due 2016		$	1,576,703	12/21/10		1,538,701		1,595,921
Preferred Stock Class A (B)		29 shs.		12/21/10		180,380		285,100
Common Stock (B)		29 shs.		12/21/10		13,500		-
						1,732,581		1,881,021

P P T Holdings LLC

A high-end packaging solutions provider that targets customers who have multiple packaging needs, require a high number of low volume SKUs, short lead times, technical experties, and overall supply chain management.

15% Senior Subordinated Note due 2017	$	914,079	12/20/10	897,566	937,570
Limited Liability Company Unit Class A (B)	33 uts.		12/20/10	106,071	100,777
Limited Liability Company Unit Class B (B)	33 uts.		12/20/10	1,072	1,018
				1,004,709	1,039,365

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

Pacific Consolidated Holdings LLC

A manufacturer of rugged, mobile liquid and gaseous oxygen and nitrogen generating systems used in the global defense, oil and gas, and medical sectors.

14% Senior Subordinated Note due 2012		$	716,295	04/27/07	$	705,185	$	429,777
5% Senior Subordinated Note due 2012		$	42,187	07/21/10		42,187		42,330
Preferred Shares Series E (B)		42,187 uts.		07/21/10		-		-
Limited Liability Company Unit (B)	928,962 uts.			04/27/07		33,477		-
						780,849		472,107

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		$	843,750	12/19/00		841,465		843,750
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B)		197 shs.		12/21/00		140,625		62,958
						982,090		906,708

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.
15% Senior Subordinated Note due 2013		$	842,796	06/03/10		832,049		851,224
3% Senior Subordinated PIK Note due 2014 (D)		$	1,209,017	10/02/06		1,080,171		1,209,017
Limited Liability Company Unit Class A (B)		733 uts.		10/02/06		270,000		112,351
Limited Liability Company Unit (B)		76 uts.		05/22/09		340		11,653
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)		4,550 shs.		10/02/06		65,988		697,702
						2,248,548		2,881,947

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	1,178,914	1,255,814
Limited Partnership Interest (B)	12.55% int.			02/11/08	94,092	64,684
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)		700 shs.		02/11/08	88,723	127,482
					1,361,729	1,447,980

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

Precision Wire Holding Company

A manufacturer of specialty medical wires that are used in non-elective minimally invasive surgical procedures.
14.25% Senior Subordinated Note due 2016		$	1,388,726	11/12/09	$	1,274,193	$	1,430,387
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)		109 shs.		11/12/09		107,970		98,394
						1,382,163		1,528,781

Qualis Automotive LLC
A distributor of aftermarket automotive brake and chassis products.
Common Stock (B)	187,500 shs.			05/28/04		187,500		196,235
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	199,969 shs.			05/28/04		199,969		209,285
						387,469		405,520

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		$	1,335,212	12/15/06		1,278,146		1,332,078
14.5% Senior Subordinated PIK Note due 2014		$	106,738	12/31/10		102,306		105,771
Limited Liability Company Unit (B)		1,497 uts.		12/15/06		149,723		71,255
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		2 shs.		12/15/06		69,609		33,625
						1,599,784		1,542,729

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		1,321,428		1,350,000
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)		3 shs.		01/18/08		16,459		132,114
						1,337,887		1,482,114

Royal Baths Manufacturing Company
A manufacturer and distributor of acrylic and cultured marble bathroom products.
12.5% Senior Subordinated Note due 2011		$	281,250	11/14/03		281,250		281,250
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B)		74 shs.		11/14/03		65,089		13,586
						346,339		294,836

Savage Sports Holding, Inc.
A manufacturer of sporting firearms.
12% Senior Subordinated Note due 2012		$	814,655	09/10/04		801,091		814,655
Preferred Stock Series A (B)		35 shs.		05/28/10		35,038		45,990
Common Stock (B)		324 shs.		*		340,378		814,783
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B)		71 shs.		09/10/04		60,129		177,894
* 09/10/04 and 10/05/07.						1,236,636		1,853,322

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

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 (D)	$	934,615	01/15/09	$	826,004	$	233,654
Common Stock (B)	69 shs.		01/15/09		69,231		-
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)	149 shs.		01/15/09		149,084		-
					1,044,319		233,654

Smart Source Holdings LLC
A short-term computer rental company.
12% Senior Subordinated Note due 2015	$	1,176,924	*		1,107,492		1,176,197
Limited Liability Company Unit (B)	328 uts.		*		334,371		255,553
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)	83 shs.		*		87,231		64,732
* 08/31/07 and 03/06/08.					1,529,094		1,496,482

Snacks Parent Corporation

The world's largest provider of trail mixes and a leading provider of snack nuts, dried fruits, and other healthy snack products.

13% Senior Subordinated Note due 2017	$	876,260	11/12/10	828,991	875,894
Preferred Stock A (B)	1,132 shs.		11/12/10	107,498	102,123
Preferred Stock B (B)	525 shs.		11/12/10	49,884	47,389
Common Stock (B)	6,579 shs.		11/12/10	6,579	6,250
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	1,806 shs.		11/12/10	1,806	18
				994,758	1,031,674

Spartan Foods Holding Company
A manufacturer of branded pizza crusts and pancakes.
12.25% Senior Subordinated Note due 2017	$	1,012,500	12/15/09	890,681	759,375
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	136 shs.		12/15/09	120,234	-
				1,010,915	759,375

Specialty Commodities, Inc.
A distributor of specialty food ingredients.
13.25% Senior Subordinated Note due 2016	$	1,235,636	10/23/08	1,177,810	1,247,992
Common Stock (B)	15,882 shs.		10/23/08	158,824	156,727
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	5,852 shs.		10/23/08	53,285	57,749
				1,389,919	1,462,468

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

Stanton Carpet Holding Company

A designer and marketer of high and mid-priced decorative carpets and rugs.
12.13% Senior Subordinated Note due 2014	$	790,244	08/01/06	$	766,214	$	790,244
Common Stock (B)	165 shs.		08/01/06		164,634		182,694
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B)	55 shs.		08/01/06		49,390		60,846
					980,238		1,033,784

Strata/WLA Holding Corporation

A leading independent anatomic pathology laboratory that conducts over 320,000 tests annually to customers in 40 U.S. states and in Canada and Venezuela.

14.5% Senior Subordinated PIK Note due 2018	$	929,729	07/01/11	911,730	944,539
Preferred Stock Series A (B)	76 shs.		07/01/11	76,046	72,243
				987,776	1,016,782
Sundance Investco LLC
A provider of post-production services to producers of movies and television shows.
Limited Liability Company Unit Class A (B)	3,405 shs.		03/31/10	-	-

Sunrise Windows Holding Company

A manufacturer and marketer of premium vinyl windows exclusively selling to the residential remodeling and replacement market.

14% Senior Subordinated Note due 2017	$	977,411	12/14/10	924,678	963,511
Common Stock (B)	38 shs.		12/14/10	38,168	19,085
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	37 shs.		12/14/10	37,249	-
				1,000,095	982,596

Synteract Holdings Corporation
A provider of outsourced clinical trial management services to pharmaceutical and biotechnology companies.
14.5% Senior Subordinated Note due 2016	$	1,402,397	09/02/08	1,331,714	1,402,397
Redeemable Preferred Stock Series A (B)	678 shs.		09/02/08	6,630	37,269
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	6,778 shs.		09/02/08	59,661	-
				1,398,005	1,439,666

T H I Acquisition, Inc.
A machine servicing company providing value-added steel services to long steel products.
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	5 shs.		01/14/08	46,617	113,967

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

Telecorps Holdings, Inc.
A provider of equipment and services to producers of television shows and motion pictures.
12.75% Senior Subordinated Note due 2016 (D)	$	1,681,677	*	$	1,485,130	$	-
Common Stock (B)	143 shs.		09/02/09		5,823		-
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)	4,187 shs.		*		173,349		-
* 05/20/09 and 09/02/09.					1,664,302		-

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 (D)	$	664,062	*	644,369	332,031
6.75% Term Note due 2012 (C)	$	16	07/08/11	16	14
6.9% Term Note due 2012 (C)	$	776,536	05/31/11	776,536	698,883
Common Stock Class B	32 shs.		*	3,574	-
Limited Partnership Interest of
Saw Mill Capital Fund V, LLC (B)	2.27% int.		**	117,464	-
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	41 shs.		04/28/06	33,738	-
* 04/28/06 and 09/13/06. **03/01/05 and 10/10/08.				1,575,697	1,030,928

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.

14.5% Senior Subordinated Note due 2013 (D)	$	1,300,003	10/26/07	1,136,835	-
Series B Preferred Stock (B)	97 shs.		03/31/10	-	-
Common Stock (B)	273 shs.		03/31/10	219,203	-
				1,356,038	-
Transpac Holding Company
A designer, importer, and wholesaler of home décor and seasonal gift products.
12% Senior Subordinated Note due 2015 (D)	$	938,651	10/31/07	878,712	953,378
Common Stock (B)	110 shs.		10/31/07	110,430	27,914
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)	50 shs.		10/31/07	46,380	12,603
				1,035,522	993,895

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

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 2013	$	1,356,000	02/05/98	$	1,346,592	$	1,356,000
Common Stock (B)	315 shs.		02/04/98		315,000		274,410
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)	222 shs.		02/05/98		184,416		193,393
					1,846,008		1,823,803

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 2014 (D)	$	1,222,698	*	1,107,176	1,161,563
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	-	-
* 07/19/05 and 12/22/05.				1,743,488	1,161,563

TruStile Doors, Inc.
A manufacturer and distributor of interior doors.
Limited Liability Company Unit	5,888 uts.		02/28/11	125,000	118,750
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)	3,060 shs.		04/11/03	36,032	-
				161,032	118,750
U M A Enterprises, Inc.
An importer and wholesaler of home décor products.
15% Senior Subordinated Note due 2015	$	981,843	02/08/08	969,047	981,843
Convertible Preferred Stock (B)	470 shs.		02/08/08	469,565	357,354
				1,438,612	1,339,197
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	$	473,338	04/30/04	465,378	473,338
Common Stock (B)	96 shs.		04/30/04	96,400	51,103
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B)	122 shs.		04/30/04	112,106	64,673
				673,884	589,114

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

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		$	444,706	05/17/07	$	443,035	$	424,947
13% Senior Subordinated Note due 2014		$	370,588	05/17/07		350,906		348,467
18% PIK Convertible Preferred Stock (B)		21,361 shs.		03/13/09		41,440		-
Common Stock (B)		70,588 shs.		05/17/07		70,588		-
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		20,003 shs.		05/17/07		31,460		-
						937,429		773,414
Vitex Packaging Group, Inc.
A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags.
10% Senior Subordinated PIK Note due 2011		$	98,931	10/29/09		97,360		97,800
5% Senior Subordinated PIK Note due 2011 (D)		$	450,000	06/30/07		392,576		448,053
Class B Unit (B)	406,525 uts.			10/29/09		184,266		-
Class C Unit (B)	450,000 uts.			10/29/09		413,244		169,585
Limited Liability Company Unit Class A (B)	383,011 uts.			*		229,353		-
Limited Liability Company Unit Class B (B)		96,848 uts.		07/19/04		96,848		-
* 07/19/04 and 10/29/09.						1,413,647		715,438

Wellborn Forest Holding Company
A manufacturer of semi-custom kitchen and bath cabinetry.
12.13% Senior Subordinated Note due 2014		$	911,250	11/30/06		884,719		820,125
Common Stock (B)		101 shs.		11/30/06		101,250		5,698
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		51 shs.		11/30/06		45,790		2,845
						1,031,759		828,668
Wheaton Holding Corporation
A distributor and manufacturer of laboratory supply products and packaging.
13% Senior Subordinated Note due 2017		$	1,000,000	06/08/10		920,048		1,015,000
Preferred Stock Series B (B)		703 shs.		06/08/10		70,308		53,597
Common Stock (B)		353 shs.		06/08/10		353		26,876
						990,709		1,095,473
Whitcraft Holdings, Inc.
A leading independent manufacturer of precision formed, machined, and fabricated flight-critical aerospace components.
12% Senior Subordinated Note due 2018		$	794,521	12/16/10		733,075		818,356
Common Stock (B)		205 shs.		12/16/10		205,480		195,206
Warrant, exercisable until 2015, to purchase
common stock at $.02 per share (B)		55 shs.		12/16/10		49,334		1
						987,889		1,013,563

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal Amount,

Shares,

Units or

Ownership Percentage

Acquisition

Date

Cost

Fair Value

Workplace Media Holding Company

A direct marketer specializing in providing advertisers with access to consumers in the workplace.
13% Senior Subordinated Note due 2015 (D)		$	654,247	05/14/07	$	601,454	$	327,123
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		-
						706,948		327,123

Xaloy Superior Holdings, Inc.

A provider of melt processing components and ancillary equipment for both plastic injection molding and extrusion applications.

15.5% Senior Subordinated Note due 2015 (D)	$	1,586,515	09/08/08		1,543,522		1,586,515
Common Stock (B)	150 shs.		09/08/08		150,000		283,632
					1,693,522		1,870,147
Total Private Placement Investments (E)				$	118,584,600	$	109,976,283

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)	Interest Rate			Due Date	Shares or Principal Amount		Cost		Market Value

Rule 144A Securities - 1.95%:

Bonds - 1.95%
AE Escrow Corporation		9.750	%	03/15/20	$	375,000	$	375,000	$	360,000
ArcelorMittal		6.125		06/01/18		500,000		517,077		482,686
Citigroup, Inc.		7.000		05/04/15		500,000		506,534		496,250
Coffeyville Resources LLC		9.000		04/01/15		26,000		25,905		27,300
First Data Corporation		7.375		06/15/19		250,000		250,000		221,875
FMG Resources		7.000		11/01/15		250,000		259,868		232,500
International Automotive Component		9.125		06/01/18		250,000		250,000		233,750
Nexeo Solutions LLC		8.375		03/01/18		20,000		20,000		19,750
Pittsburgh Glass Works, LLC		8.500		04/15/16		35,000		35,000		32,200
Seagate HDD Cayman		7.000		11/01/21		150,000		150,000		138,000
Valeant Pharmaceuticals International		7.000		10/01/20		250,000		250,900		221,250
Total Bonds								2,640,284		2,465,561

Convertible Preferred Stock - 0.00%
ETEX Corporation (B)	194		-		-
Total Convertible Preferred Stock			-		-

Preferred Stock - 0.00%
TherOX, Inc. (B)	26		-		-
Total Preferred Stock			-		-

Common Stock - 0.00%
Touchstone Health Partnership (B)	292		-		-
Total Common Stock			-		-

Total Rule 144A Securities			2,640,284		2,465,561

Total Corporate Restricted Securities		$	121,224,884	$	112,441,844

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

	Interest			Due	Principal				Market
Corporate Public Securities - 10.99%: (A)	Rate			Date	Amount		Cost		Value

Bonds - 10.98%
Affinia Group, Inc.		9.000	%	11/30/14	$	25,000	$	24,491	$	24,125
Alcoa, Inc.		6.150		08/18/20		600,000		633,588		607,789
Alere, Inc.		9.000		05/15/16		300,000		319,633		286,500
Anglogold Holdings PLC		5.375		04/15/20		600,000		605,997		587,833
Bank of America Corporation		5.875		01/05/21		600,000		626,025		560,795
B E Aerospace, Inc.		6.875		10/01/20		250,000		257,490		260,625
Centurytel, Inc.		5.000		02/15/15		500,000		511,655		496,951
Clean Harbors, Inc.		7.625		08/15/16		20,000		20,825		20,850
Citigroup, Inc.		5.500		04/11/13		500,000		476,206		514,613
C R H America, Inc.		5.300		10/15/13		500,000		462,363		524,033
Ensco PLC		3.250		03/15/16		600,000		597,984		609,242
Equifax, Inc.		4.450		12/01/14		500,000		512,702		532,715
GATX Corporation		4.750		05/15/15		500,000		508,310		529,755
General Electric Capital Corporation		5.500		01/08/20		500,000		498,301		545,367
Goldman Sachs Group, Inc.		4.750		07/15/13		500,000		465,544		514,544
Headwaters, Inc.		7.625		04/01/19		305,000		305,160		233,325
Health Management Association		6.125		04/15/16		250,000		258,536		245,625
Hertz Corporation		6.750		04/15/19		250,000		246,015		226,875
International Game Technology		7.500		06/15/19		500,000		499,767		596,670
Johnson Controls, Inc.		5.500		01/15/16		500,000		430,215		561,383
Kraft Foods, Inc.		5.375		02/10/20		500,000		515,213		565,860
Masco Corporation		7.125		03/15/20		350,000		349,994		339,163
Morgan Stanley		5.500		01/26/20		500,000		497,655		458,962
NBC Universal Media LLC		5.150		04/30/20		500,000		499,371		548,290
Precision Drilling Corporation		6.625		11/15/20		250,000		258,382		243,750
Qwest Diagnostic, Inc.		4.750		01/30/20		500,000		498,845		534,394
Sealed Air Corporation		7.875		06/15/17		500,000		493,717		525,987
Sprint Nextel Corporation		6.000		12/01/16		500,000		514,884		430,000
Steelcase, Inc.		6.375		02/15/21		500,000		508,363		535,528
Thermadyne Holdings Corporation		9.000		12/15/17		250,000		267,551		245,000
Time Warner Cable, Inc.		5.000		02/01/20		500,000		491,138		531,141
Tyco International Group SA		8.500		01/15/19		125,000		124,998		163,169
Tutor Perini Corporation		7.625		11/01/18		300,000		309,201		256,500
Total Bonds								13,590,119		13,857,359

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

					Market
Corporate Public Securities: (A) (Continued)	Shares		Cost		Value

Common Stock - 0.01%
Intrepid Potash, Inc. (B)		185	$	5,920	$	4,601
Nortek, Inc. (B)		100		1		2,150
Rue21, Inc. (B)		350		6,650		7,941
Total Common Stock				12,571		14,692

Total Corporate Public Securities			$	13,602,690	$	13,872,051

	Interest			Due	Principal				Market
Short-Term Securities:	Rate/Yield			Date	Amount		Cost		Value
Commercial Paper - 7.30%
ABB Treasury Center USA		0.380	%	10/06/11	$	1,450,000	$	1,449,924	$	1,449,924
BAT International Finance PLC		0.370		10/04/11		2,000,000		1,999,938		1,999,938
Glencore Funding LLC		0.500		10/03/11		2,000,000		1,999,944		1,999,944
Harris Corporation		0.320		10/06/11		1,500,000		1,499,933		1,499,933
NBC Universal Media LLC		0.340		10/07/11		2,250,000		2,249,873		2,249,873
Total Short-Term Securities							$	9,199,612	$	9,199,612

Total Investments		107.42	%				$	144,027,186	$	135,513,507
Other Assets		3.42								4,320,434
Liabilities		(10.84	)							(13,679,086	)
Total Net Assets		100.00	%						$	126,154,855

(A)	In each of the convertible note, warrant, 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 September 30, 2011.

(D)	Defaulted security; interest not accrued.

(E)	Illiquid security. As of September 30, 2011, the values of these securities amounted to $109,976,283 or 87.18% of net assets.

^	Effective yield at purchase

PIK - Payment-in-kind

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

	Fair Value/			Fair Value/
Industry Classification:	Market Value			Market Value

AEROSPACE - 3.38%			BUILDINGS & REAL ESTATE - 2.59%
A E Company, Inc.	$	1,721,402	K W P I Holdings Corporation	$	1,569,397
B E Aerospace, Inc.		260,625	Masco Corporation		339,163
MEREX Holding Corporation		496,671	Sunrise Windows Holding Company		982,596
Visioneering, Inc.		773,414	TruStile Doors, Inc.		118,750
Whitcraft Holdings, Inc.		1,013,563	Tutor Perini Corporation		256,500
		4,265,675			3,266,406
AUTOMOBILE - 3.69%			CHEMICAL, PLASTICS & RUBBER - 0.87%
F H Equity LLC		528,792	Capital Specialty Plastics, Inc.		585,849
International Automotive Component		233,750	Nicoat Acquisitions LLC		505,725
J A C Holding Enterprises, Inc.		867,610			1,091,574
Jason Partners Holdings LLC		25,511	CONSUMER PRODUCTS - 10.84%
Johnson Controls, Inc.		561,383	Aero Holdings, Inc.		1,746,166
Nyloncraft, Inc.		1,166,758	BAT International Finance PLC		1,999,938
Ontario Drive & Gear Ltd.		832,248	Bravo Sports Holding Corporation		1,213,093
Pittsburgh Glass Works, LLC		32,200	Custom Engineered Wheels, Inc.		1,338,232
Qualis Automotive LLC		405,520	K N B Holdings Corporation		2,201,522
		4,653,772	Manhattan Beachwear Holding Company		1,811,335
BEVERAGE, DRUG & FOOD - 5.83%			R A J Manufacturing Holdings LLC		1,542,729
Eatem Holding Company		1,070,017	Tranzonic Companies (The)		1,823,803
F F C Holding Corporation		1,047,876			13,676,818
Golden County Foods Holding, Inc.		-	CONTAINERS, PACKAGING & GLASS - 4.41%
Hospitality Mints Holding Company		1,416,112	Flutes, Inc.		498,551
Kraft Foods, Inc.		565,860	P K C Holding Corporation		1,881,021
Snacks Parent Corporation		1,031,674	P P T Holdings LLC		1,039,365
Spartan Foods Holding Company		759,375	Paradigm Packaging, Inc.		906,708
Specialty Commodities, Inc.		1,462,468	Sealed Air Corporation		525,987
		7,353,382	Vitex Packaging Group, Inc.		715,438
BROADCASTING & ENTERTAINMENT - 2.90%					5,567,070
NBC Universal Media LLC		2,798,163	DISTRIBUTION - 1.85%
Time Warner Cable, Inc.		531,141	Duncan Systems, Inc.		786,329
Sundance Investco LLC		-	F C X Holdings Corporation		1,545,393
Telecorps Holdings, Inc.		-			2,331,722
Workplace Media Holding Company		327,123
		3,656,427

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

September 30, 2011

(Unaudited)

	Fair Value/			Fair Value/
Industry Classification: (Continued)	Market Value			Market Value

DIVERSIFIED/CONGLOMERATE,			ELECTRONICS - 2.28%
MANUFACTURING - 13.92%			ABB Treasury Center USA	$	1,449,924
A H C Holding Company, Inc.	$	1,559,434	Barcodes Group, Inc.		848,117
Arrow Tru-Line Holdings, Inc.		632,415	Connecticut Electric, Inc.		578,288
C D N T, Inc.		789,363			2,876,329
F G I Equity LLC		516,132	FINANCIAL SERVICES - 2.42%
G C Holdings		1,030,002	Citigroup, Inc.		1,010,863
K P H I Holdings, Inc.		1,117,644	GATX Corporation		529,755
K P I Holdings, Inc.		1,401,512	General Electric Capital Corporation		545,367
LPC Holding Company		1,016,030	Goldman Sachs Group, Inc.		514,544
MEGTEC Holdings, Inc.		1,533,645	Morgan Stanley		458,962
Milwaukee Gear Company		1,544,747			3,059,491
Nortek, Inc.		2,150	HEALTHCARE, EDUCATION & CHILDCARE - 6.27%
O E C Holding Corporation		498,719	Alere, Inc.		286,500
Postle Aluminum Company LLC		2,881,947	American Hospice Management Holding LLC		2,255,802
Truck Bodies & Equipment International		1,161,563	CHG Alternative Education Holding Company		775,080
Xaloy Superior Holdings, Inc.		1,870,147	Marshall Physicians Services LLC		502,859
		17,555,450	Qwest Diagnostic, Inc.		534,394
DIVERSIFIED/CONGLOMERATE, SERVICE - 12.38%			Strata/WLA Holding Corporation		1,016,782
A S C Group, Inc.		1,734,362	Synteract Holdings Corporation		1,439,666
A W X Holdings Corporation		378,000	Wheaton Holding Corporation		1,095,473
Advanced Technologies Holdings		1,753,227			7,906,556
Affinia Group, Inc.		24,125	HOME & OFFICE FURNISHINGS, HOUSEWARES, AND
Anglogold Holdings PLC		587,833	DURABLE CONSUMER PRODUCTS - 7.12%
Apex Analytix Holding Corporation		1,322,534	Connor Sport Court International, Inc.		1,382,288
Associated Diversified Services		686,996	H M Holding Company		181,350
Bank of America Corporation		560,795	Home Décor Holding Company		1,319,861
C R H America, Inc.		524,033	K H O F Holdings, Inc.		146,698
Clough, Harbour and Associates		1,452,738	Monessen Holding Corporation		337,500
Crane Rental Corporation		1,191,268	Royal Baths Manufacturing Company		294,836
Equifax, Inc.		532,715	Stanton Carpet Holding Co.		1,033,784
Insurance Claims Management, Inc.		206,730	Steelcase, Inc.		535,528
Mail Communications Group, Inc.		759,754	Transpac Holding Company		993,895
Nesco Holdings Corporation		1,864,209	U M A Enterprises, Inc.		1,339,197
Nexeo Solutions LLC		19,750	U-Line Corporation		589,114
Northwest Mailing Services, Inc.		1,725,840	Wellborn Forest Holding Co.		828,668
Pearlman Enterprises, Inc.		-			8,982,719
Tyco International Group SA		163,169
		15,488,078

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

MassMutual Participation Investors

September 30, 2011

(Unaudited)

	Fair Value/			Fair Value/
Industry Classification: (Continued)	Market Value			Market Value

LEISURE, AMUSEMENT & ENTERTAINMENT - 1.94%			OIL & GAS - 2.89%
International Game Technology	$	596,670	Coffeyville Resources LLC	$	27,300
Savage Sports Holding, Inc.		1,853,322	Ensco PLC		609,242
		2,449,992	International Offshore Services LLC		1,012,500
MACHINERY - 7.70%			MBWS Ultimate Holdco, Inc.		1,751,031
A S A P Industries LLC		988,431	Precision Drilling Corporation		243,750
Davis-Standard LLC		1,490,704			3,643,823
E S P Holdco, Inc.		1,385,274
M V I Holding, Inc.		657,129	PHARMACEUTICALS - 1.50%
Motion Controls Holdings		1,036,499	CorePharma LLC
NetShape Technologies, Inc.		513,833	Valeant Pharmaceuticals International		1,676,847
Pacific Consolidated Holdings LLC		472,107			221,250
Power Services Holding Company		1,447,980			1,898,097
R E I Delaware Holding, Inc.		1,482,114	RETAIL STORES - 0.01%
Thermadyne Holdings Corporation		245,000	Rue21, Inc.		7,941
		9,719,071
MEDICAL DEVICES/BIOTECH - 4.32%
Coeur, Inc.		679,254	TECHNOLOGY - 1.66%
E X C Acquisition Corporation		55,861	First Data Corporation		221,875
ETEX Corporation		-	Seagate HDD Cayman		138,000
Health Managment Assocation		245,625	Sencore Holding Company		233,654
MedSystems Holdings LLC		735,322	Smart Source Holdings LLC		1,496,482
MicroGroup, Inc.		853,077			2,090,011
NT Holding Company		1,026,599
OakRiver Technology, Inc.		328,455	TELECOMMUNICATIONS - 2.84%
Precision Wire Holding Company		1,528,781	All Current Holding Company		697,060
TherOX, Inc.		-	Centurytel, Inc.		496,951
		5,452,974	Harris Corporation		1,499,933
MINING, STEEL, IRON & NON-PRECIOUS METALS - 2.34%			Sprint Nextel Corporation		430,000
Alcoa, Inc.		607,789			3,123,944
FMG Resources		232,500	TRANSPORTATION - 0.53%
Glencore Funding LLC		1,999,944	AE Escrow Corporation		360,000
T H I Acquisition, Inc.		113,967	Hertz Corporation		226,875
		2,954,200	NABCO, Inc.		82,720
NATURAL RESOURCES - 0.57%					669,595
ArcelorMittal		482,686	WASTE MANAGEMENT / POLLUTION - 0.83%
Headwaters, Inc.		233,325	Clean Harbors, Inc.		20,850
Intrepid Potash, Inc.		4,601	Terra Renewal LLC		1,030,928
		720,612	Torrent Group Holdings, Inc		-
					1,051,778
				$	135,513,507

INCOME TAX INFORMATION

The aggregate cost of investments is substantially the same for financial reporting and Federal income tax purposes as of September 30, 2011. The net unrealized depreciation of investments for financial reporting and Federal tax purposes as of September 30, 2011 is $8,513,679 consists of $13,730,555 appreciation and $22,244,234 depreciation.

FAIR VALUE MEASUREMENTS

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Trust discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy gives the highest priority to valuations based upon unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurement) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (level 3 measurements). The guidance establishes three levels of the fair value hierarchy as follows:

Level 1: quoted prices in active markets for identical securities

Level 2: other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment 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 September 30, 2011:

Assets:	Total		Level 1		Level 2		Level 3

Restricted Securities
Corporate Bonds	$	90,463,488	$	-	$	2,465,561	$	87,997,927
Common Stock - U.S.		9,842,849		-		-		9,842,849
Preferred Stock		5,847,650		-		-		5,847,650
Partnerships and LLCs		6,287,857		-		-		6,287,857
Public Securities
Corporate Bonds		13,857,359		-		13,857,359		-
Common Stock - U.S.		14,692		14,692		-		-
Short-term Securities		9,199,612		-		9,199,612		-
Total	$	135,513,507	$	14,692	$	25,522,532	$	109,976,283

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

	Beginning		Accrued		Total gains or losses								Transfers in and/or		Ending		Unrealized gains & losses in net income
	balance at		discounts/		realized/								out of		balance at		from assets
Assets:	12/31/2010		premium		unrealized			Purchases		Sales			Level 3		09/30/2011		still held
Restricted Securities
Corporate Bonds	$	91,475,704	$	529,139	$	(3,496,683	)	$	11,812,011	$	(12,322,244	)	$	-	$	87,997,927	$	(3,701,720	)
Common Stock - U.S.		7,253,164		-		2,813,608			469,232		(693,155	)		-		9,842,849		525,538
Preferred Stock		4,615,621		-		827,035			415,394		(10,400	)		-		5,847,650		(10,400	)
Partnerships and LLCs		4,162,642		-		2,035,628			343,651		(254,064	)		-		6,287,857		1,941,320
	$	107,507,131	$	529,139	$	2,179,588		$	13,040,288	$	(13,279,863	)	$	-	$	109,976,283	$	(1,245,262	)

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 have been changes in the Registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act)("internal controls") that occurred during the Registrant's last fiscal quarter. The Registrant's investment adviser, Babson Capital Management LLC, who maintains the Registrant's internal controls, revised its internal controls to oversee State Street Bank & Trust who now provides certain administrative and accounting services to the Registrant.

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/ Michael L. Klofas

Michael L. Klofas, President

Date November 29, 2011

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/ Michael L. Klofas

Michael L. Klofas, President

Date November 29, 2011

By (Signature and Title)*

/s/ James M. Roy

James M. Roy, Vice President and

Chief Financial Officer

Date November 29, 2011

* PRINT THE NAME AND TITLE OF EACH SIGNING OFFICER UNDER HIS OR HER SIGNATURE.