N-Q 1 d73007dnq.htm CUTWATER SELECT INCOME FUND Cutwater Select Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number             811-02201                                 

 

                                 Cutwater Select Income Fund                                
(Exact name of registrant as specified in charter)

 

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, 2015

 


Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

 


SCHEDULE OF INVESTMENTS (Unaudited)    December 31, 2015

    

 

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

Principal
Amount (000’s)

    

Value    

  (Note 1)  

 

CORPORATE DEBT SECURITIES (79.09%)

        

AUTOMOTIVE (0.95%)

        

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

   Baa3/BBB-    $                   1,000              $         1,369,923     

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

   Baa3/BBB-      500               628,180     
        

 

 

 
           1,998,103     
        

 

 

 

CHEMICALS (2.88%)

        

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

   Baa2/BBB      500               589,324     

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

   Baa3/BBB      405               439,142     

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

   A3/A-      500               524,170     

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

   A3/A-      1,500               1,818,765     

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

   Baa2/BBB-      312               309,492     

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

   Baa2/BBB      2,000               2,390,558     
        

 

 

 
           6,071,451     
        

 

 

 

DIVERSIFIED FINANCIAL SERVICES (14.02%)

        

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

   Baa1/BBB+      190               211,046     

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

   Baa1/BBB+      500               565,871     

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

   Aaa/AAA      400               432,256     

Chase Capital II, Ltd. Gtd., Series B, 0.829%, 02/01/27(b),(c)

   Baa2/BBB-      70               59,850     

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

   Baa1/BBB+      70               100,399     

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

   Baa3/BBB      1,200               1,248,210     

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

   NA/A-      500               559,715     

Credit Agricole SA, Sub. Notes, 4.375%, 03/17/25, 144A

   Baa3/BBB      1,840               1,780,091     

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

   Ba1/BB+      1,750               1,597,279     

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

   Ba1/BBB-      200               239,960     

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

   Baa2/A-      3,000               3,724,434     

GE Capital International Funding Co., Co. Gty., 4.418%, 11/15/35, 144A

   A1/AA+      1,018               1,038,851     

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

   A1/AA+      287               391,202     

HSBC Capital Funding LP, Co. Gty., 10.176%, 12/29/49, 144A(b),(d)

   Baa1/BBB-      2,180               3,275,450     

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

   Baa2/BBB+      2,500               2,546,280     

JPMorgan Chase & Co., Jr. Sub., 7.90%, 04/29/49(b),(d)

   Baa3/BBB-      2,000               2,036,000     

Morgan Stanley, Jr. Sub. Notes, 5.45%, 07/29/49(b),(d)

   Ba1/BB      2,200               2,147,750     

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

   A3/BBB+      300               321,217     

Santander UK Group Holdings, 2.875%, 10/16/20

   Baa1/BBB      745               739,942     

Santander UK Group Holdings PLC, Sub. Notes, 4.75%, 09/15/25, 144A

   Baa1/BB+      485               478,601     

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

   NA/BBB-      936               932,637     

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

   NR/BBB      2,000               2,280,000     

US Bank NA, Sr. Unsec. Notes, 0.803%, 10/28/19(b),(c)

   A1/AA-      2,850               2,829,224     
        

 

 

 
                     29,536,265     
        

 

 

 

ENERGY (12.68%)

        

Access Midstream Partners LP/ACMP Finance Corp., Co. Gty., 4.875%, 05/15/23(c)

   Baa3/BBB-      1,200               972,798     

Antero Resources Corp., Co. Gty., 5.625%, 06/01/23, 144A(c)

   Ba3/BB      1,150               897,000     

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

   Baa1/BBB      3,250               3,428,597     

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

   A2/A      850               1,086,019     

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

   B3/B+      2,190               2,102,400     

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

   Baa3/BBB-      1,000               947,778     

Columbia Pipeline Group, Inc., Co. Gty., 4.50%, 06/01/25, 144A(c)

   Baa2/BBB-      395               357,965     

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

   Baa3/BBB-      1,000               971,642     

Energy Transfer Partners LP, Sr. Unsec. Notes, 5.15%, 03/15/45(c)

   Baa3/BBB-      480               339,273     

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

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

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

   Baa2/BBB      90               107,791     

 

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)

        

Genesis Energy LP/Genesis Energy Finance Corp., Co. Gty., 6.00%, 05/15/23(c)

   B1/B+    $                      697              $         557,600     

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

   NA/BB      1,000               1,066,141     

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

   Baa3/BBB-      2,150               1,678,354     

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

   Ba1/BBB-      1,000               1,017,050     

Lukoil International Finance BV, Co. Gty., 4.563%, 04/24/23, 144A

   Ba1/BBB-      250               224,062     

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

   A2/BBB+      64               68,897     

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

   A2/BBB+      124               127,211     

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

   Baa1/BBB+      250               275,218     

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

   Baa1/BBB+      750               779,250     

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

   Baa3/BBB-      2,180               2,190,900     

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

   Aa1/AA-      1,000               1,065,800     

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

   Ba2/BB+      500               285,000     

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

   Baa2/BBB      1,000               1,245,919     

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

   Baa2/BBB      500               665,197     

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

   A2/A      2,539               3,236,758     
        

 

 

 
                     26,709,620     
        

 

 

 

FOOD AND BEVERAGE (0.82%)

        

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

   A2/A-      325               375,679     

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

   A2/A-      27               38,919     

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

   Ba2/BB+      1,200               1,044,000     

Kraft Heinz Foods Co., Co. Gty., 5.20%, 07/15/45, 144A(c)

   Baa3/BBB-      260               271,676     
        

 

 

 
                   1,730,274     
        

 

 

 

HEALTHCARE (1.31%)

        

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

   Baa3/BBB-      180               175,508     

Endo Financial LLC & Endo Finco, Inc., Co. Gty., 5.875%, 01/15/23, 144A(c)

   B1/B      750               735,000     

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

   Ba2/BB+      750               802,500     

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

   Ba2/BBB-      250               251,250     

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

   A3/A      775               799,377     
        

 

 

 
           2,763,635     
        

 

 

 

INDUSTRIAL (4.55%)

        

ADT Corp., Sr. Unsec. Notes, 6.25%, 10/15/21

   Ba2/BB-      1,000               1,044,550     

Altria Group Inc., Co. Gty., 2.85%, 08/09/22

   Baa1/BBB+      326               317,811     

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

   Baa3/BBB-      500               543,408     

Case New Holland Industrial, Inc., Co. Gty., 7.875%, 12/01/17

   Ba1/BB+      1,000               1,057,500     

CNH Industrial Capital LLC, Co. Gty., 3.875%, 07/16/18

   Ba1/BB      535               517,612     

General Electric Co., Jr. Sub. Notes, 4.00%, 12/29/49(b),(c)

   A3/AA-      4,321               4,320,750     

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

   NA/A-      200               214,867     

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

   Baa1/BBB+      500               643,604     

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

   Baa2/BBB      400               374,970     

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

   Baa3/BBB      500               555,130     
        

 

 

 
           9,590,202     
        

 

 

 

INSURANCE (8.58%)

        

ACE INA Holdings Inc., Co. Gty., 3.35%, 05/03/26(c)

   A3/A      185               184,433     

ACE INA Holdings Inc., Co. Gty., 4.35%, 11/03/45(c)

   A3/A      135               137,178     

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

   Baa1/A-      1,800               2,177,437     

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

   Baa1/BBB      2,200               2,420,000     

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

   Baa2/BBB      2,500               3,287,500     

 

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)

        

INSURANCE (Continued)

        

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

   A1/AA-    $                   108              $         137,606     

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

   Baa3/BB+      500               465,000     

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

   Baa3/BB+      1,000               1,490,000     

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

   Baa2/BBB      250               288,673     

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

   A1/AA-      500               726,050     

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

   Baa2/BBB      500               690,000     

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

   Baa2/BBB      1,000               1,566,250     

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

   A3/A-      215               312,059     

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

   Aa2/AA-      103               132,142     

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

   Baa2/BBB+      2,500               2,413,750     

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

   Baa2/BBB+      1,000               1,125,000     

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

   A3/NR      500               510,000     
        

 

 

 
           18,063,078     
        

 

 

 

MEDIA (9.84%)

        

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

   Baa1/BBB+      1,400               1,650,767     

CCOH Safari LLC, Sr. Unsec. Notes, 5.75%, 02/15/26, 144A(c)

   B1/BB      1,112               1,114,780     

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

   A3/A-      2,000               2,580,406     

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

   Baa2/BBB      1,500               1,685,622     

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

   Baa2/BBB      500               574,544     

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

   Baa1/BBB+      159               164,943     

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

   WR/BBB+      2,000               2,434,824     

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

   WR/NR      1,000               1,020,000     

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

   Baa3/BBB-      100               104,422     

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

   B1/B+      1,780               1,717,700     

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

   Baa2/BBB      1,360               1,604,404     

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

   Baa2/BBB      3,000               3,892,326     

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

   B1/B+      2,375               2,185,000     
        

 

 

 
                     20,729,738     
        

 

 

 

MINING (1.28%)

        

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

   Baa3/BBB-      500               450,000     

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

   A3/A-      972               937,980     

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

   Baa2/BBB-      250               198,063     

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

   A3/A-      85               99,230     

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

   Ba3/BB      1,000               420,000     

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

   Ba3/BB      1,415               594,300     
        

 

 

 
           2,699,573     
        

 

 

 

PAPER (1.71%)

        

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

   Ba1/BB+      2,000               2,305,000     

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

   Baa3/BBB      1,000               1,295,816     
        

 

 

 
           3,600,816     
        

 

 

 

REAL ESTATE INVESTMENT TRUST (REIT) (1.76%)

        

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

   Baa2/BBB      350               379,565     

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

   Baa2/BBB      466               503,971     

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

   Baa2/BBB      1,050               1,192,068     

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

   Baa2/BBB      1,500               1,622,417     
        

 

 

 
           3,698,021     
        

 

 

 

RETAIL & RESTAURANT (0.07%)

        

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

   Baa1/BBB+      146               145,880     

TECHNOLOGY (0.27%)

        

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

   Baa1/BBB+      60               64,288     

 

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)

        

TECHNOLOGY (Continued)

        

QUALCOMM, Inc., Sr. Unsec. Notes, 3.45%, 05/20/25(c)

   A1/A+    $ 520              $ 498,763     
        

 

 

 
           563,051     
        

 

 

 

TELECOMMUNICATIONS (8.78%)

        

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

   B1/BB-      200               197,500     

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

   Baa1/BBB+                    1,750                       1,618,507     

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

   Baa1/BBB+      425               389,128     

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

   Baa3/BBB-      2,225               2,335,774     

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

   Baa3/BBB-      1,000               1,145,197     

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

   Baa1/BBB+      2,000               2,772,880     

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

   B1/NA      500               421,250     

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

   Ba3/BB-      500               516,250     

Frontier Communications Corp., Sr. Unsec. Notes, 11.00%, 09/15/25, 144A

   Ba3/BB-      267               264,330     

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

   Ba3/BB-      500               420,000     

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

   Baa2/BBB+      1,500               1,775,002     

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

   Baa3/BBB-      928               890,505     

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

   Baa3/BBB-      500               491,250     

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

   Caa1/B+      1,500               1,046,250     

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

   Caa1/B+      1,000               750,000     

T-Mobile USA, Inc., Co. Gty., 6.625%, 04/01/23(c)

   Ba3/BB      1,325               1,351,500     

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

   Baa1/BBB+      1,646               2,107,478     
        

 

 

 
           18,492,801     
        

 

 

 

TRANSPORTATION (4.86%)

        
American Airlines, Pass Through Certs., Series 2013-2, Class B, 5.60%, 01/15/22, 144A    NA/BBB-      2,183               2,226,693     
BNSF Funding Trust I, Co. Gty., 6.613%, 12/15/55(b),(c)    Baa2/BBB      250               278,750     
British Airways PLC, Pass Through Certs., 5.625%, 12/20/21, 144A    Baa2/BBB      1,423               1,466,655     
Continental Airlines, Pass Through Certs., Series 1999-1, Class B, 6.795%, 02/02/20    Ba1/BBB-      125               130,171     
Continental Airlines, Pass Through Certs., Series 2000-1, Class A1, 8.048%, 05/01/22    Baa1/A-      530               593,721     
Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 10/02/22    Baa2/BBB-      755               823,480     
Delta Air Lines, Pass Through Certs, Series 1993, Class A2, 10.50%, 04/30/16(e)    WR/NR      334               58,936     
ERAC USA Finance LLC, Co. Gty., 3.80%, 11/01/25, 144A(c)    Baa1/BBB+      415               410,657     
ERAC USA Finance LLC, Co. Gty., 7.00%, 10/15/37, 144A    Baa1/BBB+      1,500               1,828,035     
Federal Express Corp., Pass Through Certs., Series 1996, Class B2, 7.84%, 01/30/18(c)    A3/BBB      757               802,250     
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec.Notes, 3.375%, 02/01/22, 144A(c)    Baa3/BBB-      1,200               1,165,184     
United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%, 02/15/23    NA/BBB      455               451,899     
        

 

 

 
                   10,236,431     
        

 

 

 

UTILITIES (4.73%)

        

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

   A2/A-      500               545,462     

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

   Baa3/BBB-      1,000               1,131,957     

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

   Baa1/BBB      2,000               1,880,000     

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

   Aa2/A+      1,550               2,144,324     

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

   A2/BBB+      500               638,052     

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

   Baa2/BBB      1,250               1,194,625     

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

   Baa1/BBB      1,000               1,113,096     

Southern Power Co., Sr. Unsec. Notes, 4.15%, 12/01/25(c)

   Baa1/BBB+      485               484,095     

 

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)

        

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

   Baa1/BBB    $ 80              $ 91,810     

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

   Baa1/BBB      750               734,843     
        

 

 

 
           9,958,264     
        

 

 

 
Total CORPORATE DEBT SECURITIES (Cost of $156,491,356)                  166,587,203     
        

 

 

 

ASSET BACKED SECURITIES (5.56%)

        
ALM Loan Funding, Series 2012-7A, Class A2, 2.615%, 10/19/24, 144A(b)    NR/AA                      2,000               1,988,680     
Ares XXIII CLO, Ltd., Series 2012-1AR, Class BR1, 2.515%, 04/19/23, 144A(b)    NR/AA      2,000               1,993,820     
AVIS Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, 12/20/21, 144A(c)    Aaa/NA      1,605               1,584,846     
Carlyle Global Market Strategies, Series 2014-3A, Class B, 3.473%, 07/27/26, 144A(b)    A2/NA      2,500               2,471,275     
Credit-Based Asset Servicing and Securitization LLC, Series 2006-SC1, Class A, 0.692%, 05/25/36, 144A(b),(c)    A3/A+      17               16,605     
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A21, 3.484%, 10/25/45, 144A(c)    NA/BBB+      1,250               1,225,000     
Flatiron CLO, Ltd., Series 2014-1A, Class A2, 2.215%, 07/17/26, 144A(b)    Aa2/AA+      290               284,252     
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%, 03/01/37(c),(f)    A2/AA      47               43,517     
Renaissance Home Equity Loan Trust, Series 2006-3, Class AF2, 5.58%, 11/25/36(c),(f)    C/CCC      150               78,299     
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2A, 1.20%, 12/17/18    Aaa/NA      1,218               1,215,122     
Small Business Administration Participation Certificates, Series 2010-20F, Class 1, 3.88%, 06/01/30    Aaa/AA+      183               195,130     
Sonic Capital LLC, Series 2011-1A, Class A2, 5.438%, 05/20/41, 144A(c)    Baa2/BBB      606               618,174     
        

 

 

 

TOTAL ASSET BACKED SECURITIES (Cost of $11,857,148)

           11,714,720     
        

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES (6.96%)

        
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.518%, 05/01/35, 144A(b)    Baa1/NA      2,000               1,911,294     
FREMF Mortgage Trust, Series 2015-K44, Class B, 3.685%, 01/01/48, 144A(b),(c)    NA/NA      535               476,376     
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.591%, 04/01/48, 144A(b),(c)    NA/NA      1,270               1,130,909     
Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/01/30, 144A    Aa3/A-      1,400               1,401,039     
JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1, Class C, 4.901%, 01/01/49(b),(c)    NR/NA      1,205               1,145,239     
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AJ, 5.485%, 07/12/46(b)    Ba1/NA      1,000               998,355     
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class C, 4.291%, 10/15/30, 144A(b)    NA/A      2,710               2,682,796     
Morgan Stanley Capital I Trust, Series 2006-HQ10, Class AM, 5.36%, 11/12/41(c)    Aa3/NA      2,000               2,037,851     
Morgan Stanley Reremic Trust, Series 2009-GG10, Class A4B, 5.795%, 08/01/45, 144A(b)    Baa2/NA      210               217,009     
Spirit Master Funding LLC, Series 2014-2A, Class A, 5.76%, 03/20/42, 144A    NA/A+      1,602               1,709,620     
TAL Advantage LLC, Series 2014-2A, Class A1, 1.70%, 05/20/39, 144A    NA/A      298               293,986     
Wells Fargo Commercial Mortgage Trust 2015-C31, Class C, 4.612%, 11/01/48(b),(c)    NR/NA      697               653,774     
        

 

 

 

Total COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $14,972,811)

  

     14,658,248     
        

 

 

 

 

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)  

 

RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.43%)

        

FHLMC Pool # 360019, 10.50%, 12/01/17(g)

   Aaa/AA+    $                       —              $ 174     

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

   Aaa/AA+      191               218,790     

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

   Aaa/AA+      —               383     

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

   Aaa/AA+      1               1,312     

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

   Aaa/AA+      1               1,354     

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

   Aaa/AA+      349               398,725     

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

   Aaa/AA+      212               238,746     

GNSF Pool # 194228, 9.50%, 11/01/20

   Aaa/AA+      7               7,034     

GNSF Pool # 307527, 9.00%, 06/01/21

   Aaa/AA+      12               12,720     

GNSF Pool # 417239, 7.00%, 02/01/26

   Aaa/AA+      10               10,487     

GNSF Pool # 780374, 7.50%, 12/01/23

   Aaa/AA+      6               6,892     
        

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $723,718)

        896,617     
        

 

 

 

MUNICIPAL BONDS (1.22%)

        
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               210,019     
San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.00%, 11/01/40    Aa3/AA-      145               175,840     
State of California, Build America Bonds, GO, 7.625%, 03/01/40    Aa3/AA-      1,500               2,184,405     
        

 

 

 

TOTAL MUNICIPAL BONDS (Cost of $1,857,623)

                       2,570,264     
        

 

 

 

U.S. TREASURY SECURITIES (4.12%)

        

U.S. Treasury Note, 2.125%, 08/15/21

   Aaa/AA+      515               521,096     

U.S. Treasury Note, 2.50%, 05/15/24

   Aaa/AA+      1,130               1,154,675     

U.S. Treasury Note, 2.25%, 11/15/24

   Aaa/AA+      1,145               1,144,418     

U.S. Treasury Note, 2.125%, 05/15/25

   Aaa/AA+      752               742,189     

U.S. Treasury Note, 2.75%, 11/15/42

   Aaa/AA+      685               653,132     

U.S. Treasury Note, 3.125%, 08/15/44

   Aaa/AA+      1,285               1,313,260     

U.S. Treasury Note, 3.00%, 11/15/44

   Aaa/AA+      1,045               1,041,204     

U.S. Treasury Note, 3.00%, 05/15/45

   Aaa/AA+      2,115               2,105,334     
        

 

 

 

TOTAL U.S. TREASURY SECURITIES (Cost of $8,808,454)

           8,675,308     
        

 

 

 
         

        Shares      

    

Value    

  (Note 1)  

 

COMMON STOCK (0.01%)

        

MEDIA (0.01%)

        

Quad Graphics, Inc.

        2,132             $ 19,828     
        

 

 

 

Total COMMON STOCK (Cost of $84,899)

           19,828     
        

 

 

 

PREFERRED STOCK (1.29%)

        

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

        20,000               2,053,126     

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

        53,779               182,849     

US BANCORP, Series A, 3.500%

        615               479,700     
        

 

 

 

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

           2,715,675     
        

 

 

 

TOTAL INVESTMENTS (98.68%)

(Cost $198,664,948)

           207,837,863     
        

 

 

 

OTHER ASSETS AND LIABILITIES (1.32%)

           2,788,353     
        

 

 

 

NET ASSETS (100.00%)

           $     210,626,216     
        

 

 

 

 

(a) Ratings for debt securities are unaudited. All ratings are as of December 31, 2015 and may have changed subsequently.
(b)  Variable rate security. Rate disclosed is as of December 31, 2015.

 

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


SCHEDULE OF INVESTMENTS (Unaudited) — continued

    

 

(c)  This security is callable.
(d)  Security is perpetual. Date shown is next call date.
(e)  Investment was in default as of December 31, 2015.
(f)  Multi-Step Coupon. Rate disclosed is as of December 31, 2015.
(g)  Principal amount less than $1,000.
(h)  Non-income producing security.
(i)  Dividend was discontinued as of December 31, 2015.
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, 2015, these securities amounted to $72,683,456 or 34.51% of net assets.

Legend

Certs. - Certificates

CLO - Collateralized Loan Obligation

Co. Gty. - Company Guaranty

Debs. - Debentures

FHLMC - Federal Home Loan Mortgage Corp.

FNMA - Federal National Mortgage Association

FREMF - Freddie Multi-Family

GNSF - Government National Mortgage Association (Single Family)

GO - General Obligation

Gtd. - Guaranteed

Jr. - Junior

LLC - Limited Liability Company

Ltd. - Limited

NA - Not Available

NR - Not Rated

REIT - Real Estate Investment Trust

Sec. - Secured

Sr. - Senior

Sub. - Subordinated

Unsec. - Unsecured

WR - Withdrawn Rating

 

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


CUTWATER SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

December 31, 2015

(unaudited)

A. Security Valuation – In valuing the Cutwater 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, 2015, 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, 2015.

 

                   Level 2      Level 3  
     Total Market      Level 1      Significant      Significant  
     Value at      Quoted      Observable      Unobservable  
      12/31/15      Price      Inputs      Inputs  

 

CORPORATE DEBT SECURITIES

   $ 166,587,203           $ —           $ 166,587,203           $ —       

 

ASSET BACKED SECURITIES

     11,714,720             —             11,714,720             —       

 

COMMERCIAL MORTGAGE-BACKED SECURITIES

     14,658,248             —             14,658,248             —       

 

RESIDENTIAL MORTGAGE-BACKED SECURITIES

     896,617             —             896,617             —       

 

 

MUNICIPAL BONDS

     2,570,264             —             2,570,264             —       

 

U.S. TREASURY SECURITIES

     8,675,308             —             8,675,308             —       

 

COMMON STOCK *

     19,828             19,828             —             —       

 

PREFERRED STOCK

     2,715,675             2,715,675             —             —       

 

TOTAL INVESTMENTS

   $   207,837,863           $     2,735,503           $   205,102,360           $ —       

 

*   See Schedule of Investments for industry breakout.


CUTWATER SELECT INCOME FUND

Notes to the Quarterly Portfolio of Investments

December 31, 2015 (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, 2015, 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, 2015, 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        2/29/2016                                                                                                          

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        2/29/2016                                                                                                        
By (Signature and Title)*       /s/ Thomas E. Stabile                                                     
                                                Thomas E. Stabile, Treasurer
                                                (principal financial officer)
Date        2/29/2016                                                                                                        

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