N-Q 1 d596012dnq.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, 2018


Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.


SCHEDULE OF INVESTMENTS  (Unaudited)    June 30, 2018

 

    

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

   Principal
Amount (000’s)
     Value
(Note 1)
 
CORPORATE DEBT SECURITIES (75.15%)         
AUTOMOTIVE (1.67%)         
Ford Holdings LLC, Co. Gty., 9.30%, 03/01/30    Baa2/BBB    $ 1,000       $         1,301,359  
Ford Motor Co., Sr. Unsec. Notes, 8.90%, 01/15/32    Baa2/BBB      500        641,871  
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 2.343%, 11/02/20    Baa2/BBB      1,719        1,673,961  
        

 

 

 
           3,617,191  
        

 

 

 
CHEMICALS (1.82%)         
Celgene Corp., Sr. Unsec. Notes, 5.00%, 08/15/45(b)    Baa2/BBB+      60        58,751  
Dow Chemical Co., Sr. Unsec. Notes, 8.55%, 05/15/19    Baa2/BBB      500        524,040  
Mexichem SAB de CV, Co. Gty., 4.00%, 10/04/27, 144A(b)    Baa3/BBB-      467        427,305  
OLIN Corp., Sr. Unsec. Notes, 5.00%, 02/01/30(b)    Ba1/BB+      379        358,155  
Union Carbide Corp., Sr. Unsec. Notes, 7.75%, 10/01/96    Baa2/BBB      2,000        2,562,978  
        

 

 

 
           3,931,229  
        

 

 

 
COMMERCIAL SERVICES (0.25%)         
Global Partners LP, Co. Gty., Class Global Partners LP, 6.25%, 07/15/22(b)    B2/B+      555        538,350  
        

 

 

 
DIVERSIFIED FINANCIAL SERVICES (12.54%)         
Bank of America Corp., Sr. Unsec. Notes, (3M LIBOR +0.79%), 3.004%, 12/20/23(b),(c)    A3/A-      758        734,909  
Bank of America Corp., Sr. Unsec. Notes, (3M LIBOR +0.81%), 3.366%, 01/23/26(b),(c)    A3/A-      559        537,823  
Bank of America Corp., Sub. Notes, 4.45%, 03/03/26    Baa2/BBB+      1,764        1,768,087  
Bank of Nova Scotia, Jr. Sub. Notes, (3M LIBOR +2.648%), 4.65%, 10/12/22(b),(c),(d)    Baa3/BBB-      586        530,330  
Barclays Bank PLC, Sr. Unsec. Notes, (3M LIBOR +0.46%), 2.797%, 01/11/21(b),(e)    A2/A      1,233        1,232,674  
Barclays PLC, Sub. Notes, 4.836%, 05/09/28(b)    Ba1/BB+      906        855,643  
CDP Financial, Inc., Co. Gty., 4.40%, 11/25/19, 144A    Aaa/AAA      400        409,029  
Citigroup, Inc., Sr. Unsec. Notes, (3M LIBOR +1.563%), 3.887%, 01/10/28(b),(c)    Baa1/BBB+      1,100        1,065,388  
Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39    Baa1/BBB+      70        98,464  
Citigroup, Inc., Sub. Notes, 4.60%, 03/09/26    Baa3/BBB      988        986,581  
Citigroup, Inc., Sub. Notes, 5.30%, 05/06/44    Baa3/BBB      926        953,344  
Credit Agricole SA, Sub. Notes, (5Yr Swap +1.644%), 4.00%, 01/10/33, 144A(b),(c),(e)    Baa2/BBB      1,025        935,629  
Discover Financial Services, Sr. Unsec. Notes, 10.25%, 07/15/19    Ba1/BBB-      200        212,464  
GE Capital International Funding, Co. Gty., 4.418%, 11/15/35    A2/A      588        569,642  
General Electric Co., Jr. Sub. Notes, (3M LIBOR +3.33%), 5.00%, 01/21/21(b),(c),(d)    Baa1/BBB+      1,009        993,865  
General Electric Co., Sr. Unsec. Notes, 6.875%, 01/10/39    A2/A      287        363,442  
Goldman Sachs Group, Inc., Sr. Unsec. Notes, 3.50%, 11/16/26(b)    A3/BBB+      1,040        979,903  
Goldman Sachs Group, Inc., Sr. Unsec. Notes, (3M LIBOR +1.75%), 4.109%, 10/28/27(b),(e)    A3/BBB+      550        560,985  
HSBC Capital Funding LP, Co. Gty., (3M LIBOR +4.98%), 10.176%, 06/30/30, 144A(b),(c),(d)    Baa2/BBB-      2,180        3,305,425  
JPMorgan Chase & Co., Jr. Sub. Notes, (3M LIBOR +3.47%), 5.829%, 07/30/18(b),(c),(d)    Baa3/BBB-      2,000        2,015,000  
JPMorgan Chase & Co., Jr. Sub. Notes, (3M LIBOR +2.58%), 4.625%, 11/01/22(b),(c),(d)    Baa3/NA      1,159        1,068,598  
Lincoln Finance, Ltd., Sr. Sec. Notes, 7.375%, 04/15/21, 144A(b)    B1/BB+      225        232,284  
Nasdaq, Inc., Sr. Unsec. Notes, 3.85%, 06/30/26(b)    Baa2/BBB      1,294        1,253,165  
PNC Financial Services Group, Inc., Jr. Sub. Notes, (3M LIBOR +3.30%), 5.00%, 11/01/26(b),(c),(d)    Baa2/BBB-      1,587        1,573,114  

 

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


SCHEDULE OF INVESTMENTS  (Unaudited) — continued   

 

    

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

   Principal
Amount (000’s)
     Value
(Note 1)
 
CORPORATE DEBT SECURITIES (Continued)         
DIVERSIFIED FINANCIAL SERVICES (Continued)         
Santander UK PLC, Sr. Unsec. Notes, (3M LIBOR +0.30%), 2.654%, 11/03/20(e)    Aa3/A    $ 1,623       $         1,617,392  
UBS AG, Sub. Notes, 7.625%, 08/17/22    NR/BBB+      2,000        2,207,800  
        

 

 

 
           27,060,980  
        

 

 

 
ENERGY (11.83%)         
Andeavor Logistics LP, Co. Gty., 4.25%, 12/01/27(b)    Ba1/BBB-      901        863,065  
Cimarex Energy Co., Sr. Unsec. Notes, 3.90%, 05/15/27(b)    Baa3/BBB-      413        396,566  
CITGO Petroleum Corp., Sr. Sec. Notes, 6.25%, 08/15/22, 144A(b)    B3/B+      3,170        3,155,101  
Enbridge Inc., Sr. Unsec. Notes, 5.50%, 12/01/46(b)    Baa3/BBB+      1,496        1,597,019  
Enbridge Inc., Sub. Notes, (3M LIBOR +3.89%), 6.00%, 01/15/77(b),(c)    Ba2/BBB-      750        705,000  
Endeavor Energy Resources LP, Sr. Unsec. Notes, 5.50%, 01/30/26, 144A(b)    B3/BB-      89        86,330  
EnLink Midstream Partners LP, Jr. Sub. Notes, (3M LIBOR +4.11%), 6.00%, 12/15/22(b),(c),(d)    Ba3/BB      641        547,854  
Enterprise Products Operating LLC, Co. Gty., (3M LIBOR +2.57%), 5.375%, 02/15/78(b),(c)    Baa2/BBB-      342        311,763  
Exterran Energy Solutions LP, Co. Gty., 8.125%, 05/01/25(b)    NA/B+      214        225,770  
Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.19%, 11/01/24, 144A    Baa2/BBB      70        78,017  
Kinder Morgan, Inc., Co. Gty., 8.05%, 10/15/30    Baa3/BBB-      1,000        1,192,863  
Kinder Morgan, Inc., Co. Gty., 5.55%, 06/01/45(b)    Baa3/BBB-      1,755        1,766,643  
Marathon Petroleum Corp., Sr. Unsec. Notes, 4.75%, 09/15/44(b)    Baa2/BBB      1,266        1,204,492  
Marathon Petroleum Corp., Sr. Unsec. Notes, 5.85%, 12/15/45(b)    Baa2/BBB      500        529,328  
MPLX LP, Sr. Unsec. Notes, 5.20%, 03/01/47(b)    Baa3/BBB      641        636,913  
MPLX LP, Sr. Unsec. Notes, 4.90%, 04/15/58(b)    Baa3/BBB      561        498,319  
NGPL PipeCo PLC, Sr. Unsec. Notes, 7.768%, 12/15/37, 144A    Ba1/BB+      505        593,375  
Panhandle Eastern Pipe Line Co. LP, Sr. Unsec. Notes, 7.00%, 07/15/29    Baa3/BBB-      1,000        1,016,027  
Parkland Fuel Corp., Sr. Unsec. Notes, 6.00%, 04/01/26, 144A(b)    B1/BB-      225        221,625  
PBF Holding Co. LLC, Co. Gty., 7.25%, 06/15/25(b)    B1/BB      2,484        2,611,305  
Petroleos Mexicanos, Co. Gty., 8.00%, 05/03/19    Baa3/BBB+      250        259,158  
Petroleos Mexicanos, Co. Gty., 6.00%, 03/05/20    Baa3/BBB+      478        493,535  
Petroleos Mexicanos, Co. Gty., 6.75%, 09/21/47    Baa3/BBB+      1,415        1,334,203  
Sabal Trail Transmission LLC, Sr. Unsec. Notes, 4.246%, 05/01/28, 144A(b)    Baa1/NA      589        593,025  
Spectra Energy Partners LP, Sr. Unsec. Notes, 3.375%, 10/15/26(b)    Baa2/BBB+      803        739,818  
Sunoco LP, Co. Gty., 5.50%, 02/15/26, 144A(b)    B1/BB-      700        663,250  
Valero Energy Corp., Co. Gty., 8.75%, 06/15/30    Baa2/BBB      1,000        1,326,843  
Valero Energy Corp., Sr. Unsec. Notes, 10.50%, 03/15/39    Baa2/BBB      500        811,146  
Williams Partners LP, Sr. Unsec. Notes, 4.30%, 03/04/24(b)    Baa3/BBB      1,075        1,078,846  
        

 

 

 
           25,537,199  
        

 

 

 
FOOD AND BEVERAGE (1.98%)         
Anheuser-Busch InBev Finance, Inc., Co. Gty., 4.70%, 02/01/36(b)    A3/A-      645        653,738  
Anheuser-Busch InBev Finance, Inc., Co. Gty., 4.90%, 02/01/46(b)    A3/A-      256        263,265  
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.20%, 01/15/39    A3/A-      27        38,600  
Bacardi, Ltd., Co. Gty., 5.30%, 05/15/48, 144A(b)    Ba1/BBB-      1,645        1,559,022  
Campbell Soup Co., Sr. Unsec. Notes, 4.15%, 03/15/28(b)    Baa2/BBB      551        524,662  
General Mills, Inc., Sr. Unsec. Notes, 3.20%, 04/16/21    Baa2/BBB      220        218,859  
Grupo Bimbo SAB de CV, Sub. Notes, (H15T5Y +3.280%), 5.95%, 07/17/67, 144A(b),(c),(d)    Ba1/BB+      1,020        1,007,250  
        

 

 

 
           4,265,396  
        

 

 

 
GAMING, LODGING & LEISURE (0.96%)         
Wyndham Destinations, Inc., Sr. Unsec. Notes, 4.50%, 04/01/27(b)    Ba2/BB-      2,140        2,081,150  
        

 

 

 
HEALTHCARE (0.65%)         
CVS Health Corp., Sr. Unsec. Notes, 4.78%, 03/25/38(b)    Baa1/BBB      916        900,952  
Mylan NV, Co. Gty., 3.95%, 06/15/26(b)    Baa3/BBB-      397        379,133  

 

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


SCHEDULE OF INVESTMENTS  (Unaudited) — continued   

 

    

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

   Principal
Amount (000’s)
     Value
(Note 1)
 
CORPORATE DEBT SECURITIES (Continued)         
HEALTHCARE (Continued)         
Valeant Pharmaceuticals International, Inc., Sr. Sec. Notes, 5.50%, 11/01/25, 144A(b)    Ba3/BB-    $ 132       $         130,086  
        

 

 

 
                    1,410,171  
        

 

 

 
INDUSTRIAL (1.58%)         
Cleveland-Cliffs, Inc., Sr. Sec. Notes, 4.875%, 01/15/24, 144A(b)    Ba3/BB-      366        353,190  
General Dynamics Corp. Co. Gty., 2.875%, 05/11/20    A2/A+      1,217        1,215,677  
Heathrow Funding, Ltd., Sr. Sec. Notes, 4.875%, 07/15/23, 144A    NA/A-      200        209,034  
Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.75%, 06/01/29    Baa1/BBB      500        639,605  
Sydney Airport Finance Co. Property, Ltd., Sr. Sec. Notes, 3.375%, 04/30/25, 144A(b)    Baa1/BBB+      400        382,630  
United Technologies Corp., Sr. Unsec. Notes, 3.75%, 11/01/46(b)    A3/A-      700        612,831  
        

 

 

 
           3,412,967  
        

 

 

 
INSURANCE (10.39%)         
Allstate Corp., Jr. Sub. Notes, (3M LIBOR +2.12%), 6.50%, 05/15/67(b),(c)    Baa1/BBB      2,200        2,453,000  

American International Group, Inc., Jr. Sub. Notes, (3M LIBOR +4.195%), 8.175%,

05/15/68(b),(c)

   Baa2/BBB-      2,500        3,150,000  
Farmers Exchange Capital, Sub. Notes, 7.20%, 07/15/48, 144A    Baa2/BBB+      2,250        2,731,367  
Guardian Life Insurance Co. of America, Sub. Notes, 4.85%, 01/24/77, 144A    A1/AA-      148        144,274  
Liberty Mutual Group, Inc., Co. Gty., (3M LIBOR +2.905%), 5.246%, 03/07/67, 144A(b),(c)    Baa3/BB+      1,530        1,491,750  
Liberty Mutual Group, Inc., Co. Gty., 7.00%, 03/15/34, 144A    Baa2/BBB      250        306,768  
Liberty Mutual Group, Inc., Co. Gty., (3M LIBOR +7.12%), 10.75%, 06/15/88, 144A(b),(c)    Baa3/BB+      1,000        1,490,000  
Lincoln National Corp., Sr. Unsec. Notes, 3.80%, 03/01/28(b)    Baa1/A-      250        238,882  
Massachusetts Mutual Life Insurance Co., Sub. Notes, 4.90%, 04/01/77, 144A    NA/AA-      980        966,392  
Massachusetts Mutual Life Insurance Co., Sub. Notes, 8.875%, 06/01/39, 144A    A1/AA-      151        236,371  
MetLife, Inc., Jr. Sub. Notes, 9.25%, 04/08/68, 144A(b)    Baa2/BBB      500        677,500  
MetLife, Inc., Jr. Sub. Notes, 6.40%, 12/15/66(b)    Baa2/BBB      637        675,220  
MetLife, Inc., Jr. Sub. Notes, 10.75%, 08/01/69(b)    Baa2/BBB      1,000        1,540,000  
Nationwide Mutual Insurance Co., Sub. Notes, 8.25%, 12/01/31, 144A    A3/A-      500        686,419  
Nationwide Mutual Insurance Co., Sub. Notes, 9.375%, 08/15/39, 144A    A3/A-      215        336,650  
New York Life Insurance Co., Sub. Notes, 6.75%, 11/15/39, 144A    Aa2/AA-      103        136,595  
Pricoa Global Funding, Inc., Sec. Notes, 2.45%, 09/21/22, 144A    A1/AA-      608        583,247  
Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR +3.04%), 5.20%, 03/15/44(b),(c)    Baa2/BBB+      2,500        2,490,625  
SAFG Retirement Services, Inc., Sr. Unsec. Notes, 8.125%, 04/28/23    Baa1/BBB+      1,800        2,091,607  
        

 

 

 
           22,426,667  
        

 

 

 
MEDIA (8.00%)         
21st Century Fox America, Inc., Co. Gty., 7.90%, 12/01/95    Baa1/BBB+      1,400        1,970,563  
Altice France SA, Sr. Sec. Notes, 6.25%, 05/15/24, 144A(b)    B1/B      1,780        1,728,825  
Comcast Corp., Co. Gty., 7.05%, 03/15/33    A3/A-      2,000        2,485,295  
Cox Communications, Inc., Sr. Unsec. Notes, 6.80%, 08/01/28    Baa2/BBB      1,500        1,682,890  
Cox Enterprises, Inc., Sr. Unsec. Notes, 7.375%, 07/15/27, 144A    Baa2/BBB-      500        588,727  
Discovery Communications LLC, Co. Gty., 5.00%, 09/20/37(b)    Baa3/BBB-      374        360,106  
Grupo Televisa SAB, Sr. Unsec. Notes, 5.00%, 05/13/45(b)    Baa1/BBB+      557        489,681  
Grupo Televisa SAB, Sr. Unsec. Notes, 6.625%, 01/15/40    Baa1/BBB+      159        172,038  
RELX, Inc., Sr. Unsec. Notes, 8.875%, 06/01/22    WR/BBB+      2,000        2,287,028  
Sirius XM Radio, Inc., Co. Gty., 5.00%, 08/01/27, 144A(b)    Ba3/BB      518        484,978  
Time Warner Entertainment Co. LP, Sr. Sec. Notes, 8.375%, 07/15/33    Ba1/BBB-      1,360        1,679,103  

 

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


SCHEDULE OF INVESTMENTS  (Unaudited) — continued   

 

    

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

   Principal
Amount (000’s)
     Value
(Note 1)
 
CORPORATE DEBT SECURITIES (Continued)         
MEDIA (Continued)         
Viacom, Inc., Sr. Unsec. Notes, 6.875%, 04/30/36    Baa3/BBB-    $ 894       $ 965,979  
VTR Finance BV, Sr. Sec. Notes, 6.875%, 01/15/24, 144A(b)    B1/B+      2,375        2,386,163  
        

 

 

 
           17,281,376  
        

 

 

 
MINING (2.59%)         

BHP Billiton Finance USA, Ltd. Co. Gty., (5Yr Swap +5.093%), 6.75%, 10/19/75,

144A(b),(c)

   Baa2/BBB+      1,991        2,159,240  
Ferroglobe PLC, Co. Gty., 9.375%, 03/01/22, 144A(b)    B3/NA      652        674,820  
First Quantum Minerals, Ltd., Co. Gty., 7.25%, 04/01/23, 144A(b)    B3/B      538        538,000  
Teck Resources, Ltd., Co. Gty., 6.00%, 08/15/40(b)    Ba2/BB+      1,000        972,500  
Teck Resources, Ltd., Co. Gty., 5.20%, 03/01/42(b)    Ba2/BB+      1,415        1,239,894  
        

 

 

 
           5,584,454  
        

 

 

 
PAPER (1.71%)         
Smurfit Kappa Treasury Funding, Ltd., Co. Gty., 7.50%, 11/20/25    Ba1/BB+      2,000        2,365,000  
WestRock LLC, Co. Gty., 8.20%, 01/15/30    Baa2/BBB      1,000        1,322,255  
        

 

 

 
           3,687,255  
        

 

 

 
TECHNOLOGY (1.52%)         
j2 Cloud Services LLC, Co. Gty., 6.00%, 07/15/25, 144A(b)    Ba3/BB      564        571,050  
NXP Funding LLC, Co. Gty., 3.875%, 09/01/22, 144A    Ba1/BBB-      2,213        2,174,273  
Pitney Bowes, Inc., Sr. Unsec. Notes, 4.375%, 05/15/22(b),(f)    Ba1/BB+      591        535,795  
        

 

 

 
           3,281,118  
        

 

 

 
TELECOMMUNICATIONS (5.90%)         
Altice Financing SA, Sr. Sec. Notes, 6.625%, 02/15/23, 144A(b)    B1/B+      200        197,100  
AT&T, Inc., Sr. Unsec. Notes, 4.50%, 05/15/35(b)    Baa2/BBB      1,750        1,618,652  
AT&T, Inc., Sr. Unsec. Notes, 4.75%, 05/15/46(b)    Baa2/BBB      425        379,643  
Centel Capital Corp., Co. Gty., 9.00%, 10/15/19    Ba2/BBB-      1,000        1,055,000  
Deutsche Telekom International Finance BV, Co. Gty., 8.75%, 06/15/30    Baa1/BBB+      2,000        2,650,431  
Frontier Communications Corp., Sr. Unsec. Notes, 8.125%, 10/01/18    Caa1/B-      500        502,500  
Sprint Capital Corp., Co. Gty., 6.875%, 11/15/28    B3/B      500        478,750  
Sprint Capital Corp., Co. Gty., 8.75%, 03/15/32    B3/B      1,000        1,070,000  
Sprint Spectrum Co. LLC, Sr. Unsec. Notes, 4.738%, 09/20/29, 144A    Baa2/NA      1,100        1,091,530  
Tencent Holdings, Ltd., Sr. Unsec. Notes, 3.595%, 01/19/28, 144A(b)    A1/A+      1,954        1,848,523  
Verizon Communications, Inc., Sr. Unsec. Notes, 4.812%, 03/15/39    Baa1/BBB+      1,898        1,835,281  
        

 

 

 
                   12,727,410  
        

 

 

 
TRANSPORTATION (4.66%)         
American Airlines, Pass Through Certs., Series 2013-2, Class B, 5.60%, 01/15/22, 144A    NA/BBB-      1,674        1,708,636  
American Airlines, Pass Through Certs., Series 2017-1, Class AA, 3.65%, 08/15/30    Aa3/NA      1,059        1,030,047  
American Airlines, Pass Through Certs., Series 2017-2, Class AA, 3.35%, 04/15/31    Aa3/NA      1,587        1,531,127  
BNSF Funding Trust I, Co. Gty., (3M LIBOR +2.35%), 6.613%, 12/15/55(b),(c)    Baa2/A      250        275,000  
British Airways, Pass Through Certs., Series 2013-1, Class B, 5.625%, 12/20/21, 144A    A3/A-      633        645,370  
Continental Airlines, Pass Through Certs., Series 1999-1, Class B, 6.795%, 02/02/20    Ba1/A-      23        22,849  
Continental Airlines, Pass Through Certs., Series 2000-1, Class A1, 8.048%, 05/01/22    Baa1/A      285        300,964  
Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 10/02/22    Baa1/BBB+      251        268,280  
ERAC USA Finance LLC, Co. Gty., 7.00%, 10/15/37, 144A    Baa1/A-      1,500        1,874,550  
JSL Europe SA, Co. Gty., 7.75%, 07/26/24, 144A(b)    NA/BB-      713        641,700  

 

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


SCHEDULE OF INVESTMENTS  (Unaudited) — continued   

 

    

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

   Principal
Amount (000’s)
     Value
(Note 1)
 
CORPORATE DEBT SECURITIES (Continued)         
TRANSPORTATION (Continued)         
Union Pacific Corp., Sr. Unsec. Notes, 4.50%, 09/10/48(b)    Baa1/A-    $ 503       $ 511,321  
United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%, 02/15/23    NA/BBB      340        346,378  
United Airlines, Pass Through Certs., Series 2018-1, Class B, 4.60%, 09/01/27    Baa2/NA      901        905,470  
        

 

 

 
           10,061,692  
        

 

 

 
UTILITIES (7.10%)         
Black Hills Corp., Sr. Unsec. Notes, 3.95%, 01/15/26(b)    Baa2/BBB      1,082        1,070,076  
Cleveland Electric Illuminating Co., Sr. Unsec. Notes, 3.50%, 04/01/28, 144A(b)    Baa3/BBB-      800        758,677  
Duquesne Light Holdings, Inc., Sr. Unsec. Notes, 6.40%, 09/15/20, 144A    Baa3/BBB-      1,000        1,057,007  
Enel Finance International NV, Co. Gty., 2.75%, 04/06/23, 144A    Baa2/BBB+      1,082        1,006,905  
Exelon Corp., Sr. Unsec. Notes, 3.40%, 04/15/26(b)    Baa2/BBB-      505        479,634  
FirstEnergy Corp., Sr. Unsec. Notes, 4.85%, 07/15/47(b)    Baa3/BB+      1,570        1,605,286  
Hydro-Quebec, 8.25%, 04/15/26    Aa2/AA-      1,550        2,008,326  
Kansas City Power & Light Co., Sr. Unsec. Notes, 4.20%, 06/15/47(b)    Baa1/A-      917        901,471  
MidAmerican Funding LLC, Sr. Sec. Notes, 6.927%, 03/01/29    A2/A-      500        618,989  
NiSource, Inc., Jr. Sub. Notes, (H15T5Y +2.843%), 5.65%, 12/15/66, 144A(b),(c),(d)    Ba1/BBB-      696        690,780  
Ohio Power Co., Sr. Unsec. Notes, 5.375%, 10/01/21    A2/A-      1,000        1,065,051  
Southern Co. Gas Capital Corp., Co. Gty., 5.875%, 03/15/41(b)    Baa1/A-      992        1,152,593  
Southern Co. Gas Capital Corp., Co. Gty., 3.95%, 10/01/46(b)    Baa1/A-      539        495,658  
Southern Co. Gas Capital Corp., Co. Gty., 4.40%, 05/30/47(b)    Baa1/A-      1,164        1,151,547  
Toledo Edison Co., 7.25%, 05/01/20    Baa1/BBB+      80        85,368  
Transelec SA, Sr. Unsec. Notes, 4.25%, 01/14/25, 144A(b)    Baa1/BBB      750        729,570  
Transelec SA, Sr. Unsec. Notes, 3.875%, 01/12/29, 144A(b)    Baa1/BBB      490        447,375  
        

 

 

 
           15,324,313  
        

 

 

 
TOTAL CORPORATE DEBT SECURITIES (Cost of $153,999,568)                    162,228,918  
        

 

 

 
ASSET BACKED SECURITIES (11.32%)         

Antares Ltd., Series 2017-1A, Class C, (3M LIBOR +3.10%), 5.459%, 07/20/28,

144A(b),(e)

   NR/A      1,093        1,101,598  

Arbor Realty Collateralized Loan Obligation, Ltd., Series 2017-FL3, Class A,

(1M LIBOR +0.99%), 3.063%, 12/15/27, 144A(b),(e)

   Aaa/NA      759        760,139  

Arbor Realty Commercial Real Estate Notes, Ltd., Series 2017-FL2, Class A,

(1M LIBOR +0.99%), 3.063%, 08/15/27, 144A(b),(e)

   Aaa/NA      623        623,935  
AVIS Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, 12/20/21, 144A(b)    Aaa/NA      1,605        1,585,128  
BCC Funding LLC, Series 2018-1A, Class A2, 2.96%, 06/20/23, 144A(b)    Aa2/NA      656        653,549  
CLI Funding LLC, Series 2018-1A, Class A, 4.03%, 04/18/43, 144A(b)    NA/A      164        164,670  
CPS Auto Receivables Trust, Series 2015-C, Class B, 2.55%, 02/18/20, 144A(b)    NA/AAA      223        222,898  
DB Master Finance LLC, Series 2017-1A, Class A2I, 3.629%, 11/20/47, 144A(b)    NA/BBB      334        328,306  
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 06/25/40, 144A(b)    Aaa/NA      340        335,777  
DRB Prime Student Loan Trust, Series 2017-A, Class A2B, 2.85%, 05/27/42, 144A(b)    Aaa/NA      2,130        2,084,440  
Drive Auto Receivables Trust, Series 2016-CA, Class B, 2.37%, 11/16/20, 144A(b)    Aaa/AAA      270        269,925  
DT Auto Owner Trust, Series 2018-2A, Class C, 3.67%, 03/15/24, 144A(b)    NA/A      781        780,495  
Golub Capital Partners Ltd., Series 2017-19RA, Class B, (3M LIBOR +2.55%), 4.912%, 07/26/29, 144A(b),(e)    A2/NA      1,935        1,941,202  

 

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


SCHEDULE OF INVESTMENTS  (Unaudited) — continued   

 

    

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

   Principal
Amount (000’s)
     Value
(Note 1)
 
ASSET BACKED SECURITIES (Continued)         
Golub Capital Partners Ltd., Series 2018-36A, Class C, (3M LIBOR +2.10%), 4.189%, 02/05/31, 144A(b),(e)    NA/A    $ 2,250       $ 2,209,167  
IVY Hill Middle Market Credit Fund Ltd., Series 12A, Class B, (3M LIBOR +3.00%), 5.359%, 07/20/29, 144A(b),(e)    A3/NR      866        868,549  
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, (1M LIBOR +1.13%), 3.203%, 05/15/28, 144A(b),(e)    Aaa/NA      500        500,153  
Navient Private Education Loan Trust, Series 2017-A, Class A2B, (1M LIBOR+0.900%), 2.973%, 12/16/58, 144A(b),(e)    NA/AAA      782        789,729  
NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2, 2.54%, 04/18/22, 144A(b)    Aaa/AAA      1,460        1,442,491  
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%, 03/25/37(b),(f)    Ca/AA      34        31,608  
SCF Equipment Leasing LLC, Series 2017-2A, Class A, 3.41%, 12/20/23, 144A(b)    A2/NA      477        472,396  
Small Business Administration Participation Certificates, Series 2010-20F, Class 1, 3.88%, 06/01/30    Aaa/AA+      120        123,081  
SMB Private Education Loan Trust, Series 2017-B, Class A2B, (1M LIBOR+0.750%), 2.823%, 10/15/35, 144A(b),(e)    Aaa/AAA      845        847,512  
Sofi Consumer Loan Program LLC, Series 2017-3, Class A, 2.77%, 05/25/26, 144A(b)    NA/AA      1,149        1,139,476  
Sofi Consumer Loan Program Trust, Series 2018-1, Class B, 3.65%, 02/25/27, 144A(b)    NA/A      793        786,381  
Sofi Professional Loan Program Ltd., Series 2017-C, Class B, 3.56%, 07/25/40, 144A(b),(e)    NA/A+      1,099        1,052,566  
Spirit Master Funding LLC, Series 2014-2A, Class A, 5.76%, 03/20/41, 144A(b)    NA/A+      1,534        1,573,449  
Textainer Marine Containers Ltd., Series 2017-1A, Class A, 3.72%, 05/20/42, 144A(b)    NA/A      635        631,448  
Triton Container Finance LLC, Series 2017-2A, Class A, 3.62%, 08/20/42, 144A(b)    NA/A      1,143        1,122,592  
        

 

 

 
TOTAL ASSET BACKED SECURITIES (Cost of $24,659,830)                    24,442,660  
        

 

 

 
COMMERCIAL MORTGAGE-BACKED SECURITIES (3.98%)         
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class A, (1M LIBOR +1.10%), 3.174%, 07/15/30, 144A(e)    NA/AAA      127        126,770  
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.635%, 05/10/35, 144A(e)    Baa1/NA      2,000        1,951,909  
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class C, 4.429%, 12/10/49(b),(e)    NR/NA      367        357,303  
FREMF Mortgage Trust, Series 2015-K44, Class B, 3.81%, 01/25/48, 144A(b),(e)    Aaa/AA+      535        525,870  
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.714%, 04/25/48, 144A(b),(e)    Aaa/AA+      1,270        1,235,078  

LMREC, Inc., Series 2015-CRE1, Class AR, (1M LIBOR +0.98%), 3.082%, 02/22/32,

144A(b),(e)

   Aaa/NA      950        949,998  

LMREC, Inc., Series 2016-CRE2, Class A, (1M LIBOR +1.70%), 3.784%, 11/24/31,

144A(b),(e)

   Aaa/NA      689        692,445  
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class C, 4.43%, 10/15/30, 144A(e)    NA/A+      2,710        2,660,083  
MSDB Trust, Series 2017-712F, Class C, 3.749%, 07/11/39, 144A(e)    NA/A-      82        78,014  
        

 

 

 
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $8,635,637)            8,577,470  
        

 

 

 
RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.22%)         
FHLMC Pool # A15675, 6.00%, 11/01/33    Aaa/AA+      89        98,346  
FHLMC Pool # G00182, 9.00%, 09/01/22(g)    Aaa/AA+             91  
FNMA Pool # 754791, 6.50%, 12/01/33    Aaa/AA+      226        248,795  

 

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


SCHEDULE OF INVESTMENTS  (Unaudited) — continued   

 

    

    Moody’s/ 
    Standard & 

    Poor’s Rating(a) 

   Principal
Amount (000’s)
     Value
(Note 1)
 
RESIDENTIAL MORTGAGE-BACKED SECURITIES (Continued)         
FNMA Pool # 763852, 5.50%, 02/01/34    Aaa/AA+    $ 105      $ 114,001  
GNSF Pool # 194228, 9.50%, 11/15/20    Aaa/AA+      4        3,752  
GNSF Pool # 307527, 9.00%, 06/15/21    Aaa/AA+      5        5,317  
GNSF Pool # 417239, 7.00%, 02/15/26    Aaa/AA+      6        6,534  
GNSF Pool # 780374, 7.50%, 12/15/23    Aaa/AA+      3        3,288  
        

 

 

 
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $404,971)            480,124  
        

 

 

 
MUNICIPAL BONDS (1.21%)         
Municipal Electric Authority of Georgia, Build America Bonds-Taxable-Plant Vogle Units 3&4, Series J, Revenue Bond, 6.637%, 04/01/57    NA/A+      175        221,268  
San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.00%, 11/01/40    NA/AA-      145        181,787  
State of California, Build America Bonds, GO, 7.625%, 03/01/40    Aa3/AA-      1,500        2,212,260  
        

 

 

 
TOTAL MUNICIPAL BONDS (Cost of $1,856,098)            2,615,315  
        

 

 

 
U.S. TREASURY SECURITIES (5.46%)         
United States Treasury Bill, 1.77%, 07/05/18 (h)    Aaa/AA+      3,250        3,249,550  
United States Treasury Note, 7.125%, 02/15/23    Aaa/AA+      149        177,774  
United States Treasury Note, 2.25%, 07/31/18    Aaa/AA+      5,350        5,351,810  
United States Treasury Note, 2.75%, 04/30/23    Aaa/AA+      380        380,371  
United States Treasury Note, 2.75%, 05/31/23    Aaa/AA+      1,236        1,237,745  
United States Treasury Note, 2.875%, 04/30/25    Aaa/AA+      463        464,608  
United States Treasury Note, 2.75%, 02/15/28    Aaa/AA+      779        772,336  
United States Treasury Note, 2.875%, 05/15/28    Aaa/AA+      148        148,595  
        

 

 

 
TOTAL U.S. TREASURY SECURITIES (Cost of $11,771,493)            11,782,789  
        

 

 

 
          Shares         
COMMON STOCK (0.00%)         
MEDIA (0.00%)         
Quad/Graphics, Inc.         89        1,854  
        

 

 

 
Total COMMON STOCK (Cost of $2,044)            1,854  
        

 

 

 
PREFERRED STOCK (1.25%)         
CoBank ACB, Series F, 6.250%, (3M LIBOR +4.557%) (b),(c)         20,000        2,122,500  
US BANCORP, Series A, 3.500%, (3M LIBOR +1.02%) (b),(e)         615        574,441  
        

 

 

 
TOTAL PREFERRED STOCK (Cost of $2,521,650)            2,696,941  
        

 

 

 
TOTAL INVESTMENTS (98.59%)         
(Cost $203,851,291)            212,826,071  
        

 

 

 
OTHER ASSETS AND LIABILITIES (1.41%)            3,037,913  
        

 

 

 
NET ASSETS (100.00%)           $     215,863,984  
        

 

 

 

At June 30, 2018, the Fund had the following open futures contracts:

 

Long Futures Outstanding    Expiration
Month
             Number of
Contracts
     Notional
Amount
    Value     Unrealized
Appreciation
(Depreciation)
 

U.S. Treasury Ultra 10-Year Notes

     09/18                    3      $ 379,945     $ 384,703      $ 4,758  

U.S. Treasury Ultra Bonds

     09/18           23                3,666,188               3,669,938                   3,750  
               

 

 

 
                  8,508  
               

 

 

 

Short Futures Outstanding

               

U.S. Treasury 5-Year Notes

     09/18           25        (2,849,352     (2,840,430     (8,922

U.S. Treasury 10-Year Notes

     09/18           25        (3,022,071     (3,004,688     (17,383

U.S. Treasury Long Bonds

     09/18           18        (2,647,828     (2,610,000     (37,828
               

 

 

 
                  (64,133
               

 

 

 

Net unrealized depreciation on open futures contracts

 

              $ (55,625
            

 

 

 

 

(a)

Ratings for debt securities are unaudited. All ratings are as of June 30, 2018 and may have changed subsequently.

 

(b)

This security is callable.

 

(c)

Fixed to floating rate security. Fixed rate indicated is rate effective at June 30, 2018. Security will convert at a future date to a floating rate of reference rate and spread in the description above.

 

(d)

Security is perpetual. Date shown is next call date.

 

(e)

Variable rate security. Rate indicated is rate effective at June 30, 2018.

 

(f)

Multi-Step Coupon. Rate disclosed is as of June 30, 2018.

 

(g)

Principal amount less than $1,000.

 

(h) 

Denotes a security issued at a discount from its value at maturity. The rate indicated represents the yield to maturity at purchase.

 

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, 2018, these securities amounted to $80,640,877 or 37.36% of net assets.

 

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


SCHEDULE OF INVESTMENTS  (Unaudited) - continued   

 

Legend

Certs. - Certificates

Co. Gty. - Company Guaranty

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

H15T5Y – US Treasury Yield Curve Rate T Note Constant Maturity 5 Year

Jr. - Junior

LIBOR - London Interbank Offered Rate

LLC - Limited Liability Company

LP - Limited Partnership

Ltd. - Limited

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, 2018

(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 of Trustees (“Board”) and unaffiliated with the Cutwater Investor Service Corp. (the “Adviser”) - and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. As part of an internal reorganization, the Adviser merged into its affiliate, Insight North America LLC (“INA”), on July 2, 2018. Effective July 2, 2018, the Fund’s investment management agreement is now contracted with INA. The Bank of New York Mellon Corporation remains INA’s ultimate parent company. Historically, the Adviser and INA have operated under the same brand for some time and this merger is not expected to have any material impact on the day-to-day management of the Fund. This reorganization has not resulted in a change of control of the Adviser under the Investment Advisers Act of 1940, as amended, and the rules thereunder.

In the event that market quotations are not readily available, or when such quotations are deemed not to reflect current market value, the securities will be valued at their respective fair value as determined in good faith by the Adviser pursuant to certain procedures and reporting requirements established by the Board. The Adviser considers all relevant facts that are reasonably available when determining the fair value of a security, including but not limited to the last sale price or initial purchase price (if a when issued security) and subsequently adjusting the value based on changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves are utilized. At June 30, 2018, 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, 2018.


INSIGHT SELECT INCOME FUND

Notes to the Quarterly Schedule of Investments

June 30, 2018 (concluded)

(Unaudited)

 

      Total Market
Value at
06/30/18
   

Level 1
Quoted

Price

   

Level 2
Significant

Observable
Inputs

    

Level 3
Significant

Unobservable
Inputs

 

ASSETS:

 

                                 

CORPORATE DEBT SECURITIES

   $ 162,228,918     $     $ 162,228,918      $           —  

ASSET BACKED SECURITIES

     24,442,660             24,442,660         

COMMERCIAL MORTGAGE-BACKED SECURITIES

     8,577,470             8,577,470         

RESIDENTIAL MORTGAGE-BACKED SECURITIES

     480,124             480,124         

MUNICIPAL BONDS

     2,615,315             2,615,315         

U.S. TREASURY SECURITIES

     11,782,789             11,782,789         

COMMON STOCK

     1,854       1,854               

PREFERRED STOCK

     2,696,941       2,696,941               

FUTURES CONTRACTS

     8,508       8,508               

TOTAL ASSETS

   $   212,834,579     $     2,707,303     $ 210,127,276      $  

LIABILITIES:

                                 

FUTURES CONTRACTS

   $ (64,133   $ (64,133   $      $  

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, 2018, 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, 2018, 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                                       8/24/2018                                                                                                           

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                                       8/24/2018                                                                                                           

 

By (Signature and Title)*      /s/ Thomas E. Stabile                                                                                       

                                               Thomas E. Stabile, Treasurer

                                               (Principal Financial Officer)

  
  
Date                                       8/24/2018                                                                                                           

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