Edgar Filing: DNP SELECT INCOME FUND INC

Dear Fellow Shareholders:

Performance Review: During the third quarter of 2003, your Fund had a total
return (market price change plus income) of -0.9%, bringing year-to-date total
return to 13.2%. In comparison, the S&P Utilities Index had a total return of
-0.5% for the quarter and 16.9% year-to-date. A composite of the S&P Utilities
Index and the Lehman Utility Bond Index, reflecting the stock and bond ratio of
the Fund, had a total return of -0.5% for the third quarter and 15.0%
year-to-date.

On a longer-term basis, your Fund had a 3-year cumulative total return of
37.2%. In comparison, the S&P Utilities Index had a total return of -40.4% and
a composite of the S&P Utilities Index and the Lehman Utility Bond Index had a
total return of -28.4%.

During the third quarter of 2003, your Fund paid three monthly 6.5 cent
dividends. The 6.5 cent per share monthly rate, without compounding, would be
78 cents annualized, or a 7.38% common stock dividend yield based on the
September 30, 2003 closing price of $10.57 per share. That yield compares
favorably with the quarter-end yields of 3.89% on the Dow Jones Utility Index
and 3.95% on the S&P Utilities Index.

Who Turned Out the Lights? On August 14, 2003, a cascade of electric
transmission line failures and successive power plant shutdowns led to a
blackout covering approximately 9,000 square miles and affecting 50 million
people in the Northeast quadrant of the United States and adjacent parts of
Canada. In the early days following the blackout, northern Ohio-based
FirstEnergy Corp. garnered the lion's share of headlines seeking to establish
blame. The outage sequence of events pointed to a voltage collapse on portions
of the transmission system connecting northern Ohio and Michigan. Rumors that
untrimmed tree limbs caused a short in the distribution network, together with
the well-publicized problems at the Davis-Besse nuclear plant, made FirstEnergy
an easy target.

Subsequent analysis, however, has shown that the transmission system had been
unstable in both southern Ohio and Indiana well before problems became evident
in northern Ohio. Furthermore, none of the individual concerns cited should
have been enough to cause a blackout of the magnitude experienced. A Joint
U.S./Canada Power Outage Task Force has been appointed to study the events at
hundreds of power plants and thousands of transmission lines, and review the
actions taken by individual utility companies and the operators of the
transmission system (the grid). Spencer Abraham, Secretary of Energy, has
promised to release a report laying out the causes of the blackout shortly, to
be followed immediately by public hearings.

An indication of the Task Force's conclusion can perhaps be found in a letter
recently sent to electric utilities by the North American Electric Reliability
Council (NERC). NERC, a Canadian-American group, was founded after the 1966
blackout that affected 30 million people in a somewhat similar

geographic area as this year's blackout, and was designed to set standards to
protect the reliability of the nation's electrical grid. The letter called for
quicker communication of problems on the grid and development of strategies to
deal with them.

It would not surprise us if a good portion of the cause of the blackout were
the result of communication problems. In many regions of the country,
transmission is owned by utilities but is controlled by Independent System
Operators (ISOs). These ISOs are independent third parties responsible for
maintaining secure operation of the open-access electrical transmission system
on a regional basis. The Joint Committee will need to determine whether the
system operators are communicating well with other regional system operators
and their constituent regional electric generators, and whether the regional
system operators have enough authority to take the most appropriate corrective
actions in a timely manner.

Another area of concern regarding the electrical system that the blackout
highlighted is the lack of investment in transmission. Until recently, the U.S.
electric power system consisted primarily of full-service utilities that
generated, transmitted, and distributed electricity to customers within their
immediate geographic areas. This was a hub-and-spoke system with the utility
generator at the center. The transmission system was linked to other hubs for
the purpose of emergency power sharing but was not designed to carry the vast
amounts of bulk power over long distances that is demanded in the current
environment. But without adequate incentives and with electric company
regulators wanting to keep electricity prices low, there has been little
incentive to invest in "wires."

According to a 2001 Edison Electric Institute (EEI) study, the nation's
transmission infrastructure grew by just 0.5% annually during the 1990s, while
peak electric demand grew by 2.5% per year. Transmission capacity relative to
peak demand dropped by 17% during the decade and is projected to decline by
another 12% over the next decade. The EEI report estimated that $56 billion of
investment in the transmission network would be necessary just to bring the
system back to historical levels relative to demand.

Even prior to the blackout, the Federal Energy Regulatory Commission (FERC)
recognized the need to increase the investment incentives for transmission
infrastructure. FERC has supported higher returns on investment in transmission
and recently allowed a 12.9% return on equity--a very good return in the
current low interest rate environment. Incentive based rates for transmission
investment and reliability may ultimately arise at both the state and federal
level.

One of the greatest drawbacks for transmission investment has been the siting
of transmission facilities. "Not in My Back Yard" concerns have been one of the
primary hindrances to transmission construction in heavily populated, high
electric demand areas. Pending energy legislation contains provisions that
support regional approaches to transmission siting. Interestingly, the natural
gas

industry has been able to use eminent domain to site pipelines, with the FERC
having most of the jurisdiction over the process. A similar process for
electric transmission siting could accelerate construction.

The U.S. is not alone. In eerie sequence, other countries suffered
blackouts--each due to some sort of grid failure--within weeks of ours. In late
August, a 34-minute power outage affecting 500,000 people occurred in parts of
southern London and contiguous areas. The interruption was caused by an
extremely rare double fault on the national grid system. In mid-September,
Denmark and Sweden were hit by a power outage that affected about 4 million
customers and was blamed on a faulty transmission line between the two
countries. At the end of September, it is believed that a tree fell on a major
power line connecting Italy to Swiss power stations, leaving 55 million
Italians in the dark.

Countries, and regions within countries, have become ever more dependent on the
successful operation and coordination of their electric grid systems. It is
likely that greater investment in maintenance and expansion of these grids will
be required to keep the electric power systems highly reliable.

Natural Gas Supply: A pre-blackout issue that gained significant attention last
summer was the availability of natural gas in the U.S. Last winter's heating
season ended with historically low stocks of gas in storage. As a measure of
public concern, Alan Greenspan, who in his testimony to Congress traditionally
confines his remarks to monetary and fiscal policy, highlighted the potential
for disruptions in the natural gas market in his June testimony before the
House Energy and Commerce Committee.

The U.S. produces more than 80% of the natural gas it consumes, with the
balance being imported primarily from Canada. There is an abundance of natural
gas across the globe, but it has traditionally been a "local" commodity,
transported by an infrastructure of pipelines. For several years, the
conventional domestic supply sources of natural gas--the shallow water of the
Gulf of Mexico, on-shore wells in the South and Southwest, and Canadian
sources--have been experiencing production declines and are being drained more
quickly than in the past.

While the supply of natural gas has become somewhat constrained, demand has
been growing steadily because gas is a "clean" and cost-competitive fuel. New
technology has made gas-fired electric generation very efficient, resulting in
virtually all newly installed power plants being gas fired. Industrial demand
increased during the long economic expansion of the 1990s and residential
demand has risen as homeowners favor natural gas furnaces over oil and electric
furnaces.

What is the outlook for natural gas supply and pricing over the coming winter
and the longer term? The shorter term is somewhat easier to judge. From a
demand perspective, the mild summer reduced

residential and commercial demand, and industrial demand reflected the
lackluster economy. Still, gas prices were relatively high, so more wells were
drilled, supporting gas supplies. As a result, storage was refilled to a level
consistent with the needs of a "normal" heating season. However, weather is
always a wild card, and if we have a cold winter, gas price increases are
likely.

Over the longer term, we believe the laws of supply and demand still apply to
natural gas. At higher prices, there is demand destruction--people turn down
their thermostats in the winter and uneconomic industrial demand is curtailed.
However, higher prices also change the economics of supply, encouraging the
drilling of new wells. While drilling wells increases gas supply from existing
and new gas fields, technological advances also enable better utilization of
those sources and development of new sources of gas, such as liquified natural
gas (LNG), coalbed methane, and landfill gas. Overall, equilibrium prices will
likely be higher in the future, but the supply/demand imbalance will be
addressed.

Board of Directors Meeting: At the regular October Board of Directors' meeting,
the Board declared the following monthly dividend:

Cents Per Share Record Date Payable Date
--------------- ----------- ------------

6.5 November 28 December 10

As is customary, the Board will declare the December, January and February
dividends in mid-December.

Automatic Dividend Reinvestment Plan and Direct Deposit Service--The Fund has a
dividend reinvestment plan available as a benefit to all registered
shareholders. As long as the market price of the common stock of the Fund
exceeds or is equal to the net asset value per share, new shares for the
dividend reinvestment program are issued at the greater of either 95% of the
market price or net asset value. If the market price per share of common stock
is below the net asset value per share, shares are purchased in the open market
at prevailing market prices, plus any brokerage commissions paid by The Bank of
New York.

Those shareholders whose shares are held for them by a brokerage house or
nominee in "street-name" may not participate in the Fund's automatic dividend
reinvestment plan. For such shareholders desiring automatic dividend
reinvestment, we suggest you contact your broker or other nominee.

As an added service, without cost to the shareholder, the Fund offers direct
deposit service through electronic funds transfer to all registered
shareholders currently receiving a monthly dividend check. This service is
offered through The Bank of New York. For more information and/or an
authorization form on automatic dividend reinvestment or direct deposit, please
contact The Bank of New York (1-877-381-2537 or http://stock.bankofny.com).

Visit us on the Web--You can obtain the most recent shareholder financial
report and dividend information at our web site, http://www.dnpselectincome.com.

We appreciate your interest in DNP Select Income Fund Inc., and we will
continue to do our best to be of service to you.

/s/ Claire V. Hansen
/s/ Nathan I. Partain

Claire V. Hansen, CFA
Nathan I. Partain, CFA
Chairman
President and Chief
Executive Officer

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS
(UNAUDITED)
September 30, 2003

COMMON STOCKS--82.0%

Market
Value
Shares Company (Note 1)
--------- ------- ------------

[_] ELECTRIC--46.6%

1,000,000 Allete Inc..................................... $ 27,380,000
1,001,000 Ameren Corp.................................... 42,952,910
800,000 Cinergy Corp................................... 29,360,000
1,000,000 Consolidated Edison Inc........................ 40,760,000
796,000 Dominion Resources Inc......................... 49,272,400
2,000,000 DQE Inc........................................ 30,880,000
1,000,000 DTE Energy Co.................................. 36,890,000
1,100,000 Energy East Corp............................... 24,673,000
1,000,000 Exelon Corp.................................... 63,500,000
2,000,000 FirstEnergy Corp............................... 63,800,000
600,000 FPL Group Inc.................................. 37,920,000
1,080,000 Iberdrola S.A. (Spain)......................... 18,173,984
215,000 National Grid Group PLC ADR.................... 7,024,050
770,000 National Grid Transco PLC (United Kingdom)..... 4,934,831
1,318,600 NSTAR.......................................... 62,633,500
1,375,000 Progress Energy Inc............................ 61,132,500
1,000,000 Public Service Enterprise Group Inc............ 42,000,000
850,000 Scottish & Southern Energy PLC (United Kingdom) 8,593,205
100,000 Scottish & Southern Energy PLC ADR............. 10,101,350
200,000 Scottish Power PLC ADR......................... 4,740,000
2,300,000 Southern Co.................................... 67,436,000
1,500,000 Vectren Corp................................... 35,430,000
------------
769,587,730

[_] GAS--7.6%

926,000 AGL Resources Inc.............................. 26,085,420
1,000,000 Keyspan Corp................................... 35,080,000
900,000 Peoples Energy Corp............................ 37,242,000
1,000,000 WGL Holdings Inc............................... 27,580,000
------------
125,987,420

The accompanying note is an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2003

Market
Value
Shares Company (Note 1)
--------- ------- ------------

[_] TELECOMMUNICATION--15.1%
1,000,000 Alltel Corp.......................... $ 46,340,000
1,730,000 BellSouth Corp....................... 40,966,400
1,250,000 Chunghwa Telecom Co. Ltd............. 17,512,500
1,637,230 SBC Communications Inc............... 36,428,368
856,250 Telecom Corp. of New Zealand Ltd. ADR 20,909,625
560,000 Telefonica S.A. ADR.................. 19,852,000
1,068,400 Telstra Corp. Ltd. ADR............... 17,254,660
1,519,000 Verizon Communications Inc........... 49,276,360
------------
248,539,913

[_] NON-UTILITY--12.7%
181,960 Archstone Smith Trust................ 4,800,105
85,800 Arden Realty Inc..................... 2,395,536
241,300 Boston Properties Inc................ 10,489,311
271,400 CBL & Associates Properties Inc...... 13,542,860
85,200 Camden Property Trust................ 3,274,236
179,816 Centerpoint Properties Corp.......... 12,247,268
339,300 Chelsea Property Group Inc........... 16,252,470
53,334 Colonial Properties Trust............ 1,921,624
163,479 Corporate Office Properties Trust.... 3,025,996
320,300 Developers Diversified Realty Corp... 9,567,361
160,000 Duke Realty Corp..................... 4,672,000
145,500 Equity Office Properties Trust....... 4,005,615
150,000 Equity Residential Properties Trust.. 4,392,000
59,000 Essex Property Trust Inc............. 3,699,890
200,200 General Growth Properties Inc........ 14,354,340
53,600 Health Care Properties Investors Inc. 2,503,120
102,344 Healthcare Realty Trust Inc.......... 3,272,961
80,000 Home Properties of New York Inc...... 3,136,000
76,000 Hospitality Properties Trust......... 2,666,080
193,939 iStar Financial Inc.................. 7,553,924
200,200 The Macerich Co...................... 7,557,550
14,000 Mack-Cali Realty Corp................ 548,800
146,460 Maguire Properties Inc............... 3,002,430

The accompanying note is an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2003

Market
Value
Shares Company (Note 1)
--------- ------- --------------

218,400 Pan Pacific Retail Properties Inc.......... $ 9,391,200
396,480 ProLogis Trust............................. 11,993,520
50,000 Realty Income Corp......................... 1,982,500
205,800 S.L. Green Realty Corp..................... 7,431,438
86,899 Shurgard Storage Centers Inc. Class A...... 3,067,535
281,736 Simon Property Group Inc................... 12,278,055
278,240 United Dominion Realty Trust Inc........... 5,094,574
252,000 Vornado Realty Trust....................... 12,106,080
168,714 Weingarten Realty Investors................ 7,592,130
--------------
209,818,509
--------------
Total Common Stocks (Cost--$1,286,408,543). 1,353,933,572
--------------

PREFERRED STOCKS--17.8%

[_] UTILITY--17.8%
200,000 Alltel Corp. 7 3/4% due 5/17/05............ 9,778,000
750,000 Ameren Corp. 9 3/4% due 5/15/05............ 20,887,500
1,200,000 Centurytel Inc. 6 7/8% due 5/15/05......... 33,240,000
626,200 Cinergy Corp. 9 1/2% due 2/16/05........... 38,323,440
450,000 Dominion Resources Inc. 9 1/2% due 11/16/04 25,510,500
986,700 DTE Energy Co. 8 3/4% due 8/16/05.......... 24,963,510
550,000 Duke Energy Corp. 8 1/4% due 5/18/04....... 7,183,000
223,500 EIX Trust II Series B 8.60% due 10/29/29**. 6,749,700
500,000 FPL Group Inc. 8 1/2% due 2/16/05.......... 28,480,000
412,000 Keyspan Corp. 8 3/4% due 5/16/05........... 21,547,600
775,000 Oneok Inc. 8 1/2% due 2/16/06.............. 22,281,250
500,000 Sempra Energy 8 1/2% due 5/17/05........... 13,800,000
172,700 Southern Union Co. 5 3/4% due 8/16/05...... 9,728,191
400,000 TXU Corp. 8 3/4% due 11/16/05.............. 13,740,000
500,000 TXU Corp. 8 1/8% due 5/16/06............... 17,765,000
--------------
Total Preferred Stocks (Cost--$290,141,593) 293,977,691
--------------

The accompanying note is an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2003

BONDS--45.9%

Ratings
--------------------------
Standard Market
and Value
Par Value Company Fitch Moody's Poor's (Note 1)
--------- ------- --------- ------- -------- ------------

[_] ELECTRIC--11.0%

$ 4,000,000 Boston Edison Co.
7.80%, due 3/15/23................. AA- A1 A $ 4,132,396
8,571,000 Cleveland Electric Illuminating Co.
9%, due 7/01/23.................... BBB- Baa2 BBB 8,994,930
18,050,000 Comed Financing II
8 1/2%, due 1/15/27................ Not Rated Baa2 BBB 20,662,142
7,500,000 Commonwealth Edison Co.
9 7/8%, due 6/15/20................ A- A3 A- 8,577,855
6,000,000 Dayton Power and Light
8.15%, due 1/15/26................. A Baa1 BBB 6,290,118
24,000,000 Dominion Resources Capital Trust
7.83%, due 12/01/27................ Not Rated Baa2 BBB- 27,042,576
5,000,000 Illinois Power Co.
7 1/2%, due 7/15/25................ CCC+ B3 B 4,825,000
13,725,000 Niagara Mohawk Power Corp.
8 7/8%, due 5/15/07................ Not Rated Baa3 A- 16,384,740
5,000,000 Progress Energy Inc.
7 3/4%, due 3/01/31................ BBB- Baa2 BBB- 5,754,075
9,000,000 PSEG Power LLC
8 5/8%, due 4/15/31................ Not Rated Baa1 BBB 11,426,616
22,750,000 Puget Capital Trust
8.231%, due 6/01/27................ Not Rated Ba1 BB 21,976,045
13,000,000 Southern Co. Capital Trust II
8.14%, due 2/15/27................. Not Rated Baa1 BBB+ 14,844,115
10,000,000 Virginia Electric & Power Co.
8 5/8%, due 10/01/24............... Not Rated A2 A- 10,982,260

17,700,000 Virginia Electric & Power Co.
8 1/4%, due 3/01/25................ Not Rated A2 A- 19,600,343
------------
181,493,211

The accompanying note is an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2003

Ratings
--------------------------
Standard Market
and Value
Par Value Company Fitch Moody's Poor's (Note 1)
--------- ------- --------- ------- -------- ------------

[_] GAS--4.4%

$ 5,000,000 KN Energy Inc.
7 1/4%, due 3/01/28........ BBB Baa2 BBB $ 5,626,010
10,000,000 Northern Border Partners LP
8 7/8%, due 6/15/10........ BBB+ Baa2 BBB+ 12,148,150
15,000,000 Panhandle Eastern
8 5/8%, due 4/15/25........ BBB Baa3 BBB 16,487,685
6,488,000 Southern Union Co.
7.60%, due 2/01/24......... BBB Baa3 BBB 7,195,854
8,850,000 Southern Union Co.
8 1/4%, due 11/15/29....... BBB Baa3 BBB 10,636,611
10,000,000 TE Products Pipeline Co.
7.51%, due 1/15/28......... Not Rated Baa3 BBB 10,056,220
9,000,000 Trans-Canada Pipeline
9 1/8%, due 4/20/06........ Not Rated A3 BBB+ 10,439,118
------------
72,589,648
[_] TELECOMMUNICATION--9.3%

15,000,000 AT&T Corporation
8.35%, due 1/15/25......... BBB Baa2 BBB 15,965,730
10,000,000 BellSouth Capital Funding
7 7/8%, due 2/15/30........ A+ A1 A+ 12,565,170
25,000,000 British Telecom PLC
8 7/8%, due 12/15/30....... A Baa1 A- 32,893,475
5,000,000 Centurytel Inc.
6 7/8%, due 1/15/28........ Not Rated Baa2 BBB+ 5,476,855
10,000,000 Centurytel Inc.
8 3/8%, due 10/15/10....... Not Rated Baa2 BBB+ 12,389,620
10,000,000 France Telecom
7 3/4%, due 3/01/11........ BBB Baa3 BBB 12,235,770
13,250,000 GTE California Inc.
8.07%, due 4/15/24......... AA A1 A+ 14,155,849
17,625,000 GTE Corp.
7.90%, due 2/01/27......... A+ A3 A+ 19,878,709
5,000,000 GTE North Inc., Series C
7 5/8%, due 5/15/26........ AA A1 A+ 5,430,220
10,575,000 TCI Communications Inc.
8.65%, due 9/15/04......... BBB Baa3 BBB 11,186,150
4,314,000 Tritel PCS Inc.
10 3/8%, due 1/15/11....... BBB Baa2 BBB 5,210,113
5,000,000 Vodaphone Group PLC
7 7/8%, due 2/15/30........ A A2 A- 6,188,985
------------
153,576,646

The accompanying note is an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2003

Ratings
----------------------------
Standard Market
and Value
Par Value Company Fitch Moody's Poor's (Note 1)
--------- ------- --------- --------- -------- ------------

[_] NON-UTILITY--21.2%
#$ 15,000,000 American General Finance Corp.
1.42%, due 5/28/04..................... A+ A1 A+ $ 15,000,000
#100,000,000 Bear Stearns Companies Inc. Master Note
1.337%, due 10/01/03................... A+ A1 A 100,000,000
#25,000,000 Belford U.S. Capital Co. LLC
1.25%, due 6/18/04..................... AAA Not Rated AAA 25,013,776
#25,000,000 CIT Group Inc.
1.86%, due 4/08/04..................... A A2 A 25,082,700
8,000,000 Dayton Hudson Corp.
9 7/8%, due 7/01/20.................... A A2 A+ 11,450,456
19,940,000 EOP Operating LP
7 1/2%, due 4/19/29.................... BBB+ Baa1 BBB+ 22,502,888
#25,000,000 General Electric Capital Corp.
1.388%, due 10/22/03................... Not Rated Aaa AAA 25,001,875
#25,000,000 General Motors Acceptance Corp.
1.439%, due 11/07/03................... BBB+ A3 BBB 24,999,100
#25,000,000 Halogen Funding Co. LLC
1.15%, due 10/07/03.................... Not Rated Not Rated AAA 25,000,000
#25,000,000 Household Finance Corp.
1.49%, due 5/28/04..................... A A1 A 25,058,826
#25,000,000 Morgan Stanley Dean Witter & Co.
1.51%, Series C, due 5/18/04........... AA- Aa3 A+ 25,067,075
#25,000,000 Salomon Smith Barney Holdings Inc.
1.47%, Series K, due 5/07/04........... AA+ Aa1 AA- 25,036,051
------------
349,212,747
------------
Total Bonds (Cost--$723,592,358).................................... 756,872,252
------------
U.S. TREASURY OBLIGATION--0.1%
$2,000,000 U.S. Treasury Bond
10 3/4%, due 8/15/05................................................ $ 2,345,236
------------
Total U.S. Treasury Obligation (Cost--$2,394,375)................... 2,345,236
------------

The accompanying note is an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2003

Market
Value
Par Value (Note 1)
--------- ------------

U.S. GOVERNMENT AGENCY OBLIGATIONS--9.5%
$125,000,000 Federal Home Loan Mortgage Corp.
9%, due 2/26/04............................................................. $128,980,375
25,000,000 Federal Home Loan Mortgage Corp.
9%, due 11/15/03............................................................ 27,008,975
------------
Total U.S. Government Agency Obligations (Cost--$164,387,688)............... 155,989,350
------------
Par Value/
Shares
------
MONEY MARKET INSTRUMENTS--14.2%
10,000,000 American International Group Inc.
1.08%, due 10/01/03......................................................... 10,000,000
#2,090,451 AIM STIC Liquid Assets Portfolio............................................ 2,090,451
#25,000,000 CCN (Orchard Park) LLC
1.245%, due 4/06/04......................................................... 25,000,000
24,000,000 Deutsche Bank Securities Inc. Repurchase Agreement,
1.248%, dated 9/30/03, due 10/01/03, collateralized by
$4,944,114 AMSI 2003-8 M5 4.87% ABS due 10/25/33;
$2,750,000 COMM 2002-FL7 MCS 3.87% CMO due 11/15/14;
$2,350,350 CWALT 2002-6 B2 7% CMO due 7/25/32;
$1,109,583 DBALT 2003-1 B2 5.5% CMO due 9/25/33;
$4,552,670 GECMC 2001-1 G 7.04% CMO 5/15/33;
$4,076,681 GMACC 2003-C2 144A CMO 5.30% due 5/10/40;
$3,013,083 IRWLB 2000-LB1 B 4.37% ABS due 6/25/21;
$1,360,969 MBNAS 2001-C1 2.17% ABS due 10/15/08;
$202,357 Norwest Financial Inc. 7 1/2% due 4/15/05; and
$113,326 United Technologies Corp. 6 5/8% due 11/15/04...................... 24,000,000
#26,000,000 Hudson-American Realty Protection LLC
1.14%, due 10/16/03......................................................... 26,000,000
#19,091,506 Janus Institutional Cash Reserves Fund...................................... 19,091,506
#71,000,000 Merrill Lynch Pierce Fenner & Smith Inc. Repurchase Agreement,
1.238%, dated 9/30/03, due 10/01/03, collateralized by
$31,458,512 Ford Motor Credit Corp. 7 7/8% due 6/15/10;
$21,595,574 General Motors Acceptance Corp. 8% due 11/01/31; and $20,336,863
General Motors Acceptance Corp. 7 3/4% due 1/19/10.......................... 71,000,000

The accompanying note is an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2003

Market
Par Value/ Value
Shares (Note 1)
------------ --------------

#$17,000,000 Neptune Funding Corp.
1.13%, due 10/01/03................................................. $ 17,000,000
#40,000,000 Wachovia Capital Markets LLC Repurchase Agreement,
1.258%, dated 9/30/03, due 10/01/03, collateralized by
$3,614,015 CSFB 2002-CKN2 G 7.34% CMO due 4/15/37;
$4,120,504 CSFB 2002-CP5 H 6.33% CMO due 12/15/35;
$3,292,444 GECMC 2000-1 E 7.17% CMO due 1/15/33;
$3,877,112 JPMCC 2003-PM1A H 5.51% CMO due 8/12/40;
$3,747,876 LBUBS 2002-C1 J 6.95% CMO due 3/15/34;
$3,901,968 LBUBS 2002-C7 K 5.75% CMO due 1/15/36;
$3,118,653 MLMT 2002-MW1 G 6.57% CMO due 7/12/34;
$3,763,324 WBCMT 2003-C5 B 4.11% CMO due 6/15/35;
$3,754,936 WBCMT 2003-C5 C 4.14% CMO due 6/15/35;
$3,770,420 WBCMT 2003-C5 H 5.18% CMO due 6/15/35; and
$3,838,748 WBCMT 2003-C6 H 5.13% CMO due 8/15/35.................... 40,000,000
--------------
Total Money Market Instruments (Amortized Cost--$234,166,367)....... 234,181,957
--------------
CASH AND OTHER ASSETS LESS LIABILITIES (39.2%).............................................. (646,665,686)
--------------
REMARKETED PREFERRED STOCK
($.001 par value per share; 100,000,000 shares authorized and 5,000 shares issued and
outstanding; liquidation preference $100,000 per share)................................. (500,000,000)
--------------
NET ASSETS APPLICABLE TO COMMON STOCK
(equivalent to $7.57 per share of common stock based on 218,144,176 shares of common stock
outstanding; authorized 250,000,000 shares)............................................. $1,650,634,372
==============

** Dividends currently are deferred.
# This security was purchased with the cash proceeds from securities loans.
The percentage shown for each investment category is the total value of that
category as a percentage of the net assets applicable to common shares of the
Fund.
--------
(1)The market values for securities are determined as follows: Equity
securities traded on a national securities exchange or traded
over-the-counter and quoted on the NASDAQ System are valued at last sales
prices. Fixed income securities and any other securities for which it is
determined that market prices are unavailable or inappropriate are valued at
a fair value using a procedure determined in good faith by the Board of
Directors which includes the use of a pricing service. Each money market
instrument having a maturity of 60 days or less is valued on an amortized
cost basis, which approximates market value.

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Board of Directors

FRANKLIN A. COLE

GORDON B. DAVIDSON

CONNIE K. DUCKWORTH

ROBERT J. GENETSKI

CLAIRE V. HANSEN, CFA

FRANCIS E. JEFFRIES, CFA

NANCY LAMPTON

CHRISTIAN H. POINDEXTER

CARL F. POLLARD

DAVID J. VITALE

Officers

CLAIRE V. HANSEN, CFA
Chairman

NATHAN I. PARTAIN, CFA
President and
Chief Executive Officer

T. BROOKS BEITTEL, CFA
Senior Vice President
and Secretary

MICHAEL SCHATT
Senior Vice President

JOSEPH C. CURRY, JR.
Vice President and Treasurer

DIANNA P. WENGLER
Assistant Secretary

DNP Select
Income Fund Inc.

Common stock listed on the New York Stock Exchange under the symbol DNP

55 East Monroe Street
Chicago, Illinois 60603
(312) 368-5510

Shareholder inquiries please contact

Transfer Agent
Dividend Disbursing
Agent and Custodian

The Bank of New York
Shareholder Relations
Church Street Station
P.O. Box 11258
New York, New York 10286-1258
(877) 381-2537

Investment Adviser

Duff & Phelps
Investment Management Co.
55 East Monroe Street
Chicago, Illinois 60603

Administrator

J.J.B. Hilliard, W.L. Lyons, Inc.
Hilliard Lyons Center
Louisville, Kentucky 40202
(888) 878-7845

Legal Counsel

Mayer, Brown, Rowe & Maw LLP
190 South LaSalle Street
Chicago, Illinois 60603

Independent Auditors

Ernst & Young LLP
233 South Wacker Drive
Chicago, Illinois 60606

DNP Select
Income Fund Inc.

Third Quarter
Report

September 30, 2003

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