May 9, 2013

Dear Fellow Shareholders:

     Performance Review: Consistent with its primary objective of current income and long-term growth of income, and its Managed Distribution Plan, the Fund declared three monthly distributions of 6.5 cents per share of common stock during the first quarter of 2013. The 6.5 cent per share monthly rate, without compounding, would be 78 cents annualized, which is equal to 7.69% of the March 28, 2013, closing price of $10.14 per share. Please refer to the inside front cover of this report and the portion of this letter captioned “About Your Fund” for important information about the Fund and its Managed Distribution Plan.

     As you recall, the fourth quarter of last year was a challenging time period in the market. Volatility and uncertainty impacted dividend-paying stocks, including those of many utility companies, due to concerns about the potential for a significant increase in tax rates on dividends. However, the worst case fears proved unfounded, and a strong recovery in utility performance took place in the first quarter of 2013.

     Your Fund had a total return (income plus change in market price) of 9.3% for the quarter ended March 31, 2013, which was somewhat less than the 10.4% total return of the composite of the S&P Utilities Index and the Barclays U.S. Utility Bond Index, weighted to reflect the stock and bond ratio of the Fund. In comparison, the S&P Utilities Index—a stock-only index—had a total return of 13.0%.

     On a longer-term basis, as of March 31, 2013, your Fund had a five-year annualized total return of 7.7%, which is higher than the 6.6% return of the composite of the S&P 500 Utilities Index and the Barclays U.S. Utility Bond Index, weighted to reflect the stock and bond ratio of the Fund. In comparison, the S&P 500 Utilities Index had an annualized total return during that period of 5.0%. It is important to note that the composite and index returns referred to in this letter include no fees or expenses, whereas the Fund’s returns are net of expenses.

The table below compares the performance of your Fund to various market benchmarks.

     Board of Directors Meeting: At the regular May 2013 Board of Directors’ meeting, the Board declared the following monthly dividends:

     Annual Shareholder Meeting: The annual meeting of the Fund’s shareholders was held on May 9, 2013, at 200 South Wacker Street, Chicago, Illinois. At that meeting, holders of the Fund’s common stock reelected Phillip R. McLoughlin and Nathan I. Partain as directors for terms expiring in 2016. Holders of the Fund’s preferred stock reelected Robert J. Genetski as director for a term expiring in 2016.

     Fear, Uncertainty, and Doubt: The eastern Mediterranean island of Cyprus has an area of about 3,500 square miles and a population slightly over one million, both of which are reasonably comparable to our 45th largest state, Delaware. Cypriots grow citrus, vegetables and olives, and the main industry is tourism – unless you count banking. The deposits of Cypriot banks, approximately $120 billion, were six times larger than the country’s gross domestic product. High interest rates and fairly unrestricted and unregulated bank access attracted foreign capital over the years, and the island nation gained the reputation of being a tax haven and a center for money laundering.

     Unfortunately for the citizens of Cyprus, the worldwide financial crisis and poor banking management decimated the capital of the largest Cypriot banks. The banks had a high level of lending to neighboring Greece and had made large investments in Greek government bonds. As the Greek economy and financial system began to collapse, holders of Greek government bonds were forced to take a 30% write-off on their investments as part of the negotiated Greek bail-out. Cyprus could not print money to support its bank losses, as the United States has done, because it is part of the Eurozone, and the sheer size of the banking system meant the government did not have enough resources to save the banks.

     So, it became Cyprus’ turn to seek a bailout, asking for help from the European Commission (EC), the International Monetary Fund (IMF) and the European Central Bank (ECB) (or the “Troika” as those three entities are collectively called). However, the Troika, looking for a way to fund a portion of the bailout, nearly created a massive run on the banks elsewhere in Europe with a proposed levy on Cypriot bank deposits. All bank accounts would have been assessed a levy of between 6.75% and 9.9% depending on the size of the account. The bank levy could just as well have been labeled a tax, or even a confiscation of funds. Ultimately, Cyprus’ Parliament, after rejecting the initial bank levy proposal, passed a modified levy which exempted small depositors and targeted big depositors. Accounts over one hundred thousand Euros will have about 40% of their deposits converted into the banks’ stocks, whose future value is unknown.

     The Troika’s action created fear across Europe. Bank runs are caused by fear. In this case, the fear was that if confiscation could happen in Cyprus, it just might happen in Italy, Spain, Greece, Ireland or elsewhere. Once the Troika realized the gravity of the contemplated action, it attempted to calm fears by promising that the levy approach was unique to Cyprus and would not be repeated anywhere else in the Eurozone, but that announcement only created further uncertainty. Additionally, doubt was created about the value of the Euro because capital controls, which are prohibited in the European Union but implemented in Cyprus anyway, caused a Euro in a Cyprus bank to have a different value than a Euro held in a bank anywhere else in the Eurozone.

     The Troika’s action also raised doubts about the strength and stability of the global banking system. The three Cyprus banks at the center of the crisis had all passed ECB stress tests within a year of their technical failure. How much trust should be placed in bank stress tests if the tests declare the banking system sound the year before they fail, and after Europe was supposedly healing economically and out of the worst depths of the crisis? The Federal Reserve also runs stress tests on banks in the United States, but has also established “too-big-to-fail” safeguards, and, in addition, U.S. bank regulators are implementing capital concentrated exposure standards.

     World and local events continue to occur that have the potential to affect financial markets. So far, our domestic capital markets have digested these events quite nicely, whether it is the latest nuclear saber rattling from North Korea’s young leader, the smoldering powder keg in the Middle East, the terrorist bombing in Boston, slow domestic growth, elevated unemployment, or fiscal imbalance.

     So how can the stock markets and your Fund perform so well with all the doom and gloom? Part of the explanation is that we are experiencing the migration of capital to markets and securities that show the greatest stability, safety and defensiveness, which are in the United States. Further, there is ongoing demand within the United States from investors seeking the higher income that some of the defensive sectors offer.

     We do not know how long the relative attractiveness of defensive sectors of the U.S. equity markets may benefit from capital flows driven by safety and low yields on alternative investments. We also do not know what the effect might be should the flows moderate. What we do know is that the Federal Reserve has indicated that its “highly accommodative monetary policy will likely remain appropriate for a considerable time”, and that the IMF has ratcheted down its forecast for 2013 global economic growth. We also know that, historically, dividend yield has provided a significant part of the total return of the equity markets.

     About Your Fund: The Fund seeks to achieve its investment objectives by investing primarily in the public utility industry. Under normal market conditions, more than 65% of the Fund’s total assets are invested in a diversified portfolio of equity and fixed income securities of companies of public utility companies engaged in the production, transmission or distribution of electric energy, gas or telephone services. The Fund does not currently use derivatives and has no investments in complex or structured investment vehicles.

     The Fund seeks to provide investors with a stable monthly dividend that is primarily derived from current fiscal year earnings and profits. The Investment Company Act of 1940 (1940 Act) and related Securities and Exchange Commission (SEC) rules generally prohibit investment companies from distributing long-term capital gains more often than once in a twelve–month period. However, in 2008, the SEC granted the Fund’s request for exemptive relief from that prohibition, and the Fund is now permitted, subject to certain conditions, to make periodic distributions of long-term capital gains as frequently as twelve times a year. In connection with the exemptive relief, in February 2008 the Board of Directors reaffirmed the current 6.5 cent per share monthly distribution rate and formalized the monthly distribution process by adopting a Managed Distribution Plan (MDP). The Board reviews the operation of the MDP on a quarterly basis, with the most recent review having been conducted in May 2013, and retains an independent consultant to review the plan annually in February. The MDP is described on the inside front cover of this report and in a Question and Answer format on the Fund’s website, www.dnpselectincome.com.

     The use of leverage enables the Fund to borrow at short-term rates and invest at longer-term rates. As of March 31, 2013 the Fund’s leverage consisted of $138.2 million of Remarketed Preferred Stock (RP) and $861.8 million of debt. On that date the total amount of leverage represented approximately 28% of the Fund’s total assets. The amount and type of leverage used is reviewed by the Board of Directors based on the Fund’s expected earnings relative to the anticipated costs (including fees and expenses) associated with the leverage. In addition, the long-term

expected benefits of leverage are weighed against the potential effect of increasing the volatility of both the Fund’s net asset value and the market value of its common stock. Historically, the tendency of the U.S. yield curve to exhibit a positive slope (i.e., long-term rates higher than short-term rates) has fostered an environment in which leverage can make a positive contribution to the earnings of the Fund. There is no assurance that this will continue to be the case in the future. A prolonged period of low longer-term interest rates and the resultant modest reinvestment opportunities for the fixed income portion of the portfolio could adversely affect the income provided from leverage. If the use of leverage were to cease being beneficial, the amount and type of leverage employed by the Fund could potentially be modified or eliminated.

     Automatic Distribution Reinvestment Plan and Direct Deposit Service: The Fund has a distribution reinvestment plan available as a benefit to all registered common shareholders and also offers direct deposit service through electronic funds transfer to all registered common shareholders currently receiving a monthly distribution check. These services are offered through Computershare. For more information and/or an authorization form on automatic distribution reinvestment or direct deposit, please contact Computershare (1.877.381.2537 or www.computershare.com/investor). Information on these services is also available on the Fund’s website at the address noted below.

     Visit us on the Web: You can obtain the most recent shareholder financial reports and distribution information at our website, 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.

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

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS
March 31, 2013
(UNAUDITED)

COMMON STOCKS & MLP INTERESTS—111.5%

The accompanying notes are an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS—(Continued)
March 31, 2013
(UNAUDITED)

BONDS—24.7%

The accompanying notes are an integral part of this financial statement.

DNP SELECT INCOME FUND INC.
STATEMENT OF NET ASSETS—(Continued)
March 31, 2013
(UNAUDITED)

The percentage shown for each investment category is the total value of that category as a percentage of the net assets applicable to common stock of the Fund.

The accompanying notes are an integral part of this financial statement.

Note 1. Security Valuation

     The Fund’s investments are carried at fair value which is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. The three-tier hierarchy of inputs established to classify fair value measurements for disclosure purposes is summarized in the three broad levels listed below.

Level 1—quoted prices in active markets for identical securities

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risks, etc.)

Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments)

     The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. For more information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements contained in its annual report. The following is a summary of the inputs used to value each of the Fund’s investments at March 31, 2013:

     There were no Level 3 priced securities held and there were no transfers between Level 1 and Level 2 related to securities held at March 31, 2013.

Note 2. Federal Tax Cost

     At December 31, 2012, the Fund’s most recent fiscal tax year end, the federal tax cost of investments and aggregate gross unrealized appreciation (depreciation) were as follows:

     The difference between the book basis and tax basis of unrealized appreciation (depreciation) and cost of investments is primarily attributable to the tax deferral of wash sales losses, the accretion of market discount and amortization of premiums and alternative tax treatment of certain securities.

     Other information regarding the Fund is available on the Fund’s website at www.dnpselectincome.com or the Securities and Exchange Commission’s website at www.sec.gov.