N-Q 1 d309531dnq.htm INSIGHT SELECT INCOME FUND Insight 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)

200 Park Avenue, 7th Floor

                           New York, NY 10166                          

(Address of principal executive offices) (Zip code)

Clifford D. Corso

200 Park Avenue, 7th 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: December 31, 2016

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

SCHEDULE OF INVESTMENTS    (Unaudited)    December 31, 2016

 

    

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

            

Principal      
 Amount  (000’s)

     

Value    

  (Note 1)  

  

CORPORATE DEBT SECURITIES (83.70%)

            

AUTOMOTIVE (0.93%)

            

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

      Baa2/BBB         $ 1,000            $ 1,358,778    

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

      Baa2/BBB           500            664,797    
           

 

 

  
           

 

 

 

2,023,575  

 

 

           

 

 

  

CHEMICALS (2.23%)

            

Axalta Coating Systems LLC, Co. Gty., 4.875%, 08/15/24, 144A (b)

      B1/B+           581            581,000    

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

      Baa2/BBB           500            573,041    

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

      Baa3/BBB           405            435,712    

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

      A3/A-           500            523,007    

Solvay Finance America LLC, Co. Gty., 3.40%, 12/03/20, 144A(b)

      Baa2/BBB-           312            317,458    

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

      Baa2/BBB           2,000            2,424,670    
           

 

 

  
           

 

 

 

4,854,888  

 

 

           

 

 

  

DIVERSIFIED FINANCIAL SERVICES (17.31%)

            

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

      Baa1/BBB+           190            208,915    

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

      Baa1/BBB+           500            556,688    

Bank of America Corp., Sub. Notes, 4.45%, 03/03/26

      Baa3/BBB           1,764            1,817,869    

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

      Aaa/AAA           400            426,725    

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

      Baa1/BBB+           70            104,015    

Citigroup, Inc., Sub. Notes, 4.60%, 03/09/26

      Baa3/BBB           2,000            2,067,166    

Citigroup, Inc., Sub. Notes, 5.30%, 05/06/44

      Baa3/BBB           926            997,464    

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

      Ba1/BBB-           200            229,601    

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

      Baa2/A-           3,000            3,402,753    

GE Capital International Funding, Co. Gty., 4.418%, 11/15/35

      A1/AA-           1,018            1,066,769    

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

      A1/AA-           287            404,653    

General Electric Co., Jr. Sub. Notes, 5.00%, 01/21/21(b),(c),(d)

      A3/A           4,320            4,482,864    

Goldman Sachs Group, Inc., Sr. Unsec. Notes, 3.50%, 11/16/26(b)

      A3/BBB+           1,040            1,016,064    

Goldman Sachs Group, Inc., Sr. Unsec. Notes, 2.64%, 10/28/27(b),(c)

      A3/BBB+           550            560,667    

HSBC Capital Funding LP, Co. Gty., 10.176%, 06/30/30, 144A(b),(c),(d)

      Baa1/BBB-           2,180            3,215,500    

ING Bank NV, Sub. Notes, 4.125%, 11/21/23(b),(c)

      Baa2/BBB+           2,500            2,527,025    

Intesa Sanpaolo SpA, Co. Gty., 3.875%, 01/15/19

      Baa1/BBB-           1,100            1,119,711    

Intesa Sanpaolo SpA, Sub. Notes, 5.71%, 01/15/26, 144A

      Ba1/BB           1,250            1,192,849    

JPMorgan Chase & Co., Jr. Sub., 7.90%, 04/30/18(b),(c),(d)

      Baa3/BBB-           2,000            2,071,000    

Lincoln Finance, Ltd., Sr. Sec. Notes, 7.375%, 04/15/21, 144A(b)

      B1/BB+           225            239,625    

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

      A3/BBB+           300            309,108    

Nasdaq, Inc., Sr. Unsec. Notes, 3.85%, 06/30/26(b)

      Baa3/BBB           1,294            1,285,462    

Nationwide Building Society, Sr. Unsec. Notes, 2.45%, 07/27/21, 144A

      Aa3/A           1,193            1,177,143    

PNC Financial Services Group, Inc., Jr. Sub., 5.00%, 11/01/26(b),(c),(d)

      Baa2/BBB-           1,587            1,531,455    

Santander UK Group Holdings PLC, Sr. Unsec. Notes, 2.875%, 10/16/20

      Baa1/BBB           745            738,288    

Synchrony Financial, Sr. Unsec. Notes, 2.60%, 01/15/19(b)

      NA/BBB-           936            940,734    

Toronto-Dominion Bank, Sub. Notes, 3.625%, 09/15/31(b),(c)

      A2/A-           716            699,410    

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

      NR/BBB+           2,000            2,267,500    

Westpac Banking Corp., Sub. Notes, 4.322%, 11/23/31(b),(c)

      A3/BBB+           1,015            1,018,233    
           

 

 

  
           

 

 

 

        37,675,256  

 

 

           

 

 

  

ENERGY (12.56%)

            

Antero Resources Corp., Co. Gty., 5.625%, 06/01/23(b)

      Ba3/BB           566            579,443    

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

      WR/BBB+                             3,250            3,358,404    

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

      Baa2/A-           850            1,064,222    

CITGO Petroleum Corp., Sr. Sec. Notes, 6.25%, 08/15/22, 144A(b)

      B3/B+           2,180            2,267,200    

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

      Baa3/BBB-           1,000            1,093,287    

Columbia Pipeline Group, Inc., Co. Gty., 4.50%, 06/01/25(b)

      Baa2/A-           395            414,975    

Concho Resources Inc., Co. Gty., 4.375%, 01/15/25(b)

      Ba2/BB+           743            741,521    

El Paso LLC, Sr. Sec. Notes, 8.05%, 10/15/30

      Baa3/BBB-           1,000            1,191,903    

Enbridge, Inc., Sr. Unsec. Notes, 4.25%, 12/01/26(b)

      Baa2/BBB+           746            763,823    

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

    

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

            

 Principal      
 Amount  (000’s)

     

Value    

  (Note 1)  

  

CORPORATE DEBT SECURITIES (Continued)

            

ENERGY (Continued)

            

Enbridge, Inc., Sr. Unsec. Notes, 5.50%, 12/01/46(b)

      Baa2/BBB+         $ 1,496            $ 1,600,750    

Enbridge, Inc., Sub. Notes, 6.00%, 01/15/77(b),(c)

      Ba1/BBB-           750            748,125    

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

      Baa2/BBB-           1,000            1,021,015    

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

      Baa2/BBB           80            94,553    

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

      NA/BB           1,000            1,088,791    

Kinder Morgan, Inc., Co. Gty., 5.55%, 06/01/45(b)

      Baa3/BBB-           1,755            1,845,862    

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

      Baa3/BBB+           250            274,375    

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

      Baa3/BBB+           750            791,063    

Petroleos Mexicanos, Co. Gty., 6.50%, 03/13/27, 144A

      Baa3/BBB+           420            433,230    

Regency Energy Partners LP/Regency Energy Finance Corp., Co. Gty., 6.50%, 07/15/21(b)

      Baa3/BBB-                             2,180            2,251,460    

Sunoco LP/Sunoco Finance Corp., Co. Gty., 6.25%, 04/15/21(b)

      B1/BB-           850            865,938    

Tesoro Corp., Co. Gty., 4.75%, 12/15/23(b) , 144A

      Ba2/BB+           291            293,001    

Tesoro Logistics LP/Tesoro Logistics Finance Corp., Co. Gty., 5.25%, 01/15/25(b)

      Ba3/BB+           70            71,488    

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

      Baa2/BBB           1,000            1,314,568    

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

      Baa2/BBB           500            764,682    

Williams Partners LP, Sr. Unsec. Notes, 4.30%, 03/04/24(b)

      Baa3/BBB-           1,670            1,686,384    

Williams Partners LP, Sr. Unsec. Notes, 4.00%, 09/15/25(b)

      Baa3/BBB-           730            721,809    
           

 

 

  
           

 

 

 

        27,341,872  

 

 

           

 

 

  

FOOD AND BEVERAGE (2.76%)

            

Anheuser-Busch InBev Finance, Inc., Co. Gty., 3.70%, 02/01/24

      A3/A-           795            821,798    

Anheuser-Busch InBev Finance, Inc., Co. Gty., 4.70%, 02/01/36(b)

      A3/A-           645            678,455    

Anheuser-Busch InBev Finance, Inc., Co. Gty., 4.90%, 02/01/46(b)

      A3/A-           756            817,138    

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

      A3/A-           325            362,007    

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

      A3/A-           27            40,605    

JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec. Notes, 5.75%, 06/15/25, 144A(b)

      Ba2/BB           1,200            1,215,000    

Kraft Heinz Foods, Co. Gty., 5.20%, 07/15/45(b)

      Baa3/BBB-           260            272,171    

Mondelez International Holdings Netherlands BV, Co. Gty., 2.00%, 10/28/21(b) , 144A

      A3/BBB           1,891            1,811,654    
           

 

 

  
           

 

 

 

6,018,828  

 

 

           

 

 

  

HEALTHCARE (1.29%)

            

Actavis Funding SCS, Co. Gty., 4.75%, 03/15/45(b)

      Baa3/BBB           180            176,712    

MEDNAX, Inc., Co. Gty., 5.25%, 12/01/23, 144A(b)

      Ba2/BBB-           250            257,500    

Medtronic, Inc., Co. Gty., 4.625%, 03/15/45

      A3/A           775            838,101    

Teva Pharmaceutical Finance Netherlands III BV, Co. Gty., 3.15%, 10/01/26

      Baa2/BBB           391            360,473    

Teva Pharmaceutical Finance Netherlands III BV, Co. Gty., 4.10%, 10/01/46

      Baa2/BBB           188            161,090    

Zoetis, Inc., Sr. Unsec. Notes, 4.70%, 02/01/43(b)

      Baa2/BBB           1,050            1,022,042    
           

 

 

  
           

 

 

 

2,815,918  

 

 

           

 

 

  

INDUSTRIAL (3.78%)

            

Heathrow Funding, Ltd., Sr. Sec. Notes, 4.875%, 07/15/23, 144A

      NA/A-           200            212,941    

Newell Brands, Inc., Sr. Unsec. Notes, 4.20%, 04/01/26(b)

      Baa3/BBB-           593            618,962    

Newell Brands, Inc., Sr. Unsec. Notes, 5.50%, 04/01/46(b)

      Baa3/BBB-           1,379            1,583,128    

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

      Baa1/BBB+           500            663,701    

Reynolds American, Inc., Co. Gty., 4.45%, 06/12/25(b)

      Baa3/BBB           1,000            1,055,811    

 

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

     

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

            

 Principal      
 Amount  (000’s)

     

Value    

  (Note 1)  

  

CORPORATE DEBT SECURITIES (Continued)

            

INDUSTRIAL (Continued)

            

Sydney Airport Finance Co. Property, Ltd., Sr. Sec. Notes, 3.375%, 04/30/25, 144A(b)

      Baa2/BBB         $ 400            $ 385,358    

United Technologies Corp. Sr. Unsec. Notes, 1.50%, 11/01/19

      A3/A-           757            751,424    

Vale Overseas, Co. Gty., 5.875%, 06/10/21

      Ba3/BBB-           1,300            1,361,750    

Vale Overseas, Co. Gty., 6.25%, 08/10/26

      Ba3/BBB-           1,010            1,050,400    

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

      Baa3/BBB           500            548,314    
           

 

 

  
           

 

 

 

8,231,789  

 

 

           

 

 

  

INSURANCE (7.94%)

            

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

      Baa1/A-           1,800            2,179,764    

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

      Baa1/BBB           2,200            2,497,000    

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

      Baa2/BBB           2,500            3,162,500    

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

      A1/AA-           108            143,988    

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

      Baa3/BB+           500            445,000    

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

      Baa3/BB+           1,000            1,500,000    

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

      Baa2/BBB           250            296,839    

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

      A1/AA-           500            750,580    

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

      Baa2/BBB           500            680,000    

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

      Baa2/BBB           1,000            1,535,000    

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

      A3/A-           215            324,740    

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

      Aa2/AA-           103            135,476    

Principal Financial Group, Inc., Co. Gty., 4.30%, 11/15/46(b)

      Baa1/BBB+           694            679,962    

Prudential Financial, Inc., Jr. Sub. Notes, 5.20%, 03/15/44(b),(c)

      Baa2/BBB+                             2,500            2,470,425    

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

      A3/NR           500            496,250    
           

 

 

  
           

 

 

 

17,297,524  

 

 

           

 

 

  

MEDIA (9.80%)

            

21st Century Fox America, Inc., Co. Gty., 7.90%, 12/01/95

      Baa1/BBB+           1,400            1,712,309    

CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec. Notes, 5.75%, 02/15/26, 144A(b)

      B1/BB+           1,112            1,150,920    

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

      A3/A-           2,000            2,684,976    

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

      Baa2/BBB           1,500            1,705,173    

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

      Baa2/BBB           500            581,452    

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

      Baa1/BBB+           159            166,613    

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

      WR/BBB+           2,000            2,356,978    

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

      WR/NR           1,000            1,000,000    

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

      Baa3/BBB-           100            101,976    

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

      B1/B+           1,780            1,788,900    

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

      Ba1/BBB-           1,360            1,781,887    

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

      Baa2/BBB           3,000            3,847,344    

VTR Finance BV, Sr. Sec. Notes, 6.875%, 01/15/24, 144A(b)

      B1/B+           2,375            2,452,187    
           

 

 

  
           

 

 

 

        21,330,715  

 

 

           

 

 

  

MINING (1.79%)

            

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

      Ba2/BB+           500            571,250    

BHP Billiton Finance USA, Ltd. Co. Gty., 6.75%, 10/19/75, 144A(b),(c)

      Baa2/BBB+           972            1,091,070    

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

      Baa1/A-           34            39,204    

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

      B3/BB           1,000            950,000    

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

      B3/BB           1,415            1,245,200    
           

 

 

  
           

 

 

 

3,896,724  

 

 

           

 

 

  

PAPER (1.66%)

            

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

      Ba1/BB+           2,000            2,320,000    

 

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

    

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

            

Principal      
 Amount  (000’s)

     

Value    

  (Note 1)  

  

CORPORATE DEBT SECURITIES (Continued)

            

PAPER (Continued)

            

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

      Baa2/BBB         $ 1,000            $ 1,305,476    
           

 

 

  
           

 

 

 

3,625,476  

 

 

           

 

 

  

REAL ESTATE INVESTMENT TRUST (REIT) (1.53%)

            

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

      Baa1/BBB+           466            487,857    

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

      Baa2/BBB           1,050            1,185,520    

Liberty Property LP, Sr. Unsec. Notes, 3.25%, 10/01/26(b)

      Baa1/BBB           1,722            1,648,978    
           

 

 

  
           

 

 

 

3,322,355  

 

 

           

 

 

  

RETAIL & RESTAURANT (0.07%)

            

McDonald’s Corp., Sr. Unsec. Notes, 3.70%, 01/30/26(b)

      Baa1/BBB+           146            148,642    
           

 

 

  

TECHNOLOGY (0.52%)

            

Microsoft Corp., Sr. Unsec. Notes, 2.40%, 08/08/26(b)

      Aaa/AAA           1,199            1,132,692    
           

 

 

  

TELECOMMUNICATIONS (8.47%)

            

Altice Financing SA, Sr. Sec. Notes, 6.625%, 02/15/23, 144A(b)

      B1/BB-           200            205,500    

AT&T Inc., Sr. Unsec. Notes, 4.50%, 05/15/35(b)

      Baa1/BBB+           1,750            1,690,790    

AT&T Inc., Sr. Unsec. Notes, 4.75%, 05/15/46(b)

      Baa1/BBB+           425            402,653    

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

      Baa3/BBB-           2,225            2,330,543    

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

      Ba1/BBB-           1,000            1,135,000    

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

      Baa1/BBB+                             2,000            2,940,230    

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

      B1/NA           500            452,235    

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

      B1/BB-           500            540,000    

Frontier Communications Corp., Sr. Unsec. Notes, 11.00%, 09/15/25(b)

      B1/BB-           267            275,677    

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

      B1/BB-           500            426,250    

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

      Baa2/BBB+           1,500            1,870,096    

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

      Ba1/BBB-           928            886,065    

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

      Ba1/BBB-           500            473,477    

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

      Caa1/B           1,500            1,481,250    

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

      Caa1/B           1,000            1,100,000    

Verizon Communications, Inc., Sr. Unsec. Notes, 7.75%, 12/01/30

      Baa1/BBB+           1,646            2,226,524    
           

 

 

  
           

 

 

 

        18,436,290  

 

 

           

 

 

  

TRANSPORTATION (5.00%)

            

American Airlines, Pass Through Certs., Series 2013-2, Class B, 5.60%, 01/15/22, 144A

      NA/BBB-           1,971            2,045,399    

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

      Baa2/A-           250            286,250    

British Airways PLC, Pass Through Certs., Series 2013-1, Class B, 5.625%, 12/20/21, 144A

      A3/BBB           1,107            1,162,272    

Continental Airlines, Pass Through Certs., Series 1999-1, Class B, 6.795%, 02/02/20

      Ba1/BBB           58            59,119    

Continental Airlines, Pass Through Certs., Series 2000-1, Class A1, 8.048%, 05/01/22

      Baa1/A-           449            499,236    

Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 10/02/22

      Baa2/BBB-           590            637,047    

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

      WR/NR           331            33,074    

ERAC USA Finance LLC, Co. Gty., 3.80%, 11/01/25, 144A(b)

      Baa1/BBB+           415            417,906    

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

      Baa1/BBB+           1,500            1,900,584    

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

      Baa1/BBB           516            530,398    

Penske Truck Leasing Co LP/ PTL Finance Corp., Sr. Unsec. Notes, 3.40%, 11/15/26, 144A(b)

      Baa2/BBB           785            751,067    

Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec. Notes, 3.375%, 02/01/22, 144A(b)

      Baa2/BBB           1,200            1,210,151    

 

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

    

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

            

Principal      
 Amount  (000’s)

     

Value    

  (Note 1)  

  

CORPORATE DEBT SECURITIES (Continued)

            

TRANSPORTATION (Continued)

            

United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%, 02/15/23

      NA/BBB-         $ 409          $ 424,056    

United Airlines, Pass Through Certs., Series 2016-1, Class AA, 3.10%, 01/07/30

      Aa3/NA           952            918,680    
           

 

 

  
           

 

 

 

10,875,239  

 

 

           

 

 

  

UTILITIES (6.06%)

            

Black Hills Corp., Sr. Unsec. Notes, 3.95%, 01/15/26(b)

      Baa2/BBB           1,082            1,104,845    

Consumers Energy Co., 3.25%, 08/15/46(b)

      A1/A           622            549,115    

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

      Baa3/BBB-           1,000            1,115,787    

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

      Baa3/BB           2,000            1,880,000    

Exelon Corp., Sr. Unsec. Notes, 3.40%, 04/15/26(b)

      Baa2/BBB-           505            495,495    

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

      Aa2/A+           1,550            2,065,693    

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

      A2/A-           500            663,449    

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

      Baa2/BBB           1,250            1,248,750    

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

      Baa1/BBB+           1,000            1,117,138    

Southern Co. Gas Capital Corp. Co. Gty., 5.875%, 03/15/41(b)

      Baa1/A-           992            1,155,494    

Southern Co. Gas Capital Corp. Co. Gty., 3.95%, 10/01/46(b)

      Baa1/A-           539            498,746    

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

      Baa1/BBB+           80            88,506    

Transelec SA, Sr. Unsec. Notes, 4.25%, 01/14/25, 144A(b)

      Baa1/BBB           750            752,586    

Transelec SA, Sr. Unsec. Notes, 3.875%, 01/12/29, 144A (b)

      Baa1/BBB           490            462,335    
           

 

 

  
           

 

 

 

13,197,939  

 

 

           

 

 

  

Total CORPORATE DEBT SECURITIES (Cost of $167,401,505)

            

 

 

 

        182,225,722  

 

 

           

 

 

  

ASSET BACKED SECURITIES (4.36%)

            

Ares XXIII CLO, Ltd., Series 2012-1AR, Class BR1, 3.078%, 04/19/23, 144A(b),(c)

      NR/AA           2,000            1,997,880    
AVIS Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, 12/20/21, 144A(b)      Aaa/NA           1,605            1,585,368    

Carlyle Global Market Strategies, Series 2014-3A, Class B, 4.036%, 07/27/26, 144A(b),(c)

      A1/NA                             2,500            2,497,900    
CPS Auto Receivables Trust, Series 2015-C, Class B, Series 2015-C, Class B, 2.55%, 02/18/20, 144A (b)      NA/AA           935            940,257    
Credit-Based Asset Servicing and Securitization LLC, Series 2006-SC1, Class A, 1.026%, 05/25/36, 144A (b),(c)      Aa3/A+           3            3,464    

Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A21, 3.484%, 10/25/45, 144A(b)

      NA/BBB+           1,238            1,224,630    

Drive Auto Receivables Trust, Series 2016-CA, Class B, 2.37%, 11/16/20, 144A (b)

      Aa1/AA           676            674,378    

Flatiron CLO, Ltd., Series 2014-1A, Class A2, 2.923%, 07/17/26, 144A(b),(c)

      Aa2/NA           290            286,143    

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

      Ca/AA           41            37,427    

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

      C/CCC           147            81,812    
Small Business Administration Participation Certificates, Series 2010-20F, Class 1, 3.88%, 06/01/30      Aaa/AA+           150            157,864    
           

 

 

  

TOTAL ASSET BACKED SECURITIES (Cost of $9,582,315)

            

 

 

 

9,487,123  

 

 

           

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES (4.65%)

            

CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class DFX, 4.387%, 02/10/33, 144A

      Baa2/NA           637            647,647    

Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.518%, 05/10/35, 144A(c)

      Baa1/NA           2,000            1,958,497    

 

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

    

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

            

Principal      
 Amount  (000’s)

     

Value    

  (Note 1)  

  

COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)

            

Citigroup Commercial Mortgage Trust, Series 2016-P6, Class C, 4.288%, 12/10/26(b),(c)

      NR/NA         $ 367            $ 351,664    

FREMF Mortgage Trust, Series 2015-K44, Class B, 3.685%, 01/25/48, 144A(b),(c)

      NA/NA           535            515,545    

FREMF Mortgage Trust, Series 2015-K45, Class B, 3.591%, 04/25/48, 144A(b),(c)

      NA/NA           1,270            1,229,757    

LMREC, Inc., Series 2016-CRE2, Class A, 2.449%, 11/24/31, 144A (b),(c)

      Aaa/NA           689            688,999    
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class C, 4.29%, 10/15/30, 144A(c)      NA/A           2,710            2,701,956    

Morgan Stanley Reremic Trust, Series 2009-GG10, Class A4B, 5.797%, 08/12/45, 144A(b),(c)

      Baa2/NA           210            211,183    

Spirit Master Funding LLC, Series 2014-2A, Class A, 5.76%, 03/20/42, 144A(b)

      NA/A+           1,578            1,646,906    

TAL Advantage LLC, Series 2014-2A, Class A1, 1.70%, 05/20/39, 144A(b)

      NA/A           170            168,423    
           

 

 

  

Total COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $10,087,208)

            

 

 

 

        10,120,577  

 

 

           

 

 

  

RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.31%)

            

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

      Aaa/AA+           144            164,124    

FHLMC Pool # G00182, 9.00%, 09/01/22(g)

      Aaa/AA+           —            269    

FNMA Pool # 55192, 10.50%, 09/01/17(g)

      Aaa/AA+           —            344    

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

      Aaa/AA+           1            506    

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

      Aaa/AA+           259            292,556    

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

      Aaa/AA+           161            180,298    

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

      Aaa/AA+           6            5,844    

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

      Aaa/AA+           9            9,930    

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

      Aaa/AA+           8            8,910    

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

      Aaa/AA+           5            5,219    
           

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $546,940)

            

 

 

 

668,000  

 

 

           

 

 

  

MUNICIPAL BONDS (2.23%)

            
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            217,037    

New York State Dormitory Authority, Seires A-2, Revenue Bonds, 5.00%, 10/01/46

      Aaa/AAA                             1,745            2,241,557    
San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.00%, 11/01/40      Aa3/AA-           145            175,668    

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

      Aa3/AA-           1,500            2,219,280    
           

 

 

  

TOTAL MUNICIPAL BONDS (Cost of $3,998,191)

            

 

 

 

4,853,542  

 

 

           

 

 

  

U.S. TREASURY SECURITIES (0.48%)

            

U.S. Treasury Note, 1.50%, 08/15/26

      Aaa/AA+           1,137            1,045,730    
           

 

 

  

TOTAL U.S. TREASURY SECURITIES (Cost of $1,033,303)

            

 

 

 

1,045,730  

 

 

           

 

 

  
PREFERRED STOCK (1.17%)                  Shares           

CoBank ACB, Series F, 6.250% (b),(c)

            
           20,000            2,028,126    

US BANCORP, Series A, 3.500%

            
           615            524,337    
           

 

 

  

TOTAL PREFERRED STOCK (Cost of $2,521,650)

            

 

 

 

2,552,463  

 

 

           

 

 

  

TOTAL INVESTMENTS (96.90%)

(Cost $195,171,112) *

               210,953,157    
           

 

 

  

OTHER ASSETS AND LIABILITIES (3.10%)

               6,744,312    
           

 

 

  

NET ASSETS (100.00%)

               $       217,697,469    
           

 

 

  

 

 

 

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

(a) Ratings for debt securities are unaudited. All ratings are as of December 31, 2016 and may have changed subsequently.
(b) This security is callable.
(c) Variable rate security. Rate disclosed is as of December 31, 2016.
(d) Security is perpetual. Date shown is next call date.
(e) Investment was in default as of December 31, 2016.
(f) Multi-Step Coupon. Rate disclosed is as of December 31, 2016.
(g) Principal amount less than $1,000.

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 December 31, 2016, these securities amounted to $66,436,196 or 30.52% of net assets.

*Aggregate cost for Federal income tax purposes is $195,171,112.

 

Gross unrealized appreciation

    $       17,987,984       

Gross unrealized depreciation

      (2,205,939)      
  

 

 

  

Net unrealized appreciation

    $ 15,782,045       
  

 

 

  

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 schedule of investments.

CUTWATER INSIGHT SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

December 31, 2016

(unaudited)

A. Security Valuation – In valuing the Insight Select Income Fund’s (the “Fund”) 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 December 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.

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 December 31, 2016.

    Total Market
Value at     
12/31/16     		               Level 1
          Quoted
           Price		    

Level 2   

Significant 
Observable

Inputs    

         Level 3
    Significant
    Unobservable
    Inputs		  

 

  

CORPORATE DEBT SECURITIES

   $ 182,225,722          $ —     $  182,225,722       $ —        

 

  

ASSET BACKED SECURITIES

     9,487,123            —       9,487,123         —        

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES

     10,120,577            —       10,120,577         —        

 

  

RESIDENTIAL MORTGAGE-BACKED SECURITIES

     668,000            —       668,000         —        

 

  

MUNICIPAL BONDS

     4,853,542            —       4,853,542         —        

 

  

U.S. TREASURY SECURITIES

     1,045,730            —       1,045,730         —        

 

  

PREFERRED STOCK

     2,552,463            2,552,463       —         —        

 

  

TOTAL INVESTMENTS

   $   210,953,157          $     2,552,463     $ 208,400,694       $ —        

 

  

CUTWATER INSIGHT SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

December 31, 2016 (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 December 31, 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 December 31, 2016, 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.

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    2-22-2017   
     

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    2-22-2017   
     

 

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

 

Date    2-22-2017   
     

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