Edgar Filing: DNP SELECT INCOME FUND INC

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES

Investment Company Act file number 811-4915
--------

DNP Select Income Fund Inc.
----------------------------------------------
(Exact name of registrant as specified in charter)

55 East Monroe Street, Chicago, Illinois 60603
----------------------------------------------
(Address of principal executive offices) (Zip code)

Nathan I. Partain John R. Sagan
DNP Select Income Fund Inc. Mayer, Brown, Rowe & Maw
55 East Monroe Street 190 South LaSalle Street
Chicago, Illinois 60603 Chicago, Illinois 60603

(Name and address of agents for service)

Registrant's telephone number, including area code: (312) 368-5510
-----------------------------

Date of fiscal year end: December 31
--------------------

Date of reporting period: December 31, 2002
-------------------

Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 35.

ITEM 1. REPORTS TO STOCKHOLDERS.

The Annual Report to Stockholders follows.

Dear Fellow Shareholders:

Performance Review--Your Fund had a total return (market price change plus
income) of 1.4% for the fourth quarter, resulting in a -3.0% total return for
calendar year 2002. In comparison, the S&P Utilities Index had a total return
of 4.9% for the quarter and -29.9% for the year. 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 3.8% for the quarter and -21.9%
for the year.

For a broader perspective on the 2002 relative performance of the Utility
Indexes cited above, the S&P 500 Index and the Dow Jones Industrial Average had
total returns for the year of -15.0% and -22.1%, respectively. As an
alternative comparison, Lipper Analytical Services calculations show the
following equity sector mutual fund total returns for the year: Utility -23.8%,
Telecommunications -41.3%, Equity Income -16.3%, and Large-Capitalization Value
-20.0%.

During the fourth quarter of 2002, 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 7.88% common stock dividend yield based on the
December 31, 2002 closing price of $9.90 per share. That yield compares
favorably with the quarter-end yields of 5.18% on the Dow Jones Utility Index
and 5.05% on the S&P Utilities Index.

Feeling for the Bottom--Calendar year 2002 marked the third consecutive year of
broad equity market declines--an event that has not occurred since the period
from 1939 to 1941. Although a fourth year of negative equity returns is
statistically unlikely, we feel it is more appropriate to base investment
expectations on fundamental considerations.

During the latter half of 2000 and the first three quarters of 2001, the U.S.
economy was weakening. Many companies were responding to significant
overcapacity in an environment of declining demand for capital goods and high
inventories. Businesses acted to cut production, employment declined, consumer
and investor sentiment fell, and equity prices remained under pressure. The
domestic economic environment was exacerbated by weakness in economies globally
and the U.S. entered a recession in 2001.

In response, the Federal Reserve embarked on a series of interest rate
reductions that took the federal funds rate from 6.50% at the end of 2000 to
1.25% at the end of 2002. Cutting short-term interest rates lowers borrowing
costs, which encourages households to purchase autos, homes, and furnishings.
Typically in turn, inventories are drawn down and businesses add employees and
equipment to meet the rising demand. The stock market usually anticipates the
increase in business activity and share prices rise.

Data indicate that an economic recovery began during 2002, albeit at an uneven
pace and with certain sectors still very depressed. Although consumer spending
remains resilient, business spending is depressed, unemployment stubbornly
high, and the stock market undecided. The current economic malaise and the
potential for geopolitical uncertainties to depress near-term economic activity
will likely keep the Federal Reserve in an accommodative posture for the bulk
of the year. However, we believe that the Federal Reserve's current monetary
policy will eventually result in stronger economic growth and higher stock
prices in the future.

Both the telecommunications and electric and gas industries have experienced a
"recession" of their own over the past two years. While intertwined with
general economic conditions, industry-specific issues have hurt the performance
of these two sectors. In the telecom sector, the late 1990s were a time of boom
spending for the

deployment of fiber optic capacity. The investment markets were willing to
provide capital for anticipated growth in Internet demand and unproven business
plans. Simultaneously, regulation mandated a competitive environment for a
broad range of communication services, enhancing choice to the consumer but
cutting corporate profit margins to the bone. Many competitive local carriers
failed, and the accounting irregularities and eventual Chapter 11 filing of
long distance carrier and internet backbone provider WorldCom Inc. further
slashed sector valuations.

In the power sector, valuations have been hurt by the increased business risk
of debt-financed corporate investments outside the traditional regulated
utility businesses. These investments generally focused on power generation and
energy trading and marketing for the wholesale market. The diversification
strategies were designed to enhance shareholder value in an increasingly
competitive market, but by and large failed miserably. As in the
telecommunications sector, the power industry had a notable bankruptcy--Enron
Corp.

With both telecommunications and power industries experiencing problems, credit
rating agencies and investors wearied of unfulfilled strategic promises. Weak
operating performance led to a precipitous decline in aggregate credit quality
and ratings, and limitations on availability of capital to fund industry needs.
Access to capital, if available at all, became more and more expensive and
liquidity concerns and legal investigations culminated in full-blown liquidity
and credit rating crises.

These crises have taught companies valuable lessons. For the power group, that
means unwinding trading and marketing operations and returning to their core
competencies of the generation and distribution of power. For the
communications group that means cost management and capital expenditure
reductions, possible asset sales, and improved balance sheets. We believe that
although companies still need to resolve many issues, performance in these
sectors and the market's view of these sectors should improve valuations in the
future.

A more thorough analysis of industry trends and outlooks will appear in our
next quarterly letter based on Fund analysts' annual presentation to the Board
of Directors.

President Bush's Dividend Tax Proposal--Early in January President Bush
proposed a "growth and jobs plan" that would cut taxes in order to stimulate
economic growth. The largest component of the plan proposes the elimination of
the double taxation of dividends. Under current tax law, corporations pay
dividends from after-tax income and individuals pay income tax on dividends
received. The proposed plan would permit shareholders to exclude dividend
income from taxable income, and would provide an increase in the tax basis of
shares of stock for taxable income retained by a corporation.

An important theme in the President's rationale for this proposal is the belief
that if tax rates on dividends were lower, corporations would be likely to pay
them more generously, and investors would find stocks more attractive.
Increased funding would then flow to corporations through the stock market, and
the resulting availability of capital would encourage investment and growth.
Economic growth in turn, typically increases employment and raises the standard
of living for the average American.

The President's proposal must still navigate the political process and, if
passed by Congress, would almost certainly be in a negotiated and compromised
form. We would point out, however, that the current proposal would permit
mutual funds to pass through qualifying dividends tax-free to their
shareholders, and that the proposal does not alter your Fund's primary
objective of current income.

Board of Directors Meeting -- At the December Board of Directors' meeting, the
Board declared the following monthly dividends:

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

6.5 cents December 31 January 10
6.5 cents January 31 February 10
6.5 cents February 28 March 10

At the regular February Board of Directors' meeting, the Board declared the
following monthly dividends:

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

6.5 cents March 31 April 10
6.5 cents April 30 May 12
6.5 cents May 30 June 10

Automatic Dividend Reinvestment Plan and Direct Deposit Service--The Fund has a
dividend reinvestment plan available to all registered shareholders. 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, which has a new home address,
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

..
REPORT OF INDEPENDENT AUDITORS

To the Stockholders and Board of Directors of
DNP Select Income Fund Inc.:

We have audited the accompanying balance sheet of DNP Select Income Fund Inc.
(a Maryland corporation) (formerly Duff & Phelps Utilities Income Inc.),
including the schedule of investments, as of December 31, 2002, and the related
statements of operations, changes in net assets, cash flows and the financial
highlights for the year then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audit. The statement of changes in net assets and the financial
highlights of DNP Select Income Fund Inc., as of December 31, 2001, and for the
four years in the period then ended, were audited by other auditors who have
ceased operations. Those auditors expressed an unqualified opinion on those
financial statements in their report dated February 5, 2002.

We conducted our audit in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2002, by correspondence
with the custodian and brokers or by other appropriate audit procedures where
replies from brokers were not received. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.

In our opinion, the 2002 financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
DNP Select Income Fund Inc. at December 31, 2002, the results of its
operations, its cash flows, the changes in its net assets and the financial
highlights for the year then ended, in conformity with accounting principles
generally accepted in the United States.

ERNST & YOUNG LLP

Chicago, Illinois
February 5, 2003

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS
December 31, 2002

COMMON STOCKS--84.9%

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

[_] ELECTRIC--48.4%

1,000,000 Allete Inc................................. $ 22,680,000
1,001,000 Ameren Corp................................ 41,611,570
1,000,000 Consolidated Edison Inc.................... 42,820,000
796,000 Dominion Resources......................... 43,700,400
970,000 DQE Inc.................................... 14,782,800
1,000,000 DTE Energy Co.............................. 46,400,000
1,100,000 Energy East Corp........................... 24,299,000
1,000,000 Exelon Corp................................ 52,770,000
531,000 FirstEnergy Corp........................... 17,507,070
900,000 FPL Group Inc.............................. 54,117,000
1,750,000 Iberdrola S.A. (Spain)..................... 24,517,263
1,000,000 Keyspan Corp............................... 35,240,000
215,000 National Grid Group PLC ADR................ 7,909,850
770,000 National Grid Group PLC (United Kingdom)... 5,658,484
2,256,600 NiSource Inc............................... 45,132,000
1,318,600 NSTAR...................................... 58,532,654
1,375,000 Progress Energy Inc........................ 59,606,250
1,000,000 Public Service Enterprise Group............ 32,100,000
850,000 Scottish & Southern Energy (United Kingdom) 9,270,364
200,000 Scottish & Southern Energy ADR............. 21,894,520
2,647,300 Southern Co................................ 75,156,847
1,500,000 Vectren Corp............................... 34,500,000
------------
770,206,072

[_] GAS--5.1%

926,000 AGL Resources.............................. 22,501,800
900,000 Peoples Energy Corp........................ 34,785,000
1,000,000 WGL Holdings Inc........................... 23,920,000
------------
81,206,800

[_] TELECOMMUNICATION--15.6%

1,000,000.. Alltel Corp................................ 51,000,000
1,730,000.. BellSouth Corp............................. 44,755,100
1,637,230.. SBC Communications Inc..................... 44,385,305

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS--(Continued)
December 31, 2002

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

700,000 Swisscom AG ADR.............................. $ 19,957,000
856,250 Telecom Corp. of New Zealand Ltd. Interim ADR 16,371,500
1,068,400 Telstra Corp. ADR............................ 13,333,632
1,519,000 Verizon Communications....................... 58,861,250
------------
248,663,787

[_] REAL ESTATE INVESTMENT TRUSTS --15.8%
130,000 Apartment Investment & Management Co......... 4,872,400
195,000 Archstone Smith Trust........................ 4,590,300
340,000 Boston Properties Inc........................ 12,532,400
120,000 Camden Property Trust........................ 3,960,000
382,400 CBL & Associates Properties Inc.............. 15,315,120
247,000 Centerpoint Properties Corp.................. 14,116,050
580,000 Chelsea GCA Realty Inc....................... 19,319,800
100,000 Colonial Properties Trust.................... 3,394,000
230,318 Corporate Office Properties Trust............ 3,231,361
451,214 Developers Diversified Realty Corp........... 9,922,196
200,000 Duke Realty Corp............................. 5,090,000
205,000 Equity Office Properties Trust............... 5,120,900
210,000 Equity Residential Properties Trust.......... 5,161,800
83,100 Essex Property Trust Inc..................... 4,225,635
275,000 General Growth Properties, Inc............... 14,300,000
290,000 Green S.L. Realty Properties Inc............. 9,164,000
167,000 Health Care Property Investors Inc........... 6,396,100
223,000 Health Care Realty Trust Inc................. 6,522,750
215,000 Hospitality Properties Trust................. 7,568,000
266,400 iStar Financial Inc.......................... 7,472,520
48,000 Kimco Realty Corp............................ 1,470,720
275,000 Macerich Co.................................. 8,456,250
300,000 Pan Pacific Retail Properties Inc............ 10,959,000
495,600 ProLogis Trust............................... 12,464,340
90,000 Realty Income Corp........................... 3,150,000
35,025 Reckson Associates Realty Corp............... 737,276
171,545 Reckson Associates Realty Corp. Class B...... 3,842,608
119,367 Shurgard Storage Centers Inc................. 3,740,962
387,000 Simon Property Group......................... 13,185,090
580,000 United Dominion Realty Trust................. 9,488,800

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS--(Continued)
December 31, 2002

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

340,000 Vornado Realty Trust........................... $ 12,648,000

231,750 Weingarten Realty Investors.................... 8,542,305
--------------
250,960,683
--------------
Total Common Stocks (Cost--$1,320,031,059)..... 1,351,037,342
--------------
PREFERRED STOCKS--17.4%

[_] UTILITY--17.4%

200,000 Alltel Corp 73/4% 5/17/05...................... 10,266,000
750,000 Ameren Corp. 93/4% 5/15/05..................... 20,100,000
1,200,000 Centurytel Inc. 6 7/8% 5/15/05................. 30,840,000
626,200 Cinergy Corp. 91/2% 2/16/05.................... 34,691,480
450,000 Dominion Resources 91/2% 11/16/04.............. 24,385,500
986,700 DTE Energy Co. 83/4% 8/16/05................... 26,927,043
700,000 Duke Capital Financing Trust III 8 3/8% 8/31/29 18,088,000
876,000 Duke Energy 8 1/4% 5/18/04..................... 13,937,160
223,500 EIX Trust II Series B 8.60% 10/29/29 **........ 5,174,025
500,000 FPL Group Inc. 81/2% 2/16/05................... 27,680,000
412,000 Keyspan Corp. 83/4% 5/16/05.................... 20,834,840
500,000 NiSource Industries Inc. 7.75% 2/19/03......... 19,200,000
400,000 TXU Corp. 83/4% 11/16/05....................... 11,440,000
500,000 TXU Corp. 8 1/8% 5/16/06....................... 14,375,000

--------------
Total Preferred Stocks (Cost--$299,592,364).... 277,939,048

--------------

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS--(Continued)
December 31, 2002

BONDS--45.2%

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

[_] ELECTRIC--14.3%
$23,571,000 Cleveland Electric Illuminating
9%, due 7/01/23................. BBB Baa2 BBB $ 25,083,433
18,050,000 Comed Financing II
8 1/2%, due 1/15/27............. Not Rated Baa2 BBB 19,498,332
7,500,000 Commonwealth Edison Co.
9 7/8%, due 6/15/20............. A- A3 A- 8,808,998
10,000,000 Commonwealth Edison Co.
8 3/8%, due 2/15/23............. A- A3 A- 10,445,560
6,000,000 Dayton Power and Light
8.15%, due 1/15/26.............. A A2 BBB 6,128,958
24,000,000 Dominion Resources Capital Trust
7.83%, due 12/01/27............. Not Rated Baa2 BBB- 22,918,968
5,000,000 Gulf States Utilities
8.94%, due 1/01/22.............. Not Rated Baa3 BBB- 5,216,375
1,000,000 Houston Lighting
83/4%, due 3/01/22.............. BBB+ Baa2 BBB 1,039,706
19,800,000 Hydro-Quebec
93/4%, due 1/15/18.............. AA- A1 A+ 19,924,522
5,000,000 Illinois Power Co.
71/2%, due 7/15/25.............. BB- B3 B 3,775,000
5,000,000 Progress Energy Inc.
73/4%, due 3/1/31............... Not Rated Baa1 BBB 5,703,695
9,000,000 PSEG Power
8 5/8%, due 4/15/31............. Not Rated Baa1 BBB 9,723,087
15,830,000 Public Service Co. of Colorado
8 3/4%, due 3/01/22............. BBB Baa1 BBB+ 16,521,724
22,750,000 Puget Capital Trust
8.231%, due 6/01/27............. Not Rated Ba1 BB 22,217,263
13,000,000 Southern Co. Capital Trust
8.14%, due 2/15/27.............. Not Rated Baa1 BBB+ 14,060,514
5,500,000 Texas Utilities Corp.
7 7/8%, due 3/1/23.............. A- Baa1 BBB 5,698,170

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS--(Continued)
December 31, 2002

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

$10,000,000 Virginia Electric & Power Co.
8 5/8%, due 10/01/24......... Not Rated A2 A- $ 11,064,290
17,700,000 Virginia Electric & Power Co.
8 1/4%, due 3/01/25.......... Not Rated A2 A- 19,410,723
------------
227,239,318
[_] GAS--3.6%
5,125,000 ANR Pipeline Co.
9 5/8%, due 11/01/21......... Not Rated Ba1 BB 5,138,289
5,000,000 KN Energy Inc.
71/4%, due 3/01/28........... BBB Baa2 BBB 5,125,295
10,000,000 Northern Border Partners L.P.
8 7/8%, due 6/15/10.......... BBB+ Baa2 BBB+ 11,804,150
6,488,000 Southern Union Co.
7.60%, due 2/01/24........... BBB Baa3 BBB+ 6,215,621
8,850,000 Southern Union Co.
81/4%, due 11/15/29.......... BBB Baa3 BBB+ 9,076,595
10,000,000 TE Products Pipeline Co.
7.51%, due 1/15/28........... Not Rated Baa3 BBB 9,332,570
9,000,000 Trans-Canada Pipeline
9 1/8%, due 4/20/06.......... Not Rated A3 BBB+ 10,346,202
------------
57,038,722
[_] TELECOMMUNICATION--7.0%
10,000,000 Bell South Capital Funding
7 7/8%, due 2/15/30.......... A+ Aa3 A+ 12,325,670
25,000,000 British Telecom PLC
8 5/8%, due 12/15/30......... Not Rated Baa1 A- 31,987,425
5,000,000 Centurytel Inc.
6 7/8%, due 1/15/28.......... Not Rated Baa2 BBB+ 5,220,615
10,000,000 Centurytel Inc.
8 3/8%, due 10/15/10......... Not Rated Baa2 BBB+ 11,949,580
12,000,000 GTE California Inc.
8.07%, due 4/15/24........... AA A1 A+ 12,942,900
2,835,000 GTE Corp.
9.10%, due 6/01/03........... Not Rated A3 A+ 2,906,847

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS--(Continued)
December 31, 2002

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

$17,625,000 GTE Corp.
7.90%, due 2/01/27................. Not Rated A2 A+ $ 19,114,348
9,000,000 New York Telephone Co.
7 5/8%, due 2/01/23................ AA A2 A+ 9,287,100
5,000,000 Vodafone Group PLC
7 7/8%, due 2/15/30................ Not Rated A2 A 6,048,330
------------
111,782,815
[_] NON-UTILITY--20.3%
#15,000,000 American General Finance Corp.
1.61%, due 5/28/04................. A+ A1 A+ 15,025,113
#20,000,000 Credit Suisse First Boston USA Inc.
1.66%, due 4/28/03................. Not Rated Aa3 A+ 20,012,084
#25,000,000 Daimler Chrysler NA Holdings
1.65%, due 8/21/03................. Not Rated A3 BBB+ 24,878,941
8,000,000 Dayton Hudson Corp.
9 7/8%, due 7/01/20................ A A2 A+ 11,367,520
19,940,000 EOP Operating LP
71/2%, due 4/19/29................. BBB+ Baa1 BBB+ 20,844,040
#25,000,000 General Electric Capital Corp.
1.51%, due 10/22/03................ Not Rated Aaa AAA 25,017,580
#25,000,000 General Motors Acceptance Corp.
1.92%, due 11/07/03................ A- A2 BBB 24,646,555
#25,000,000 Household Finance Corp.
1.77%, due 5/28/04................. A A2 A- 24,713,230
#25,000,000 Morgan Stanley Dean Witter & Co.
1.70%, due 5/18/04................. AA- Aa3 A+ 25,022,655
#25,000,000 Northern Rock PLC
1.51%, due 7/22/03................. A+ A2 A 25,009,730
#25,000,000 Salomon Smith Barney Holdings Inc.
1.78%, due 5/07/04................. AA+ Aa1 AA- 25,009,630
#50,000,000 Sigma Finance Inc.
1.43%, due 6/05/03................. AAA Aaa AAA 50,005,500

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS--(Continued)
December 31, 2002

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

# $7,500,000 First Union National Bank
1.53%, due 5/09/03.......... A+ Aa2 A+ $ 7,502,822
# 25,000,000 Washington Mutual Bank, F.A.
1.52%, due 3/18/03.......... A+ A2 A- 25,000,000
------------
324,055,400
------------
Total Bonds (Cost--$703,861,374)................... 720,116,255
------------

U.S. TREASURY OBLIGATIONS--1.4%
19,400,000 U.S. Treasury Bond
10 3/4%, due 5/15/03................................................. 20,080,532
2,000,000 U.S. Treasury Bond
10 3/4%, due 8/15/05................................................. 2,452,267
-----------
Total U.S. Treasury Obligations (Cost--$22,154,563).................. 22,532,799
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--8.5%
125,000,000 Federal Home Loan Mortgage Corp.
9%, due 2/26/04...................................................... 135,742,000
-----------
Total U.S. Government Agency Obligations (Cost--$135,636,970)........ 135,742,000
-----------
MONEY MARKET INSTRUMENTS--18.8%
40,000,000 AIG Funding Inc.
1.30%, due 1/06/03................................................... 39,992,778
# 474,690 AIM STIC Liquid Assets Portfolio..................................... 474,690
# 11,037,500 Bear Stearns & Co. Repurchase Agreement
1.20%, due 1/02/03, dated 12/31/02, collateralized by $4,733,258
Contimortgage Home Equity Loan Trust 1998-1 B ABS, 7.86% due
4/15/29 and $6,525,210 FNMA Conventional Loan Mortgage Pool 13115 MBS
6% due 1/01/03....................................................... 11,037,500
# 87,460,000 Bear Stearns & Co. Master Note 1.46%, due 1/02/03.................... 87,460,000
30,000,000 Citigroup Inc. 1.25%, due 1/02/03.................................... 29,998,958

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
SCHEDULE OF INVESTMENTS--(Continued)
December 31, 2002

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

#$50,000,000 Deutsche Bank Securities Inc. Repurchase Agreement
1.37%, due 1/02/03, dated 12/31/02, collateralized by $36,954,190 Commercial
Mortgage Pass-Through Certificate 2001-J2A C MBS, 6.586% due 7/16/34
and $14,045,810 ABN Amro Mortgage Corporation 2002-6 A6 CMO,
7.1475%, due 8/25/32........................................................ $ 50,000,000
10,000,000 General Electric Capital Corp. 1.80%, due 1/03/03........................... 9,999,344
# 18,882,316 Janus Institutional Cash Reserves Fund...................................... 18,882,316
# 1,027,718 Janus Government Money Market Fund.......................................... 1,027,718
# 21,970,281 NYLIM Institutional Prime Cash Fund......................................... 21,970,281
# 27,900,000 Westways Funding IV
1.53%, due 1/08/03.......................................................... 27,900,000
--------------
Total Money Market Instruments (Amortized Cost--$298,709,873)............... 298,743,585
--------------
TOTAL INVESTMENTS (Cost--$2,779,986,203) (176.2%)........................................ $2,806,111,029
--------------

--------
*Bond ratings are not covered by the report of independent auditors.

**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.

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
BALANCE SHEET
December 31, 2002

ASSETS:
Investments at value:
Common stocks (cost $1,320,031,059)....................................................... $1,351,037,342
Preferred stocks cost ($299,592,364)...................................................... 277,939,048
Bonds (cost $703,861,374)................................................................. 720,116,255
U.S. Treasury obligations (cost $22,154,563).............................................. 22,532,799
U.S. government agency obligation (cost $135,636,970)..................................... 135,742,000
Money market instruments (amortized cost $298,709,873).................................... 298,743,585
--------------
Total investments at value (Cost--$2,779,986,203) including $496,031,247 of securities
loaned................................................................................ 2,806,111,029
Interest-bearing deposits with custodian................................................... 5,345,942
Receivables:
Interest.................................................................................. 11,149,416
Dividends................................................................................. 3,780,778
Securities lending income................................................................. 111,756
Prepaid expenses........................................................................... 112,332
--------------
Total Assets............................................................................ $2,826,611,253
==============
LIABILITIES:
Payable for securities purchased........................................................... $ 4,416,875
Due to Adviser (Note 2).................................................................... 3,185,976
Due to Administrator (Note 2).............................................................. 826,236
Dividends payable on common stock.......................................................... 14,051,018
Dividends payable on remarketed preferred stock............................................ 573,731
Accrued expenses........................................................................... 1,392,670
Commercial paper outstanding (Note 6)...................................................... 197,955,439
Payable upon return of securities on loan.................................................. 511,238,875
--------------
Total Liabilities....................................................................... 733,640,820
--------------
Remarketed preferred stock ($.001 par value; 100,000,000 shares authorized and 5,000 shares
issued and outstanding, liquidation preference $100,000 per share) (Note 5).............. 500,000,000
--------------
CAPITAL:
Common stock ($.001 par value; 250,000,000 shares authorized and 216,169,515 shares issued
and outstanding) (Note 4)................................................................ 216,169
Paid-in surplus (Note 4)................................................................... 1,935,715,588
Accumulated net realized loss on investments............................................... (366,671,086)
Distributions in excess of book net investment income...................................... (2,418,188)
Net unrealized appreciation (depreciation) on investments, foreign currency
translation and collateral held for securities on loan................................... 26,127,950
--------------
Net assets applicable to common stock (equivalent to $7.37 per share based on
216,169,515 shares outstanding)....................................................... 1,592,970,433
--------------
Total Liabilities, Remarketed Preferred Stock and Capital............................... $2,826,611,253
==============

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
STATEMENT OF OPERATIONS
For the year ended December 31, 2002

INVESTMENT INCOME:
Interest................................................................................ $ 43,210,606
Dividends (less withholding tax of $653,400)............................................ 151,086,768
Securities lending income, net.......................................................... 937,764
-------------
Total investment income............................................................... 195,235,138

EXPENSES:
Management fees (Note 2)................................................................ 13,776,089
Commercial paper interest expense (Note 6 )............................................. 4,325,710
Administrative fees (Note 2)............................................................ 3,505,218
Transfer agent fees..................................................................... 474,500
Custodian fees.......................................................................... 366,000
Remarketing agent fees.................................................................. 1,267,360
Shareholder reports..................................................................... 402,500
Professional fees....................................................................... 234,000
Directors' fees (Note 2)................................................................ 453,000
Other expenses.......................................................................... 588,567
-------------
Total expenses........................................................................ 25,392,944
-------------
Net investment income................................................................. 169,842,194

REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investments........................................................ (299,216,873)
Net change in unrealized appreciation (depreciation) on investments, collateral held for
securities on loan and foreign currency translation................................... (87,406,287)
-------------
Net realized and unrealized loss........................................................ (386,623,160)
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS:
From net investment income.............................................................. (8,213,811)
-------------
Net decrease in net assets applicable to common shares resulting from operations........ $(224,994,777)
=============

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
STATEMENTS OF CHANGES IN NET ASSETS

For the year For the year
ended ended
December 31, December 31,
2002 2001
-------------- --------------

FROM OPERATIONS:
Net investment income..................................................... $ 169,842,194 $ 178,373,579
Net realized gain (loss).................................................. (299,216,873) 18,943,412
Net change in unrealized appreciation/(depreciation) on investments,
collateral held for securities on loan, and foreign currency translation (87,406,287) (296,203,058)
Distributions to preferred shareholders from net investment income........ (8,213,811) (16,247,814)
-------------- --------------
Net decrease in net assets applicable to common shares resulting from
operations............................................................ (224,994,777) (115,133,881)

DISTRIBUTIONS TO COMMON STOCKHOLDERS FROM:
Net investment income--(Note 3)........................................... (167,637,718) (167,778,258)
-------------- --------------
Total distributions to common stockholders.............................. (167,637,718) (167,778,258)

FROM CAPITAL STOCK TRANSACTIONS (Note 4):
Shares issued to common stockholders from dividend reinvestment........... 25,906,297 26,595,226
-------------- --------------
Net increase in net assets derived from capital share transactions........ 25,906,297 26,595,226
-------------- --------------
Total decrease.......................................................... (366,726,198) (256,316,913)

TOTAL NET ASSETS APPLICABLE TO COMMON SHARES:
Beginning of year......................................................... 1,959,696,631 2,216,013,544
-------------- --------------
End of year (including distributions in excess of book net investment
income of $2,418,188, and $16,645,171, respectively).................... $1,592,970,433 $1,959,696,631
============== ==============

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
STATEMENT OF CASH FLOWS
For the year ended December 31, 2002

Cash Flows From (For):
OPERATING ACTIVITIES

Interest received....................................................... $ 47,814,883
Income dividends received............................................... 154,099,414
Securities lending income, net.......................................... 915,142
Operating expenses paid (excluding interest)............................ (22,056,390)
Interest paid on commercial paper....................................... (4,869,944)
---------------
Net cash provided by operating activities........................................... $ 175,903,105
INVESTING ACTIVITIES
Purchase of investment securities....................................... (5,015,992,041)
Proceeds from sale/redemption of investment securities.................. 4,978,337,168
Return of capital on investments........................................ 3,159,013
Long-term capital gains dividends received.............................. 1,849,860
Amortization of premiums and discounts on debt securities............... 5,804,192
---------------
Net cash used in investing activities............................................... (26,841,808)
FINANCING ACTIVITIES
Dividends paid.......................................................... (177,909,912)
Proceeds from issuance of common stock under dividend reinvestment
plan.................................................................. 25,906,297
Change in net proceeds from issuance of commercial paper................ 1,128,154
---------------
Net cash used in financing activities............................................... (150,875,461)
-------------
Net decrease in cash and cash equivalents................................................. (1,814,164)
Cash and cash equivalents--beginning of year.............................................. 7,160,106
-------------
Cash and cash equivalents--end of year.................................................... $ 5,345,942
=============
Reconciliation of net investment income to net cash provided by operating
activities:
Net investment income................................................................... $ 169,842,194
Adjustments to reconcile net investment income to net cash provided by
operating activities:
Decrease in interest receivable....................................... 4,604,278
Decrease in dividends receivable...................................... 3,012,645
Decrease in accrued expenses.......................................... (1,533,390)
Increase in other receivable.......................................... (22,622)
---------------
Total adjustments............................................................... 6,060,911
-------------
Net cash provided by operating activities................................................. $ 175,903,105
=============

The accompanying notes are an integral part of the financial statements.

DNP SELECT INCOME FUND INC.
NOTES TO FINANCIAL STATEMENTS
December 31, 2002

(1) SIGNIFICANT ACCOUNTING POLICIES:

DNP Select Income Fund Inc. (the "Fund", formerly Duff & Phelps Utilities
Income Inc.) was incorporated under the laws of the State of Maryland on
November 26, 1986. The Fund commenced operations on January 21, 1987, as a
closed-end diversified management investment company registered under the
Investment Company Act of 1940. The primary investment objectives of the Fund
are current income and long-term growth of income. Capital appreciation is a
secondary objective.

The following are the significant accounting policies of the Fund:

(a) 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.

(b) No provision is made for Federal income taxes since the Fund has
elected to be taxed as a "regulated investment company" and has made such
distributions to its shareholders deemed necessary to be relieved of all
Federal income taxes under provisions of current Federal tax law. The Fund
intends to utilize provisions of Federal income tax laws which allow a
realized capital loss to be carried forward for eight years following the
year of loss and offset such losses against any future realized gains. At
December 31, 2002, the Fund had tax capital loss carry forwards of
$199,205,932 which expire beginning on December 31, 2003. For the period
November 1, 2002 through December 31, 2002 the Fund incurred net realized
capital losses of $181,983,140. The Fund intends to treat these losses as
having occurred on January 1, 2003.

At December 31, 2002, on a tax basis, the Fund had undistributed net
investment income of $2,103,117; and based on a $2,792,953,260 tax cost of
investments, gross unrealized appreciation of $139,857,445 and unrealized
depreciation of $126,699,675. The difference between the book basis and tax
basis of distributable earnings are primarily a result of tax deferral of
wash sale losses, the accretion of discount and amortization of premiums.

(c) The accounts of the Fund are kept on the accrual basis of accounting.
Security transactions are recorded on the trade date. Realized gains or
losses from sales of securities are determined on the specific identified
cost basis. Dividend income is recognized on the ex-dividend date. Interest
income and expense are recognized on the accrual basis. Discounts and
premiums on securities are amortized over the lives of the respective
securities for book purposes. Discounts and premiums are not amortized for
tax purposes.

(d) The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires management to
make estimates and assumptions that affect the reported amounts of assets
and liabilities and disclosure of contingent assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results could differ from those estimates.

DNP SELECT INCOME FUND INC.
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2002

(e) As required, effective January 1, 2002, the Fund has adopted the
classification requirement of EITF D-98, Classification and Measurement of
Redeemable Securities. EITF D-98 requires that preferred stock be presented
separately at liquidation preference on the balance sheet. Accordingly,
certain reclassifications have been made to the statement of operations,
statements of changes in net assets and financial highlights for all periods
presented. The adoption of EITF D-98 had no impact on the net asset value of
the common stock of the Fund.

(2) MANAGEMENT ARRANGEMENTS:

The Fund has engaged Duff & Phelps Investment Management Co. (the "Adviser")
to provide professional investment management services for the Fund and has
engaged J. J. B. Hilliard, W. L. Lyons, Inc. (the "Administrator") to provide
administrative and management services for the Fund. The Adviser receives a
quarterly fee at an annual rate of .60% of the average weekly net assets of the
Fund up to $1.5 billion and .50% of average weekly net assets in excess
thereof. The Administrator receives a quarterly fee at annual rates of .25% of
average weekly net assets up to $100 million, .20% of average weekly net assets
from $100 million to $1 billion, and .10% of average weekly net assets over $1
billion. For purposes of the foregoing calculations, "average weekly net
assets" is defined as the sum of (i) the aggregate net asset value of the
Fund's common stock (ii) the aggregate liquidation preference of the Fund's
preferred stock and (iii) the aggregate proceeds to the Fund of commercial
paper issued by the Fund. Directors of the Fund not affiliated with the Adviser
receive a fee of $25,000 per year plus $2,000 per board meeting, plus $1,500
per committee meeting attended. Committee Chairmen receive an additional fee of
$5,000 per year. Transfer agent and custodian fees are paid to The Bank of New
York.

(3) DIVIDENDS:

The Board of Directors has authorized the following distributions to common
stockholders from investment income in 2002:

Record Payable Dividend
Date Date Per Share
-------- -------- ---------

01-31-02 02-11-02 $.065
02-28-02 03-11-02 .065
03-29-02 04-10-02 .065
04-30-02 05-10-02 .065
05-31-02 06-10-02 .065
06-28-02 07-10-02 .065

Record Payable Dividend
Date Date Per Share
-------- -------- ---------

07-31-02 08-12-02 .065
08-30-02 09-10-02 .065
09-30-02 10-10-02 .065
10-31-02 11-12-02 .065
11-29-02 12-10-02 .065
12-31-02 01-10-03 .065

The tax basis for all distributions was ordinary income.

DNP SELECT INCOME FUND INC.
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2002

(4) CAPITAL STOCK TRANSACTIONS:

The Fund may purchase shares of its own stock in open market or private
transactions, from time to time and in such amounts and at such prices (not
exceeding $100,000 plus accumulated and unpaid dividends in the case of the
Fund's remarketed preferred stock and less than net asset value in the case of
the Fund's common stock) as management may deem advisable. Since any such
purchases of the Fund's common stock would be made at prices below net asset
value, they would increase the net asset value per share of the remaining
shares of common stock outstanding. The Fund has not purchased any shares of
its common stock.

Transactions in common stock and paid-in surplus during 2002 and 2001 were
as follows:

Shares Amount
----------- --------------

For the year ended December 31, 2002:
Beginning capitalization.......... 213,521,241 $1,910,025,460
Dividend reinvestment............. 2,648,274 25,906,297
----------- --------------
Total capitalization.......... 216,169,515 $1,935,931,757
=========== ==============
For the year ended December 31, 2001:
Beginning capitalization.......... 210,935,760 $1,883,430,234
Dividend reinvestment............. 2,585,481 26,595,226
----------- --------------
Total capitalization.......... 213,521,241 $1,910,025,460
=========== ==============

(5) REMARKETED PREFERRED STOCK:

In 1988, the Fund issued 5,000 shares of Remarketed Preferred Stock ("RP")
in five series of 1,000 shares each at a public offering price of $100,000 per
share. The underwriting discount and other expenses incurred in connection with
the issuance of the RP were recorded as a reduction of paid-in surplus on
common stock. Dividends on the RP are cumulative at a rate which was initially
established for each series at its offering. Since the initial offering of each
series, the dividend rate on each series has been reset every 49 days by a
remarketing process. Dividend rates ranged from 1.389% to 1.950% during the
year ended December 31, 2002.

The RP is redeemable at the option of the Fund on any dividend payment date
at a redemption price equal to $100,000 per share, plus accumulated and unpaid
dividends. The Fund is required to maintain certain asset coverage with respect
to the RP, and the RP is subject to mandatory redemption if that asset coverage
is not maintained. Each series of RP is also subject to mandatory redemption on
a date certain as follows: Series A--November 28, 2012; Series B--November 18,
2015; Series C--November 7, 2018; Series D--December 22, 2021; and Series
E--December 11, 2024.

In general, the holders of the RP and of the Common Stock have equal voting
rights of one vote per share, except that the holders of the RP, as a class,
vote to elect two members of the Board of Directors, and separate class votes
are required on certain matters that affect the respective interests of the RP
and the Common Stock. The RP has a liquidation preference of $100,000 per share
plus accumulated and unpaid dividends.

DNP SELECT INCOME FUND INC.
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2002

(6) COMMERCIAL PAPER:

The Board of Directors has authorized the Fund to issue up to $200,000,000
of Commercial Paper Notes (the "Notes") in minimum denominations of $100,000
with maturities up to 270 days. The Notes generally will be sold on a discount
basis, but may be sold on an interest-bearing basis. The Notes are not
redeemable by the Fund nor are they subject to voluntary prepayment prior to
maturity. The aggregate amount of Notes outstanding changes from time to time.
The Notes are unsecured, general obligations of the Fund. The Fund has entered
into a credit agreement to provide liquidity. The Fund is able to request loans
under the credit agreement of up to $100,000,000 at any one time, subject to
certain restrictions. Interest rates on the Notes ranged from 1.38% to 2.28%
during the year ended December 31, 2002. At December 31, 2002, the Fund had
Notes outstanding of $197,955,439.

(7) INVESTMENT TRANSACTIONS:

For the year ended December 31, 2002, purchases and sales of investment
securities (excluding short-term securities) were $4,730,302,349 and
$4,687,847,271, respectively.

The Fund may lend portfolio securities to a broker/dealer. Loans are
required to be secured at all times by collateral at least equal to the market
value of securities loaned. The Fund receives a portion of the income earned on
the securities held as collateral and continues to earn income on the loaned
securities. Security loans are subject to the risk of failure by the borrower
to return the loaned securities in which case the Fund could incur a loss. At
December 31, 2002, the Fund had loaned portfolio securities with a market value
of $496,031,247 to a broker/dealer and received $511,238,875 of cash
collateral. This cash was invested in securities as shown in the Schedule of
Investments.

DNP SELECT INCOME FUND INC.

FINANCIAL HIGHLIGHTS--SELECTED PER SHARE DATA AND RATIOS

The table below provides information about income and capital changes for a
share of common stock outstanding throughout the periods indicated:

For the year ended December 31
------------------------------------------------------------
2002 2001 2000 1999 1998
---------- ---------- ---------- ---------- ----------

Net asset value:
Beginning of year.......................... $ 9.18 $ 10.51 $ 8.77 $ 10.36 $ 9.90
---------- ---------- ---------- ---------- ----------
Net investment income...................... 0.79 0.77 0.88 0.89 0.88
Net realized gain (loss) and change in
unrealized appreciation/(depreciation) on
investments.............................. (1.78) (1.23) 1.76 (1.59) 0.46
Dividends on preferred stock from net
investment income........................ (0.04) (0.08) (0.11) (0.10) (0.10)
---------- ---------- ---------- ---------- ----------
Total from investment operations applicable
to common shares......................... (1.03) (0.54) 2.53 (0.80) 1.24
Dividends on common stock from net
investment income........................ (0.78) (0.79) (0.79) (0.79) (0.78)
---------- ---------- ---------- ---------- ----------
Net asset value:
End of year............................... $ 7.37 $ 9.18 $ 10.51 $ 8.77 $ 10.36
========== ========== ========== ========== ==========
Per share market value:
End of year............................... $ 9.90 $ 11.06 $ 10.50 $ 8.31 $ 11.25
Ratio of expenses to average net assets
applicable to common stock............... 1.44% 1.57% 1.79% 1.66% 1.46%
Ratio of net investment income to average
net assets applicable to common stock.... 9.63% 8.63% 9.73% 9.40% 8.85%
Total investment return.................... (3.04%) 13.67% 37.37% (19.85%) 19.95%
Portfolio turnover rate.................... 197.27% 213.48% 229.70% 223.78% 251.19%
Net assets applicable to common stock, end
of year (000s omitted)................... $1,592,970 $1,959,697 $2,216,014 $1,828,128 $2,131,692

Information about Directors and Officers of the Fund

Set forth below are the names and certain biographical information about the
directors and officers of the Fund. Directors are divided into three classes
and are elected to serve staggered three-year terms. Except as indicated in the
table, directors are elected by the holders of the Fund's common stock. The
officers are elected at the annual meeting of the board of directors of the
Fund.

Name, Position with the Fund,
Address Length of Time Served Principal Occupation During Past 5 Years
and Age and Term of Office and Other Affiliations
------- ----------------------- ----------------------------------------

Interested Director of the Fund

Claire V. Hansen*....... Chairman and Director Senior Advisor to the Board of Directors, Phoenix
55 East Monroe Street since January 1987 Investment Partners, Ltd. since November 1995;
Chicago, Illinois 60603 Current term expires 2005 President and Chief Executive Officer, DNP Select
Age 77 Income Fund Inc. January 2000-February 2001;
Senior Advisor to the Board of Directors, Duff &
Phelps Corporation, 1988-November 1995
(Chairman of the Board, 1987-1988; Chairman of the
Board and Chief Executive Officer prior thereto);
Chairman of the Board, Duff Research Inc. and Duff
& Phelps Investment Management Co., 1985-1987

Independent Directors of the Fund

Wallace B. Behnke....... Director since January 1987 Consulting engineer since July 1989; prior thereto,
323 Glen Eagle Current term expires 2003 Vice Chairman, Commonwealth Edison Company
Kiawah Island (public utility)
South Carolina 29455
Age 77

Harry J. Bruce.......... Director since January 1989 Private investor; former Chairman and Chief
1630 Sheridan Road Current term expires 2003 Executive Officer, Illinois Central Railroad Co.
Wilmette, Illinois 60091
Age 71

Franklin A. Cole........ Director since January 1989 Chairman, Croesus Corporation (private management
54 West Hubbard Street Current term expires 2004 and investment company); former Chairman and
Chicago, Illinois 60610 Chief Executive Officer, Amerifin Corporation
Age 76 (formerly named Walter E. Heller International
Corporation)

Gordon B. Davidson...... Director since January 1989 Of Counsel, Wyatt, Tarrant & Combs (law firm)
PNC Plaza Current term expires 2004 since September 1995 (Chairman of the Executive
Louisville, Kentucky Committee prior thereto); retired Director, BellSouth
40202 Corp.; former Chairman of the Board and Director,
Age 76 Trans Financial Advisers, Inc.

Connie K. Duckworth.... Director since April 2003 Partner, Eight Wings Enterprises (investor in early-
77 Stone Gate Lane Current term expires 2005 stage businesses) since December 2001; Advisory
Lake Forest, Illinois Director, Goldman, Sachs & Company, December
60045 2000-December 2001 (Managing Director,
Age 48 December 1996-December 2000, Partner 1990-
1996, Chief Operating Officer of Firmwide Diversity
Committee 1990-1995); Chair, The Committee of
200 (organization of women business leaders);
Member, Circle Financial Group LLC (private
investment company); Director, Third Age Media
Inc. (internet marketing company); Member (2002)
and Chair (2003), Policyowners' Examining
Committee, Northwestern Mutual Life Insurance
Company

Robert J. Genetski**... Director since April 2001 President, Robert Genetski & Associates, Inc.
195 North Harbor Drive Current term expires 2004 (economic and financial consulting firm) since 1991;
Chicago, Illinois 60601 Senior Managing Director, Chicago Capital, Inc.
Age 60 (financial services firm) 1995-2001; former Senior
Vice President and Chief Economist, Harris Trust &
Savings Bank; author of several books; regular
contributor to the Nikkei Financial Daily

Francis E. Jeffries***. Director since January 1987 Retired Chairman, Phoenix Investment Partners, Ltd.
8477 Bay Colony Drive Current term expires 2004 since May 1997 (Chairman, November 1995-
Naples, Florida 34108 May 1997); Chairman and Chief Executive Officer,
Age 72 Duff & Phelps Corporation, June 1993-November
1995 (President and Chief Executive Officer, January
1992-June 1993); President and Chief Executive
Officer, Duff & Phelps Illinois Inc. since 1987
(President and Chief Operating Officer, 1984-1987)
and Chairman of the Board, Duff & Phelps
Investment Management Co. 1988-1993; Director,
The Empire District Electric Company

Nancy Lampton**........ Director since October 1994 Chairman and Chief Executive Officer, Hardscuffle
3 Riverfront Plaza Nominee for a term expiring Inc. (insurance holding company) since January
Louisville, Kentucky in 2006 2000; Chairman and Chief Executive Officer,
40202 American Life and Accident Insurance Company of
Age 60 Kentucky since 1971; Director, Constellation Energy
Group, Inc. (public utility holding company);
Director, Brinly-Hardy Corporation (lawn and garden
tractor accessories), Thorium Power Corporation
(designers of non-proliferative fuel for nuclear
energy needs)

Carl F. Pollard........ Director since April 2003 Owner, Hermitage Farm L.L.C. (Thoroughbred
10500 W. U.S. Hwy 42 Current term expires 2005 breeding) since January 1995; Chairman, Columbia
Goshen, Kentucky 40026 Healthcare Corporation 1993-1994; Chairman and
Age 64 Chief Executive Officer, Galen Health Care, Inc.
March-August 1993; President and Chief Operating
Officer, Humana Inc. 1991-1993 (previously Senior
Executive Vice President, Executive Vice President
and Chief Financial Officer); Chairman and Director,
Churchill Downs Incorporated; Director, National
City Bank, Kentucky (and member of executive
committee), Breeders' Cup Limited, Kentucky Derby
Museum Corporation; Trustee, Thoroughbred
Owners and Breeders Association

David J. Vitale........ Director since April 2000 Private investor and, since February 2003,
141 West Jackson Nominee for a term expiring Senior Adviser to the Chicago Board of Education;
Boulevard in 2006 President and Chief Executive Officer, Board of
Chicago, Illinois 60604 Trade of the City of Chicago, Inc., March 2001-
Age 56 November 2002; Retired executive 1999-2001;
Vice Chairman and Director, Bank One Corporation,
1998-1999; Vice Chairman and Director,
First Chicago NBD Corporation, and President,
The First National Bank of Chicago, 1995-1998;
Vice Chairman, First Chicago Corporation and
The First National Bank of Chicago, 1993-1998
(Director, 1992-1998; Executive Vice President,
1986-1993); Director, Ariel Capital Management,
Inc., Ark Investment Management, Wheels Inc.

Additional information about the Fund's directors is contained in the
Statement of Additional Information ("SAI") constituting Part B of the Fund's
Registration Statement on Form N-2 filed with the SEC. The most recent
post-effective amendment to that Registration Statement is available
electronically at the SEC's Internet web site, http://www.sec.gov. The Fund
will also furnish a copy of the SAI portion of the Registration Statement,
without charge, to any shareholder who so requests by calling the Administrator
at (888) 878-7845 (toll-free).

Officers of the Fund (other than the Chairman, for whom see above)

Nathan I. Partain...... President and Chief Executive Vice President, Duff & Phelps Investment
55 East Monroe Street Executive Officer, since Management Co. since January 1997; Director of
Chicago, Illinois 60603 February 2001 (Executive Utility Research, Phoenix Investment Partners, Ltd.,
Age 46 Vice President, Chief 1989-1996 (Director of Equity Research, 1993-1996
Investment Officer and and Director of Fixed Income Research, 1993);
Assistant Secretary, Director, Otter Tail Corporation
April 1998-February 2001;
Senior Vice President,
Chief Investment Officer
and Assistant Secretary,
January-April 1998; Senior
Vice President and Assistant
Secretary, January 1997-
January 1998)

T. Brooks Beittel...... Secretary and Senior Senior Vice President, Duff & Phelps Investment
55 East Monroe Street Vice President, since Management Co. since 1993 (Vice President
Chicago, Illinois 60603 January 1995; Treasurer, 1987-1993)
Age 52 January 1995-September
2002

Michael Schatt......... Senior Vice President since Senior Vice President, Duff & Phelps Investment
55 East Monroe Street April 1998 (Vice President, Management Co. since January 1997; Managing
Chicago, Illinois 60603 January 1997-April 1998) Director, Phoenix Investment Partners, Ltd.,
Age 55 1994-1996

Joseph C. Curry, Jr.... Treasurer since September Senior Vice President, J.J.B. Hilliard, W.L. Lyons,
Hilliard Lyons Center 2002; Vice President since Inc. since 1994 (Vice President 1982-1994);
Louisville, Kentucky April 1988 Vice President Hilliard Lyons Trust Company;
40202 President, Hilliard-Lyons Government Fund, Inc.;
Age 58 Vice President, Treasurer and Secretary, Hilliard
Lyons Growth Fund, Inc.; Treasurer, Senbanc Fund

Dianna P. Wengler...... Assistant Secretary since Vice President, J.J.B. Hilliard, W.L. Lyons, Inc. since
Hilliard Lyons Center April 1988 1990; Vice President, Hilliard-Lyons Government
Louisville, Kentucky Fund, Inc.; Assistant Secretary, Hilliard Lyons
40202 Growth Fund, Inc.
Age 42

--------
*Mr. Hansen is deemed to be an "interested person" of the Fund under the
Investment Company Act of 1940 because of his positions with the Fund and
with Phoenix Investment Partners, Ltd., parent company of the Fund's
investment adviser.
**Elected by the holders of the Fund's preferred stock.
***Mr. Jeffries oversees 30 portfolios in the Fund Complex to which the Fund
belongs.

Board of Directors

WALLACE B. BEHNKE

HARRY J. BRUCE

FRANKLIN A. COLE

GORDON B. DAVIDSON

CONNIE K. DUCKWORTH

ROBERT J. GENETSKI

CLAIRE V. HANSEN, CFA

FRANCIS E. JEFFRIES, CFA

NANCY LAMPTON

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
190 South LaSalle Street
Chicago, Illinois 60603

Independent Auditors

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

DNP Select
Income Fund Inc.

Annual
Report

December
31, 2002

[GRAPHIC]

4th

ITEM 2. CODE OF ETHICS.

Not applicable to annual reports for the period ended
December 31, 2002.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable to annual reports for the period ended
December 31, 2002.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable to annual reports for the period ended
December 31, 2002.

ITEMS 5-6. [RESERVED]

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES
FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to annual reports for the period ended
December 31, 2002.

ITEM 8. [RESERVED]

ITEM 9. CONTROLS AND PROCEDURES.

Not applicable to annual reports for the period ended
December 31, 2002.

ITEM 10. EXHIBITS.

Exhibit 99.CERT Certifications pursuant to Section 302 of
the Sarbanes-Oxley Act of 2002

Exhibit 99.1 Certifications pursuant to Section 906 of
the Sarbanes-Oxley Act of 2002

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) DNP SELECT INCOME FUND INC.

By (Signature and Title)* /s/ NATHAN I. PARTAIN
-----------------------------------------------------
Nathan I. Partain
President and Chief Executive Officer

Date February 28, 2003

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/ NATHAN I. PARTAIN
-----------------------------------------------------
Nathan I. Partain
President and Chief Executive Officer

Date February 28, 2003

By (Signature and Title)* /s/ JOSEPH C. CURRY, JR.
-----------------------------------------------------
Joseph C. Curry, Jr.
Vice President and Treasurer

Date February 28, 2003

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