N-CSR 1 formn-csr_14149.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-2183 --------------------------------------------- MassMutual Corporate Investors -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1500 Main Street, Suite 600, Springfield, MA 01115 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Stephen L. Kuhn, Vice President and Secretary 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: 12/31/05 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORT TO STOCKHOLDERS. Attached hereto is the annual shareholder report transmitted to shareholders pursuant to Rule 30e-1 of the Investment Company Act of 1940, as amended. ================================================================================ 2005 Annual Report [LOGO] MassMutual Corporate Investors ================================================================================ MassMutual Corporate Investors MASSMUTUAL CORPORATE INVESTORS c/o Babson Capital Management LLC 1500 Main Street, Suite 600 Springfield, Massachusetts 01115 (413) 226-1516 http://www.babsoncapital.com/mci ADVISER Babson Capital Management LLC 1500 Main Street Springfield, Massachusetts 01115 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP Boston, Massachusetts 02110 COUNSEL TO THE TRUST Ropes & Gray LLP Boston, Massachusetts 02110 CUSTODIAN Citibank, N.A. New York, New York 10043 TRANSFER AGENT & REGISTRAR Shareholder Financial Services, Inc. P.O. Box 173673 Denver, Colorado 80217-3673 1-800-647-7374 ------ MCI Listed NYSE ------ PROXY VOTING POLICIES & PROCEDURES; PROXY VOTING RECORD The Trustees of MassMutual Corporate Investors have delegated proxy voting responsibilities relating to the voting of securities held by the Trust to Babson Capital Management LLC. A description of Babson Capital's proxy voting policies and procedures is available (1) without charge, upon request, by calling, toll-free 866-399-1516; (2) on MassMutual Corporate Investors' website: http://www.babsoncapital.com/mci; and (3) on the U.S. Securities and Exchange Commission ("SEC") website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (1) on MassMutual Corporate Investors' website: http://www.babsoncapital.com/mci; and (2) on the SEC's website at http://www.sec.gov. FORM N-Q MassMutual Corporate Investors files its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. This information is available (i) on the U.S. Securities and Exchange Commission's website at http://www.sec.gov; and (ii) at the U.S. Securities and Exchange Commission's Public Reference Room in Washington, DC (which information on their operation may be obtained by calling 1-800-SEC-0330). A complete schedule of portfolio holdings as of each quarter-end is available upon request by calling, toll-free, 866-399-1516. MASSMUTUAL CORPORATE INVESTORS MassMutual Corporate Investors is a closed-end investment company, first offered to the public over 30 years ago, whose shares are traded on the New York Stock Exchange. MassMutual Corporate Investors INVESTMENT OBJECTIVE & POLICY MassMutual Corporate Investors (the "Trust") is a closed-end investment company, first offered to the public in 1971, whose shares are traded on the New York Stock Exchange under the trading symbol "MCI". The Trust's share price can be found in the financial section of most newspapers as "MassCp" or "MassMuInv" under either the New York Stock Exchange listings or Closed-End Fund listings. The Trust's investment objective is to maintain a portfolio of securities providing a fixed yield and at the same time offering an opportunity for capital gains. The Trust's principal investments are privately placed, below-investment grade, long-term corporate debt obligations with equity features such as warrants, conversion rights, or other equity features and, occasionally, preferred stocks. The Trust typically purchases these investments, which are not publicly tradable, directly from their issuers, which tend to be smaller companies. In addition, the Trust may temporarily invest, subject to certain limitations, in marketable investment grade debt securities, other marketable debt securities (including high yield securities) and marketable common stocks. Babson Capital Management LLC ("Babson Capital") manages the Trust on a total return basis. The Trust distributes substantially all of its net income to shareholders each year. Accordingly, the Trust pays dividends to shareholders quarterly in January, May, August, and November. The Trust pays dividends to its shareholders in cash, unless the shareholder elects to participate in the Dividend Reinvestment and Share Purchase Plan. In this report you will find a complete listing of the Trust's holdings. We encourage you to read this section carefully for a better understanding of the Trust. We cordially invite all share-holders to attend the Trust's Annual Meeting of Shareholders, which will be held on April 21, 2006 at 2:00 P.M. in Springfield, Massachusetts. -------------------------------------------------------------------------------- Portfolio Composition as of 12/31/05* -------------------------------------------------------------------------------- [PIE CHART APPEARS HERE] Public High Yield Debt 33% Public Equity 4% Private High Yield Debt 38% Cash & Short Term Investments 11% Private/Restricted Equity 13% Private Investment Grade Debt 1% *BASED ON VALUE OF TOTAL INVESTMENTS 1 MassMutual Corporate Investors To Our Shareholders As the Trust announced in July, Stuart H. Reese stepped down as a Trustee and Chairman of the Board of Trustees as a result of his new position as President and CEO of Massachusetts Mutual Life Insurance Company ("MassMutual"). Roger W. Crandall, the Trust's former President, was appointed as a Trustee and elected to replace Mr. Reese as Chairman of the Board of Trustees. Additionally, I was elected to succeed Mr. Crandall as President of the Trust. I am pleased to share with you the Trust's Annual Report for the year ended December 31, 2005. We cordially invite all shareholders to attend the MassMutual Corporate Investors Annual Meeting of Shareholders, which will be held on April 21, 2006 at 2:00 P.M. in Springfield, Massachusetts. [PHOTO OF PRESIDENT AND CHAIRMAN APPEARS HERE] LEFT TO RIGHT: Clifford M. Noreen PRESIDENT Roger W. Crandall CHAIRMAN 2 MassMutual Corporate Investors -------------------------------------------------------------------------------- Total Annual Portfolio Return (as of 12/31 each year)* -------------------------------------------------------------------------------- [BAR CHART APPEARS HERE] Lehman Brothers Intermediate MassMutual Corporate Standard & Poor's U.S. Credit Index Investors (Based on Industrials Composite (Formerly called the change in the net (Formerly called the Lehman Brothers asset value with Standard & Poor's Intermediate reinvested dividends) Industrial Price Index) Corporate Bond Index) 2005 20.04% 2005 3.98% 2005 1.42% 2004 22.76% 2004 10.20% 2004 4.08% 2003 22.61% 2003 28.34% 2003 6.91% 2002 4.80% 2002 -23.51% 2002 10.14% 2001 5.91% 2001 -11.67% 2001 9.77% 2000 7.28% 2000 -16.26% 2000 9.46% 1999 7.53% 1999 25.89% 1999 0.16% 1998 17.12% 1998 33.77% 1998 8.29% 1997 27.14% 1997 31.04% 1997 8.36% 1996 15.42% 1996 23.03% 1996 3.97% *DATA FOR MASSMUTUAL CORPORATE INVESTORS (THE "TRUST") REPRESENTS PORTFOLIO RETURNS BASED ON CHANGE IN THE TRUST'S NET ASSET VALUE ASSUMING THE REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS WHICH DIFFERS FROM THE TOTAL INVESTMENT RETURN BASED ON MARKET VALUE DUE TO THE DIFFERENCE BETWEEN THE TRUST'S NET ASSET VALUE AND THE MARKET VALUE OF ITS SHARES OUTSTANDING (SEE PAGE 12 FOR TOTAL INVESTMENT RETURN BASED ON MARKET VALUE); PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. [PHOTO OF OFFICERS APPEARS HERE] LEFT TO RIGHT: James M. Roy VICE PRESIDENT & CHIEF FINANCIAL OFFICER Stephen L. Kuhn VICE PRESIDENT, SECRETARY & CHIEF LEGAL OFFICER 3 MassMutual Corporate Investors [PHOTO APPEARS HERE] THE TRUST'S 2005 PORTFOLIO PERFORMANCE The Trust's total portfolio rate of return for 2005 was 20.04%, as measured by the change in net asset value, assuming the reinvestment of all dividends and distributions. The Trust's total net assets were $236,275,418, or $26.06 per share, as of December 31, 2005, compared to $218,505,148, or $24.34 per share, as of December 31, 2004. The Trust paid a quarterly dividend of 46 cents per share each quarter in 2005, with the fourth quarter dividend paid in January 2006. In addition, the Trust declared a special year-end dividend of 45 cents per share paid in January 2006 to shareholders of record on December 30, 2005, bringing total dividends for the year to $2.29. All in all, we are very pleased with the Trust's 2005 portfolio performance. The table shown below lists the average annual net returns of the Trust's portfolio, based on the change in net assets, assuming the reinvestment of all dividends and distributions, compared to the average annual returns of selected equity and fixed income market indices for the 1, 3, 5, and 10 years ended December 31, 2005. The U.S. economy and investment markets weathered the storms - both literally and figuratively - of 2005, as the economy remained healthy despite dramatic events. The most devastating hurricane in U.S. history - Katrina - caused oil prices to spike to over $70 a barrel in August before settling back to $60 by December; natural gas prices are also up. Short-term interest rates were raised eight times during the year by the Federal Reserve Board (the "Fed") for a total increase of 2 percent. Lehman Lehman Standard Brothers Brothers & Poor's The U.S. Corporate Intermediate Industrials Russell Trust High Yield Index U.S. Credit Index* Composite** 2000 Index -------------------------------------------------------------------------------- 1 Year 20.04% 2.74% 1.42% 3.98% 4.55% 3 Year 21.80% 13.77% 4.11% 13.72% 22.13% 5 Year 14.93% 8.85% 6.41% -0.14% 8.22% 10 Year 14.80% 6.54% 6.20% 8.47% 9.26% PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. * FORMERLY CALLED THE LEHMAN BROTHERS INTERMEDIATE CORPORATE BOND INDEX. ** FORMERLY CALLED THE STANDARD & POOR'S INDUSTRIAL PRICE INDEX. 4 MassMutual Corporate Investors While historically events such as these have had a negative economic impact, indications are that the U.S. economy remains strong and is improving. The unemployment rate in 2005 dropped to 5 percent from 5.4 percent the previous year. Core inflation is about 2 percent and the value of the dollar versus several other currencies improved after three years of decline. U.S. Gross Domestic Product has grown at an annualized rate of more than 4 percent during the past two years. Investors continue to witness a strong corporate-credit market in 2005. Corporate credit defaults around the globe continued their downward trend for the fourth consecutive year, as reported by Moody's Investors Service. Moody's global issuer-weighted speculative-grade default rate finished the year at 1.9 percent, down from 2.3 percent in 2004 and its lowest level since 1997. Moody's expects the default rate to climb this year, but still stay below the rate's historical annual average of 4.9 percent. Overall, the Trust closed 13 new private placement transactions during 2005 and invested additional capital in three existing private placement investments, fewer than in 2004 but consistent with activity of prior years. New private placement transactions during the year were: AmerCable, Inc.; Arrow Tru-Line Holdings, Inc.; C & J Spec-Rent GRAPHIC OMITTED] Services, Inc.; Connor Sport Court International, Inc.; Consolidated Foundries Holdings; CorePharma LLC; ITC^DeltaCom, Inc.; MicroGroup, Inc.; O R S Nasco Holding, Inc.; Tangent Rail Corporation; Terra Renewal Services, Inc.; Transtar Holding Company; and Truck Bodies & Equipment International. In addition, the Trust added to existing private placement investments in Augusta Sportswear Holding Co.; Directed Electronics, Inc.; and Moss, Inc. The Trust also had realizations in over 16 private placement investments. [PHOTO APPEARS HERE] 5 MassMutual Corporate Investors The Outlook for 2006 There are no clear signals that identify prospects for 2006. There is room for optimism in that the Fed presently indicates it does not expect to continue to raise interest rates, which are still low by historical standards. The economy continues to chug along at better-than-expected growth rates, but a return to more normal growth seems likely if inflation is to remain muted. Consumer confidence remains strong, but higher energy prices and cooling of the housing market may slow consumer spending. The rising global demand for energy continues to push prices up. Geopolitical risk worldwide and instability and conflict in the Middle East could create new problems at any time. As always, no one can predict the future with any degree of certainty. Indications are that merger and acquisition activity could be high in 2006. Last year was the world's most active merger and acquisition environment since 2000, with some $1.3 trillion in announced deals in the U.S. alone, according to Thomson Financial. Private equity firms raised a record $86.2 billion in 2005, and are expected to put that to work in 2006. Many corporations also have strong cash positions as well. The market for deals in the coming year will be very competitive, requiring investors to fully scrutinize each opportunity. Regardless of the economic environment, however, the Trust continues to repeatedly employ the investment philosophy and process that has served it well since its inception: investing in companies which we believe have a strong business model, solid cash flow, reasonable financial leverage, and experienced, ethical management. This philosophy, combined with Babson Capital's seasoned investment-management team and the Trust's financial position, contribute to the Trust being well positioned for future investment opportunities that meet its investment objectives and policies. As always, I would like to thank you for your continued interest in and support of MassMutual Corporate Investors. Sincerely, CAUTIONARY NOTICE: CERTAIN STATEMENTS CONTAINED IN THIS REPORT /s/ Clifford M. Noreen TO SHAREHOLDERS MAY BE "FORWARD LOOKING" STATEMENTS WITHIN THE Clifford M. Noreen, MEANING OF THE PRIVATE SECURITIES PRESIDENT LITIGATION ACT OF 1995. THESE STATEMENTS ARE NOT GUARANTEES OF FUTURE PERFORMANCE AND ACTUAL RESULTS MAY DIFFER MATERIALLY FROM THOSE FORECASTED. -------------------------------------------------------------------------------- 2005 Record Net Investment Short-Term Ordinary Long-Term Dividends Date Income Gains Income Gains -------------------------------------------------------------------------------- Regular 05/02/05 $0.4370 -- $0.0230 07/29/05 0.4600 -- -- 10/31/05 0.4600 -- -- 12/30/05 0.4600 -- -- Special 12/30/05 0.2880 $0.1620 -- -------------------------------------------------------------------------------- $2.1050 $0.1620 $2.2670 $0.0230 -------------------------------------------------------------------------------- The following table summarizes the tax effects of the retention of capital gains for 2005: Amount Per Share Form 2439 -------------------------------------------------------------------------------- 2005 Gains Retained 2.0578 Line 1a Long-Term Gains Retained 2.0578 Taxes Paid 0.7202 Line 2* Basis Adjustment 1.3376 ** -------------------------------------------------------------------------------- * IF YOU ARE NOT SUBJECT TO FEDERAL CAPITAL GAINS TAX (E.G., CHARITABLE ORGANIZATIONS, IRAS AND KEOGH PLANS), YOU MAY BE ABLE TO CLAIM A REFUND BY FILING FORM 990-T. ** FOR FEDERAL INCOME TAX PURPOSES, YOU MAY INCREASE THE ADJUSTED COST BASIS OF YOUR SHARES BY THIS AMOUNT (THE EXCESS OF LINE 1A OVER LINE 2).
Qualified for Dividend Interest Earned on Annual Dividend Received Deduction*** Qualified Dividends**** U.S. Gov't. Obligations Amount Per Share Percent Amount Per Share Percent Amount Per Share Percent Amount Per Share ------------------------------------------------------------------------------------------------------------------- $2.29 10.6603% 0.2245 10.6603% 0.2245 0.0000% 0.0000
*** NOT AVAILABLE TO INDIVIDUAL SHAREHOLDERS **** QUALIFIED DIVIDENDS ARE REPORTED IN BOX 1B ON IRS FORM 1099-DIV FOR 2005 6 Financial Report Consolidated Statement of Assets and Liabilities ........................ 8 Consolidated Statement of Operations .................................... 9 Consolidated Statement of Cash Flows .................................... 10 Consolidated Statements of Changes in Net Assets ........................ 11 Consolidated Selected Financial Highlights .............................. 12 Consolidated Schedule of Investments .................................... 13-34 Notes to Consolidated Financial Statements .............................. 35-39 Report of Independent Registered Public Accounting Firm ................. 40 Interested Trustees ..................................................... 41-42 Independent Trustees .................................................... 43-45 Officers of the Trust ................................................... 46 MassMutual Corporate Investors CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES December 31, 2005
ASSETS: Investments (See Consolidated Schedule of Investments) Corporate restricted securities at fair value (Cost - $158,552,125) $156,952,826 Corporate public securities at market value (Cost - $75,726,792) 80,679,144 Short-term securities at amortized cost 24,114,873 ------------ 261,746,843 ------------ Cash 5,461,450 Interest and dividends receivable 5,022,716 Receivable for investments sold 917,105 Other assets 49,175 ------------ TOTAL ASSETS 273,197,289 ------------ LIABILITIES: Dividend payable 8,249,107 Investment advisory fee payable 738,361 Note payable 20,000,000 Interest payable 187,711 Accrued expenses 174,226 Accrued taxes payable 7,572,466 ------------ TOTAL LIABILITIES 36,921,871 ------------ TOTAL NET ASSETS $236,275,418 ============ NET ASSETS: Common shares, par value $1.00 per share; an unlimited number authorized $ 9,064,953 Additional paid-in capital 105,714,236 Retained net realized gain on investments, prior years 103,192,438 Undistributed net investment income 1,848,444 Accumulated net realized gain on investments 13,377,866 Net unrealized appreciation of investments 3,077,481 ------------ TOTAL NET ASSETS $236,275,418 ------------ COMMON SHARES ISSUED AND OUTSTANDING 9,064,953 ------------ NET ASSET VALUE PER SHARE $ 26.06 ============
See Notes to Consolidated Financial Statements. 8 MassMutual Corporate Investors CONSOLIDATED STATEMENT OF OPERATIONS For the year ended December 31, 2005
INVESTMENT INCOME: Interest $ 22,396,630 Dividends 1,743,827 ------------ TOTAL INVESTMENT INCOME 24,140,457 ------------ EXPENSES: Investment advisory fees (net of fee waiver of $59,757) (See footnote 3) 3,197,680 Interest 1,686,617 Trustees' fees and expenses 180,000 Transfer agent/registrar's expenses 48,000 Reports to shareholders 120,000 Legal fees 300,000 Audit fees 127,600 Other 30,513 ------------ TOTAL EXPENSES 5,690,410 ------------ Investment income before income tax expense 18,450,047 ------------ Income tax expense (78,950) ------------ INVESTMENT INCOME - NET 18,371,097 ------------ NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS: Net realized gain on investments before taxes 22,753,735 Income tax expense (7,222,108) ------------ Net realized gain on investments 15,531,627 ------------ Net change in unrealized appreciation of investments before taxes 2,475,087 Deferred income tax expense (275,572) ------------ Net change in unrealized appreciation of investments 2,199,515 ------------ NET GAIN ON INVESTMENTS 17,731,142 ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 36,102,239 ============
See Notes to Consolidated Financial Statements. 9 MassMutual Corporate Investors CONSOLIDATED STATEMENT OF CASH FLOWS For the year ended December 31, 2005
NET INCREASE IN CASH: Cash flows from operating activities: Interest and dividends received $ 21,772,099 Interest expense paid (1,709,218) Operating expenses paid (3,931,912) Income taxes paid (2,215,814) ------------ NET CASH PROVIDED BY OPERATING ACTIVITIES 13,915,155 ------------ Cash flows from investing activities: Purchases/Proceeds/Maturities from short-term portfolio securities, net (21,532,330) Purchase of portfolio securities (84,722,348) Proceeds from disposition of portfolio securities 118,940,754 ------------ NET CASH PROVIDED BY INVESTING ACTIVITIES 12,686,076 ------------ NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES 26,601,231 ============ Cash flows from financing activities: Repayment of borrowings on Revolving Credit Agreement (See footnote 4) (9,000,000) Cash dividends paid from net investment income (19,102,875) Receipts for shares issued on reinvestment of dividends 2,375,977 ------------ NET CASH USED FOR FINANCING ACTIVITIES (25,726,898) ------------ NET INCREASE IN CASH 874,333 Cash - beginning of year 4,587,117 ------------ CASH - END OF YEAR $ 5,461,450 ============ RECONCILIATION OF NET INCREASE IN NET ASSETS TO NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES: NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 36,102,239 ------------ Increase in investments (14,520,605) Increase in interest and dividends receivable (1,309,855) Decrease in receivable for investments sold 1,078,530 Increase in other assets (49,175) Decrease in payable for investments purchased (110,000) Increase in investment advisory fee payable 112,286 Decrease in interest payable (22,601) Decrease in accrued expenses (40,404) Increase in accrued taxes payable 5,360,816 ------------ TOTAL ADJUSTMENTS TO NET ASSETS FROM OPERATIONS (9,501,008) ------------ NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES $ 26,601,231 ============
See Notes to Consolidated Financial Statements. 10 MassMutual Corporate Investors CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS For the years ended December 31, 2005 and 2004
2005 2004 ------------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS: Operations: Investment income - net $ 18,371,097 $ 17,949,347 Net realized gain on investments 15,531,627 4,654,719 Net change in unrealized appreciation of investments 2,199,515 19,012,223 -------------- -------------- Net increase in net assets resulting from operations 36,102,239 41,616,289 -------------- -------------- Increase from common shares issued on reinvestment of dividends Common shares issued (2005 - 86,526; 2004 - 105,634) 2,375,977 2,432,514 Dividends to shareholders from: Net investment income (2005 - $2.11 per share; 2004 - $2.16 per share) (19,033,162) (19,329,769) Net realized gains on investments (2005 - $.18 per share) (1,674,784) -- -------------- -------------- TOTAL INCREASE IN NET ASSETS 17,770,270 24,719,034 -------------- -------------- NET ASSETS, BEGINNING OF YEAR 218,505,148 193,786,114 -------------- -------------- NET ASSETS, END OF YEAR $ 236,275,418 $ 218,505,148 ============== ==============
See Notes to Consolidated Financial Statements. 11 MassMutual Corporate Investors CONSOLIDATED SELECTED FINANCIAL HIGHLIGHTS
Selected data for each share of beneficial interest outstanding: For the years ended December 31, 2005 2004 2003 2002 2001 ------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE: BEGINNING OF YEAR $ 24.34 $ 21.84 $ 19.40 $ 20.07 $ 20.74 -------- -------- -------- -------- -------- Net investment income+ 2.03 2.00 1.44 1.53 1.70 Net realized and unrealized gain (loss) on investments 1.96** 2.64 2.83 (0.59) (0.53) Total from investment operations 3.99 4.64 4.27 0.94 1.17 -------- -------- -------- -------- -------- Dividends from net investment income to common shareholders (2.11) (2.16) (1.84) (1.44) (1.79) Distributions from net realized gain on investments to common shareholders (0.18) 0.00 0.00 (0.18) (0.09) Change from issuance of shares 0.02 0.02 0.01 0.01 0.04 Total distributions (2.27) (2.14) (1.83) (1.61) (1.84) -------- -------- -------- -------- -------- NET ASSET VALUE: END OF YEAR $ 26.06 $ 24.34 $ 21.84 $ 19.40 $ 20.07 -------- -------- -------- -------- -------- PER SHARE MARKET VALUE: END OF YEAR $ 30.05 $ 28.50 $ 22.90 $ 19.49 $ 20.70 ======== ======== ======== ======== ======== Total investment return Market value 16.95% 36.10% 27.53% 1.35% 1.88% Net asset value* 20.04% 22.76% 22.61% 4.80% 5.91% Net assets (in millions): End of year $ 236.28 $ 218.51 $ 193.79 $ 171.03 $ 175.11 Ratio of operating expenses to average net assets 1.78% 1.93% 2.04% 1.82% 1.72% Ratio of interest expense to average net assets 0.73% 0.77% 0.82% 0.86% 0.84% Ratio of total expenses to average net assets 2.51% 2.70% 2.86% 2.68% 2.56% Ratio of net investment income to average net assets 7.98% 8.68% 6.95% 7.65% 8.20% Portfolio turnover 35.22% 53.45% 56.10% 34.02% 24.48%
+ Calculated using average shares. * Net asset value return represents portfolio returns based on change in the Trust's net asset value assuming the reinvestment of all dividends and distributions which differs from the total investment return based on the Trust's market value due to the difference between the Trust's net asset value and the market value of its shares outstanding; past performance is no guarantee of future results. ** Amount includes $0.19 per share in litigation proceeds (See Footnote 8). See Notes to Consolidated Financial Statements. 12 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities - 66.43%:(A) Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- Private Placement Investments - 59.10% A T I ACQUISITION COMPANY A for-profit post-secondary school serving students in Texas, Florida and Arizona. 12% Senior Subordinated Note due 2012 $ 2,125,000 04/08/04 $ 2,125,000 $ 1,995,698 Warrant, exercisable until 2012, to purchase common stock at $.02 per share (B) 2,323 shs. 04/08/04 -- 23 ------------- ------------- 2,125,000 1,995,721 ------------- ------------- A W C HOLDING COMPANY A manufacturer and distributor of aluminum and vinyl windows and doors in the Southwest and Southeast regions of the U.S. 12% Senior Subordinated Note due 2012 $ 2,125,000 05/18/04 1,938,786 2,162,757 Limited Partnership Interest of AW C Investments LLC (B) 1.40% int. 05/18/04 212,500 579,780 ------------- ------------- 2,151,286 2,742,537 ------------- ------------- ADORN, INC. A manufacturer of wall panels, cabinets, moldings and countertops for houses and recreational vehicles. 12.5% Subordinated Note due 2010 $ 2,125,000 02/29/00 1,967,588 2,125,000 Warrant, exercisable until 2010, to purchase common stock at $.02 per share (B) 364 shs. 02/29/00 307,759 523,541 ------------- ------------- 2,275,347 2,648,541 ------------- ------------- AMERCABLE, INC. A manufacturer of electric power, instrumentation and control cables, primarily for the mining and oil and gas industries. 12% Senior Subordinated Note due 2013 $ 1,101,852 04/08/05 1,039,443 1,110,293 Limited Partnership Interest (B) 0.36% int. 04/07/05 78,704 70,830 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 125 shs. 04/08/05 122,463 1 ------------- ------------- 1,240,610 1,181,124 ------------- ------------- AMERICAN HOSPICE MANAGEMENT HOLDING LLC A for-profit hospice care provider in the United States. 12% Senior Subordinated Note due 2010 $ 2,125,000 01/22/04 1,916,881 2,160,598 Preferred Class A Unit (B) 2,525 uts. 01/22/04 252,500 227,250 Common Class B Unit 3,042 uts. 01/22/04 -- 291,648 ------------- ------------- 2,169,381 2,679,496 ------------- ------------- 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 $ 1,627,660 05/18/05 1,521,732 1,624,105 Common Stock (B) 497 shs. 05/18/05 497,340 447,606 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 130 shs. 05/18/05 112,128 1 ------------- ------------- 2,131,200 2,071,712 ------------- -------------
13 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- AUGUSTA SPORTSWEAR HOLDING CO. A manufacturer and distributor of athletic apparel, activewear and team uniforms. 12% Senior Subordinated Note due 2012 $ 1,686,800 12/31/04 $ 1,576,271 $ 1,719,049 Common Stock (B) 493 shs. * 492,975 443,682 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 137 shs. 12/31/04 119,482 1 ------------- ------------- * 12/31/04 and 03/31/05 2,188,728 2,162,732 ------------- ------------- BEACON MEDICAL PRODUCTS, INC. A designer, manufacturer and marketer of medical air and gas distribution systems. 8.08% Senior Secured Revolving Credit Facility due 2007 (C) $ 230,636 04/09/02 230,636 231,084 8.08% Senior Secured Tranche A Note due 2008 (C) $ 644,961 04/09/02 644,961 644,961 12% Senior Secured Note due 2010 $ 721,196 04/09/02 634,278 750,044 Limited Partnership Interest of Riverside Capital Appreciation Fund IV, L.P. (B) 8.91% int. 04/09/02 152,329 245,298 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 1,390 shs. 04/09/02 127,497 223,777 ------------- ------------- 1,789,701 2,095,164 ------------- ------------- BETA BRANDS LTD. A manufacturer of hard candy and chocolate-coated products sold primarily to the Canadian market. 5% Promissory Note due 2009 (B) $ 195,498 03/31/04 195,498 -- Warrant, exercisable until 2009, to purchase common stock at $.01 per share (B) 4,895 shs. 03/31/04 1 -- ------------- ------------- 195,499 -- ------------- ------------- BETTER MINERALS & AGGREGATES A producer of high grade industrial and specialty silica sands. 14% Redeemable Preferred Stock (B) 997 shs. 09/30/99 545,858 108,991 Convertible Preferred Stock Series A and B, convertible into common stock at $9.26 per share (B) 126,003 shs. 12/19/96 1,166,700 -- Common Stock (B) 24,945 shs. 09/30/99 927,440 -- Warrants, exercisable until 2010 to purchase common stock at $.01 per share (B) 6,481 shs. * 130 -- ------------- ------------- *12/19/96 and 09/30/99. 2,640,128 108,991 ------------- ------------- C & J SPEC-RENT SERVICES, INC. A provider of coiled tubing and pressure pumping services to the oil and gas industry in Texas and Louisiana. 10% Senior Secured Term Note due 2012 $ 1,551,492 08/12/05 1,551,492 1,560,815 14% Senior Subordinated Note due 2013 $ 1,128,358 08/12/05 1,024,878 1,122,366 Common Stock (B) 470,150 shs. 08/12/05 470,150 423,135 Warrants, exercisable until 2013, to purchase common stock at $.01 per share (B) 86,716 shs. 08/12/05 106,592 867 ------------- ------------- 3,153,112 3,107,183 ------------- -------------
14 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- C & M CONVEYOR, INC. A manufacturer and supplier of material handling systems to the corrugated sheet and container industry. 9.5% Senior Secured Term Note due 2007 $ 759,036 09/13/02 $ 759,036 $ 761,233 11% Senior Subordinated Note due 2010 $ 838,102 09/13/02 805,548 844,160 Common Stock (B) 316,265 shs. 09/13/02 316,265 474,398 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 137,175 shs. 09/13/02 60,250 205,763 ------------- ------------- 1,941,099 2,285,554 ------------- ------------- CAINS FOODS, L.P. A producer of mayonnaise and sauce products for both the retail and food service markets. Limited Partnership Interest 12.97% int. 09/29/95 158,369 1,000,912 ------------- ------------- CAPESUCCESS LLC A provider of diversified staffing services. Preferred Membership Interests (B) 1,882 uts. 04/29/00 8,396 420 Common Membership Interests (B) 24,318 uts. 04/29/00 108,983 5,442 ------------- ------------- 117,379 5,862 ------------- ------------- CAPITAL SPECIALTY PLASTICS, INC. A producer of desiccant strips used for packaging pharmaceutical products. Common Stock (B) 109 shs. * 503 2,156 ------------- ------------- *12/30/97 and 05/29/99. COEUR, INC. A producer of proprietary, disposable power injection syringes. 8.75% Senior Secured Term Note due 2010 $ 570,652 04/30/03 570,652 574,740 11.5% Senior Subordinated Note due 2011 $ 424,819 04/30/03 393,154 430,680 Common Stock (B) 126,812 shs. 04/30/03 126,812 114,131 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 87,672 shs. 04/30/03 40,804 877 ------------- ------------- 1,131,422 1,120,428 ------------- ------------- COINING CORPORATION OF AMERICA LLC A manufacturer of close tolerance parts and metal stampings. 9.25% Senior Secured Revolving Credit Facility due 2006 (C) $ 162,037 01/07/02 162,037 159,963 9.25% Senior Secured Tranche A Note due 2007 (C) $ 846,307 06/26/01 846,307 812,902 13% Senior Secured Tranche B Note due 2006 $ 648,148 06/26/01 648,148 631,709 Limited Partnership Interest (B) 6.38% int. 06/26/01 324,074 259,259 Warrant, exercisable until 2008, to purchase common stock at $.01 per share (B) 107,036 shs. 06/26/01 79,398 1,070 ------------- ------------- 2,059,964 1,864,903 ------------- -------------
15 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- CONNOR SPORT COURT INTERNATIONAL, INC. A designer and manufacturer of outdoor and indoor synthetic sports flooring and other temporary flooring products. 12% Senior Subordinated Note due 2012 $ 2,001,121 * $ 1,852,219 $ 1,801,009 Limited Partnership Interest (B) 7.74% int. ** 189,586 151,668 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 174 shs. * 160,233 2 ------------- ------------- *08/12/04 and 01/18/05. **08/12/04 and 01/14/05. 2,202,038 1,952,679 ------------- ------------- CONSOLIDATED FOUNDRIES HOLDINGS A manufacturer of engineered cast metal components for the global aerospace and defense industries. 12% Senior Subordinated Note due 2013 $ 2,185,714 06/15/05 2,089,288 2,193,137 Common Stock (B) 364 shs. 06/15/05 364,286 327,861 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 103 shs. 06/15/05 100,668 1 ------------- ------------- 2,554,242 2,520,999 ------------- ------------- COREPHARMA LLC A manufacturer of oral dose generic pharmaceuticals targeted at niche applications. 12% Senior Subordinated Note due 2013 $ 2,550,000 08/04/05 2,416,555 2,519,891 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 20 shs. 08/04/05 137,166 -- ------------- ------------- 2,553,721 2,519,891 ------------- ------------- CORVEST GROUP, INC. A manufacturer and distributor of promotional products. 12% Senior Subordinated Note due 2007 $ 3,863,636 *** 3,725,752 1,931,818 Common Stock (B) 56 shs. *** 96,591 9,658 Limited Partnership Interest (B) 19.32% int. *** 284,052 28,677 Warrant, exercisable until 2007, to purchase common stock at $.01 per share (B) 324 shs. *** 297,203 55,700 ------------- ------------- ***03/05/99 and 03/24/99. 4,403,598 2,025,853 ------------- ------------- DEXTER MAGNETICS TECHNOLOGIES, INC. A designer, fabricator, assembler and distributor of industrial magnets and subassemblies in North America and Europe. Common Stock (B) 585 shs. 07/19/01 585,145 694,854 Warrant, exercisable until 2006, to purchase common stock at $.01 per share (B) 297 shs. 07/19/01 250,611 352,183 ------------- ------------- 835,756 1,047,037 ------------- ------------- DIRECTED ELECTRONICS, INC. A designer and distributor of brand name automotive security systems, audio products and installation accessories. Common Stock (B) 239,547 shs. 12/19/05 76,530 3,018,290 Limited Partnership Interest (B) 8.70% int. **** 11,903 374,643 ------------- ------------- ****12/22/99 and 09/05/05. 88,433 3,392,933 ------------- -------------
16 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- DIVERSCO, INC./DHI HOLDINGS, INC. A contract provider of janitorial and equipment maintenance services and temporary production labor to industrial customers. Membership Interests of MM/Lincap Diversco Investments Ltd. LLC (B) 27.19% int. 08/27/98 $ 734,090 $ -- Preferred Stock (B) 3,278 shs. 12/14/01 2,784,133 2,505,724 Warrants, exercisable until 2011, to purchase common stock of DHI Holdings, Inc. at $.01 per share (B) 13,352 shs. * 403,427 -- ------------- ------------- *10/24/96 and 08/28/98. 3,921,650 2,505,724 ------------- ------------- DWYER GROUP, INC. A franchiser of a variety of home repair services. 14% Senior Subordinated Note due 2011 $ 1,859,375 10/30/03 1,702,512 1,896,563 Common Stock (B) 6,906 shs. ** 690,600 593,384 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 2,034 shs. 10/30/03 186,469 174,732 ------------- ------------- **10/30/03 and 01/02/04. 2,579,581 2,664,679 ------------- ------------- 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) 22 shs. 06/28/04 77,208 112,746 ------------- ------------- EAGLE PACK PET FOODS, INC. A manufacturer of premium pet food sold through independent pet stores. 14% Senior Subordinated Note due 2011 $ 1,062,500 09/24/04 1,027,520 1,083,750 Warrant, exercisable until 2011, to purchase common stock at $.02 per share (B) 4,085 shs. 09/24/04 39,464 71,896 ------------- ------------- 1,066,984 1,155,646 ------------- ------------- EAST RIVER VENTURES I, L.P. An acquirer of controlling or substantial interests in other entities. Limited Partnership Interest (B) 0.14% int. 01/01/01 26,855 21,706 ------------- ------------- ENZYMATIC THERAPY, INC. A manufacturer and distributor of branded natural medicines and nutritional supplements. Limited Partnership Interest (B) 1.32% int. 03/30/00 531,250 5,313 Warrant, exercisable until 2009, to purchase common stock at $.01 per share (B) 29,117 shs. 03/30/00 255,000 291 ------------- ------------- 786,250 5,604 ------------- ------------- EURO-PRO CORPORATION A designer, marketer and distributor of floor care, steam cleaning and small kitchen products and appliances. 13.25% Senior Subordinated Note due 2011 $ 2,125,000 09/09/03 2,089,359 1,912,500 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 43,878 shs. 09/09/03 35,641 439 ------------- ------------- 2,125,000 1,912,939 ------------- -------------
17 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- EVANS CONSOLES, INC. A designer and manufacturer of consoles and control center systems. Limited Partnership Interest of CM Equity Partners (B) 2.24% int. 02/11/98 $ 128,464 $ -- Common Stock (B) 90,000 shs. 05/06/04 6 -- ------------- ------------- 128,470 -- ------------- ------------- HIGHGATE CAPITAL LLC An acquirer of controlling or substantial interests in manufacturing and marketing entities. Series A Preferred Units (B) 1.22% int. 7/21/94 367,440 2,947 ------------- ------------- HOME DECOR HOLDING COMPANY A designer, manufacturer and marketer of framed art and wall decor products. 12.5% Senior Subordinated Note due 2012 $ 2,043,269 * 1,861,980 2,082,091 Common Stock (B) 63 shs. * 62,742 71,994 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 200 shs. * 199,501 228,926 ------------- ------------- * 06/30/04 and 08/19/04. 2,124,223 2,383,011 ------------- ------------- INTEGRATION TECHNOLOGY SYSTEMS, INC. A manufacturer of steel protective computer and network systems for the industrial and office environments. 12% Senior Secured Note due 2006 $ 1,664,444 03/01/04 1,646,101 1,248,333 Common Stock (B) 228 shs. 06/01/00 262,200 -- ------------- ------------- 1,908,301 1,248,333 ------------- ------------- ITC^DELTACOM, INC. A provider of integrated communications services in the southeastern United States. 12.81% Senior Secured Note due 2009 (C) $ 2,207,053 07/26/05 2,207,053 2,206,391 16.31% Senior Secured Note due 2009 (C) $ 342,947 07/26/05 342,947 343,942 Warrant, exercisable until 2009, to purchase convertible preferred stock at $.01 per share (B) 102,884 shs. 07/26/05 -- 128,605 ------------- ------------- 2,550,000 2,678,938 ------------- ------------- JASON, INC. A diversified manufacturing company serving various industrial markets. 13% Senior Subordinated Note due 2008 $ 963,687 08/04/00 906,973 954,606 14% Cumulative Redeemable Preferred Stock Series A (B) 289 shs. 08/04/00 289,224 283,950 Limited Partnership Interests of Saw Mill Capital Fund II, L.P. (B) 2.50% int. 08/03/00 886,361 709,205 Warrants, exercisable until 2008 and 2009, to purchase common stock at $.01 per share (B) 50,870 shs. 08/04/00 115,412 46,927 ------------- ------------- 2,197,970 1,994,688 ------------- -------------
18 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- JUSTRITE MANUFACTURING ACQUISITION CO. A manufacturer of safety products such as storage cabinets and containers. 12% Senior Subordinated Note due 2011 $ 1,593,750 12/15/04 $ 1,501,814 $ 1,573,201 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 1,121 shs. 12/15/04 101,109 11 ------------- ------------- 1,602,923 1,573,212 ------------- ------------- KEEPSAKE QUILTING, INC. A seller of quilting fabrics, books, patterns, kits and notions to consumers. 7.35% Senior Secured Revolving Note due 2006 (C) $ 36,693 06/16/00 36,693 36,642 7.94% Senior Secured Tranche A Note due 2007 (C) $ 412,794 06/16/00 412,794 410,797 12% Senior Secured Tranche B Note due 2008 $ 550,392 06/16/00 531,008 561,400 Limited Partnership Interest of Riverside XVI Holding Company, L.P. (B) 5.29% int. 6/12/00 333,490 314,456 Warrant, exercisable until 2008, to purchase common stock at $.01 per share (B) 1,108 shs. 6/12/00 45,866 104,459 ------------- ------------- 1,359,851 1,427,754 ------------- ------------- KELE AND ASSOCIATES, INC. A distributor of building automation control products. 12% Senior Subordinated Note due 2012 $ 1,831,548 02/27/04 1,679,825 1,836,296 Preferred Stock (B) 23 shs. 11/24/04 449,164 456,950 Common Stock (B) 12 shs. 02/27/04 12,871 105,184 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 11 shs. 02/27/04 7,793 96,274 ------------- ------------- 2,149,653 2,494,704 ------------- ------------- KEYSTONE NORTH AMERICA, INC. An operator of funeral homes in North America. Common Stock 49,216 shs. 02/08/05 236,709 295,296 ------------- ------------- LIH INVESTORS, L.P. A manufacturer and marketer of a broad line of external accessories for new and used sport utility vehicles, trucks and vans. 12.5% Senior Subordinated Note due 2008 $ 3,845,000 * 3,540,546 3,842,586 Common Stock (B) 5,800 shs. * 406,003 223,300 Warrant, exercisable until 2006, to purchase common stock at $.11 per share (B) 15,572 shs. * 602,127 599,522 ------------- ------------- *12/23/98 and 01/28/99. 4,548,676 4,665,408 ------------- ------------- MAVERICK ACQUISITION COMPANY A manufacturer of capsules that cover the cork and neck of wine bottles. 8.57% Senior Secured Tranche A Note due 2010 (C) $ 763,992 09/03/04 763,992 764,176 12% Senior Secured Tranche B Note due 2011 $ 313,433 09/03/04 278,563 317,032 Limited Partnership Interest (B) 7.84% int. 09/03/04 58,769 52,892 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 425 shs. 09/03/04 39,473 4 ------------- ------------- 1,140,797 1,134,104 ------------- -------------
19 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- MAXON CORPORATION A manufacturer of industrial combustion equipment and related shut-off valves and control valves. 12% Senior Subordinated Note due 2012 $ 962,215 09/30/04 $ 880,361 $ 968,047 8.75% Senior Subordinated Note due 2012 $ 1,281,112 09/30/04 1,281,112 1,298,390 Common Stock (B) 381,672 shs. 09/30/04 381,672 343,505 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 153,572 shs. 09/30/04 90,897 1,536 ------------- ------------- 2,634,042 2,611,478 ------------- ------------- MEDASSIST, INC. A provider of patient eligibility and accounts receivable management services to hospitals and physician practices. 8% Preferred Stock 84 shs. 10/28/04 83,658 85,084 Common Stock 26,185 shs. 10/02/04 35,088 40,534 Warrant, exercisable until 2013, to purchase common stock at $.01 per share 88,948 shs. 05/01/03 40,675 136,891 ------------- ------------- 159,421 262,509 ------------- ------------- 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 $ 2,142,000 08/12/05 2,008,335 2,094,852 Common Stock (B) 408 shs. 08/12/05 408,000 367,200 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 137 shs. 08/12/05 137,088 1 ------------- ------------- 2,553,423 2,462,053 ------------- ------------- MOSS, INC. A manufacturer and distributor of large display and exhibit structures. 8.51% Senior Secured Revolving Note due 2010 (C) $ 41,176 12/21/05 39,118 40,783 8.51% Senior Secured Tranche A Note due 2010 (C) $ 350,000 12/21/05 309,853 350,516 12% Senior Secured Tranche B Note due 2010 $ 1,019,118 12/21/05 1,008,927 1,009,379 Limited Partnership Interest of Riverside Capital Appreciation Fund I, L.P. (B) 33.59% int. * 311,481 389,333 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 214 shs. 12/21/05 36,647 2 ------------- ------------- *09/20/00 and 05/23/02. 1,706,026 1,790,013 ------------- ------------- MUSTANG VENTURES COMPANY A natural gas gathering and processing operation located in Oklahoma and Texas. Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 16,535 shs. 12/11/02 493,501 2,240,544 ------------- ------------- NEFF MOTIVATION, INC. A manufacturer and distributor of customized awards and sportswear to schools. 12.5% Senior Subordinated Note due 2011 $ 1,062,500 01/31/03 921,841 1,094,375 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 212 shs. 01/31/03 180,625 87,555 ------------- ------------- 1,102,466 1,181,930 ------------- -------------
20 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- NONNI'S FOOD COMPANY A producer and distributor of premium biscotti and bagel chips in North America. 12.25% Senior Subordinated Note due 2012 $ 1,863,462 03/29/04 $ 1,856,139 $ 1,887,839 10% Preferred Stock (B) 255 shs. 03/29/04 255,083 258,012 Common Stock (B) 6,455 shs. 03/29/04 6,455 48,025 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 8,622 shs. 03/29/04 7,323 64,080 ------------- ------------- 2,125,000 2,257,956 ------------- ------------- NYLONCRAFT, INC. A supplier of engineered plastic components for the automotive industry. 9% Senior Secured Note due 2009 $ 812,500 01/28/02 812,500 809,203 11.5% Senior Subordinated Note due 2012 $ 1,500,000 01/28/02 1,381,438 1,476,142 Common Stock (B) 312,500 shs. 01/28/02 312,500 213,750 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 243,223 shs. 01/28/02 162,045 164,176 ------------- ------------- 2,668,483 2,663,271 ------------- ------------- O R S NASCO HOLDING, INC. Awholesale distributor of industrial supplies in North America. 13% Senior Subordinated Note due 2013 $ 2,372,732 12/20/05 2,226,504 2,346,438 Common Stock (B) 177,268 shs. 12/20/05 177,268 159,541 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 99,771 shs. 12/20/05 98,773 998 ------------- ------------- 2,502,545 2,506,977 ------------- ------------- OLYMPIC SALES, INC. A boat retailer in Washington state, Oregon, California and British Columbia. 14% Senior Subordinated Note due 2006 $ 2,482,000 08/07/98 2,482,000 2,443,470 12% Senior Subordinated Note due 2008 $ 307,071 02/09/00 294,605 295,942 Limited Partnership Interest of Riverside VIII, VIII-A and VIII-B Holding Company, L.P. 20.57% int. * 1,555,820 1,337,139 Warrants, exercisable until 2007 and 2008, to purchase common stock at $.01 per share (B) 28,648 shs. ** 389,188 88,695 ------------- ------------- *08/07/98, 02/23/99, 12/22/99 and 02/25/03. **08/07/98 and 02/09/00. 4,721,613 4,165,246 ------------- ------------- PARADIGM PACKAGING, INC. A manufacturer of plastic bottles and closures for the nutritional, pharmaceutical, personal care and food packaging markets. 12% Senior Subordinated Note due 2008 $ 2,125,000 12/19/00 1,989,655 2,133,920 Membership Interests of MM/Lincap PPI Investments, Inc., LLC (B) 2.42% int. 12/21/00 265,625 150,741 ------------- ------------- 2,255,280 2,284,661 ------------- -------------
21 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- PRECISION DYNAMICS, INC. A manufacturer of custom-designed solenoid valves and controls. 8% Senior Secured Revolving Credit Facility due 2006 (C) $ 415,650 07/22/96 $ 415,650 $ 415,650 12% Senior Secured Term Note due 2006 $ 326,000 07/22/96 323,883 326,000 8% Preferred Stock 456 shs. 07/22/96 232,046 464,092 Common Stock (B) 599 shs. 07/22/96 28,978 86,934 Warrant, exercisable until 2006, to purchase common stock at $.01 per share (B) 322 shs. 07/22/96 97,800 3 ------------- ------------- 1,098,357 1,292,679 ------------- ------------- PROTEIN GENETICS, INC. A producer of bovine artificial insemination products, related breeding and healthcare products and specialty genetics sold to the dairy and beef industries. 9.8% Redeemable Exchangeable Preferred Stock (B) 1,004 shs. 08/12/94 100,350 -- Common Stock (B) 2,600 shs. * 126,866 -- ------------- ------------- *11/14/01 and 08/12/94. 227,216 -- ------------- ------------- QUALIS AUTOMOTIVE LLC A distributor of aftermarket automotive brake and chassis products. 12% Senior Subordinated Note due 2012 $ 1,770,834 05/28/04 1,444,031 1,802,635 Common Stock (B) 354,166 shs. 05/28/04 354,166 318,749 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 377,719 shs. 05/28/04 377,719 3,777 ------------- ------------- 2,175,916 2,125,161 ------------- ------------- QUALSERV CORPORATION A provider of foodservice equipment and supplies to major restaurant chains and their franchisees. 14% Senior Subordinated Note due 2012 $ 1,893,563 07/09/04 1,844,035 1,136,138 Limited Partnership Interest (B) 9.26% int. 07/09/04 259,146 -- Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 528 shs. 07/09/04 49,061 -- ------------- ------------- 2,152,242 1,136,138 ------------- ------------- RIVER RANCH FRESH FOODS LLC A supplier of fresh produce to the retail and foodservice channels. 13% Senior Subordinated Note due 2011 $ 1,841,667 09/29/04 1,701,484 1,712,750 Limited Partnership Interest (B) 40,610 uts. 09/29/04 283,333 232,333 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 23,575 shs. 09/29/04 157,903 236 ------------- ------------- 2,142,720 1,945,319 ------------- -------------
22 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- ROYAL BATHS MANUFACTURING COMPANY A manufacturer and distributor of acrylic and cultured marble bathroom products. 12.5% Senior Subordinated Notes due 2011 $ 1,062,500 11/14/03 $ 960,053 $ 1,068,068 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 140 shs. 11/14/03 122,946 71,317 ------------- ------------- 1,082,999 1,139,385 ------------- ------------- SAFETY SPEED CUT MANUFACTURING COMPANY, INC. A manufacturer of vertical panel saws and routers for the wood working industry. 7.36% Senior Secured Tranche A Note due 2007 (C) $ 800,879 06/02/99 800,879 800,879 12% Senior Secured Tranche B Note Due 2007 $ 1,130,652 06/02/99 1,130,652 1,130,652 Class B Common Stock (B) 1,480 shs. 06/02/99 256,212 508,125 ------------- ------------- 2,187,743 2,439,656 ------------- ------------- SAVAGE SPORTS HOLDING, INC. A manufacturer of sporting firearms. 12% Senior Subordinated Note due 2012 $ 1,538,793 09/10/04 1,435,628 1,544,365 Common Stock (B) 586 shs. 09/10/04 586,207 478,207 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 134 shs. 09/10/04 113,578 109,001 ------------- ------------- 2,135,413 2,131,573 ------------- ------------- SPECIALTY FOODS GROUP, INC. A manufacturer and distributor of branded meat products. Limited Partnership Interest of MHD Holdings LLC 1.43% int. 08/29/00 579,736 -- ------------- ------------- STRATEGIC EQUIPMENT & SUPPLY CORPORATION, INC. A provider of kitchen and restaurant design, equipment fabrication and installation services. Warrant, exercisable until 2008, to purchase common stock at $.01 per share (B) 106,539 shs. 01/14/00 658,751 -- ------------- ------------- SYNVENTIVE EQUITY LLC A manufacturer of hot runner systems used in the plastic injection molding process. Limited Partnership Interest (B) 1.99% int. 08/20/03 63,207 11,280 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 86,780 shs. 08/21/03 19,359 15,487 ------------- ------------- 82,566 26,767 ------------- ------------- TANGENT RAIL CORPORATION A manufacturer of rail ties and provides specialty services to the North American railroad industry. 13% Senior Subordinated Note due 2013 $ 2,217,385 10/14/05 1,882,033 2,174,036 Preferred Stock (B) 3,304 shs. 10/14/05 330,412 320,591 Common Stock (B) 2,203 shs. 10/14/05 2,203 1,983 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 1,167 shs. 10/14/05 294,403 12 ------------- ------------- 2,509,051 2,496,622 ------------- -------------
23 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- TERRA RENEWAL SERVICES, INC. A provider of wastewater residual management and required environmental reporting, permitting, nutrient management planning and record keeping to companies involved in poultry and food processing. 7.78% Senior Secured Term A Note due 2010 (C) $ 204,394 03/01/05 $ 204,394 $ 204,394 7.78% Senior Secured Term B Note due 2012 (C) $ 362,989 03/01/05 362,989 362,276 12% Senior Subordinated Note due 2013 $ 1,025,391 03/01/05 972,733 1,004,856 Limited Partnership Interest of Saw Mill Capital Fund V, L.P. (B) 4.00% int. 03/01/05 412,207 370,989 Warrant, exercisable until 2015, to purchase common stock at $.01 per share (B) 65 shs. 03/01/05 56,171 1 ------------- ------------- 2,008,494 1,942,516 ------------- ------------- THE TRANZONIC COMPANIES A producer of commercial and industrial supplies, such as safety products, janitorial supplies, work apparel, washroom and restroom supplies and sanitary care products. 13% Senior Subordinated Note due 2009 $ 2,712,000 02/05/98 2,528,512 2,712,000 Common Stock (B) 630 shs. 02/04/98 630,000 636,741 Warrant, exercisable until 2006, to purchase common stock at $.01 per share (B) 444 shs. 02/05/98 368,832 448,751 ------------- ------------- 3,527,344 3,797,492 ------------- ------------- TOMAH HOLDINGS, INC. A manufacturer of specialty chemicals. 16% Senior Subordinated Note due 2011 $ 1,505,617 * 1,460,966 1,505,617 16% Preferred Stock Series A (B) 37 shs. 12/08/03 631,630 916,393 Common Stock (B) 21,240 shs. ** 209,770 367,348 ------------- ------------- *12/08/03 and 12/30/05. **12/08/03 and 07/01/05. 2,302,366 2,789,358 ------------- ------------- TRANSTAR HOLDING COMPANY A distributor of aftermarket automotive transmission parts. 12% Senior Subordinated Note due 2013 $ 1,734,000 08/31/05 1,657,621 1,714,773 Common Stock (B) 816 shs. 08/31/05 816,000 734,400 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 86 shs. 08/31/05 77,485 1 ------------- ------------- 2,551,106 2,449,174 ------------- ------------- TRONAIR, INC. A designer, engineer and manufacturer of ground support equipment for the business, commuter and commercial aviation markets. 10.5% Senior Secured Term Note due 2008 $ 1,184,565 01/20/00 1,184,565 1,186,188 12% Senior Subordinated Note due 2010 $ 1,326,500 01/20/00 1,274,771 1,334,410 Common Stock (B) 227,400 shs. 01/20/00 227,400 204,660 Warrant, exercisable until 2010, to purchase common stock at $1 per share (B) 260,563 shs. 01/20/00 98,540 2,606 ------------- ------------- 2,785,276 2,727,864 ------------- -------------
24 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- TRUCK BODIES & EQUIPMENT INTERNATIONAL A designer and manufacturer of accessories for heavy and medium duty trucks, primarily dump bodies, hoists, various forms of flat-bed bodies, landscape bodies and other accessories. 12% Senior Subordinated Note due 2013 $ 2,309,541 * $ 2,145,659 $ 2,328,718 Common Stock (B) 742 shs. * 800,860 1,004,517 Warrant, exercisable until 2013, to purchase common stock at $.01 per share (B) 153 shs. * 159,894 207,469 ------------- ------------- *07/19/05 and 12/22/05. 3,106,413 3,540,704 ------------- ------------- TRUSTILE DOORS, INC. A manufacturer and distributor of interior doors. 12.5% Senior Subordinated Note due 2010 $ 1,062,500 04/11/03 993,411 1,058,399 Warrant, exercisable until 2010, to purchase common stock at $.01 per share (B) 5,781 shs. 04/11/03 95,625 33,038 ------------- ------------- 1,089,036 1,091,437 ------------- ------------- TUBULAR TEXTILE MACHINERY A designer, manufacturer, seller and servicer of finishing machinery for the knit and woven segments of the global textile industry. 12% Senior Subordinated Note due 2014 $ 1,234,551 05/28/04 1,116,986 1,202,155 8.75% Senior Secured Note due 2011 $ 716,292 05/28/04 716,292 707,659 Common Stock (B) 674,157 shs. 05/28/04 674,157 573,033 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 203,912 shs. 05/28/04 130,789 2,039 ------------- ------------- 2,638,224 2,484,886 ------------- ------------- TVI, INC. A retailer of used clothing in the United States, Canada and Australia. Common Stock (B) 354,167 shs. 05/02/00 354,167 382,500 ------------- ------------- U S M HOLDINGS CORPORATION A provider of facility maintenance services to retail and corporate clients with multiple locations. 12% Senior Subordinated Note due 2011 $ 894,737 08/06/03 773,300 921,579 Preferred Stock 2,571 shs. 08/06/03 257,095 257,096 Common Stock (B) 1,032 shs. 08/06/03 1,032 1,032 Warrant, exercisable until 2011, to purchase common stock at $.01 per share 949 shs. 08/06/03 298,198 949 ------------- ------------- 1,329,625 1,180,656 ------------- ------------- U-LINE CORPORATION A manufacturer of high-end, built-in, undercounter icemaking, wine storage and refrigeration appliances. 12.5% Senior Subordinated Note due 2012 $ 1,882,100 04/30/04 1,695,644 1,935,204 Common Stock (B) 182 shs. 04/30/04 182,200 180,378 Warrant, exercisable until 2012, to purchase common stock at $.01 per share (B) 230 shs. 04/30/04 211,736 228,116 ------------- ------------- 2,089,580 2,343,698 ------------- -------------
25 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares, Units, Warrants, Ownership or Principal Acquisition Fair Corporate Restricted Securities:(A) continued Amount Date Cost Value --------------------------------------------------------------------------------------------------------------------------------- VICTORY VENTURES LLC An acquirer of controlling or substantial interests in other entities. Series A Preferred Units (B) 0.15% int. 12/02/96 $ 1 $ 2 ------------- ------------- VITALITY FOODSERVICE, INC. A non-carbonated beverage dispensing company focused on the foodservice industry. 13% Senior Subordinated Note due 2011 $ 1,887,288 09/24/04 1,721,448 1,891,035 Common Stock (B) 23,771 shs. 09/24/04 237,710 326,328 Warrant, exercisable until 2011, to purchase common stock at $.01 per share (B) 23,787 shs. 09/24/04 186,883 326,548 ------------- ------------- 2,146,041 2,543,911 ------------- ------------- VITEX PACKAGING GROUP, INC. A manufacturer of specialty packaging, primarily envelopes and tags used on tea bags and medical and food products. 12.5% Senior Subordinated Note due 2012 $ 1,700,000 07/19/04 1,483,065 1,637,765 Limited Partnership Interest Class A (B) 1.75% int. 07/19/04 414,375 372,938 Limited Partnership Interest Class B (B) 0.77% int. 07/19/04 182,935 164,642 ------------- ------------- 2,080,375 2,175,345 ------------- ------------- WALLS INDUSTRIES, INC. A provider of branded workwear and sporting goods apparel. 10% Senior Subordinated Lien Note due 2009 $ 1,006,579 07/12/04 1,006,579 1,015,774 14% Senior Subordinated Note due 2012 $ 1,069,419 07/12/04 1,066,722 1,094,126 Limited Partnership Interest (B) 0.40% int. 07/12/04 37,281 100,659 Warrant, exercisable until 2014, to purchase common stock at $.01 per share (B) 4,029 shs. 07/12/04 2,833 10,842 ------------- ------------- 2,113,415 2,221,401 ------------- ------------- Total Private Placement Investments $ 141,081,030 $ 139,640,729 ------------- -------------
26 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares or Interest Due Principal Corporate Restricted Securities:(A) (Continued) Rate Date Amount Cost Fair Value --------------------------------------------------------------------------------------------------------------------------------- Rule 144A Securities - 7.33%: (A) BONDS - 6.31% A E S Corporation 9.000% 05/15/15 $ 200,000 $ 200,000 $ 219,000 Activant Solutions, Inc. (C) 10.054 04/01/10 825,000 825,000 850,781 Atlas Pipeline Partners 8.125 12/15/15 200,000 200,000 201,750 Blockbuster, Inc. 9.000 09/01/12 475,000 476,986 418,000 Bombardier, Inc. 6.300 05/01/14 1,000,000 890,000 875,000 Calpine Corporation 8.750 07/15/13 500,000 465,000 410,000 Charter Communications Op LLC 8.000 04/30/12 250,000 249,375 248,750 Douglas Dynamics LLC 7.750 01/15/12 630,000 633,790 607,950 Hertz Corporation 10.500 01/01/16 50,000 50,000 51,500 Intelsat Bermuda, Ltd. 8.695 01/15/12 450,000 450,000 457,313 Intelsat Bermuda, Ltd. 8.250 01/15/13 500,000 500,000 505,000 Interactive Health LLC 7.250 04/01/11 900,000 756,280 729,000 Markwest Energy 6.875 11/01/14 475,000 475,000 437,000 Neiman Marcus Group, Inc. 10.375 10/15/15 1,250,000 1,250,000 1,270,313 NOVA Chemicals Corporation 7.561 11/15/13 550,000 550,000 561,688 P Q Corporation 7.500 02/15/13 1,100,000 1,088,750 1,023,000 Pacific Energy Partners 6.250 09/15/15 150,000 149,316 147,750 Pogo Producing Co. 6.875 10/01/17 500,000 500,000 487,500 Pregis Corporation 12.375 10/15/13 1,000,000 981,490 985,000 Service Corporation International 7.500 06/15/17 1,000,000 990,030 992,500 Siebe PLC 6.500 01/15/10 650,000 572,000 578,500 Sierra Pacific Resources 6.750 08/15/17 635,000 638,304 631,825 Sungard Data Systems 9.125 08/15/13 175,000 175,000 181,125 Tekni-Plex, Inc. 10.875 08/15/12 250,000 250,000 272,500 Tekni-Plex, Inc. 8.750 11/15/13 650,000 656,103 572,000 Tenaska Alabama Partners LP 7.000 06/30/21 342,155 342,155 344,220 Texas Genco LLC 6.875 12/15/14 705,000 705,000 763,163 Texas Industries, Inc. 7.250 07/15/13 70,000 70,000 72,625 ------------ ------------ ------------ TOTAL BONDS $ 15,482,155 15,089,579 14,894,753 ------------ ------------ ------------ COMMON STOCk - 0.00% Jordan Telecom Products (B) 70 $ 14,000 -- ------------ ------------ ------------ Total Common Stock 14,000 -- ------------ ------------ CONVERTIBLE BONDS - 1.02% Cymer, Inc. 3.500% 02/15/09 $ 850,000 $ 850,000 $ 831,938 ICOS Corporation 2.000 07/01/23 750,000 596,250 603,750 Q L T, Inc. 3.000 09/15/23 600,000 546,257 530,250 Wesco International, Inc. 2.625 10/15/25 375,000 375,000 451,406 ------------ ------------ ------------ TOTAL CONVERTIBLE BONDS $ 2,575,000 2,367,507 2,417,344 ------------ ------------ ------------ WARRANTS - 0.00% Winsloew Furniture, Inc. (B) 900 $ 9 $ -- ------------ ------------ ------------ TOTAL WARRANTS 9 -- ------------ ------------ TOTAL RULE 144A SECURITIES 17,471,095 17,312,097 ------------ ------------ TOTAL CORPORATE RESTRICTED SECURITIES $158,552,125 $156,952,826 ------------ ------------
27 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Interest Due Principal Market Corporate Public Securities - 34.15%:(A) Rate Date Amount Cost Value --------------------------------------------------------------------------------------------------------------------------------- BONDS - 28.86% Abitibi-Consolidated, Inc. 7.750% 06/15/11 $ 1,000,000 $ 1,032,013 $ 952,500 Activant Solutions, Inc. 10.500 06/15/11 585,000 584,560 640,575 Aearo Co. 8.250 04/15/12 450,000 450,000 456,750 Affinia Group, Inc. 9.000 11/30/14 460,000 460,000 363,400 Alamosa Delaware, Inc. 11.000 07/31/10 325,000 329,566 366,437 Alamosa Delaware, Inc. 8.500 01/31/12 400,000 400,000 432,500 ALH Fin LLC/ALH Fin Corporation 8.500 01/15/13 725,000 704,500 683,312 Allied Waste NA 7.875 04/15/13 1,000,000 1,024,826 1,032,500 American Media Operation, Inc. 8.875 01/15/11 900,000 901,458 765,000 Appleton Papers, Inc. 8.125 06/15/11 300,000 300,000 291,750 Argo Tech Corporation 9.250 06/01/11 850,000 850,000 871,250 Bally Total Fitness Holding Corporation 9.875 10/15/07 135,000 128,925 131,625 BCP Crystal US Holdings Corporation 9.625 06/15/14 485,000 485,000 539,562 C C O Holdings LLC/Cap Corporation 8.616 12/15/10 500,000 499,617 488,750 C S C Holdings, Inc. 7.625 04/01/11 500,000 501,891 497,500 Cablevision Systems Corporation (C) 8.716 04/01/09 1,000,000 1,000,000 1,010,000 Cadmus Communications Corporation 8.375 06/15/14 750,000 750,000 770,625 Cenveo Corporation 7.875 12/01/13 1,100,000 1,100,000 1,061,500 Charter Communication Holdings LLC 10.000 04/01/09 1,000,000 815,000 745,000 Chemed Corporation 8.750 02/24/11 1,125,000 1,125,000 1,206,562 Chesapeake Energy Corporation 7.000 08/15/14 1,075,000 1,114,536 1,112,625 Cincinnati Bell, Inc. 8.375 01/15/14 1,100,000 1,007,500 1,082,125 Clayton Williams Energy, Inc. 7.750 08/01/13 800,000 800,000 768,000 Del Monte Corporation 8.625 12/15/12 225,000 225,000 239,062 Dollar Financial Group 9.750 11/15/11 600,000 600,000 618,000 Dominos, Inc. 8.250 07/01/11 292,000 289,892 305,140 Dynegy Holdings, Inc. 6.875 04/01/11 500,000 422,500 492,500 El Paso Corporation 7.875 06/15/12 1,050,000 1,063,048 1,081,500 Esterline Technologies 7.750 06/15/13 200,000 200,000 209,000 Flextronics International Ltd. 6.500 05/15/13 400,000 400,000 406,500 Ford Motor Credit Co. 7.375 10/28/09 1,250,000 1,246,875 1,108,607 G F S I, Inc. 9.625 03/01/07 750,000 682,541 675,000 Gencorp, Inc. 9.500 08/15/13 259,000 259,000 278,425 General Motors Acceptance Corporation 7.750 01/19/10 1,250,000 1,305,781 1,167,359 Goodyear Tire & Rubber Co. 7.857 08/15/11 1,400,000 1,342,750 1,365,000 Great Lakes Dredge & Dock Corporation 7.750 12/15/13 750,000 679,250 675,938 GulfMark Offshore, Inc. 7.750 07/15/14 565,000 562,599 587,600 Houghton Mifflin Co. 9.875 02/01/13 1,000,000 1,050,575 1,068,750 Huntsman LLC 11.625 10/15/10 324,000 320,161 368,955 Insurance Auto Auctions, Inc. 11.000 04/01/13 800,000 799,438 840,718 Interpool, Inc. 7.350 08/01/07 750,000 760,228 763,125 Iron Mountain, Inc. 6.625 01/01/16 1,000,000 951,250 930,000 Koppers, Inc. 9.875 10/15/13 700,000 700,000 759,500 Land O'Lakes, Inc. 9.000 12/15/10 750,000 750,000 813,750 Lazard LLC 7.125 05/15/15 750,000 749,408 787,568 Leucadia National Corporation 7.000 08/15/13 650,000 662,312 646,750 Liberty Media Corporation 5.700 05/15/13 1,000,000 951,610 931,761 Lodgenet Entertainment Corporation 9.500 06/15/13 425,000 425,000 462,188 Lyondell Chemical Co. 9.500 12/15/08 530,000 518,310 555,175 M C I, Inc. 8.735 05/01/14 500,000 452,500 553,125 M G M Mirage, Inc. 6.000 10/01/09 375,000 379,363 372,656 M S X International, Inc. 11.000 10/15/07 350,000 347,004 348,250 Mac-Gray Corporation 7.625 08/15/15 600,000 600,000 604,500 Magnachip Semiconductor 8.000 12/15/14 100,000 100,000 95,500
28 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Interest Due Principal Market Corporate Public Securities:(A)continued Rate Date Amount Cost Value --------------------------------------------------------------------------------------------------------------------------------- BONDS, CONTINUED Majestic Star Casino LLC 9.500% 10/15/10 $ 500,000 $ 500,000 $ 526,250 Manitowoc Company, Inc. 7.125 11/01/13 200,000 200,000 205,500 Mediacom LLC 9.500 01/15/13 1,000,000 1,002,958 976,250 Metaldyne Corporation 11.000 06/15/12 750,000 601,250 578,438 Metaldyne Corporation 10.000 11/01/13 510,000 513,766 461,550 Moog, Inc. 6.250 01/15/15 120,000 120,000 118,200 Mrs. Fields Brands 11.500 03/15/11 750,000 713,710 600,000 N R G Energy, Inc. 8.000 12/15/13 453,000 453,000 505,095 Nalco Co. 7.750 11/15/11 500,000 500,000 513,750 National Wine & Spirits, Inc. 10.125 01/15/09 1,135,000 1,128,364 1,146,350 North American Energy Partners 8.750 12/01/11 400,000 400,000 377,000 O E D Corp/Diamond Jo Company Guarantee 8.750 04/15/12 1,000,000 985,960 975,000 O M Group, Inc. 9.250 12/15/11 750,000 774,174 733,125 Offshore Logistics, Inc. 6.125 06/15/13 450,000 450,000 420,750 Pacific Energy Partners 7.125 06/15/14 500,000 504,088 515,000 Pinnacle Foods Group 8.250 12/01/13 450,000 450,000 428,625 Pliant Corporation 11.625 06/15/09 787,891 805,448 835,165 Primedia, Inc. 8.000 05/15/13 1,000,000 1,025,342 846,250 Quintiles Transnational Corporation 10.000 10/01/13 500,000 500,000 557,500 Rayovac Corporation 8.500 10/01/13 200,000 200,000 174,500 Rent-A-Center, Inc. 7.500 05/01/10 400,000 400,000 382,000 Rent-Way, Inc. 11.875 06/15/10 800,000 839,001 851,000 Rhodia SA 10.250 06/01/10 800,000 824,926 876,000 Rhodia SA 8.875 06/01/11 500,000 499,668 512,500 Rock-Tenn Co. 8.200 08/15/11 1,000,000 1,007,498 1,015,000 Rogers Wireless, Inc. 7.250 12/15/12 165,000 165,000 173,456 Rogers Wireless, Inc. 7.500 03/15/15 870,000 933,064 939,600 Rogers Wireless, Inc. 8.000 12/15/12 165,000 165,000 174,694 Samsonite Corporation 8.875 06/01/11 1,000,000 1,043,294 1,035,000 Sbarro, Inc. 11.000 09/15/09 750,000 762,304 746,250 Sea Containers Ltd. 10.500 05/15/12 460,000 449,659 453,100 Sheridan Acquisition Corporation 10.250 08/15/11 375,000 370,001 385,781 Ship Finance Intl Ltd. 8.500 12/15/13 750,000 750,000 701,250 Sports Club Co. 11.375 03/15/06 150,000 145,500 148,688 Stanadyne Corporation 10.000 08/15/14 1,500,000 1,500,000 1,440,000 Tekni-Plex, Inc. 12.750 06/15/10 1,000,000 960,125 545,000 Telex Communications, Inc. 11.500 10/15/08 500,000 500,000 532,500 Telex Communications, Inc. 0.000 01/15/09 471,915 206,820 292,587 Tenet Healthcare Corporation 6.375 12/01/11 500,000 482,500 456,250 Tenet Healthcare Corporation 9.875 07/01/14 500,000 488,370 506,250 Thermadyne Holdings Corporation 9.250 02/01/14 1,000,000 986,250 875,000 Transmontaigne, Inc. 9.125 06/01/10 485,000 476,513 476,513 Triton P C S, Inc. 8.500 06/01/13 550,000 550,000 511,500 Unisys Corporation 8.000 10/15/12 190,000 190,000 175,750 United Components, Inc. 9.375 06/15/13 1,000,000 1,004,364 995,000 United Rentals, Inc. 7.750 11/15/13 625,000 625,000 609,375 United Rentals, Inc. 7.000 02/15/14 500,000 500,000 467,500 Universal City Florida (C) 9.000 05/01/10 200,000 200,000 201,000 Universal City Florida 8.375 05/01/10 200,000 200,000 195,500 Utilicorp United, Inc. 9.950 02/01/11 1,000,000 1,092,854 1,102,500 Vicorp Restaurants, Inc. 10.500 04/15/11 600,000 592,746 556,500 Vought Aircraft Industries 8.000 07/15/11 1,000,000 1,000,406 935,000 Warner Music Group 7.375 04/15/14 275,000 275,000 272,938 Wornick Co. 10.875 07/15/11 750,000 750,000 768,750 ------------ ------------ ------------ Total Bonds $ 69,647,806 68,924,710 68,185,780 ------------ ------------ ------------
29 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Shares or Interest Due Principal Market Corporate Public Securities:(A)continued Rate Date Amount Cost Value --------------------------------------------------------------------------------------------------------------------------------- COMMON STOCK - 4.11% Copa Holdings SA (B) 6,600 $ 132,000 $ 180,180 DealerTrack Holdings, Inc. (B) 3,200 54,400 67,136 H C I Direct, Inc. (B) 1,000 -- -- PW Eagle, Inc. (B) 196,518 1 4,028,619 PepsiAmericas, Inc. 92,145 2,006,365 2,143,293 Rent-Way, Inc. (B) 92,866 916,263 593,414 Supreme Industries, Inc. 115,722 267,325 895,688 Telex Communications, Inc. (B) 489 7 2,445 Telex Communications, Inc. (B) 17,707 1 88,537 Transmontaigne, Inc. (B) 258,720 798,595 1,707,552 ------------ ------------ TOTAL COMMON STOCK 4,174,957 9,706,864 ------------ ------------ CONVERTIBLE BONDS - 1.18% Citadel Broadcasting Corporation 1.875% 02/15/11 $ 700,000 $ 543,375 $ 543,375 Graftech International 1.625 01/15/24 1,500,000 1,083,750 1,089,375 Leucadia National Corporation 3.750 04/15/14 1,000,000 1,000,000 1,153,750 ------------ ------------ ------------ TOTAL CONVERTIBLE BONDS $ 3,200,000 2,627,125 2,786,500 ============ ------------ ------------ TOTAL CORPORATE PUBLIC SECURITIES 75,726,792 80,679,144 ------------ ------------ Interest Due Principal Market Short-Term Securities: Rate/Yield Date Amount Cost Value --------------------------------------------------------------------------------------------------------------------------------- COMMERCIAL PAPER - 10.20% Centex Corporation 4.408% 01/13/06 $ 4,900,000 $ 4,892,213 $ 4,892,213 Consolidated Natural Gas Co. 4.484 01/04/06 1,810,000 1,809,099 1,809,099 DaimlerChrysler NA Holding Corporation 4.487 01/10/06 1,132,000 1,130,594 1,130,594 DaimlerChrysler NA Holding Corporation 4.481 01/11/06 653,000 652,108 652,108 DaimlerChrysler NA Holding Corporation 4.443 01/13/06 1,925,000 1,921,921 1,921,921 Detroit Edison Co. 4.404 01/03/06 2,805,000 2,803,972 2,803,972 Florida Power & Light Co. 4.378 01/13/06 4,955,000 4,947,181 4,947,181 Ryder System, Inc. 4.409 01/09/06 1,152,000 1,150,733 1,150,733 Wisconsin Gas Co. 4.337 01/12/06 4,814,000 4,807,052 4,807,052 ------------ ------------ ------------ TOTAL SHORT-TERM SECURITIES $ 24,146,000 $ 24,114,873 $ 24,114,873 ============ ------------ ------------ TOTAL INVESTMENTS 110.78% $258,393,790 $261,746,843 ============ ------------ Other Assets 4.85 11,450,446 Liabilities (15.63) (36,921,871) ------ ------------ TOTAL NET ASSETS 100.00% $236,275,418 ====== ============
(A) In each of the convertible note, warrant, convertible preferred and common stock investments, the issuer has agreed to provide certain registration rights. (B) Non-income producing security. (C) Variable rate securities; rate indicated is as of 12/31/05. See Notes to Consolidated Financial Statements. 30 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Fair Value/ Fair Value/ Industry Classification: Market Value Industry Classification: Market Value ------------------------------------------------------------ ------------------------------------------------------------ AEROSPACE - 2.29% BROADCASTING & ENTERTAINMENT - 2.95% Argo Tech Corporation $ 871,250 C C O Holdings LLC $ 488,750 Bombardier, Inc. 875,000 C S C Holdings, Inc. 497,500 Consolidated Foundries Holdings 2,520,999 Cablevision Systems Corporation 1,010,000 Esterline Technologies 209,000 Cenveo Corporation 1,061,500 Vought Aircraft Industries 935,000 Charter Communications Holdings LLC 745,000 ------------ Charter Communications Op LLC 248,750 5,411,249 Citadel Broadcasting Corporation 543,375 ------------ Liberty Media Corporation 931,761 AUTOMOBILE - 7.44% Lodgenet Entertainment Corporation 462,188 Gencorp, Inc. 278,425 Mediacom LLC 976,250 Goodyear Tire & Rubber Co. 1,365,000 ------------ Jason, Inc. 1,994,688 6,965,074 LIH Investors, L.P. 4,665,408 ------------ Metaldyne Corporation 1,039,988 BUILDINGS & REAL ESTATE - 2.77% Nyloncraft, Inc. 2,663,271 A W C Holding Company 2,742,537 Qualis Automotive LLC 2,125,161 Adorn, Inc. 2,648,541 Transtar Holding Company 2,449,174 Texas Industries, Inc. 72,625 United Components, Inc. 995,000 TruStile Doors, Inc. 1,091,437 ------------ ------------ 17,576,115 6,555,140 ------------ ------------ BEVERAGE, DRUG & FOOD - 7.05% CARGO TRANSPORT - 0.30% Beta Brands Ltd. -- Ship Finance International Ltd. 701,250 Cains Foods, L.P. 1,000,912 ------------ Del Monte Corporation 239,062 CHEMICAL, PLASTICS & RUBBER - 3.46% Dominos, Inc. 305,140 Capital Specialty Plastics, Inc. 2,156 Eagle Pack Pet Foods, Inc. 1,155,646 Huntsman LLC 368,955 Land O' Lakes, Inc. 813,750 Koppers, Inc. 759,500 Mrs. Fields Brands 600,000 Lyondell Chemical Co. 555,175 National Wine & Spirits, Inc. 1,146,350 NOVA Chemicals Corporation 561,688 Nonni's Food Company, Inc. 2,257,956 O M Group, Inc. 733,125 PepsiAmericas, Inc. 2,143,293 P Q Corporation 1,023,000 Pinnacle Foods Group 428,625 Rhodia SA 1,388,500 River Ranch Fresh Foods LLC 1,945,319 Tomah Holdings, Inc. 2,789,358 Sbarro, Inc. 746,250 ------------ Specialty Foods Group, Inc. -- 8,181,457 Vicorp Restaurants, Inc. 556,500 ------------ Vitality Foodservice, Inc. 2,543,911 Wornick Co. 768,750 ------------ 16,651,464 ------------
31 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Fair Value/ Fair Value/ Industry Classification: continued Market Value Industry Classification: continued Market Value ------------------------------------------------------------ ------------------------------------------------------------ CONSUMER PRODUCTS - 6.91% DIVERSIFIED/CONGLOMERATE, MANUFACTURING - 6.38% Alh Fin LLC/ALH Fin Corporation $ 683,312 Activant Solutions, Inc. $ 1,491,356 Appleton Papers, Inc. 291,750 AmerCable, Inc. 1,181,124 Augusta Sportswear Holding Co. 2,162,732 Arrow Tru-Line Holdings, Inc. 2,071,712 Euro-Pro Corporation 1,912,939 Coining Corporation of America LLC 1,864,903 G F S I, Inc. 675,000 Dexter Magnetics Technologies, Inc. 1,047,037 H C I Direct, Inc. -- Douglas Dynamics, LLC 607,950 Maverick Acquisition Company 1,134,104 Evans Consoles, Inc. -- Rayovac Corporation 174,500 Great Lakes Dredge & Dock Corporation 675,938 Royal Baths Manufacturing Company 1,139,385 Justrite Manufacturing Acquisition Co. 1,573,212 Savage Sports Holding, Inc. 2,131,573 Rock-Tenn Co. 1,015,000 The Tranzonic Companies 3,797,492 Truck Bodies & Equipment International 3,540,704 Walls Industries, Inc. 2,221,401 ------------ Winsloew Furniture, Inc. -- 15,068,936 ------------ ------------ 16,324,188 DIVERSIFIED/CONGLOMERATE, SERVICE - 6.50% ------------ Abitibi-Consolidated, Inc. 952,500 CONTAINERS, PACKAGING & GLASS - 3.44% Allied Waste NA 1,032,500 A E P Industries, Inc. CapeSuccess LLC 5,862 Paradigm Packaging, Inc. 2,284,661 Chemed Corporation 1,206,562 Pliant Corporation 835,165 Diversco, Inc./DHI Holdings, Inc. 2,505,724 Pregis Corporation 985,000 Dwyer Group, Inc. 2,664,679 Sea Containers Ltd. 453,100 Iron Mountain, Inc. 930,000 Tekni-Plex, Inc. 1,389,500 Keystone North America, Inc. 295,296 Vitex Packaging, Inc. 2,175,345 Mac-Gray Corporation 604,500 ------------ Moss, Inc. 1,790,013 8,122,771 M S X International, Inc. 348,250 ------------ Service Corporation International 992,500 DISTRIBUTION - 3.61% U S M Holdings Corporation 1,180,656 Affinia Group, Inc. 363,400 Universal City Florida 396,500 Corvest Group, Inc. 2,025,853 Wesco International, Inc. 451,406 Kele and Associates, Inc. 2,494,704 ------------ O R S Nasco Holding, Inc. 2,506,977 15,356,948 QualServ Corporation 1,136,138 ------------ Strategic Equipment & Supply Corporation, Inc. -- ELECTRONICS - 3.20% ------------ A E S Corporation 219,000 8,527,072 Calpine Corporation 410,000 ------------ Directed Electronics, Inc. 3,392,933 Flextronics International Ltd. 406,500 N R G Energy, Inc. 505,095 Precision Dynamics, Inc. 1,292,679 Siebe PLC 578,500 Texas Genco LLC 763,163 ------------ 7,567,870 ------------
32 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Fair Value/ Fair Value/ Industry Classification: continued Market Value Industry Classification: continued Market Value ------------------------------------------------------------ ------------------------------------------------------------ FARMING & Agriculture - 0.00% MACHINERY - 8.82% Protein Genetics, Inc. $ -- Aearo Co. $ 456,750 ------------ C & M Conveyor, Inc. 2,285,554 FINANCIAL SERVICES - 2.88% Integration Technology Systems, Inc. 1,248,333 BCP Crystal US Holding Corporation 539,562 Manitowoc Company, Inc. 205,500 Dollar Financial Group 618,000 Maxon Corporation 2,611,478 East River Ventures I, L.P. 21,706 PW Eagle, Inc. 4,028,619 Ford Motor Credit Co. 1,108,607 Safety Speed Cut Manufacturing Company, Inc. 2,439,656 General Motors Acceptance Corporation 1,167,359 Stanadyne Corporation 1,440,000 Highgate Capital LLC 2,947 Synventive Equity LLC 26,767 Interpool, Inc. 763,125 Thermadyne Holdings Corporation 875,000 Lazard LLC 787,568 Tronair, Inc. 2,727,864 Leucadia National Corporation 1,800,500 Tubular Textile Machinery 2,484,886 Victory Ventures LLC 2 ------------ ------------ 20,830,407 6,809,376 ------------ ------------ MEDICAL DEVICES/BIOTECH - 2.45% HEALTHCARE, EDUCATION & CHILDCARE - 3.52% Beacon Medical Products, Inc. 2,095,164 A T I Acquisition Company 1,995,721 Coeur, Inc. 1,120,428 American Hospice Management Holding LLC 2,679,496 E X C Acquisition Corporation 112,746 ICOS Corporation 603,750 MicroGroup, Inc. 2,462,053 Interactive Health LLC 729,000 ------------ MedAssist, Inc. 262,509 5,790,391 Q L T, Inc. 530,250 ------------ Quintiles Transnational Corporation 557,500 MINING, STEEL, IRON & NON PRECIOUS METALS - 0.05 Tenet Healthcare Corporation 962,500 Better Minerals & Aggregates 108,991 ------------ ------------ 8,320,726 OIL AND GAS - 5.64% ------------ C & J Spec-Rent Services, Inc. 3,107,183 HOME & OFFICE FURNISHINGS, HOUSEWARES, Chesapeake Energy Corporation 1,112,625 AND DURABLE CONSUMER PRODUCTS - 3.26% Clayton Williams Energy, Inc. 768,000 Connor Sport Court International, Inc. 1,952,679 Dynegy Holdings, Inc. 492,500 Home Decor Holding Company 2,383,011 GulfMark Offshore, Inc. 587,600 Samsonite Corporation 1,035,000 Mustang Ventures Company 2,240,544 U-Line Corporation 2,343,698 North American Energy Partners 377,000 ------------ Offshore Logistics, Inc. 420,750 7,714,388 Pacific Energy Partners 662,750 ------------ Pogo Producing Co. 487,500 LEISURE, AMUSEMENT, ENTERTAINMENT - 1.57% Supreme Industries, Inc. 895,688 Bally Total Fitness Holding Corporation 131,625 Transmontaigne, Inc. 2,184,065 Keepsake Quilting, Inc. 1,427,754 ------------ M G M Mirage, Inc. 372,656 13,336,205 Majestic Star Casino LLC 526,250 ------------ O E D Corp/Diamond Jo Company Guarantee 975,000 PHARMACEUTICALS - 1.07% Warner Music Group 272,938 CorePharma LLC 2,519,891 ------------ Enzymatic Therapy, Inc. 5,604 3,706,223 ------------ ------------ 2,525,495 ------------
33 MassMutual Corporate Investors CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2005
Fair Value/ Fair Value/ Industry Classification: continued Market Value Industry Classification: continued Market Value ------------------------------------------------------------ ------------------------------------------------------------ PUBLISHING/PRINTING - 1.62% TRANSPORTATION - 1.15% American Media Operation, Inc. $ 765,000 Copa Holdings SA $ 180,180 Cadmus Communications Corporation 770,625 Hertz Corporation 51,500 Houghton Mifflin Co. 1,068,750 Tangent Rail Corporation 2,496,622 Primedia, Inc. 846,250 ------------ Sheridan Acquisition Corporation 385,781 2,728,302 ------------ ------------ 3,836,406 UTILITIES - 1.88% ------------ Atlas Pipeline Partners 201,750 RETAIL STORES - 4.79% El Paso Corporation 1,081,500 Blockbuster, Inc. 418,000 Markwest Energy 437,000 Insurance Auto Auctions, Inc. 840,718 Moog, Inc. 118,200 Neff Corporation 1,181,930 Nalco Co. 513,750 Neiman Marcus Group, Inc. 1,270,313 Sierra Pacific Resources 631,825 Olympic Sales, Inc. 4,165,246 Tenaska Alabama Partners LP 344,220 Rent-A-Center, Inc. 382,000 Utilicorp United, Inc. 1,102,500 Rent-Way, Inc. 1,444,414 ------------ Sports Club Co. 148,688 4,430,745 TVI, Inc. 382,500 ------------ United Rentals, Inc. 1,076,875 WASTE MANAGEMENT/POLLUTION - 0.82% ------------ Terra Renewal Services, Inc. 1,942,516 11,310,684 ------------ ------------ Total Corporate Restricted TECHNOLOGY - 1.03% and Public Securities - 100.57% $237,631,970 Cymer, Inc. 831,938 ============ DealerTrack Holdings, Inc. 67,136 Graftech International 1,089,375 See Notes to Consolidated Financial Statements. Magnachip Semiconductor 95,500 Sungard Data Systems 181,125 Unisys Corporation 175,750 ------------ 2,440,824 ------------ TELECOMMUNICATIONS - 3.72% Alamosa Delaware, Inc. 798,937 Cincinnati Bell, Inc. 1,082,125 Intelsat Bermuda, Ltd. 962,313 ITC^DeltaCom, Inc. 2,678,938 Jordan Telecom Products -- M C I, Inc. 553,125 Rogers Wireless, Inc. 1,287,750 Telex Communications, Inc. 916,069 Triton P C S, Inc. 511,500 ------------ 8,790,757 ------------
34 MassMutual Corporate Investors NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2005 1. HISTORY MassMutual Corporate Investors (the "Trust") commenced operations in 1971 as a Delaware corporation. Pursuant to an Agreement and Plan of Reorganization dated November 14, 1985, approved by shareholders, the Trust was reorganized as a Massachusetts business trust under the laws of the Commonwealth of Massachusetts, effective November 28, 1985. The Trust is a diversified closed-end management investment company. Babson Capital Management LLC ("Babson Capital"), a wholly-owned indirect subsidiary of Massachusetts Mutual Life Insurance Company ("MassMutual"), acts as its investment adviser. The Trust's investment objective is to maintain a portfolio of securities providing a fixed yield while providing an opportunity for capital gains by investing primarily in a portfolio of privately placed below-investment grade, long term corporate debt obligations with equity features, such as warrants, conversion rights, or other equity features and, occasionally, preferred stocks purchased directly from their issuers. On January 27, 1998, the Board of Trustees authorized the formation of a wholly-owned subsidiary ("MMCI Subsidiary Trust") for the purpose of holding certain investments. The results of MMCI Subsidiary Trust have been included in the accompanying consolidated financial statements. Footnote 2-D below discusses the Federal tax consequences of the MMCI Subsidiary Trust. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed consistently by the Trust in the preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America. A. VALUATION OF INVESTMENTS: Valuation of a security in the Trust's portfolio is made on the basis of market price whenever market quotations are readily available and all securities of the same class held by the Trust can be readily sold in such market. Nearly all securities which are acquired by the Trust directly from the issuers and shares into which such securities may be converted or which may be purchased on the exercise of warrants attached to such securities will be subject to legal or contractual delays in, or restrictions on, resale and will therefore be "restricted securities." Generally speaking, as contrasted with open-market sales of unrestricted securities which may be effected immediately if the market is adequate, absent an exemption from registration, restricted securities can be sold only in a public offering for which a registration statement is in effect under the Securities Act of 1933, as amended (the "1933 Act"). The value of restricted securities, and of any other assets for which there are no reliable market quotations, is the fair value as determined in good faith by the Trust's Board of Trustees (the "Trustees"). Each restricted security is valued by the Trustees at the time of the acquisition thereof and at least quarterly thereafter. The Trustees have established guidelines to aid in the valuation of each security. Generally, restricted securities are initially valued at cost or less at the time of acquisition by the Trust. Values greater or less than cost are used thereafter for restricted securities in appropriate circumstances. Among the factors ordinarily considered are the existence of restrictions upon the sale of the security by the Trust; an estimate of the existence and extent of a market for the security; the extent of any discount at which the security was acquired; the estimated period of time during which the security will not be freely marketable; the estimated expenses of registering or otherwise qualifying the security for public sale; estimated underwriting commissions if underwriting would be required to effect a sale; in the case of a convertible security, whether or not it would trade on the basis of its stock equivalent; in the case of a debt obligation which would trade independently of any equity equivalent, the current yields on comparable securities; the estimated amount of the floating supply of such securities available for purchase; the proportion of the issue held by the Trust; changes in the financial condition and prospects of the issuer; the existence of merger proposals or tender offers affecting the issuer; and any other factors affecting fair value, all in accordance with the Investment Company Act of 1940, as amended (the "1940 Act"). In making valuations, opinions of counsel may be relied upon as to whether or not securities are restricted securities and as to the legal requirements for public sale. When market quotations are readily available for unrestricted securities of an issuer, restricted securities of the same class are generally valued at a discount from the market price of such unrestricted securities. The Trustees, however, consider all factors in fixing any discount, including the filing of a registration statement for such securities under the 1933 Act and any other developments which are likely to increase the probability that the securities may be publicly sold by the Trust without restriction. The Trustees meet at least once in each quarter to value the Trust's portfolio securities as of the close of business on the last business day of the preceding quarter. This valuation requires the approval of a majority of the Trustees of the Trust, including a majority of the Trustees who are not interested persons of the Trust or of Babson Capital, the Trust's investment adviser. In making valuations, the Trustees will consider reports by Babson Capital analyzing each portfolio security in accordance with the relevant factors referred to above. Babson Capital has agreed to provide such reports to the Trust at least quarterly. The consolidated financial statements include private placement restricted securities valued at $139,640,729 (59.10% of net assets) as of December 31, 2005 whose values have been estimated by the Trustees in the absence of readily ascertainable market values. Due to the inherent uncertainty of valua- 35 MassMutual Corporate Investors NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2005 tion, those estimated values may differ significantly from the values that would have been used had a ready market for the securities existed, and the differences could be material. The values for corporate public securities are stated at the last reported sales price or at prices based upon quotations obtained from brokers and dealers as of December 31, 2005, subject to discount where appropriate, and are approved by the Trustees. Short-term securities with more than sixty days to maturity are valued at fair value and short-term securities having a maturity of sixty days or less are valued at amortized cost which approximates market value. B. ACCOUNTING FOR INVESTMENTS: Investment transactions are accounted for on the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis, including the amortization of premiums and accretion of discounts on bonds held. The Trust does not accrue income when payment is delinquent and when management believes payment is questionable. Realized gains and losses on investment transactions and unrealized appreciation and depreciation of investments are reported for financial statement and federal income tax purposes on the identified cost method. C. USE OF ESTIMATES: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. D. FEDERAL INCOME TAXES: The Trust has elected to be taxed as a "regulated investment company" under the Internal Revenue Code and intends to maintain this qualification and to distribute substantially all of its net taxable income to its shareholders. In any year when net long-term capital gains are realized by the Trust, management, after evaluating the prevailing economic conditions, will recommend to the Trustees either to designate the net realized long-term gains as undistributed and pay the federal capital gains taxes thereon or to distribute all or a portion of such net gains. For the year ended December 31, 2005, the Trust had a net realized long-term taxable capital gain balance of $18,653,548, which the Trustees voted to retain and pay the federal capital gain tax thereon. The Trust has accrued a provision for federal taxes of $6,528,742 on the Statement of Operations related to the retained realized capital gains. In 2005, the Trust re-classified a total of $1,239,812 to undistributed net investment income. $417,309 was re-classified from accumulated net realized gain on investments and $822,503 was re-classified from additional paid in capital to more accurately display the Trust's capital financial position on a tax-basis in accordance with accounting principles generally accepted in the United States of America. These re-classifications had no impact on net asset value. The Trust is taxed as a regulated investment company and is therefore limited as to the amount of non-qualified income that it may receive as the result of operating a trade or business, e.g. the Trust's pro rata share of income allocable to the Trust by a partnership operating company. The Trust's violation of this limitation could result in the loss of its status as a regulated investment company, thereby subjecting all of its net income and capital gains to corporate taxes prior to distribution to its shareholders. The Trust, from time-to-time, identifies investment opportunities in the securities of entities that could cause such trade or business income to be allocable to the Trust. The MMCI Subsidiary Trust (described in Footnote 1, above) was formed in order to allow investment in such securities without adversely affecting the Trust's status as a regulated investment company. The MMCI Subsidiary Trust is not taxed as a regulated investment company. Accordingly, prior to the Trust receiving any distributions from the MMCI Subsidiary Trust, all of the MMCI Subsidiary Trust's taxable income and realized gains, including non-qualified income and realized gains, is subject to taxation at prevailing corporate tax rates. For the year ended December 31, 2005, the MMCI Subsidiary Trust had accrued tax expense on net investment income of $78,950, on net realized gains of $693,366 and deferred tax expense on net unrealized gains of $275,572. E. DISTRIBUTIONS TO SHAREHOLDERS: The Trust's records distributions to shareholders from net investment income and net realized gains, if any, on the ex-dividend date. The Trust's net investment income dividend is declared four times per year, in April, July, October, and December. The Trusts net realized capital gain distribution, if any, is declared in December. The tax character of distributions paid during the years ended December 31, 2005 and 2004 were as follows: DISTRIBUTIONS PAID FROM: 2005 2004 ----------------------------- Ordinary Income $ 20,499,802 $ 19,329,769 Long-term Capital Gains $ 208,144 -- As of December 31, 2005, the components of distributable earnings on a tax basis included $1,888,309 of undistributed ordinary income. Such distributions and distributable earnings on a tax basis are determined in conformity with income 36 MassMutual Corporate Investors NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2005 tax regulations, which may differ from accounting principles generally accepted in the United States. Net investment income of the Trust as presented under accounting principles generally accepted in the United States differs from distributable earnings due to earnings from the MMCI Subsidiary Trust as well as timing differences in the recognition of income on certain investments. 3. INVESTMENT SERVICES CONTRACT A. NEW INVESTMENT SERVICES CONTRACT: An Investment Services Contract between the Trust and Babson Capital, effective October 1, 2005 (the "New Contract"), provides for a quarterly investment advisory fee of 0.3125% of the net asset value of the Trust each quarter, which is approximately equal to 1.25% annually, with no performance adjustment. The New Contract provides that for its first eighteen months, the investment advisory fee cannot exceed the amount that Babson Capital would have been paid under the prior Investment Services Contract with the Trust dated July 1, 1988 (the "Prior Contract"). B. SERVICES: Under both the New and Prior Contracts with the Trust, Babson Capital agreed to use its best efforts to present to the Trust a continuing and suitable investment program consistent with the investment objectives and policies of the Trust. Babson Capital represents the Trust in any negotiations with issuers, investment banking firms, securities brokers or dealers and other institutions or investors relating to the Trust's investments. Under both the New and Prior Contracts, Babson Capital provides administration of the day-to-day operations of the Trust and provides the Trust with office space and office equipment, accounting and bookkeeping services, and necessary executive, clerical and secretarial personnel for the performance of the foregoing services. C. PRIOR INVESTMENT SERVICES CONTRACT: Under the Prior Contract, the Trust paid Babson Capital a quarterly base rate (the "Base Fee Rate") of 5/16 of 1% of the value of the Trust's net assets as of the end of each fiscal quarter, approximately equivalent to 1.25% of the net asset value of the Trust on an annual basis, plus or minus a quarterly performance adjustment (the "Performance Adjustment") of up to 1/16 of 1% of net asset value, approximately equivalent to plus or minus 0.25% on an annual basis. The Performance Adjustment is based on the Trust's performance as compared to a benchmark rate of return (the "Target Rate") equal to 5.0 percentage points plus an unweighted, arithmetic average of the rates of return of the Standard & Poor's Industrials Composite (formerly called the Standard & Poor's Industrial Price Index) and the Lehman Brothers Intermediate U.S. Credit Index (formerly called the Lehman Brothers Corporate Bond Index) over a rolling three-year period (the "Measurement Period") comprising the twelve quarters ending on the last day of each quarter (the "Valuation Date"). The Standard & Poor's Industrials Composite is not readily available to the general public. Babson Capital obtains the information for this index from Factset Research Systems. The three-year annualized return for the Standard & Poor's Industrials Composite for the period ended December 31, 2005 was 13.72%. The Performance Adjustment is equal to 5% of the difference between the Trust's actual rate of return over the Measurement Period and the Target Rate. If the Trust's actual rate of return exceeds the Target Rate, the Base Fee Rate is increased by an amount equal to the Performance Adjustment; if the Trust's actual rate of return is less than the Target Rate, the Base Fee Rate is reduced by the Performance Adjustment. Under the Prior Contract, the investment advisory fee payable by the Trust is equal to the Base Fee Rate (as adjusted by the Performance Adjustment) times the net asset value of the Trust as of the Valuation Date. In connection with a nationwide sweep examination of investment companies having performance fees conducted by the staff of the Fort Worth, Texas regional office of the Securities and Exchange Commission ("SEC"), the Trust received a letter stating that the SEC staff interprets Section 205 of the Investment Advisers Act of 1940 (the "Advisers Act") and the rules promulgated thereunder in a way that is inconsistent with the methodology for calculating the Performance Adjustment set forth in the Prior Contract. Retroactive adjustment to the calculation methodology for the period since July 1, 1988 (the period during which the Performance Adjustment has been in effect) using the staff's methodology would result in a reduction in aggregate investment advisory fees for that period. As a result, Babson Capital reduced its investment advisory fee for the quarters ended December 31, 2004 and March 31, 2005 by an aggregate amount of $269,788 ($176,223 for the quarter ended December 31, 2004 and $93,565 for the quarter ended March 31, 2005), which represented the excess of the aggregate investment advisory fee calculated total under the Prior Contract for the period from July 1, 1988 through June 30, 2004, over the fee calculated using the methodology identified by the SEC staff, together with interest. Babson Capital has also agreed to waive, for each quarter beginning July 1, 2004, the amount, if any, by which the investment advisory fee calculated in the manner described in the Prior Contract exceeds the sum of (i) 5/16 of 1% times the ending net asset value for that quarter plus or minus (ii) the Performance Adjustment applied against the average quarter end net assets for the Trust for the twelve-quarter period ending on such quarter, which is consistent with the methodology identified by the SEC staff. The 37 MassMutual Corporate Investors NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2005 Performance Adjustments for the periods ended March 31, June 30, and September 30, 2005 were: Performance Adjustment Amount -------------------------------------------------------------------------- March 31, 2005 0.0625% $ 122,255* -------------------------------------------------------------------------- June 30, 2005 0.0625% $ 125,025** -------------------------------------------------------------------------- September 30, 2005 0.0625% $ 128,469*** -------------------------------------------------------------------------- * Net of waiver of $18,048. ** Net of waiver of $20,570. *** Net of waiver of $21,139. Total $ 59,757 -------------------------------------------------------------------------- In addition, during the year ended December 31, 2005, the Trust was reimbursed $41,456 by an affiliate of Babson Capital due to a trading error. 4. SENIOR SECURED INDEBTEDNESS A. NOTE PAYABLE: MassMutual holds the Trust's $20,000,000 Senior Fixed Rate Convertible Note (the "Note") issued by the Trust in 1995. The Note, as amended, is due November 15, 2007 and accrues at 7.39% per annum. MassMutual, at its option, can convert the principal amount of the Note into common shares. The dollar amount of principal would be converted into an equivalent dollar amount of common shares based upon the average price of the common shares for ten business days prior to the notice of conversion. For the year ended December 31, 2005, the Trust incurred total interest expense on the Note of $1,478,000. The Trust may redeem the Note, in whole or in part, at the principal amount proposed to be redeemed together with the accrued and unpaid interest thereon through the redemption date plus the Make Whole Premium. The Make Whole Premium equals the excess of (i) the present value of the scheduled payments of principal and interest which the Trust would have paid but for the proposed redemption, discounted at the rate of interest of U.S. Treasury obligations whose maturity approximates that of the Note plus 0.50% over (ii) the principal of the Notes proposed to be redeemed. B. REVOLVING CREDIT AGREEMENT: The Revolving Credit Agreement with Bank of America (formerly, Fleet National Bank), dated June 29, 2000, matured on May 31, 2005. Effective May 31, 2005, the Trust entered into a Revolving Credit Agreement (the "New Revolver"; collectively, the "Revolvers") with The Royal Bank of Scotland PLC (the "Agent Bank"), in the principal amount of $25,000,000, maturing May 31, 2008. The New Revolver bears interest payable in arrears at a per annum rate that varies depending upon whether the Trust requests a Base Rate Loan or LIBOR Rate Loan. Interest on Base Rate Loans equals the higher of: (i) the annual "Base Rate" as set periodically by the Agent Bank and (ii) the most recent Federal Funds Effective Rate plus .50% per annum. Per annum interest on LIBOR Rate Loans equals .37% plus the London Inter Bank Offered Rate ("LIBOR") rate, divided by 1 minus LIBOR Reserve Rate. The Trust also incurs expense on the undrawn portion of the total New Revolver at a rate of .15% per annum. The Trust incurred closing costs on the New Revolver of $25,000. As of December 31, 2005, there was no outstanding amount against the New Revolver. The average daily outstanding balance was $7,761,905 and the average rate of interest attributable to the New Revolver was 3.15%. For the year ended December 31, 2005, the Trust incurred total interest expense on the Revolvers of $173,400 plus $35,217 related to the undrawn portion. 5. PURCHASES AND SALES OF INVESTMENTS FOR THE YEAR COST OF INVESTMENTS ENDED 12/31/2005 ACQUIRED -------------------------------------------------------------------------- Corporate restricted securities $ 64,305,280 Corporate public securities 20,307,068 PROCEEDS FROM SALES OR MATURITIES -------------------------------------------------------------------------- Corporate restricted securities $ 99,941,457 Corporate public securities 17,920,767 -------------------------------------------------------------------------- The aggregate cost of investments is substantially the same for financial reporting and federal income tax purposes as of December 31, 2005. The net unrealized appreciation of investments for financial reporting and federal tax purposes as of December 31, 2005 is $3,353,053 and consists of $23,558,458 appreciation and $20,205,405 depreciation. Net unrealized appreciation of investments on the Statement of Assets and Liabilities reflects the balance net of a deferred tax accrual of $275,572 on net unrealized gains in the MMCI Subsidiary Trust. 6. QUARTERLY RESULTS OF INVESTMENT OPERATIONS (unaudited) Amount Per Share ----------------------------------------------------------------------------- March 31, 2005 ----------------------------------------------------------------------------- Investment income $ 5,534,814 Net investment income 4,176,321 $ 0.46 Net realized and unrealized gain on investments (net of taxes) 1,164,599 0.13 38 MassMutual Corporate Investors NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2005 Amount Per Share ----------------------------------------------------------------------------- June 30, 2005 ----------------------------------------------------------------------------- Investment income $ 5,790,885 Net investment income 4,257,224 $ 0.47 Net realized and unrealized gain on investments (net of taxes) 7,765,845 0.86 ----------------------------------------------------------------------------- September 30, 2005 ----------------------------------------------------------------------------- Investment income 5,997,408 Net investment income 4,513,620 0.50 Net realized and unrealized gain on investments (net of taxes) 5,546,690 0.61 ----------------------------------------------------------------------------- December 31, 2005 ----------------------------------------------------------------------------- Investment income 6,817,350 Net investment income (net of taxes) 5,423,932 0.60 Net realized and unrealized gain on investments (net of taxes) 3,254,008 0.36 7. AGGREGATE REMUNERATION PAID TO OFFICERS, TRUSTEES AND THEIR AFFILIATED PERSONS During 2005, the Trust paid its Trustees aggregate remuneration of $153,000. The Trust did not pay any compensation to any of its Trustees who are "interested persons" (as defined by the 1940 Act) of the Trust during this period. The Trust classifies Messers. Crandall and Joyal and former Trustee Stuart H. Reese as "interested persons" of the Trust. All of the Trust's officers are employees of Babson Capital or MassMutual. Pursuant to the Investment Services Contracts, the Trust does not compensate its officers who are employees of Babson Capital or MassMutual. Mr. Crandall, one of the Trust's Trustees, is an "affiliated person" (as defined by the 1940 Act) of MassMutual and Babson Capital. The Trust did not make any payments to Babson Capital during 2005, other than amounts payable to Babson Capital pursuant to the Investment Services Contracts. During 2005, the Trust paid the following amounts to MassMutual, exclusive of interest expense on the Note explained in Footnote 4.A: Preparation of the Trust's Quarterly and Annual Reports to Shareholders $ 15,439 Preparation of Certain of the Trust's Shareholder communications 1,264 Preparation of the Trust's Annual Proxy Statements 1,084 ----------------------------------------------------------------------------- $ 17,787 ----------------------------------------------------------------------------- 8. CONTINGENCIES The Trust, together with other investors including MassMutual, was a plaintiff in litigation in connection with private placement investments made by the Trust in Sharp International Corporation ("Sharp"). Three managing shareholders of Sharp, which is currently being liquidated in Chapter 11 liquidation proceedings, have pleaded guilty to criminal fraud charges. Initially, two separate civil lawsuits were brought in New York state court in an attempt to recover damages for lost investment funds from Sharp's working capital lender and auditors. The first lawsuit involving Sharp's working capital lender was dismissed prior to trial. An appeal of this dismissal was unsuccessful. The second lawsuit against Sharp's auditors was settled in the Spring of 2005. Under the terms of the settlement agreement, the Trust would recover all legal fees it incurred to prosecute the lawsuit, as well as additional amounts. A related lawsuit brought by the Trustee of the Sharp bankruptcy estate against Sharp's auditors on behalf of unsecured creditors, including the Trust, was also settled at the same time. Total net proceeds to be distributed to the Trust as a result of the settlement of these two lawsuits against Sharp's auditors are expected to be approximately $1,800,000. To date, $1,764,529 has been received by the Trust. 9. CERTIFICATIONS (UNAUDITED) As required under New York Stock Exchange ("NYSE") Corporate Governance Rules, the Trust's principal executive officer has certified to the NYSE that he was not aware, as of the certification date, of any violation by the Trust of the NYSE's Corporate Governance listing standards. In addition, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and related SEC rules, the Trust's principal executive and principal financial officers have made quarterly certifications, included in filings with the SEC on Forms N-CSR and N-Q, relating to, among other things, the Trust's disclosure controls and procedures and internal control over financial reporting, as applicable. 10. SPECIAL MEETING OF SHAREHOLDERS: (UNAUDITED) At a Special Meeting of Shareholders held on August 8, 2005, shareholders of record of the Trust at the close of business on June 10, 2005 voted to approve the New Contract which was approved and recommended by the Trustees on April 22, 2005. 5,034,650 shares were voted in favor of the New Contract, 141,712 shares were voted against, and 92,840 shares abstained (out of a total of 9,028,531 outstanding eligible shares). A total of 58.36% of the Trust's outstanding shares were present in person or by proxy at the Special Meeting and 95.55% of the 5,269,202 outstanding shares present voted in favor of the New Contract. 39 MassMutual Corporate Investors REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM The Shareholders and Board of Trustees of MassMutual Corporate Investors We have audited the accompanying statement of assets and liabilities of MassMutual Corporate Investors (the "Trust"), including the schedule of investments, as of December 31, 2005, and the related statements of operations and cash flows for the year then ended and the statements of changes in net assets and financial highlights for each of the years in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the years in the three-year period ended December 31, 2003 were audited by other independent registered public accountants whose report, dated February 6, 2004, expressed an unqualified opinion on those financial highlights. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2005, by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of MassMutual Corporate Investors as of December 31, 2005, and the results of its operations, its cash flows, the changes in its net assets, and the financial highlights for each of the years described above in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP Boston, Massachusetts February 6, 2006 40 MassMutual Corporate Investors INTERESTED TRUSTEES
PRINCIPAL PORTFOLIOS POSITION OCCUPATION(S) OVERSEEN OTHER NAME (AGE), WITH OFFICE TERM/LENGTH DURING PAST IN FUND DIRECTORSHIPS ADDRESS THE TRUST OF TIME SERVED 5 YEARS COMPLEX HELD BY DIRECTOR ------------------------------------------------------------------------------------------------------------------------------------ ROGER W. CRANDALL* (41) Trustee 3 years/ Executive Vice President 2 Trustee, Chairman (since Massachusetts Mutual (since 2005) 7 months** and Chief Investment 2005), President Life Insurance Company Officer (since 2005) of (2003-2005) and Vice 1295 State Street Chairman 1 year/ MassMutual; and Chairman President (2002-2003) of Springfield, MA 01111 (since 2005) 7 months*** (since 2005), Vice the Trust; Director (since Chairman (2005), Member 2004), Babson Capital of the Board of Managers Europe Limited (an NOMINEE FOR TRUSTEE (since 2004), Director institutional debt-fund (2003-2004), and Managing manager); Director (since Director of Babson 2005), Babson Capital Capital (2000-2005). Japan KK (a Japanese registered investment adviser); Non- Executive Director (since 2005), Baring Asset Management Limited (an investment manager/adviser); Chairman (since 2005), Cornerstone Real Estate Advisers LLC (an investment adviser); Director (since 1996), HYP Management LLC (LLC manager); Director (since 2003), MassMutual Corporate Value Partners Limited (investment company); Director (since 2003), MassMutual Corporate Value Limited (investment company); Director (since 2005), MassMutual Holdings (Bermuda) Ltd. (holding company); Director (since 2005), MassMutual Holding MSC, Inc. (holding company); Director (since 1996), MMHC Investment LLC (investment company); Director (since 2004), MML Assurance, Inc. (a New York Insurance Company); Director (since 2005), Oppenheimer Acquisition Corp. (holding company); Director (since 2004), Jefferies Babson Finance LLC (a joint venture between Jefferies Group Inc. and Babson Capital); Director (since 2004), Great Lakes LLC (investment company); Director (since 1999), SAAR Holdings CDO Ltd. (investment company); Trustee (since 2003), President (2003-2005), and Chairman (since 2005) MMCI Subsidiary Trust and MMPI Subsidiary Trust; and Trustee (since 2005), Chairman (since 2005), President (2003-2005), and Vice President (2002-2003) of MassMutual Participation Investors (closed-end investment advised by Babson Capital).
* MR. CRANDALL IS AN "INTERESTED PERSON" OF THE TRUST AND BABSON CAPITAL (AS DEFINED BY THE 1940 ACT) BECAUSE OF HIS POSITION AS AN OFFICER OF THE TRUST; AN EXECUTIVE OFFICER OF MASSMUTUAL; AND CHAIRMAN AND MEMBER OF THE BOARD OF MANAGERS OF BABSON CAPITAL. ** MR. CRANDALL WAS APPOINTED TO THE BOARD OF TRUSTEES ON JULY 15, 2005 TO FILL THE VACANT SEAT CREATED BY THE RESIGNATION OF STUART H. REESE, THE TERM OF WHICH EXPIRES IN 2006. *** MR. CRANDALL WAS ELECTED CHAIRMAN OF THE BOARD OF TRUSTEES ON JULY 15, 2005. 41 MassMutual Corporate Investors INTERESTED TRUSTEES
PRINCIPAL PORTFOLIOS POSITION OCCUPATION(S) OVERSEEN OTHER NAME (AGE), WITH OFFICE TERM/LENGTH DURING PAST IN FUND DIRECTORSHIPS ADDRESS THE TRUST OF TIME SERVED 5 YEARS COMPLEX HELD BY DIRECTOR ------------------------------------------------------------------------------------------------------------------------------------ ROBERT E. JOYAL* (61) Trustee 3 years/ President (2001-2003), 33 President (1999-2003) and MassMutual (since 2003) 1 year, Managing Director Trustee (since 2003) of Corporate Investors 10 months (2000-2001), and Executive the Trust; Director (since 1500 Main Street Director (1999-2000) of 2006), Jefferies Group Suite 600 Babson Capital; and Inc. (global investment Springfield, MA 01115 Executive Director bank and institutional (1997-1999) of MassMutual. securities firm); Director (since 2005), York Enhanced Strategies Fund (a closed-end investment company); Director (since 2003), Pemco Aviation Group, Inc. (aircraft maintenance and overhaul); Trustee (since 2003), MassMutual Select Funds, formerly MassMutual Institutional Funds, (an openend investment company advised by MassMutual); Trustee (since 2003), MML Series Investment Fund (an open-end investment company advised by MassMutual); Trustee (1998-2003), Senior Vice President (1998-2001) and President (2001-2003), MMCI Subsidiary Trust and MMPI Subsidiary Trust; and President (1999-2003), Trustee (since 2003), MassMutual Participation Investors (closed-end investment company advised by Babson Capital).
* MR. JOYAL RETIRED AS PRESIDENT OF BABSON CAPITAL IN JUNE 2003. HE CONTINUES TO SERVE AS A DIRECTOR OR TRUSTEE OF SEVERAL ENTITIES AFFILIATED WITH MASSMUTUAL, BABSON CAPITAL'S INDIRECT PARENT COMPANY. ACCORDINGLY, THE TRUST CLASSIFIES MR. JOYAL AS AN "INTERESTED PERSON" OF THE TRUST AND BABSON CAPITAL (AS DEFINED BY THE 1940 ACT). 42 MassMutual Corporate Investors INDEPENDENT TRUSTEES
PRINCIPAL PORTFOLIOS POSITION OCCUPATION(S) OVERSEEN OTHER NAME (AGE), WITH OFFICE TERM/LENGTH DURING PAST IN FUND DIRECTORSHIPS ADDRESS THE TRUST OF TIME SERVED 5 YEARS COMPLEX HELD BY DIRECTOR ------------------------------------------------------------------------------------------------------------------------------------ MICHAEL H. BROWN (49) Trustee 3 years/ Private Investor; 2 Trustee (since 2005), MassMutual (since 2005) 7 months* and Managing Director MassMutual Participation Corporate Investors (1994-2005), Investors (a closed-end 1500 Main Street Morgan Stanley. investment company advised Suite 600 by Babson Capital). Springfield, MA 01115 ------------------------------------------------------------------------------------------------------------------------------------ JACK A. LAUGHERY (71) Trustee 3 years/ President and Partner 2 Director (since 1993), MassMutual (since 1996) 10 months (since 1996), Laughery Papa John's International Corporate Investors Investments (private (food service companies); 1500 Main Street investments). and Trustee (since 1996), Suite 600 MassMutual Participation Springfield, MA 01115 Investors (closed-end investment company advised by Babson Capital).
* MR. BROWN WAS ELECTED BY THE BOARD OF TRUSTEES TO FILL A NEWLY CREATED BOARD SEAT ON JULY 15, 2005. 43 MassMutual Corporate Investors INDEPENDENT TRUSTEES
PRINCIPAL PORTFOLIOS POSITION OCCUPATION(S) OVERSEEN OTHER NAME (AGE), WITH OFFICE TERM/LENGTH DURING PAST IN FUND DIRECTORSHIPS ADDRESS THE TRUST OF TIME SERVED 5 YEARS COMPLEX HELD BY DIRECTOR ------------------------------------------------------------------------------------------------------------------------------------ CORINE T. NORGAARD (68) Trustee 3 years/ President, (2004-2005), 32 Trustee (since 2005), MML MassMutual (since 1998) 10 months Thompson Enterprises Real Series Investment Fund II Corporate Investors Estate Investment; and (an open-end investment 1500 Main Street Dean (1996-2004), Barney company advised by Suite 600 School of Business, MassMutual); Trustee Springfield, MA 01115 University of Hartford. (since 2004), MassMutual Premier Funds, formerly The DLB Fund Group (an open-end investment company advised by MassMutual); Trustee (since 1993), ING Series Fund (investment company); Director (since 1992), ING Variable Series Fund; and Trustee (since 1998), MassMutual Participation Investors (a closed-end investment company advised by Babson Capital). ------------------------------------------------------------------------------------------------------------------------------------ DONALD E. BENSON (75) Trustee 3 years/ Executive Vice President 2 Director (since 1997), MassMutual (since 1986) 1 year, and Director (since 1992), MAIR Holdings, Inc. Corporate Investors 10 months Marquette Financial (commuter airline holding 1500 Main Street Companies (financial company); Director (since Suite 600 services); Partner (since 1997), National Mercantile Springfield, MA 01115 1996), Benson Family Bancorp (bank holding Limited Partnership No. 1 company); and Trustee and Benson Family Limited (since 1988), MassMutual Partnership No. 2 Participation Investors (investment partnerships); (closed-end investment and Partner (1987-2004), company advised by Babson Benson, Pinckney, Oates Capital). Partnership (building partnership).
44 MassMutual Corporate Investors INDEPENDENT TRUSTEES
PRINCIPAL PORTFOLIOS POSITION OCCUPATION(S) OVERSEEN OTHER NAME (AGE), WITH OFFICE TERM/LENGTH DURING PAST IN FUND DIRECTORSHIPS ADDRESS THE TRUST OF TIME SERVED 5 YEARS COMPLEX HELD BY DIRECTOR ------------------------------------------------------------------------------------------------------------------------------------ DONALD GLICKMAN (72) Trustee 3 years/ Chairman (since 1992), 2 Director (since 1984), MassMutual (since 1992) 1 year, Donald Glickman and Monro Muffler Brake, Inc. Corporate Investors 10 months Company, Inc. (investment (automobile repair 1500 Main Street banking); and Partner service); Director (since Suite 600 (since 1992), J.F. Lehman 1998), MSC Software Corp. Springfield, MA 01115 & Co. (private (simulation software); investments). Director (2002-2006), OAOT, Inc. (ITC Services); and Trustee (since 1992), MassMutual Participation Investors (closed-end investment company advised by Babson Capital). ------------------------------------------------------------------------------------------------------------------------------------ MARTIN T. HART (70) Trustee 3 years/ Private Investor; and 2 Director (since 2004), MassMutual (since 1991) 2 years, President and Director Texas Roadhouse, Inc. Corporate Investors 10 months (since 1983), H Investment (operates restaurant 1500 Main Street Company LLC (family chain); Director (since Suite 600 partnership). 1999), ValueClick Inc. Springfield, MA 01115 (internet advertising company); Director (since 2002), Spectranetics Corp. NOMINEE (medical device company); FOR TRUSTEE and Trustee (since 1991), MassMutual Participation Investors (closed-end investment company advised by Babson Capital).
45 MassMutual Corporate Investors OFFICERS OF THE TRUST
PRINCIPAL POSITION OCCUPATION(S) NAME (AGE), WITH OFFICE TERM/LENGTH DURING PAST ADDRESS THE TRUST OF TIME SERVED 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ CLIFFORD M. NOREEN (48) President 1 year/ President (since 2005), Vice President (1993-2005) of the Trust; MassMutual 7 months Managing Director (since 2000) of Babson Capital; Managing Director Corporate Investors (1996-1999) of MassMutual; Trustee (since 2005), and President 1500 Main Street (since 2005), MMCI Subsidiary Trust and MMPI Subsidiary Trust; and Suite 600 President (since 2005), Vice President (1993-2005), MassMutual Springfield, MA 01115 Participation Investors. ------------------------------------------------------------------------------------------------------------------------------------ STEPHEN L. KUHN (59) Vice 1 year/ Vice President (since 1989) and Secretary (since 1980) of the Trust; MassMutual President, 7 months Senior Vice President (since 1999), Deputy General Counsel (since Corporate Investors Secretary, 1998), and Secretary (since 2005) of MassMutual; General Counsel and 1500 Main Street and Chief Secretary (2000-2006) of Babson Capital; Secretary (since 1998), Suite 600 Legal MMCI Subsidiary Trust and MMPI Subsidiary Trust; and Vice President Springfield, MA 01115 Officer and Secretary (since 1988), MassMutual Participation Investors. ------------------------------------------------------------------------------------------------------------------------------------ JAMES M. ROY (43) Vice 1 year/ Vice President and Chief Financial Officer (since 2005), Treasurer MassMutual President 7 months (2003-2005), and Associate Treasurer (1999-2003) of the Trust; Corporate Investors and Chief Director (since 2000) of Babson Capital; Associate Director 1500 Main Street Financial (1996-1999) of MassMutual; Trustee (since 2005), Treasurer (since Suite 600 Officer 2005), and Controller (2003-2005), MMCI Subsidiary Trust and MMPI Springfield, MA 01115 Subsidiary Trust; and Vice President and Chief Financial Officer (since 2005), Treasurer (2003-2005) and Associate Treasurer (1999-2003), MassMutual Participation Investors. ------------------------------------------------------------------------------------------------------------------------------------ JOHN T. DAVITT, JR. (38) Comptroller 1 year/ Comptroller (since 2001) of the Trust; Director (since 2000) of MassMutual 7 months Babson Capital; Associate Director (1997-1999) of MassMutual; Corporate Investors Controller (since 2005), MMCI Subsidiary Trust and MMPI Subsidiary 1500 Main Street Trust; and Comptroller (since 2001), MassMutual Participation Suite 600 Investors. Springfield, MA 01115 ------------------------------------------------------------------------------------------------------------------------------------ MELISSA M. LAGRANT (32) Chief 6 months/ Chief Compliance Officer (since 2006) of the Trust; Managing MassMutual Compliance 1 month* Director (since 2005) of Babson Capital; Vice President and Senior Corporate Investors Officer Compliance Trading Manager (2003-2005), Loomis, Sayles & Company, 1500 Main Street L.P.; Assistant Vice President-Business Risk Management Group Suite 600 (2002-2003), and Assistant Vice President-Investment Compliance Springfield, MA 01115 (2001-2002), Zurich Scudder Investments/Deutsche Asset Management; and Chief Compliance Officer (since 2006), MassMutual Participation Investors. ------------------------------------------------------------------------------------------------------------------------------------ LAURA L. GRANT (33) Treasurer 1 year/ Treasurer (since 2005) of the Trust; Associate Director (since 2000) MassMutual 7 months of Babson Capital; and Treasurer (since 2005), MassMutual Corporate Investors Participation Investors. 1500 Main Street Suite 600 Springfield, MA 01115
* MELISSA LAGRANT WAS ELECTED CHIEF COMPLIANCE OFFICER BY THE BOARD ON JANUARY 20, 2006 TO FILL THE VACANCY CREATED BY MARY ELLEN WESNESKI'S RESIGNATION AS CHIEF COMPLIANCE OFFICER ON NOVEMBER 18, 2005. 46 MassMutual Corporate Investors [PHOTO APPEARS HERE] -------------------------------------------------------------------------------- Members of the Board of Trustees -------------------------------------------------------------------------------- Donald Glickman Chairman, Donald Glickman & Company, Inc. Robert E. Joyal Retired President of Babson Capital Management LLC Jack A. Laughery President and Partner, Laughery Investments Michael H. Brown Private Investor Donald E. Benson* Executive Vice President and Director, Marquette Financial Companies Corine T. Norgaard* President, Thompson Enterprises Real Estate Investment Roger W. Crandall Executive Vice President and Chief Investment Officer, Massachusetts Mutual Life Insurance Company Martin T. Hart* Private Investor *Member of the Audit Committee DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN MassMutual Corporate Investors offers a Dividend Reinvestment and Share Purchase Plan. The Plan provides a simple way for shareholders to add to their holdings in the Trust through the receipt of dividend shares issued by the Trust or through the reinvestment of cash dividends in Trust shares purchased in the open market. A shareholder may join the Plan by filling out and mailing an authorization card to Shareholder Financial Services, Inc., the Transfer Agent. Participating shareholders will continue to participate until they notify the Transfer Agent, in writing, of their desire to terminate participation. Unless a shareholder elects to participate in the Plan, he or she will, in effect, have elected to receive dividends and distributions in cash. Participating shareholders may also make additional contributions to the Plan from their own funds. Such contributions may be made by personal check or other means in an amount not less than $10 nor more than $5,000 per quarter. Whenever the Trust declares a dividend payable in cash or shares, the Transfer Agent, acting on behalf of each participating shareholder, will take the dividend in shares only if the net asset value is lower than the market price plus an estimated brokerage commission as of the close of business on the valuation day. The valuation day is the last day preceding the day of dividend payment. When the dividend is to be taken in shares, the number of shares to be received is determined by dividing the cash dividend by the net asset value as of the close of business on the valuation date or, if greater than net asset value, 95% of the closing share price. If the net asset value of the shares is higher than the market value plus an estimated commission, the Transfer Agent, consistent with obtaining the best price and execution, will buy shares on the open market at current prices promptly after the dividend payment date. The reinvestment of dividends does not, in any way, relieve participating shareholders of any federal, state or local tax. For federal income tax purposes, the amount reportable in respect of a dividend received in newly-issued shares of the Trust will be the fair market value of the shares received, which will be reportable as ordinary income and/or capital gains. As compensation for its services, the Transfer Agent receives a fee of 5% of any dividend and cash contribution (in no event in excess of $2.50 per distribution per shareholder.) Any questions regarding the Plan should be addressed to Shareholder Financial Services, Inc., Agent for MassMutual Corporate Investors' Dividend Reinvestment and Share Purchase Plan, P.O. Box 173673, Denver, CO 8021 7-3673. -------------------------------------------------------------------------------- Officers --------------------------------------------------------------------------------
Roger W. Crandall James M. Roy Michael P. Hermsen Michael L. Klofas Laura L. Grant CHAIRMAN VICE PRESIDENT & VICE PRESIDENT VICE PRESIDENT TREASURER CHIEF FINANCIAL OFFICER Clifford M. Noreen Mary Wilson Kibbe Richard E. Spencer, II John T. Davitt, Jr. PRESIDENT Stephen L. Kuhn VICE PRESIDENT VICE PRESIDENT COMPTROLLER VICE PRESIDENT, SECRETARY & CHIEF LEGAL OFFICER Melissa M. LaGrant CHIEF COMPLIANCE OFFICER
[LOGO] MassMutual Corporate Investors DB1035 206 ITEM 2. CODE OF ETHICS. The Registrant adopted a Code of Ethics for Senior Financial Officers (the "Code") on October 17, 2003, which is available on the Registrant's website at www.babsoncapital.com/mci. During the period covered by this Form N-CSR, there were no amendments to, or waivers from, the Code. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Mr. Donald E. Benson, a Trustee of the Registrant and a member of its Audit Committee, is an audit committee financial expert. Mr. Benson is "independent" for purposes of this Item 3 as required by applicable regulation. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. FEES BILLED TO THE REGISTRANT KPMG LLP KPMG LLP Year Ended Year Ended December 31, December 31, 2005 2004 ---------- ---------- Audit Fees $ 34,000 $ 32,500 Audit-Related Fees 5,200 5,000 Tax Fees 32,900 33,500 All Other Fees 0 0 ---------- ---------- Total Fees $ 72,100 $ 71,000 ========== ========== NON-AUDIT FEES BILLED TO BABSON CAPITAL AND MASSMUTUAL KPMG LLP KPMG LLP Year Ended Year Ended December 31, December 31, 2005 2004 ---------- ---------- Audit-Related Fees $1,271,816 $ 362,400 Tax Fees 0 0 All Other Fees 0 400,000 ---------- ---------- Total Fees $1,271,816 $ 762,400 ========== ========== The category "Audit Related Fees" reflects fees billed by KPMG for services reasonably related to the audit and the Registrant, Babson Capital Management LLC ("Babson Capital") and Massachusetts Mutual Life Insurance Company ("MassMutual"), such as SAS 70 review, a Sarbanes-Oxley Readiness Assessment and agreed upon procedures reports. Preparation of Federal, state and local income tax and compliance work are representative of the fees billed in the "Tax Fees" category. The category "All Other Fees" represents fees billed by KPMG for tax consulting rendered to Babson Capital and MassMutual. The Sarbanes-Oxley Act of 2002 and its implementing regulations allows the Registrant's Audit Committee to establish a pre-approval policy for certain services rendered by the Registrant's independent accountants. During 2005, the Registrant's Audit Committee approved all of the services rendered to the Registrant by KPMG and did not rely on such a pre-approval policy for any such services. The Audit Committee reviewed the aggregate fees billed for professional services rendered by KPMG for the Registrant and for the non-audit services provided to Babson Capital, and Babson Capital's parent, MassMutual. As part of this review, the Audit Committee considered whether the provision of such non-audit services were compatible with maintaining the principal accountant's independence. The 2004 fees billed represent final 2004 amounts, which may differ from the preliminary figures available as of the filing date of the Trust's 2005 Annual Form N-CSR and includes, among other things, fees for services that may not have been billed as of the filing date of the Trust's 2005 Annual Form N-CSR, but are now properly included in the 2004 fees billed to the Trust, Babson Capital, and MassMutual. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. The Registrant maintains an Audit Committee composed exclusively of Trustees of the Registrant who qualify as "independent" Trustees under the current listing standards of the New York Stock Exchange and the rules of U.S. Securities and Exchange Commission. The Committee operates pursuant to a written Audit Committee Charter, which is available (1) on the Registrant's website, www.babsoncapital.com/mpv; and (2) without charge, upon request, by calling, toll-free 866-399-1516. The current members of the Audit Committee are Donald E. Benson, Martin T. Hart, and Corine T. Norgaard. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable for this filing. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED END MANAGEMENT INVESTMENT COMPANIES. The Registrant's Board of Trustees has delegated proxy voting responsibilities relating to voting securities held by the Registrant to its investment adviser, Babson Capital Management LLC ("Babson Capital"). A summary of Babson Capital's proxy voting policies and procedures is set forth below. Summary of Babson Capital's Proxy Voting Policy ----------------------------------------------- Babson Capital views the voting of proxies as an integral part of its investment management responsibility and believes, as a general principle, that proxies should be voted solely in the best interests of its clients (i.e. prudently and in a manner believed by Babson Capital to best protect and enhance an investor's returns). To implement this general principle, it is Babson Capital's policy to generally vote proxies in accordance with the recommendations of Institutional Shareholder Services ("ISS"), a recognized authority on proxy voting and corporate governance, or, in cases where ISS has not made any recommendations with respect to a proxy, in accordance with ISS's proxy voting guidelines. Babson Capital recognizes, however, that there may be times when Babson Capital believes that it will be in the best interests of clients holding the securities to (1) vote against ISS's recommendations or (2) in cases where ISS has not provided Babson Capital with any recommendations with respect to a proxy, vote against ISS's proxy voting guidelines. Babson Capital may vote, in whole or part, against ISS's recommendations or ISS's proxy voting guidelines, as applicable, if such vote is authorized by the Policy. The procedures set forth in the Policy are designed to ensure that votes against ISS's recommendations or proxy voting guidelines have been made in the best interests of clients and are not the result of any material conflict of interest (a "Material Conflict"). Summary of Babson Capital's Proxy Voting Procedures --------------------------------------------------- Babson Capital has (1) established a Proxy Committee that is responsible for the implementation and governance of the Policy and (2) designated Proxy Administrators who will receive and post proxies for voting with ISS. In accordance with the Policy, Babson Capital will generally vote all client proxies in accordance with ISS's recommendation or proxy voting guidelines, unless a person authorized by the Proxy Committee (each a "Proxy Analyst") determines that it is in its clients' best interest to vote against ISS's recommendation or proxy voting guidelines. In these cases, Babson Capital will vote against ISS's recommendation or proxy voting guidelines, so long as no other Proxy Analyst reviewing such proxy disagrees with such recommendation, and no known Material Conflict is identified by the Proxy Analyst(s) or the Proxy Administrator. Otherwise, the proxy is to be submitted to a member of the Proxy Committee, who shall determine how to vote the proxy unless (i) the Proxy Administrator has identified a Babson Capital Material Conflict or (ii) said Proxy Committee member has identified a Material Conflict. In such cases, the proxy shall be submitted to the Proxy Committee, which may authorize a vote against ISS's recommendation or proxy voting guidelines only if the Proxy Committee determines that such vote is in the clients' best interests. No employee, officer or director of Babson Capital or its affiliates (other than those assigned such responsibilities under the Policy) may influence how Babson Capital votes any proxy, unless such person has been requested to provide such assistance by a Portfolio Manager or Proxy Committee member and has disclosed any known Material Conflict. Any pre-vote communications prohibited by the Policy shall be reported to the Proxy Committee member prior to voting and to Babson Capital's General Counsel. Obtaining a Copy of the Policy ------------------------------ The full text of Babson Capital's Policy is available (1) without charge, upon request, by calling 1-866-399-1516 or (2) on the Registrant's website, www.babsoncapital.com/mci. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. The following disclosure item is made as of the date of this Form N-CSR unless otherwise indicated. PORTFOLIO MANAGER. Clifford M. Noreen serves as the President of the Registrant (since 2005) and as its Portfolio Manager. Mr. Noreen began his service to the Registrant in 1993 as a Vice President. With over 24 years of industry experience, Mr. Noreen is a Managing Director of Babson Capital Management LLC ("Babson Capital") and head of Babson Capital's Corporate Securities Group, where he oversees all corporate credit related investments, including public and private bonds, mezzanine, and private equity investments, as well as structured credit products. Mr. Noreen joined Massachusetts Mutual Life Insurance Company ("MassMutual"), Babson Capital's parent company, in 1985 and began leading its High Yield Team in 1992, where he was responsible for oversight of all public high yield portfolios. In 2004, Mr. Noreen assumed responsibility for Babson Capital's Public Corporate Credit Group, which included the Investment Grade and High Yield Institutional Fixed Income teams. Mr. Noreen also presently serves as President of MassMutual Participation Investors, another closed-end investment company advised by Babson Capital. Mr. Noreen holds a B.A. from the University of Massachusetts and an M.B.A from American International College. PORTFOLIO MANAGEMENT TEAM. Mr. Noreen has primary responsibility for overseeing the investment of the Registrant's portfolio, with the day-to-day investment management responsibility of the Registrant's portfolio being shared with the following Babson Capital investment professionals (together with the Portfolio Manager, the "Portfolio Team"). Michael P. Hermsen, Michael L. Klofas, and Richard E. Spencer II are each a Vice President of the Registrant and a managing Director of Babson Capital. Together they are responsible for managing Babson Capital's Mezzanine Investment and Private Equity Investments team within the Corporate Securities Group, which is responsible for finding, analyzing, negotiating and servicing mezzanine private placement securities for the Registrant. Mr. Hermsen joined MassMutual in 1990 and has been an officer of the Registrant since 1992. Previously, he worked at Teachers Insurance and Annuity Association where he was a generalist private placement analyst. At MassMutual and then Babson Capital, Mr. Hermsen has analyzed and invested in traditional private placements, high yield public and private bonds, and leveraged bank loans. He has also been responsible for managing a small portfolio of distressed investments. Since 1993, he has focused on originating, analyzing, structuring and documenting mezzanine and private equity investments. He holds a B.A. from Bowdoin College and an M.B.A. from Columbia University. Mr. Klofas joined MassMutual in 1988 and has been an officer of the Registrant since 1989. Prior to joining MassMutual, he spent two years at a small venture capital firm and two years at a national public accounting firm. At MassMutual and then Babson Capital, Mr. Klofas has analyzed and invested in traditional private placements and high yield public bonds. He also spent four years leading Babson Capital's workout and restructuring activities. Since 1993, he has focused on originating, analyzing, structuring and documenting mezzanine and private equity investments. Mr. Klofas holds a B.A. from Brandeis University and an M.B.A. from Babson College as well as a Certified Public Accountant designation. Mr. Spencer joined MassMutual in 1989 after three years as a corporate loan analyst at a major New England bank. He has been an officer of Registrant since 1990. At MassMutual and then Babson Capital, Mr. Spencer has analyzed and invested in traditional private placements, high yield public and private bonds, leveraged bank loans, mezzanine debt and private equity. From 1993 to 1999, he was the lead restructuring professional at Babson Capital. Since 1999, Mr. Spencer has been focused on the origination, analysis, structuring and documentation of mezzanine and private equity investments. He holds a B.A. from Bucknell University and an M.B.A. from the State University of New York at Buffalo. Starting in 2006, Jill A. Fields assumed primary day-to-day responsibility for managing the Registrant's public high yield and investment grade fixed income portfolio. Ms. Fields, a Managing Director of Babson Capital with over 19 years of industry experience, is responsible for portfolio management of Babson Capital's high yield total return strategy. Prior to joining Babson Capital in 1997, she was a credit analyst at Shawmut National Bank, and the Director of Corporate Bond Research at Hartford Life Insurance Group. Ms. Fields holds a B.S. from Pennsylvania State University and an M.B.A. from the University of Connecticut. OTHER ACCOUNTS MANAGED BY THE PORTFOLIO TEAM. The members of the Registrant's Portfolio Team also have primary responsibility for the day-to-day management of other Babson Capital advisory accounts, including, among others, closed-end and open-end investment companies, private investment funds, MassMutual-affiliated accounts, as well as separate accounts for institutional clients. These advisory accounts are identified below.
NUMBER OF ACCOUNTS APPROXIMATE TOTAL WITH ASSET SIZE OF NUMBER APPROXIMATE PERFORMANCE- PERFORMANCE- PORTFOLIO ACCOUNT OF TOTAL ASSET BASED BASED ADVISORY TEAM CATEGORY ACCOUNTS SIZE(A) ADVISORY FEE FEE ACCOUNTS(A) ------------ --------------------- -------- ------------ ------------ -------------- Clifford M. Registered Investment Noreen(B) Companies 2 $306.4 million 0 N/A ----------------------------------------------------------------------------------------- Other Pooled Investment Vehicles 2 $112.6 million 2 $112.6 million ----------------------------------------------------------------------------------------- Other Accounts 2 $133.7 million 2 $133.7 million ----------------------------------------------------------------------------------------- Jill A. Registered Investment Fields Companies 3 $565.2 million 0 N/A ----------------------------------------------------------------------------------------- Other Pooled Investment Vehicles 3 $214.3 million 3 $214.3 million ----------------------------------------------------------------------------------------- Other Accounts 3 $361.2 million 2 $133.9 million ----------------------------------------------------------------------------------------- Michael P. Registered Investment Hermsen Companies 1 $131 million N/A N/A ----------------------------------------------------------------------------------------- Other Pooled Investment Vehicles 5 $341.2 million 5 $341.2 million ----------------------------------------------------------------------------------------- Other Accounts 1C $1.1 billion N/A N/A ----------------------------------------------------------------------------------------- Michael L. Registered Investment Klofas Companies 1 $131 million N/A N/A ----------------------------------------------------------------------------------------- Other Pooled Investment Vehicles 5 $341.2 million 5 $341.2 million ----------------------------------------------------------------------------------------- Other Accounts 1C $1.1 billion N/A N/A ----------------------------------------------------------------------------------------- Richard E. Registered Investment Spencer II Companies 1 $131 million N/A N/A ----------------------------------------------------------------------------------------- Other Pooled Investment Vehicles 5 $341.2 million 5 $341.2 million ----------------------------------------------------------------------------------------- Other Accounts 1C $1.1 billion N/A N/A
(A) Account asset size has been calculated as of December 31, 2005. (B) Mr. Noreen, as the head of Babson Capital's Corporate Securities Group, has overall responsibility for all corporate credit related investments, including public and private bonds, mezzanine, and private equity investments, as well as structured credit products managed by Babson Capital. Except for the accounts noted in the table above, Mr. Noreen is not primarily responsible for the day-to-day management of the other accounts managed by Babson Capital's Corporate Securities Group. (C) The listed account and managed assets represent that portion of the general investment account of Massachusetts Mutual Life Insurance Company and C.M. Life Insurance Company for which an individual Portfolio Team member has primary day-to-day responsibility. As of December 31, 2005, Babson Capital's total general investment account assets under management were $56.9 billion dollars. MATERIAL CONFLICTS OF INTEREST. The potential for material conflicts of interest may exist as the members of the Portfolio Team have responsibilities for the day-to-day management of multiple accounts. These conflicts may be heightened to the extent the individual, Babson Capital and/or an affiliate has an investment in one or much of such accounts or an interest in the performance of such accounts. Babson Capital has identified (and summarized below) areas where material conflicts of interest are most likely to arise, and has adopted policies and procedures that it believes are reasonably designed to address such conflicts. It is possible that an investment opportunity may be suitable for both the Registrant and other accounts managed by a member of the Portfolio Team, but may not be available in sufficient quantities for both the Registrant and the other accounts to participate fully. Similarly, there may be limited opportunity to sell an investment held by the Registrant and another account. A conflict may arise where a member of the Portfolio Team may have an incentive to treat an account preferentially as compared to the Registrant because the account pays Babson Capital a performance-based fee or a member of the Portfolio Team, Babson Capital, or an affiliate has an interest in the account. Babson Capital has adopted an investment allocation policy and trade allocation procedures to address allocation of portfolio transactions and investment opportunities across multiple clients. These policies are designed to achieve fair and equitable treatment of all clients over time, and specifically prohibit allocations based on performance of an account, the amount or structure of the management fee, performance fee or profit sharing allocations, participation or investment by an employee, Babson Capital or an affiliate, whether the account is public, private, proprietary or third party. Additionally, the Registrant, MassMutual, Babson Capital, MassMutual Participation Investors, and any private investment company advised or sub-advised by Babson Capital have obtained a blanket order from the Securities and Exchange Commission pursuant to Section 17(d), and Rule 17(d)-1 thereunder, of the Investment Company Act of 1940, as amended, which sets forth the conditions by which the entities can engage in private placement co-investment activities. Potential material conflicts of interest may also arise related to the knowledge and timing of the Registrant's trades, investment opportunities and broker selection. A member of the Portfolio Team will have information about the size, timing and possible market impact of the Registrant's trades. It is theoretically possible that a member of the Portfolio Team could use this information for his or her personal advantage or the advantage of other accounts he manages or the possible detriment of the Registrant. For example, a member of the Portfolio Team could front run a fund's trade or short sell a security for an account immediately prior to the Registrant's sale of that security. To address these conflicts, Babson Capital has adopted policies and procedures governing employees' personal securities transactions, the use of short sales, and trading between the Registrant and other accounts managed by members of the Portfolio Team or accounts owned by Babson Capital or its affiliates. With respect to securities transactions for the Registrant, Babson Capital determines which broker to use to execute each order, consistent with its duty to seek best execution of the transaction. Babson Capital manages certain other accounts, however, where Babson Capital may be limited by the client with respect to the selection of brokers or directed to trade such client's transactions through a particular broker. In these cases, trades for a fund in a particular security may be placed separately from, rather than aggregated with, such other accounts. Placing separate transaction orders for a security may temporarily affect the market price of the security or otherwise affect the execution of the transaction to the possible detriment of a fund or the other account(s) involved. Babson Capital has policies and procedures that address best execution and directed brokerage. Members of the Portfolio Team may also face other potential conflicts of interest in managing the Registrant, and the above is not a complete description of every conflict of interest that could be deemed to exist in managing both the Registrant and the other accounts listed above. COMPENSATION. The current Babson Capital compensation and incentive program for investment professionals is designed to attract, motivate and retain high-performing individuals. To help Babson Capital make informed decisions, the Company participates in annual compensation surveys of investment management firms using McLagan Partners, in addition to other industry specific resources. The firms selected for periodic peer-group comparisons typically have similar asset size or business mix. Annually, a review is conducted of total compensation versus market, to ensure that individual pay is competitive with the defined overall market. The compensation package for the members of the Portfolio Team is comprised of a market-driven base salary, a performance-driven annual bonus, and discretionary long-term incentives. The performance-driven bonus is based on the performance of the accounts managed by the members of the Portfolio Team relative to appropriate benchmarks, including with respect to the Registrant, to the Lehman Brothers Intermediate U.S. Credit and the S & P Industrial Index, in addition to the Russell 2000 Index and Lehman Brothers U.S. Corporate High Yield Index. Performance of the Registrant, like other accounts Portfolio Team members manage, are evaluated on a pre-tax basis, and are reviewed over one and three-year periods, with greater emphasis given to the latter. There are other factors that affect bonus awards to a lesser extent, such as client satisfaction, teamwork, the assets under management, and the overall success of Babson Capital. Such factors are considered as a part of the overall annual bonus evaluation process by the management of Babson Capital. Long-Term incentives are designed to share with participants the longer-term value created in Babson Capital. Long-term incentives may take the form of deferred cash awards (including deferred cash awards that provide a portfolio manager with the economic equivalent of a "shareholder" interest in the firm by linking the value of the award to a formula which ties to the value of the business), and/or, in the case of a portfolio manager who manages a private investment fund with a performance fee, a deferred cash award or a direct profit sharing interest that results in the manager receiving amounts based on the amount of the performance fee paid by such fund. These long-term incentives vest over time and are granted annually, based upon the same criteria used to determine the performance-driven annual bonus detailed above. Because the Portfolio Team members are generally responsible for multiple accounts (including the Registrant), they are compensated on the overall performance of the accounts that they manage, rather than a specific account, except for the portion of compensation relating to any performance fee award. BENEFICIAL OWNERSHIP. As of December 31, 2005, members of the Portfolio Team beneficially owned the following dollar range of equity securities in the Registrant: DOLLAR RANGE OF BENEFICIALLY OWNED* PORTFOLIO TEAM: EQUITY SECURITIES OF THE REGISTRANT Clifford M. Noreen $500,001-$1,000,000 Jill A. Fields $50,001-$100,000 Michael P. Hermsen $100,001-$500,000 Michael L. Klofas $100,001-$500,000 Richard E. Spencer II None * Beneficial ownership has been determined in accordance with Rule 16a-1(a)(2) under the Securities Exchange Act of 1934, as amended. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not Applicable for this filing. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not Applicable for this filing. ITEM 11. CONTROLS AND PROCEDURES. (a) The principal executive officer and principal financial officer of the Registrant evaluated the effectiveness of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days of the filing date of this report and based on that evaluation have concluded that such disclosure controls and procedures are effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the Registrant's second fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) ANY CODE OF ETHICS, OR AMENDMENTS THERETO, THAT IS THE SUBJECT OF DISCLOSURE REQUIRED BY ITEM 2, TO THE EXTENT THAT THE REGISTRANT INTENDS TO SATISFY THE ITEM 2 REQUIREMENTS THROUGH THE FILING OF AN EXHIBIT. None. (a)(2) A SEPARATE CERTIFICATION FOR EACH PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER OF THE REGISTRANT AS REQUIRED BY RULE 30a-2 UNDER THE ACT. Attached hereto as EX-99.31.1 Attached hereto as EX-99.31.2 (a)(3) ANY WRITTEN SOLICITATION TO PURCHASE SECURITIES UNDER RULE 23c-1 UNDER THE ACT (17 CFR 270.23c-1) SENT OR GIVEN DURING THE PERIOD COVERED BY THE REPORT BY OR ON BEHALF OF THE REGISTRANT TO 10 OR MORE PERSONS. Not Applicable for this filing. (b) CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE ACT. Attached hereto as EX-99.32 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant): MassMutual Corporate Investors ---------------------------------- By: /s/ Clifford M. Noreen ---------------------------------- Clifford M. Noreen, President ---------------------------------- Date: March 10, 2006 ---------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ Clifford M. Noreen ---------------------------------- Clifford M. Noreen, President ---------------------------------- Date: March 10, 2006 ---------------------------------- By: /s/ James M. Roy ---------------------------------- James M. Roy, Vice President, and Chief Financial Officer ---------------------------------- Date: March 10, 2006 ------------------------------