N-Q 1 d736899dnq.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, 2014

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

SCHEDULE OF INVESTMENTS (unaudited)

June 30, 2014

 

     Moody’s/
Standard &
      Poor’s Rating(a)      		  

Principal

      Amount (000’s)    

    

Value    

  (Note 1)  

  

CORPORATE DEBT SECURITIES (85.59%)

       

AUTOMOTIVE (0.94%)

       
Ford Holdings LLC, Co. Gty., 9.30%, 03/01/30    Baa3/BBB-   $ 1,000                $         1,472,912     
Ford Motor Co., Sr. Unsec. Notes, 8.90%, 01/15/32    Baa3/BBB-     500                705,335     
      

 

 

  
         2,178,247     
      

 

 

  

CHEMICALS (2.85%)

       
Braskem Finance, Ltd., Co Gty., 5.375%, 05/02/22, 144A    Baa3/BBB-     750                761,250     
Dow Chemical Co., Sr. Unsec. Notes, 8.55%, 05/15/19    Baa2/BBB     500                642,634     
Incitec Pivot Finance LLC, Co. Gty., 6.00%, 12/10/19, 144A    Baa3/BBB     405                459,033     
Sinochem Overseas Capital Co., Ltd., Co. Gty., 4.50%, 11/12/20, 144A    A3/A-     500                534,899     
Sinochem Overseas Capital Co., Ltd., Co. Gty., 6.30%, 11/12/40, 144A    A3/A-     1,500                1,725,765     
Union Carbide Corp., Sr. Unsec. Notes, 7.75%, 10/01/96    Baa2/BBB     2,000                2,461,188     
      

 

 

  
         6,584,769     
      

 

 

  

DIVERSIFIED FINANCIAL SERVICES (15.64%)

       
Akbank TAS, Sr. Unsec. Notes, 6.50%, 03/09/18, 144A    Baa3/NA     1,000                1,084,900     
Ally Financial, Inc., Co. Gty., 7.50%, 09/15/20    B1/BB     315                379,575     
Bank of America Corp., Sr. Unsec. Notes, 5.625%, 07/01/20    Baa2/A-     190                218,582     
Bank of America Corp., Sr. Unsec. Notes, 5.875%, 01/05/21    Baa2/A-     500                584,979     
CDP Financial, Inc., Co. Gty., 4.40%, 11/25/19, 144A    Aaa/AAA     400                444,884     
Chase Capital II, Ltd. Gtd., Series B, 0.725%, 02/01/27(b),(c)    Baa2/BBB     70                61,180     
Citigroup, Inc., Sr. Unsec. Notes, 8.50%, 05/22/19    Baa2/A-     595                760,524     
Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39    Baa2/A-     125                187,622     
Citigroup, Inc., Sub. Notes, 5.30%, 05/06/44    Baa3/BBB+     1,200                1,251,658     
CoBank ACB, Sub. Notes, 7.875%, 04/16/18, 144A    NA/A-     500                596,356     
Deutsche Bank AG, Sub. Notes, 4.296%, 05/24/28(b),(c)    Baa3/BBB     1,750                1,715,210     
Discover Financial Services, Sr. Unsec. Notes, 10.25%, 07/15/19    Ba1/BBB-     200                257,454     
Farmers Exchange Capital, Sub. Notes, 7.20%, 07/15/48, 144A    Baa2/A-     3,000                3,791,934     
General Electric Capital Corp., Jr. Sub. Notes, Series A, 7.125%, 06/15/22(b),(d)    Baa1/AA-     3,500                4,130,700     
General Electric Capital Corp., Sr. Unsec. Notes, 6.875%, 01/10/39    A1/AA+     1,000                1,343,278     
HSBC Capital Funding LP, Bank Gtd., 10.176%, 06/30/30, 144A(b),(d)    Baa2/BBB+     2,180                3,253,650     
HSBC USA Capital Trust II, Bank Gtd., 8.38%, 05/15/27, 144A(c)    NA/BBB+     2,500                2,534,450     
ING Bank NV, Sub. Notes, 4.125%, 11/21/23(b),(c)    Baa2/BBB+     2,500                2,571,875     
JPMorgan Chase & Co., Jr. Sub., 7.90%, 04/30/18(b),(d)    Ba1/BBB     2,000                2,235,000     
JPMorgan Chase & Co., Sr. Unsec. Notes, 4.40%, 07/22/20    A3/A     175                191,211     
JPMorgan Chase & Co., Sr. Unsec. Notes, 4.35%, 08/15/21    A3/A     105                113,698     
Morgan Stanley, Jr. Sub. Notes, 5.45%, 07/15/19(b),(d)    Ba3/BB+     2,200                2,240,128     
Morgan Stanley, Sr. Unsec. Notes, 6.25%, 08/28/17    Baa2/A-     300                341,905     
Santander US Debt SA Unipersonal, Bank Gtd., 3.724%, 01/20/15, 144A    Baa1/BBB+     100                101,480     
UBS AG Stamford CT, Sub. Notes, 7.625%, 08/17/22    NR/BBB     2,000                2,408,144     
Wachovia Capital Trust III, Ltd. Gtd., 5.57%, 08/22/14(b),(d)    Baa3/BBB+     3,500                3,395,000     
      

 

 

  
         36,195,377     
      

 

 

  

ENERGY (16.58%)

       
APT Pipelines, Ltd., Co. Gty., 3.875%, 10/11/22, 144A    Baa2/BBB     2,000                2,003,984     
BG Energy Capital PLC, Co. Gty., 6.50%, 11/30/72(b),(c)    Baa1/BBB     3,250                3,595,312     
Burlington Resources, Inc., Co. Gty., 9.125%, 10/01/21    A1/A     850                1,162,303     
Citgo Petroleum Corp., Sr. Sec. Notes, 11.50%, 07/01/17, 144A(c)    B1/BB-     956                1,013,360     
CMS Panhandle Holding Co., Sr. Unsec. Notes, 7.00%, 07/15/29    Baa3/BBB-     1,000                1,133,761     
DCP Midstream LLC, Jr. Sub. Notes, 5.85%, 05/21/43, 144A(b),(c)    Baa3/BB     1,940                1,843,000     
El Paso LLC, Sr. Sec. Notes, 8.05%, 10/15/30    Ba2/BB     1,000                1,090,000     
Enterprise Products Operating LLC, Co. Gty., Series B, 7.034%, 01/15/68(b),(c)    Baa2/BBB-     1,000                1,141,400     
EQT Corp., Sr. Unsec. Notes, 4.875%, 11/15/21    Baa3/BBB     1,455                1,590,188     

The accompanying notes are an integral part of these financial statements.

 

1

SCHEDULE OF INVESTMENTS (unaudited) — continued

 

     Moody’s/
Standard &
    Poor’s Rating(a)    		  

Principal

     Amount (000’s)    

    

Value    

  (Note 1)  

  

ENERGY (Continued)

       
Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.19%, 11/01/24, 144A    Baa2/BBB   $ 110                $               139,951     
Gibson Energy, Inc., Sr. Unsec. Notes, 6.75%, 07/15/21, 144A(c)    Ba3/BB     1,350                1,461,375     
IFM US Colonial Pipeline 2 LLC, Sr. Sec. Notes, 6.45%, 05/01/21, 144A(c)    NA/BBB-     1,000                1,070,625     
KazMunayGas National Co., Sr. Unsec. Notes, 11.75%, 01/23/15, 144A    Baa3/BBB-     500                527,815     
KazMunayGas National Co., Sr. Unsec. Notes, 6.375%, 04/09/21, 144A    Baa3/BBB-     500                556,750     
Linn Energy LLC/Linn Energy Finance Corp., Co. Gty., 6.25%, 11/01/19,
144A(c)		    B1/B+     500                523,750     
Lukoil International Finance BV, Co. Gty., 6.125%, 11/09/20, 144A    Baa2/BBB-     1,000                1,081,250     
Motiva Enterprises LLC, Sr. Unsec. Notes, 5.75%, 01/15/20, 144A    A2/BBB+     64                72,742     
Motiva Enterprises LLC, Sr. Unsec. Notes, 6.85%, 01/15/40, 144A    A2/BBB+     124                162,734     
Nabors Industries, Inc., Co. Gty., 9.25%, 01/15/19    Baa2/BBB     625                805,786     
Oil India, Ltd., Sr. Unsec. Notes, 5.375%, 04/17/24    Baa2/NA     1,800                1,882,998     
Petroleos Mexicanos, Co. Gty., 8.00%, 05/03/19    A3/BBB+     250                309,750     
Petroleos Mexicanos, Co. Gty., 6.00%, 03/05/20    A3/BBB+     750                858,000     
Petroleum Co. of Trinidad & Tobago, Ltd., Sr. Unsec. Notes, 9.75%, 08/14/19, 144A    Baa3/BBB-     500                628,750     
Pride International, Inc., Co. Gty., 8.50%, 06/15/19    Baa1/BBB+     500                637,062     
Pride International, Inc., Co. Gty., 6.875%, 08/15/20    Baa1/BBB+     500                607,572     
Reliance Holdings USA, Inc., Co. Gty., 5.40%, 02/14/22, 144A    Baa2/BBB+     1,250                1,349,699     
SEACOR Holdings, Inc., Sr. Unsec. Notes, 7.375%, 10/01/19    Ba3/BB-     1,000                1,120,000     
Shell International Finance BV, Co. Gty., 4.30%, 09/22/19    Aa1/AA     1,000                1,111,406     
Transocean, Inc., Co. Gty., 7.50%, 04/15/31    Baa3/BBB-     500                604,918     
Valero Energy Corp., Co. Gty., 8.75%, 06/15/30    Baa2/BBB     1,000                1,365,672     
Valero Energy Corp., Co. Gty., 10.50%, 03/15/39    Baa2/BBB     500                846,542     
Weatherford International, Ltd. Bermuda, Co. Gty., 6.75%, 09/15/40    Baa3/BBB-     2,000                2,453,950     
Western Atlas, Inc., Sr. Unsec. Notes, 8.55%, 06/15/24    A2/A     2,539                3,526,295     
Williams Cos., Inc., Sr. Unsec. Notes, 8.75%, 03/15/32    Baa3/BB+     81                105,605     
      

 

 

  
         38,384,305     
      

 

 

  

FOOD AND BEVERAGE (0.26%)

       
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 7.75%, 01/15/19    A2/A     325                401,516     
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.20%, 01/15/39    A2/A     27                41,315     
Bunge Ltd. Finance Corp., Co. Gty., 8.50%, 06/15/19    Baa2/BBB-     125                157,078     
      

 

 

  
         599,909     
      

 

 

  

HEALTHCARE (0.68%)

       
Endo Financial LLC & Endo Finco, Inc., Co. Gty., 5.375%, 01/15/23, 144A    B1/B+     750                749,062     
Fresenius Medical Care US Finance, Inc., Co. Gty., 5.75%, 02/15/21, 144A    Ba2/BB+     750                819,375     
      

 

 

  
         1,568,437     
      

 

 

  

INDUSTRIAL (3.73%)

       
ADT Corp., Sr. Unsec. Notes, 6.25%, 10/15/21    Ba2/BB-     1,000                1,060,000     
Alcoa, Inc., Sr. Unsec. Notes, 6.15%, 08/15/20    Ba1/BBB-     640                723,044     
Alcoa, Inc., Sr. Unsec. Notes, 5.95%, 02/01/37    Ba1/BBB-     244                247,184     
ArcelorMittal, Sr. Unsec. Notes, 6.75%, 02/25/22    Ba1/BB+     1,200                1,344,000     
ArcelorMittal, Sr. Unsec. Notes, 7.50%, 10/15/39    Ba1/BB+     405                445,500     
Arrow Electronics, Inc., Sr. Unsec. Notes, 6.00%, 04/01/20    Baa3/BBB-     500                560,123     
Meccanica Holdings USA, Inc., Co. Gty., 6.25%, 07/15/19, 144A    Ba1/BB+     129                143,513     
Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.75%, 06/01/29    Baa1/BBB+     500                654,758     
Samarco Mineracao SA, Sr. Unsec. Notes, 5.75%, 10/24/23, 144A    NA/BBB-     2,200                2,309,340     
Waste Management, Inc., Co. Gty., 7.125%, 12/15/17    Baa2/A-     500                587,539     
Worthington Industries, Inc., Sr. Unsec. Notes, 6.50%, 04/15/20    Baa3/BBB     500                569,505     
      

 

 

  
         8,644,506     
      

 

 

  

The accompanying notes are an integral part of these financial statements.

 

2

SCHEDULE OF INVESTMENTS (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		   

Principal

     Amount (000’s)

     

Value    

  (Note 1)  

  

INSURANCE (8.32%)

         

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

    Baa1/A-    $ 1,800               $         2,335,239     

Allstate Corp., Jr. Sub. Notes, 6.50%, 05/15/67(b),(c)

    Baa1/BBB      2,200               2,398,000     

American International Group, Inc., Jr. Sub. Debs., 8.175%, 05/15/68(b),(c)

    Baa2/BBB      2,500               3,443,750     

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

    A1/AA-      108               149,809     

Liberty Mutual Group, Inc., Co. Gty., 7.00%, 03/07/67, 144A(b),(c)

    Baa3/BB      500               530,000     

Liberty Mutual Group, Inc., Co. Gty., 10.75%, 06/15/88, 144A(b),(c)

    Baa3/BB      1,000               1,527,500     

Liberty Mutual Group, Inc., Sr. Unsec. Notes, 7.00%, 03/15/34, 144A

    Baa2/BBB-      250               314,740     

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

    Baa3/BBB      500               505,625     

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

    A1/AA-      500               796,287     

MetLife Capital Trust X, Jr. Sub. Notes, 9.25%, 04/08/68, 144A(c)

    Baa2/BBB      500               710,000     

MetLife, Inc., Jr. Sub. Notes, 10.75%, 08/01/69(c)

    Baa2/BBB      1,000               1,588,750     

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

    A3/A-      215               334,618     

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

    Aa2/AA-      103               138,225     

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

    Baa2/BBB+      2,500               2,715,625     

Prudential Financial, Inc., Jr. Sub. Notes, 8.875%, 06/15/68(b),(c)

    Baa2/BBB+      1,000               1,226,300     

Travelers Cos., Inc., Jr. Sub. Notes, 6.25%, 03/15/67(b),(c)

    A3/NR      500               535,000     
        

 

 

  
           19,249,468     
        

 

 

  

MEDIA (9.16%)

         

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

    Baa2/BBB      350               453,740     

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

    A3/A-      2,000               2,695,462     

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

    Baa2/BBB      1,500               1,784,616     

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

    Baa2/BBB      500               622,779     

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

    Baa1/BBB+      159               194,131     

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

    WR/BBB+      2,000               2,434,450     

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

    WR/NR      1,000               1,040,000     

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

    Baa3/NA      100               110,000     

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

    Baa1/BBB+      1,400               1,845,754     

Numericable Group SA, Sr. Sec. Notes, 6.00%, 05/15/22, 144A(c)

    Ba3/B+      530               551,200     

Numericable Group SA, Sr. Sec. Notes, 6.25%, 05/15/24, 144A(c)

    Ba3/B+      1,780               1,857,875     

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

    Baa2/BBB      1,360               1,995,291     

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

    Baa2/BBB      3,000               4,155,759     

VTR Finance BV, 6.875%, 01/15/24, 144A

    B1/B+      1,365               1,465,652     
        

 

 

  
           21,206,709     
        

 

 

  

MINING (3.50%)

         

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

    Baa2/BBB      500               643,646     

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

    B3/B+      750               753,750     

FMG Resources August 2006 Property Ltd., Co. Gty., 6.875%, 04/01/22, 144A(c)

    Ba2/BB-      1,200               1,287,000     

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

    Baa2/BBB      250               341,170     

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

    Baa3/BBB-      1,500               1,466,213     

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

    A3/A-      85               111,439     

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

    Baa2/BBB      1,000               1,057,354     

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

    Baa2/BBB      1,415               1,362,751     

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

    Baa2/BBB      1,000               1,078,844     
        

 

 

  
           8,102,167     
        

 

 

  

PAPER (2.05%)

         

Celulosa Arauco y Constitucion SA, Sr. Unsec. Notes, 4.75%, 01/11/22(c)

    Baa3/BBB-      1,085               1,121,406     

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

    Ba2/BB+      2,000               2,300,000     

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

    Baa3/BBB      1,000               1,313,214     
        

 

 

  
           4,734,620     
        

 

 

  

The accompanying notes are an integral part of these financial statements.

 

3

SCHEDULE OF INVESTMENTS (unaudited) — continued

 

     Moody’s/
Standard &
    Poor’s Rating(a)    		  

Principal

     Amount (000’s)    

    

Value     

 (Note 1)   

  

REAL ESTATE INVESTMENT TRUST (REIT) (2.21%)

       

BioMed Realty LP, Co. Gty., 6.125%, 04/15/20(c)

    Baa3/BBB   $ 350                $             403,471     

Duke Realty LP, Co. Gty., 6.50%, 01/15/18

    Baa2/BBB     500                571,660     

Duke Realty LP, Co. Gty., 8.25%, 08/15/19

    Baa2/BBB     500                628,840     

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

    Baa2/BBB     1,050                1,215,975     

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

    Baa2/BBB     1,500                1,682,406     

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

    A2/NR     500                623,171     
      

 

 

  
         5,125,523     
      

 

 

  

TECHNOLOGY (0.30%)

       

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

    A3/A-     60                72,290     

NCR Escrow Corp., Sr. Unsec. Notes, 5.875%, 12/15/21, 144A(c)

    Ba3/BB     580                611,900     
      

 

 

  
         684,190     
      

 

 

  

TELECOMMUNICATIONS (9.43%)

       

Bharti Airtel International, Sr. Unsec. Notes, 5.35%, 05/20/24, 144A

    Baa3/BBB-     2,225                2,308,549     
Centel Capital Corp., Co. Gty., 9.00%, 10/15/19    Baa3/BBB-     1,000                1,216,867     
Deutsche Telekom International Finance BV, Co. Gty., 8.75%, 06/15/30    Baa1/BBB+     2,000                2,924,988     
Digicel, Ltd., Sr. Unsec. Notes, 6.00%, 04/15/21, 144A(c)    B1/NA     500                516,250     
Frontier Communications Corp., Sr. Unsec. Notes, 8.125%, 10/01/18    Ba2/BB-     500                585,000     
Frontier Communications Corp., Sr. Unsec. Notes, 9.00%, 08/15/31    Ba2/BB-     500                538,750     
GTE Corp., Co. Gty., 6.94%, 04/15/28    Baa2/BBB+     1,500                1,869,935     
Qwest Corp., Sr. Unsec. Notes, 7.20%, 11/10/26(c)    Baa3/BBB-     1,000                1,007,501     
Qwest Corp., Sr. Unsec. Notes, 6.875%, 09/15/33(c)    Baa3/BBB-     1,100                1,106,582     
Qwest Corp., Sr. Unsec. Notes, 7.25%, 10/15/35(c)    Baa3/BBB-     500                517,719     
Sprint Capital Corp., Co. Gty., 6.875%, 11/15/28    B1/BB-     1,500                1,515,000     
Sprint Capital Corp., Co. Gty., 8.75%, 03/15/32    B1/BB-     1,000                1,155,000     
T-Mobile USA, Inc., Co. Gty., 6.25%, 04/01/21(c)    Ba3/BB     935                993,438     
T-Mobile USA, Inc., Co. Gty., 6.125%, 01/15/22(c)    Ba3/BB     60                63,675     
T-Mobile USA, Inc., Co. Gty., 6.625%, 04/01/23(c)    Ba3/BB     1,325                1,437,625     
T-Mobile USA, Inc., Co. Gty., 6.50%, 01/15/24(c)    Ba3/BB     60                64,125     
Telecom Italia Capital SA, Co. Gty., 6.00%, 09/30/34    Ba1/BB+     1,000                1,002,500     
Telecom Italia Capital SA, Co. Gty., 7.20%, 07/18/36    Ba1/BB+     250                276,875     
Verizon Communications, Inc., Sr. Unsec. Notes, 7.75%, 12/01/30    Baa1/BBB+     1,646                2,257,352     
Windstream Corp., Co. Gty., 7.75%, 10/01/21(c)    B1/B     425                464,313     
      

 

 

  
         21,822,044     
      

 

 

  

TRANSPORTATION (5.23%)

       
American Airlines, Pass Through Certs., Series 2013-2, Class B, 5.60%, 07/15/20, 144A    NA/BB+     2,436                2,557,914     
BNSF Funding Trust I, Co. Gty., 6.613%, 12/15/55(b),(c)    Baa2/BBB     250                276,875     
British Airways PLC, Pass Through Certs., 5.625%, 12/20/21, 144A    Baa3/BBB     1,394                1,487,960     
Continental Airlines, Pass Through Certs., Series 1999-1, Class B, 6.795%, 02/02/20    Ba1/BB     225                239,115     
Continental Airlines, Pass Through Certs., Series 2000-1, Class A1, 8.048%, 05/01/22    Baa2/BBB     756                869,678     
Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 10/02/22    Baa3/BBB-     1,154                1,319,139     
Delta Air Lines, Pass Through Certs, Series 1993, Class A2, 10.50%, 04/30/16(e)    WR/NR     339                68,738     
ERAC USA Finance LLC, Co. Gty., 7.00%, 10/15/37, 144A    Baa1/BBB+     1,500                1,965,525     
Federal Express Corp., Pass Through Certs., Series 1996, Class B2, 7.84%, 01/30/18(c)    A3/BBB     864                975,980     
Stena AB, Sr. Unsec. Notes, 7.00%, 02/01/24, 144A    B2/BB     1,705                1,815,825     
United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%, 08/15/21    NA/BB+     500                520,000     
      

 

 

  
         12,096,749     
      

 

 

  

The accompanying notes are an integral part of these financial statements.

 

4

SCHEDULE OF INVESTMENTS (unaudited) — continued

 

     Moody’s/
Standard &
Poor’s Rating(a)		   

Principal

     Amount (000’s)    

     

Value   

 (Note 1) 

  

UTILITIES (4.71%)

         

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

    A2/A-    $ 500                 $             574,807     

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

    Ba2/BB      1,000                 1,100,000     

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

    Baa3/BBB-      1,000                 1,187,363     

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

    A3/BBB+      2,000                 2,040,260     

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

    Aa2/A+      1,550                 2,166,502     

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

    A2/BBB+      500                 652,230     

NextEra Energy Capital Holding, Inc., Co. Gty., Series D, 7.30%, 09/01/67(b),(c)

    Baa2/BBB      1,250                 1,378,125     

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

    Baa1/BBB      500                 548,531     

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

    Baa1/BBB      1,000                 1,167,309     

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

    Baa1/BBB      80                 96,444     
        

 

 

  
           10,911,571     
        

 

 

  

Total CORPORATE DEBT SECURITIES (Cost of $172,012,048)

            198,088,591     
        

 

 

  

ASSET BACKED SECURITIES (2.43%)

         
ALM Loan Funding, Series 2012-7A, Class A2, 2.534%, 10/19/24, 144A(b)    NR/AA      2,000                 1,994,660     
Credit-Based Asset Servicing and Securitization LLC, Series 2006-SC1,         
Class A, 0.422%, 05/25/36, 144A(b)    A3/AAA      39                 35,920     
Dryden XXIV Senior Loan Fund Notes, Class A, CLO, 1.654%, 11/15/23, 144A(b)    Aaa/AAA      2,500                 2,501,750     
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%,
03/01/37(f)		    A2/AA      55                 53,083     
Renaissance Home Equity Loan Trust, Series 2006-3, Class AF2, 5.58%,
11/25/36(f)		    Ca/CCC      154                 99,402     
Small Business Administration Participation Certificates, Series 2010-20F,
Class 1, 3.88%, 06/01/30		    Aaa/AA+      240                 253,823     
Sonic Capital LLC, Series 2011-1A, Class A2, 5.438%, 05/20/41, 144A    Baa2/BBB      639                 685,784     
        

 

 

  

TOTAL ASSET BACKED SECURITIES (Cost of $5,619,039)

            5,624,422     
        

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES (6.17%)

         
CGBAM Commerical Mortgage Trust, Series 2013-BREH, Class D, 3.002%, 05/15/30, 144A(b)    Baa3/NA      1,790                 1,800,045     
Developers Diversified Realty Corp., Series 2009-DDR1, Class C, 6.223%, 10/14/22, 144A    A1/AA+      2,000                 2,019,610     
Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/30, 144A    A3/A-      1,400                 1,431,608     
Irvine Core Office Trust, Series 2013-IRV, Class C, 3.174%, 05/05/48, 144A(b)    NA/A      735                 705,574     
Ml-CFC Commercial Mortgage Trust, Series 2006-3, Class AJ, 5.485%,
07/12/46(b)		    Ba2/NA      1,000                 1,028,202     
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV,
Class C, 4.292%, 10/15/30, 144A(b)		    NA/A      2,710                 2,600,689     
Morgan Stanley Capital I Trust, Series 2006-HQ10, Class AM, 5.36%, 11/01/41    A2/NA      2,000                 2,173,240     
Morgan Stanley Reremic Trust, Series 2009-GG10, Class A4B, 5.803%, 08/12/45,
144A(b)		    Baa2/NA      210                 230,145     
Spirit Master Funding LLC, Series 2014-2A, Class A, 5.76%, 03/20/42, 144A    NA/A+      1,634                 1,807,060     
TAL Advantage LLC, Series 2014-2A, Class A1, 1.70%, 05/20/39, 144A    NA/A      489                 489,681     
        

 

 

  
Total COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost of $14,266,315)		            14,285,854     
        

 

 

  

RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.64%)

         

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

    Aaa/AA+      —                 235     

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

    Aaa/AA+      1                 857     

The accompanying notes are an integral part of these financial statements.

 

5

SCHEDULE OF INVESTMENTS (unaudited) — continued

 

     Moody’s/
Standard &
    Poor’s Rating(a)    		   

Principal

     Amount (000’s)    

     

Value   

 (Note 1) 

  

RESIDENTIAL MORTGAGE-BACKED SECURITIES (Continued)

         
FHLMC Pool # A15675, 6.00%, 11/01/33    Aaa/AA+    $ 280                 $             318,559     
FHLMC Pool # G00182, 9.00%, 09/01/22    Aaa/AA+      1                 565     
FNMA Pool # 124012, 12.50%, 10/01/15    Aaa/AA+      1                 765     
FNMA Pool # 303022, 8.00%, 09/01/24    Aaa/AA+      14                 15,913     
FNMA Pool # 303136, 8.00%, 01/01/25    Aaa/AA+      6                 6,575     
FNMA Pool # 55192, 10.50%, 09/01/17    Aaa/AA+      3                 3,192     
FNMA Pool # 58991, 11.00%, 02/01/18    Aaa/AA+      2                 2,457     
FNMA Pool # 754791, 6.50%, 12/01/33    Aaa/AA+      541                 611,329     
FNMA Pool # 763852, 5.50%, 02/01/34    Aaa/AA+      332                 372,737     
FNMA Pool # 889554, 6.00%, 04/01/38    Aaa/AA+      79                 88,816     
GNSF Pool # 194228, 9.50%, 11/15/20    Aaa/AA+      16                 16,168     
GNSF Pool # 307527, 9.00%, 06/15/21    Aaa/AA+      15                 16,552     
GNSF Pool # 417239, 7.00%, 02/15/26    Aaa/AA+      15                 17,591     
GNSF Pool # 780374, 7.50%, 12/15/23    Aaa/AA+      9                 9,850     
        

 

 

  
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost of $1,201,293)		            1,482,161     
        

 

 

  

MUNICIPAL BONDS (2.32%)

         
Commonwealth of Puerto Rico, Series A, GO, 8.00%, 07/01/35    Ba2/BB+      2,100                 1,848,231     
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                 214,176     
San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.00%, 11/01/40    Aa3/AA-      145                 181,504     
State of California, Build America Bonds, GO, 7.625%, 03/01/40    Aa3/A      1,500                 2,212,860     
State of Illinois, Build America Bonds, GO, 7.35%, 07/01/35    A3/A-      755                 914,184     
        

 

 

  

TOTAL MUNICIPAL BONDS (Cost of $4,645,263)

            5,370,955     
        

 

 

  
                  Shares                 

COMMON STOCK (0.01%)

         

MEDIA (0.01%)

         

Quad Graphics, Inc.

         
        1,617                 36,172     
        

 

 

  

Total COMMON STOCK (Cost of $74,496)

            36,172     
        

 

 

  

PREFERRED STOCK (1.37%)

         

CoBank ACB, Series F, 6.250%, 144A

         
        20,000                 2,071,876     

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

         
        53,779                 586,729     

US BANCORP, Series A, 3.500%

         
        615                 511,988     
        

 

 

  
TOTAL PREFERRED STOCK
(Cost of $3,868,939)		            3,170,593     
        

 

 

  
TOTAL INVESTMENTS (98.53%)
(Cost $201,687,393)		            228,058,748     
        

 

 

  

OTHER ASSETS AND LIABILITIES (1.47%)

            3,391,557     
        

 

 

  

NET ASSETS (100.00%)

            $ 231,450,305     
        

 

 

  

 

 

(a)  Ratings for debt securities are unaudited. All ratings are as of June 30, 2014 and may have changed subsequently.
(b) Variable rate security. Rate disclosed is as of June 30, 2014.
(c) This security is callable.
(d) Security is perpetual. Date shown is next call date.

The accompanying notes are an integral part of these financial statements.

 

6

SCHEDULE OF INVESTMENTS (unaudited) — continued

 

(e) Investment was in default as of June 30, 2014.
(f) Multi-Step Coupon. Rate disclosed is as of June 30, 2014.
(g) Non-income producing security.
(h) Dividend was discontinued as of September 7, 2008.
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, 2014, these securities amounted to $80,035,158 or 34.58% of net assets.

 

*      Aggregate cost for Federal income tax purposes is $201,687,393.

   

        Gross unrealized appreciation

    $ 28,200,076      

        Gross unrealized depreciation

      (1,828,721)     
  

 

 

  

        Net unrealized appreciation

    $ 26,371,355      
  

 

 

  

Legend

Certs. - Certificates

CLO - Collateralized Loan Obligation

Co. Gty. - Company Guaranty

Debs. - Debentures

FHLMC - Federal Home Loan Mortgage Corp.

FNMA - Federal National Mortgage Association

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 these financial statements.

 

7

CUTWATER SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

June 30, 2014

(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, 2014, 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, 2014.

 

     

Total Market

Value at

06/30/14

     

Level 1

Quoted

Price

      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

CORPORATE DEBT SECURITIES

    $ 198,088,591               $ —               $ 198,088,591               $ —       

ASSET BACKED SECURITIES

      5,624,422                 —                 5,624,422                 —       

COMMERCIAL MORTGAGE-BACKED SECURITIES

      14,285,854                 —                 14,285,854                 —       

RESIDENTIAL MORTGAGE-BACKED SECURITIES

      1,482,161                 —                 1,482,161                 —       

MUNICIPAL BONDS

      5,370,955                 —                 5,370,955                 —       

COMMON STOCK *

      36,172                 36,172                 —                 —       

PREFERRED STOCK

      3,170,593                 3,170,593                 —                 —       

TOTAL INVESTMENTS

    $     228,058,748               $ 3,206,765               $  224,851,983               $ —       
* See Schedule of Investments for industry breakout.

 

8

CUTWATER SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

June 30, 2014 (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, 2014, 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. As of June 30, 2014, the Fund did not hold any Level 3 securities.

 

 

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

 

9

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   August 27, 2014

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    August 27, 2014

 

By (Signature and Title)*       /s/ Joseph L. Sevely
      Joseph L. Sevely, Treasurer
      (principal financial officer)

 

Date    August 27, 2014

 

 

* 

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