N-Q 1 d407049dnq.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                        

                                 Insight 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: June 30, 2017

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

SCHEDULE OF INVESTMENTS    (Unaudited)    June 30, 2017

 

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

    Value

    (Note 1)

  

 

CORPORATE DEBT SECURITIES (82.73%)

         

AUTOMOTIVE (0.91%)

         

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

      Baa2/BBB      $ 1,000          $         1,389,908  

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

      Baa2/BBB        500            679,348  
        

 

 

  
           2,069,256  
        

 

 

  

CHEMICALS (1.84%)

         

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

      Baa2/BBB        500            560,018  

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

      Baa3/BBB        405            432,824  

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

      A3/A-        500            527,678  

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

      Baa2/BBB        2,000            2,648,012  
        

 

 

  
           4,168,532  
        

 

 

  

CONSUMER PRODUCTS (2.11%)

         

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

     Baa3/BBB-        593            629,640  

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

     Baa3/BBB-        1,379            1,660,366  

Reckitt Benckiser Treasury Services PLC, Co. Gty., 3.00%, 06/26/27,

144A(b)

     A3/A-        1,433            1,414,049  

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

     Baa3/BBB+        1,000            1,071,350  
        

 

 

  
           4,775,405  
        

 

 

  

DIVERSIFIED FINANCIAL SERVICES (15.47%)

         

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

      Baa1/BBB+        190            208,070  

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

      Baa1/BBB+        500            555,718  

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

      Baa3/BBB        1,764            1,835,872  

Barclays PLC, Sub. Notes, 4.836%, 05/09/28(b)

     Baa3/BB+        906            926,195  

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

      Aaa/AAA        400            422,706  

Citigroup Inc., Sr. Unsec. Notes, 3.887%, 01/10/28(b),(c)

     Baa1/BBB+        1,100            1,117,890  

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

      Baa1/BBB+        70            107,473  

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

      Baa3/BBB        988            1,036,748  

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

      Baa3/BBB        926            1,047,843  

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

      Ba1/BBB-        200            227,551  

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

      A1/AA-        588            639,972  

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

      A1/AA-        287            416,013  

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

     A3/A        4,320            4,585,248  

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

     A3/BBB+        1,040            1,034,484  

Goldman Sachs Group, Inc., Sr. Unsec. Notes, 2.922%, 10/28/27(b),(c)

     A3/BBB+        550            571,739  

Goodman US Finance One LLC, Co. Gty., 6.375%, 04/15/21, 144A

      Baa1/BBB+        1,050            1,175,715  

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

     Baa1/BBB-        2,180            3,429,402  

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

     Baa2/BBB+        2,500            2,554,405  

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

      Baa1/BBB-        1,100            1,127,139  

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

      Ba1/BB        1,250            1,319,793  

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

     Baa3/BBB-        2,000            2,079,000  

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

     B1/BB+        225            238,500  

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

      A3/BBB+        300            302,088  

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

     Baa2/BBB        1,294            1,312,970  

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

      Aa3/A        1,193            1,192,207  

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

     Baa2/BBB-        1,587            1,634,610  

Royal Bank of Scotland Group PLC, Jr. Sub., 7.64%, 09/30/17(b),(c),(d)

     Ba3/B+        700            672,000  

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

     NA/BBB-        936            940,998  

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

      NA/BBB+        2,000            2,348,000  
        

 

 

  
           35,060,349  
        

 

 

  

ENERGY (13.96%)

         

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

     NA/BBB+        3,250            3,303,586  

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

      Baa2/A-        850            1,058,190  

Cimarex Energy Co., Sr. Unsec. Notes, 3.90%, 05/15/27(b)

     Baa3/BBB-        413            415,260  

 

The accompanying notes are an integral part of this 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)

         

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

     B3/B+      $ 2,180          $         2,212,700  

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

      Baa3/BBB-        1,000            1,096,535  

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

     Baa2/NA        395            420,473  

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

      Baa3/BBB-        1,000            1,216,338  

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

     Baa2/BBB+        1,496            1,673,294  

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

     Ba1/BBB-        750            787,500  

Enterprise Products Operating LLC, Co. Gty., Series B, 7.034%,

01/15/68(b),(c)

     Baa2/BBB-        1,000            1,024,000  

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

144A

      Baa2/BBB        80            93,080  

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

     NA/BB        1,000            1,078,488  

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

     Baa3/BBB-        1,755            1,859,817  

Marathon Petroleum Corp., Sr. Unsec. Notes, 4.75%, 09/15/44(b)

     Baa2/BBB        1,266            1,202,765  

McDermott International Inc., Sec. Notes, 8.00%, 05/01/21, 144A(b)

     B2/BB        1,175            1,183,812  

MPLX LP, Sr. Unsec. Notes, 5.20%, 03/01/47(b)

     Baa3/BBB-        641            660,151  

Petrobras Global Finance BV, Co. Gty., 7.375%, 01/17/27

      B1/BB-        200            211,600  

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

      Baa3/BBB+        250            273,437  

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

      Baa3/BBB+        750            804,000  

Regency Energy Partners LP/Regency Energy Finance Corp., 6.50%,

07/15/21(b)

     Baa3/BBB-        2,180            2,223,600  

Sabine Pass Liquefaction LLC, Sr. Sec. Notes, 4.20%, 03/15/28, 144A(b)

     Baa3/BBB-        1,009            1,019,405  

Southern Co. Gas Capital Corp., Co. Gty., 4.40%, 05/30/47(b)

     Baa1/A-        1,164            1,187,201  

Spectra Energy Partners LP, Sr. Unsec. Notes, 3.375%, 10/15/26(b)

     Baa2/BBB+        803            784,904  

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

     B1/B+        850            888,250  

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

     Ba1/BBB-        291            313,553  

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

      Baa2/BBB        1,000            1,340,161  

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

      Baa2/BBB        500            809,486  

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

     Baa3/BBB        1,670            1,737,091  

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

     Baa3/BBB        730            743,436  
        

 

 

  
           31,622,113  
        

 

 

  

FOOD AND BEVERAGE (1.83%)

         

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

      A3/A-        795            831,784  

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

     A3/A-        645            709,915  

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

     A3/A-        756            853,253  

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

      A3/A-        325            353,344  

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

      A3/A-        27            41,833  

Constellation Brands Inc., Co. Gty., 2.70%, 05/09/22(b)

     Baa3/BBB-        343            342,581  

Smithfield Foods Inc., Co. Gty., 4.25%, 02/01/27, 144A(b)

     Ba2/BBB-        999            1,022,017  
        

 

 

  
           4,154,727  
        

 

 

  

GAMING, LODGING & LEISURE (0.97%)

         

Wyndham Worldwide Corp., Sr. Unsec. Notes, 4.50%, 04/01/27(b)

     Baa3/BBB-        2,140            2,206,107  
        

 

 

  

HEALTHCARE (0.40%)

         

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

     Baa3/BBB        61            65,848  

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

     Ba2/BBB-        250            257,500  

Mylan NV, Co. Gty., 3.95%, 06/15/26(b)

     Baa3/BBB-        397            402,256  

Mylan NV, Co. Gty., 5.25%, 06/15/46(b)

     Baa3/BBB-        169            184,869  
        

 

 

  
           910,473  
        

 

 

  

INDUSTRIAL (1.83%)

         

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

      NA/A-        200            214,875  

Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.75%,

06/01/29

      Baa1/BBB+        500            669,298  

Penske Truck Leasing Co. LP/ PTL Finance Corp., Sr. Unsec. Notes,

3.40%, 11/15/26, 144A(b)

     Baa2/BBB        785            771,396  

 

The accompanying notes are an integral part of this 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          $         398,985  

United Technologies Corp., Sr. Unsec. Notes, 3.75%, 11/01/46(b)

     A3/A-        700            685,422  

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

      Ba2/BBB-        1,300            1,395,550  
        

 

 

  
           4,135,526  
        

 

 

  

INSURANCE (10.58%)

         

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

      Baa1/BBB+        1,800            2,258,852  

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

     Baa1/BBB        2,200            2,579,500  

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

     Baa2/BBB-        2,500            3,375,000  

Brighthouse Financial Inc., Co. Gty., 4.70%, 06/22/47, 144A(b)

     Baa3/BBB+        1,052            1,038,570  

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

      Baa2/BBB+        2,250            2,859,640  

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

144A

      A1/AA-        108            153,896  

Liberty Mutual Group, Inc., Co. Gty., 4.151%, 03/07/67, 144A(b),(c)

     Baa3/BB+        1,530            1,491,750  

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

     Baa3/BB+        1,000            1,585,000  

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

      Baa2/BBB        250            319,102  

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

144A

      A1/AA-        151            247,418  

Massachusetts Mutual Life Insurance Co., Sub. Notes, 4.90%, 04/01/77,

144A

      NA/AA-        980            1,047,715  

MetLife Inc., Jr. Sub. Notes, 6.40%, 12/15/66(b)

     Baa2/BBB        637            735,735  

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

     Baa2/BBB        500            745,000  

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

     Baa2/BBB        1,000            1,665,000  

Nationwide Mutual Insurance Co., Sub. Notes, 8.25%, 12/01/31, 144A

      A3/A-        500            715,291  

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

      A3/A-        215            359,017  

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

      Aa2/AA-        103            144,677  

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

     Baa2/BBB+        2,500            2,650,000  
        

 

 

  
           23,971,163  
        

 

 

  

MEDIA (9.33%)

         

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

      Baa1/BBB+        1,400            1,920,663  

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

      A3/A-        2,000            2,733,612  

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

      Baa2/BBB        1,500            1,800,675  

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

      Baa2/BBB        500            613,783  

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

      Baa1/BBB+        159            183,712  

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

      NA/BBB+        2,000            2,393,110  

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

      NA/NA        1,000            1,020,000  

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

      Baa3/BBB-        100            100,050  

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

     B1/B+        1,780            1,880,125  

Sirius XM Radio Inc., Sr. Unsec. Notes, 5.00%, 08/01/27, 144A(b)

     Ba3/BB        265            266,987  

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

      Ba1/BBB-        1,360            1,867,160  

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

      Baa2/BBB        3,000            3,848,154  

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

     B1/B+        2,375            2,517,500  

World Color Press, Inc., Escrow Notes, 0.00%— 12/01/43(e)

     NA/NA        1,000            —  
        

 

 

  
           21,145,531  
        

 

 

  

MINING (1.81%)

         

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

      Ba1/BB+        500            559,375  

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

     Baa2/BBB+        972            1,110,597  

FMG Resources Ltd., Co. Gty., 4.75%, 05/15/22, 144A(b)

     Ba2/(P)BB+        120            120,450  

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

     B1/BB        1,000            1,005,000  

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

     B1/BB        1,415            1,315,950  
        

 

 

  
           4,111,372  
        

 

 

  

PAPER (1.68%)

         

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

      Ba1/BB+        2,000            2,390,000  

 

The accompanying notes are an integral part of this 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          $         1,407,819  
        

 

 

  
           3,797,819  
        

 

 

  

RETAIL & RESTAURANT (0.16%)

         

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

     Baa1/BBB+        146            151,201  

Rite Aid Corp., Co. Gty., 6.75%, 06/15/21(b)

     B3/B-        199            204,373  
        

 

 

  
           355,574  
        

 

 

  

TECHNOLOGY (1.50%)

         

j2 Cloud Services LLC, Co. Gty., 6.00%, 07/15/25, 144A(b)

     Ba3/BB        224            230,720  

NXP Funding LLC, Sr. Unsec. Notes, 3.875%, 09/01/22, 144A

      Ba1/BBB-        2,213            2,304,286  

QUALCOMM Inc., Sr. Unsec. Notes, 3.25%, 05/20/27(b)

     A1/A        861            862,968  
        

 

 

  
           3,397,974  
        

 

 

  

TELECOMMUNICATIONS (7.09%)

         

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

     B1/BB-        200            212,188  

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

     Baa1/BBB+        1,750            1,721,636  

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

     Baa1/BBB+        425            416,757  

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

      Baa3/BBB-        2,225            2,349,045  

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

      Ba1/BBB-        1,000            1,135,583  

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

      Baa1/BBB+        2,000            2,966,158  

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

     B1/NA        500            479,375  

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

      B2/B+        500            528,125  

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

     Ba1/BBB-        928            913,145  

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

     Ba1/BBB-        500            499,173  

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

      B3/B        1,500            1,667,355  

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

      B3/B        1,000            1,260,000  

Verizon Communications Inc., Sr. Unsec. Notes, 4.812%, 03/15/39, 144A

      Baa1/BBB+        1,898            1,918,532  
        

 

 

  
           16,067,072  
        

 

 

  

TRANSPORTATION (3.48%)

         

American Airlines, Pass Through Certs., Series 2013-2, Class B, 5.60%,

01/15/22, 144A

      NA/BBB-        1,862            1,943,882  

American Airlines, Pass Through Certs., Series 2017-1, Class AA, 3.65%,

08/15/30

      Aa3/NA        1,102            1,135,060  

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

     Baa2/A-        250            287,905  

British Airways, Pass Through Certs., Series 2013-1, Class B, 5.625%,

12/20/21, 144A

      A3/BBB+        949            991,490  

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

02/02/20

      Ba1/BBB        23            23,535  

Continental Airlines, Pass Through Certs., Series 2000-1, Class A1,

8.048%, 05/01/22

      Baa1/A-        359            396,705  

Continental Airlines, Pass Through Certs., Series 2000-2, Class A1,

7.707%, 10/02/22

      Baa1/BBB        429            463,727  

Delta Air Lines, Pass Through Certs, Series 1993, Class A2, 10.50%,

04/30/16(b),(e)

     NA/NA        330            29,024  

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

      Baa1/BBB+        1,500            1,947,159  

Federal Express Corp., Pass Through Certs., Series 1996, Class B2, 7.84%,

01/30/18(b)

     Baa1/BBB        265            273,053  

United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%,

02/15/23

      NA/BBB-        386            404,485  
        

 

 

  
           7,896,025  
        

 

 

  

UTILITIES (7.78%)

         

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

     Baa2/BBB        1,082            1,115,589  

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

     Aa3/A        622            570,192  

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

      Baa3/BBB-        1,000            1,114,400  

 

The accompanying notes are an integral part of this 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)

         

UTILITIES (Continued)

         

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

     Baa3/BB      $ 2,000          $         2,052,000  

Enel Finance International NV, Co. Gty., 4.75%, 05/25/47, 144A

      Baa2/BBB        1,130            1,162,724  

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

     Baa2/BBB-        505            503,297  

FirstEnergy Corp., Sr. Unsec. Notes, 4.85%, 07/15/47(b)

     Baa3/BB+        435            441,311  

Great Plains Energy Inc., Sr. Unsec. Notes, 3.90%, 04/01/27(b)

     Baa3/BBB        1,369            1,384,915  

Great Plains Energy Inc., Sr. Unsec. Notes, 4.85%, 04/01/47(b)

     Baa3/BBB        182            187,276  

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

      Aa2/AA-        1,550            2,064,944  

Kansas City Power & Light Co., Sr. Unsec. Notes, 4.20%, 06/15/47(b)

     Baa1/BBB+        917            933,883  

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

      A2/A-        500            659,727  

NextEra Energy Capital Holding, Inc., Co. Gty., Series D, 7.30%,

09/01/67(b),(c)

     Baa2/BBB        1,250            1,257,838  

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

      A2/A-        1,000            1,113,334  

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

     Baa1/A-        992            1,200,146  

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

     Baa1/A-        539            514,492  

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

      Baa1/BBB+        80            88,372  

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

     Baa1/BBB        750            775,671  

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

     Baa1/BBB        490            483,875  
        

 

 

  
           17,623,986  
        

 

 

  

Total CORPORATE DEBT SECURITIES (Cost of $168,400,894)

            187,469,004  
        

 

 

  

ASSET BACKED SECURITIES (8.44%)

         

Antares Ltd., Series 2017-1A, Class C, 4.281%, 07/20/28, 144A(b),(c)

     NA/A        1,093            1,093,647  

AVIS Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A,

2.63%, 12/20/21, 144A(b)

     Aaa/NA        1,605            1,595,946  

Carlyle Global Market Strategies, Series 2014-3A, Class B, 3.32%,

07/27/26, 144A(b),(c)

     A1/NA        2,500            2,498,450  

CPS Auto Receivables Trust, Series 2015-C, Class B, 2.55%, 02/18/20,

144A(b)

     NA/AAA        935            939,422  

Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A21, 3.484%,

10/25/45, 144A

      NA/BBB+        1,234            1,246,632  

DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 06/25/40,

144A(b)

     Aa2/NA        462            462,011  

DRB Prime Student Loan Trust, Series 2017-A, Class A2B, 2.85%,

05/27/42, 144A(b)

     Aaa/NA        2,130            2,125,732  

Drive Auto Receivables Trust, Series 2016-CA, Class B, 2.37%, 11/16/20,

144A(b)

     Aa1/AA        676            676,627  

Golub Capital Partners Ltd., Series 2017-19RA, Class B, 3.742%, 07/26/29,

144A(b),(c)

     A2/NA        1,935            1,924,725  

IVY Hill Middle Market Credit Fund XII Ltd., Series 12A, Class B,

4.313%, 07/20/29, 144A(b),(c)

     A3/NA        866            871,196  

NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2,

2.54%, 04/18/22, 144A(b)

     Aaa/AAA        1,460            1,464,366  

Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%,

03/25/37(b),(f)

     Ca/AA        38            35,034  

Renaissance Home Equity Loan Trust, Series 2006-3, Class AF2, 5.58%,

11/25/36(b),(f)

     C/CCC        145            83,241  

Small Business Administration Participation Certificates, Series 2010-20F,

         

Class 1, 3.88%, 06/01/30

      Aaa/AA+        139            147,038  

Sofi Consumer Loan Program LLC, Series 2017-3, Class A, 2.77%,

05/25/26, 144A(b)

     NA/AA        404            405,681  

Sofi Professional Loan Program Ltd., Series 2017-C, Class B, 3.56%,

07/25/40, 144A(b),(c)

     NA/A+        1,099            1,094,590  

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

144A(b)

     NA/A+        1,566            1,648,379  

 

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

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

    Value

    (Note 1)

  

 

ASSET BACKED SECURITIES (Continued)

         

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

     NA/A      $ 107          $         106,282  

Textainer Marine Containers V Ltd., Series 2017-1A, Class A, 3.72%,

05/20/42, 144A(b)

     NA/A        697            703,133  
        

 

 

  

TOTAL ASSET BACKED SECURITIES (Cost of $19,149,085)

            19,122,132  
        

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES (3.61%)

         

CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class DFX,

4.387%, 02/10/33, 144A

      Baa2/NA        589            594,508  

Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.635%,

05/10/35, 144A(c)

     Baa1/NA        2,000            1,993,999  

Citigroup Commercial Mortgage Trust, Series 2016-P6, Class C, 4.431%,

12/10/49(b),(c)

     NA/NA        367            369,170  

FREMF Mortgage Trust, Series 2015-K44, Class B, 3.81%, 01/25/48,

144A(b),(c)

     NA/NA        535            539,922  

FREMF Mortgage Trust, Series 2015-K45, Class B, 3.714%, 04/25/48,

144A(b),(c)

     NA/NA        1,270            1,264,663  

LMREC Inc., Series 2016-CRE2, Class A, 2.71%, 11/24/31, 144A(b),(c)

     Aaa/NA        689            694,168  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV,

         

Class C, 4.432%, 10/15/30, 144A(c)

     NA/A        2,710            2,734,235  
        

 

 

  

Total COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $8,055,709)

            8,190,665  
        

 

 

  

RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.27%)

         

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

      Aaa/AA+        123            139,409  

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

     Aaa/AA+        —            183  

FNMA Pool # 58991, 11.00%, 02/01/18(g)

     Aaa/AA+        —            45  

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

      Aaa/AA+        249            277,749  

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

      Aaa/AA+        142            158,761  

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

      Aaa/AA+        5            5,180  

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

      Aaa/AA+        8            8,487  

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

      Aaa/AA+        7            7,696  

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

      Aaa/AA+        4            4,328  
        

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $497,605)

            601,838  
        

 

 

  

MUNICIPAL BONDS (1.19%)

         

Municipal Electric Authority of Georgia, Build America Bonds-Taxable-

         

Plant Vogle Units 3&4, Series J, Revenue Bond, 6.637%, 04/01/57

      A2/A+        175            214,564  

San Francisco City & County Public Utilities Commission, Water Revenue,

         

Build America Bonds, 6.00%, 11/01/40

      Aa3/AA-        145            182,365  

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

      Aa3/AA-        1,500            2,291,625  
        

 

 

  

TOTAL MUNICIPAL BONDS (Cost of $1,856,742)

            2,688,554  
        

 

 

  

U.S. TREASURY SECURITIES (1.26%)

         

U.S. Treasury Inflation Indexed Bonds, 1.00%, 02/15/46

      Aaa/AA+        559            558,837  

United States Treasury Note, 1.875%, 04/30/22

      Aaa/AA+        851            850,434  

United States Treasury Note, 1.75%, 05/31/22

      Aaa/AA+        223            221,992  

United States Treasury Note, 2.00%, 05/31/24

      Aaa/AA+        579            574,638  

United States Treasury Note, 3.00%, 02/15/47

      Aaa/AA+        638            658,137  
        

 

 

  

TOTAL U.S. TREASURY SECURITIES (Cost of $2,889,220)

            2,864,038  
        

 

 

  
        Shares         

PREFERRED STOCK (1.16%)

         

CoBank ACB, Series F, 6.250%, 144A(b),(c)

        20,000            2,088,750  

US BANCORP, Series A, 3.500% (b),(c)

        615            547,688  
        

 

 

  

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

            2,636,438  
        

 

 

  

 

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

SCHEDULE OF INVESTMENTS    (Unaudited) — continued

 

     Value
(Note 1)

 

  

 

TOTAL INVESTMENTS (98.66%)

(Cost $203,370,905) *

   $         223,572,669  
  

 

 

  

OTHER ASSETS AND LIABILITIES (1.34%)

      3,030,502  
  

 

 

  

NET ASSETS (100.00%)

    $ 226,603,171  
  

 

 

  

 

(a)  Ratings for debt securities are unaudited. All ratings are as of June 30, 2017 and may have changed subsequently.
(b)  This security is callable.
(c)  Variable rate security. Rate disclosed is as of June 30, 2017.
(d)  Security is perpetual. Date shown is next call date.
(e)  Investment was in default as of June 30, 2017.
(f)  Multi-Step Coupon. Rate disclosed is as of June 30, 2017.
(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 June 30, 2017, these securities amounted to $83,327,039 or 36.77% of net assets.

*Aggregate cost for Federal income tax purposes is $203,370,905.

 

Gross unrealized appreciation

    $         21,071,608  

Gross unrealized depreciation

      (869,844 ) 
  

 

 

  

 

Net unrealized appreciation

    $ 20,201,764  
  

 

 

  

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

Sec. - Secured

Sr. - Senior

Sub. - Subordinated

Unsec. - Unsecured

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

INSIGHT SELECT INCOME FUND

Notes to the Quarterly Schedule of Investments

June 30, 2017

(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 June 30, 2017, 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 June 30, 2017.

 

     

Total Market

Value at

06/30/17

     

Level 1

Quoted

Price

     

Level 2

Significant

Observable

Inputs

     

Level 3

Significant

Unobservable

Inputs

  

CORPORATE DEBT SECURITIES

    $     187,469,004      $ —      $ 187,469,004      $ —      

ASSET BACKED SECURITIES

      19,122,132        —        19,122,132        —      

COMMERCIAL MORTGAGE-BACKED SECURITIES

      8,190,665        —        8,190,665        —      

RESIDENTIAL MORTGAGE-BACKED SECURITIES

      601,838        —        601,838        —      

MUNICIPAL BONDS

      2,688,554        —        2,688,554        —      

U.S. TREASURY SECURITIES

      2,864,038        —        2,864,038        —      

PREFERRED STOCK

      2,636,438        2,636,438        —        —      

TOTAL INVESTMENTS

    $ 223,572,669      $     2,636,438      $ 220,936,231      $ —      

INSIGHT SELECT INCOME FUND

Notes to the Quarterly Schedule of Investments

June 30, 2017 (concluded)

(unaudited)

At the end of each calendar quarter, management evaluates the Level 1, 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. Pursuant to Fund policy, transfers between levels are considered to have occurred at the beginning of the reporting period. As of June 30, 2017, 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 June 30, 2017, 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)                                 Insight Select Income Fund

 

By (Signature and Title)*         /s/ Clifford D. Corso
        Clifford D. Corso, President
        (principal executive officer)

 

Date                             8/28/2017

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                             8/28/2017

 

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

 

Date                             8/28/2017

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