Edgar Filing: DNP SELECT INCOME FUND INC

Dear Fellow Shareholders:

Performance Review: On a short-term basis, your Fund had a total return of
8.7% for the quarter ended September 30, 2004. In comparison, the S&P Utilities
Index had a total return of 6.7%. 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 6.3%. Year-to-date your Fund had a total return of 8.4%.
In comparison, the S&P Utilities Index had a total return of 10.8%. A composite
of the S&P Utilities Index and the Lehman Utility Bond Index had a total return
of 9.1%.

On a long-term basis, as of September 30, 2004, your Fund had a three-year
cumulative total return of 32.4%. In comparison, the S&P Utilities Index had a
total return during that period of -5.2%, while 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 -.7%.

During the second quarter of 2004, your Fund paid three monthly 6.5 cents
per share dividends. The 6.5 cents per share monthly rate, without compounding,
would be 78 cents annualized, or a 6.95% common stock dividend yield based on
the September 30, 2004, closing price of $11.23. This compares favorably with
the quarter-end yields of 3.35% on the Dow Jones Utility Index and 3.63% on the
S&P Utilities Index.

The Investment Environment: Your Fund, and the utility sector in general,
performed better in the third quarter than the broad stock market. The weight
of $50 oil, continued turbulence in Iraq, and presidential election rhetoric
pushed the broad stock market lower during the third quarter. The utility
sector, however, enjoyed little negative news, continued evidence of improving
balance sheets and liquidity, a comparatively attractive dividend yield, and
favorable sensitivity to an unexpected move to lower long-term interest rates.
As a result, investors gravitated to the utility sector as part of a defensive
strategy.

During the second quarter of 2004 U.S. economic growth, as measured by gross
domestic product (GDP), slowed from the robust 4.5% annualized pace in the
first quarter, with consumer spending decelerating markedly. The economy was
generally viewed as being in a "soft patch." Looking back at the second
quarter, the soft patch appears milder than previously estimated with other
components of economic growth cushioning the impact of lower consumer spending
on GDP. Capital spending accelerated and housing continued its torrid pace
during the second quarter. The Commerce Department's final estimate of 3.3%
annualized GDP growth during the second quarter exceeded market expectations
and is an indicator that the economy is doing well.

The Federal Reserve's (the Fed's) long-term objective is to manage monetary
policy to achieve non-inflationary economic growth. In light of the good growth
the economy is experiencing and the low level of interest rates, it is likely
that the Fed will continue its actions to remove monetary accommodation with
"measured" interest rate hikes. Beginning June 30, 2004, the Federal funds rate
has been raised four times for a total of one percent. Despite higher short
rates, bond yields have actually declined and the stock market, as indicated by
the S&P 500 Index, has traded within a range of less than 100 points. This
likely indicates that investors have generally been pleased with the Fed's
conduct of monetary policy and believe that domestic and international concerns
are manageable.

Lighting up the Phone Lines: During the Internet and telecommunication mania
of the late 1990's, numerous electric utilities entered the telecom business,
either by laying fiber optic cable or by buying equipment to compete with the
regional bell operating companies (RBOCs). Your Fund managers never believed
that the electric companies could make money competing against the RBOCs. The
RBOCs were pleased to have competition at the local level because of their
strong incumbent position and, under the current regulatory regime, the RBOCs
needed local competitors in order to gain entry into long distance markets.
Most electric companies failed in their competitive attempts and exited their
telecommunication businesses by either selling or shutting down the business
and taking a write-off on their investment.

Today, electric companies are once again considering telecom ventures, this
time using broadband-over-power-line (BPL) technology. BPL technology should
make the utility grid smarter and could enhance basic utility services since
the technology will increase the current electric infrastructure functionality.
BPL technology has the potential to lower utility operating costs and improve
service quality and reliability, and could include: automated meter reading,
voltage control, Supervisory Control and Data Acquisition (SCADA), equipment
monitoring, energy management, load management, remote connection or
disconnection, and power outage notification.

With regard to actual telecom services, an electric utility could use a
variety of business models to facilitate deployment of BPL The utility could
take full control of rolling out the service, being totally responsible for
capital investment and the revenue associated with it. A utility company might
also partner with a technology and/or investment company to share the risks and
rewards of deployment. Alternatively, a service company might make all the

investment and deliver BPL services, working with and paying the utility
company for placing enabling equipment on existing electric poles as other
telecommunication providers already do. In any case, the market opportunity is
significant. Estimates of current broadband penetration using cable modems and
digital subscriber lines are only about 30%. There is plenty of room for
growth, and ultimately utilities may be able to offer customers bundles of
services--voice communication, data and Internet, and electricity. Near term,
we do not view this service as a serious competitive threat to the RBOCs.

Deployment of BPL in a profitable way will require overcoming numerous
regulatory hurdles. State regulators have formed a task force to examine BPL
and are expected to issue three white papers this year. The Federal
Communications Commission (FCC) will have oversight of BPL and is issuing rules
to regulate and promote BPL service. The role the Federal Energy Regulatory
Commission (FERC) may play in BPL deployment, if any, has not been determined.
As is usually the case, the technology is well ahead of the regulatory process.

Board of Directors Meeting: At the regular October 2004 Board of Directors'
meeting, the Board declared the following monthly dividend:

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

6.5 November 30 December 10

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

The determination of the character of all Fund distributions (specifying
which portion is ordinary income, qualifying dividend income, short or long
term capital gains, or return of capital) is made each year-end and is reported
to shareholders on Form 1099-DIV, which is mailed every year in late January.

The Board has reviewed the Fund's dividend policy and reaffirmed the current
6.5 cents per share per month distribution rate. Interest rates are at or near
40-year lows despite recent Federal Reserve actions and utility common stock
dividends are well below their long-term average. Therefore, in 2004, the Fund
has made increased use of realized gains to supplement its investment income
and has reduced its use of short-term trading strategies designed to capture
dividend income. Until the Fund utilizes all of its tax loss carryforwards,
distributions to shareholders derived from realized gains will be treated as
ordinary income for tax purposes. In addition, the reduced use of short-term
trading strategies by the Fund will lower the Fund's portfolio turnover rate
and transaction costs and, after the Fund utilizes all of its tax loss
carrryforwards, will potentially increase the portion of the Fund's
distributions to shareholders that will be taxable at the lower income tax rate
applicable to qualifying dividends. In the future, in order to maintain the
Fund's dividend rate, in the absence of increases in the yields available on
the Fund investments and/or realizable gains on Fund investments, the Fund's
distributions may include a portion of non-taxable return of capital.

Automatic Dividend Reinvestment Plan and Direct Deposit Service--The Fund
has a dividend reinvestment plan available and offers direct deposit service
through electronic funds transfer to all registered shareholders. These
services are 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). Information on these services is also available on
the Fund's web site at the address noted below.

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS
(UNAUDITED)
September 30, 2004

COMMON STOCKS--85.9%

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

[_] ELECTRIC--50.5%

1,501,000 Ameren Corp.................................... $ 69,271,150
800,000 Cinergy Corp................................... 31,680,000
796,000 Dominion Resources Inc......................... 51,939,000
1,000,000 DTE Energy Co.................................. 42,190,000
352,770 Duke Energy Corp............................... 8,074,905
1,100,000 Energy East Corp............................... 27,698,000
2,000,000 Exelon Corp.................................... 73,380,000
2,000,000 FirstEnergy Corp............................... 82,160,000
579,400 FPL Group Inc.................................. 39,584,608
1,080,000 Iberdrola S.A. (Spain)......................... 22,400,711
215,000 National Grid Transco PLC ADR.................. 9,208,450
770,000 National Grid Transco PLC (United Kingdom)..... 6,496,506
1,200,000 NiSource, Inc.................................. 25,212,000
1,318,600 NSTAR.......................................... 64,743,260
690,000 Pinnacle West Capital Corp..................... 28,635,000
1,375,000 Progress Energy Inc............................ 58,217,500
1,000,000 Public Service Enterprise Group Inc............ 42,600,000
1,000,000 Scottish & Southern Energy ADR................. 14,096,500
850,000 Scottish & Southern Energy PLC (United Kingdom) 11,974,236
368,700 Scottish Power PLC ADR......................... 11,370,708
2,300,000 Southern Co.................................... 68,954,000
1,500,000 Vectren Corp................................... 37,770,000
581,000 WPS Resources Corp............................. 26,139,190
2,999,304 Xcel Energy Inc................................ 51,947,945
---------------
905,743,669

[_] GAS--7.5%

926,000 AGL Resources Inc.............................. 28,493,020
1,000,000 Keyspan Corp................................... 39,200,000
900,000 Peoples Energy Corp............................ 37,512,000
1,000,000 WGL Holdings Inc............................... 28,260,000
---------------
133,465,020

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

[_] TELECOMMUNICATION--16.3%

1,600,000 BCE Inc............................. $ 34,640,000
565,000 BT Group PLC ADR.................... 18,616,750
1,730,000 BellSouth Corp...................... 46,917,600
1,250,000 Chunghwa Telecom Co. Ltd............ 22,012,500
1,620,000 Citizens Communications Co.......... 21,691,800
1,642,230 SBC Communications, Inc............. 42,615,868
856,250 Telecom Corp of New Zealand Ltd. ADR 27,237,313
1,068,400 Telstra Corp. Ltd. ADR.............. 18,088,012
1,519,000 Verizon Communications Inc.......... 59,818,220
---------------
291,638,063

[_] NON-UTILITY--11.6%

51,194 Alexandria Real Estate Equities Inc. 3,364,470
64,478 AMB Property Corp................... 2,386,975
251,692 Archstone Smith Trust............... 7,963,535
66,534 Arden Realty Inc.................... 2,167,678
218,408 Boston Properties Inc............... 12,097,619
77,653 Camden Property Trust............... 3,587,569
78,453 CBL & Associates Properties Inc..... 4,781,710
327,320 CenterPoint Properties Trust........ 14,264,606
208,999 Corporate Office Properties Trust... 5,354,554
229,309 Developers Diversified Realty Corp.. 8,977,447
145,828 Duke Realty Corp.................... 4,841,490
72,914 Equity Office Properties Trust...... 1,986,907
248,610 Equity Residential.................. 7,706,910
53,774 Essex Property Trust Inc............ 3,863,662
45,000 Extra Space Storage Inc............. 573,750
334,291 General Growth Properties Inc....... 10,363,021
84,130 Health Care Property Investors Inc.. 2,187,380
63,800 Health Care REIT Inc................ 2,245,760
53,526 Healthcare Realty Trust Inc......... 2,089,655
72,914 Home Properties Inc................. 2,884,478
69,268 Hospitality Properties Trust........ 2,943,197

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

99,193 iStar Financial Inc....................... $ 4,089,727
78,994 Kilroy Realty Corp........................ 3,004,142
67,968 Kimco Realty Corp......................... 3,486,758
72,720 LaSalle Hotel Properties.................. 2,007,072
139,226 The Macerich Co........................... 7,419,354
116,597 Pan Pacific Retail Properties Inc......... 6,307,898
265,662 ProLogis.................................. 9,361,929
78,538 Public Storage, Inc....................... 3,891,558
45,571 Realty Income Corp........................ 2,052,062
84,355 Reckson Associates Realty Corp............ 2,425,206
67,231 Regency Centers Corp...................... 3,125,569
55,140 Shurgard Storage Centers Inc. Class A..... 2,139,432
259,811 Simon Property Group Inc.................. 13,933,664
187,571 S.L. Green Realty Corp.................... 9,718,053
97,070 Starwood Hotels & Resorts Worldwide, Inc.. 4,505,989
127,119 United Dominion Realty Trust Inc.......... 2,520,770
229,679 Vornado Realty Trust...................... 14,396,280
183,350 Weingarten Realty Investors............... 6,052,384
---------------
207,070,220
---------------
Total Common Stocks (Cost--$1,405,830,973) 1,537,916,972
---------------

PREFERRED STOCKS--18.8%

[_] UTILITY--18.8%

200,000 Alltel Corp.
7 3/4% due 5/17/05........................ 10,352,000
750,000 Ameren Corp.
9 3/4% due 5/15/05........................ 20,595,000
1,200,000 Centurytel Inc.
6 7/8% due 5/15/05........................ 31,704,000
626,200 Cinergy Corp.
9 1/2% due 2/16/05........................ 38,235,772
450,000 Dominion Resources Inc.
9 1/2% due 11/16/04....................... 25,506,195

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

986,700 DTE Energy Co.
8 3/4% due 8/16/05......................... $ 24,547,500
223,500 EIX Trust II Series B
8.60% due 10/29/29......................... 5,670,195
500,000 FPL Group Inc.
8 1/2% due 2/16/05......................... 28,450,000
1,200,000 Great Plains Energy Inc.
8% due 2/16/07............................. 30,132,000
412,000 Keyspan Corp.
8 3/4% due 5/16/05......................... 21,836,000
775,000 Oneok Inc.
8 1/2% due 2/16/06......................... 25,513,000
500,000 Sempra Energy
8 1/2% due 5/17/05......................... 15,480,000
172,700 Southern Union Co.
5 3/4% due 8/16/06......................... 11,057,981
400,000 TXU Corp.
8 3/4% due 11/16/05........................ 20,840,000
500,000 TXU Corp.
8 1/8% due 5/16/06......................... 25,955,000
---------------
Total Preferred Stocks (Cost--$306,441,093) 335,874,643
---------------

BONDS--31.2%
Ratings
--------------------------
Standard
and
Par Value Fitch Moody's Poor's
----------- - --------- ------- --------

[_] ELECTRIC--11.3%

$18,050,000 Comed Financing II
8 1/2%, due 1/15/27............. Not Rated Baa2 BBB 20,817,895
7,500,000 Commonwealth Edison Co.
9 7/8%, due 6/15/20............. A- A3 A- 8,005,740
24,000,000 Dominion Resources Capital Trust
7.83%, due 12/01/27............. Not Rated Baa2 BBB- 26,363,544

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

$ 5,000,000 El Paso Electric Co., Series E
9.40%, due 5/01/11............ Not Rated Baa2 BBB $ 5,616,895
5,000,000 Illinois Power Co.
7 1/2%, due 7/15/25........... CCC+ B1 B 5,150,000
15,825,000 Niagara Mohawk Power Corp.
8 7/8%, due 5/15/07........... Not Rated Baa3 A- 17,898,708
5,000,000 Progress Energy Inc.
7 3/4%, due 3/01/31........... BBB- Baa2 BBB- 5,929,550
9,000,000 PSEG Power LLC
8 5/8%, due 4/15/31........... BBB Baa1 BBB 11,559,726
22,750,000 Puget Capital Trust
8.231%, due 6/01/27........... Not Rated Ba1 BB 21,967,127
29,860,000 Southern California Edison Co.
8%, due 2/15/07............... BBB+ A3 BBB 33,069,682
13,000,000 Southern Co. Capital Trust II
8.14%, due 2/15/27............ Not Rated Baa1 BBB+ 14,926,405
11,750,000 Virginia Electric & Power Co.
8 5/8%, due 10/01/24.......... A- A2 A- 12,249,880
17,700,000 Virginia Electric & Power Co.
8 1/4%, due 3/01/25........... A- A2 A- 18,682,102
---------------
202,237,254

[_] GAS--4.4%

5,000,000 KN Energy Inc.
7 1/4%, due 3/01/28........... BBB Baa2 BBB 5,579,640
10,000,000 Northern Border Partners LP
8 7/8%, due 6/15/10........... BBB+ Baa2 BBB+ 11,984,440
15,000,000 Panhandle Eastern
8 5/8%, due 4/15/25........... BBB- Baa3 BBB- 15,893,310
6,488,000 Southern Union Co.
7.60%, due 2/01/24............ BBB Baa3 BBB 7,370,070
8,850,000 Southern Union Co.
8 1/4%, due 11/15/29.......... BBB Baa3 BBB 10,925,236

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

$10,000,000 TE Products Pipeline Co.
7.51%, due 1/15/28............... Not Rated Baa3 BBB $ 10,828,040
15,500,000 Trans-Canada Pipeline
9 1/8%, due 4/20/06.............. Not Rated A3 BBB+ 16,891,962
---------------
79,472,698

[_] TELECOMMUNICATION--8.5%

4,200,000 AT&T Wireless Services Inc.
7 1/2%, due 5/01/07.............. BBB Baa2 BBB 4,629,925
22,000,000 British Telecom PLC
8 3/8%, due 12/15/10............. A Baa1 A- 26,561,832
15,000,000 Centurytel Inc.
8 3/8%, due 10/15/10............. BBB+ Baa2 BBB+ 17,717,565
5,000,000 Centurytel Inc.
6 7/8%, due 1/15/28.............. BBB+ Baa2 BBB+ 5,182,315
5,645,000 Comcast Cable Communications Inc.
8 3/8%, due 5/01/07.............. BBB Baa3 BBB 6,309,580
10,000,000 France Telecom SA
7 3/4%, due 3/01/11.............. A- Baa2 BBB+ 11,986,010
17,625,000 GTE Corp.
7.90%, due 2/01/27............... A+ A3 A+ 19,353,537
5,000,000 GTE North Inc., Series C
7 5/8%, due 5/15/26.............. A+ A1 A+ 5,323,140
10,000,000 Sprint Capital Corp.
8 3/8%, due 3/05/12.............. BBB Baa3 BBB- 12,128,720
10,000,000 TCI Communications Inc.
8 3/4%, due 8/01/15.............. BBB Baa3 BBB 12,487,730
6,724,000 360 Communications Co.
7 1/2% due 3/01/06............... A A2 A 7,161,248
4,314,000 Tritel PCS Inc.
10 3/8%, due 1/15/11............. BBB Baa2 BBB 4,923,961
10,500,000 Verizon Global Funding Corp.
7 3/4%, due 12/01/30............. A+ A2 A+ 12,613,881

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

$ 5,000,000 Vodaphone Group PLC
7 7/8%, due 2/15/30........... A A2 A $ 6,332,335
---------------
152,711,779

[_] NON-UTILITY--7.0%

#25,000,000 Belford U.S. Capital Co. LLC
1.85%, due 3/08/05............ AAA Not Rated AAA 25,005,900
7,361,000 Continental Cablevision Inc.
9.50%, due 8/01/13............ Not Rated Baa3 BBB 8,062,577
#45,000,000 Countrywide Home Loans Inc.
1.67%, Series L, due 1/18/05.. A A3 A 45,000,135
8,000,000 Dayton Hudson Corp.
9 7/8%, due 7/01/20........... A A2 A+ 11,706,808
#15,000,000 Sigma Finance Inc.
1.98%, due 1/28/05............ AAA Aaa AAA 15,007,530
#20,000,000 Stanfield Victoria Funding LLC
1.955%, due 6/01/05........... Not Rated Aaa AAA 20,004,280
---------------
124,787,230
---------------
Total Bonds (Cost--$546,122,899)........................... 559,208,961
---------------

U.S. TREASURY OBLIGATION--0.1%

2,000,000 U.S. Treasury Bond
10 3/4%, due 8/15/05............................. 2,148,204
--------------
Total U.S. Treasury Obligation (Cost--$2,394,375) 2,148,204
--------------

U.S. GOVERNMENT AGENCY OBLIGATIONS--9.3%

25,000,000 Federal Home Loan Mortgage Corp.
9%, due 11/15/13................................. 25,191,400
84,500,000 Federal National Mortgage Assn.
8 1/2%, due 5/26/05.............................. 85,307,060

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

#$ 13,223,842 Overseas Private Investment Corp., Series A
1 1/2%, due 12/16/06......................................... $ 13,205,024
# 8,408,828 Overseas Private Investment Corp., Series B
1 1/2%, due 12/16/06......................................... 8,396,862
# 2,206,105 Overseas Private Investment Corp., Series C
1 1/2%, due 12/16/06......................................... 2,202,952
# 910,147 Overseas Private Investment Corp., Series D
1 1/2%, due 12/16/06......................................... 908,852
# 8,910,723 Overseas Private Investment Corp., Series E
1 1/2%, due 12/16/06......................................... 8,898,043
# 4,418,734 Overseas Private Investment Corp., Series F
1 1/2%, due 12/16/06......................................... 4,412,446
# 4,030,911 Overseas Private Investment Corp., Series G
1 1/2%, due 12/16/06......................................... 4,025,175
# 2,904,433 Overseas Private Investment Corp., Series H
1 1/2%, due 12/16/06......................................... 2,900,300
# 6,705,421 Overseas Private Investment Corp., Series I
1 1/2%, due 12/16/06......................................... 6,695,879
# 2,903,447 Overseas Private Investment Corp., Series J
1 1/2%, due 12/16/06......................................... 2,899,315
#1,279,885 Overseas Private Investment Corp., Series K
1 1/2%, due 12/16/06......................................... 1,278,064
---------------
Total U.S. Government Agency Obligations (Cost--$173,006,926) 166,321,372
---------------

MONEY MARKET INSTRUMENTS--24.5%

# 13,837,200 AIM STIC Liquid Assets Portfolio............................. 13,837,200
# 25,000,000 Chesham Finance LLC
1.935%, due 10/25/04......................................... 25,000,000

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

#$ 25,000,000 Credit Suisse First Boston LLC Repurchase Agreement
1.925%, dated 9/30/04, due 10/01/04, with a repurchase price of
$25,001,337 and collateralized by
$20,610,000 ABSN 2004-HE5 A1 144A 5.00% ABS due 8/27/34;
$5,000,000 ABSN 2004-HE5 A2 144A 7.00% ABS due 8/27/34;
$299,625 CSFB 2004-6 B3 4.76% CMO due 9/25/19; and
$1,284,208 INDX 2004-AR9 5M5 4.34% CMO due 11/25/34............... $ 25,000,000
#50,000,000 Dresdner Kleinwort Wasserstein Securities LLC Repurchase Agreement
1.925%, dated 9/30/04, due 10/01/04, with a repurchase price of
$50,002,674 and collateralized by
$1,288,000 BAYV 2003-E M3 3.84% ABS due 10/28/34;
$1,000,000 BAYV 2003-F M4 3.94% ABS due 9/28/43;
$10,182,000 CWALT 2004-16CB B1 5.66% CMO due 8/25/34;
$5,000,000 FRENT 2004-C A 144A 5.25% ABS due 8/25/34;
$3,550,000 MSAC-NC5 M2 3.09% ABS due 7/25/34;
$2,000,000 RAMP 2004-RS1 MII2 3.29% ABS due 1/25/34;
$25,000,000 Scana Corp. 2.16% Senior Note due 11/15/06;
$1,691,590 SBA 505301 4.63% ABS due 2/25/26;
$500,000 SBA 505309 3.88% ABS due 1/25/26; and
$435,000 SBA 505374 3.88% ABS due 4/25/26......................... 50,000,000
50,000,000 General Electric Capital Corp.
1.74%, due 10/01/04............................................... 50,000,000
#50,000,000 Goldman Sachs & Co. Repurchase Agreement
1.945%, dated 9/30/04, due 10/01/04, with a repurchase price of
$50,002,701 and collateralized by
$50,915,481 Merrill Lynch & Co. 2.11% Medium Term Note due 9/18/06 50,000,000
#50,000,000 Greenwich Capital Markets Inc. Repurchase Agreement,
1.955%, dated 9/30/04, due 10/01/04, with a repurchase price of
$50,002,715 and collateralized by
$3,624,750 CWALT 2004-18CB 2A9 5.70% CMO due 9/25/34;
$1,000,000 CWALT 2004-18CB 5A2 6.25% CMO due 9/25/34;
$5,968,000 GMAC 2004-HE2 A2 2.88% ABS due 10/25/33;
$19,495,500 RALI 2004-QS12 A4 2.24% CMO due 9/25/34;
$14,885,000 RAMP 2004-RZ3 AI2 3.42% ABS due 10/25/27; and
$6,000,000 WAMU 2004-AR7 A6 3.96% CMO due 7/25/34................. 50,000,000

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

#$ 18,301,498 Janus Institutional Cash Reserves Fund......................... $ 18,301,498
#28,000,000 Lehman Brothers Inc. Repurchase Agreement,
1.925%, dated 9/30/04, due 10/01/04, with a repurchase price of
$28,001,497 and collateralized by
$1,000,000 GT 1995-3 B1 7.85% ABS due 8/15/25;
$3,620,000 GT 1995-5 B1 7.30% ABS due 9/15/26;
$12,975,000 GT 1995-6 M1 8.10% ABS due 9/15/26;
$655,000 INHEL 2003-A MV4 4.59% ABS due 12/25/32;
$10,000,000 MSAC 2004-HE2 B3 5.34% ABS due 3/25/34; and
$125,000 Northwest Airlines Corp.
7.58% Pass-Thru Certificates due 3/01/19....................... 28,000,000
#50,000,000 Merrill Lynch Government Securities Inc. Repurchase Agreement,
1.955%, dated 9/30/04, due 10/01/04, with a repurchase price of
$50,02,715 and collateralized by $5,250,000 BSCMS 2004-ESA J
5.82% 144A CMO due 5/14/16;
$5,000,000 BSCMS 2004-HS2A J 3.97% 144A CMO due 1/14/16;
$1,264,000 BSARM 2004-7 B3 4.36% CMO due 10/25/34;
$4,545,000 BSABS 2004-AC4 B 3.74% CMO due 8/25/34;
$4,000,000 CWRT 2004-1R A 5.75% 144A CMO due 4/27/34;
$150,000 DLJCM 1998-CF2 B1 7.29% CMO due 11/12/31;
$4,000,000 EQIFP 1997-1 B 7.37% CMO due 12/20/15;
$11,354,000 FCLT 1997-CHL1 D 7.85% 144A CMO due 4/29/39;
$1,000,000 FUNBC 2001-C2 J 7.85% 144A CMO due 1/12/43;
$2,750,000 FHLT 2004-C M6 3.74% ABS due 8/25/34;
$200,000 GMACC 1998-C1 F 7.09% CMO due 5/15/30;
$1,528,000 MLMI 2004-A2 M3 3.96% CMO due 7/25/34;
$2,000,000 NCHET 2004-A MI2 5.65% ABS due 8/25/34;
$1,000,000 RAMP 2004-RS1 MII6 6.34% ABS due 1/25/34;
$8,705,000 SBM7 1997-HUD2 B2 7.00% CMO due 7/25/24;
$12,020,000 SUNOT 2004-1A D 4.93% 144A ABS due 10/20/20; and
$745,000 WFMBS 2004-R B3 4.46% CMO due 9/25/34................. 50,000,000

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

#$50,000,000 Nomura Securities International Inc. Repurchase Agreement, 1.925%, dated
9/30/04, due 10/01/04, with a repurchase price of
$50,002,674 and collateralized by
$36,521,739 AMAC 2002-9 A2 5.75% CMO due 12/25/32;
$49,895,682 BOAA 2003-2 CB6 6.16% CMO due 4/25/33;
$2,550,384 CWHL 2002-16 1A14 6.50% CMO due 9/25/32;
$43,855,000 CWHL 2003-J3 1A2 5.61% CMO due 5/25/33;
$27,000,000 CWALT 2002-17 A6 6.21% CMO due 1/25/33;
$34,543,797 CWHL 2002-31 A11 6.00% CMO due 1/25/33;
$20,746,666 CWHL 2003-41 A2 5.25% CMO due 12/25/33;
$7,288,331 CSFB 2002-22 4X 7.50% CMO due 7/25/32;
$22,362,549 FNT 1999-2 4X 6.50% CMO due 4/25/29;
$4,615,000 FNW 2002-W1 2AI0 0.55% CMO due 4/25/42;
$33,580,000 FHASI 2003-9 1A9 5.76% CMO due 11/25/33;
$25,000,000 GECMC 2001-1 X2 0.95% 144A CMO due 5/15/33;
$150,000 GMACC 2002-C3 A2 CMO 4.93% due 7/10/39;
$880,000 JPMCC 2004-C2 A2 5.26% CMO due 5/15/41;
$101,338,619 JPMCC 2004-FL1A XFL 0.11% 144A CMO due 4/16/19;
$33,330,000 MASTR 2003-7 4A36 5.26% CMO due 9/25/33;
$41,266,071 MASTR 2003-7 4A46 5.71% CMO due 9/25/33;
$37,452,188 MASTR 2003-2 2A7 6.26% CMO due 3/25/18;
$76,418,250 MSSTR 2003-1 3A3 6.26% CMO due 2/25/33;
$2,075,000 MSC 1997-C1 B 7.69% CMO due 2/15/20;
$1,780,192 NAA 2003-A1 APO 0.00% CMO due 5/25/33;
$11,731,677 PNCMS 1999-5 2X 6.75% CMO due 7/25/29;
$11,795,857 PRIME 2003-1 A9 6.09% CMO due 6/25/33;
$4,442,200 PHMS 1993-61 A14 18.13% CMO due 12/25/08;
$44,596,331 RALI 2002-QS19 A3 6.16% CMO due 12/25/32;
$50,000,000 RALI 2002-QS12 A3 6.16% CMO due 9/25/32;
$26,500,000 RALI 2003-QS15 A5 5.50% CMO due 8/25/33;
$20,000,000 RFMSI 2002-S19 A9 6.11% CMO due 12/25/32;
$74,799,662 RFMSI 2003-S4 A11 5.71% CMO due 3/25/33;
$1,500,000 SBM7 2001-C2 A2 6.17% CMO due 2/13/10;
$138,474,267 SASC 2002-26 1A17 5.60% CMO due 1/25/33;
$32,381,630 SASC 2003-1 1A7 5.25% CMO due 2/25/18;
$385,530 SAMI 2004-AR1 2A1 3.37% CMO due 3/19/34;
$12,934,000 WAMU 2002-S8 2A3 5.25% CMO due 1/25/18;
$41,666,000 WAMMS 2003-MS5 1A5 5.66% CMO due 3/25/18;
$25,833,333 WFMBS 2002-18 1A6 6.00% CMO due 12/25/32;
$452,391,709 WFMBS 2002-18 2AIO 0.65% CMO due 12/25/32; and
$39,651,000 WFMBS 2004-4 A6 5.16% CMO due 5/25/34....................... $ 50,000,000

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS--(Continued)
(UNAUDITED)
September 30, 2004

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

$30,000,000 Toyota Motor Credit Corp.
1.65%, due 10/01/04................................................ $ 30,000,000
---------------
Total Money Market Instruments (Amortized Cost--$440,138,698)...... 440,138,698
---------------
CASH AND OTHER ASSETS LESS LIABILITIES (40.1%)......................................... (750,354,187)
---------------
REMARKETED PREFERRED STOCK
($.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 $8.12 per share of common stock based on 220,730,830 shares of common
stock outstanding; authorized 250,000,000 shares).................................... $ 1,791,254,663
===============

# 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.
--------
SIGNIFICANT ACCOUNTING POLICIES:

(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.

(2)At December 31, 2003, the Fund's most recent fiscal tax year end, based on a
tax cost of investments of $2,712,873,413, the Fund had gross unrealized
appreciation of $253,248,708 and unrealized depreciation of $92,979,901.

Board of Directors

STEWART E. CONNER

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

FRANCIS E. JEFFRIES, CFA
Vice Chairman

NATHAN I. PARTAIN, CFA
President, Chief Executive Officer and Chief Investment Officer

JOYCE B. RIEGEL
Chief Compliance 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 Vice President and 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

Registered Independent Public Accounting Firm

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

DNP Select
Income Fund Inc.

Third Quarter
Report

September
30, 2004
[Artwork]