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/ |
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 | |||||||
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|
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3,617,191 | ||||||||||
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|
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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 | |||||||
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|
|||||||||
3,931,229 | ||||||||||
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|
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COMMERCIAL SERVICES (0.25%) | ||||||||||
Global Partners LP, Co. Gty., Class Global Partners LP, 6.25%, 07/15/22(b) | B2/B+ | 555 | 538,350 | |||||||
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|
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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/ |
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 | ||||||||||
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|
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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 | ||||||||||
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|
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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 | |||||||
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4,265,396 | ||||||||||
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GAMING, LODGING & LEISURE (0.96%) | ||||||||||
Wyndham Destinations, Inc., Sr. Unsec. Notes, 4.50%, 04/01/27(b) | Ba2/BB- | 2,140 | 2,081,150 | |||||||
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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/ |
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 | |||||
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1,410,171 | ||||||||||
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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 | |||||||
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3,412,967 | ||||||||||
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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 | |||||||
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22,426,667 | ||||||||||
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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/ |
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 | |||||||
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17,281,376 | ||||||||||
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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 | |||||||
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5,584,454 | ||||||||||
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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 | |||||||
|
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3,687,255 | ||||||||||
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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 | ||||||||||
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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 | |||||||
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12,727,410 | ||||||||||
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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/ |
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/ |
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/ 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 Price |
Level 2 Observable |
Level 3 Unobservable |
|||||||||||||
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) |
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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) |
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Date 8/24/2018 |
* Print the name and title of each signing officer under his or her signature.