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 |
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 |
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 |
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 |
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 |
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 |
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.