Edgar Filing: MASSMUTUAL PARTICIPATION INVESTORS

form-nq_17117.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: 03/31/11

___________________

ITEM 1. SCHEDULE OF INVESTMENTS

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2011

(Unaudited)

Corporate Restricted Securities - 90.44%: (A)		Principal Amount, Shares, Units or Ownership Percentage		Acquisition Date		Cost		Fair Value
Private Placement Investments - 88.00%

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		$	761,538		*	$	748,973	$	773,132
13% Senior Subordinated Note due 2016		$	807,693	11/10/09			733,509		809,485
Common Stock (B)	184,615 shs.			11/10/09			184,615		140,545
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)	92,308 shs.			11/10/09			68,566		70,273
* 11/10/09 and 11/18/09.							1,735,663		1,793,435

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		$	1,362,888	11/21/07			1,343,347		1,362,888
Limited Partnership Interest (B)	12.26% int.			11/21/07			119,009		176,980
							1,462,356		1,539,868
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			403,982		455,005
Limited Liability Company Unit Class A-2 (B)	676 uts.			12/31/08			74,333		215,960
Limited Liability Company Unit Class A-3 (B)	608 uts.			12/31/08			66,899		194,366
							545,214		865,331
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			1,074,684		1,251,818
Limited Liability Company Unit Class A (B)	2,186 uts.				*		214,793		136,585
Limited Liability Company Unit Class B (B)	1,473 uts.			10/09/09			144,716		92,036
* 10/09/09 and 10/27/10.							1,434,193		1,480,439

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		315,000
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		315,000

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 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		$	1,190,565	12/27/07		$	1,177,832	$	1,190,565
Preferred Stock (B)	546 shs.			12/27/07			270,000		401,588
Preferred Stock Series B (B)	28 shs.			01/04/11			21,600		20,454
							1,469,432		1,612,607
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			692,154		704,688
14% Senior Subordinated Note due 2015		$	720,000	03/09/07			669,349		720,000
Common Stock (B)	150,000 shs.			03/09/07			150,000		237,829
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)	37,780 shs.			03/09/07			63,730		59,901
							1,575,233		1,722,418
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			562,229		609,734
Common Stock (B)	713 shs.			09/26/08			71,303		71,121
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	507 shs.			09/26/08			46,584		50,573
							680,116		731,428
American Hospice Management Holding LLC
A for-profit hospice care provider in the United States.
12% Senior Subordinated Note due 2013		$	1,687,503		*		1,642,733		1,687,503
Preferred Class A Unit (B)	1,706 uts.				**		170,600		297,987
Preferred Class B Unit (B)	808 uts.			06/09/08			80,789		126,055
Common Class B Unit (B)	16,100 uts.			01/22/04			1		89,802
Common Class D Unit (B)	3,690 uts.			09/12/06			-		20,582
* 01/22/04 and 06/09/08. ** 01/22/04 and 09/12/06.							1,894,123		2,221,929

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			880,453		1,032,750
Preferred Stock Series B (B)		1,623 shs.		04/28/09			162,269		220,676
Common Stock (B)		723 shs.		04/28/09			723		98,352
							1,043,445		1,351,778

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 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)		$	984,209	05/18/05	$	914,763	$	590,525
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		-
						1,270,647		590,525
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)		$	332,000	09/30/10		324,216		326,940
13% Senior Subordinated Note due 2017		$	332,000	09/30/10		297,682		322,798
Limited Liability Company Unit Class B (B)	36,000 uts.			09/30/10		36,000		34,200
Limited Liability Company Unit Class B OID (B)	27,520 uts.			09/30/10		27,520		275
						685,418		684,213

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	$	641,884	07/27/10	612,121	658,792
Preferred Stock (B)	13 shs.		07/27/10	131,496	124,925
Common Stock Class A (B)	44 shs.		07/27/10	437	415
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	8 shs.		07/27/10	76	-
				744,130	784,132

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	1,168,716	1,207,902
Preferred Stock Class A (B)	465 shs.		06/30/06	141,946	105,680
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	37,140
				1,359,574	1,350,722
C D N T, Inc.
A value-added converter and distributor of specialty pressure sensitive adhesives, foams, films, and foils.
10.5% Senior Secured Term Note due 2014	$	348,619	08/07/08	344,200	344,416
12.5% Senior Subordinated Note due 2015	$	429,070	08/07/08	398,667	418,107
Common Stock (B)	41,860 shs.		08/07/08	41,860	23,697
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	32,914 shs.		08/07/08	32,965	18,633
				817,692	804,853

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

Capital Specialty Plastics, Inc.
A producer of desiccant strips used for packaging pharmaceutical products.
Common Stock (B)	55 shs.			*	$	252	$	578,554
*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		1,199,648		1,283,294
Preferred Stock (B)	147 shs.			12/02/08		146,594		149,652
						1,346,242		1,432,946

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		$	712,500	01/19/11	669,716	708,746
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
					736,466	744,374
Coeur, Inc.
A producer of proprietary, disposable power injection syringes.
12% Senior Subordinated Note due 2016		$	642,857	10/10/08	594,151	644,402
Common Stock (B)		321 shs.		10/10/08	32,143	13,315
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)		495 shs.		10/10/08	48,214	20,483
					674,508	678,200
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
Connor Sport Court International, Inc.
A designer and manufacturer of outdoor and indoor synthetic sports flooring and other temporary flooring products.
Preferred Stock Series B-2 (B)		9,081 shs.		07/05/07	370,796	908,072
Preferred Stock Series C (B)		4,757 shs.		07/05/07	158,912	475,708
Common Stock (B)		380 shs.		07/05/07	4	444
Limited Partnership Interest (B)		6.88% int.		*	103,135	-
*08/12/04 and 01/14/05.					632,847	1,384,224

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

CorePharma LLC
A manufacturer of oral dose generic pharmaceuticals targeted at niche applications.
14.5% Senior Subordinated Note due 2016	$	1,364,927	08/04/05	$	1,364,927	$	1,364,927
Warrant, exercisable until 2013, to purchase
common stock at $.001 per share (B)	10 shs.		08/04/05		72,617		148,374
					1,437,544		1,513,301
Crane Rental Corporation
A crane rental company.
13% Senior Subordinated Note due 2015	$	1,215,000	08/21/08		1,120,306		1,179,722
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		-
					1,358,449		1,179,722

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	1,021,585	1,165,440
Preferred Stock PIK (B)		156 shs.		10/27/09	156,468	119,043
Preferred Stock Series A (B)		114 shs.		10/27/09	104,374	86,975
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	-
					1,346,406	1,371,458
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	470,700	489,131
Limited Partnership Interest (B)		0.97% int.		10/30/06	371,739	599,121
Warrant, exercisable until 2014, to purchase
preferred stock at $.01 per share (B)		26 shs.		10/30/06	26,380	40,002
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		18 shs.		10/30/06	18,000	39,036
					886,819	1,167,290
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	229,857	235,423
13% Senior Subordinated Note due 2014		$	488,572	11/01/06	456,134	488,572
Common Stock (B)	102,857 shs.			11/01/06	102,857	55,997
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		32,294 shs.		11/01/06	44,663	17,581
					833,511	797,573

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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		$	1,253,612	01/08/08	$	1,236,151	$	1,213,621
Common Stock (B)	349 shs.			01/08/08		174,701		56,864
						1,410,852		1,270,485
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		44,894

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	834,215	914,179
Common Stock (B)	50 shs.		02/01/10	50,000	42,202
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	119 shs.		02/01/10	107,100	100,626
				991,315	1,057,007

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	$	1,204,854	10/06/08	1,187,928	1,224,965
Preferred Stock Series A (B)	122 shs.		12/30/10	12,200	11,590
Preferred Stock Series B (B)	2,298 shs.		10/06/08	229,804	190,048
Common Stock (B)	1,625 shs.		10/06/08	1,625	-
				1,431,557	1,426,603

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	$	844,169	09/27/10	828,031	829,186
Limited Liability Company Units Preferred (B)	171 uts.		09/27/10	153,659	145,974
Limited Liability Company Units (B)	171 uts.		09/27/10	17,073	16,219
				998,763	991,379
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	$	436,448	12/15/10	424,251	435,941
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
				498,288	498,523

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	502,806	12/20/10	$	482,288	$	502,154
Limited Liability Company Unit Class C (B)		1,575 uts.	12/20/10		16,009		16
					498,297		502,170

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	935,696	992,508
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)			198 shs.	10/19/10	46,958	2
					982,654	992,510
Golden County Foods Holding, Inc.
A manufacturer of frozen appetizers and snacks.
16% Senior Subordinated Note due 2015 (D)		$	1,012,500	11/01/07	938,215	-
16% PIK Note due 2015 (D)		$	250,259	12/31/08	217,663	-
8% Series A Convertible Preferred Stock, convertible into
fully diluted common shares (B)	77,643 shs			11/01/07	77,643	-
					1,233,521	-

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

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal

Amount,

Shares, Units

or Ownership

Percentage

Acquisition

Date

Cost

Fair Value

Home Décor Holding Company

A designer, manufacturer and marketer of framed art and wall décor products.

12.5% Senior Subordinated Note due 2013	$	1,081,731	*	$	1,036,927	$	1,081,731
Common Stock (B)		33 shs.	*	33,216			47,513
Warrant, exercisable until 2012, to purchase
common stock at $.02 per share (B)		106 shs.	*	105,618			151,063
* 06/30/04 and 08/19/04.				1,175,761			1,280,307


Hospitality Mints Holding Company
A manufacturer of individually-wrapped imprinted promotional mints.
12% Senior Subordinated Note due 2016	$	1,308,732	08/19/08	1,236,996	1,275,372
Common Stock (B)	251 shs.		08/19/08	251,163	45,534
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	65 shs.		08/19/08	60,233	11,770
				1,548,392	1,332,676
Insurance Claims Management, Inc.
A third party administrator providing auto and property claim administration services for insurance companies.
Common Stock (B)	37 shs.		02/27/07	1,100	163,700
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B)	11 shs.		02/27/07	324	48,223
				1,424	211,923
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	1,233,664	1,337,347
Limited Liability Company Unit (B)	1,647 uts.		07/07/09	98,833	79,820
				1,332,497	1,417,167
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	713,766	826,615
Preferred Stock A (B)	165 shs.		12/20/10	165,000	156,750
Preferred Stock B (B)	0.06 shs		12/20/10	-	-
Common Stock (B)	33 shs.		12/20/10	1,667	1,583
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	12 shs.		12/20/10	105,643	-
				986,076	984,948
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)

March 31, 2011

(Unaudited)

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

Justrite Manufacturing Acquisition Company
A manufacturer of safety products such as storage cabinets and containers.
12% Senior Subordinated Note due 2011		$	843,750	12/15/04	$	835,585	$	843,750
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B)		594 shs.		12/15/04		53,528		115,769
						889,113		959,519
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		127,308

K N B Holdings Corporation
A designer, manufacturer and marketer of products for the custom framing market.
15.5% Senior Subordinated Note due 2013 (D)		$	1,595,057	05/25/06		1,413,829		1,578,779
Common Stock (B)		71,053 shs.		05/25/06		71,053		-
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)		43,600 shs.		05/25/06		37,871		-
						1,522,753		1,578,779

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		$	876,208	12/10/10	859,121	858,511
Common Stock (B)	130,435 shs.			12/10/10	130,435	123,913
					989,556	982,424
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	1,212,647	1,288,119
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	27,852
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	51 shs.			07/16/08	50,836	6,031
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	67 shs.			09/17/09	-	7,996
					1,540,572	1,426,878

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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)		$	1,724,474	03/14/07		$	1,561,816	$	1,379,579
Preferred Stock PIK (B)	793 shs.			02/07/11			306,750		245,334
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		-
							2,077,456		1,624,913
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		$	659,439	09/12/08			621,127		593,495
Common Stock (B)	32 shs.			09/12/08			32,143		-
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	35 shs.			09/12/08			34,714		-
							687,984		593,495
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			497,661		516,177
Limited Liability Company Unit (B)	12,764 uts.				*		166,481		173,412
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	1,787 shs.			05/04/07			22,781		24,279
* 05/04/07 and 01/02/08.							686,923		713,868

Manhattan Beachwear Holding Company
A designer and distributor of women's swimwear.
15% Senior Subordinated Note due 2018		$	216,329	10/05/10			212,205		221,705
12.5% Senior Subordinated Note due 2018		$	882,353	01/15/10			779,740		891,177
Common Stock (B)	35 shs.			10/05/10			35,400		63,572
Common Stock Class B (B)	118 shs.			01/15/10			117,647		211,277
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)	104 shs.			01/15/10			94,579		186,979
							1,239,571		1,574,710

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

MBWS Ultimate Holdco, Inc.
A provider of services throughout North Dakota that address the fluid management and related transportation needs of an oil well.
12% Senior Subordinated Note due 2016		$	1,117,495		*	$	1,014,392	$	1,139,396
Preferred Stock Series A (B)	1,388 shs.			09/07/10			138,797		131,860
Common Stock (B)	162 shs.			03/01/11			16,226		15,388
Common Stock (B)	153 shs.			09/07/10			15,282		14,535
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	103 shs.			03/01/11			10,325		1
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	386 shs.			09/07/10			38,623		4
* 09/07/10 and 03/01/11.							1,233,645		1,301,184

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		$	623,784	08/29/08			565,416		630,022
Preferred Unit (B)	66 uts.			08/29/08			66,451		79,984
Common Unit Class A (B)	671 uts.			08/29/08			671		33,798
Common Unit Class B (B)	250 uts.			08/29/08			63,564		12,576
							696,102		756,380
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			1,068,752		1,166,949
Preferred Stock (B)	56 shs.			09/24/08			54,040		67,613
Limited Partnership Interest (B)	0.74% int.			09/16/08			205,932		206,013
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	18 shs.			09/24/08			18,237		10,090
							1,346,961		1,450,665
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		1,137,436
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		1,137,436

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 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	$	1,196,622	$	1,216,071
Preferred Stock (B)		139 shs.		07/21/08		138,374		110,100
Common Stock (B)		9 shs.		07/21/08		10,000		-
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		6 shs.		07/21/08		5,510		-
						1,350,506		1,326,171
Momentum Holding Company
A designer and supplier of upholstery fabric to commercial furniture manufacturers and architectural and design firms.
Limited Partnership Interest (B)	11.24% int.			08/04/06		56,198		161,710
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B)		586 shs.		08/04/06		56,705		168,565
						112,903		330,275
Monessen Holding Corporation
A designer and manufacturer of a broad line of gas, wood, and electric hearth products and accessories.
14% Senior Subordinated Note due 2014 (D)		$	1,350,000	07/25/08		1,281,479		675,000
14% PIK Note due 2014 (D)		$	419,713	07/25/08		345,704		209,856
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B)		81 shs.		03/31/06		73,125		-
						1,700,308		884,856
Motion Controls Holdings
A manufacturer of high performance mechanical motion control and linkage products.
14.25% Senior Subordinated Note due 2017		$	911,631	11/30/10		894,513		900,767
Limited Liability Company Unit Class B-1 (B)		93,750 uts.		11/30/10		93,750		89,063
Limited Liability Company Unit Class B-2 (B)		8,501 uts.		11/30/10		8,501		85
						996,764		989,915
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		-
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		-

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	1,040,304	$	1,125,000
Common Stock (B)	225,000 shs.			08/02/07		225,000		721,507
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)	63,191 shs.			08/02/07		102,842		202,634
						1,368,146		2,049,141

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	$	98,061	02/02/07	827,051	449,031
Limited Partnership Interest of
Saw Mill PCG Partners LLC (B)	1.38% int.		02/01/07	539,990	-
Limited Liability Company Unit Class D of
Saw Mill PCG Partners LLC (B)	8 uts.		*	8,147	-
Limited Liability Company Unit Class D-1 of
Saw Mill PCG Partners LLC (B)	111 uts.		09/30/09	111,486	-
Preferred Stock Class A (B)	1 sh.		12/18/08	726	-
Preferred Stock Class A-1 (B)	10 shs.		09/30/09	9,674	-
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	48 shs.		02/02/07	48,087	-
* 12/18/08 and 09/30/09.				1,545,161	449,031

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	438,080	475,450
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
				490,252	492,700

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	*	1,239,471	1,493,256
Limited Partnership Interest (B)		1,740 uts.	*	174,006	124,746
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)		2,605 shs.	*	260,479	186,740
* 07/09/09 and 08/09/10.				1,673,956	1,804,742

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	813,263	$	874,283
Common Stock (B)		117 shs.		02/02/11		116,883		111,036
Warrant, exercisable until 2021, to purchase
common stock at $.01 per share (B)		59 shs.		02/02/11		52,987		1
						983,133		985,320
Nyloncraft, Inc.
A supplier of engineered plastic components for the automotive industry.
Convertible Preferred Stock A (B)		571 shs.		01/28/02		549,507		744,917
Common Stock (B)	178,571 shs.			01/28/02		178,571		198,411
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B)	138,929 shs.			01/28/02		92,597		154,365
						820,675		1,097,693
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		407,168		445,860
Preferred Stock Series A (B)		554 shs.		06/04/10		55,354		52,586
Preferred Stock Series B (B)		311 shs.		06/04/10		31,125		3
Common Stock (B)		344 shs.		06/04/10		344		327
						493,991		498,776
OakRiver Technology, Inc.
Designs, engineers and assembles high precision automated process equipment for the medical device industry with a focus on defibrilators and stents.
Common Stock (B)	184,176 shs.			01/03/06		184,176		275,801
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)		43,073 shs.		01/03/06		35,900		64,501
						220,076		340,302
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		512,241
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)		328 shs.		01/17/06		90,424		86,485
						393,309		598,726
P K C Holding Corporation
A manufacturer of plastic film and badges for the general industrial, medical, and food industries.
14% Senior Subordinated Note due 2016		$	1,561,011	12/21/10		1,519,612		1,550,711
Preferred Stock Class A (B)		29 shs.		12/21/10		180,380		285,100
Common Stock (B)		29 shs.		12/21/10		13,500		-
						1,713,492		1,835,811

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	900,297	12/20/10	$	882,819	$	895,776
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
					989,962		997,571
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	696,755	596,832
5% Senior Subordinated Note due 2012		$	42,187	07/21/10	42,187	42,121
Preferred Shares Series E (B)		42,187 uts.		07/21/10	-	-
Limited Liability Company Unit (B)	928,962 uts.			04/27/07	33,477	-
					772,419	638,953
Paradigm Packaging, Inc.
A manufacturer of plastic bottles and closures for the nutritional, pharmaceutical, personal care, and food packaging markets.
12% Senior Subordinated Note due 2011		$	1,125,000	12/19/00	1,115,209	1,125,000
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B)		197 shs.		12/21/00	140,625	111,539
					1,255,834	1,236,539
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		$	830,295	06/03/10	817,393	843,968
3% Senior Subordinated PIK Note due 2014 (D)		$	1,209,017	10/02/06	1,069,605	1,180,184
Limited Liability Company Unit Class A (B)		733 uts.		10/02/06	270,000	78,058
Limited Liability Company Unit (B)		76 uts.		05/22/09	340	8,096
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)		197 shs.		10/02/06	65,988	484,742
					2,223,326	2,595,048

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

Power Services Holding Company
A provider of industrial motor repair services, predictive and preventative maintenance, and performance improvement consulting serving the petrochemical, mining, power generation, metals, and paper industries.
12% Senior Subordinated Note due 2016		$	1,255,814	02/11/08	$	1,172,673	$	1,252,615
Limited Partnership Interest (B)	12.55% int.			02/11/08		94,092		22,902
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)		700 shs.		02/11/08		88,723		45,135
						1,355,488		1,320,652
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		$	1,378,369	11/12/09		1,256,711		1,392,686
Warrant, exercisable until 2019, to purchase
common stock at $.01 per share (B)		109 shs.		11/12/09		107,970		96,772
						1,364,681		1,489,458
Qualis Automotive LLC
A distributor of aftermarket automotive brake and chassis products.
Common Stock (B)	187,500 shs.			05/28/04		187,500		203,423
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	199,969 shs.			05/28/04		199,969		216,950
						387,469		420,373
R A J Manufacturing Holdings LLC
A designer and manufacturer of women’s swimwear sold under a variety of licensed brand names.
14.5% Senior Subordinated Note due 2014 (D)		$	1,434,594	12/15/06		1,365,380		1,362,864
Limited Liability Company Unit (B)		1,497 uts.		12/15/06		149,723		20,679
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)		2 shs.		12/15/06		69,609		9,758
						1,584,712		1,393,301
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		1,318,997		1,350,000
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)		3 shs.		01/18/08		16,459		49,617
						1,335,456		1,399,617
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		277,597		281,669
Warrant, exercisable until 2011, to purchase
common stock at $.01 per share (B)		74 shs.		11/14/03		65,089		47,202
						342,686		328,871

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

Corporate Restricted Securities: (A) (Continued)

Principal

Amount,

Shares, Units

or Ownership

Percentage

Acquisition

Date

Cost

Fair Value

Safety Speed Cut Manufacturing Company, Inc.

A manufacturer of vertical panel saws and routers for the wood working industry.

Class B Common Stock (B)

846 shs.

06/02/99

146,456

164,736

Savage Sports Holding, Inc.

A manufacturer of sporting firearms.

12% Senior Subordinated Note due 2012

814,655

09/10/04

796,200

814,655

Preferred Stock Series A (B)

35 shs.

05/28/10

35,038

33,288

Common Stock (B)

324 shs.

340,378

654,291

Warrant, exercisable until 2012, to purchase

common stock at $.01 per share (B)

71 shs.

09/10/04

60,129

142,854

* 09/10/04 and 10/05/07.

1,231,745

1,645,088

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	654,231
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	654,231
Smart Source Holdings LLC
A short-term computer rental company.
12% Senior Subordinated Note due 2015	$	1,176,924		*	1,101,044	1,146,690
Limited Liability Company Unit (B)	328 uts.			*	334,371	237,866
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)	83 shs.			*	87,231	60,252
* 08/31/07 and 03/06/08.					1,522,646	1,444,808

Snacks Parent Corporation
The worlds 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	$	871,774	11/12/10	821,902	861,891
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
				987,669	1,017,671

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	884,982	$	961,875
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	136 shs.		12/15/09		120,234		5,026
					1,005,216		966,901
Specialty Commodities, Inc.
A distributor of specialty food ingredients.
13.25% Senior Subordinated Note due 2016	$	1,227,950	10/23/08		1,166,280		1,240,229
Common Stock (B)	15,882 shs.		10/23/08		158,824		143,318
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	5,852 shs.		10/23/08		53,285		52,808
					1,378,389		1,436,355
Stanton Carpet Holding Company
A designer and marketer of high and mid-priced decorative carpets and rugs.
12.13% Senior Subordinated Note due 2014	$	1,185,366	08/01/06		1,147,020		1,176,754
Common Stock (B)	165 shs.		08/01/06		164,634		113,114
Warrant, exercisable until 2014, to purchase
common stock at $.02 per share (B)	55 shs.		08/01/06		49,390		37,673
					1,361,044		1,327,541
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	$	967,550	12/14/10	912,416	963,397
Common Stock (B)	38 shs.		12/14/10	38,168	36,262
Warrant, exercisable until 2020, to purchase
common stock at $.01 per share (B)	37 shs.		12/14/10	37,249	-
				987,833	999,659
Synteract Holdings Corporation
A provider of outsourced clinical trial management services to pharmaceutical and biotechnology companies.
14.5% Senior Subordinated Note due 2016	$	1,391,765	09/02/08	1,317,065	1,405,682
Redeemable Preferred Stock Series A (B)	678 shs.		09/02/08	6,630	13,922
Warrant, exercisable until 2018, to purchase
common stock at $.01 per share (B)	6,778 shs.		09/02/08	59,661	-
				1,383,356	1,419,604

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

T H I Acquisition, Inc.
A machine servicing company providing value-added steel services to long steel products.
12% Senior Subordinated Note due 2016	$	1,250,091	01/14/08		$	1,201,353	$	1,208,622
Warrant, exercisable until 2016, to purchase
common stock at $.01 per share (B)	5 shs.		01/14/08			46,617		58,057
						1,247,970		1,266,679
Telecorps Holdings, Inc.
A provider of equipment and services to producers of television shows and motion pictures.
12.75% Senior Subordinated Note due 2016	$	1,681,677		*		1,485,130		840,838
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		840,838

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		*		648,061		332,031
6.79% Term Note due 2012 (C)	$	778,197		*		778,197		700,377
Common Stock Class B	32 shs.			*		-		-
Limited Partnership Interest of
Saw Mill Capital Fund V, LLC (B)	2.27% int.			**		85,245		-
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.						1,545,241		1,032,408

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	-
Total E & S, Inc.
A manufacturer of a wide variety of equipment used in the oil and gas industry.
10.5% Senior Secured Term Note due 2013	$	364,865	03/02/07	362,724	368,261
13% Senior Subordinated Note due 2014 (D)	$	341,971	03/02/07	296,549	335,698
				659,273	703,959

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	873,498	$	898,418
Common Stock (B)	110 shs.		10/31/07		110,430		46,813
Warrant, exercisable until 2015, to purchase
common stock at $.01 per share (B)	50 shs.		10/31/07		46,380		21,137
					1,030,308		966,368


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	1,344,291	1,356,000
Common Stock (B)	315 shs.		02/04/98	315,000	293,845
Warrant, exercisable until 2013, to purchase
common stock at $.01 per share (B)	222 shs.		02/05/98	184,416	207,091
				1,843,707	1,856,936


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	*	1,100,428	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.				1,736,740	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	$	967,279	02/08/08	953,081	967,279
Convertible Preferred Stock (B)	470 shs.		02/08/08	469,565	355,157
				1,422,646	1,322,436

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	946,675	04/30/04		$	922,114	$	911,942
Common Stock (B)	96 shs.		04/30/04			96,400		27,704
Warrant, exercisable until 2012, to purchase
common stock at $.01 per share (B)	122 shs.		04/30/04			112,106		35,062
						1,130,620		974,708
Visioneering, Inc.
A designer and manufacturer of tooling and fixtures for the aerospace industry.
10.5% Senior Secured Term Loan due 2013	$	458,824	05/17/07			456,723		441,371
13% Senior Subordinated Note due 2014	$	370,588	05/17/07			348,039		346,690
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		-
						948,250		788,061
Vitex Packaging Group, Inc.
A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags.
10% Senior Subordinated PIK Note due 2011	$	94,164	10/29/09			89,884		90,553
5% Senior Subordinated PIK Note due 2011 (D)	$	450,000	06/30/07			392,576		432,827
Class B Unit (B)	406,525 uts.		10/29/09			184,266		-
Class C Unit (B)	450,000 uts.		10/29/09			413,244		201,756
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.						1,406,171		725,136

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			871,330		889,563
Common Stock (B)	101 shs.		11/30/06			101,250		29,698
Warrant, exercisable until 2014, to purchase
common stock at $.01 per share (B)	51 shs.		11/30/06			45,790		14,827
						1,018,370		934,088
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			915,749		1,019,733
Preferred Stock Series B (B)	703 shs.		06/08/10			70,308		7
Common Stock (B)	353 shs.		06/08/10			353		4
						986,410		1,019,744

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

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	$	730,640	$	786,652
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
						985,454		981,859
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)		$	1,229,741	09/08/08		1,203,293		1,168,254
Common Stock (B)		150 shs.		09/08/08		150,000		112,348
						1,353,293		1,280,602

Total Private Placement Investments (E)						118,058,040		109,099,865

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

					Shares or
	Interest			Due	Principal				Market
Corporate Restricted Securities: (A) (Continued)	Rate			Date	Amount		Cost		Value
Rule 144A Securities - 2.44%:
Bonds - 2.44%
ArcelorMittal		6.125	%	06/01/18	$	500,000	$	518,130	$	529,627
Clean Harbors, Inc.		7.625		08/18/14		20,000		20,897		21,225
Coffeyville Resources LLC		9.000		04/01/15		62,000		61,746		67,425
First Data Corporation		7.375		06/15/19		250,000		250,000		250,000
FMG Resources		7.000		11/01/15		250,000		260,926		259,375
Headwaters, Inc.		7.625		04/01/19		305,000		305,194		305,000
Hertz Corporation		6.750		04/15/19		250,000		246,235		247,813
NBC Universal		5.150		04/30/20		500,000		499,343		515,325
Nexeo Solutions LLC		8.375		03/01/18		20,000		20,000		20,400
Precision Drilling Corporation		6.625		11/15/20		250,000		258,729		257,500
Tutor Perini Corporation		7.625		11/01/18		300,000		309,704		309,000
Valeant Pharmaceuticals International		7.000		10/01/20		250,000		250,936		242,500
Total Bonds								3,001,840		3,025,190
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								3,001,840		3,025,190
Total Corporate Restricted Securities							$	121,059,880	$	112,125,055

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011 (Unaudited)

	Interest			Due	Principal				Market
Corporate Public Securities - 11.19%: (A)	Rate			Date	Amount		Cost		Value

Bonds - 10.90%
Affinia Group, Inc.		9.000	%	11/30/14	$	25,000	$	24,424	$	25,750
Alcoa, Inc.		6.150		08/18/20		600,000		635,038		634,032
Alere, Inc.		9.000		05/15/16		300,000		321,375		319,500
Allied Waste NA		7.125		05/15/16		500,000		504,892		521,875
Anglogold Holdings PLC		5.375		04/15/20		600,000		606,270		608,600
Bank of America Corporation		5.875		01/05/21		600,000		627,096		626,507
B E Aerospace, Inc.		6.875		10/01/20		250,000		257,794		258,750
Centurytel, Inc.		5.000		02/15/15		500,000		513,259		523,513
C R H America, Inc.		5.300		10/15/13		500,000		454,158		531,659
Citigroup, Inc.		7.000		05/01/15		500,000		507,717		504,375
Citigroup, Inc.		5.500		04/11/13		500,000		469,077		535,009
Ensco PLC		3.250		03/15/16		600,000		597,792		597,793
Equifax, Inc.		4.450		12/01/14		500,000		514,588		528,220
GATX Corporation		4.750		05/15/15		500,000		510,198		521,967
General Electric Capital Corporation		5.500		01/08/20		500,000		498,223		529,009
Goldman Sachs Group, Inc.		4.750		07/15/13		500,000		456,792		529,841
Health Managment Assocation		6.125		04/15/16		250,000		259,361		258,125
International Game Technology		7.500		06/15/19		500,000		499,756		567,670
Johnson Controls, Inc.		5.500		01/15/16		500,000		423,758		553,352
Juniper Networks, Inc.		5.950		03/15/41		100,000		99,955		98,751
Kraft Foods, Inc.		5.375		02/10/20		500,000		515,949		527,873
Masco Corporation		7.125		03/15/20		350,000		349,994		362,206
Morgan Stanley		5.500		01/26/20		500,000		497,546		502,175
Nortek, Inc.		11.000		12/01/13		100,444		99,568		106,219
Qwest Diagnostic, Inc.		4.750		01/30/20		500,000		498,789		501,756
Sealed Air Corporations		7.875		06/15/17		500,000		493,299		559,121
Sprint Nextel Corporation		6.000		12/01/16		500,000		516,135		501,875
Steelcase, Inc.		6.375		02/15/21		500,000		508,690		509,357
Time Warner Cable, Inc.		5.000		02/01/20		500,000		490,717		505,512
Tyco International Group SA		8.500		01/15/19		125,000		124,998		161,261
Total Bonds								12,877,208		13,511,653

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

					Market
Corporate Public Securities: (A) (Continued)	Shares		Cost		Value
Common Stock - 0.29%
Directed Electronics, Inc. (B)		195,118	$	982,868	$	335,603
Intrepid Potash, Inc. (B)		185		5,920		6,442
Nortek, Inc. (B)		100		1		4,300
Rue21, Inc. (B)		350		6,650		10,063
Total Common Stock				995,439		356,408

Total Corporate Public Securities			$	13,872,647	$	13,868,061

	Interest			Due	Principal				Market
Short-Term Securities:	Rate/Yield^			Date	Amount		Cost		Value
Commercial Paper - 4.83%
ERAC USA Finance Company		0.350	%	04/06/11	$	2,000,000	$	1,999,903	$	1,999,903
Kinder Morgan Energy LP		0.320		04/07/11		2,000,000		1,999,893		1,999,893
XCEL Energy Inc.		0.300		04/08/11		2,000,000		1,999,883		1,999,883
Total Short-Term Securities							$	5,999,679	$	5,999,679
Total Investments		106.46	%				$	140,932,206	$	131,992,795
Other Assets		6.99								8,662,730
Liabilities		(13.45	)							(16,677,129	)
Total Net Assets		100.00	%						$	123,978,396

(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 March 31, 2011.

(D)	Defaulted security; interest not accrued.

(E)	Illiquid security. As of March 31, 2011, the values of these securities amounted to $109,099,865 or 88.00% of net assets.

^	Effective yield at purchase

PIK - Payment-in-kind

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

AEROSPACE - 3.08%			Tutor Perini Corporation		309,000
A E Company, Inc.	$	1,793,435			3,414,528
B E Aerospace, Inc.		258,750	CHEMICAL, PLASTICS & RUBBER - 0.86%
Visioneering, Inc.		788,061	Capital Specialty Plastics, Inc.	$	578,554
Whitcraft Holdings, Inc.		981,859	Nicoat Acquisitions LLC		492,700
		3,822,105			1,071,254
AUTOMOBILE - 3.37%			CONSUMER PRODUCTS - 9.02%
F H Equity LLC		502,170	Aero Holdings, Inc.		1,722,418
J A C Holding Enterprises, Inc.		984,948	Bravo Sports Holding Corporation		1,350,722
Jason Partners Holdings LLC		25,511	Custom Engineered Wheels, Inc.		1,371,458
Johnson Controls, Inc.		553,352	K N B Holdings Corporation		1,578,779
Nyloncraft, Inc.		1,097,693	Manhattan Beachwear Holding Company		1,574,710
Ontario Drive & Gear Ltd.		598,726	Momentum Holding Co.		330,275
Qualis Automotive LLC		420,373	R A J Manufacturing Holdings LLC		1,393,301
		4,182,773	Tranzonic Companies (The)		1,856,936
BEVERAGE, DRUG & FOOD - 5.91%					11,178,599
Eatem Holding Company		1,057,007	CONTAINERS, PACKAGING & GLASS - 4.72%
F F C Holding Corporation		991,379	Flutes, Inc.		498,551
Golden County Foods Holding, Inc.		-	P K C Holding Corporation		1,835,811
Hospitality Mints Holding Company		1,332,676	PPT Holdings LLC		997,571
Kraft Foods, Inc.		527,873	Paradigm Packaging, Inc.		1,236,539
Snacks Parent Corporation		1,017,671	Sealed Air Corporations		559,121
Spartan Foods Holding Company		966,901	Vitex Packaging Group, Inc.		725,136
Specialty Commodities, Inc.		1,436,355			5,852,729
		7,329,862	DISTRIBUTION - 1.79%
BROADCASTING & ENTERTAINMENT -1.77%			Duncan Systems, Inc.		797,573
NBC Universal		515,325	F C X Holdings Corporation		1,426,603
Time Warner Cable, Inc.		505,512			2,224,176
Sundance Investco LLC		-
Telecorps Holdings, Inc.		840,838
Workplace Media Holding Co.		327,123
		2,188,798
BUILDINGS & REAL ESTATE - 2.75%
K W P I Holdings Corporation		1,624,913
Masco Corporation		362,206
Sunrise Windows Holding Co.		999,659
TruStile Doors, Inc.		118,750

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

DIVERSIFIED/CONGLOMERATE,			ELECTRONICS - 1.37%
MANUFACTURING - 12.31%			Barcodes Group, Inc.	$	784,132
A H C Holding Company, Inc.	$	1,539,868	Connecticut Electric, Inc.		578,288
Arrow Tru-Line Holdings, Inc.		590,525	Directed Electronics, Inc.		335,603
C D N T, Inc.		804,853			1,698,023
F G I Equity LLC		498,523	FINANCIAL SERVICES - 2.52%
G C Holdings		992,510	Citigroup, Inc.		1,039,384
K P H I Holdings, Inc.		982,424	GATX Corporation		521,967
K P I Holdings, Inc.		1,426,878	General Electric Capital Corporation		529,009
MEGTEC Holdings, Inc.		1,450,665	Goldman Sachs Group, Inc.		529,841
Milwaukee Gear Company		1,326,171	Highgate Capital LLC		-
Nortek, Inc.		110,519	Morgan Stanley		502,175
O E C Holding Corporation		498,776			3,122,376
Postle Aluminum Company LLC		2,595,048	HEALTHCARE, EDUCATION & CHILDCARE- 5.02%
Truck Bodies & Equipment International		1,161,563	Alere, Inc.		319,500
Xaloy Superior Holdings, Inc.		1,280,602	American Hospice Management Holding LLC		2,221,929
		15,258,925	CHG Alternative Education Holding Company		744,374
DIVERSIFIED/CONGLOMERATE, SERVICE- 12.38%			Qwest Diagnostic, Inc.		501,756
A S C Group, Inc.		1,480,439	Synteract Holdings Corporation		1,419,604
A W X Holdings Corporation		315,000	Touchstone Health Partnership		-
Advanced Technologies Holdings		1,612,607	Wheaton Holding Corporation		1,019,744
Affinia Group, Inc.		25,750			6,226,907
Anglogold Holdings PLC		608,600	HOME & OFFICE FURNISHINGS, HOUSEWARES,
Apex Analytix Holding Corporation		1,351,778	AND DURABLE CONSUMER PRODUCTS - 9.02%
Associated Diversified Services		684,213	Connor Sport Court International, Inc.		1,384,224
Bank of America Corporation		626,507	H M Holding Company		181,350
C R H America, Inc.		531,659	Home Décor Holding Company		1,280,307
Clough, Harbour and Associates		1,432,946	Justrite Manufacturing Acquisition Co.		959,519
Crane Rental Corporation		1,179,722	K H O F Holdings, Inc.		127,308
Equifax, Inc.		528,220	Monessen Holding Corporation		884,856
Insurance Claims Management, Inc.		211,923	Royal Baths Manufacturing Company		328,871
Mail Communications Group, Inc.		713,868	Stanton Carpet Holding Co.		1,327,541
Nesco Holdings Corporation		2,049,141	Steelcase, Inc.		509,357
Nexeo Solutions LLC		20,400	Transpac Holding Company		966,368
Northwest Mailing Services, Inc.		1,804,742	U M A Enterprises, Inc.		1,322,436
Pearlman Enterprises, Inc.		-	U-Line Corporation		974,708
Tyco International Group SA		161,261	Wellborn Forest Holding Co.		934,088
		15,338,776			11,180,933

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)

March 31, 2011

(Unaudited)

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

LEISURE, AMUSEMENT & ENTERTAINMENT - 1.78%			NATURAL RESOURCES - 3.91%
International Game Technology	$	567,670	ArcelorMittal	$	529,627
Savage Sports Holding, Inc.		1,645,088	Headwaters, Inc.		305,000
		2,212,758	Kinder Morgan Energy LP		1,999,893
MACHINERY - 7.15%			Intrepid Potash, Inc.		6,442
A S A P Industries LLC		865,331	XCEL Energy Inc.		1,999,883
Davis-Standard LLC		1,167,290			4,840,845
E S P Holdco, Inc.		1,270,485	OIL & GAS - 3.50%
M V I Holding, Inc.		593,495	Coffeyville Resources LLC		67,425
Motion Controls Holdings		989,915	Ensco PLC		597,793
NetShape Technologies, Inc.		449,031	International Offshore Services LLC		1,417,167
Pacific Consolidated Holdings LLC		638,953	MBWS Ultimate Holdco, Inc.		1,301,184
Power Services Holding Company		1,320,652	Precision Drilling Corporation		257,500
R E I Delaware Holding, Inc.		1,399,617	Total E & S, Inc.		703,959
Safety Speed Cut Manufacturing Company, Inc.		164,736			4,345,028
		8,859,505	PHARMACEUTICALS - 1.42%
MEDICAL DEVICES/BIOTECH - 4.59%			CorePharma LLC		1,513,301
Coeur, Inc.		678,200	Valeant Pharmaceuticals International		242,500
E X C Acquisition Corporation		44,894			1,755,801
ETEX Corporation		-	RETAIL STORES - 0.01%
Health Managment Assocation		258,125	Rue21, Inc.		10,063
MedSystems Holdings LLC		756,380
MicroGroup, Inc.		1,137,436	TECHNOLOGY - 1.89%
NT Holding Company		985,320	First Data Corporation		250,000
OakRiver Technology, Inc.		340,302	Sencore Holding Company		654,231
Precision Wire Holding Company		1,489,458	Smart Source Holdings LLC		1,444,808
TherOX, Inc.		-			2,349,039
		5,690,115	TELECOMMUNICATIONS - 1.50%
MINING, STEEL, IRON & NON-PRECIOUS			All Current Holding Company		731,428
METALS - 1.74%			Centurytel, Inc.		523,513
Alcoa, Inc.		634,032	Juniper Networks, Inc.		98,751
FMG Resources		259,375	Sprint Nextel Corporation		501,875
T H I Acquisition, Inc.		1,266,679			1,855,567
		2,160,086	TRANSPORTATION - 1.81%
			ERAC USA Finance Company		1,999,903
			Hertz Corporation		247,813
			NABCO, Inc.		-
					2,247,716

CONSOLIDATED SCHEDULE OF INVESTMENTS (CONTINUED)
March 31, 2011

(Unaudited)

	Fair Value/
Industry Classification: (Continued)	Market Value

WASTE MANAGEMENT/POLLUTION - 1.27%
Allied Waste NA	$	521,875
Clean Harbors, Inc.		21,225
Terra Renewal LLC		1,032,408
Torrent Group Holdings, Inc.		-
		1,575,508

Total Investments - 106.46%	$	131,992,795

See Notes to Consolidated Financial Statements

INCOME TAX INFORMATION

The aggregate cost of investments is substantially the same for financial reporting and federal income tax purposes as of March 31, 2011. The net unrealized depreciation of investments for financial reporting purposes as of March 31, 2011 is $8,939,411 and consists of $11,023,378 appreciation and $19,962,789 depreciation.

Net unrealized depreciation on the Statement of Assets and Liabilities reflects the balance net of a deferred tax liability of $429,196 on net unrealized gains in the MMPI Subsidiary Trust.

FAIR VALUE MEASUREMENTS

In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“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 March 31, 2011:

Assets:	Total		Level 1		Level 2		Level 3
Restricted Securities
Corporate Bonds	$	93,051,999	$	-	$	3,025,190	$	90,026,809
Common Stock - U.S.		8,816,024		-		-		8,816,024
Preferred Stock		5,257,439		-		-		5,257,439
Partnerships and LLCs		4,999,593		-		-		4,999,593
Public Securities
Corporate Bonds		13,511,653		-		13,511,653		-
Common Stock - U.S.		356,408		356,408		-		-
Preferred Stock		-		-		-		-
Short-term Securities		5,999,679		-		5,999,679		-
Total	$	131,992,795	$	356,408	$	22,536,522	$	109,099,865

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

																	Unrealized
					Total gains												gains & losses
	Beginning		Accrued		or losses								Transfers in		Ending		in net income
	balance		discounts/		realized/								and/or		balance at		from assets
Assets:	at 12/31/2010		premium		unrealized			Purchases		Sales			out of Level 3		03/31/2011		still held
Restricted Securities
Corporate Bonds	$	91,475,704	$	157,403	$	(1,108,521	)	$	3,830,903	$	(4,328,680	)	$	-	$	90,026,809	$	(1,221,562	)
Common Stock - U.S.		7,253,164		-		1,318,391			263,171		(18,702	)		-		8,816,024		1,312,514
Preferred Stock		4,615,621		-		313,468			328,350		-			-		5,257,439		313,468
Partnerships and LLCs		4,162,642		-		756,531			125,000		(44,580	)		-		4,999,593		711,951
	$	107,507,131	$	157,403	$	1,279,869		$	4,547,423	$	(4,391,962	)	$	-	$	109,099,865	$	1,116,371

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 May 31, 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 May 31, 2011

By (Signature and Title)*

/s/ James M. Roy

James M. Roy, Vice President and

Chief Financial Officer

Date May 31, 2011

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