N-Q 1 d561156dnq.htm CUTWATER SELECT INCOME FUND Cutwater Select Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-02201                                 

Cutwater Select Income Fund

 

(Exact name of registrant as specified in charter)

113 King Street

Armonk, NY 10504

 

(Address of principal executive offices) (Zip code)

Clifford D. Corso

113 King Street

Armonk, NY 10504

 

(Name and address of agent for service)

Registrant’s telephone number, including area code: 914-273-4545  

Date of fiscal year end: March 31      

Date of reporting period: June 30, 2013

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

SCHEDULE OF INVESTMENTS   (unaudited)    June 30, 2013   
     Moody’s/
Standard &
Poor’s Rating(a)		    Principal
Amount (000’s)		      Value  

CORPORATE DEBT SECURITIES (81.65%)

         

AUTOMOTIVE (1.27%)

         

Ford Holdings Co. Gty., 9.30%, 03/01/30

    Baa3/BB+    $ 1,000       $ 1,365,649   

Ford Motor Co., Sr. Unsec. Notes, 8.90%, 01/15/32

    Baa3/BB+      500         632,163   

Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 5.875%, 08/02/21

    Baa3/BB+      750         817,688   
        

 

 

  
           2,815,500   
        

 

 

  

CHEMICALS (2.98%)

         

Braskem Finance, Ltd., Co Gty., 7.00%, 05/07/20, 144A

    Baa3/BBB-      500         530,000   

Braskem Finance, Ltd., Co Gty., 5.375%, 05/02/22, 144A

    Baa3/BBB-      750         714,375   

Dow Chemical Co., Sr. Unsec. Notes, 8.55%, 05/15/19

    Baa2/BBB      500         637,938   

Incitec Pivot Finance LLC, Co. Gty., 6.00%, 12/10/19, 144A

    Baa3/BBB      405         443,752   

Sinochem Overseas Capital Co., Ltd., Co. Gty., 4.50%, 11/12/20, 144A

    Baa1/BBB      500         492,953   

Sinochem Overseas Capital Co., Ltd., Co. Gty., 6.30%, 11/12/40, 144A

    Baa1/BBB      1,500         1,486,901   

Union Carbide Corp., Sr. Unsec. Notes, 7.75%, 10/01/96

    Baa2/BBB      2,000         2,265,750   
        

 

 

  
           6,571,669   
        

 

 

  

DIVERSIFIED FINANCIAL SERVICES (12.50%)

         

Akbank TAS, Sr. Unsec. Notes, 6.50%, 03/09/18, 144A

    Baa2/NR      1,000         1,070,000   

Ally Financial, Inc., Co. Gty., 7.50%, 09/15/20

    B1/B+      315         363,038   

Bank of America Corp., Sr. Unsec. Notes, 5.625%, 07/01/20

    Baa2/A-      190         209,184   

Bank of America Corp., Sr. Unsec. Notes, 5.875%, 01/05/21

    Baa2/A-      500         562,743   

BNP Paribas SA, Jr. Sub. Notes, 5.186%, 06/29/15, 144A(b),(c)

    Ba2/BBB      1,000         950,000   

CDP Financial, Inc., Co. Gtd., 4.40%, 11/25/19, 144A

    Aaa/AAA      400         440,109   

Chase Capital II, Ltd. Gtd., Series B, 0.774%, 02/01/27(b),(d)

    Baa2/BBB      70         56,788   

Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39

    Baa2/A-      125         165,092   

Citigroup, Inc., Unsec. Notes, 8.50%, 05/22/19

    Baa2/A-      595         749,716   

CoBank ACB, Sub. Notes, 7.875%, 04/16/18, 144A

    NR/A-      500         610,066   

Deutsche Bank AG, Sub. Notes, 4.296%, 05/24/28 (b)

    Baa3/BBB      1,750         1,615,845   

Discover Financial Services, Sr. Unsec. Notes, 10.25%, 07/15/19

    Ba1/BBB-      200         253,951   

General Electric Capital Corp., Jr. Sub. Notes, Series A, 7.125%, 06/15/22(b),(c)

    Baa1/AA-      3,500         3,955,000   

General Electric Capital Corp., Sr. Unsec. Notes, 5.625%, 05/01/18

    A1/AA+      230         263,811   

General Electric Capital Corp., Sr. Unsec. Notes, 6.875%, 01/10/39

    A1/AA+      1,000         1,232,401   

HSBC USA Capital Funding LP, Ltd. Gtd., 10.176%, 06/30/30, 144A(b),(c)

    Baa2/BBB+      2,180         3,095,600   

HSBC USA Trust II, Bank Gtd., 8.38%, 05/15/27, 144A(d)

    NR/BBB+      2,500         2,541,570   

JPMorgan Chase & Co., Sr. Unsec. Notes, 4.40%, 07/22/20

    A2/A      175         183,002   

JPMorgan Chase & Co., Sr. Unsec. Notes, 4.35%, 08/15/21

    A2/A      105         109,383   

JPMorgan Chase Bank NA, Sub. Notes, 6.00%, 10/01/17

    A1/A      1,000         1,139,091   

Merrill Lynch & Co., Inc., Sr. Unsec. Notes, 6.875%, 04/25/18

    Baa2/A-      1,000         1,150,923   

Morgan Stanley, Sr. Unsec. Notes, 6.25%, 08/28/17

    Baa1/A-      300         334,528   

Santander US Debt SA Unipersonal, Bank Gtd., 3.724%, 01/20/15, 144A

    Baa2/BBB      100         100,936   

UBS AG Stamford CT, Bank Notes, 4.875%, 08/04/20

    A2/A      250         276,051   

UBS AG Stamford CT, Sub. Notes, 7.625%, 08/17/22

    NR/BBB-      2,000         2,194,896   

UBS Preferred Funding Trust V, Jr. Sub. Notes, Series 1, 6.243%, 05/15/16(b),(c)

    Ba2/BBB-      500         515,000   

Wachovia Capital Trust III, Ltd. Gtd., 5.57%, 07/29/13(b),(c)

    Baa3/BBB+      3,500         3,434,375   
        

 

 

  
           27,573,099   
        

 

 

  

ENERGY (14.53%)

         

Apache Corp., Sr. Unsec. Notes, 7.70%, 03/15/26

    A3/A-      500         624,220   

APT Pipelines, Ltd., Co. Gty., 3.875%, 10/11/22, 144A

    Baa2/BBB      2,000         1,844,610   

Burlington Resources, Inc., Co. Gty., 9.125%, 10/01/21

    A1/A      850         1,159,157   

Citgo Petroleum Corp., Sr. Sec. Notes, 11.50%, 07/01/17, 144A(d)

    Ba2/BB+      1,000         1,110,000   

CMS Panhandle Holding Co., Sr. Unsec. Notes, 7.00%, 07/15/29

    Baa3/BBB-      1,000         1,087,234   

DCP Midstream LLC, Jr. Sub. Notes, 5.85%, 05/21/43, 144A(b)

    Baa3/BB+      1,940         1,862,400   

EL Paso Corp., Sr. Unsec. Notes, 8.05%, 10/15/30

    Ba2/BB      1,000         1,063,951   

The accompanying notes are an integral part of this schedule of investments.

 

1

SCHEDULE OF INVESTMENTS   (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		    Principal
Amount (000’s)		      Value  

CORPORATE DEBT SECURITIES (Continued)

         

ENERGY (Continued)

         

Enterprise Products Operating LLC, Co. Gty., Series B, 7.034%, 01/15/68(b),(d)

    Baa2/BBB-    $ 1,000       $ 1,122,500   

EQT Corp., Sr. Unsec. Notes, 4.875%, 11/15/21

    Baa3/BBB      1,455         1,496,887   

Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.19%, 11/01/24, 144A

    Baa2/BBB      120         152,478   

IFM US Colonial Pipeline 2 LLC, Sr. Sec. Notes, 6.45%, 05/01/21, 144A(d)

    NR/BBB-      1,000         1,071,604   

KazMunayGas National Co., Sr. Unsec. Notes, 11.75%, 01/23/15, 144A

    Baa3/BBB-      500         566,250   

KazMunayGas National Co., Sr. Unsec. Notes, 6.375%, 04/09/21, 144A

    Baa3/BBB-      500         542,500   

Linn Energy LLC/Linn Energy Finance Corp., Co. Gty., 6.25%, 11/01/19, 144A(d)

    B2/B      500         476,250   

Lukoil International Finance BV, Co. Gty., 6.125%, 11/09/20, 144A

    Baa2/BBB      1,000         1,052,500   

Motiva Enterprises LLC, Notes, 5.75%, 01/15/20, 144A

    A2/A      64         73,033   

Motiva Enterprises LLC, Sr. Unsec. Notes, 6.85%, 01/15/40, 144A

    A2/A      124         155,425   

Nabors Industries, Inc., Co. Gty., 9.25%, 01/15/19

    Baa2/BBB      625         775,454   

Petroleos Mexicanos, Co. Gty., 8.00%, 05/03/19

    Baa1/BBB      250         302,500   

Petroleos Mexicanos, Co. Gty., 6.00%, 03/05/20

    Baa1/BBB      750         825,000   

Petroleum Co. of Trinidad & Tobago, Ltd., Sr. Unsec. Notes, 9.75%, 08/14/19, 144A

    Baa3/BBB      500         622,500   

Pride International, Inc., Co. Gty., 8.50%, 06/15/19

    Baa1/BBB+      500         635,913   

Pride International, Inc., Co. Gty., 6.875%, 08/15/20

    Baa1/BBB+      500         593,405   

Reliance Holdings USA, Inc., Co. Gty., 5.40%, 02/14/22, 144A

    Baa2/BBB+      1,250         1,269,861   

Samson Investment Co., Sr. Unsec. Notes, 10.00%, 02/15/20, 144A(d)

    B3/B-      1,000         1,053,750   

SEACOR Holdings, Inc., Sr. Unsec. Notes, 7.375%, 10/01/19

    Ba3/BB-      1,000         1,055,041   

Shell International Finance BV, Co. Gty., 4.30%, 09/22/19

    Aa1/AA      1,000         1,109,700   

Transocean, Inc., Co. Gty., 7.50%, 04/15/31

    Baa3/BBB-      500         555,734   

Valero Energy Corp., Co. Gty., 9.375%, 03/15/19

    Baa2/BBB      124         162,593   

Valero Energy Corp., Co. Gty., 8.75%, 06/15/30

    Baa2/BBB      1,000         1,246,049   

Valero Energy Corp., Co. Gty., 10.50%, 03/15/39

    Baa2/BBB      500         750,107   

Weatherford International, Ltd. Bermuda, Co. Gty., 6.75%, 09/15/40

    Baa2/BBB-      2,000         2,069,144   

Western Atlas, Inc., Sr. Unsec. Notes, 8.55%, 06/15/24

    A2/A      2,539         3,471,229   

Williams Cos., Inc., Sr. Unsec. Notes, 8.75%, 03/15/32

    Baa3/BBB-      81         102,747   
        

 

 

  
           32,061,726   
        

 

 

  

FOOD AND BEVERAGE (0.58%)

         

Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 7.75%, 01/15/19

    A3/A      325         411,071   

Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.20%, 01/15/39

    A3/A      27         39,604   

Bunge Ltd. Finance Corp., Co. Gty., 8.50%, 06/15/19

    Baa2/BBB-      125         154,275   

Delhaize Group SA, Co. Gty., 5.70%, 10/01/40

    Baa3/BBB-      709         673,546   
        

 

 

  
           1,278,496   
        

 

 

  

HEALTHCARE (1.02%)

         

Fresenius Medical Care US Finance, Inc., Co. Gty., 5.75%, 02/15/21, 144A

    Ba2/BB+      750         787,500   

Fresenius US Finance II, Inc., Co. Gty., 9.00%, 07/15/15, 144A

    Ba1/BB+      250         276,250   

Monsanto Co. (Pharmacia Corp.), Sr. Unsec. Notes, 6.50%, 12/01/18

    A1/AA      500         605,052   

Mylan, Inc., Co. Gty., 7.875%, 07/15/20, 144A(d)

    Baa3/BBB-      500         576,974   
        

 

 

  
           2,245,776   
        

 

 

  

INDUSTRIAL (4.28%)

         

Affinion Group, Inc., Co. Gty., 11.50%, 10/15/15(d)

    Caa3/CCC-      460         354,200   

Alcoa, Inc., Sr. Unsec. Notes, 6.15%, 08/15/20

    Ba1/BBB-      640         655,547   

Alcoa, Inc., Sr. Unsec. Notes, 5.95%, 02/01/37

    Ba1/BBB-      244         217,512   

Altria Group, Inc., Co. Gty., 9.70%, 11/10/18

    Baa1/BBB      317         421,422   

ArcelorMittal, Sr. Unsec. Notes, 6.75%, 02/25/22

    Ba1/BB+      1,200         1,230,000   

ArcelorMittal, Sr. Unsec. Notes, 7.50%, 10/15/39

    Ba1/BB+      405         384,750   

Arrow Electronics, Inc., Sr. Unsec. Notes, 6.00%, 04/01/20

    Baa3/BBB-      500         541,111   

BG Energy Capital PLC, Co. Gty., 6.50%, 11/30/72(b),(d)

    Baa1/BBB      2,250         2,401,875   

The accompanying notes are an integral part of this schedule of investments.

 

2

SCHEDULE OF INVESTMENTS   (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		    Principal
Amount (000’s)		      Value  

CORPORATE DEBT SECURITIES (Continued)

         

INDUSTRIAL (Continued)

         

Holcim US Finance Sarl & Cie SCS, Co. Gty., 6.00%, 12/30/19, 144A

    Baa2/BBB    $ 1,000       $ 1,116,570   

Ingersoll-Rand Global Holding Co., Ltd., Co. Gty., 6.875%, 08/15/18

    Baa2/BBB      185         219,121   

Meccanica Holdings USA, Inc., Co. Gty., 6.25%, 07/15/19, 144A

    Baa3/BB+      129         132,426   

Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.75%, 06/01/29

    Baa1/BBB+      500         640,179   

Waste Management, Inc., Co. Gty., 7.125%, 12/15/17

    Baa3/BBB      500         588,441   

Worthington Industries, Inc., Sr. Unsec. Notes, 6.50%, 04/15/20

    Baa3/BBB      500         538,237   
        

 

 

  
           9,441,391   
        

 

 

  

INSURANCE (9.79%)

         

AIG SunAmerica, Inc., Sr. Unsec. Notes, 8.125%, 04/28/23

    Baa1/A-      1,800         2,222,258   

Allstate Corp., Jr. Sub. Notes, 6.50%, 05/15/57(b),(d)

    Baa1/BBB      2,200         2,376,000   

American International Group, Inc., Jr. Sub. Debs., 8.175%, 05/15/58(b),(d)

    Baa2/BBB      2,500         3,050,000   

Farmers Exchange Capital, Sub. Notes, 7.20%, 07/15/48, 144A

    Baa2/A-      3,000         3,404,277   

Guardian Life Insurance Co. of America, Sub. Notes, 7.375%, 09/30/39, 144A

    A1/AA-      108         138,875   

Liberty Mutual Group, Inc., Bonds, 7.00%, 03/15/34, 144A

    Baa2/BBB-      250         284,641   

Liberty Mutual Group, Inc., Co. Gty., 7.00%, 03/15/37, 144A(b)

    Baa3/BB      500         505,000   

Liberty Mutual Group, Inc., Co. Gty., 10.75%, 06/15/58, 144A(b),(d)

    Baa3/BB      1,000         1,525,000   

Lincoln National Corp., Jr. Sub. Notes, 6.05%, 04/20/67(b),(d)

    Baa3/BBB      500         489,840   

Massachusetts Mutual Life Insurance Co., Sub. Notes, 8.875%, 06/01/39, 144A

    A1/AA-      500         732,749   

MetLife Capital Trust X, Jr. Sub. Notes, 9.25%, 04/08/38, 144A(d)

    Baa2/BBB      500         660,000   

MetLife, Inc., Jr. Sub. Notes, 10.75%, 08/01/39(d)

    Baa2/BBB      1,000         1,545,000   

Nationwide Mutual Insurance Co., Sub. Notes, 9.375%, 08/15/39, 144A

    A3/A-      215         290,913   

New York Life Insurance Co., Sub. Notes, 6.75%, 11/15/39, 144A

    Aa2/AA-      103         127,708   

Prudential Financial, Inc., Jr. Sub. Notes, 8.875%, 06/15/38(b),(d)

    Baa2/BBB+      1,000         1,200,000   

Prudential Financial, Inc., Jr. Sub. Notes, 5.875%, 09/15/42(b),(d)

    Baa2/BBB+      2,500         2,506,250   

Travelers Cos., Inc., Jr. Sub. Notes, 6.25%, 03/15/37(b),(d)

    A3/NR      500         542,500   
        

 

 

  
           21,601,011   
        

 

 

  

MEDIA (7.64%)

         

CBS Corp., Co. Gty., 8.875%, 05/15/19

    Baa2/BBB      350         451,060   

Comcast Corp., Co. Gty., 7.05%, 03/15/33

    A3/A-      2,000         2,496,192   

COX Communications, Inc., Sr. Unsec. Notes, 6.80%, 08/01/28

    Baa2/BBB      1,500         1,713,275   

Cox Enterprises, Inc., Sr. Unsec. Notes, 7.375%, 07/15/27, 144A

    Baa2/BBB      500         601,332   

Grupo Televisa SAB, Sr. Unsec. Notes, 6.625%, 01/15/40

    Baa1/BBB+      159         175,337   

Harcourt General, Inc., Sr. Unsec. Notes, 8.875%, 06/01/22

    WR/BBB+      2,000         2,443,704   

Myriad International Holding BV, Co. Gty., 6.375%, 07/28/17, 144A

    Baa3/NR      100         109,500   

Nara Cable Funding, Ltd., Sr. Sec. Notes, 8.875%, 12/01/18, 144A(d)

    B1/B+      1,200         1,248,000   

News America Holdings, Inc., Co. Gty., 7.90%, 12/01/95

    Baa1/BBB+      1,400         1,621,385   

Time Warner Entertainment Co., LP, Co. Gty., 8.375%, 07/15/33

    Baa2/BBB      1,360         1,602,920   

Time Warner, Inc., Co. Gty., 9.15%, 02/01/23

    Baa2/BBB      3,000         4,073,280   

Viacom, Inc., Co. Gty., 7.875%, 07/30/30

    Baa2/BBB      250         318,533   
        

 

 

  
           16,854,518   
        

 

 

  

MINING (3.73%)

         

Anglo American Capital PLC, Co. Gty., 9.375%, 04/08/19, 144A

    Baa1/BBB      500         630,817   

AngloGold Ashanti Holdings PLC, Co. Gty., 5.375%, 04/15/20

    Baa3/BB+      310         289,818   

Barrick North America Finance LLC, Co. Gty., 6.80%, 09/15/18

    Baa2/BBB      500         529,399   

Coeur d’Alene Mines Corp., Co. Gty., 7.875%, 02/01/21, 144A(d)

    B3/BB-      750         738,750   

FMG Resources August 2006 Property Ltd., Sr. Unsec. Notes, 6.875%, 04/01/22, 144A(d)

    B1/B+      1,200         1,164,000   

Freeport-McMoran Corp., Co. Gty., 9.50%, 06/01/31

    Baa2/BBB      250         321,209   

Newcrest Finance Property, Ltd., Co. Gty., 4.45%, 11/15/21, 144A

    Baa2/BBB      1,500         1,346,121   

Rio Tinto Finance USA, Ltd., Co. Gty., 9.00%, 05/01/19

    A3/A-      85         110,423   

The accompanying notes are an integral part of this schedule of investments.

 

3

SCHEDULE OF INVESTMENTS   (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		    Principal
Amount (000’s)		      Value  

CORPORATE DEBT SECURITIES (Continued)

         

MINING (Continued)

         

Teck Resources, Ltd., Co. Gty., 6.00%, 08/15/40(d)

    Baa2/BBB    $ 1,000       $ 938,132   

Teck Resources, Ltd., Co. Gty., 5.20%, 03/01/42(d)

    Baa2/BBB      1,415         1,200,176   

Xstrata Canada Financial Corp., Co. Gty., 4.95%, 11/15/21, 144A

    Baa2/BBB      1,000         968,117   
        

 

 

  
           8,236,962   
        

 

 

  

PAPER (2.01%)

         

Celulosa Arauco y Constitucion SA, 4.75%, 01/11/22

    Baa3/BBB-      1,085         1,077,619   

Smurfit Kappa Treasury Funding, Ltd., Sr. Sec. Notes, 7.50%, 11/20/25

    Ba2/BB      2,000         2,180,000   

Westvaco Corp., Co. Gty., 8.20%, 01/15/30

    Baa3/BBB      1,000         1,183,430   
        

 

 

  
           4,441,049   
        

 

 

  

REAL ESTATE INVESTMENT TRUST (REIT) (3.16%)

         

Biomed Realty LP, Co. Gty., 6.125%, 04/15/20

    Baa3/BBB-      350         391,614   

Duke Realty LP, Sr. Unsec. Notes, 6.50%, 01/15/18

    Baa2/BBB-      500         574,964   

Duke Realty LP, Sr. Unsec. Notes, 8.25%, 08/15/19

    Baa2/BBB-      500         623,090   

Federal Realty Investment Trust, Sr. Unsec. Notes, 6.20%, 01/15/17

    Baa1/A-      290         327,508   

Goodman Funding Property, Ltd., Co. Gty., 6.375%, 04/15/21, 144A

    Baa2/BBB      1,050         1,175,920   

Health Care REIT, Inc., Sr. Unsec. Notes, 5.25%, 01/15/22(d)

    Baa2/BBB      1,500         1,612,149   

Host Hotels & Resorts LP, Co. Gty., 6.00%, 11/01/20(d)

    Baa3/BBB-      1,000         1,077,400   

WEA Finance, LLC, Co. Gty., 7.125%, 04/15/18, 144A

    A2/A-      500         593,378   

WEA Finance, LLC, Co. Gty., 6.75%, 09/02/19, 144A

    A2/A-      500         590,499   
        

 

 

  
           6,966,522   
        

 

 

  

RETAIL & RESTAURANT (0.33%)

         

Darden Restaurants, Inc., Sr. Unsec. Notes, 7.125%, 02/01/16

    Baa2/BBB      500         558,909   

Limited Brands, Inc., Co. Gty., 8.50%, 06/15/19

    Ba1/BB+      150         174,000   
        

 

 

  
           732,909   
        

 

 

  

TECHNOLOGY (0.08%)

         

Corning, Inc., Sr. Unsec. Notes, 5.75%, 08/15/40

    A3/BBB+      60         65,346   

Mantech International Corp., Co. Gty., 7.25%, 04/15/18(d)

    Ba2/BB+      100         104,000   
        

 

 

  
           169,346   
        

 

 

  

TELECOMMUNICATIONS (9.88%)

         

Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec. Notes, 8.50%, 11/15/18

    A2/A-      229         297,424   

Centel Capital Corp., Co. Gty., 9.00%, 10/15/19

    Baa3/BBB-      1,000         1,203,556   

Deutsche Telekom International Finance BV, Co. Gtd., 8.75%, 06/15/30

    Baa1/BBB+      2,000         2,774,542   

Digicel, Ltd., Sr. Unsec. Notes, 6.00%, 04/15/21, 144A

    B1/NR      500         472,500   

Frontier Communications Corp., Sr. Unsec. Notes, 8.125%, 10/01/18

    Ba2/BB-      500         548,750   

Frontier Communications Corp., Sr. Unsec. Notes, 9.00%, 08/15/31

    Ba2/BB-      500         495,000   

GTE Corp., Co. Gty., 6.94%, 04/15/28

    Baa1/A-      1,500         1,801,704   

Hearst-Argyle Television, Inc., Sr. Unsec. Notes, 7.00%, 01/15/18

    WR/NR      1,000         920,000   

Level 3 Financing, Inc., Co, Gty., 10.00%, 02/01/18(d)

    B3/CCC+      610         657,275   

MetroPCS Wireless, Inc., Co. Gty., 6.25%, 04/01/21, 144A(d)

    Ba3/BB      935         951,363   

MetroPCS Wireless, Inc., Co. Gty., 6.625%, 04/01/23, 144A(d)

    Ba3/BB      1,325         1,348,188   

NII Capital Corp., Co. Gty., 7.625%, 04/01/21(d)

    Caa2/CCC      635         493,713   

Qwest Corp., Sr. Unsec. Notes, 7.20%, 11/10/26(d)

    Baa3/BBB-      1,000         1,005,000   

Qwest Corp., Sr. Unsec. Notes, 6.875%, 09/15/33(d)

    Baa3/BBB-      1,100         1,064,250   

Qwest Corp., Sr. Unsec. Notes, 7.25%, 10/15/35(d)

    Baa3/BBB-      500         502,500   

Sprint Capital Corp., Co. Gty., 6.875%, 11/15/28

    B1/BB-      1,500         1,440,000   

Sprint Capital Corp., Co. Gty., 8.75%, 03/15/32

    B1/BB-      1,000         1,100,000   

Telecom Italia Capital SA, Co. Gty., 6.999%, 06/04/18

    Baa3/BBB-      1,000         1,099,298   

Telecom Italia Capital SA, Co. Gty., 6.00%, 09/30/34

    Baa3/BBB-      1,000         906,804   

Telecom Italia Capital SA, Co. Gty., 7.20%, 07/18/36

    Baa3/BBB-      250         246,206   
Trilogy International Partners LLC/Trilogy International Finance, Inc., Sr. Sec. Notes, 10.25%, 08/15/16, 144A(d)    Caa1/CCC      100         96,000   

The accompanying notes are an integral part of this schedule of investments.

 

4

SCHEDULE OF INVESTMENTS   (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		    Principal
Amount (000’s)		      Value  

CORPORATE DEBT SECURITIES (Continued)

         

TELECOMMUNICATIONS (Continued)

         

Verizon Communications, Inc., Sr. Unsec. Notes, 8.75%, 11/01/18

    A3/A-    $ 180       $ 234,601   

Verizon Global Funding Corp., Sr. Unsec. Notes, 7.75%, 12/01/30

    A3/A-      1,646         2,132,444   
        

 

 

  
           21,791,118   
        

 

 

  

TRANSPORTATION (2.92%)

         

BNSF Funding Trust I, Co. Gty., 6.613%, 12/15/55(b),(d)

    Baa2/BBB      250         281,250   

British Airways PLC, Pass Through Certs., 5.625%, 06/20/20, 144A

    Ba1/BBB      600         602,280   

Continental Airlines, Pass Through Certs., Series 1999-1, Class B, 6.795%, 08/02/18

    Ba1/BB      321         331,184   

Continental Airlines, Pass Through Certs., Series 2000-1, Class A1, 8.048%, 11/01/20

    Baa2/BBB      823         922,313   

Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 04/02/21

    Baa3/BBB-      1,203         1,311,618   

Delta Air Lines, Pass Through Certs, Series 1993, Class A2, 10.50%, 04/30/16

    WR/NR      342         72,776   

ERAC USA Finance, Co., Co. Gty., 7.00%, 10/15/37, 144A

    Baa1/BBB+      1,500         1,766,252   

Federal Express Corp., Pass Through Certs, Series 1996, Class B2, 7.84%, 01/30/18(d)

    A3/BBB      1,000         1,148,370   
        

 

 

  
           6,436,043   
        

 

 

  

UTILITIES (4.95%)

         

Avista Corp., 5.95%, 06/01/18

    A3/A-      500         583,961   

Dominion Resources, Inc., Sr. Unsec. Notes, Series 07-A, 6.00%, 11/30/17

    Baa2/A-      500         581,393   

DPL, Inc., Sr. Unsec. Notes, 7.25%, 10/15/21(d)

    Ba1/BB      1,000         1,035,000   

Duquesne Light Holdings, Inc., Sr. Unsec. Notes, 6.40%, 09/15/20, 144A

    Baa3/BBB-      1,000         1,163,855   

Electricite de France SA, Sub., 5.25%, 01/29/23, 144A(b) (c)

    A3/BBB+      2,000         1,912,000   

Hydro-Quebec, 8.25%, 04/15/26

    Aa2/A+      1,550         2,200,583   

MidAmerican Funding LLC, Sr. Sec. Notes, 6.927%, 03/01/29

    A3/BBB+      500         620,073   

NextEra Energy Capital Holding, Inc., Jr. Sub. Notes., Series D, 7.30%, 09/01/67(b),(d)

    Baa2/BBB      500         552,500   

Ohio Power Co., Sr. Unsec. Notes, 6.00%, 06/01/16

    Baa1/BBB      500         563,172   

Ohio Power Co., Sr. Unsec. Notes, 5.375%, 10/01/21

    Baa1/BBB      1,000         1,150,351   

Toledo Edison Co., 7.25%, 05/01/20

    Baa1/BBB      460         569,342   
        

 

 

  
           10,932,230   
        

 

 

  

TOTAL CORPORATE DEBT SECURITIES (Cost of $161,889,251)

            180,149,365   
        

 

 

  

ASSET BACKED SECURITIES (3.49%)

         

ALM Loan Funding, Series 2012-7A, Class A2, 2.576%, 10/19/24, 144A(b)

    NR/AA      2,000         2,010,340   
Credit-Based Asset Servicing and Securitization LLC, Series 2006-SC1, Class A, 0.463%, 05/25/36, 144A(b)    A3/AAA      49         41,685   

Dominos Pizza Master Issuer LLC, Series 2012-1A, Class A2, 5.216%, 01/25/42, 144A

    Baa1/BBB+      1,472         1,571,305   

Dryden XXIV Senior Loan Fund Notes, Class A, CLO, 1.705%, 11/15/23, 144A(b)

    Aaa/AAA      2,500         2,507,525   

Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%, 03/25/37(e)

    A2/AA-      100         101,643   

Renaissance Home Equity Loan Trust, Series 2006-3, Class AF2, 5.58%, 11/25/36(e)

    Ca/CCC      157         95,414   

Small Business Administration Participation Certificates, Series 2010-20F, Class 1, 3.88%, 06/01/30

    Aaa/AA+      267         285,106   

Sonic Capital LLC, Series 2011-1A, Class A2, 5.438%, 05/20/41, 144A

    Baa2/BBB      1,010         1,089,272   
        

 

 

  

TOTAL ASSET BACKED SECURITIES (Cost of $7,546,119)

            7,702,290   
        

 

 

  

The accompanying notes are an integral part of this schedule of investments.

 

5

SCHEDULE OF INVESTMENTS   (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		    Principal
Amount (000’s)		      Value  

COMMERCIAL MORTGAGE-BACKED SECURITIES (8.40%)

         

Banc of America Merrill Lynch Commercial Mortgage, Inc, Series 2006-2, Class AJ, 5.954%, 05/10/45(b)

    NR/BBB-    $ 1,000       $ 1,043,539   

Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class AM, 5.954%, 05/10/45(b)

    NR/AA-      1,440         1,564,282   

Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class AM, 5.531%, 01/15/46(b)

    Baa2/A-      2,500         2,673,745   

Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/49

    Aa3/AAA      285         313,738   

CW Capital Cobalt, Ltd., Series 2007-C2, Class A3, 5.484%, 04/15/47(b)

    Aaa/NR      500         555,521   

Developers Diversified Realty Corp., Series 2009-DDR1, Class C, 6.223%, 10/14/22, 144A

    A1/AA+      2,000         2,079,208   

Irvine Core Office Trust, Series 2013-IRV, Class C, 3.305%, 05/15/48, 144A(b)

    NR/A      735         626,646   

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007- LDPX, Class A3, 5.42%, 01/15/49

    Aaa/NR      160         177,148   

LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class AM, 6.081%, 06/15/38(b)

    A2/BB      2,000         2,179,756   
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class C, 4.437%, 10/15/30, 144A(b)    NR/A      2,710         2,386,594   

Morgan Stanley Capital I Trust, Series 2006-HQ10, Class AM, 5.36%, 11/12/41

    A2/NR      2,000         2,173,178   

Morgan Stanley Capital I Trust, Series 2007-IQ16, Class A4, 5.809%, 12/12/49

    NR/AA+      750         846,512   

Morgan Stanley Reremic Trust, Series 2009-GG10, Class A4B, 5.982%, 08/12/45, 144A(b)

    Baa2/NR      210         229,115   

Spirit Master Funding LLC, Series 2006-1A, Class A, 5.76%, 03/20/24, 144A

    Baa2/BB+      1,686         1,686,409   
        

 

 

  

Total COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $17,811,786)

            18,535,391   
        

 

 

  

RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.83%)

         

FHLMC Pool # 170128, 11.50%, 06/01/15

    Aaa/AA+      1         782   

FHLMC Pool # 360019, 10.50%, 12/01/17

    Aaa/AA+      2         1,779   

FHLMC Pool # A15675, 6.00%, 11/01/33

    Aaa/AA+      446         497,686   

FHLMC Pool # G00182, 9.00%, 09/01/22

    Aaa/AA+      1         915   

FNMA Pool # 124012, 12.50%, 10/01/15

    Aaa/AA+      2         2,050   

FNMA Pool # 303022, 8.00%, 09/01/24

    Aaa/AA+      16         19,232   

FNMA Pool # 303136, 8.00%, 01/01/25

    Aaa/AA+      8         9,277   

FNMA Pool # 55192, 10.50%, 09/01/17

    Aaa/AA+      4         4,947   

FNMA Pool # 58991, 11.00%, 02/01/18

    Aaa/AA+      3         3,149   

FNMA Pool # 754791, 6.50%, 12/01/33

    Aaa/AA+      563         632,401   

FNMA Pool # 763852, 5.50%, 02/01/34

    Aaa/AA+      401         439,166   

FNMA Pool # 889554, 6.00%, 04/01/38

    Aaa/AA+      134         145,692   

GNSF Pool # 194228, 9.50%, 11/15/20

    Aaa/AA+      18         18,035   

GNSF Pool # 307527, 9.00%, 06/15/21

    Aaa/AA+      17         20,008   

GNSF Pool # 417239, 7.00%, 02/15/26

    Aaa/AA+      19         22,036   

GNSF Pool # 780374, 7.50%, 12/15/23

    Aaa/AA+      10         12,065   
        

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $1,530,274)

         1,829,220   
        

 

 

  

MUNICIPAL BONDS (1.45%)

         
Municipal Electric Authority of Georgia, Build America Bonds-Taxable-Plant Vogle Units 3&4, Series J, Revenue Bond, 6.637%, 04/01/57    A2/A+      175         188,801   

San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds,

6.00%, 11/01/40

    Aa3/AA-      145         164,414   

State of California, Build America Bonds, GO, 7.625%, 03/01/40

    A1/A      1,500         2,014,755   

The accompanying notes are an integral part of this schedule of investments.

 

6

SCHEDULE OF INVESTMENTS   (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		    Principal
Amount (000’s)		      Value  

MUNICIPAL BONDS (Continued)

         

State of Illinois, Build America Bonds, GO, 7.35%, 07/01/35

    A3/A-    $ 755       $ 831,942   
        

 

 

  

TOTAL MUNICIPAL BONDS (Cost of $2,665,801)

            3,199,912   
        

 

 

  

U.S. TREASURY SECURITIES (1.29%)

         

U.S. Treasury Note, 1.00%, 10/31/16

    Aaa/AA+      2,825         2,841,775   
        

 

 

  

TOTAL U.S. TREASURY SECURITIES (Cost of $2,833,023)

            2,841,775   
        

 

 

  

GOVERNMENT BOND (0.08%)

         

Morocco Government International Bond, Sr. Unsec. Notes, 4.25%, 12/11/22, 144A

    NR/BBB-      200         176,040   
        

 

 

  

TOTAL GOVERNMENT BOND (Cost of $200,525)

            176,040   
        

 

 

  
          Shares         

COMMON STOCK (0.02%)

         

MEDIA (0.02%)

         

Quad Graphics, Inc.

         1,617         38,970   
        

 

 

  

TRANSPORTATION (—%)

         

Delta Air Lines, Inc. (f)

         1         10   
        

 

 

  

TOTAL COMMON STOCK (Cost of $74,501)

            38,980   
        

 

 

  

PREFERRED STOCK (1.28%)

         

CoBank ACB, Series F, 6.250% (f)

         20,000         2,054,376   

Federal Home Loan Mortgage Corp, Series Z, 0.000% (f),(g)

         53,779         250,072   

US BANCORP, Series A, 3.500% (f)

         615         533,583   
        

 

 

  

TOTAL PREFERRED STOCK (Cost of $3,868,939)

            2,838,031   
        

 

 

  

RIGHTS (—%)

         

XO Holdings, Inc., Expire 12/31/99

         13         —   
        

 

 

  

TOTAL INVESTMENTS (98.49%)

(Cost $198,420,219)*

            217,311,004   
        

 

 

  

OTHER ASSETS AND LIABILITIES (1.51%)

            3,322,589   
        

 

 

  

NET ASSETS (100.00%)

          $ 220,633,593   
        

 

 

  

 

(a) 

Ratings for debt securities are unaudited. All ratings are as of June 30, 2013 and may have changed subsequently.

(b) 

Variable rate security. Rate disclosed is as of June 30, 2013.

(c) 

Security is perpetual. Date shown is next call date.

(d) 

This security is callable.

(e) 

Multi-Step Coupon. Rate disclosed is as of June 30, 2013.

(f) 

Non-income producing security.

(g) 

Dividend was discontinued as of September 7, 2008.

The accompanying notes are an integral part of this schedule of investments.

 

7

SCHEDULE OF INVESTMENTS   (unaudited) — continued

 

144A  Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. At June 30, 2013, these securities amounted to $64,263,792 or 29.13% of net assets.

*Aggregate cost for Federal income tax purposes is $198,420,219.

 

Gross unrealized appreciation

    $       22,623,482   

Gross unrealized depreciation

      (3,732,697 ) 
  

 

 

  

Net unrealized appreciation

    $ 18,890,785   
  

 

 

  

Legend

Certs. - Certificates

CLO - Collateralized Loan Obligation

Co. Gty. - Company Guaranty

Debs. - Debentures

FHLMC - Federal Home Loan Mortgage Corp.

FNMA - Federal National Mortgage Association

FREMF - Freddie Multi-Family

GNSF - Government National Mortgage Association (Single Family)

GO - General Obligation

Gtd. - Guaranteed

Jr. - Junior

LLC - Limited Liability Company

Ltd. - Limited

NA - Not Available

NR - Not Rated

REIT - Real Estate Investment trust

Sec. - Secured

Sr. - Senior

Sub. - Subordinated

Unsec. - Unsecured

WR - Withdrawn Rating

The accompanying notes are an integral part of this schedule of investments.

 

8

CUTWATER SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

June 30, 2013

(unaudited)

A. Security Valuation – In valuing the Fund’s net assets, all securities for which representative market quotations are available will be valued at the last quoted sales price on the security’s principal exchange on the day of valuation. If there are no sales of the relevant security on such day, the security will be valued at the bid price at the time of computation. For securities traded in the over-the-counter market, including listed debt and preferred securities, whose primary market is believed to be over-the-counter, the Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources.

In the event that market quotations are not readily available, or when such quotations are deemed not to reflect current market value, the securities will be valued at their respective fair value as determined in good faith by the Adviser pursuant to certain procedures and reporting requirements established by the Board of Trustees. The Adviser considers all relevant facts that are reasonably available when determining the fair value of a security, including but not limited to the last sale price or initial purchase price (if a when issued security) and subsequently adjusting the value based on changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves are utilized. At June 30, 2013, there were no securities valued using fair value procedures.

Fair Value Measurements – The Fund has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below:

 

• Level 1

   –   Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

• Level 2

   –   Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

• Level 3

   –   Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

Following is a description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis as of June 30, 2013.

      Total Market
Value at
06/30/13		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

CORPORATE DEBT SECURITIES

    $ 180,149,365       $ —       $ 180,149,365       $ —   

ASSET BACKED SECURITIES

      7,702,290         —         7,702,290         —   

COMMERCIAL MORTGAGE-BACKED SECURITIES

      18,535,391         —         18,535,391         —   

RESIDENTIAL MORTGAGE-BACKED SECURITIES

      1,829,220         —         1,829,220         —   

MUNICIPAL BONDS

      3,199,912         —         3,199,912         —   

U.S. TREASURY SECURITIES

      2,841,775         —         2,841,775         —   

GOVERNMENT BONDS

      176,040         —         176,040         —   

COMMON STOCK *

      38,980         38,980         —         —   

PREFERRED STOCK

      2,838,031         2,838,031         —         —   

TOTAL INVESTMENTS

    $     217,311,004       $     2,877,011       $     214,433,993       $ —   

*  See Schedule of Investments for industry breakout.

            

 

9

CUTWATER SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

June 30, 2013 (concluded)

(unaudited)

At the end of each calendar quarter, management evaluates the Level 1, 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. Pursuant to Fund policy, transfers between levels are considered to have occurred at the beginning of the reporting period. As of June 30, 2013, there were no transfers between Level 1 and 2 for the Fund.

Level 3 investments are categorized with values derived utilizing prices from prior transactions or third party pricing information without adjustment (broker quotes, pricing services and net asset values). A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments. Rights are valued at zero and are the only Level 3 investments as of June 30, 2013.

 

 

 

 

 

 

For more information with regards to significant accounting policies, see the most recent semi or annual report filed with the Securities and Exchange Commission.

 

10

Item 2. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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)

       Cutwater Select Income Fund
By (Signature and Title)*  

/s/ Clifford D. Corso

 

  Clifford D. Corso, President

 

  (principal executive officer)

 

Date

  

    8/27/2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*  

/s/ Clifford D. Corso

 

  Clifford D. Corso, President

 

  (principal executive officer)

 

Date  

    8/27/2013

 

By (Signature and Title)*  

/s/ Joseph L. Sevely

 

  Joseph L. Sevely, Treasurer

 

  (principal financial officer)

 

Date

  

    8/27/2013

 

* Print the name and title of each signing officer under his or her signature.