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                 811-02201                    

                             Cutwater Select Income Fund                        

(Exact name of registrant as specified in charter)

200 Park Avenue, 7^th Floor

                                 New York, NY 10166                                

(Address of principal executive offices) (Zip code)

Clifford D. Corso

200 Park Avenue, 7^th Floor

                                 New York, NY 10166                                

(Name and address of agent for service)

Registrant’s telephone number, including area code:  212-527-1800

Date of fiscal year end:  March 31

Date of reporting period:  September 30, 2016

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

CUTWATER SELECT INCOME FUND SHAREHOLDER LETTER

For the Six-Month Period Ended 09/30/16

October 20, 2016

DEAR SHAREHOLDERS:

Weak international trade and the negative impact of falling commodity prices gave the Federal Reserve (Fed) reasons to relent from rate hikes so far this year. Although housing activity has been resilient and wage growth has started to pick up from low levels, inflation indicators remain too weak to warrant immediate changes to monetary policy. Furthermore, the US presidential election in November is moving into focus and a rate hike in November could be construed as being politically motivated. While rallying recently, the US dollar has been range-bound over the past 18 months, and international trade has begun to show signs of normalization. These factors suggest that we could see some acceleration in underlying economic activity towards the end of this year. The final growth rate is likely to remain heavily influenced by the potential for a stabilization of inventory levels, as well as the valuation effect of oil prices on these inventories.

In Europe, initial economic data following the UK Brexit referendum have since defied expectations of a sharp deterioration in economic activity. Given the Bank of England’s accommodative stance and that the flow of goods and services will likely be unaffected until after triggering Article 50¹, it may be some time before we see an economic impact of the political changes. In the meantime, we expect both private and government consumption on the continent to continue improving in 2016 as the European Central Bank (ECB) remains accommodative.

Elsewhere, activity in Japan remains disappointing in the absence of progress on structural reforms. The Bank of Japan (BOJ) announced an attempt to steepen their yield curve by targeting 10-year government bonds at current yields. Chinese management of the yuan is also likely to remain in focus this year. The return to investment-led growth, much of it linked to resurgent property investment, has put a floor under economic activity in China for this year. However, it is not clear that this will provide the opportunities in China to attract foreign capital or limit domestic capital outflows in a sustainable way.

Interest Rate Summary

Last year, expected tightening in the US contrasted with easing biases from both the ECB and the BOJ. In 2016, monetary policy has generally converged as central banks leaned dovish in the face of weaker global growth and heightened political uncertainty. In combination with the potentially radical changes to global trade arrangements coming out of the US and UK, this gives central banks plenty of reasons to remain dovish and “behind the curve” once inflation resurfaces.

Fundamentally, the economy remains steady and some Fed speakers maintain that the case to raise rates has strengthened over the summer. Fed governor John Williams recently reiterated the benefits of central bank flexibility if inflation were to be guided to a higher level. Stresses in credit markets have prompted a tightening of lending conditions in the Fed’s senior loan officer survey, but US defaults this year have been concentrated in energy-related sectors. The impact of energy prices on inventories has the potential to weigh further on real growth rates over the next year, but the main watch factors remain wage growth, consumption and housing. These latter factors could permit the Fed to raise the overnight Fed Funds rate by another 25bp later this year.

¹  Article 50 refers to the article of the Treaty on European Union that governs the withdrawal from the European Union by a member state.

1

Credit Summary

The market continued the search for yield over the last six months as spreads tightened from 163bps to 138bps by period end in the investment grade corporate sector. US high yield performed exceptionally well with spreads tightening from 656bps to 480bps during the last six months. The technical environment remains strong with significant central bank buying in Europe and Japan, encouraging foreign demand for US assets in search for yield. While technicals remain robust, the fundamental picture is less robust. Corporate leverage is at a post-crisis high and revenue growth remains elusive resulting in disappointing earnings. The one exception to the weakening trend has been the stabilization of commodity prices, which, combined with creditor friendly actions from management teams, has led to meaningful improvement in underlying creditworthiness. Overall, the weakness in corporate fundamentals remains a focus in our risk management and asset allocation framework.

In our last communication to shareholders we had highlighted our view that the recent magnitude of spreads suggested a high degree of strategic value across several credit sectors with a high margin for safety and justified our overweight credit posture. This positioning was rewarded as the Fund generated strong performance.

As of September 30, 2016, the Fund had a net asset value (NAV) of $20.95 per share. This represents a 3.71% increase from $20.20 per share on March 31, 2016. On September 30, 2016, the Fund’s closing price on the New York Stock Exchange was $20.26 per share, representing a 3.3% discount to NAV per share, compared with a 5.25% discount as of March 31, 2016. The market trading discount was at 7.49% as of market close on October 19, 2016.

One of the primary objectives of the Fund is to maintain a high level of income. On September 14, 2016, the Board of Trustees declared a dividend payment of $0.225 per share payable November 2, 2016, to shareholders of record on September 30, 2016. On an annualized basis, including the pending dividend, the Fund has paid a total of $0.95 per share in dividends, representing a 4.90% dividend yield based on the market price on October 19, 2016, of $19.38 per share. The dividend is evaluated on a quarterly basis and is based on the income generation capability of the portfolio and is not guaranteed for any period of time.

Total Return-Percentage Change (Annualized for periods longer than 1 year)

In Net Asset Value Per Share with All Distributions Reinvested¹

	6 Months ending 9/30/16			1 Year ending 9/30/16			3 Years ending 9/30/16			5 Years ending 9/30/16			10 Years ending 9/30/16
Cutwater Select Income Fund. . . . . . . . . . . .		7.32	%		9.24	%		6.75	%		6.82	%		6.90	%
Barclays U.S. Credit Index2 . . . . . . . . . . . . .		4.76	%		8.30	%		5.44	%		4.83	%		5.77	%

1 – This is historical information and should not be construed as indicative of any likely future performance.

2 – Source: Barclays as of 9/30/16. Comprised primarily of US investment grade corporate bonds (Fund’s Benchmark).

The Fund’s performance for the 10-year historical periods (shown above) reflects the 4.79% dilution of NAV resulting from the rights offering in the third quarter of 2009. After adjusting for the impact of the rights offering, we estimate the 10-year annualized return to be 7.39%. The returns noted in the table above are actual returns as calculated by the Fund’s administrator, BNY Mellon, and do not adjust for the dilutive effect on NAV per share of the rights offering. Past performance does not necessarily predict future results.

Yield represents the major component of return in most fixed income portfolios. Given this Fund’s emphasis on income and the dividend, we generally will not have material exposure to low yielding US Treasuries and will maintain meaningful exposure to corporate bonds. When it comes to management of credit risk, we try to look through periods of volatility to focus on an investment’s long-term creditworthiness to assess whether it will provide an attractive yield to the Fund over time.

2

The Fund’s performance will continue to be subject to trends in long-term interest rates and to corporate yield spreads. Consistent with our investment discipline, we continue to seek a high rate of return and to emphasize diversification and risk management within the bounds of income stability. The pie chart below summarizes the portfolio quality of the Fund’s assets as of September 30, 2016:

Percent of Total Investment (Lower of S&P and Moody’s Ratings)¹

¹  For financial reporting purposes, credit quality ratings shown above reflect the lowest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated NR are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings and the Fund’s allocation to the ratings categories are subject to change at any time without notice.

We would like to remind shareholders of the opportunities presented by the Fund’s dividend reinvestment plan referred to in the Shareholder Information section of this report. The dividend reinvestment plan affords shareholders a price advantage by allowing them to purchase shares at NAV or market price, whichever is lower. This means that the reinvestment price is at market price when the Fund is trading at a discount to NAV, as is currently the situation, or at NAV per share when market trading is at a premium to that value. To participate in the plan, please contact BNY Mellon Investment Servicing (US) Inc. the Fund’s Transfer Agent and Dividend Paying Agent, at 1-866-333-6685. The Fund’s investment adviser, Cutwater Investor Services Corp., may be reached at 1-212-527-1800.

Cliff Corso

President

Mr. Corso’s comments reflect the investment adviser’s views generally regarding the market and the economy, and are compiled from the investment adviser’s research. These comments reflect opinions as of the date written and are subject to change at any time.

3

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2016

	Moody’s/ Standard & Poor’s Rating(a)	Principal Amount (000’s)		Value (Note 1)
CORPORATE DEBT SECURITIES (82.24%)
AUTOMOTIVE (0.96%)
Ford Holdings LLC, Co. Gty., 9.30%, 03/01/30	Baa2/BBB		$    1,000	$	1,450,515
Ford Motor Co., Sr. Unsec. Notes, 8.90%, 01/15/32	Baa2/BBB		500		704,421
					2,154,936
CHEMICALS (2.27%)
Axalta Coating Systems LLC, Co. Gty., 4.875%, 08/15/24, 144A(b)	B1/B+		581		595,162
Dow Chemical Co., Sr. Unsec. Notes, 8.55%, 05/15/19	Baa2/BBB		500		586,423
Incitec Pivot Finance LLC, Co. Gty., 6.00%, 12/10/19, 144A	Baa3/BBB		405		438,649
Sinochem Overseas Capital Co., Ltd., Co. Gty., 4.50%, 11/12/20, 144A	A3/A-		500		543,210
Solvay Finance America LLC, Co. Gty., 3.40%, 12/03/20, 144A(b)	Baa2/BBB-		312		326,533
Union Carbide Corp., Sr. Unsec. Notes, 7.75%, 10/01/96	Baa2/BBB		2,000		2,601,122
					5,091,099
DIVERSIFIED FINANCIAL SERVICES (16.49%)
Bank of America Corp., Sr. Unsec. Notes, 5.625%, 07/01/20	Baa1/BBB+		190		213,286
Bank of America Corp., Sr. Unsec. Notes, 5.875%, 01/05/21	Baa1/BBB+		500		573,428
Bank of America Corp., Sub. Notes, 4.45%, 03/03/26	Baa3/BBB		1,764		1,893,137
CDP Financial, Inc., Co. Gty., 4.40%, 11/25/19, 144A	Aaa/Aaa		400		436,161
Chase Capital II, Ltd. Gtd., Series B, 1.257%, 02/01/27(b),(c)	Baa2/BBB-		70		61,513
Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39	Baa1/BBB+		70		110,049
Citigroup, Inc., Sub. Notes, 4.60%, 03/09/26	Baa3/BBB		2,000		2,135,936
Citigroup, Inc., Sub. Notes, 5.30%, 05/06/44	Baa3/BBB		1,200		1,348,750
Discover Financial Services, Sr. Unsec. Notes, 10.25%, 07/15/19	Ba1/BBB-		200		234,485
Farmers Exchange Capital, Sub. Notes, 7.20%, 07/15/48, 144A	Baa2/A-		3,000		3,537,201
GE Capital International Funding, Co. Gty., 4.418%, 11/15/35	A1/AA-		1,018		1,142,568
General Electric Capital Corp., Sr. Unsec. Notes, 6.875%, 01/10/39	A1/AA-		287		432,300
General Electric Co., Jr. Sub. Notes, 5.00%, 01/21/21(b),(c),(d)	A3/A		4,320		4,594,104
HSBC Capital Funding LP, Co. Gty., 10.176%, 06/30/30, 144A(b),(c),(d)	Baa1/BBB-		2,180		3,304,488
ING Bank NV, Sub. Notes, 4.125%, 11/21/23(b),(c)	Baa2/BBB+		2,500		2,559,750
Intesa Sanpaolo SpA, Co. Gty., 3.875%, 01/15/19	Baa1/BBB-		1,100		1,132,605
Intesa Sanpaolo SpA, Sub. Notes, 5.71%, 01/15/26, 144A	Ba1/BB		1,250		1,177,839
JPMorgan Chase & Co., Jr. Sub., 7.90%, 04/30/18(b),(c),(d)	Baa3/BBB-		2,000		2,055,000
Lincoln Finance, Ltd., Sr. Sec. Notes, 7.375%, 04/15/21, 144A(b)	B1/BB+		225		242,719
Morgan Stanley, Jr. Sub. Notes, 5.45%, 07/15/19(b),(c),(d)	Ba1/BB		2,200		2,207,348
Morgan Stanley, Sr. Unsec. Notes, 6.25%, 08/28/17	A3/BBB+		300		312,468
Nasdaq, Inc., Sr. Unsec. Notes, 3.85%, 06/30/26(b)	Baa3/BBB		1,294		1,354,005
Nationwide Building Society, Sr. Unsec. Notes, 2.45%, 07/27/21, 144A	Aa3/A		1,193		1,207,488
Santander UK Group Holdings PLC, Sr. Unsec. Notes, 2.875%, 10/16/20	Baa1/BBB		745		750,651
Synchrony Financial, Sr. Unsec. Notes, 2.60%, 01/15/19(b)	NA/BBB-		936		947,025
Toronto-Dominion Bank, Sub. Notes, 3.625%, 09/15/31(b),(c)	A2/A-		716		717,975
UBS AG, Sub. Notes, 7.625%, 08/17/22	NR/BBB+		2,000		2,330,000
					37,012,279
ENERGY (9.78%)
Antero Resources Corp., Co. Gty., 5.625%, 06/01/23(b)	Ba3/BB		566		576,613
BG Energy Capital PLC, Co. Gty., 6.50%, 11/30/72(b),(c)	WR/BBB+		3,250		3,387,976
Burlington Resources, Inc., Co. Gty., 9.125%, 10/01/21	Baa2/A-		850		1,109,282
CITGO Petroleum Corp., Sr. Sec. Notes, 6.25%, 08/15/22, 144A(b)	B3/B+		1,180		1,150,500
CMS Panhandle Holding Co., Sr. Unsec. Notes, 7.00%, 07/15/29	Baa3/BBB-		1,000		1,092,663
Columbia Pipeline Group, Inc., Co. Gty., 4.50%, 06/01/25(b)	Baa2/A-		395		429,034
El Paso LLC, Sr. Sec. Notes, 8.05%, 10/15/30	Baa3/BBB-		1,000		1,178,611
Enterprise Products Operating LLC, Co. Gty., Series B, 7.034%, 01/15/68(b),(c)	Baa2/BBB-		1,000		1,056,790
Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.19%, 11/01/24, 144A	Baa2/BBB		90		108,140

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)
ENERGY (Continued)
IFM US Colonial Pipeline 2 LLC, Sr. Sec. Notes, 6.45%, 05/01/21, 144A(b)	NA/BB		$    1,000	$	1,128,985
Kinder Morgan, Inc., Co. Gty., 5.55%, 06/01/45(b)	Baa3/BBB-		1,755		1,800,439
Motiva Enterprises LLC, Sr. Unsec. Notes, 6.85%, 01/15/40, 144A	A2/BBB+		124		157,589
Petroleos Mexicanos, Co. Gty., 8.00%, 05/03/19	Baa3/BBB+		250		281,625
Petroleos Mexicanos, Co. Gty., 6.00%, 03/05/20	Baa3/BBB+		750		810,000
Regency Energy Partners LP/Regency Energy Finance Corp., 6.50%, 07/15/21(b)	Baa3/BBB-		2,180		2,255,962
Sunoco LP/Sunoco Finance Corp., Co. Gty., 6.25%, 04/15/21, 144A(b)	Ba3/BB-		850		875,500
Valero Energy Corp., Co. Gty., 8.75%, 06/15/30	Baa2/BBB		1,000		1,342,066
Valero Energy Corp., Co. Gty., 10.50%, 03/15/39	Baa2/BBB		500		769,921
Williams Partners LP, Sr. Unsec. Notes, 4.30%, 03/04/24(b)	Baa3/BBB-		1,670		1,707,819
Williams Partners LP, Sr. Unsec. Notes, 4.00%, 09/15/25(b)	Baa3/BBB-		730		729,867
					21,949,382
FOOD AND BEVERAGE (1.96%)
Anheuser-Busch InBev Finance, Inc., Co. Gty., 3.70%, 02/01/24	A3/A-		795		859,150
Anheuser-Busch InBev Finance, Inc., Co. Gty., 4.70%, 02/01/36(b)	A3/A-		645		741,604
Anheuser-Busch InBev Finance, Inc., Co. Gty., 4.90%, 02/01/46(b)	A3/A-		756		899,474
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 7.75%, 01/15/19	A3/A-		325		369,720
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.20%, 01/15/39	A3/A-		27		43,585
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec. Notes, 5.75%, 06/15/25, 144A(b)	Ba2/BB		1,200		1,179,000
Kraft Heinz Foods, Co. Gty., 5.20%, 07/15/45(b)	Baa3/BBB-		260		307,483
					4,400,016
HEALTHCARE (1.65%)
Actavis Funding SCS, Co. Gty., 4.75%, 03/15/45(b)	Baa3/BBB		180		196,816
MEDNAX, Inc., Co. Gty., 5.25%, 12/01/23, 144A(b)	Ba2/BBB-		250		262,813
Medtronic, Inc., Co. Gty., 4.625%, 03/15/45	A3/A		775		910,616
Teva Pharmaceutical Finance Netherlands III BV, Co. Gty., 3.15%, 10/01/26	Baa2/BBB		391		392,809
Teva Pharmaceutical Finance Netherlands III BV, Co. Gty., 4.10%, 10/01/46	Baa2/BBB		188		187,109
Valeant Pharmaceuticals International, Inc., Co. Gty., 5.50%, 03/01/23, 144A(b)	B3/B-		750		641,250
Zoetis Inc., Sr. Unsec. Notes, 4.70%, 02/01/43(b)	Baa2/BBB-		1,050		1,105,008
					3,696,421
INDUSTRIAL (4.59%)
Case New Holland Industrial, Inc., Co. Gty., 7.875%, 12/01/17	Ba1/BB+		458		486,625
CNH Industrial Capital LLC, Co. Gty., 3.875%, 07/16/18	Ba1/BB		535		544,363
Heathrow Funding, Ltd., Sr. Sec. Notes, 4.875%, 07/15/23, 144A	NA/A-		200		217,954
Newell Brands, Inc., Sr. Unsec. Notes, 4.20%, 04/01/26(b)	Baa3/BBB-		593		645,841
Newell Brands, Inc., Sr. Unsec. Notes, 5.50%, 04/01/46(b)	Baa3/BBB-		2,629		3,189,245
Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.75%, 06/01/29	Baa1/BBB+		500		708,327
Reynolds American, Inc., Co. Gty., 4.45%, 06/12/25(b)	Baa3/BBB		1,000		1,115,726
Sydney Airport Finance Co. Property, Ltd., Sr. Sec. Notes, 3.375%, 04/30/25, 144A(b)	Baa2/BBB		400		409,856
Vale Overseas, Co. Gty., 5.875%, 06/10/21	Ba3/BBB-		1,300		1,361,100
Vale Overseas, Co. Gty., 6.25%, 08/10/26	Ba3/BBB-		1,010		1,055,147
Worthington Industries, Inc., Sr. Unsec. Notes, 6.50%, 04/15/20	Baa3/BBB		500		555,572
					10,289,756
INSURANCE (8.19%)
AIG SunAmerica, Inc., Sr. Unsec. Notes, 8.125%, 04/28/23	Baa1/A-		1,800		2,287,283
Allstate Corp., Jr. Sub. Notes, 6.50%, 05/15/67(b),(c)	Baa1/BBB		2,200		2,557,500
American International Group, Inc., Jr. Sub. Debs., 8.175%, 05/15/68(b),(c)	Baa2/BBB		2,500		3,345,625
Guardian Life Insurance Co. of America, Sub. Notes, 7.375%, 09/30/39, 144A	A1/AA-		108		152,521
Liberty Mutual Group, Inc., Co. Gty., 7.00%, 03/07/67, 144A(b),(c)	Baa3/BB+		500		427,500
Liberty Mutual Group, Inc., Co. Gty., 10.75%, 06/15/88, 144A(b),(c)	Baa3/BB+		1,000		1,520,000
Liberty Mutual Group, Inc., Sr. Unsec. Notes, 7.00%, 03/15/34, 144A	Baa2/BBB		250		314,793

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)
INSURANCE (Continued)
Massachusetts Mutual Life Insurance Co., Sub. Notes, 8.875%, 06/01/39, 144A		A1/AA-		$    500	$	786,831
MetLife Capital Trust X, Jr. Sub. Notes, 9.25%, 04/08/68, 144A(b)		Baa2/BBB		500		719,350
MetLife, Inc., Jr. Sub. Notes, 10.75%, 08/01/69(b)		Baa2/BBB		1,000		1,602,600
Nationwide Mutual Insurance Co., Sub. Notes, 9.375%, 08/15/39, 144A		A3/A-		215		338,987
New York Life Insurance Co., Sub. Notes, 6.75%, 11/15/39, 144A		Aa2/AA-		103		142,699
Prudential Financial, Inc., Jr. Sub. Notes, 5.20%, 03/15/44(b),(c)		Baa2/BBB+		2,500		2,578,125
Prudential Financial, Inc., Jr. Sub. Notes, 8.875%, 06/15/68(b),(c)		Baa2/BBB+		1,000		1,110,000
Travelers Cos., Inc., Jr. Sub. Notes, 6.25%, 03/15/67(b),(c)		A3/NR		500		495,000
						18,378,814
MEDIA (10.22%)
21st Century Fox America, Inc., Co. Gty., 7.90%, 12/01/95		Baa1/BBB+		1,400		1,921,790
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec. Notes, 5.75%, 02/15/26, 144A(b)		B1/BB+		1,112		1,178,720
Comcast Corp., Co. Gty., 7.05%, 03/15/33		A3/A-		2,000		2,837,008
Cox Communications, Inc., Sr. Unsec. Notes, 6.80%, 08/01/28		Baa2/BBB		1,500		1,758,989
Cox Enterprises, Inc., Sr. Unsec. Notes, 7.375%, 07/15/27, 144A		Baa2/BBB		500		613,747
Discovery Communications LLC, Co. Gty., 4.90%, 03/11/26(b)		Baa3/BBB-		663		720,337
Grupo Televisa SAB, Sr. Unsec. Notes, 6.625%, 01/15/40		Baa1/BBB+		159		181,425
Harcourt General, Inc., Sr. Unsec. Notes, 8.875%, 06/01/22		WR/BBB+		2,000		2,456,404
Hearst-Argyle Television, Inc., Sr. Unsec. Notes, 7.00%, 01/15/18		WR/NR		1,000		1,007,500
Myriad International Holding BV, Co. Gty., 6.375%, 07/28/17, 144A		Baa3/BBB-		100		103,087
Numericable Group SA, Sr. Sec. Notes, 6.25%, 05/15/24, 144A(b)		B1/B+		1,780		1,768,345
Time Warner Entertainment Co., LP, Co. Gty., 8.375%, 07/15/33		Ba1/BBB		1,360		1,851,954
Time Warner, Inc., Co. Gty., 9.15%, 02/01/23		Baa2/BBB		3,000		4,064,994
VTR Finance BV, 6.875%, 01/15/24, 144A(b)		B1/B+		2,375		2,480,687
						22,944,987
MINING (1.83%)
Anglo American Capital PLC, Co. Gty., 9.375%, 04/08/19, 144A		Ba2/BB		500		575,000
BHP Billiton Finance USA, Ltd. Co. Gty., 6.75%, 10/19/75, 144A(b),(c)		Baa2/BBB+		972		1,100,790
Rio Tinto Finance USA, Ltd., Co. Gty., 9.00%, 05/01/19		Baa1/A-		85		100,419
Teck Resources, Ltd., Co. Gty., 8.00%, 06/01/21, 144A(b)		B1/BB-		177		192,487
Teck Resources, Ltd., Co. Gty., 6.00%, 08/15/40(b)		Caa1/B+		1,000		922,500
Teck Resources, Ltd., Co. Gty., 5.20%, 03/01/42(b)		Caa1/B+		1,415		1,209,825
						4,101,021
PAPER (1.68%)
Smurfit Kappa Treasury Funding, Ltd., Sr. Sec. Notes, 7.50%, 11/20/25		Ba1/BB+		2,000		2,400,000
Westvaco Corp., Co. Gty., 8.20%, 01/15/30		Baa2/BBB		1,000		1,363,557
						3,763,557
REAL ESTATE INVESTMENT TRUST (REIT) (2.30%)
Duke Realty LP, Co. Gty., 6.50%, 01/15/18		Baa2/BBB		466		495,554
Goodman Funding Property, Ltd., Co. Gty., 6.375%, 04/15/21, 144A		Baa2/BBB		1,050		1,228,361
Health Care REIT, Inc., Sr. Unsec. Notes, 5.25%, 01/15/22(b)		Baa1/BBB		1,500		1,699,966
Liberty Property LP, Sr. Unsec. Notes, 3.25%, 10/01/26(b)		Baa1/BBB		1,722		1,735,165
						5,159,046
RETAIL & RESTAURANT (0.07%)
McDonald’s Corp., Sr. Unsec. Notes, 3.70%, 01/30/26(b)		Baa1/BBB+		146		157,074
TECHNOLOGY (0.78%)
Microsoft Corp., Sr. Unsec. Notes, 2.40%, 08/08/26(b)		Aaa/Aaa		1,199		1,200,014
QUALCOMM, Inc., Sr. Unsec. Notes, 3.45%, 05/20/25(b)		A1/A+		520		553,790
						1,753,804

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

6

SCHEDULE OF INVESTMENTS (Unaudited) — continued

	Moody’s/ Standard & Poor’s Rating(a)		Principal Amount (000’s)		Value (Note 1)
TELECOMMUNICATIONS (8.56%)
Altice Financing SA, Sr. Sec. Notes, 6.625%, 02/15/23, 144A(b)		B1/BB-		$    200	$	205,250
AT&T Inc., Sr. Unsec. Notes, 4.50%, 05/15/35(b)		Baa1/BBB+		1,750		1,838,706
AT&T Inc., Sr. Unsec. Notes, 4.75%, 05/15/46(b)		Baa1/BBB+		425		444,743
Bharti Airtel International, Sr. Unsec. Notes, 5.35%, 05/20/24, 144A		Baa3/BBB-		2,225		2,434,862
Centel Capital Corp., Co. Gty., 9.00%, 10/15/19		Ba1/BBB-		1,000		1,158,241
Deutsche Telekom International Finance BV, Co. Gty., 8.75%, 06/15/30		Baa1/BBB+		2,000		3,108,792
Digicel, Ltd., Sr. Unsec. Notes, 6.00%, 04/15/21, 144A(b)		B1/NA		500		441,700
Frontier Communications Corp., Sr. Unsec. Notes, 8.125%, 10/01/18		Ba3/BB-		500		546,250
Frontier Communications Corp., Sr. Unsec. Notes, 11.00%, 09/15/25(b)		Ba3/BB-		267		278,681
Frontier Communications Corp., Sr. Unsec. Notes, 9.00%, 08/15/31		Ba3/BB-		500		460,000
GTE Corp., Co. Gty., 6.94%, 04/15/28		Baa2/BBB+		1,500		1,961,479
Qwest Corp., Sr. Unsec. Notes, 6.875%, 09/15/33(b)		Ba1/BBB-		928		925,121
Qwest Corp., Sr. Unsec. Notes, 7.25%, 10/15/35(b)		Ba1/BBB-		500		494,688
Sprint Capital Corp., Co. Gty., 6.875%, 11/15/28		Caa1/B		1,500		1,408,125
Sprint Capital Corp., Co. Gty., 8.75%, 03/15/32		Caa1/B		1,000		1,020,000
T-Mobile USA, Inc., Co. Gty., 6.00%, 04/15/24(b)		Ba3/BB		110		117,700
Verizon Communications, Inc., Sr. Unsec. Notes, 7.75%, 12/01/30		Baa1/BBB+		1,646		2,369,187
						19,213,525
TRANSPORTATION (4.74%)
American Airlines, Pass Through Certs., Series 2013-2, Class B, 5.60%, 01/15/22, 144A		NA/BBB-		1,971		2,062,649
BNSF Funding Trust I, Co. Gty., 6.613%, 12/15/55(b),(c)		Baa2/A-		250		288,470
British Airways PLC, Pass Through Certs., 5.625%, 12/20/21, 144A		A3/BBB		1,186		1,248,257
Continental Airlines, Pass Through Certs., Series 1999-1, Class B, 6.795%, 02/02/20		Ba1/BBB		58		59,586
Continental Airlines, Pass Through Certs., Series 2000-1, Class A1, 8.048%, 05/01/22		Baa1/A-		449		502,044
Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 10/02/22		Baa2/BBB-		704		767,015
Delta Air Lines, Pass Through Certs, Series 1993, Class A2, 10.50%, 04/30/16(b),(e)		WR/NR		332		36,101
ERAC USA Finance LLC, Co. Gty., 3.80%, 11/01/25, 144A(b)		Baa1/BBB+		415		445,334
ERAC USA Finance LLC, Co. Gty., 7.00%, 10/15/37, 144A		Baa1/BBB+		1,500		2,045,761
Federal Express Corp., Pass Through Certs., Series 1996, Class B2, 7.84%, 01/30/18(b)		Baa1/BBB		516		540,722
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec.Notes, 3.375%, 02/01/22, 144A(b)		Baa3/BBB-		1,200		1,247,906
United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%, 02/15/23		NA/BBB-		409		425,078
United Airlines, Pass Through Certs., Series 2016-1, Class AA, 3.10%, 01/07/30		Aa3/NA		952		973,515
						10,642,438
UTILITIES (6.17%)
Black Hills Corp., Sr. Unsec. Notes, 3.95%, 01/15/26(b)		Baa1/BBB		1,082		1,158,706
Consumers Energy Co., 3.25%, 08/15/46(b)		A1/A		622		612,008
Duquesne Light Holdings, Inc., Sr. Unsec. Notes, 6.40%, 09/15/20, 144A		Baa3/BBB-		1,000		1,157,988
Electricite de France SA, Sub. Notes, 5.25%, 01/29/23, 144A(b),(c),(d)		Baa3/BB		2,000		1,955,200
Exelon Corp., Sr. Unsec. Notes, 3.40%, 04/15/26(b)		Baa2/BBB-		505		525,616
Hydro-Quebec, 8.25%, 04/15/26		Aa2/A+		1,550		2,195,187
MidAmerican Funding LLC, Sr. Sec. Notes, 6.927%, 03/01/29		A2/A-		500		700,132
NextEra Energy Capital Holding, Inc., Co. Gty., Series D, 7.30%, 09/01/67(b),(c)		Baa2/BBB		1,250		1,241,037
Ohio Power Co., Sr. Unsec. Notes, 5.375%, 10/01/21		Baa1/BBB+		1,000		1,144,338
Southern Co. Gas Capital Corp. Co. Gty., 5.875%, 03/15/41(b)		Baa1/A-		992		1,235,895
Southern Co. Gas Capital Corp. Co. Gty., 3.95%, 10/01/46(b)		Baa1/A-		539		544,822
Toledo Edison Co., 7.25%, 05/01/20		Baa1/BBB+		80		90,787
Transelec SA, Sr. Unsec. Notes, 4.25%, 01/14/25, 144A(b)		Baa1/BBB		750		788,035
Transelec SA, Sr. Unsec. Notes, 3.875%, 01/12/29, 144A(b)		Baa1/BBB		490		503,475
						13,853,226
TOTAL CORPORATE DEBT SECURITIES (Cost of $163,531,058)						184,561,381

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

7

SCHEDULE OF INVESTMENTS (Unaudited) — continued

	Moody’s/ Standard & Poor’s Rating(a)		Principal Amount (000’s)		Value (Note 1)
ASSET BACKED SECURITIES (5.25%)
ALM Loan Funding, Series 2012-7A, Class A2, 2.988%, 10/19/24, 144A(b),(c)		NR/AA		$    2,000	$	1,998,280
Ares XXIII CLO, Ltd., Series 2012-1AR, Class BR1, 2.888%, 04/19/23, 144A(b),(c)		NR/AA		2,000		1,995,000
AVIS Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, 12/20/21, 144A(b)		Aaa/NA		1,605		1,624,301
Carlyle Global Market Strategies, Series 2014-3A, Class B, 3.884%, 07/27/26, 144A(b),(c)		A1/NA		2,500		2,491,200
CPS Auto Receivables Trust, Series 2015-C, Class B, Series 2015-C, Class B, 2.55%, 02/18/20, 144A(b)		NA/AA		935		942,631
Credit-Based Asset Servicing and Securitization LLC, Series 2006-SC1, Class A, 0.795%, 05/25/36, 144A(b),(c)		Aa3/A+		4		3,949
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A21, 3.484%, 10/25/45, 144A(b)		NA/BBB+		1,241		1,252,256
Drive Auto Receivables Trust, Series 2016-BA, Class B, 2.56%, 06/15/20, 144A(b)		Aa1/AA		862		869,854
Flatiron CLO, Ltd., Series 2014-1A, Class A2, 2.579%, 07/17/26, 144A(b),(c)		Aa2/NA		290		286,706
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%, 03/25/37(b),(f)		Ca/AA		43		39,249
Renaissance Home Equity Loan Trust, Series 2006-3, Class AF2, 5.58%, 11/25/36(b),(f)		C/CCC		148		84,094
Small Business Administration Participation Certificates, Series 2010-20F, Class 1, 3.88%, 06/01/30		Aaa/AA+		169		182,796
TOTAL ASSET BACKED SECURITIES (Cost of $11,794,891)						11,770,316
COMMERCIAL MORTGAGE-BACKED SECURITIES (5.22%)
CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class DFX, 4.387%, 02/01/33, 144A		Baa2/NA		637		655,482
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.635%, 05/01/35, 144A(c)		Baa1/NA		2,000		2,006,269
FREMF Mortgage Trust, Series 2015-K44, Class B, 3.811%, 01/25/48, 144A(b),(c)		NA/NA		535		532,943
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.714%, 04/25/48, 144A(b),(c)		NA/NA		1,270		1,256,568
Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/30, 144A		Aa3/A-		1,400		1,400,310
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AJ, 5.485%, 07/12/46(b),(c)		A3/NA		296		295,643
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class C, 4.433%, 10/15/30, 144A(c)		NA/A		2,710		2,808,637
Morgan Stanley Capital I Trust, Series 2006-HQ10, Class AM, 5.36%, 11/12/41(b)		Aa1/NA		703		702,279
Morgan Stanley Reremic Trust, Series 2009-GG10, Class A4B, 5.988%, 08/12/45, 144A(b),(c)		Baa2/NA		210		212,547
Spirit Master Funding LLC, Series 2014-2A, Class A, 5.76%, 03/20/42, 144A(b)		NA/A+		1,584		1,653,214
TAL Advantage LLC, Series 2014-2A, Class A1, 1.70%, 05/20/39, 144A(b)		NA/A		202		199,874
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $11,551,639)						11,723,766
RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.31%)
FHLMC Pool # A15675, 6.00%, 11/01/33		Aaa/AA+		158		182,869
FHLMC Pool # G00182, 9.00%, 09/01/22(g)		Aaa/AA+		—		295
FNMA Pool # 55192, 10.50%, 09/01/17		Aaa/AA+		1		541
FNMA Pool # 58991, 11.00%, 02/01/18		Aaa/AA+		1		727
FNMA Pool # 754791, 6.50%, 12/01/33		Aaa/AA+		263		303,200
FNMA Pool # 763852, 5.50%, 02/01/34		Aaa/AA+		163		184,948
GNSF Pool # 194228, 9.50%, 11/01/20		Aaa/AA+		6		6,164
GNSF Pool # 307527, 9.00%, 06/01/21		Aaa/AA+		10		10,684
GNSF Pool # 417239, 7.00%, 02/01/26		Aaa/AA+		9		10,102
GNSF Pool # 780374, 7.50%, 12/01/23		Aaa/AA+		5		5,799
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $568,229)						705,329
MUNICIPAL BONDS (1.25%)
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		236,238
San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.00%, 11/01/40		Aa3/AA-		145		192,538

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

8

SCHEDULE OF INVESTMENTS (Unaudited) — continued

	Moody’s/ Standard & Poor’s Rating(a)		Principal Amount (000’s)		Value (Note 1)
MUNICIPAL BONDS (Continued)
State of California, Build America Bonds, GO, 7.625%, 03/01/40		Aa3/AA-		$    1,500	$	2,374,095
TOTAL MUNICIPAL BONDS (Cost of $1,857,194)						2,802,871
U.S. TREASURY SECURITIES (3.37%)
U.S. Treasury Note, 1.50%, 08/15/26		Aaa/AA+		1,500		1,485,410
U.S. Treasury Note, 2.75%, 11/15/42		Aaa/AA+		185		201,390
U.S. Treasury Note, 3.125%, 08/15/44		Aaa/AA+		1,285		1,499,685
U.S. Treasury Note, 3.00%, 11/15/44		Aaa/AA+		145		165,328
U.S. Treasury Note, 3.00%, 05/15/45		Aaa/AA+		1,288		1,468,521
U.S. Treasury Note, 2.875%, 08/15/45		Aaa/AA+		1,297		1,444,189
U.S. Treasury Note, 2.50%, 05/15/46		Aaa/AA+		1,248		1,291,680
TOTAL U.S. TREASURY SECURITIES (Cost of $7,081,781)						7,556,203
GOVERNMENT BOND (0.23%)
Provincia De Buenos Aire, Sr. Unsec. Notes, 5.75%, 06/15/19, 144A		B3/B-		502		518,315
TOTAL GOVERNMENT BOND (Cost of $502,000)						518,315
			Shares
PREFERRED STOCK (1.26%)
CoBank ACB, Series F, 6.250% (b),(c)				20,000		2,105,000
Federal Home Loan Mortgage Corp, Series Z, 0.000% (c),(h),(i)				53,779		187,151
US BANCORP, Series A, 3.500%				615		533,986
TOTAL PREFERRED STOCK (Cost of $3,868,939)						2,826,137
TOTAL INVESTMENTS (99.13%)
(Cost $200,755,731)						222,464,318
OTHER ASSETS AND LIABILITIES (0.87%)						1,947,590
NET ASSETS (100.00%)					$	224,411,908

^(a)  Ratings for debt securities are unaudited. All ratings are as of September 30, 2016 and may have changed subsequently.

^(b)  This security is callable.

^(c)  Variable rate security. Rate disclosed is as of September 30, 2016.

^(d)  Security is perpetual. Date shown is next call date.

^(e)  Investment was in default as of September 30, 2016.

^(f)  Multi-Step Coupon. Rate disclosed is as of September 30, 2016.

^(g)  Principal amount less than $1,000.

^(h)  Non-income producing security.

⁽ⁱ⁾  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 September 30, 2016, these securities amounted to $68,829,695 or 30.67% of net assets.

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

9

SCHEDULE OF INVESTMENTS (Unaudited) — continued

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 these financial statements.

10

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2016

Assets:
Investment in securities, at value (amortized cost $200,755,731) (Note 1)	$	222,464,318
Cash		1,537,287
Receivables for investments sold		1,190,217
Interest receivable		2,928,352
Dividend receivable		36,751
Prepaid expenses		27,512
TOTAL ASSETS		228,184,437
Liabilities:
Securities purchased		1,133,984
Payable to Investment Adviser		82,439
Payable to administration and accounting		15,839
Payable to transfer agency		7,896
Payable to custodian		2,606
Accrued expenses payable		2,529,765
TOTAL LIABILITIES		3,772,529
Net assets: (equivalent to $20.95 per share based on 10,710,035 shares of capital stock outstanding)	$	224,411,908
NET ASSETS consisted of:
Par value	$	107,100
Capital paid-in		216,187,233
Accumulated net investment loss		(3,638,172	)
Accumulated net realized loss on investments		(9,952,840	)
Net unrealized appreciation on investments		21,708,587
	$	224,411,908

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

11

STATEMENT OF OPERATIONS (Unaudited)

For the six months ended September 30, 2016

Investment Income:
Interest			$	5,497,448
Dividends				74,099
Total Investment Income				5,571,547
Expenses:
Investment advisory fees (Note 4)	$	497,508
Administration and Accounting fees		96,936
Transfer agent fees		24,355
Trustees’ fees (Note 4)		48,581
Audit fees		12,709
Legal fees and expenses		45,787
Reports to shareholders		35,546
Custodian fees		11,325
Insurance		17,974
NYSE fee		12,534
Miscellaneous		23,978
Total Expenses				827,233
Net Investment Income				4,744,314
Realized and unrealized gain (loss) on investments:
Net realized gain from security transactions				1,040,230
Unrealized appreciation (depreciation) of investments:
Beginning of the period				11,919,348
End of the period				21,708,587
Change in unrealized appreciation of investments				9,789,239
Net realized and unrealized gain on investments				10,829,469
Net increase in net assets resulting from operations			$	15,573,783

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

12

STATEMENTS OF CHANGES IN NET ASSETS

	Six months ended September 30, 2016 (Unaudited)			Year Ended March 31, 2016
Increase (decrease) in net assets:
Operations:
Net investment income	$	4,744,314		$	9,868,586
Net realized gain (loss) from security transactions (Note 2)		1,040,230			(222,111	)
Change in unrealized appreciation (depreciation) of investments		9,789,239			(12,937,458	)
Net increase (decrease) in net assets resulting from operations		15,573,783			(3,290,983	)
Distributions:
Distributions to shareholders from net investment income		(7,496,342	)		(10,869,226	)
Fund Share Transactions:
Increase from shares issued under the dividend and distribution reinvestment plan		30,299			—
Increase (decrease) in net assets		8,107,740			(14,160,209	)
Net Assets:
Beginning of period		216,304,168			230,464,377
End of period	$	224,411,908		$	216,304,168
Accumulated net investment loss	$	(3,638,172	)	$	(886,144	)

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

13

FINANCIAL HIGHLIGHTS

The table below sets forth financial data for a share of capital stock outstanding throughout each period presented.

	Six months ended September 30, 2016			Year ended March 31,
	(Unaudited)			2016			2015			2014			2013			2012
Per Share Operating Performance
Net asset value, beginning of period	$	20.20		$	21.52		$	21.10		$	21.53		$	20.39		$	20.01
Net investment income		0.44			0.93			0.98			1.05			1.06			1.08
Net realized and unrealized gain (loss) on investments		1.01			(1.23	)		0.50			(0.42	)		1.16			0.45
Total from investment operations		1.45			(0.30	)		1.48			0.63			2.22			1.53
Capital share transaction:
Impact of capital share transactions		—	(1)		—			—			—			—			—
Less distributions:
Dividends from net investment income		(0.70	)		(1.02	)		(1.06	)		(1.06	)		(1.08	)		(1.15	)
Total distributions		(0.70	)		(1.02	)		(1.06	)		(1.06	)		(1.08	)		(1.15	)
Net asset value, end of period	$	20.95		$	20.20		$	21.52		$	21.10		$	21.53		$	20.39
Per share market price, end of period	$	20.26		$	19.14		$	20.01		$	19.42		$	20.06		$	19.74
Total Investment Return(2)
Based on market value		9.62	%		0.88	%		8.67	%		2.44	%		7.24	%		16.37	%
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	224,412		$	216,304		$	230,464		$	225,979		$	230,608		$	218,324
Ratio of expenses to average net assets		0.74	%(3)		0.77	%		0.74	%		0.75	%		0.74	%		0.74	%
Ratio of net investment income to average net assets		4.27	%(3)		4.52	%		4.58	%		5.08	%		5.03	%		5.37	%
Portfolio turnover rate		20.39	%(4)		26.60	%		30.73	%		16.10	%		20.39	%		19.60	%
Number of shares outstanding at the end of the period (in 000’s)		10,710			10,709			10,709			10,709			10,709			10,709

⁽¹⁾  There is less than $0.01 per share impact for shares reinvested under the dividend reinvestment plan.

⁽²⁾  Total investment return is calculated assuming a purchase of common shares at the market price on the first day and a sale at the market price on the last day of the period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions. The total investment return, if for less than a full year, is not annualized. Past performance is not a guarantee of future results.

⁽³⁾ Annualized.

⁽⁴⁾ Not Annualized.

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

14

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 1 – Significant Accounting Policies – The Cutwater Select Income Fund (the “Fund”), a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified closed-end, management investment company. The Fund follows the accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services – Investment Companies”. The following is a summary of significant accounting policies consistently followed by the Fund in preparation of its financial statements. The policies are in conformity with generally accepted accounting principles within the United States of America (“GAAP”).

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 of Trustees (“Board”) and unaffiliated with the Cutwater Investor Services Corp. (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. 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 March 31, 2016, there were no securities valued using fair value procedures.

Fair Value Measurements – The Fund has adopted authoritative fair value accounting standards which establish a 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.

15

NOTES TO FINANCIAL STATEMENTS (Unaudited) — continued

Following is a description of the valuation techniques applied to the Fund’s major categories of assets measured at fair value on a recurring basis as of September 30, 2016.

	Total Market Value at 09/30/16		Level 1 Quoted Price		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
CORPORATE DEBT SECURITIES	$	184,561,381	$	—	$	184,561,381	$	—
ASSET BACKED SECURITIES		11,770,316		—		11,770,316		—
COMMERCIAL MORTGAGE-BACKED SECURITIES		11,723,766		—		11,723,766		—
RESIDENTIAL MORTGAGE-BACKED SECURITIES		705,329		—		705,329		—
MUNICIPAL BONDS		2,802,871		—		2,802,871		—
U.S. TREASURY SECURITIES		7,556,203		—		7,556,203		—
GOVERNMENT BOND		518,315		—		518,315		—
PREFERRED STOCK		2,826,137		2,826,137		—		—
TOTAL INVESTMENTS	$	222,464,318	$	2,826,137	$	219,638,181	$	—

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. For the six months ended September 30, 2016, there were no transfers between Level 1, Level 2 and Level 3 for the Fund.

Level 3 investments are categorized as Level 3 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 September 30, 2016, the Fund did not hold any Level 3 securities.

When-Issued Securities – The Fund may enter into commitments to purchase securities on a forward or when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield. In the Fund’s case, these securities are subject to settlement within 45 days of the purchase date. The interest rate realized on these securities is fixed as of the purchase date. The Fund does not pay for such securities prior to the settlement date and no interest accrues to the Fund before settlement. These securities are subject to market fluctuation due to changes in market interest rates. The Fund will enter into these commitments with the intent of buying the security but may dispose of such security prior to settlement. At the time the commitment is entered into, the Fund will establish and maintain a segregated account in an amount sufficient to cover the obligation under the when-issued contract. At the time the Fund makes the commitment to purchase securities on a when-issued basis, it will record the

16

NOTES TO FINANCIAL STATEMENTS (Unaudited) — continued

transaction and thereafter reflect the value of such security purchased in determining its NAV. At the time of delivery of the security, its value may be more or less than the fixed purchase price.

B. Determination of Gains or Losses on Sale of Securities – Gains or losses on the sale of securities are calculated for financial reporting purposes and for federal tax purposes using the identified cost basis. The identified cost basis for financial reporting purposes differs from that used for federal tax purposes in that the amortized cost of the securities sold is used for financial reporting purposes and the original cost of the securities sold is used for federal tax purposes, except for those instances where tax regulations require the use of amortized cost.

C. Federal Income Taxes – It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Management has analyzed the Fund’s tax positions taken on federal income tax returns for all open tax years (tax years March 31, 2013-2015) or expected to be taken on the Fund’s 2016 tax return, and has concluded that no provision for federal income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

D. Other – Security transactions are accounted for on the trade date. Interest income is accrued daily. Premiums and discounts are amortized using the interest method. Paydown gains and losses on mortgage-backed and asset-backed securities are presented as an adjustment to interest income. Dividend income and distributions to shareholders are recorded on the ex-dividend date.

E. Distributions to Shareholders and Book/Tax Differences – Distributions of net investment income will be made quarterly. Distributions of any net realized capital gains will be made annually. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments for amortization of market premium and accretion of market discount.

Distributions during the fiscal years ended March 31, 2016 and 2015 were characterized as follows for tax purposes:

	Ordinary Income	Return of Capital	Capital Gain	Total Distribution
FY 2016	$10,869,226	$        —	$        —	$10,869,226
FY 2015	$11,351,114	$        —	$        —	$11,351,114

At March 31, 2016, the components of distributable earnings on a tax basis were as follows:

Total	Accumulated Ordinary Income	Capital Loss Carryforward and Other	Late Year Losses Deferred	Net Unrealized Appreciation
$40,134	$161,385	$(10,614,919)	$(319,738)	$10,813,406

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act makes changes to several tax rules impacting the Fund. In general, the

17

NOTES TO FINANCIAL STATEMENTS (Unaudited) — continued

provisions of the Act are in effect for the Fund’s fiscal year ended March 31, 2012. Although the Act provides several benefits, including the unlimited carryover of future capital losses, there may be a greater likelihood that all or a portion of the Fund’s pre-enactment capital loss carryovers may expire without being utilized due to the fact that post-enactment capital losses must be utilized before pre-enactment capital loss carryovers may be utilized. Under the Act, new capital losses may now be carried forward indefinitely, and retain the character of the original loss as compared with pre-enactment law, where capital losses could be carried forward for up to eight years, and carried forward as short-term capital losses, irrespective of the character of the original loss.

As of March 31, 2016, the capital loss carryovers available to offset possible future capital gains and the expiration dates from pre-enactment taxable years were as follows:

Amount	Expiration Date
$10,295,168		2017
61,753		2018

As of March 31, 2016, there were post-enactment short-term capital loss carryovers in the amount of $257,998.

Under current laws, certain capital losses realized after October 31 and certain ordinary losses realized after December 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended March 31, 2016, the Fund elected to defer long-term capital losses of $319,738.

At September 30, 2016, the following table shows for federal tax purposes the aggregate cost of investments, the net unrealized appreciation of those investments, the aggregate gross unrealized appreciation of all securities with an excess of market value over tax cost and the aggregate gross unrealized depreciation of all securities with an excess of tax cost over market value:

Aggregate Tax Cost	Net Unrealized Appreciation		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)
$200,755,731	$	21,708,587	$	24,241,317	$	(2,532,730	)

The difference between book basis and tax-basis unrealized appreciation is attributable primarily to the differing treatments for wash sales, amortization of market premium and accretion of market discount.

F. Use of Estimates in the Preparation of Financial Statements – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Note 2 – Portfolio Transactions – The following is a summary of the security transactions, other than short-term investments, for the six months ended September 30, 2016:

	Cost of Purchases		Proceeds from Sales or Maturities
U.S. Government Securities	$	13,223,899	$	14,656,794
Other Investment Securities	$	31,202,259	$	29,778,111

18

NOTES TO FINANCIAL STATEMENTS (Unaudited) — continued

Note 3 – Capital Stock – At September 30, 2016, there were an unlimited number of shares of beneficial interest ($0.01 par value) authorized, with 10,710,035 shares issued and outstanding.

Note 4 – Investment Advisory Contract, Accounting and Administration and Trustee Compensation – Cutwater Investor Services Corp. (“Cutwater” or the “Adviser”) serves as Investment Adviser to the Fund. Cutwater is entitled to a fee at the annual rate of 0.50% on the first $100 million of the Fund’s month-end net assets and 0.40% on the Fund’s month-end net assets in excess of $100 million.

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), a member of The Bank of New York Mellon Corporation, provides accounting and administrative services to the Fund.

Cutwater is a wholly owned subsidiary of The Bank of New York Mellon Corporation. Cutwater works closely with and is administered by Insight Investment Management (Global) Limited (“Insight”), another of The Bank of New York Mellon Corporation’s investment management subsidiaries. Cutwater is subject to The Bank of New York Mellon Corporation’s Code of Conduct and various policies and procedures designed to address the potential for conflicts of interest that may arise in connection with Cutwater’s status as an affiliated person of The Bank of New York Mellon Corporation and its subsidiaries.

The Trustees of the Fund receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The aggregate remuneration paid to the Trustees by the Fund during the six months ended September 30, 2016 was $48,581. Certain officers of the Fund are also officers and/or employees of the investment adviser. None of the Fund’s officers receives compensation from the Fund. As of September 30, 2016, there were no amounts due to the Trustees.

Note 5 – Dividend and Distribution Reinvestment – In accordance with the terms of the Amended and Restated Automatic Dividend Investment Plan (the “Plan”), for shareholders who so elect, dividends and distributions are made in the form of previously unissued Fund shares at the net asset value if on the Friday preceding the payment date (the “Valuation Date”) the closing New York Stock Exchange price per share, plus the brokerage commissions applicable to one such share equals or exceeds the net asset value per share. However, if the net asset value is less than 95% of the market price on the Valuation Date, the shares issued will be valued at 95% of the market price. If the net asset value per share exceeds market price plus commissions, the dividend or distribution proceeds are used to purchase Fund shares on the open market for participants in the Plan. During the six months ended September 30, 2016, the Fund issued 1,438 shares under this Plan.

Note 6 – Subsequent Event – Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

19

SHAREHOLDER INFORMATION (Unaudited)

EVALUATION AND APPROVAL OF INVESTMENT ADVISORY AGREEMENT

During the semi-annual period ended September 30, 2016, at an in-person meeting held on September 14, 2016, the Board of Trustees (“Board” or “Trustees”), including a majority of those trustees who are not “interested persons” as such term is defined in the 1940 Act (“Independent Trustees”), unanimously approved the continuation for an additional one-year period of the existing investment advisory agreement effective January 2, 2015 (the “Agreement”) between the Cutwater Select Income Fund (the “Fund”) and Cutwater Investor Services Corp. (the “Adviser”). The Adviser is a wholly owned subsidiary of The Bank of New York Mellon (“BNY Mellon”) The Agreement has an initial term of two years and continues thereafter from year to year if specifically approved at least annually by the “vote of a majority of the outstanding voting securities” of the Fund or by the Board of Trustees and, in either event, by the vote of a majority of the Trustees who are not parties to the Agreement or interested persons of any such party, cast in person at a meeting called for such purpose.

Before meeting to determine whether to approve the continuance of the Agreement, the Trustees considered information by the Adviser in accordance with Section 15(c) of the 1940 Act. The Trustees considered information that the Adviser provided regarding (i) the services performed for the Fund, (ii) the size and qualifications of the Adviser’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with a portfolio managers’ management of the Fund, (iv) investment performance, (v) the capitalization and financial condition of the Adviser and BNY Mellon, (vi) brokerage selection procedures, (vii) the procedures for allocating investment opportunities between the Fund and other clients of the Adviser, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on the Adviser’s ability to service the Fund, and (x) the compliance with the Fund’s investment objective, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. Included with this information was also information regarding the advisory fees received and an analysis of these fees in relation to the delivery of services to the Fund, the costs of providing such services, the profitability of the Adviser in general and as a result of the fees received from the Fund and any other ancillary benefit resulting from the Adviser’s relationship with the Fund. The Trustees had also received a copy of the Agreement and the Adviser’s current Form ADV. The Trustees were also provided with a memorandum from legal counsel regarding the legal standard applicable to their review of the Agreement. The Trustees also reviewed comparative performance data, comparative statistics and fee data for the Fund relative to other funds in its peer group.

Representatives of the Adviser joined the September 14, 2016 meeting to discuss the Adviser’s history, performance, investment strategy, and compliance program in connection with the renewal of the Agreement.

The Trustees considered and weighed the above information based upon their accumulated experience in governing the Fund and working with the Adviser on matters relating to the Fund. During its deliberations on whether to approve the continuance of the Agreement, the Trustees considered many factors. In addition to the information provided by the Adviser as described above, the Trustees also considered all other factors they believed to be relevant to evaluating the Agreement, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. However, the Trustees determined that the overall arrangements with the Adviser with respect to the Fund, as provided in the Agreement, including the investment advisory fees, are fair and reasonable in light of the services to be performed, expenses incurred and such other matters as the Trustees considered relevant. In making their decision, the Trustees gave attention to the information furnished by the Adviser. The following discussion, however, identifies the primary factors taken into account by the Trustees and the conclusions reached in approving the Agreement.

20

SHAREHOLDER INFORMATION (Unaudited) — continued

Nature, Extent, and Quality of Services. The Trustees considered the services provided by the Adviser to the Fund. The Trustees considered the Adviser’s personnel and the depth of the Adviser’s personnel who possess the experience to provide investment management services to the Fund. Based on the information provided by the Adviser, the Trustees concluded that (i) the nature, extent and quality of the services provided by the Adviser are appropriate and consistent with the terms of the Agreement, (ii) the quality of those services has been consistent with industry norms, (iii) the Fund is likely to benefit from the continued provision of those services by the Adviser, (iv) the Adviser has sufficient personnel, with the appropriate education and experience, to serve the Fund effectively and has demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the Fund and its shareholders is likely to continue.

Investment Performance. The Trustees considered the overall investment performance of the Adviser and the Fund since the Adviser was appointed the Fund’s investment adviser on June 2, 2005. The Trustees reviewed and considered comparative performance data and the Fund’s performance relative to the average performance of five (5) other non-leveraged investment grade corporate bond closed-end funds with similar investment objectives, strategies and policies (the “Peer Group”) and its respective benchmark index, the Barclays Capital U.S. Credit Index, which is comprised primarily of U.S. investment grade corporate bonds.¹ The Trustees noted that the Fund outperformed its Peer Group average, as measured by net asset value, for the one, three, five and ten year periods ended July 31, 2016. The Trustees also noted that the Fund outperformed its benchmark index for the three, five and ten year periods ended July 31, 2016 but underperformed the index for the one year period ended July 31, 2016. The Trustees also noted their review and evaluation of the Fund’s investment performance on an on-going basis throughout the year. The Trustees considered the consistency of performance results and the short-term and long-term performance of the Fund. They concluded that the performance of the Fund and the Adviser represented above average performance relative to other fixed-income closed-end funds with similar investment objectives, strategies and policies.

Comparative Expenses. The Trustees considered the costs of the services provided by the Adviser, the compensation and benefits received by the Adviser in providing services to the Fund, as well as the Adviser’s profitability. The Trustees were provided with and had reviewed BNY Mellon’s financial statements for the fiscal year ended December 31, 2015. In addition, the Trustees considered any direct or indirect revenues received by affiliates of the Adviser. The Trustees were satisfied that the Adviser’s profits were sufficient to continue as a viable concern generally and as investment adviser of the Fund specifically. The Trustees concluded that the Adviser’s fees and profits (if any) derived from its relationship with the Fund in light of the Fund’s expenses were reasonable in relation to the nature and quality of the services provided, taking into account the fees charged by other investment advisers for managing comparable funds with similar strategies. The Trustees noted that the Fund’s advisory fee was in line with the average and median advisory fee of the Peer Group and other registered investment companies managed by the Adviser with similar investment strategies. The Trustees also concluded that the overall expense ratio of the Fund was reasonable, taking into account the size of the Fund, the quality of services provided by the Adviser, and the investment performance of the Fund. On the basis of these considerations, together, with the other information it considered, the Board determined that the investment advisory fee to be received by the Adviser is reasonable in light of the services provided.

Economies of Scale. The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Fund grows, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Trustees determined that economies of scale would be achieved at higher asset levels for the Fund to the benefit of Fund shareholders due to break-points reduction in the advisory fee of 10 basis points on assets in excess of $100 million. However, the Trustees noted that the opportunity for asset growth was limited because the Fund is a closed-end fund.

21

SHAREHOLDER INFORMATION (Unaudited) — continued

Conclusion. After consideration of all the factors, taking into consideration the information presented at the meetings and deliberating in executive session, the entire Board, including the Independent Trustees, unanimously approved the Agreement. The Board concluded that the investment advisory fee rate under the Agreement is reasonable in relation to the services provided and that continuation of the Agreement is in the best interests of the shareholders of the Fund. The Trustees also concluded that the investment advisory fees are at acceptable levels in light of the quality of services provided to the Fund. On these bases, the Trustees concluded that the investment advisory fees for the Fund under the Agreement are reasonable. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.

1 The Peer Group consisted of the following closed-end funds: Invesco Bond Fund; MFS Intermediate Income Trust; Morgan Stanley Income Securities, Inc.; Western Asset Income Fund; and Western Asset Investment Grade Defined Opportunity Trust Inc.

RESULTS OF SHAREHOLDER VOTES

The Annual Meeting of Shareholders of the Fund was held on June 15, 2016. At the meeting, shareholders voted on the election of all trustees. Forty percent (40%) of the shares entitled to vote on the matter shall constitute a quorum.

If a quorum is present, a plurality of all votes cast at the meeting is sufficient for the election of Trustees. A quorum was present and the proposal was approved, the details of which are as follows:

	Votes Cast in Favor		Withheld
W. Thacher Brown		8,982,879		458,025
Ellen D. Harvey		8,996,552		444,352
Thomas E. Spock		9,215,383		225,521
Suzanne P. Welsh		9,216,439		224,464

HOW TO GET INFORMATION REGARDING PROXIES

The Fund has adopted the Adviser’s proxy voting policies and procedures to govern the voting of proxies relating to the voting securities of the Fund. You may obtain a copy of these proxy voting procedures, without charge, by emailing clientservicena@insightinvestment.com or on the Securities and Exchange Commission website at www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, by emailing clientservicena@insightinvestment.com or on the SEC’s website at www.sec.gov.

QUARTERLY STATEMENT OF INVESTMENTS

The Fund files a complete statement of investments with the Security and Exchange Commission for the first and third quarters for each fiscal year on Form N-Q. Shareholders may view the filed Form N-Q by visiting the Commission’s website at www.sec.gov. The filed form may also be viewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Commission’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

22

SHAREHOLDER INFORMATION (Unaudited) — continued

ADDITIONAL TAX INFORMATION

For corporate shareholders, the percentage of investment income (dividend income and short-term gains, if any) for the Fund that qualify for the dividends-received deductions for the year ended March 31, 2016 was 1.45%.

For the year ended March 31, 2016, certain dividends paid by the Fund may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions made by the Fund, 1.45% represents the amount of each distribution which may qualify for the 15% dividend income tax rate. Shareholders should not use this tax information to prepare their tax returns. The information will be included with your Form 1099 DIV which will be sent to you separately in January 2017.

DIVIDEND REINVESTMENT PLAN

The Fund has established a plan for the automatic investment of dividends and distributions pursuant to which dividends and capital gain distributions to shareholders will be paid in or reinvested in additional shares of the Fund. All shareholders of record are eligible to join the Plan. BNY Mellon acts as the agent (the “Agent”) for participants under the Plan.

Shareholders whose shares are registered in their own names may elect to participate in the Plan by completing an authorization form and returning it to the Agent. Shareholders whose shares are held in the name of a broker or nominee should contact such broker or nominee to determine whether or how they may participate in the Plan.

Dividends and distributions are reinvested under the Plan as follows. If the market price per share on the Friday before the payment date for the dividend or distribution (the “Valuation Date’’), plus the brokerage commissions applicable to one such share, equals or exceeds the net asset value per share on that date, the Fund will issue new shares to participants valued at the net asset value or, if the net asset value is less than 95% of the market price on the Valuation Date, then valued at 95% of the market price. If net asset value per share on the Valuation Date exceeds the market price per share on that date, plus the brokerage commissions applicable to one such share, the Agent will buy shares on the open market, on the New York Stock Exchange, for the participants’ accounts. If before the Agent has completed its purchases, the market price exceeds the net asset value of shares, the average per share purchase price paid by the Agent may exceed the net asset value of shares, resulting in the acquisition of fewer shares than if the dividend or distribution has been paid in shares issued by the Fund at net asset value.

There is no charge to participants for reinvesting dividends or distributions payable in either shares or cash. The Agent’s fees for handling of reinvestment of such dividends and distributions will be paid by the Fund. There will be no brokerage charges with respect to shares issued directly by the Fund as a result of dividends or distributions payable either in shares or cash. However, each participant will be charged by the Agent a pro rata share of brokerage commissions incurred with respect to Agent’s open market purchases in connection with the reinvestment of dividends or distributions payable only in cash.

For purposes of determining the number of shares to be distributed under the Plan, the net asset value is computed on the Valuation Date and compared to the market value of such shares on such date. The Plan may be terminated by a participant by delivery of written notice of termination to the Agent at the address shown below. Upon termination, the Agent will cause a certificate or certificates for the full shares held for a participant under the Plan and a check for any fractional shares to be delivered to the former participant.

23

Distributions of investment company taxable income that are invested in additional shares generally are taxable to shareholders as ordinary income. A capital gain distribution that is reinvested in shares is taxable to shareholders as long-term capital gain, regardless of the length of time a shareholder has held the shares or whether such gain was realized by the Fund before the shareholder acquired such shares and was reflected in the price paid for the shares.

Plan information and authorization forms are available from BNY Mellon Investment Servicing (US) Inc., P.O. Box 358035, Pittsburgh, PA 15252-8035.

PRIVACY POLICY

The Fund has adopted procedures designed to maintain and secure the non-public personal information of its clients from inappropriate disclosure to third parties. The Fund is committed to keeping personal information collected from potential, current, and former clients confidential and secure. The proper handling of personal information is one of our highest priorities. The Fund never sells information relating to its clients to any outside third parties.

Client Information

The Fund will only collect and keep information which is necessary for it to provide the services requested by its shareholders, and to administer a shareholder account.

The Fund may collect nonpublic personal information from clients or potential clients such as name, address, tax identification or social security number, assets, income, net worth, copies of financial documents and other information that we may receive on applications or other forms, correspondence or conversations, or via other methods in order to conduct business.

The Fund may also collect information about your transactions with the Fund, CISC, CISC’s affiliates, or others, including, but not limited to, your account number and balance, payments history, parties to transactions, cost basis information, and other financial information.

This information may be obtained as a result of transactions with the Fund, CISC, CISC’s affiliates, its clients, or others. This could include transactions completed with affiliates or information received from outside vendors to complete transactions or to effect financial goals.

Sharing Information

The Fund only shares the nonpublic personal information of its shareholders with non-affiliated companies or individuals (i) as permitted by law and as required to provide services to shareholders, such as with representatives within CISC, securities clearing firms, the Fund or insurance companies, and other financial services providers; or (ii) to comply with legal or regulatory requirements. The Fund may also disclose nonpublic personal information to another financial services provider in connection with the transfer of an account to such financial services provider. Further, in the normal course of business, the Fund may disclose information it collects about shareholders to companies or individuals that contract with the Fund or CISC to perform servicing functions including, but not limited to, recordkeeping, consulting, and/or technology services.

Companies hired to provide support services are not permitted to use personal information for their own purposes, and are contractually obligated to maintain strict confidentiality. The Fund limits the use of personal information to the performance of the specific service requested.

The Fund does not provide personally identifiable information to mailing list vendors or solicitors for any purpose. When the Fund provides personal information to service providers, it requires these providers to agree to safeguard such information, to use the information only for the intended purpose, and to abide by applicable law.

24

Employee Access to Information

Only employees with a valid business reason have the ability to access a clients’ personal information. These employees are educated on the importance of maintaining the confidentiality and security of this information. They are required to abide by our information handling practices.

Protection of Information

The Fund maintains security standards to protect shareholders’ information, whether written, spoken, physical, or electronic. The Fund updates and checks its physical mechanisms and electronic systems to ensure the protection and integrity of information.

Maintaining Accurate Information

The Fund’s goal is to maintain accurate, up to date client records in accordance with industry standards. The Fund has procedures in place to keep information current and complete, including timely correction of inaccurate information.

Disclosure of our Privacy Policy

The Fund recognizes and respects the privacy concerns of its potential, current, and former shareholders. The Fund, CISC and CISC’s affiliates are committed to safeguarding this information and may provide this Privacy Policy for informational purposes to shareholders and employees, and will distribute and update it as required by law. It is also available upon request.

The Fund seeks to carefully safeguard shareholder information and, to that end, restricts access to non-public personal information about our shareholders to those employees and other persons who need to know the information to enable the Fund to provide services to its shareholders. The Fund, CISC and their service agents maintain physical, electronic, and procedural safeguards that comply with federal standards to guard your non-public personal information. In the event that you maintain an account through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared with unaffiliated third parties.

25

HOW TO GET ASSISTANCE WITH SHARE TRANSFER OR DIVIDENDS

Contact Your Transfer Agent:

BNY Mellon Investment Servicing (US) Inc.

P.O. Box 358035, Pittsburgh, PA 15252-8035, or call 1-866-333-6685

T    R   U   S   T   E   E   S   

W. THACHER BROWN

ELLEN D. HARVEY

THOMAS E. SPOCK

SUZANNE P. WELSH

O   F   F   I   C   E   R   S

CLIFFORD D. CORSO

President

THOMAS E. STABILE

Treasurer

ROBIN J. SHULMAN

Chief Compliance Officer and Secretary

ROBERT T. CLAIBORNE

Vice President

GAUTAM KHANNA

Vice President

I   N   V   E   S   T   M   E   N   T     A   D   V   I   S   E   R

CUTWATER INVESTOR SERVICES CORP.

200 PARK AVE, 7^TH FLOOR

NEW YORK, NY 10166

C   U   S   T   O   D   I   A   N

THE BANK OF NEW YORK MELLON

2 HANSON PLACE

BROOKLYN, NY 11217

T   R   A   N   S   F   E    R    A   G   E   N   T

BNY MELLON INVESTMENT SERVICING (US) INC.

P.O. BOX 358035

PITTSBURGH, PA 15252-8035

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PEPPER HAMILTON LLP

3000 TWO LOGAN SQUARE

EIGHTEENTH & ARCH STREETS

PHILADELPHIA, PA 19103

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TAIT, WELLER & BAKER LLP

1818 MARKET STREET

SUITE 2400

PHILADELPHIA, PA 19103

Cutwater Select Income Fund

Semi-Annual Report

September 30, 2016

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable.

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

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 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 12/8/16                                                                                                                  

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 12/8/16                                                                                                                   

By (Signature and Title)*	/s/ Thomas E. Stabile
	Thomas E. Stabile, Treasurer
	(principal financial officer)

Date 12/8/16                                                                                                                     

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